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: 811-08839
--------------------------
streettracks(R) SERIES TRUST
----------------------------
(Exact name of registrant as specified in charter)
One Lincoln Street, Boston, MA 02111
----------------------------
(Address of principal executive offices) (zip code)
Ryan M. Louvar, Esq.
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Ave., NW
Washington, DC 20004
Registrant's telephone number, including area code: (866) 787-2257
Date of fiscal year end: June 30
Date of reporting period: December 31, 2006
ITEM 1: REPORTS TO SHAREHOLDERS
SEMI-ANNUAL REPORT December 31, 2006
[STATE STREET GLOBAL ADVISORS LOGO] PRECISE IN A WORLD THAT ISN'T.
TABLE OF CONTENTS
<Table>
PRESIDENT'S LETTER.......................................... 1
PERFORMANCE & PORTFOLIO SUMMARY............................. 2
SUMMARY SCHEDULES OF INVESTMENTS
SPDR(R) DJ WILSHIRE TOTAL MARKET ETF (TMW)................ 80
SPDR(R) DJ WILSHIRE LARGE CAP ETF (ELR)................... 83
SPDR(R) DJ WILSHIRE LARGE CAP GROWTH ETF (ELG)............ 86
SPDR(R) DJ WILSHIRE LARGE CAP VALUE ETF (ELV)............. 89
SPDR(R) DJ WILSHIRE MID CAP ETF (EMM)..................... 91
SPDR(R) DJ WILSHIRE MID CAP GROWTH ETF (EMG).............. 94
SPDR(R) DJ WILSHIRE MID CAP VALUE ETF (EMV)............... 97
SPDR(R) DJ WILSHIRE SMALL CAP ETF (DSC)................... 99
SPDR(R) DJ WILSHIRE SMALL CAP GROWTH ETF (DSG)............ 102
SPDR(R) DJ WILSHIRE SMALL CAP VALUE ETF (DSV)............. 105
SCHEDULES OF INVESTMENTS
SPDR(R) DJ GLOBAL TITANS ETF (DGT)........................ 108
DJ WILSHIRE REIT ETF (RWR)................................ 109
KBW BANK ETF (KBE)........................................ 111
KBW CAPITAL MARKETS ETF (KCE)............................. 112
KBW INSURANCE ETF (KBI)................................... 113
MORGAN STANLEY TECHNOLOGY ETF (MTK)....................... 114
SPDR(R) S&P(R) DIVIDEND ETF (SDY)......................... 115
SPDR(R) S&P(R) BIOTECH ETF (XBI).......................... 116
SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB)..................... 117
SPDR(R) S&P(R) METALS & MINING ETF (XME).................. 118
SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)... 119
SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF
(XOP).................................................. 120
SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH).................. 121
SPDR(R) S&P(R) RETAIL ETF (XRT)........................... 122
SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD).................... 123
KBW REGIONAL BANKING(SM) ETF (KRE)........................ 124
FINANCIAL STATEMENTS........................................ 126
FINANCIAL HIGHLIGHTS........................................ 148
NOTES TO FINANCIAL STATEMENTS............................... 162
OTHER INFORMATION........................................... 172
</Table>
[streetTRACKS (R) semi-annual report LOGO]
PRESIDENT'S LETTER TO SHAREHOLDERS
Dear Shareholders,
Enclosed, please find a copy of the semi-annual report as of December 31, 2006.
The six months that have elapsed since my last letter have been filled with a
number of exciting enhancements to our family of exchange-traded funds.
Some of the most notable developments include:
After conducting extensive research, we determined that consolidating all of
State Street's ETFs under the "SPDR(R)" brand would make it easier for investors
to identify our funds. To support this re-branding initiative, in the first
quarter of 2007 we will be launching a new website address (www.spdretfs.com), a
re-designed logo, and an advertising campaign, created around the
tagline -- "Precise in a world that isn't(sm)," which helps capture both the
purity of our ETFs and their ability to accurately match your investment
strategy.
As a result of this re-branding initiative, the names of some of our ETFs will
change, but their ticker symbols and our strategy will not. You can be assured
we remain focused on providing outstanding products and support that will help
you to reach your investment goals.
NEW FUNDS OFFERING INTERNATIONAL DIVERSIFICATION
State Street Global Advisors launched 12 new ETFs in 2006 which provided
investors exposure to segments of both the domestic and international market.
International ETFs launched included SPDR(R) DJ Wilshire International Real
Estate ETF (RWX), SPDR(R) Russell Nomura Prime Japan ETF (JPP) and SPDR(R)
Russell Nomura Small Cap Japan ETF (JSC). On the domestic side, we launched 8
ETFs based on S&P equal-weighted industry indexes, as well as one ETF tracking
the KBW Regional Banking Index.
Each of these new ETFs was created to meet the demands of our investors, and in
the months ahead, we look forward to launching new ETFs that will provide
additional opportunities for those looking to diversify their portfolios.
U.S. ASSETS UNDER MANAGEMENT TOP $100 BILLION
State Street's entire selection of ETF offerings continues to experience very
strong demand among investors looking for diversified, low cost, tax efficient
access to very precise segments of the market. At year-end 2006, total assets
under management in our ETFs totaled $101.9* billion up from $85.1* billion at
year end 2005.
Given State Street's heritage as the industry's pioneer, my colleagues and I
take great pride in the overwhelming support we receive from you and your fellow
investors. In the year ahead, we look forward to continuing to help you reach
your investment goals.
Sincerely,
James Ross
President
* Includes assets of $9.3 billion and $4.2 billion, respectively, of the
streetTRACKS(R) Gold Trust, an investment trust which is not registered as an
investment company under the Investment Company Act of 1940.
1
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Total Market ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (10/4/00, 10/10/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------------------------------
DOW JONES DOW JONES S&P 500 INDEX
NET ASSET MARKET WILSHIRE 5000 WILSHIRE 5000 (BROAD-BASED
VALUE VALUE COMPOSITE INDEX BLENDED INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 11.80% 11.98% 12.00% 12.00% 12.74%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 14.91% 14.95% 15.78% 15.78% 15.79%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 35.16% 35.64% 38.52% 36.33% 34.70%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 34.86% 35.01% 44.34% 36.68% 35.03%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 14.61% 14.83% 16.62% 16.37% 9.82%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------------------------
DOW JONES DOW JONES S&P 500 INDEX
NET ASSET MARKET WILSHIRE 5000 WILSHIRE 5000 (BROAD-BASED
VALUE VALUE COMPOSITE INDEX BLENDED INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 14.91% 14.95% 15.78% 15.78% 15.79%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 10.57% 10.70% 11.47% 10.88% 10.44%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 6.16% 6.19% 7.62% 6.45% 6.19%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.21% 2.24% 2.49% 2.46% 1.51%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period October 4, 2000 to December 31, 2006.
(2) A blended index return comprised of the Fortune 500 Index through 6/13/05
and the Dow Jones Wilshire 5000 Index return from 6/14/05 through
12/31/06.
2
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Total Market ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE TOTAL MARKET ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
SPDR DOW JONES
WILSHIRE TOTAL MARKET DOW JONES WILSHIRE
ETF(A) S&P 500 INDEX(C) 5000 BLENDED INDEX(B)
--------------------- ---------------- ---------------------
10/04/00 10000.00 10000.00 10000.00
12/31/00 9467.00 9230.00 8970.00
03/31/01 8516.00 8135.00 7863.00
06/30/01 8978.00 8612.00 8452.00
09/30/01 7763.00 7348.00 7107.00
12/31/01 8498.00 8133.00 7986.00
03/31/02 8562.00 8155.00 8063.00
06/30/02 7480.00 7063.00 7046.00
09/30/02 6228.00 5843.00 5863.00
12/31/02 6696.00 6337.00 5863.00
03/31/03 6467.00 6337.00 6126.00
06/30/03 7422.00 7082.00 7135.00
09/30/03 7593.00 7268.00 7401.00
12/31/03 8478.00 8153.00 8321.00
03/31/04 8593.00 8418.00 8537.00
06/30/04 8706.00 8433.00 8651.00
09/30/04 8560.00 8275.00 8492.00
12/31/04 9327.00 9039.00 9358.00
03/31/05 9363.00 9004.00 9149.00
06/30/05 9364.00 9173.00 9361.00
09/30/05 9758.00 9538.00 9738.00
12/31/05 9974.00 9484.00 9927.00
03/31/06 10462.00 9883.00 10621.00
06/30/06 10251.00 9741.00 10413.00
09/30/06 10722.00 10293.00 10854.00
12/31/06 11461.00 10982.00 11637.00
</Table>
3
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Total Market ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
-----------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL GENERAL CITIGROUP, MICROSOFT BANK OF
CORP. ELECTRIC CO. INC. CORP. AMERICA CORP.
-----------------------------------------------------------------------------------------------------------
MARKET VALUE $3,156,773 2,663,827 1,923,209 1,885,868 1,633,520
-----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.82% 2.38 1.72 1.68 1.46
-----------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil, Gas & Consumable Fuels 7.5%
Pharmaceuticals 5.2
Insurance 4.9
Diversified Financial Services 4.6
Commercial Banks 4.5
Media 3.9
Software 3.5
Computers & Peripherals 3.4
Capital Markets 3.3
Industrial Conglomerates 3.2
Health Care Providers & Services 2.6
Semiconductors & Semiconductor
Equipment 2.6
Real Estate Investment Trusts 2.5
Communications Equipment 2.4
Diversified Telecommunication Services 2.4
Specialty Retail 2.3
Energy Equipment & Services 2.0
Hotels Restaurants & Leisure 2.0
Aerospace & Defense 1.9
Food & Staples Retailing 1.9
Biotechnology 1.8
Electric Utilities 1.8
Household Products 1.8
Machinery 1.8
Health Care Equipment & Supplies 1.7
Thrifts & Mortgage Finance 1.7
Beverages 1.6
Chemicals 1.5
IT Services 1.4
Food Products 1.2
Internet Software & Services 1.2
Tobacco 1.2
Multiline Retail 1.1
Commercial Services & Supplies 1.0
Metals & Mining 1.0
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Multi-Utilities 1.0%
Household Durables 0.9
Consumer Finance 0.8
Road & Rail 0.8
Wireless Telecommunication Services 0.8
Electronic Equipment & Instruments 0.7
Air Freight & Logistics 0.6
Electrical Equipment 0.6
Independent Power Producers & Energy
Traders 0.5
Life Sciences Tools & Services 0.5
Textiles, Apparel & Luxury Goods 0.5
Auto Components 0.3
Automobiles 0.3
Containers & Packaging 0.3
Diversified Consumer Services 0.3
Internet & Catalog Retail 0.3
Leisure Equipment & Products 0.3
Paper & Forest Products 0.3
Airlines 0.2
Building Products 0.2
Gas Utilities 0.2
Personal Products 0.2
Real Estate Management & Development 0.2
Construction & Engineering 0.1
Construction Materials 0.1
Health Care Technology 0.1
Office Electronics 0.1
Trading Companies & Distributors 0.1
Water Utilities 0.1
Distributors 0.0**
Short-Term Investments 0.1
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
4
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES LARGE CAP INDEX
VALUE VALUE LARGE CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 12.44% 12.59% 12.59% 13.07%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 15.38% 15.67% 15.62% 15.83%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.59% 18.83% 18.86% 18.57%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES LARGE CAP INDEX
VALUE VALUE LARGE CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 15.38% 15.67% 15.62% 15.83%
--------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 16.01% 16.22% 15.96% 16.04%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
5
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE LARGE CAP ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES LARGE CAP
SPDR DJ WILSHIRE LARGE INDEX (BROAD-BASED DOW JONES WILSHIRE LARGE
CAP ETF(A) COMPARATIVE INDEX)(C) CAP INDEX(B)
---------------------- --------------------- ------------------------
11/08/05 10000 10000 10000
12/31/05 10278 10237 10280
03/31/06 10717 10617 10722
06/30/06 10547 10486 10557
09/30/06 11095 11108 11113
12/31/06 11859 11857 11886
</Table>
6
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
---------------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL GENERAL CITIGROUP, INC. MICROSOFT BANK OF AMERICA
CORP. ELECTRIC CO. CORP. CORP.
---------------------------------------------------------------------------------------------------------------------
MARKET VALUE $416,255 361,011 258,559 243,508 223,651
---------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.21% 2.78 1.99 1.88 1.73
---------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil, Gas & Consumable Fuels 7.8%
Pharmaceuticals 5.8
Insurance 5.5
Diversified Financial Services 5.4
Commercial Banks 4.1
Media 3.8
Industrial Conglomerates 3.7
Computers & Peripherals 3.6
Capital Markets 3.5
Software 3.3
Diversified Telecommunication Services 2.7
Communications Equipment 2.5
Health Care Providers & Services 2.5
Semiconductors & Semiconductor
Equipment 2.5
Specialty Retail 2.2
Aerospace & Defense 2.1
Food & Staples Retailing 2.0
Household Products 2.0
Beverages 1.9
Energy Equipment & Services 1.9
Real Estate Investment Trusts 1.9
Electric Utilities 1.8
Hotels Restaurants & Leisure 1.8
Biotechnology 1.6
Health Care Equipment & Supplies 1.6
Chemicals 1.5
Machinery 1.5
Thrifts & Mortgage Finance 1.5
Tobacco 1.5
IT Services 1.4
Internet Software & Services 1.3
Multi-Utilities 1.2
Food Products 1.1
Multiline Retail 1.0
Consumer Finance 0.9
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Metals & Mining 0.9%
Wireless Telecommunication Services 0.8
Air Freight & Logistics 0.7
Commercial Services & Supplies 0.7
Household Durables 0.7
Road & Rail 0.7
Electrical Equipment 0.5
Independent Power Producers & Energy
Traders 0.5
Textiles, Apparel & Luxury Goods 0.4
Automobiles 0.3
Electronic Equipment & Instruments 0.3
Internet & Catalog Retail 0.3
Life Sciences Tools & Services 0.3
Paper & Forest Products 0.3
Airlines 0.2
Building Products 0.2
Containers & Packaging 0.2
Leisure Equipment & Products 0.2
Personal Products 0.2
Real Estate Management & Development 0.2
Auto Components 0.1
Construction & Engineering 0.1
Construction Materials 0.1
Distributors 0.1
Diversified Consumer Services 0.1
Gas Utilities 0.1
Office Electronics 0.1
Trading Companies & Distributors 0.1
Health Technology 0.0**
Short-Term Investments 0.1
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
7
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap Growth ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. LARGE CAP
GROWTH INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE LARGE CAP INDEX
NET ASSET MARKET WILSHIRE LARGE CAP LARGE CAP GROWTH (BROAD-BASED
VALUE VALUE GROWTH INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 9.41% 9.25% 9.54% 9.54% 13.07%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 8.93% 9.05% 9.14% 9.14% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 17.83% 18.10% 28.11% 18.56% 32.68%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 4.03% 3.79% 19.58% 5.07% 28.35%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -42.81% -42.74% -26.61% -42.09% -3.63%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. LARGE CAP
GROWTH INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE LARGE CAP INDEX
NET ASSET MARKET WILSHIRE LARGE CAP LARGE CAP GROWTH (BROAD-BASED
VALUE VALUE GROWTH INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 8.93% 9.05% 9.14% 9.14% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 5.62% 5.70% 8.60% 5.84% 9.88%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 0.79% 0.75% 3.64% 0.99% 5.12%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -8.53% -8.51% -4.82% -8.26% -0.59%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
(2) A blended index return comprised of the Dow Jones U.S. Large Cap Growth
Index through 10/31/05 and the Dow Jones Wilshire Large Cap Growth Index
return from 11/1/05 through 12/31/06.
8
[streetTRACKS (R) annual report LOGO]
SPDR DJ Wilshire Large Cap Growth ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES U.S. LARGE
DOW JONES LARGE CAP CAP GROWTH INDEX/DOW
SPDR DOW JONES WILSHIRE INDEX (BROAD-BASED JONES WILSHIRE LARGE CAP
LARGE CAP GROWTH ETF(A) COMPARATIVE INDEX)(C) GROWTH INDEX(B)
----------------------- --------------------- ------------------------
09/25/00 10000 10000 10000
09/30/00 9800 9969 9799
12/31/00 7395 8882 7395
03/31/01 5703 7629 5706
06/30/01 6252 8039 6260
09/30/01 4696 6847 4704
12/31/01 5498 7508 5512
03/31/02 5244 7447 5259
06/30/02 4233 6353 4246
09/30/02 3506 5290 3518
12/31/02 3757 5723 3771
03/31/03 3780 5542 3796
06/30/03 4249 6376 4270
09/30/03 4378 6499 4402
12/31/03 4854 7263 4885
03/31/04 4872 7341 4905
06/30/04 4959 7466 4996
09/30/04 4696 7309 4734
12/31/04 5093 7953 5139
03/31/05 4839 7780 4884
06/30/05 4896 7884 4944
09/30/05 5067 8146 5118
12/31/05 5250 8320 5306
03/31/06 5433 8629 5492
06/30/06 5227 8523 5286
09/30/06 5390 9028 5454
12/31/06 5719 9637 5791
</Table>
9
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
----------------------------------------------------------------------------------------------------------
DESCRIPTION MICROSOFT PROCTER & JOHNSON & CISCO SYSTEMS, WAL-MART
CORP. GAMBLE CO. JOHNSON INC. STORES, INC.
----------------------------------------------------------------------------------------------------------
MARKET VALUE $8,424,014 6,567,044 6,169,767 5,362,091 3,839,867
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.94% 3.07 2.89 2.51 1.80
----------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Media 6.3%
Software 5.5
Pharmaceuticals 5.3
Health Care Providers & Services 4.9
Communications Equipment 4.3
Specialty Retail 4.2
Energy Equipment & Services 4.0
Household Products 3.8
Food & Staples Retailing 3.7
Insurance 3.7
Biotechnology 3.4
Health Care Equipment & Supplies 3.4
Oil, Gas & Consumable Fuels 3.4
Semiconductors & Semiconductor
Equipment 3.1
Computers & Peripherals 2.9
Internet Software & Services 2.7
Aerospace & Defense 2.6
Hotels Restaurants & Leisure 2.6
IT Services 2.5
Beverages 2.3
Machinery 2.0
Multiline Retail 1.9
Consumer Finance 1.8
Capital Markets 1.6
Air Freight & Logistics 1.4
Wireless Telecommunication Services 1.4
Real Estate Investment Trusts 1.3
Commercial Banks 1.1
Chemicals 1.0
Household Durables 1.0
Commercial Services & Supplies 0.9
Industrial Conglomerates 0.9
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Metals & Mining 0.9%
Food Products 0.8
Diversified Financial Services 0.7
Life Sciences Tools & Services 0.7
Internet & Catalog Retail 0.6
Textiles, Apparel & Luxury Goods 0.6
Multi-Utilities 0.5
Thrifts & Mortgage Finance 0.5
Road & Rail 0.4
Automobiles 0.3
Electronic Equipment & Instruments 0.3
Personal Products 0.3
Real Estate Management & Development 0.3
Airlines 0.2
Construction & Engineering 0.2
Containers & Packaging 0.2
Diversified Consumer Services 0.2
Gas Utilities 0.2
Independent Power Producers & Energy
Traders 0.2
Auto Components 0.1
Building Products 0.1
Construction Materials 0.1
Diversified Telecommunication Services 0.1
Electric Utilities 0.1
Electrical Equipment 0.1
Health Care Technology 0.1
Trading Companies & Distributors 0.1
Short-Term Investments 0.1
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
10
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap Value ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. LARGE CAP
VALUE INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE LARGE CAP INDEX
NET ASSET MARKET WILSHIRE LARGE CAP LARGE CAP VALUE (BROAD-BASED
VALUE VALUE VALUE INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 15.24% 16.19% 15.42% 15.42% 13.07%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 21.55% 22.67% 21.86% 21.86% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 45.03% 46.56% 46.35% 45.96% 32.68%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 49.98% 51.47% 62.95% 51.76% 28.35%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 48.84% 50.27% 63.54% 50.95% -3.63%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. LARGE CAP
VALUE INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE LARGE CAP INDEX
NET ASSET MARKET WILSHIRE LARGE CAP LARGE CAP VALUE (BROAD-BASED
VALUE VALUE VALUE INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 21.55% 22.67% 21.86% 21.86% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 13.19% 13.59% 13.52% 13.44% 9.88%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 8.45% 8.66% 10.25% 8.70% 5.12%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 6.55% 6.71% 8.16% 6.72% -0.59%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
(2) A blended index return comprised of the Dow Jones U.S. Large Cap Value
Index through 10/31/05 and the Dow Jones Wilshire Large Cap Value Index
return from 11/1/05 through 12/31/06.
11
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap Value ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE LARGE CAP VALUE ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES U.S. LARGE
CAP VALUE INDEX/DOW
SPDR DJ WILSHIRE LARGE DOW JONES LARGE CAP JONES WILSHIRE LARGE CAP
CAP VALUE ETF(A) INDEX(C) VALUE INDEX(B)
---------------------- ------------------- ------------------------
09/25/00 10000 10000 10000
09/30/00 10175 9969 10179
12/31/00 10592 8882 10595
03/31/01 9812 7629 9819
06/30/01 10128 8039 10142
09/30/01 9422 6847 9437
12/31/01 9925 7508 9947
03/31/02 10079 7447 10110
06/30/02 8881 6353 8909
09/30/02 7418 5290 7445
12/31/02 8175 5723 8214
03/31/03 7726 5542 7765
06/30/03 9136 6376 9192
09/30/03 9152 6499 9212
12/31/03 10262 7263 10341
03/31/04 10428 7341 10513
06/30/04 10555 7466 10648
09/30/04 10690 7309 10787
12/31/04 11609 7953 11725
03/31/05 11518 7779 11635
06/30/05 11657 7884 11780
09/30/05 12032 8145 12163
12/31/05 12245 8320 12387
03/31/06 12845 8629 12981
06/30/06 12915 8523 13078
09/30/06 13833 9028 14018
12/31/06 14884 9637 15095
</Table>
12
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Large Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL GENERAL CITIGROUP, INC. BANK OF PFIZER, INC.
CORP. ELECTRIC CO. AMERICA CORP.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,446,180 8,176,712 5,861,032 5,073,438 3,943,871
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.13% 5.30 3.80 3.29 2.56
--------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil, Gas & Consumable Fuels 11.9%
Diversified Financial Services 9.6
Insurance 7.0
Commercial Banks 6.8
Industrial Conglomerates 6.3
Pharmaceuticals 6.3
Capital Markets 5.3
Diversified Telecommunication Services 5.1
Computers & Peripherals 4.1
Electric Utilities 3.4
Tobacco 2.8
Real Estate Investment Trusts 2.5
Thrifts & Mortgage Finance 2.5
Chemicals 1.9
Semiconductors & Semiconductor
Equipment 1.9
Multi-Utilities 1.8
Aerospace & Defense 1.7
Beverages 1.6
Media 1.6
Food Products 1.5
Software 1.3
Hotels Restaurants & Leisure 1.1
Machinery 1.0
Metals & Mining 0.9
Road & Rail 0.9
Communications Equipment 0.8
Electrical Equipment 0.8
Independent Power Producers & Energy
Traders 0.7
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Commercial Services & Supplies 0.5%
Food & Staples Retailing 0.5
Paper & Forest Products 0.5
Automobiles 0.4
Electronic Equipment & Instruments 0.4
Household Durables 0.4
Household Products 0.4
IT Services 0.4
Containers & Packaging 0.3
Leisure Equipment & Products 0.3
Specialty Retail 0.3
Wireless Telecommunication Services 0.3
Auto Components 0.2
Building Products 0.2
Health Care Providers & Services 0.2
Multiline Retail 0.2
Office Electronics 0.2
Textiles, Apparel & Luxury Goods 0.2
Airlines 0.1
Construction Materials 0.1
Distributors 0.1
Diversified Consumer Services 0.1
Real Estate Management & Development 0.1
Trading Companies & Distributors 0.1
Health Care Equipment & Supplies 0.0**
Short-Term Investments 0.2
Other Assets & Liabilities 0.2
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
13
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES MID CAP INDEX
VALUE VALUE MID CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 8.54% 8.68% 8.71% 9.33%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 13.27% 12.72% 13.51% 14.25%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.22% 18.14% 18.52% 19.84%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES MID CAP INDEX
VALUE VALUE MID CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 13.27% 12.72% 13.51% 14.25%
--------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 15.70% 15.63% 15.99% 17.12%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
14
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE MID CAP ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
SPDR DJ WILSHIRE MID DOW JONES MID CAP DOW JONES WILSHIRE MID
CAP ETF(A) INDEX(B) CAP INDEX(C)
-------------------- ----------------- ----------------------
11/08/05 10000 10000 10000
12/31/05 10437 10489 10441
03/31/06 11340 11265 11346
06/30/06 10892 10961 10903
09/30/06 10900 11122 10918
12/31/06 11822 11984 11852
</Table>
15
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------------------
DESCRIPTION HEALTH CARE PROPERTY SEPRACOR, INC CB RICHARD ELLIS TEREX CORP. REALOGY CORP.
INVESTORS, INC. GROUP, INC. (CLASS A)
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $75,592 71,495 71,081 70,134 68,978
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.45% 0.42 0.42 0.41 0.41
--------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Real Estate Investment Trusts 8.8%
Insurance 5.0
Oil, Gas & Consumable Fuels 5.0
Specialty Retail 4.1
Commercial Banks 3.8
Machinery 3.7
Commercial Services & Supplies 3.6
Health Care Providers & Services 3.3
Chemicals 3.2
Multi- Utilities 3.1
Health Care Equipment & Supplies 3.0
Electronic Equipment & Instruments 2.7
Containers & Packaging 2.4
Software 2.4
Capital Markets 2.3
Media 2.3
Energy Equipment & Services 2.1
IT Services 2.1
Semiconductors & Semiconductor
Equipment 2.1
Electric Utilities 2.0
Gas Utilities 1.7
Hotels, Restaurants & Leisure 1.7
Thrifts & Mortgage Finance 1.7
Household Durables 1.6
Food Products 1.5
Life Sciences Tools & Services 1.5
Pharmaceuticals 1.4
Communications Equipment 1.3
Real Estate Management & Development 1.3
Biotechnology 1.2
Diversified Telecommunication Services 1.2
Electrical Equipment 1.2
Airlines 1.1
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Multiline Retail 1.1%
Metals & Mining 1.0
Road & Rail 1.0
Diversified Consumer Services 0.9
Wireless Telecommunication Services 0.8
Aerospace & Defense 0.7
Computers & Peripherals 0.7
Textiles, Apparel & Luxury Goods 0.7
Auto Components 0.6
Construction & Engineering 0.6
Diversified Financial Services 0.6
Paper & Forest Products 0.5
Building Products 0.4
Construction Materials 0.4
Consumer Finance 0.4
Household Products 0.4
Industrial Conglomerates 0.4
Internet Software & Services 0.4
Leisure Equipment & Products 0.4
Health Care Technology 0.3
Trading Companies & Distributors 0.3
Air Freight & Logistics 0.2
Beverages 0.2
Food & Staples Retailing 0.2
Independent Power Producers & Energy
Traders 0.2
Office Electronics 0.2
Personal Products 0.2
Water Utilities 0.2
Automobiles 0.1
Internet & Catalog Retail 0.1
Short-Term Investments 0.3
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
16
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Growth ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE MID CAP DOW JONES MID CAP INDEX
VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 7.49% 7.74% 7.62% 9.33%
--------------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 11.32% 11.29% 11.57% 14.25%
--------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 16.20% 16.13% 16.51% 19.84%
--------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE MID CAP DOW JONES MID CAP INDEX
VALUE VALUE GROWTH INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 11.32% 11.29% 11.57% 14.25%
--------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 13.97% 13.91% 14.00% 17.12%
--------------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
17
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Growth ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE MID CAP GROWTH ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES MID CAP
SPDR DJ WILSHIRE MID INDEX (BROAD-BASED DOW JONES WILSHIRE MID
CAP GROWTH INDEX ETF(A) COMPARATIVE INDEX)(C) CAP GROWTH INDEX(B)
----------------------- --------------------- ----------------------
11/08/05 10000 10000 10000
12/31/05 10438 10489 10444
03/31/06 11426 11265 11434
06/30/06 10810 10961 10826
09/30/06 10706 11122 10727
12/31/06 11620 11984 11651
</Table>
18
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION SEPRACOR, INC. CB RICHARD ELLIS TEREX CORP. REALOGY AVAYA, INC.
GROUP, INC. (CLASS A) CORP.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $178,890 177,852 175,464 172,551 170,640
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.84% 0.84 0.82 0.81 0.80
--------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Specialty Retail 6.8%
Health Care Providers & Services 6.1
Commercial Services & Supplies 5.9
Oil, Gas & Consumable Fuels 5.8
Health Care Equipment & Supplies 5.0
Insurance 3.5
IT Services 3.3
Energy Equipment & Services 3.2
Software 3.1
Hotels Restaurants & Leisure 3.0
Electronic Equipment & Instruments 2.8
Life Sciences Tools & Services 2.7
Media 2.7
Machinery 2.6
Real Estate Management & Development 2.6
Pharmaceuticals 2.4
Semiconductors & Semiconductor
Equipment 2.4
Biotechnology 2.3
Capital Markets 2.3
Real Estate Investment Trusts 1.7
Containers & Packaging 1.6
Gas Utilities 1.5
Multiline Retail 1.5
Wireless Telecommunication Services 1.5
Airlines 1.4
Computers & Peripherals 1.4
Household Durables 1.4
Chemicals 1.3
Communications Equipment 1.3
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Diversified Telecommunication Services 1.3%
Auto Components 1.1
Diversified Financial Services 1.1
Electrical Equipment 1.0
Construction Materials 0.9
Consumer Finance 0.9
Diversified Consumer Services 0.9
Household Products 0.8
Food Products 0.7
Internet Software & Services 0.7
Road & Rail 0.7
Aerospace & Defense 0.6
Construction & Engineering 0.6
Health Care Technology 0.6
Metals & Mining 0.6
Textiles, Apparel & Luxury Goods 0.6
Trading Companies & Distributors 0.6
Personal Products 0.5
Food & Staples Retailing 0.4
Air Freight & Logistics 0.3
Beverages 0.3
Commercial Banks 0.3
Office Electronics 0.3
Automobiles 0.2
Industrial Conglomerates 0.2
Internet & Catalog Retail 0.2
Short-Term Investments 0.5
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
19
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Value ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES MID CAP INDEX
VALUE VALUE MID CAP VALUE INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 9.76% 10.04% 9.92% 9.33%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 15.42% 15.57% 15.71% 14.25%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 20.47% 20.56% 20.79% 19.84%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES MID CAP INDEX
VALUE VALUE MID CAP VALUE INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 15.42% 15.57% 15.71% 14.25%
--------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 17.62% 17.69% 17.93% 17.12%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
20
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Value ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE MID CAP VALUE ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES MID CAP
SPDR DJ WILSHIRE MID INDEX (BROAD-BASED DOW JONES WILSHIRE MID
CAP VALUE ETF(A) COMPARATIVE INDEX)(C) CAP VALUE INDEX(B)
-------------------- --------------------- ----------------------
11/08/05 10000 10000 10000
12/31/05 10438 10489 10439
03/31/06 11240 11265 11249
06/30/06 10976 10961 10988
09/30/06 11113 11122 11133
12/31/06 12047 11984 12079
</Table>
21
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Mid Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION HEALTH CARE PROPERTY MACERICH CO. ISTAR FINANCIAL, AMR CORP. MERCANTILE
INVESTORS, INC. INC. BANKSHARES CORP.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $79,310 68,737 67,044 66,022 65,132
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.91% 0.79 0.77 0.75 0.74
---------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Real Estate Investment Trusts 16.0%
Commercial Banks 7.3
Insurance 6.5
Multi-Utilities 6.2
Chemicals 5.1
Machinery 4.8
Oil, Gas & Consumable Fuels 4.2
Electric Utilities 4.1
Thrifts & Mortgage Finance 3.4
Containers & Packaging 3.1
Electronic Equipment & Instruments 2.6
Capital Markets 2.3
Food Products 2.2
Gas Utilities 1.9
Household Durables 1.9
Media 1.9
Semiconductors & Semiconductor
Equipment 1.8
Software 1.7
Communications Equipment 1.4
Electrical Equipment 1.4
Metals & Mining 1.4
Specialty Retail 1.4
Road & Rail 1.3
Commercial Services & Supplies 1.2
Diversified Telecommunication Services 1.2
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Energy Equipment & Services 1.0%
Paper & Forest Products 1.0
Diversified Consumer Services 0.9
Health Care Equipment & Supplies 0.9
IT Services 0.9
Leisure Equipment & Products 0.9
Airlines 0.8
Building Products 0.8
Textiles, Apparel & Luxury Goods 0.8
Aerospace & Defense 0.7
Construction & Engineering 0.7
Industrial Conglomerates 0.6
Multiline Retail 0.6
Pharmaceuticals 0.5
Health Care Providers & Services 0.4
Independent Power Producers & Energy
Traders 0.4
Life Sciences Tools & Services 0.4
Water Utilities 0.4
Hotels Restaurants & Leisure 0.3
Beverages 0.2
Auto Components 0.1
Short-Term Investments 0.2
Other Assets & Liabilities 0.2
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
22
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE SMALL DOW JONES SMALL CAP INDEX
VALUE VALUE CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
-----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 8.32% 8.86% 8.50% 7.82%
-------------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 16.59% 16.83% 16.98% 15.35%
-------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 20.78% 20.90% 21.26% 19.92%
-------------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE SMALL DOW JONES SMALL CAP INDEX
VALUE VALUE CAP INDEX (BROAD-BASED COMPARATIVE INDEX)
-----------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 16.59% 16.83% 16.98% 15.35%
-------------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 17.87% 17.98% 16.33% 17.19%
-------------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
23
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE SMALL CAP ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
SPDR DJ WILSHIRE SMALL DOW JONES SMALL CAP DOW JONES WILSHIRE SMALL
CAP ETF(A) INDEX(C) CAP INDEX(B)
---------------------- ------------------- ------------------------
11/08/05 10000 10000 10000
12/31/05 10359 10396 10366
03/31/06 11655 11693 11633
06/30/06 11149 11122 11176
09/30/06 11123 11129 11158
12/31/06 12078 11992 12126
</Table>
24
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION INTERCONTINENTAL PARTNERRE, LTD. PLAINS ALL AMERICAN RESMED, INC. FOSTER WHEELER,
EXCHANGE, INC. PIPELINE LP LTD.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $46,397 31,964 31,693 29,877 29,776
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.30% 0.21 0.21 0.20 0.19
---------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Real Estate Investment Trusts 7.2%
Oil, Gas & Consumable Fuels 5.8
Commercial Banks 5.3
Insurance 4.1
Commercial Services & Supplies 3.6
Semiconductors & Semiconductor
Equipment 3.3
Health Care Equipment & Supplies 3.2
Machinery 3.2
Specialty Retail 3.2
Software 2.9
Hotels Restaurants & Leisure 2.8
Electronic Equipment & Instruments 2.7
Chemicals 2.6
Energy Equipment & Services 2.5
Health Care Providers & Services 2.2
Media 2.2
Communications Equipment 2.1
Biotechnology 2.0
IT Services 2.0
Metals & Mining 1.9
Thrifts & Mortgage Finance 1.8
Gas Utilities 1.7
Capital Markets 1.5
Household Durables 1.5
Internet Software & Services 1.4
Road & Rail 1.4
Textiles, Apparel & Luxury Goods 1.4
Diversified Consumer Services 1.3
Electric Utilities 1.3
Electrical Equipment 1.2
Food Products 1.2
Aerospace & Defense 1.1
Multi-Utilities 1.1
Life Sciences Tools & Services 1.0
Auto Components 0.9
Computers & Peripherals 0.9
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Construction & Engineering 0.9%
Pharmaceuticals 0.9
Airlines 0.8
Food & Staples Retailing 0.8
Trading Companies & Distributors 0.8
Building Products 0.7
Diversified Financial Services 0.7
Diversified Telecommunication Services 0.7
Containers & Packaging 0.6
Leisure Equipment & Products 0.6
Consumer Finance 0.5
Health Care Technology 0.5
Internet & Catalog Retail 0.5
Multiline Retail 0.5
Personal Products 0.5
Wireless Telecommunication Services 0.5
Air Freight & Logistics 0.4
Construction Materials 0.4
Industrial Conglomerates 0.4
Paper & Forest Products 0.4
Household Products 0.3
Marine 0.3
Real Estate Management & Development 0.3
Water Utilities 0.3
Automobiles 0.2
Beverages 0.2
Independent Power Producers & Energy
Traders 0.2
Distributors 0.1
Office Electronics 0.1
Tobacco 0.1
Transportation Infrastructure 0.1
Short-Term Investments 0.4
Other Assets & Liabilities (0.2)
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
25
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Growth ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. SMALL CAP
GROWTH INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE SMALL CAP INDEX
NET ASSET MARKET WILSHIRE SMALL CAP SMALL CAP GROWTH (BROAD-BASED
VALUE VALUE GROWTH INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 6.63% 8.01% 6.86% 6.86% 7.82%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 13.37% 14.05% 13.79% 13.79% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 41.98% 42.87% 48.60% 43.17% 46.16%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 28.34% 29.16% 60.36% 29.91% 78.10%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -6.23% -5.54% 15.19% 4.58% 72.38%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. SMALL CAP
GROWTH INDEX/ DOW JONES
DOW JONES DOW JONES WILSHIRE SMALL CAP INDEX
NET ASSET MARKET WILSHIRE SMALL CAP SMALL CAP GROWTH (BROAD-BASED
VALUE VALUE GROWTH INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 13.37% 14.05% 13.79% 13.79% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 12.39% 12.63% 14.10% 12.71% 13.49%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 5.12% 5.25% 9.90% 5.37% 12.24%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -1.02% -0.90% 2.28% -0.75% 9.07%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
(2) A blended index return comprised of the Dow Jones U.S. Small Cap Growth
Index through 10/31/05 and the Dow Jones Wilshire Small Cap Growth Index
return from 11/1/05 through 12/31/06.
26
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Growth ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES U.S. SMALL
DOW JONES SMALL CAP CAP GROWTH INDEX/DOW
SPDR DJ WILSHIRE SMALL INDEX (BROAD-BASED JONES WILSHIRE SMALL CAP
CAP GROWTH ETF(A) COMPARATIVE INDEX)(C) GROWTH INDEX(B)
---------------------- --------------------- ------------------------
09/25/00 10000 10000 10000
09/30/00 9988 10104 9990
12/31/00 8019 9449 8016
03/31/01 6585 8594 6588
06/30/01 7893 9832 7912
09/30/01 5499 7943 5518
12/31/01 7307 9679 7338
03/31/02 6824 10102 6850
06/30/02 5396 9057 5419
09/30/02 4090 7520 4108
12/31/02 4462 8035 4484
03/31/03 4338 7706 4361
06/30/03 5341 9476 5374
09/30/03 5865 10249 5906
12/31/03 6605 11794 6658
03/31/04 6943 12501 7002
06/30/04 7006 12528 7071
09/30/04 6735 12223 6800
12/31/04 7607 13839 7688
03/31/05 7393 13325 7475
06/30/05 7646 13869 7735
09/30/05 8054 14627 8152
12/31/05 8272 14943 8378
03/31/06 9415 16809 9546
06/30/06 8794 15987 8921
09/30/06 8644 15898 8779
12/31/06 9377 17238 9542
</Table>
27
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------
DESCRIPTION RESMED, CONTINENTAL GAMESTOP CORP. HCC
INTERCONTINENTAL INC. AIRLINES, INC. (CLASS A) INSURANCE
EXCHANGE, INC. (CLASS B) HOLDINGS,
INC.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $518,675 332,875 326,783 322,724 315,188
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.62% 0.40 0.39 0.39 0.38
--------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil, Gas & Consumable Fuels 6.4%
Health Care Equipment & Supplies 5.6
Software 5.1
Semiconductors & Semiconductor
Equipment 5.0
Commercial Services & Supplies 4.7
Specialty Retail 4.5
Biotechnology 4.0
Energy Equipment & Services 3.8
Health Care Providers & Services 3.8
Hotels Restaurants & Leisure 3.5
Electronic Equipment & Instruments 3.1
Communications Equipment 3.0
Internet Software & Services 2.7
IT Services 2.6
Commercial Banks 2.3
Diversified Consumer Services 2.3
Media 2.1
Life Sciences Tools & Services 1.7
Aerospace & Defense 1.6
Textiles, Apparel & Luxury Goods 1.5
Airlines 1.4
Electrical Equipment 1.4
Pharmaceuticals 1.4
Real Estate Investment Trusts 1.4
Machinery 1.3
Computers & Peripherals 1.2
Diversified Financial Services 1.2
Insurance 1.2
Capital Markets 1.1
Diversified Telecommunication Services 1.1
Food & Staples Retailing 1.1
Internet & Catalog Retail 1.1
Consumer Finance 1.0
Health Care Technology 1.0
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Household Durables 1.0%
Wireless Telecommunication Services 1.0
Chemicals 0.9
Metals & Mining 0.9
Road & Rail 0.9
Air Freight & Logistics 0.8
Auto Components 0.8
Personal Products 0.8
Trading Companies & Distributors 0.8
Construction Materials 0.6
Leisure Equipment & Products 0.6
Thrifts & Mortgage Finance 0.5
Food Products 0.4
Marine 0.4
Real Estate Management & Development 0.4
Automobiles 0.3
Beverages 0.3
Building Products 0.3
Gas Utilities 0.3
Household Products 0.3
Office Electronics 0.3
Construction & Engineering 0.2
Containers & Packaging 0.2
Industrial Conglomerates 0.2
Multiline Retail 0.2
Distributors 0.1
Electric Utilities 0.1
Independent Power Producers & Energy
Traders 0.0**
Short-Term Investments 0.3
Other Assets & Liabilities (0.1)
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
28
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Value ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. SMALL CAP
VALUE INDEX/ DOW JONES
DOW JONES WILSHIRE DOW JONES WILSHIRE SMALL CAP INDEX
NET ASSET MARKET SMALL CAP VALUE SMALL CAP VALUE (BROAD-BASED
VALUE VALUE INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 9.86% 10.48% 10.04% 10.04% 7.82%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 19.66% 20.24% 20.04% 20.04% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 49.45% 49.87% 51.23% 50.80% 46.16%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 107.76% 108.08% 102.79% 111.51% 78.10%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 170.13% 171.16% 144.80% 176.83% 72.38%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
------------------------------------------------------------------------------------
DOW JONES
U.S. SMALL CAP
VALUE INDEX/ DOW JONES
DOW JONES WILSHIRE DOW JONES WILSHIRE SMALL CAP INDEX
NET ASSET MARKET SMALL CAP VALUE SMALL CAP VALUE (BROAD-BASED
VALUE VALUE INDEX INDEX (2) COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 19.66% 20.24% 20.04% 20.04% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 14.33% 14.44% 14.77% 14.67% 13.49%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 15.75% 15.78% 15.18% 16.16% 12.24%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 17.18% 17.25% 15.35% 17.44% 9.07%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
(2) A blended index return comprised of the Dow Jones U.S. Small Cap Value
Index through 10/31/05 and the Dow Jones Wilshire Small Cap Value Index
return from 11/1/05 through 12/31/06.
29
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Value ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE SMALL CAP VALUE ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES U.S. SMALL
DOW JONES SMALL CAP CAP VALUE INDEX/DOW
SPDR DJ WILSHIRE SMALL INDEX (BROAD-BASED JONES WILSHIRE SMALL CAP
CAP VALUE ETF(A) COMPARATIVE INDEX)(C) VALUE INDEX(B)
---------------------- --------------------- ------------------------
09/25/00 10000 10000 10000
09/30/00 10195 10104 10199
12/31/00 11575 9449 11606
03/31/01 11449 8594 11506
06/30/01 12669 9832 12745
09/30/01 11504 7943 11570
12/31/01 13002 9679 13090
03/31/02 14477 10102 14590
06/30/02 14131 9057 14250
09/30/02 12166 7520 12276
12/31/02 12649 8035 12777
03/31/03 11930 7706 12064
06/30/03 14635 9477 14823
09/30/03 15393 10249 15602
12/31/03 18077 11794 18357
03/31/04 19361 12501 19677
06/30/04 19160 12528 19490
09/30/04 18983 12223 19315
12/31/04 21321 13839 21728
03/31/05 20255 13325 20662
06/30/05 21075 13869 21514
09/30/05 22303 14627 22776
12/31/05 22575 14943 23061
03/31/06 25129 16809 25694
06/30/06 24589 15987 25158
09/30/06 24861 15898 25453
12/31/06 27013 17238 27683
</Table>
30
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Wilshire Small Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
---------------------------------------------------------------------------------------------------------
DESCRIPTION PLAINS FOSTER RECKSON RENAISSANCERE
ALL PARTNERRE, WHEELER, LTD. ASSOCIATES REALTY HOLDINGS, LTD.
AMERICAN LTD. CORP.
PIPELINE
LP
---------------------------------------------------------------------------------------------------------
MARKET VALUE $396,339 391,091 367,949 367,536 365,520
---------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.41% 0.41 0.39 0.38 0.38
---------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Real Estate Investment Trusts 12.8%
Commercial Banks 8.1
Insurance 6.8
Oil, Gas & Consumable Fuels 5.1
Machinery 5.0
Chemicals 4.2
Thrifts & Mortgage Finance 3.2
Gas Utilities 3.0
Metals & Mining 2.9
Commercial Services & Supplies 2.5
Electric Utilities 2.3
Electronic Equipment & Instruments 2.3
Hotels Restaurants & Leisure 2.2
Media 2.2
Multi-Utilities 2.2
Specialty Retail 2.1
Food Products 2.0
Household Durables 2.0
Capital Markets 1.9
Road & Rail 1.8
Construction & Engineering 1.7
Semiconductors & Semiconductor
Equipment 1.7
IT Services 1.5
Communications Equipment 1.4
Textiles, Apparel & Luxury Goods 1.3
Energy Equipment & Services 1.2
Auto Components 1.1
Building Products 1.1
Electrical Equipment 1.1
Containers & Packaging 0.9
Health Care Equipment & Supplies 0.9
Software 0.8
Trading Companies & Distributors 0.8
Aerospace & Defense 0.7
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Computers & Peripherals 0.7%
Industrial Conglomerates 0.7
Multiline Retail 0.7
Paper & Forest Products 0.7
Health Care Providers & Services 0.6
Food & Staples Retailing 0.5
Leisure Equipment & Products 0.5
Water Utilities 0.5
Diversified Consumer Services 0.4
Diversified Telecommunication Services 0.4
Independent Power Producers & Energy
Traders 0.4
Life Sciences Tools & Services 0.3
Marine 0.3
Pharmaceuticals 0.3
Airlines 0.2
Construction Materials 0.2
Household Products 0.2
Personal Products 0.2
Tobacco 0.2
Beverages 0.1
Biotechnology 0.1
Consumer Finance 0.1
Distributors 0.1
Diversified Financial Services 0.1
Internet Software & Services 0.1
Real Estate Management & Development 0.1
Transportation Infrastructure 0.1
Wireless Telecommunication Services 0.1
Automobiles 0.0**
Short-Term Investments 0.3
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
31
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Global Titans ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL TITANS DOW JONES LARGE CAP INDEX
VALUE VALUE 50 INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 14.70% 14.72% 15.03% 13.07%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 19.83% 19.81% 20.40% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 32.33% 32.64% 34.56% 32.68%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 26.72% 26.92% 30.36% 28.35%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.94% 1.04% 4.64% -3.63%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL TITANS DOW JONES LARGE CAP INDEX
VALUE VALUE 50 INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 19.83% 19.81% 20.40% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 9.79% 9.87% 10.40% 9.88%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 4.85% 4.88% 5.45% 5.12%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.15% 0.17% 0.72% -0.59%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
32
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Global Titans ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ GLOBAL TITANS ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES LARGE CAP
SPDR DJ GLOBAL TITANS INDEX (BROAD-BASED DOW JONES GLOBAL TITANS
ETF(A) COMPARATIVE INDEX)(C) 50 INDEX(B)
--------------------- --------------------- -----------------------
09/25/00 10000 10000 10000
09/30/00 9982 9969 9998
12/31/00 9147 8882 9180
03/31/01 8107 7629 8142
06/30/01 8446 8039 8453
09/30/01 7378 6847 7422
12/31/01 7967 7508 8026
03/31/02 7788 7447 7857
06/30/02 6765 6353 6833
09/30/02 5547 5290 5611
12/31/02 6106 5723 6186
03/31/03 5822 5542 5906
06/30/03 6682 6376 6789
09/30/03 6812 6499 6932
12/31/03 7628 7263 7777
03/31/04 7603 7341 7763
06/30/04 7716 7466 7889
09/30/04 7590 7309 7767
12/31/04 8186 7953 8392
03/31/05 8083 7780 8303
06/30/05 8082 7884 8316
09/30/05 8405 8146 8618
12/31/05 8423 8320 8651
03/31/06 8748 8629 8996
06/30/06 8800 8523 9055
09/30/06 9442 9028 9775
12/31/06 10094 9637 10464
</Table>
33
[streetTRACKS (R) semi-annual report LOGO]
SPDR DJ Global Titans ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL GENERAL CITIGROUP, MICROSOFT BANK OF AMERICA
CORP. ELECTRIC CO. INC. CORP. CORP.
--------------------------------------------------------------------------------------------------------------
MARKET VALUE $11,360,934 9,828,687 7,035,523 6,643,641 6,102,477
--------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.10% 5.27 3.78 3.56 3.27
--------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil, Gas & Consumable Fuels 18.0%
Pharmaceuticals 15.3
Diversified Financial Services 10.6
Commercial Banks 8.8
Industrial Conglomerates 6.4
Diversified Telecommunication Services 4.6
Computers & Peripherals 4.2
Software 3.6
Communications Equipment 3.4
Automobiles 2.8
Beverages 2.8
Household Products 2.8
Semiconductors & Semiconductor
Equipment 2.7
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Capital Markets 2.6%
Tobacco 2.4
Insurance 2.2
Food Products 2.0
Wireless Telecommunication Services 2.0
Food & Staples Retailing 1.6
Media 1.2
Short-Term Investments 0.0**
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
34
[streetTRACKS (R) semi-annual report LOGO]
DJ Wilshire REIT ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (4/23/01, 4/27/01, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES SMALL CAP INDEX
VALUE VALUE REIT INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 18.60% 18.79% 18.77% 7.82%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 35.51% 35.62% 35.97% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 104.34% 104.39% 106.07% 46.16%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 185.82% 185.67% 190.74% 78.10%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 224.80% 224.96% 231.13% 93.73%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE DOW JONES SMALL CAP INDEX
VALUE VALUE REIT INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 35.51% 35.62% 35.97% 15.35%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 26.90% 26.91% 27.25% 13.49%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 23.37% 23.36% 23.79% 12.24%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 22.99% 23.00% 23.15% 12.32%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period April 23, 2001 to December 31, 2006.
35
[streetTRACKS (R) semi-annual report LOGO]
DJ Wilshire REIT ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
DJ WILSHIRE REIT ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
DOW JONES SMALL CAP
INDEX (BROAD-BASED DOW JONES WILSHIRE REIT
DJ WILSHIRE REIT ETF(A) COMPARATIVE INDEX)(C) INDEX(B)
----------------------- --------------------- -----------------------
04/23/01 10000 10000 10000
06/30/01 11122 11049 11089
09/30/01 10849 8927 10823
12/31/01 11364 10877 11354
03/31/02 12301 11354 12304
06/30/02 12848 10179 12869
09/30/02 11684 8452 11700
12/31/02 11733 9030 11760
03/31/03 11874 8661 11909
06/30/03 13287 10651 13349
09/30/03 14580 11519 14675
12/31/03 15895 13255 16015
03/31/04 17798 14051 17950
06/30/04 16835 14080 16976
09/30/04 18213 13736 18382
12/31/04 21094 15554 21323
03/31/05 19567 14975 19787
06/30/05 22497 15586 22776
09/30/05 23379 16438 23674
12/31/05 23968 16795 24272
03/31/06 27720 18891 28210
06/30/06 27386 17968 27918
09/30/06 29862 17980 30420
12/31/06 32480 19373 33113
</Table>
36
[streetTRACKS (R) semi-annual report LOGO]
DJ Wilshire REIT ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------
DESCRIPTION SIMON PROPERTY EQUITY OFFICE VORNADO PROLOGIS EQUITY
GROUP, INC. PROPERTIES TRUST REALTY TRUST RESIDENTIAL
--------------------------------------------------------------------------------------------------------
MARKET VALUE $90,338,221 68,116,715 64,527,678 60,731,654 59,699,610
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.83% 5.15 4.88 4.59 4.51
--------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Retail REIT's 27.4%
Office REIT's 22.6
Residential REIT's 20.2
Specialized REIT's 13.4
Diversified REIT's 8.4
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Industrial REIT'S 7.4%
Short-Term Investments 0.0**
Other Assets & Liabilities 0.6
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
37
[streetTRACKS (R) semi-annual report LOGO]
KBW Bank ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P 500 INDEX
VALUE VALUE KBW BANK INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 11.04% 10.80% 11.30% 12.74%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 16.50% 16.48% 17.01% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 20.92% 20.88% 21.56% 18.95%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P 500 INDEX
VALUE VALUE KBW BANK INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 16.50% 16.48% 17.01% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.00% 17.96% 18.21% 16.36%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
38
[streetTRACKS (R) semi-annual report LOGO]
KBW Bank ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
KBW BANK ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD-
BASED COMPARATIVE
KBW BANK ETF(A) INDEX)(C) KBW BANK INDEX(B)
--------------- --------------------- -----------------
11/08/05 10000 10000 10000
12/31/05 10380 10273 10388
03/31/06 10697 10705 10719
06/30/06 10890 10551 10921
09/30/06 11568 11149 11615
12/31/06 12092 11895 12156
</Table>
39
[streetTRACKS (R) semi-annual report LOGO]
KBW Bank ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------
DESCRIPTION JPMORGAN CITIGROUP, BANK OF WELLS WACHOVIA
CHASE & CO. INC. AMERICA CORP. FARGO & CO. CORP.
--------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,899,264 5,717,382 5,617,482 5,250,505 3,604,651
--------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.41% 8.15 8.01 7.49 5.14
--------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Regional Banks 35.2%
Other Diversified Financial Services 24.6
Diversified Banks 19.9
Asset Management & Custody Banks 12.0
Thrifts and Mortgage Finance 4.2
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Consumer Finance 3.8%
Short-Term Investments 0.2
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
40
[streetTRACKS (R) semi-annual report LOGO]
KBW Capital Markets ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S&P 500 INDEX
VALUE VALUE KBW CAPITAL MARKETS INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 19.61% 19.98% 19.86% 12.74%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 28.47% 28.67% 28.99% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 32.23% 32.40% 32.84% 18.95%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S&P 500 INDEX
VALUE VALUE KBW CAPITAL MARKETS INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 28.47% 28.67% 28.99% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 27.55% 27.70% 27.56% 16.36%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
41
[streetTRACKS (R) semi-annual report LOGO]
KBW Capital Markets ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
KBW CAPITAL MARKETS ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD-
KBW CAPITAL MARKETS BASED COMPARATIVE KBW CAPITAL MARKETS
ETF(A) INDEX)(C) INDEX(B)
------------------- --------------------- -------------------
11/08/05 10000 10000 10000
12/31/05 10293 10273 10298
03/31/06 11760 10705 11784
06/30/06 11055 10551 11083
09/30/06 12243 11149 12287
12/31/06 13223 11895 13284
</Table>
42
[streetTRACKS (R) semi-annual report LOGO]
KBW Capital Markets ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
-------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION GOLDMAN SACHS MERRILL LYNCH & MORGAN STANLEY LEHMAN BROTHERS CHICAGO MERCANTILE
GROUP, INC. CO., INC. HOLDINGS, INC. EXCHANGE HOLDINGS, INC.
-------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $10,252,172 10,169,592 8,927,171 8,417,274 6,142,487
-------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.28% 9.21 8.08 7.62 5.56
-------------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Investment Banking & Brokerage 59.1%
Asset Management & Custody Banks 24.8
Specialized Finance 16.0
Short-Term Investments 0.1
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Other Assets & Liabilities 0.0%**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
43
[streetTRACKS (R) semi-annual report LOGO]
KBW Insurance ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P 500 INDEX
VALUE VALUE KBW INSURANCE INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 12.26% 12.17% 12.48% 12.74%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 10.19% 9.54% 10.60% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.21% 11.04% 11.69% 18.95%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P 500 INDEX
VALUE VALUE KBW INSURANCE INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 10.19% 9.54% 10.60% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.70% 9.55% 9.94% 16.36%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
44
[streetTRACKS (R) semi-annual report LOGO]
KBW Insurance ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
KBW INSURANCE ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD-
BASED COMPARATIVE
KBW INSURANCE ETF(A) INDEX)(C) KBW INSURANCE INDEX(B)
-------------------- --------------------- ----------------------
11/08/05 10000 10000 10000
12/31/05 10093 10273 10099
03/31/06 9847 10705 9860
06/30/06 9907 10551 9929
09/30/06 10430 11149 10464
12/31/06 11121 11895 11169
</Table>
45
[streetTRACKS (R) semi-annual report LOGO]
KBW Insurance ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
-----------------------------------------------------------------------------------------------
DESCRIPTION AMERICAN THE METLIFE, PRUDENTIAL THE
INTERNATIONAL ALLSTATE INC. FINANCIAL, HARTFORD
GROUP, CORP. INC. FINANCIAL
INC. SERVICES
GROUP,
INC.
-----------------------------------------------------------------------------------------------
MARKET VALUE $4,640,917 4,071,849 3,917,202 3,900,276 3,004,489
-----------------------------------------------------------------------------------------------
% OF NET ASSETS 8.57% 7.52 7.23 7.20 5.55
-----------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Property & Casualty Insurance 40.1%
Life and Health Insurance 29.8
Multi-Line Insurance 17.1
Insurance Brokers 8.1
Thrifts and Mortgage Finance 2.4
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Reinsurance 2.1%
Short-Term Investments 0.3
Other Assets & Liabilities 0.1
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
46
[streetTRACKS (R) semi-annual report LOGO]
Morgan Stanley Technology ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (9/25/00, 9/29/00, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX
VALUE VALUE TECHNOLOGY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 15.04% 14.97% 15.35% 13.07%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 8.83% 8.92% 9.40% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 19.28% 19.59% 21.08% 32.68%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 11.35% 11.28% 14.30% 28.35%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -42.07% -41.99% -40.58% -3.63%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY DOW JONES LARGE CAP INDEX
VALUE VALUE TECHNOLOGY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 8.83% 8.92% 9.40% 15.83%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/06 6.05% 6.14% 6.58% 9.88%
------------------------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/06 2.17% 2.16% 2.71% 5.12%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -8.34% -8.32% -7.89% -0.59%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period September 25, 2000 to December 31, 2006.
47
[streetTRACKS (R) semi-annual report LOGO]
Morgan Stanley Technology ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
MORGAN STANLEY TECHNOLOGY ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
MORGAN STANLEY DOW JONES LARGE CAP MORGAN STANLEY
TECHNOLOGY ETF(A) INDEX(C) TECHNOLOGY INDEX(B)
----------------- ------------------- -------------------
09/25/00 10000 10000 10000
09/30/00 9725 9969 9725
12/31/00 6876 8882 6834
03/31/01 5391 7629 5365
06/30/01 5948 8039 5933
09/30/01 3839 6847 3830
12/31/01 5203 7508 5199
03/31/02 4663 7447 4666
06/30/02 3404 6353 3410
09/30/02 2444 5290 2451
12/31/02 2943 5723 2958
03/31/03 2941 5542 2959
06/30/03 3749 6376 3778
09/30/03 4206 6499 4243
12/31/03 4857 7263 4908
03/31/04 4969 7341 5027
06/30/04 5028 7466 5093
09/30/04 4545 7309 4608
12/31/04 5176 7953 5254
03/31/05 4641 7780 4717
06/30/05 4814 7884 4901
09/30/05 5163 8146 5263
12/31/05 5323 8320 5432
03/31/06 5588 8629 5709
06/30/06 5036 8523 5152
09/30/06 5146 9028 5547
12/31/06 5793 9637 5942
</Table>
48
[streetTRACKS (R) semi-annual report LOGO]
Morgan Stanley Technology ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION NORTEL NETWORKS ACCENTURE, AVAYA, FIRST DATA CORP. HEWLETT-
CORP. LTD. (CLASS A) INC. PACKARD CO.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $6,243,914 5,725,627 5,583,961 5,575,482 5,569,877
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.35% 3.07 3.00 2.99 2.99
------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Communications Equipment 20.5%
Computers & Peripherals 17.1
Semiconductors & Semiconductor
Equipment 17.1
Software 17.0
IT Services 11.8
Internet & Software & Services 10.9
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Internet & Catalog Retail 2.9%
Electronic Equipment & Instruments 2.6
Short-Term Investments 0.1
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
49
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Dividend ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (11/8/05, 11/15/05, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET S & P HIGH YIELD S & P 500 INDEX
VALUE VALUE DIVIDEND ARISTOCRATS INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 12.79% 12.81% 13.04% 12.74%
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 17.74% 17.92% 18.00% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 19.74% 20.01% 20.01% 18.95%
------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P HIGH YIELD S & P 500 INDEX
VALUE VALUE ARISTOCRATS INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/06 17.74% 17.92% 18.00% 15.79%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 16.99% 17.22% 16.92% 16.36%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period November 8, 2005 to December 31, 2006.
50
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Dividend ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P DIVIDEND ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD-
BASED COMPARATIVE S&P HIGH YIELD DIVIDEND
SPDR DIVIDEND ETF(A) INDEX)(C) ARISTOCRATS INDEX(B)
-------------------- --------------------- -----------------------
11/08/05 10000 10000 10000
12/31/05 10170 10273 10170
03/31/06 10537 10705 10545
06/30/06 10616 10551 10617
09/30/06 11299 11149 11312
12/31/06 11974 11895 12001
</Table>
51
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Dividend ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
----------------------------------------------------------------------------------------------------------------
DESCRIPTION CONSOLIDATED EDISON, FIRST HORIZON WPS RESOURCES VECTREN BANK OF AMERICA
INC. NATIONAL CORP. CORP. CORP. CORP.
----------------------------------------------------------------------------------------------------------------
MARKET VALUE $6,014,759 5,948,302 5,704,812 5,445,144 5,330,885
----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.04% 3.01 2.89 2.75 2.70
----------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Commercial Banks 29.1%
Gas Utilities 8.9
Multi-Utilities 8.7
Pharmaceuticals 7.2
Household Durables 5.8
Chemicals 5.7
Beverages 3.3
Industrial Conglomerates 3.3
Household Products 3.2
Commercial Services & Supplies 3.0
Diversified Financial Services 2.7
Tobacco 2.6
Independent Power Producers & Energy
Traders 2.4
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Insurance 1.9%
Textiles, Apparel & Luxury Goods 1.9
Electrical Equipment 1.6
Water Utilities 1.6
Hotels Restaurants & Leisure 1.5
Consumer Finance 1.4
Media 1.3
Food Products 1.2
Health Care Equipment & Supplies 1.2
Short-Term Investments 0.2
Other Assets & Liabilities 0.3
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
52
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Biotech ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P BIOTECHNOLOGY S & P 500 INDEX
VALUE VALUE SELECT INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 0.54% 0.59% 0.69% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -7.09% -7.13% -6.74% 12.81%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period January 31, 2006 to December 31, 2006.
53
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Biotech ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P BIOTECH ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
S&P BIOTECHNOLOGY SELECT BASED COMPARATIVE
SPDR BIOTECH ETF(A) INDUSTRY INDEX(B) INDEX) (C)
------------------- ------------------------ --------------------
01/31/06 10000 10000 10000
03/31/06 10131 10144 10152
06/30/06 9241 8885 10006
09/30/06 9161 9101 10573
12/31/06 9291 9326 11281
</Table>
54
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Biotech ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------
DESCRIPTION THERAVANCE, MYRIAD ICOS GENENTECH, GILEAD
INC. GENETICS, INC. CORP. INC. SCIENCES, INC.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $1,850,558 1,837,999 1,821,247 1,808,063 1,807,456
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.49% 3.46 3.43 3.41 3.41
--------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Biotechnology 99.8%
Short Term Investments 0.2
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
55
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Homebuilders ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P HOMEBUILDERS SELECT S & P 500 INDEX
VALUE VALUE INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 10.75% 10.59% 10.90% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -19.93% -19.76% -19.80% 12.81%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period January 31, 2006 to December 31, 2006.
56
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Homebuilders ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P HOMEBUILDERS ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
SPDR S&P HOMEBUILDERS S&P HOMEBUILDERS SELECT BASED COMPARATIVE
ETF(A) INDUSTRY INDEX(B) INDEX) (C)
--------------------- ----------------------- --------------------
01/31/06 10000 10000 10000
03/31/06 9507 9511 10152
06/30/06 7230 7232 10006
09/30/06 7035 7039 10573
12/31/06 8007 8020 11281
</Table>
57
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Homebuilders ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
------------------------------------------------------------------------------------------------------------
DESCRIPTION WCI COMMUNITIES, BEAZER HOMES NVR, INC. STANDARD LEGGETT &
INC. USA, INC. PACIFIC CORP. PLATT, INC.
------------------------------------------------------------------------------------------------------------
MARKET VALUE $14,949,237 14,354,409 14,269,335 14,253,673 14,212,374
------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.07% 4.87 4.84 4.83 4.82
------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Homebuilding 71.5%
Home Improvement Retail 14.3
Home Furnishings 14.2
Short Term Investments 0.0**
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Other Assets and Liabilities 0.0%**
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
58
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Metals & Mining ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------------------------------
NET ASSET MARKET S & P METALS & MINING SELECT S & P 500 INDEX
VALUE VALUE INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 -1.56% -0.89% -1.38% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 13.89% 14.10% 14.11% 15.54%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
59
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Metals & Mining ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P METALS & MINING ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BORAD
SPDR METALS & MINING S&P METALS & MINING BASED COMPARATIVE
ETF(A) SELECT INDUSTRY INDEX(B) INDEX) (C)
-------------------- ------------------------ --------------------
06/19/06 10000 10000 10000
06/30/06 11570 11571 10248
09/30/06 9605 9614 10829
12/31/06 11389 11411 11554
</Table>
60
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Metals & Mining ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION HECLA CLEVELAND-CLIFFS, AK STEEL ALLEGHENY OREGON STEEL
MINING CO. INC. HOLDING CORP. TECHNOLOGIES, INC. MILLS, INC.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,728,449 1,672,972 1,672,593 1,648,834 1,618,416
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.14% 4.01 4.01 3.95 3.88
</Table>
<Table>
-----------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Steel 48.6%
Coal & Consumable Fuels 21.2
Precious Metals & Minerals 11.7
Diversified Metals & Mining 10.9
Aluminum 3.7
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Gold 3.7%
Short Term Investments 0.2
Other Assets and Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
61
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Equipment & Services ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
----------------------------------------------------------------------------------
NET ASSET MARKET S & P OIL & GAS EQUIPMENT & S & P 500 INDEX
VALUE VALUE SERVICES SELECT INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 -5.33% -5.01% -5.16% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.07% 4.98% 5.27% 15.54%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
62
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Equipment & Services ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
SPDR OIL & GAS S&P OIL & GAS EQUIPMENT S&P 500 INDEX (BROAD
EQUIPMENT & SERVICES & SERVICES SELECT INDUSTRY BASED COMPARATIVE
ETF(A) INDEX(B) INDEX) (C)
-------------------- -------------------------- --------------------
06/19/06 10000 10000 10000
06/30/06 11098 11099 10248
09/30/06 9604 9615 10829
12/31/06 10507 10527 11554
</Table>
63
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Equipment & Services ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
---------------------------------------------------------------------------------------------------------------
DESCRIPTION VERITAS FMC SEACOR UNIVERSAL
DGC, INC. TECHNOLOGIES, HOLDINGS, TRANSOCEAN, COMPRESSION
INC. INC. INC. HOLDINGS, INC.
---------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,330,091 1,275,248 1,274,246 1,264,634 1,256,423
---------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.77% 3.61 3.61 3.58 3.56
---------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil & Gas Equipment & Services 62.3%
Oil & Gas Drilling 37.6
Short Term Investments 0.1
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Other Assets and Liabilities 0.0%**
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
64
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Exploration & Production ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
------------------------------------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EXPLORATION AND S&P 500 INDEX
VALUE VALUE PRODUCTION SELECT INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 -2.38% -2.05% -2.27% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 12.98% 12.84% 13.13% 15.54%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
65
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Exploration & Production ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
SPDR OIL & GAS S&P OIL & GAS S&P 500 INDEX (BROAD
EXPLORATION & PRODUCTION EXPLORATION & PRODUCTION BASED COMPARATIVE
ETF(A) SELECT INDUSTRY INDEX(B) INDEX) (C)
------------------------ ------------------------ --------------------
06/19/06 10000 10000 10000
06/30/06 11574 11575 10248
09/30/06 10534 10490 10829
12/31/06 11298 11313 11554
</Table>
66
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Oil & Gas Exploration & Production ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------------------
DESCRIPTION CHENIERE ENERGY, EXXON MOBIL CONOCOPHILLIPS MARINER ENERGY, CHEVRON CORP.
INC. CORP. INC.
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $583,492 565,453 563,944 557,796 556,475
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.78% 2.69 2.69 2.66 2.65
--------------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Oil & Gas Exploration & Production 76.5%
Oil & Gas Refining & Marketing 12.5
Integrated Oil & Gas 10.6
Short-Term Investments 0.4
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
67
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Pharmaceuticals ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET S&P PHARMACEUTICALS SELECT S & P 500 INDEX
VALUE VALUE INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 9.03% 8.91% 9.24% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 10.63% 10.58% 10.85% 15.54%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
68
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Pharmaceuticals ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P PHARMACEUTICALS ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
SPDR PHARMACEUTICALS S&P PHARMACEUTICALS BASED COMPARATIVE
ETF(A) SELECT INDUSTRY INDEX(B) INDEX) (C)
-------------------- ------------------------ --------------------
06/19/06 10000 10000 10000
06/30/06 10146 10147 10248
09/30/06 10951 10964 10829
12/31/06 11063 11085 11554
</Table>
69
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Pharmaceuticals ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------
DESCRIPTION SEPRACOR, BRISTOL- MYERS PERRIGO PFIZER, VALEANT PHARMACEUTICALS
INC. SQUIBB CO. CO. INC. INTERNATIONAL
--------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,965,942 1,864,930 1,856,480 1,832,969 1,830,560
--------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.18% 4.91 4.89 4.83 4.82
--------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Pharmaceuticals 99.9%
Short Term Investments 0.0**
Other Assets and Liabilities 0.1
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
70
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Retail ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S & P RETAIL SELECT S & P 500 INDEX
VALUE VALUE INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 8.41% 8.41% 8.62% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.03% 10.96% 11.25% 15.54%
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
71
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Retail ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P RETAIL ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
S&P RETAIL SELECT INDUSTRY BASED COMPARATIVE
SPDR RETAIL ETF(A) INDEX(B) INDEX) (C)
------------------ -------------------------- --------------------
06/19/06 10000 10000 10000
06/30/06 10424 10243 10248
09/30/06 10700 10709 10829
12/31/06 11103 11125 11554
</Table>
72
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Retail ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------
DESCRIPTION SYSTEMAX, BLAIR GUESS?, WALGREEN DOLLAR
INC. CORP. INC. CO. GENERAL
CORP.
--------------------------------------------------------------------------------------------
MARKET VALUE $2,100,579 1,762,278 1,746,672 1,740,654 1,724,170
--------------------------------------------------------------------------------------------
% OF NET ASSETS 1.99% 1.67 1.65 1.65 1.63
--------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Apparel Retail 37.1%
Specialty Stores 20.1
Catalog Retail 10.0
Food Retail 7.8
Department Stores 7.7
General Merchandise Stores 6.4
Computer & Electronics Retail 4.4
</Table>
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Drug Retail 3.3%
Hypermarkets & Super Centers 3.2
Short Term Investment 0.0**
Other Assets & Liabilities 0.0**
----------------------------------------------------------
TOTAL 100%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
73
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Semiconductor ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (1/31/06, 2/6/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
--------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
--------------------------------------------------------------------------------
NET ASSET MARKET S&P SEMICONDUCTOR SELECT S & P 500 INDEX
VALUE VALUE INDUSTRY INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 4.16% 5.03% 4.34% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -7.57% -7.54% -7.29% 12.81%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period January 31, 2006 to December 31, 2006.
74
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Semiconductor ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR S&P SEMICONDUCTOR ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
SPDR SEMICONDUCTOR S&P SEMICONDUCTOR BASED COMPARATIVE
ETF(A) SELECT INDUSTRY INDEX(B) INDEX) (C)
------------------ ------------------------ --------------------
01/31/06 10000 10000 10000
03/31/06 10136 10135 10152
06/30/06 8874 9262 10006
09/30/06 9081 9101 10573
12/31/06 9243 9271 11281
</Table>
75
[streetTRACKS (R) semi-annual report LOGO]
SPDR S&P Semiconductor ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION MICRON CYPRESS ANALOG SILICON MAXIM
TECHNOLOGY, SEMICONDUCTOR DEVICES, LABORATORIES, INC. INTEGRATED
INC. CORP. INC. PRODUCTS, INC.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,450,304 1,448,188 1,435,597 1,417,601 1,411,827
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.54% 4.53 4.49 4.43 4.42
-----------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Semiconductors 99.6%
Short Term Investments 0.4
Other Assets and Liabilities 0.0**
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
76
[streetTRACKS (R) semi-annual report LOGO]
KBW Regional Banking ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's
per share net asset value ("NAV") is the value of one share of the Fund and
is calculated by dividing the value of total assets less total liabilities by
the number of shares outstanding. The NAV return is based on the NAV of the
Fund and the market return is based on the market price per share of the
Fund. The market price used to calculate the market return is determined by
using the midpoint between the highest bid and the lowest offer on the
exchange on which the shares of the Fund are listed for trading, as of the
time that the Fund's NAV is calculated. Since shares of the Fund did not
trade in the secondary market until several days after the Fund's inception,
for the period from inception to the first day of secondary market trading in
shares of the Fund (6/19/06, 6/22/06, respectively), the NAV of the Fund is
used as a proxy for the secondary market trading price to calculate market
returns. NAV and market returns assume that dividends and capital gain
distributions have been reinvested in the Fund at NAV. Market returns do not
include brokerage commission that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be
lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND PAST PERFORMANCE DOES NOT
GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR THE MOST RECENT MONTH END PERFORMANCE INFORMATION
VISIT WWW.SPDRETFS.COM. INVESTMENT IN THE FUND POSES INVESTMENT RISK
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE, SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE RETURNS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON
THE REDEMPTION OF FUND SHARES.
PERFORMANCE AS OF DECEMBER 31, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET S & P 500 INDEX
VALUE VALUE KBW REGIONAL BANKING INDEX (BROAD-BASED COMPARATIVE INDEX)
------------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/06 5.24% 5.52% 6.22% 12.74%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.93% 5.99% 6.92% 15.54%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period June 19, 2006 to December 31, 2006.
77
[streetTRACKS (R) semi-annual report LOGO]
KBW Regional Banking ETF--PERFORMANCE SUMMARY (continued)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
KBW REGIONAL BANKING ETF (Based on Net Asset Value)
[LINE GRAPH]
<Table>
<Caption>
S&P 500 INDEX (BROAD
KBW REGIONAL BANKING KBW REGIONAL BANK BASED COMPARATIVE
ETF(A) INDEX(B) INDEX) (C)
-------------------- ----------------- --------------------
06/19/06 10000 10000 10000
06/30/06 10066 10066 10248
09/30/06 10257 10268 10829
12/31/06 10593 10692 11554
</Table>
78
[streetTRACKS (R) semi-annual report LOGO]
KBW Regional Banking ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2006
<Table>
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION COLONIAL TRUSTMARK CHITTENDEN UMPQUA HOLDINGS VALLEY NATIONAL
BANCGROUP, INC. CORP. CORP. CORP. BANCORP
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,999,942 5,958,486 5,924,029 5,895,005 5,890,787
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.23% 2.22 2.20 2.19 2.19
--------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2006*
<Table>
<Caption>
----------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
----------------------------------------------------------
Regional Banks 87.8%
Thrifts & Mortgage Finance 12.1
Short Term Investments 0.0**
Other Assets and Liabilities 0.1
----------------------------------------------------------
TOTAL 100.0%
----------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represents less than 0.05% of net assets.
79
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. .................. 5,181 $ 460,280 0.41%
United Technologies Corp. ... 6,203 387,812 0.35
Other Securities(1).......... 1,287,161 1.15
------------ ------
2,135,253 1.91
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities(1).......... 694,092 0.62
------------ ------
AIRLINES
Other Securities(1).......... 198,800 0.18
------------ ------
AUTO COMPONENTS
Other Securities(1).......... 306,042 0.27
------------ ------
AUTOMOBILES
Other Securities(1).......... 393,169 0.35
------------ ------
BEVERAGES
PepsiCo, Inc. ............... 11,115 695,243 0.62
The Coca-Cola Co. ........... 14,752 711,784 0.64
Other Securities(1).......... 415,884 0.37
------------ ------
1,822,911 1.63
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (a).............. 8,870 605,910 0.54
Other Securities(1).......... 1,360,112 1.22
------------ ------
1,966,022 1.76
------------ ------
BUILDING PRODUCTS
Other Securities(1).......... 173,313 0.15
------------ ------
CAPITAL MARKETS
Goldman Sachs Group, Inc. ... 2,804 558,977 0.50
Merrill Lynch & Co., Inc. ... 5,743 534,673 0.48
Morgan Stanley............... 6,809 554,457 0.49
State Street Corp. (b)....... 2,256 152,145 0.14
Other Securities(1).......... 1,880,147 1.68
------------ ------
3,680,399 3.29
------------ ------
CHEMICALS
Other Securities(1).......... 1,628,190 1.45
------------ ------
COMMERCIAL BANKS
U.S. Bancorp................. 12,201 441,554 0.39
Wachovia Corp. .............. 12,595 717,285 0.64
Wells Fargo & Co. ........... 21,302 757,499 0.68
Other Securities(1).......... 3,104,385 2.77
------------ ------
5,020,723 4.48
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1).......... 1,076,529 0.96
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (a)...... 43,958 1,201,372 1.07
QUALCOMM, Inc. .............. 11,508 434,887 0.39
Other Securities(1).......... 1,084,016 0.97
------------ ------
2,720,275 2.43
------------ ------
COMPUTERS & PERIPHERALS
Apple Computer, Inc. (a)..... 5,946 504,459 0.45
Hewlett-Packard Co. ......... 20,578 847,608 0.76
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
International Business
Machines Corp. ............ 11,121 $ 1,080,405 0.96%
Other Securities(1).......... 1,328,329 1.19
------------ ------
3,760,801 3.36
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1).......... 168,975 0.15
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1).......... 136,120 0.12
------------ ------
CONSUMER FINANCE
American Express Co. ........ 7,349 445,864 0.40
Other Securities(1).......... 482,110 0.43
------------ ------
927,974 0.83
------------ ------
CONTAINERS & PACKAGING
Other Securities(1).......... 332,599 0.30
------------ ------
DISTRIBUTORS
Other Securities(1).......... 41,882 0.04
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1).......... 321,586 0.29
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ....... 30,596 1,633,520 1.46
Citigroup, Inc. ............. 34,528 1,923,209 1.72
JPMorgan Chase & Co. ........ 23,572 1,138,528 1.02
Other Securities(1).......... 469,127 0.41
------------ ------
5,164,384 4.61
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. .................. 26,714 955,026 0.85
BellSouth Corp. ............. 11,904 560,797 0.50
Verizon Communications,
Inc. ...................... 19,500 726,180 0.65
Other Securities(1).......... 439,174 0.39
------------ ------
2,681,177 2.39
------------ ------
ELECTRIC UTILITIES
Other Securities(1).......... 1,978,963 1.77
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1).......... 638,394 0.57
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1).......... 784,042 0.70
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. .......... 7,661 483,869 0.43
Other Securities(1).......... 1,772,860 1.58
------------ ------
2,256,729 2.01
------------ ------
FOOD & STAPLES RETAILING
Wal-Mart Stores, Inc. ....... 16,987 784,460 0.70
Other Securities(1).......... 1,312,729 1.17
------------ ------
2,097,189 1.87
------------ ------
FOOD PRODUCTS
Other Securities(1).......... 1,386,528 1.24
------------ ------
GAS UTILITIES
Other Securities(1).......... 224,847 0.20
------------ ------
</Table>
See accompanying notes to financial statements.
80
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. ............. 8,023 $ 429,311 0.38%
Other Securities(1).......... 1,427,156 1.28
------------ ------
1,856,467 1.66
------------ ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. .... 9,989 536,709 0.48
Other Securities(1).......... 2,344,975 2.09
------------ ------
2,881,684 2.57
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1).......... 92,296 0.08
------------ ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1).......... 2,192,928 1.96
------------ ------
HOUSEHOLD DURABLES
Other Securities(1).......... 1,060,505 0.95
------------ ------
HOUSEHOLD PRODUCTS
Procter & Gamble Co. ........ 21,988 1,413,169 1.26
Other Securities(1).......... 633,345 0.57
------------ ------
2,046,514 1.83
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1).......... 515,686 0.46
------------ ------
INDUSTRIAL CONGLOMERATES
General Electric Co. ........ 71,589 2,663,827 2.38
Tyco International, Ltd. .... 13,889 422,226 0.38
Other Securities(1).......... 479,218 0.42
------------ ------
3,565,271 3.18
------------ ------
INSURANCE
American International
Group, Inc. ................. 15,750 1,128,645 1.01
Berkshire Hathaway, Inc.
(Class A) (a).............. 7 769,930 0.69
Other Securities(1).......... 3,602,565 3.21
------------ ------
5,501,140 4.91
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1).......... 328,731 0.29
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (a)... 1,486 684,273 0.61
Other Securities(1).......... 684,027 0.61
------------ ------
1,368,300 1.22
------------ ------
IT SERVICES
Other Securities(1).......... 1,581,795 1.41
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1).......... 317,709 0.28
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1).......... 597,297 0.53
------------ ------
MACHINERY
Other Securities(1).......... 2,029,576 1.81
------------ ------
MEDIA
Comcast Corp. (Class A)
(a)........................ 15,463 654,549 0.58
The Walt Disney Co. ......... 13,931 477,415 0.43
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Time Warner, Inc. ........... 31,033 $ 675,899 0.60%
Other Securities(1).......... 2,562,955 2.29
------------ ------
4,370,818 3.90
------------ ------
METALS & MINING
Other Securities(1).......... 1,089,386 0.97
------------ ------
MULTI-UTILITIES
Other Securities(1).......... 1,081,216 0.97
------------ ------
MULTILINE RETAIL
Other Securities(1).......... 1,263,840 1.13
------------ ------
OFFICE ELECTRONICS
Other Securities(1).......... 167,648 0.15
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ............... 14,827 1,090,229 0.97
ConocoPhillips............... 10,620 764,109 0.68
Exxon Mobil Corp. ........... 41,195 3,156,773 2.82
Other Securities(1).......... 3,431,930 3.07
------------ ------
8,443,041 7.54
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1).......... 331,132 0.30
------------ ------
PERSONAL PRODUCTS
Other Securities(1).......... 176,265 0.16
------------ ------
PHARMACEUTICALS
Abbott Laboratories.......... 10,703 521,343 0.47
Johnson & Johnson............ 19,901 1,313,864 1.17
Merck & Co., Inc. ........... 15,022 654,959 0.59
Pfizer, Inc. ................ 52,341 1,355,632 1.21
Wyeth........................ 9,494 483,435 0.43
Other Securities(1).......... 1,523,116 1.36
------------ ------
5,852,349 5.23
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1).......... 2,845,912 2.54
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1).......... 223,628 0.20
------------ ------
ROAD & RAIL
Other Securities(1).......... 918,552 0.82
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ................. 43,231 875,428 0.78
Other Securities(1).......... 2,029,669 1.81
------------ ------
2,905,097 2.59
------------ ------
SOFTWARE
Microsoft Corp. ............. 63,157 1,885,868 1.68
Oracle Corp. (a)............. 31,337 537,116 0.48
Other Securities(1).......... 1,529,836 1.37
------------ ------
3,952,820 3.53
------------ ------
SPECIALTY RETAIL
The Home Depot, Inc. ........ 15,184 609,789 0.54
Other Securities(1).......... 1,925,666 1.72
------------ ------
2,535,455 2.26
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1).......... 537,501 0.48
------------ ------
</Table>
See accompanying notes to financial statements.
81
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
THRIFTS & MORTGAGE FINANCE
Fannie Mae................... 6,710 $ 398,507 0.36%
Other Securities(1).......... 1,477,448 1.32
------------ ------
1,875,955 1.68
------------ ------
TOBACCO
Altria Group, Inc. .......... 13,831 1,186,976 1.06
Other Securities(1).......... 212,036 0.19
------------ ------
1,399,012 1.25
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1).......... 140,122 0.13
------------ ------
WATER UTILITIES
Other Securities(1).......... 126,630 0.11
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1).......... 884,891 0.79
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TOTAL COMMON STOCKS -- (Cost
$91,393,358)............... $111,775,077 99.80%
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $87,095)............. 87,095 87,095 0.08
------------ ------
TOTAL INVESTMENTS (Cost
$91,480,453)............... 111,862,172 99.88
OTHER ASSETS AND
LIABILITIES................ 131,680 0.12
------------ ------
NET ASSETS................... $111,993,852 100.00
============ ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
82
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. .................... 659 $ 58,546 0.45%
United Technologies Corp. ..... 865 54,080 0.42
Other Securities(1)............ 165,462 1.27
----------- ------
278,088 2.14
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)............ 85,854 0.66
----------- ------
AIRLINES
Other Securities(1)............ 20,053 0.15
----------- ------
AUTO COMPONENTS
Other Securities(1)............ 18,363 0.14
----------- ------
AUTOMOBILES
Other Securities(1)............ 44,275 0.34
----------- ------
BEVERAGES
PepsiCo, Inc. ................. 1,542 96,452 0.74
The Coca-Cola Co. ............. 2,000 96,500 0.74
Other Securities(1)............ 55,601 0.44
----------- ------
248,553 1.92
----------- ------
BIOTECHNOLOGY
Amgen, Inc. (a)................ 1,086 74,185 0.57
Other Securities(1)............ 134,455 1.04
----------- ------
208,640 1.61
----------- ------
BUILDING PRODUCTS
Other Securities(1)............ 21,922 0.17
----------- ------
CAPITAL MARKETS
Goldman Sachs Group, Inc. ..... 339 67,580 0.52
Merrill Lynch & Co., Inc. ..... 823 76,621 0.59
Morgan Stanley................. 899 73,205 0.56
State Street Corp. (b)......... 311 20,974 0.16
Other Securities(1)............ 220,535 1.71
----------- ------
458,915 3.54
----------- ------
CHEMICALS
Other Securities(1)............ 188,522 1.45
----------- ------
COMMERCIAL BANKS
U.S. Bancorp................... 1,651 59,750 0.46
Wachovia Corp. ................ 1,780 101,371 0.78
Wells Fargo & Co. ............. 2,957 105,151 0.81
Other Securities(1)............ 261,062 2.02
----------- ------
527,334 4.07
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)............ 91,098 0.70
----------- ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (a)........ 5,669 154,934 1.19
QUALCOMM, Inc. ................ 1,538 58,121 0.45
Other Securities(1)............ 105,244 0.81
----------- ------
318,299 2.45
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMPUTERS & PERIPHERALS
Apple Computer, Inc. (a)....... 786 $ 66,684 0.51%
Hewlett-Packard Co. ........... 2,551 105,076 0.81
International Business Machines
Corp. ....................... 1,403 136,301 1.05
Other Securities(1)............ 153,397 1.19
----------- ------
461,458 3.56
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)............ 10,935 0.08
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)............ 11,734 0.09
----------- ------
CONSUMER FINANCE
American Express Co. .......... 1,003 60,852 0.47
Other Securities(1)............ 51,544 0.40
----------- ------
112,396 0.87
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)............ 31,336 0.24
----------- ------
DISTRIBUTORS
Other Securities(1)............ 7,447 0.06
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)............ 17,708 0.14
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ......... 4,189 223,651 1.73
Citigroup, Inc. ............... 4,642 258,559 1.99
JPMorgan Chase & Co. .......... 3,250 156,975 1.21
Other Securities(1)............ 55,856 0.43
----------- ------
695,041 5.36
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. .................... 3,579 127,949 0.99
BellSouth Corp. ............... 1,702 80,181 0.62
Verizon Communications,
Inc. ........................ 2,718 101,219 0.78
Other Securities(1)............ 39,398 0.30
----------- ------
348,747 2.69
----------- ------
ELECTRIC UTILITIES
Other Securities(1)............ 235,682 1.82
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)............ 65,171 0.50
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)............ 43,692 0.34
----------- ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ............ 1,094 69,097 0.53
Other Securities(1)............ 181,501 1.40
----------- ------
250,598 1.93
----------- ------
FOOD & STAPLES RETAILING
Wal-Mart Stores, Inc. ......... 2,397 110,693 0.85
Other Securities(1)............ 152,494 1.18
----------- ------
263,187 2.03
----------- ------
FOOD PRODUCTS
Other Securities(1)............ 148,836 1.15
----------- ------
GAS UTILITIES
Other Securities(1)............ 15,003 0.12
----------- ------
</Table>
See accompanying notes to financial statements.
83
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. ............... 1,076 $ 57,577 0.44%
Other Securities(1)............ 155,513 1.20
----------- ------
213,090 1.64
----------- ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. ...... 1,267 68,076 0.53
Other Securities(1)............ 252,341 1.94
----------- ------
320,417 2.47
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)............ 5,496 0.04
----------- ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1)............ 231,137 1.78
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)............ 89,952 0.69
----------- ------
HOUSEHOLD PRODUCTS
Procter & Gamble Co. .......... 2,967 190,689 1.47
Other Securities(1)............ 73,241 0.56
----------- ------
263,930 2.03
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)............ 62,466 0.48
----------- ------
INDUSTRIAL CONGLOMERATES
General Electric Co. .......... 9,702 361,011 2.78
Tyco International, Ltd. ...... 1,876 57,030 0.44
Other Securities(1)............ 63,669 0.49
----------- ------
481,710 3.71
----------- ------
INSURANCE
American International Group,
Inc. ........................ 2,132 152,779 1.18
Berkshire Hathaway, Inc. (Class
A) (a)....................... 1 109,990 0.85
Other Securities(1)............ 449,072 3.46
----------- ------
711,841 5.49
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)............ 36,265 0.28
----------- ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (a)..... 208 95,780 0.74
Other Securities(1)............ 72,745 0.56
----------- ------
168,525 1.30
----------- ------
IT SERVICES
Other Securities(1)............ 179,466 1.38
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)............ 20,834 0.16
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)............ 43,801 0.34
----------- ------
MACHINERY
Other Securities(1)............ 194,710 1.50
----------- ------
MEDIA
Comcast Corp. (Class A) (a).... 1,847 78,184 0.60
The Walt Disney Co. ........... 1,806 61,892 0.48
Time Warner, Inc. ............. 3,788 82,503 0.64
Other Securities(1)............ 275,841 2.12
----------- ------
498,420 3.84
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
METALS & MINING
Other Securities(1)............ $ 111,408 0.86%
----------- ------
MULTI-UTILITIES
Other Securities(1)............ 151,140 1.17
----------- ------
MULTILINE RETAIL
Other Securities(1)............ 131,167 1.01
----------- ------
OFFICE ELECTRONICS
Other Securities(1)............ 15,238 0.12
----------- ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ................. 2,044 150,295 1.16
ConocoPhillips................. 1,432 103,032 0.79
Exxon Mobil Corp. ............. 5,432 416,255 3.21
Other Securities(1)............ 348,848 2.69
----------- ------
1,018,430 7.85
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)............ 35,021 0.27
----------- ------
PERSONAL PRODUCTS
Other Securities(1)............ 20,981 0.16
----------- ------
PHARMACEUTICALS
Abbott Laboratories............ 1,433 69,802 0.54
Johnson & Johnson.............. 2,700 178,254 1.37
Merck & Co., Inc. ............. 2,041 88,988 0.69
Pfizer, Inc. .................. 6,716 173,945 1.34
Wyeth.......................... 1,238 63,039 0.49
Other Securities(1)............ 185,155 1.42
----------- ------
759,183 5.85
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)............ 248,579 1.92
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)............ 22,979 0.18
----------- ------
ROAD & RAIL
Other Securities(1)............ 85,123 0.66
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ................... 5,398 109,309 0.84
Other Securities(1)............ 211,076 1.63
----------- ------
320,385 2.47
----------- ------
SOFTWARE
Microsoft Corp. ............... 8,155 243,508 1.88
Oracle Corp. (a)............... 3,783 64,841 0.50
Other Securities(1)............ 119,164 0.92
----------- ------
427,513 3.30
----------- ------
SPECIALTY RETAIL
The Home Depot, Inc. .......... 1,916 76,947 0.59
Other Securities(1)............ 203,337 1.57
----------- ------
280,284 2.16
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)............ 49,331 0.38
----------- ------
THRIFTS & MORTGAGE FINANCE
Fannie Mae..................... 898 53,332 0.41
Other Securities(1)............ 147,409 1.14
----------- ------
200,741 1.55
----------- ------
</Table>
See accompanying notes to financial statements.
84
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TOBACCO
Altria Group, Inc. ............ 1,936 $ 166,148 1.28%
Other Securities(1)............ 25,677 0.20
----------- ------
191,825 1.48
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)............ 9,732 0.07
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)............ 107,783 0.83
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TOTAL COMMON STOCKS -- (Cost
$12,037,887)................. $12,937,790 99.74%
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment Class
Prime Fund
(Cost $18,516)............... 18,516 18,516 0.14
----------- ------
TOTAL INVESTMENTS
(Cost $12,056,403)........... 12,956,306 99.88
OTHER ASSETS AND LIABILITIES... 14,928 0.12
----------- ------
NET ASSETS..................... $12,971,234 100.00%
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
85
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Lockheed Martin Corp. ....... 10,848 $ 998,775 0.47%
United Technologies Corp. ... 29,928 1,871,099 0.87
Other Securities(1).......... 2,757,338 1.29
------------ ------
5,627,212 2.63
------------ ------
AIR FREIGHT & LOGISTICS
FedEx Corp. ................. 9,194 998,652 0.47
United Parcel Service, Inc.
(Class B).................. 19,938 1,494,951 0.70
Other Securities(1).......... 501,729 0.23
------------ ------
2,995,332 1.40
------------ ------
AIRLINES
Other Securities(1).......... 511,418 0.24
------------ ------
AUTO COMPONENTS
Other Securities(1).......... 108,774 0.05
------------ ------
AUTOMOBILES
Other Securities(1).......... 589,411 0.28
------------ ------
BEVERAGES
Anheuser-Busch Cos., Inc. ... 23,326 1,147,639 0.54
PepsiCo, Inc. ............... 53,453 3,343,485 1.56
Other Securities(1).......... 457,064 0.21
------------ ------
4,948,188 2.31
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (a).............. 37,594 2,568,046 1.20
Genentech, Inc. (a).......... 14,884 1,207,539 0.56
Gilead Sciences, Inc. (a).... 14,662 952,003 0.45
Other Securities(1).......... 2,497,071 1.17
------------ ------
7,224,659 3.38
------------ ------
BUILDING PRODUCTS
Other Securities(1).......... 244,105 0.11
------------ ------
CAPITAL MARKETS
State Street Corp. (b)....... 10,812 729,161 0.34
Other Securities(1).......... 2,672,607 1.25
------------ ------
3,401,768 1.59
------------ ------
CHEMICALS
Monsanto Co. ................ 17,555 922,164 0.43
Other Securities(1).......... 1,196,340 0.56
------------ ------
2,118,504 0.99
------------ ------
COMMERCIAL BANKS
U.S. Bancorp................. 56,640 2,049,801 0.96
Other Securities(1).......... 208,869 0.10
------------ ------
2,258,670 1.06
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1).......... 2,040,179 0.95
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (a)...... 196,198 5,362,091 2.51
Corning, Inc. (a)............ 49,836 932,432 0.44
QUALCOMM, Inc. .............. 53,259 2,012,658 0.94
Other Securities(1).......... 858,101 0.40
------------ ------
9,165,282 4.29
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMPUTERS & PERIPHERALS
Apple Computer, Inc. (a)..... 27,355 $ 2,320,798 1.09%
Dell, Inc. (a)............... 64,410 1,616,047 0.76
EMC Corp. (a)................ 70,981 936,949 0.44
Other Securities(1).......... 1,368,840 0.63
------------ ------
6,242,634 2.92
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1).......... 380,938 0.18
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1).......... 149,838 0.07
------------ ------
CONSUMER FINANCE
American Express Co. ........ 34,725 2,106,766 0.99
Capital One Financial
Corp. ..................... 13,160 1,010,951 0.47
Other Securities(1).......... 780,924 0.36
------------ ------
3,898,641 1.82
------------ ------
CONTAINERS & PACKAGING
Other Securities(1).......... 418,325 0.19
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1).......... 478,123 0.22
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1).......... 1,531,149 0.72
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1).......... 176,960 0.08
------------ ------
ELECTRIC UTILITIES
Other Securities(1).......... 237,355 0.11
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1).......... 251,750 0.12
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1).......... 581,938 0.27
------------ ------
ENERGY EQUIPMENT & SERVICES
Halliburton Co. ............. 32,403 1,006,113 0.47
Schlumberger, Ltd. .......... 37,995 2,399,764 1.12
Other Securities(1).......... 5,244,259 2.46
------------ ------
8,650,136 4.05
------------ ------
FOOD & STAPLES RETAILING
Wal-Mart Stores, Inc. ....... 83,150 3,839,867 1.80
Walgreen Co. ................ 32,457 1,489,452 0.70
Other Securities(1).......... 2,538,494 1.18
------------ ------
7,867,813 3.68
------------ ------
FOOD PRODUCTS
Other Securities(1).......... 1,730,032 0.81
------------ ------
GAS UTILITIES
Other Securities(1).......... 526,533 0.25
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Baxter International,
Inc. ...................... 21,182 982,633 0.46
Medtronic, Inc. ............. 37,048 1,982,438 0.93
Other Securities(1).......... 4,294,747 2.01
------------ ------
7,259,818 3.40
------------ ------
</Table>
See accompanying notes to financial statements.
86
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. .... 43,447 $ 2,334,407 1.09%
WellPoint, Inc. (a).......... 19,861 1,562,862 0.73
Other Securities(1).......... 6,602,605 3.09
------------ ------
10,499,874 4.91
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1).......... 177,548 0.08
------------ ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1).......... 5,468,056 2.56
------------ ------
HOUSEHOLD DURABLES
Other Securities(1).......... 2,066,172 0.97
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. ....... 16,723 1,091,009 0.51
Procter & Gamble Co. ........ 102,179 6,567,044 3.07
Other Securities(1).......... 432,953 0.20
------------ ------
8,091,006 3.78
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1).......... 460,746 0.21
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. ...................... 21,772 1,696,692 0.80
Other Securities(1).......... 177,349 0.08
------------ ------
1,874,041 0.88
------------ ------
INSURANCE
Berkshire Hathaway, Inc.
(Class A) (a).............. 33 3,629,670 1.70
Prudential Financial,
Inc. ...................... 15,626 1,341,648 0.63
Other Securities(1).......... 2,907,586 1.36
------------ ------
7,878,904 3.69
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1).......... 1,291,018 0.60
------------ ------
INTERNET SOFTWARE & SERVICES
eBay, Inc. (a)............... 33,966 1,021,357 0.48
Google, Inc. (Class A) (a)... 7,150 3,292,432 1.54
Yahoo!, Inc. (a)............. 41,695 1,064,890 0.50
Other Securities(1).......... 449,007 0.21
------------ ------
5,827,686 2.73
------------ ------
IT SERVICES
Other Securities(1).......... 5,296,184 2.48
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1).......... 1,494,387 0.70
------------ ------
MACHINERY
Caterpillar, Inc. ........... 21,003 1,288,114 0.60
Other Securities(1).......... 2,997,756 1.40
------------ ------
4,285,870 2.00
------------ ------
MEDIA
Comcast Corp. (Class A)
(a)........................ 64,043 2,710,940 1.27
News Corp. (Class A)......... 75,804 1,628,270 0.76
Time Warner, Inc. ........... 131,062 2,854,530 1.33
Other Securities(1).......... 6,199,333 2.91
------------ ------
13,393,073 6.27
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
METALS & MINING
Other Securities(1).......... $ 1,853,915 0.87%
------------ ------
MULTI-UTILITIES
Other Securities(1).......... 1,052,835 0.49
------------ ------
MULTILINE RETAIL
Target Corp. ................ 24,978 1,424,995 0.67
Other Securities(1).......... 2,561,323 1.19
------------ ------
3,986,318 1.86
------------ ------
OIL, GAS & CONSUMABLE FUELS
Devon Energy Corp. .......... 13,464 903,165 0.42
Valero Energy Corp. ......... 19,522 998,746 0.47
Other Securities(1).......... 5,464,309 2.56
------------ ------
7,366,220 3.45
------------ ------
PERSONAL PRODUCTS
Other Securities(1).......... 698,907 0.33
------------ ------
PHARMACEUTICALS
Johnson & Johnson............ 93,453 6,169,767 2.89
Schering-Plough Corp. ....... 47,429 1,121,221 0.52
Wyeth........................ 43,040 2,191,597 1.03
Other Securities(1).......... 1,883,274 0.88
------------ ------
11,365,859 5.32
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1).......... 2,721,709 1.27
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1).......... 713,408 0.33
------------ ------
ROAD & RAIL
Other Securities(1).......... 761,197 0.36
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Texas Instruments, Inc. ..... 47,862 1,378,426 0.64
Other Securities(1).......... 5,348,850 2.51
------------ ------
6,727,276 3.15
------------ ------
SOFTWARE
Microsoft Corp. ............. 282,117 8,424,014 3.94
Other Securities(1).......... 3,345,366 1.57
------------ ------
11,769,380 5.51
------------ ------
SPECIALTY RETAIL
Lowe's Cos., Inc. ........... 49,772 1,550,398 0.73
The Home Depot, Inc. ........ 66,599 2,674,616 1.25
Other Securities(1).......... 4,728,536 2.21
------------ ------
8,953,550 4.19
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1).......... 1,324,056 0.62
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1).......... 1,069,119 0.50
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1).......... 163,541 0.08
------------ ------
</Table>
See accompanying notes to financial statements.
87
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WIRELESS TELECOMMUNICATION SERVICES
Sprint Nextel Corp. ......... 95,708 $ 1,807,924 0.85%
Other Securities(1).......... 1,203,394 0.56
------------ ------
3,011,318 1.41
------------ ------
TOTAL COMMON STOCKS --
(Cost $195,188,936)........ 213,258,658 99.77
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $330,848)............ 330,848 330,848 0.16
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION VALUE ASSETS
- -------------------- ----- ------
TOTAL INVESTMENTS
(Cost $195,519,784)........ $213,589,506 99.93%
------------ ------
OTHER ASSETS AND
LIABILITIES................ 154,194 0.07
------------ ------
NET ASSETS................... $213,743,700 100.00
============ ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
88
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. .................. 15,075 $ 1,339,263 0.87%
Honeywell International,
Inc. ...................... 15,971 722,528 0.47
Other Securities(1).......... 574,904 0.37
------------ ------
2,636,695 1.71
------------ ------
AIRLINES
Other Securities(1).......... 123,701 0.08
------------ ------
AUTO COMPONENTS
Other Securities(1).......... 355,193 0.23
------------ ------
AUTOMOBILES
Other Securities(1).......... 612,991 0.40
------------ ------
BEVERAGES
The Coca-Cola Co. ........... 45,609 2,200,634 1.43
Other Securities(1).......... 227,548 0.14
------------ ------
2,428,182 1.57
------------ ------
BUILDING PRODUCTS
Other Securities(1).......... 338,225 0.22
------------ ------
CAPITAL MARKETS
Goldman Sachs Group, Inc. ... 7,703 1,535,593 1.00
Lehman Brothers Holdings,
Inc. ...................... 11,190 874,163 0.57
Merrill Lynch & Co., Inc. ... 18,657 1,736,967 1.13
Morgan Stanley............... 20,409 1,661,905 1.08
The Bank of New York Co.,
Inc. ...................... 15,846 623,857 0.40
Other Securities(1).......... 1,740,582 1.12
------------ ------
8,173,067 5.30
------------ ------
CHEMICALS
E. I. du Pont de Nemours &
Co. ....................... 19,462 947,994 0.61
The Dow Chemical Co. ........ 20,377 813,857 0.53
Other Securities(1).......... 1,162,507 0.76
------------ ------
2,924,358 1.90
------------ ------
COMMERCIAL BANKS
SunTrust Banks, Inc. ........ 7,407 625,521 0.41
Wachovia Corp. .............. 40,481 2,305,393 1.50
Wells Fargo & Co. ........... 66,847 2,377,079 1.54
Other Securities(1).......... 5,123,978 3.32
------------ ------
10,431,971 6.77
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1).......... 723,747 0.47
------------ ------
COMMUNICATIONS EQUIPMENT
Motorola, Inc. .............. 50,887 1,046,237 0.68
Other Securities(1).......... 177,290 0.11
------------ ------
1,223,527 0.79
------------ ------
COMPUTERS & PERIPHERALS
Hewlett-Packard Co. ......... 57,774 2,379,711 1.54
International Business
Machines Corp. ............ 31,857 3,094,907 2.01
Other Securities(1).......... 891,641 0.58
------------ ------
6,366,259 4.13
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1).......... 166,170 0.11
------------ ------
CONTAINERS & PACKAGING
Other Securities(1).......... 419,302 0.27
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
DISTRIBUTORS
Other Securities(1).......... $ 170,131 0.11%
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1).......... 77,428 0.05
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ....... 95,026 5,073,438 3.29
Citigroup, Inc. ............. 105,225 5,861,032 3.80
JPMorgan Chase & Co. ........ 73,589 3,554,349 2.31
Other Securities(1).......... 247,360 0.16
------------ ------
14,736,179 9.56
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. .................. 81,133 2,900,505 1.88
BellSouth Corp. ............. 38,840 1,829,752 1.19
Verizon Communications,
Inc. ...................... 61,432 2,287,728 1.49
Other Securities(1).......... 785,428 0.50
------------ ------
7,803,413 5.06
------------ ------
ELECTRIC UTILITIES
Duke Energy Corp. ........... 26,441 878,106 0.57
Exelon Corp. ................ 14,171 877,043 0.57
Other Securities(1).......... 3,479,080 2.26
------------ ------
5,234,229 3.40
------------ ------
ELECTRICAL EQUIPMENT
Emerson Electric Co. ........ 16,842 742,564 0.48
Other Securities(1).......... 562,251 0.37
------------ ------
1,304,815 0.85
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1).......... 605,565 0.39
------------ ------
FOOD & STAPLES RETAILING
Other Securities(1).......... 817,361 0.53
------------ ------
FOOD PRODUCTS
Other Securities(1).......... 2,229,908 1.45
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1).......... 68,316 0.04
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1).......... 345,393 0.22
------------ ------
HOTELS RESTAURANTS & LEISURE
McDonald's Corp. ............ 25,994 1,152,314 0.75
Other Securities(1).......... 560,020 0.36
------------ ------
1,712,334 1.11
------------ ------
HOUSEHOLD DURABLES
Other Securities(1).......... 679,445 0.44
------------ ------
HOUSEHOLD PRODUCTS
Kimberly-Clark Corp. ........ 9,709 659,727 0.43
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1).......... 1,104,302 0.72
------------ ------
INDUSTRIAL CONGLOMERATES
General Electric Co. ........ 219,745 8,176,712 5.30
Tyco International, Ltd. .... 42,993 1,306,987 0.85
Other Securities(1).......... 211,451 0.14
------------ ------
9,695,150 6.29
------------ ------
</Table>
See accompanying notes to financial statements.
89
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INSURANCE
American International Group,
Inc. ...................... 48,280 $ 3,459,745 2.24%
The Allstate Corp. .......... 13,139 855,480 0.55
The St. Paul Travelers Cos.,
Inc. ...................... 14,657 786,934 0.51
Other Securities(1).......... 5,743,948 3.74
------------ ------
10,846,107 7.04
------------ ------
IT SERVICES
Other Securities(1).......... 589,088 0.38
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1).......... 489,690 0.32
------------ ------
MACHINERY
Other Securities(1).......... 1,594,671 1.03
------------ ------
MEDIA
The Walt Disney Co. ......... 40,898 1,401,574 0.91
Other Securities(1).......... 1,114,416 0.72
------------ ------
2,515,990 1.63
------------ ------
METALS & MINING
Other Securities(1).......... 1,342,791 0.87
------------ ------
MULTI-UTILITIES
Dominion Resources, Inc. .... 7,487 627,710 0.41
Other Securities(1).......... 2,114,136 1.37
------------ ------
2,741,846 1.78
------------ ------
MULTILINE RETAIL
Other Securities(1).......... 333,341 0.22
------------ ------
OFFICE ELECTRONICS
Other Securities(1).......... 341,763 0.22
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ............... 46,575 3,424,660 2.22
ConocoPhillips............... 32,633 2,347,944 1.52
Exxon Mobil Corp. ........... 123,270 9,446,180 6.13
Marathon Oil Corp. .......... 7,432 687,460 0.45
Occidental Petroleum
Corp. ..................... 17,983 878,110 0.57
Other Securities(1).......... 1,547,175 1.00
------------ ------
18,331,529 11.89
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1).......... 789,389 0.51
------------ ------
PHARMACEUTICALS
Abbott Laboratories.......... 32,668 1,591,258 1.03
Bristol-Myers Squibb Co. .... 41,248 1,085,648 0.70
Eli Lilly & Co. ............. 20,391 1,062,371 0.69
Merck & Co., Inc. ........... 46,135 2,011,486 1.31
Pfizer, Inc. ................ 152,273 3,943,871 2.56
Other Securities(1).......... 83,755 0.05
------------ ------
9,778,389 6.34
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1).......... 3,872,066 2.51
------------ ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1).......... $ 86,023 0.06%
------------ ------
ROAD & RAIL
Other Securities(1).......... 1,411,315 0.92
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ................. 123,240 2,495,610 1.62
Other Securities(1).......... 350,935 0.23
------------ ------
2,846,545 1.85
------------ ------
SOFTWARE
Oracle Corp. (a)............. 85,341 1,462,745 0.95
Other Securities(1).......... 527,353 0.34
------------ ------
1,990,098 1.29
------------ ------
SPECIALTY RETAIL
Other Securities(1).......... 475,103 0.31
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1).......... 231,791 0.15
------------ ------
THRIFTS & MORTGAGE FINANCE
Fannie Mae................... 20,545 1,220,168 0.79
Freddie Mac.................. 14,710 998,809 0.65
Washington Mutual, Inc. ..... 19,928 906,525 0.59
Other Securities(1).......... 723,752 0.47
------------ ------
3,849,254 2.50
------------ ------
TOBACCO
Altria Group, Inc. .......... 43,838 3,762,177 2.44
Other Securities(1).......... 595,386 0.39
------------ ------
4,357,563 2.83
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1).......... 119,737 0.08
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1).......... 472,651 0.31
------------ ------
TOTAL COMMON STOCKS --
(Cost $132,344,934)........ 153,573,824 99.64
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $327,786)............ 327,786 327,786 0.21
------------ ------
TOTAL INVESTMENTS
(Cost $132,672,720)........ 153,901,610 99.85
------------ ------
OTHER ASSETS AND
LIABILITIES................ 237,401 0.15
------------ ------
NET ASSETS................... $154,139,011 100.00%
============ ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
See accompanying notes to financial statements.
90
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Goodrich Corp. ................ 1,332 $ 60,673 0.36%
Other Securities(1)............ 54,972 0.32
----------- ------
115,645 0.68
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)............ 25,834 0.15
----------- ------
AIRLINES
AMR Corp. (a).................. 2,100 63,483 0.38
Other Securities(1)............ 122,662 0.72
----------- ------
186,145 1.10
----------- ------
AUTO COMPONENTS
Other Securities(1)............ 106,633 0.63
----------- ------
AUTOMOBILES
Other Securities(1)............ 17,860 0.11
----------- ------
BEVERAGES
Other Securities(1)............ 40,691 0.24
----------- ------
BIOTECHNOLOGY
Other Securities(1)............ 196,013 1.16
----------- ------
BUILDING PRODUCTS
Other Securities(1)............ 71,368 0.42
----------- ------
CAPITAL MARKETS
Other Securities(1)............ 391,149 2.31
----------- ------
CHEMICALS
Other Securities(1)............ 542,622 3.20
----------- ------
COMMERCIAL BANKS
First Horizon National
Corp. ....................... 1,319 55,108 0.32
Mercantile Bankshares Corp. ... 1,339 62,652 0.37
Other Securities(1)............ 521,307 3.08
----------- ------
639,067 3.77
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Dun & Bradstreet Corp. (a)..... 656 54,310 0.32
Equifax, Inc. ................. 1,336 54,241 0.32
Manpower, Inc. ................ 907 67,961 0.40
Monster Worldwide, Inc. (a).... 1,231 57,414 0.34
Robert Half International,
Inc. ........................ 1,789 66,408 0.39
Other Securities(1)............ 307,318 1.82
----------- ------
607,652 3.59
----------- ------
COMMUNICATIONS EQUIPMENT
Avaya, Inc. (a)................ 4,879 68,209 0.40
Other Securities(1)............ 152,728 0.90
----------- ------
220,937 1.30
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)............ 117,782 0.70
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)............ 109,977 0.65
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)............ 73,712 0.44
----------- ------
CONSUMER FINANCE
Other Securities(1)............ 75,733 0.45
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
CONTAINERS & PACKAGING
Sealed Air Corp. .............. 861 $ 55,896 0.33%
Temple-Inland, Inc. ........... 1,142 52,566 0.31
Other Securities(1)............ 290,171 1.71
----------- ------
398,633 2.35
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)............ 151,615 0.90
----------- ------
DIVERSIFIED FINANCIAL SERVICES
IntercontinentalExchange, Inc.
(a).......................... 581 62,690 0.37
Other Securities(1)............ 31,960 0.19
----------- ------
94,650 0.56
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Level 3 Communications, Inc.
(a).......................... 10,584 59,270 0.35
Other Securities(1)............ 151,270 0.89
----------- ------
210,540 1.24
----------- ------
ELECTRIC UTILITIES
Pepco Holdings, Inc. .......... 2,012 52,332 0.31
Pinnacle West Capital Corp. ... 1,059 53,681 0.32
Other Securities(1)............ 240,580 1.42
----------- ------
346,593 2.05
----------- ------
ELECTRICAL EQUIPMENT
American Power Conversion
Corp. ....................... 1,935 59,192 0.35
Other Securities(1)............ 140,226 0.83
----------- ------
199,418 1.18
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Amphenol Corp. (Class A)....... 933 57,921 0.34
Other Securities(1)............ 403,781 2.39
----------- ------
461,702 2.73
----------- ------
ENERGY EQUIPMENT & SERVICES
Pride International, Inc.
(a).......................... 1,748 52,458 0.31
Other Securities(1)............ 304,105 1.80
----------- ------
356,563 2.11
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)............ 30,518 0.18
----------- ------
FOOD PRODUCTS
Dean Foods Co. (a)............. 1,437 60,756 0.36
Other Securities(1)............ 188,736 1.11
----------- ------
249,492 1.47
----------- ------
GAS UTILITIES
Other Securities(1)............ 287,648 1.70
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)............ 506,136 2.99
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Health Management Associates,
Inc. ........................ 2,570 54,253 0.32
Health Net, Inc. (a)........... 1,251 60,874 0.36
Other Securities(1)............ 438,142 2.59
----------- ------
553,269 3.27
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)............ 53,191 0.31
----------- ------
</Table>
See accompanying notes to financial statements.
91
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOTELS RESTAURANTS & LEISURE
Darden Restaurants, Inc. ...... 1,430 $ 57,443 0.34%
Other Securities(1)............ 229,340 1.35
----------- ------
286,783 1.69
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)............ 278,191 1.64
----------- ------
HOUSEHOLD PRODUCTS
Other Securities(1)............ 70,248 0.41
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)............ 31,161 0.18
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)............ 64,443 0.38
----------- ------
INSURANCE
Fidelity National Title Group,
Inc. ........................ 2,321 55,426 0.33
Old Republic International
Corp. ....................... 2,289 53,288 0.31
Other Securities(1)............ 738,399 4.36
----------- ------
847,113 5.00
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)............ 15,938 0.09
----------- ------
INTERNET SOFTWARE & SERVICES
VeriSign, Inc. (a)............. 2,618 62,963 0.37
----------- ------
IT SERVICES
Other Securities(1)............ 356,968 2.11
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)............ 73,083 0.43
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Waters Corp. (a)............... 1,084 53,083 0.31
Other Securities(1)............ 202,905 1.20
----------- ------
255,988 1.51
----------- ------
MACHINERY
Joy Global, Inc. .............. 1,267 61,247 0.36
Terex Corp. (a)................ 1,086 70,134 0.41
Other Securities(1)............ 495,836 2.93
----------- ------
627,217 3.70
----------- ------
MEDIA
The Interpublic Group of Cos.,
Inc. (a)..................... 4,707 57,614 0.34
Other Securities(1)............ 329,844 1.95
----------- ------
387,458 2.29
----------- ------
METALS & MINING
Other Securities(1)............ 174,151 1.03
----------- ------
MULTI-UTILITIES
Wisconsin Energy Corp. ........ 1,249 59,277 0.35
Other Securities(1)............ 459,844 2.72
----------- ------
519,121 3.07
----------- ------
MULTILINE RETAIL
Dollar General Corp. .......... 3,329 53,464 0.32
Other Securities(1)............ 128,293 0.75
----------- ------
181,757 1.07
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
OFFICE ELECTRONICS
Other Securities(1)............ $ 26,127 0.15%
----------- ------
OIL, GAS & CONSUMABLE FUELS
Pioneer Natural Resources
Co. ......................... 1,309 51,954 0.31
Other Securities(1)............ 797,312 4.70
----------- ------
849,266 5.01
----------- ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. ............ 1,927 57,926 0.34
Other Securities(1)............ 24,307 0.15
----------- ------
82,233 0.49
----------- ------
PERSONAL PRODUCTS
Other Securities(1)............ 42,245 0.25
----------- ------
PHARMACEUTICALS
Sepracor, Inc. (a)............. 1,161 71,495 0.42
Other Securities(1)............ 171,075 1.01
----------- ------
242,570 1.43
----------- ------
REAL ESTATE INVESTMENT TRUSTS
AMB Property Corp. ............ 957 56,090 0.33
Apartment Investment &
Management Co. (Class A)..... 1,037 58,093 0.34
Duke Realty Corp. ............. 1,440 58,896 0.35
Health Care Property Investors,
Inc. ........................ 2,053 75,592 0.45
iStar Financial, Inc. ......... 1,348 64,461 0.38
Macerich Co. .................. 763 66,053 0.39
Regency Centers Corp. ......... 725 56,673 0.33
SL Green Realty Corp. ......... 489 64,929 0.38
Other Securities(1)............ 995,527 5.88
----------- ------
1,496,314 8.83
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
CB Richard Ellis Group, Inc.
(Class A) (a)................ 2,141 71,081 0.42
Realogy Corp. (a).............. 2,275 68,978 0.41
Other Securities(1)............ 78,404 0.46
----------- ------
218,463 1.29
----------- ------
ROAD & RAIL
Other Securities(1)............ 169,200 1.00
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)............ 353,448 2.09
----------- ------
SOFTWARE
Cadence Design Systems, Inc.
(a).......................... 2,962 53,050 0.31
Other Securities(1)............ 355,569 2.10
----------- ------
408,619 2.41
----------- ------
SPECIALTY RETAIL
CarMax, Inc. (a)............... 1,137 60,977 0.36
Tiffany & Co. ................. 1,475 57,879 0.34
Other Securities(1)............ 578,945 3.42
----------- ------
697,801 4.12
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)............ 116,442 0.69
----------- ------
</Table>
See accompanying notes to financial statements.
92
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
THRIFTS & MORTGAGE FINANCE
MGIC Investment Corp. ......... 886 $ 55,410 0.33%
Other Securities(1)............ 233,405 1.38
----------- ------
288,815 1.71
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)............ 50,608 0.30
----------- ------
WATER UTILITIES
Other Securities(1)............ 32,074 0.19
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Telephone & Data Systems,
Inc. ........................ 1,095 59,492 0.35
Other Securities(1)............ 68,674 0.41
----------- ------
128,166 0.76
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TOTAL COMMON STOCKS -- (Cost
$15,278,541)................. $16,873,762 99.63%
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment Class
Prime Fund
(Cost $47,789)............... 47,789 47,789 0.28
----------- ------
TOTAL INVESTMENTS
(Cost $15,326,330)........... 16,921,551 99.91
OTHER ASSETS AND LIABILITIES... 15,524 0.09
----------- ------
NET ASSETS..................... 16,937,075 100.00
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
See accompanying notes to financial statements.
93
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)............ $ 137,505 0.65%
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)............ 64,644 0.30
----------- ------
AIRLINES
UAL Corp. (a).................. 2,621 115,324 0.54
Other Securities(1)............ 191,545 0.90
----------- ------
306,869 1.44
----------- ------
AUTO COMPONENTS
Other Securities(1)............ 237,452 1.11
----------- ------
AUTOMOBILES
Other Securities(1)............ 44,606 0.21
----------- ------
BEVERAGES
Other Securities(1)............ 64,767 0.30
----------- ------
BIOTECHNOLOGY
Cephalon, Inc. (a)............. 1,628 114,628 0.54
Vertex Pharmaceuticals, Inc.
(a).......................... 3,346 125,207 0.59
Other Securities(1)............ 249,693 1.17
----------- ------
489,528 2.30
----------- ------
CAPITAL MARKETS
Other Securities(1)............ 495,635 2.33
----------- ------
CHEMICALS
Sigma-Aldrich Corp. ........... 1,509 117,279 0.55
Other Securities(1)............ 159,628 0.75
----------- ------
276,907 1.30
----------- ------
COMMERCIAL BANKS
Other Securities(1)............ 54,157 0.25
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Dun & Bradstreet Corp. (a)..... 1,640 135,776 0.64
Manpower, Inc. ................ 2,269 170,016 0.80
Monster Worldwide, Inc. (a).... 3,079 143,605 0.68
Robert Half International,
Inc. ........................ 4,476 166,149 0.78
Other Securities(1)............ 643,660 3.01
----------- ------
1,259,206 5.91
----------- ------
COMMUNICATIONS EQUIPMENT
Avaya, Inc. (a)................ 12,206 170,640 0.80
Other Securities(1)............ 96,944 0.46
----------- ------
267,584 1.26
----------- ------
COMPUTERS & PERIPHERALS
Western Digital Corp. (a)...... 5,895 120,612 0.57
Other Securities(1)............ 173,995 0.81
----------- ------
294,607 1.38
----------- ------
CONSTRUCTION & ENGINEERING
Jacobs Engineering Group, Inc.
(a).......................... 1,572 128,181 0.60
----------- ------
CONSTRUCTION MATERIALS
Martin Marietta Materials,
Inc. ........................ 1,211 125,835 0.59
Other Securities(1)............ 58,548 0.28
----------- ------
184,383 0.87
----------- ------
CONSUMER FINANCE
Other Securities(1)............ 188,855 0.89
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
CONTAINERS & PACKAGING
Ball Corp. .................... 2,779 $ 121,164 0.57%
Pactiv Corp. (a)............... 3,554 126,842 0.59
Other Securities(1)............ 91,107 0.43
----------- ------
339,113 1.59
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)............ 197,888 0.93
----------- ------
DIVERSIFIED FINANCIAL SERVICES
IntercontinentalExchange, Inc.
(a).......................... 1,453 156,779 0.74
Other Securities(1)............ 79,961 0.37
----------- ------
236,740 1.11
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Level 3 Communications, Inc.
(a).......................... 26,477 148,271 0.69
Other Securities(1)............ 129,649 0.61
----------- ------
277,920 1.30
----------- ------
ELECTRICAL EQUIPMENT
Roper Industries, Inc. ........ 2,320 116,557 0.55
Other Securities(1)............ 90,171 0.42
----------- ------
206,728 0.97
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Amphenol Corp. (Class A)....... 2,334 144,895 0.68
Other Securities(1)............ 454,740 2.14
----------- ------
599,635 2.82
----------- ------
ENERGY EQUIPMENT & SERVICES
Pride International, Inc.
(a).......................... 4,374 131,264 0.62
Other Securities(1)............ 552,137 2.59
----------- ------
683,401 3.21
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)............ 76,350 0.36
----------- ------
FOOD PRODUCTS
Dean Foods Co. (a)............. 3,595 151,997 0.71
----------- ------
GAS UTILITIES
Equitable Resources, Inc. ..... 3,037 126,795 0.60
ONEOK, Inc. ................... 2,750 118,580 0.56
Other Securities(1)............ 81,722 0.38
----------- ------
327,097 1.54
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)............ 1,066,069 5.01
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Health Management Associates,
Inc. ........................ 6,428 135,695 0.64
Health Net, Inc. (a)........... 3,114 151,527 0.71
Henry Schein, Inc. (a)......... 2,358 115,495 0.54
Patterson Cos., Inc. (a)....... 3,452 122,580 0.58
Other Securities(1)............ 770,277 3.62
----------- ------
1,295,574 6.09
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)............ 133,091 0.62
----------- ------
</Table>
See accompanying notes to financial statements.
94
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOTELS RESTAURANTS & LEISURE
Darden Restaurants, Inc. ...... 3,577 $ 143,688 0.68%
Other Securities(1)............ 499,580 2.34
----------- ------
643,268 3.02
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)............ 297,756 1.40
----------- ------
HOUSEHOLD PRODUCTS
Other Securities(1)............ 175,740 0.83
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)............ 36,301 0.17
----------- ------
INSURANCE
Axis Capital Holdings, Ltd. ... 3,755 125,304 0.59
Markel Corp. (a)............... 258 123,866 0.58
Other Securities(1)............ 499,921 2.35
----------- ------
749,091 3.52
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)............ 38,987 0.18
----------- ------
INTERNET SOFTWARE & SERVICES
VeriSign, Inc. (a)............. 6,548 157,479 0.74
----------- ------
IT SERVICES
Other Securities(1)............ 693,164 3.26
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Waters Corp. (a)............... 2,711 132,757 0.63
Other Securities(1)............ 432,884 2.03
----------- ------
565,641 2.66
----------- ------
MACHINERY
Joy Global, Inc. .............. 3,170 153,238 0.72
Terex Corp. (a)................ 2,717 175,464 0.82
Other Securities(1)............ 231,683 1.09
----------- ------
560,385 2.63
----------- ------
MEDIA
Discovery Holding Co. (Class A)
(a).......................... 7,482 120,385 0.57
R.H. Donnelley Corp. .......... 1,879 117,870 0.55
XM Satellite Radio Holdings,
Inc. (Class A) (a)........... 7,946 114,820 0.54
Other Securities(1)............ 217,116 1.02
----------- ------
570,191 2.68
----------- ------
METALS & MINING
Other Securities(1)............ 138,196 0.65
----------- ------
MULTILINE RETAIL
Dollar General Corp. .......... 8,328 133,748 0.63
Other Securities(1)............ 194,062 0.91
----------- ------
327,810 1.54
----------- ------
OFFICE ELECTRONICS
Other Securities(1)............ 65,370 0.31
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
OIL, GAS & CONSUMABLE FUELS
Arch Coal, Inc. ............... 3,824 $ 114,835 0.54%
Pioneer Natural Resources
Co. ......................... 3,275 129,985 0.61
Other Securities(1)............ 987,466 4.64
----------- ------
1,232,286 5.79
----------- ------
PERSONAL PRODUCTS
Other Securities(1)............ 104,652 0.49
----------- ------
PHARMACEUTICALS
Sepracor, Inc. (a)............. 2,905 178,890 0.84
Other Securities(1)............ 324,877 1.53
----------- ------
503,767 2.37
----------- ------
REAL ESTATE INVESTMENT TRUSTS
SL Green Realty Corp. ......... 1,223 162,390 0.76
Other Securities(1)............ 205,005 0.97
----------- ------
367,395 1.73
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
CB Richard Ellis Group, Inc.
(Class A) (a)................ 5,357 177,852 0.84
Realogy Corp. (a).............. 5,691 172,551 0.81
Other Securities(1)............ 196,301 0.92
----------- ------
546,704 2.57
----------- ------
ROAD & RAIL
Other Securities(1)............ 157,887 0.74
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)............ 509,257 2.39
----------- ------
SOFTWARE
Activision, Inc. (a)........... 7,488 129,093 0.61
McAfee, Inc. (a)............... 4,254 120,729 0.57
Red Hat, Inc. (a).............. 5,093 117,139 0.55
Other Securities(1)............ 287,800 1.35
----------- ------
654,761 3.08
----------- ------
SPECIALTY RETAIL
CarMax, Inc. (a)............... 2,844 152,524 0.72
Tiffany & Co. ................. 3,690 144,796 0.68
Other Securities(1)............ 1,143,722 5.37
----------- ------
1,441,042 6.77
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Liz Claiborne, Inc. ........... 2,738 118,993 0.56
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)............ 125,920 0.59
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Telephone & Data Systems,
Inc. ........................ 2,739 148,810 0.70
Other Securities(1)............ 171,494 0.80
----------- ------
320,304 1.50
----------- ------
TOTAL COMMON STOCKS --
(Cost $19,272,150)........... 21,188,836 99.53
----------- ------
</Table>
See accompanying notes to financial statements.
95
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment Class
Prime Fund
(Cost $97,193)............... 97,193 $ 97,193 0.46%
----------- ------
TOTAL INVESTMENTS
(Cost $19,369,343)........... 21,286,029 99.99
OTHER ASSETS AND LIABILITIES... 2,726 0.01
----------- ------
NET ASSETS..................... $21,288,755 100.00%
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
See accompanying notes to financial statements.
96
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Goodrich Corp. ................. 1,382 $ 62,950 0.72%
---------- ------
AIRLINES
AMR Corp. (a)................... 2,184 66,022 0.75
---------- ------
AUTO COMPONENTS
Other Securities(1)............. 12,185 0.14
---------- ------
BEVERAGES
Other Securities(1)............. 14,854 0.17
---------- ------
BUILDING PRODUCTS
Other Securities(1)............. 73,749 0.84
---------- ------
CAPITAL MARKETS
A.G. Edwards, Inc. ............. 850 53,796 0.61
Janus Capital Group, Inc. ...... 2,201 47,520 0.54
Other Securities(1)............. 99,524 1.14
---------- ------
200,840 2.29
---------- ------
CHEMICALS
Eastman Chemical Co. ........... 905 53,675 0.61
Other Securities(1)............. 394,996 4.51
---------- ------
448,671 5.12
---------- ------
COMMERCIAL BANKS
Associated Bancorp.............. 1,355 47,263 0.54
First Horizon National Corp. ... 1,371 57,280 0.65
Mercantile Bankshares Corp. .... 1,392 65,132 0.74
Popular, Inc. .................. 2,833 50,852 0.58
Other Securities(1)............. 420,499 4.81
---------- ------
641,026 7.32
---------- ------
COMMERCIAL SERVICES & SUPPLIES
Equifax, Inc. .................. 1,390 56,434 0.65
Republic Services, Inc. ........ 1,279 52,017 0.59
---------- ------
108,451 1.24
---------- ------
COMMUNICATIONS EQUIPMENT
Comverse Technology, Inc. (a)... 2,236 47,202 0.54
Other Securities(1)............. 71,934 0.82
---------- ------
119,136 1.36
---------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)............. 61,124 0.70
---------- ------
CONTAINERS & PACKAGING
Sealed Air Corp. ............... 895 58,103 0.66
Temple-Inland, Inc. ............ 1,188 54,684 0.63
Other Securities(1)............. 160,772 1.83
---------- ------
273,559 3.12
---------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)............. 75,402 0.86
---------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
CenturyTel, Inc. ............... 1,207 52,698 0.60
Citizens Communications Co. .... 3,563 51,200 0.59
---------- ------
103,898 1.19
---------- ------
ELECTRIC UTILITIES
Northeast Utilities............. 1,705 48,013 0.55
Pepco Holdings, Inc. ........... 2,093 54,439 0.62
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Pinnacle West Capital Corp. .... 1,101 $ 55,810 0.64%
Reliant Energy, Inc. (a)........ 3,426 48,684 0.56
Other Securities(1)............. 153,497 1.75
---------- ------
360,443 4.12
---------- ------
ELECTRICAL EQUIPMENT
American Power Conversion
Corp. ........................ 2,007 61,394 0.70
Other Securities(1)............. 59,652 0.68
---------- ------
121,046 1.38
---------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)............. 229,783 2.62
---------- ------
ENERGY EQUIPMENT & SERVICES
Other Securities(1)............. 86,338 0.99
---------- ------
FOOD PRODUCTS
McCormick & Co., Inc. .......... 1,307 50,398 0.58
Other Securities(1)............. 145,921 1.66
---------- ------
196,319 2.24
---------- ------
GAS UTILITIES
Other Securities(1)............. 162,905 1.86
---------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)............. 82,013 0.94
---------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)............. 36,251 0.41
---------- ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1)............. 30,576 0.35
---------- ------
HOUSEHOLD DURABLES
Leggett & Platt, Inc. .......... 1,988 47,513 0.54
Other Securities(1)............. 118,259 1.35
---------- ------
165,772 1.89
---------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)............. 31,950 0.36
---------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)............. 51,933 0.59
---------- ------
INSURANCE
Fidelity National Title Group,
Inc. ......................... 2,439 58,243 0.66
Old Republic International
Corp. ........................ 2,381 55,430 0.63
Other Securities(1)............. 454,343 5.19
---------- ------
568,016 6.48
---------- ------
IT SERVICES
Sabre Holdings Corp. (Class
A)............................ 1,457 46,464 0.53
Other Securities(1)............. 36,383 0.42
---------- ------
82,847 0.95
---------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)............. 76,021 0.87
---------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)............. 31,011 0.35
---------- ------
MACHINERY
Pall Corp. ..................... 1,357 46,884 0.54
Other Securities(1)............. 372,171 4.24
---------- ------
419,055 4.78
---------- ------
</Table>
See accompanying notes to financial statements.
97
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
MEDIA
The Interpublic Group of Cos.,
Inc. (a)...................... 4,895 $ 59,915 0.68%
Other Securities(1)............. 105,771 1.21
---------- ------
165,686 1.89
---------- ------
METALS & MINING
Other Securities(1)............. 123,532 1.41
---------- ------
MULTI-UTILITIES
Alliant Energy Corp. ........... 1,289 48,686 0.56
CenterPoint Energy, Inc. ....... 3,052 50,602 0.58
MDU Resources Group, Inc. ...... 1,847 47,357 0.54
SCANA Corp. .................... 1,170 47,525 0.54
Wisconsin Energy Corp. ......... 1,299 61,651 0.70
Other Securities(1)............. 284,155 3.24
---------- ------
539,976 6.16
---------- ------
MULTILINE RETAIL
Other Securities(1)............. 52,784 0.60
---------- ------
OIL, GAS & CONSUMABLE FUELS
Tesoro Corp. ................... 747 49,130 0.56
Other Securities(1)............. 321,805 3.68
---------- ------
370,935 4.24
---------- ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. ............. 2,005 60,270 0.69
Other Securities(1)............. 25,298 0.29
---------- ------
85,568 0.98
---------- ------
PHARMACEUTICALS
Other Securities(1)............. 42,729 0.49
---------- ------
REAL ESTATE INVESTMENT TRUSTS
AMB Property Corp. ............. 985 57,731 0.66
Apartment Investment &
Management Co. (Class A)...... 1,078 60,390 0.69
Duke Realty Corp. .............. 1,497 61,227 0.70
Federal Realty Investment
Trust......................... 613 52,105 0.60
Health Care Property Investors,
Inc. ......................... 2,154 79,310 0.91
iStar Financial, Inc. .......... 1,402 67,044 0.77
Liberty Property Trust.......... 1,000 49,140 0.56
Macerich Co. ................... 794 68,737 0.79
Regency Centers Corp. .......... 754 58,940 0.67
United Dominion Realty Trust,
Inc. ......................... 1,491 47,399 0.54
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Ventas, Inc. ................... 1,153 $ 48,795 0.56%
Other Securities(1)............. 752,319 8.57
---------- ------
1,403,137 16.02
---------- ------
ROAD & RAIL
Other Securities(1)............. 109,961 1.26
---------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)............. 155,453 1.78
---------- ------
SOFTWARE
Cadence Design Systems, Inc.
(a)........................... 3,081 55,181 0.63
Other Securities(1)............. 97,602 1.11
---------- ------
152,783 1.74
---------- ------
SPECIALTY RETAIL
Other Securities(1)............. 126,197 1.44
---------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)............. 71,672 0.82
---------- ------
THRIFTS & MORTGAGE FINANCE
MGIC Investment Corp. .......... 922 57,662 0.66
New York Community Bancorp,
Inc. ......................... 2,972 47,849 0.55
Radian Group, Inc. ............. 895 48,249 0.55
Other Securities(1)............. 146,471 1.67
---------- ------
300,231 3.43
---------- ------
WATER UTILITIES
Other Securities(1)............. 33,373 0.38
---------- ------
TOTAL COMMON STOCKS --
(Cost $8,064,254)............. 8,728,163 99.64
---------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment Class
Prime Fund
(Cost $17,310)................ 17,310 17,310 0.20
---------- ------
TOTAL INVESTMENTS
(Cost $8,081,564)............. 8,745,473 99.84
OTHER ASSETS AND LIABILITIES.... 13,907 0.16
---------- ------
NET ASSETS...................... $8,759,380 100.00%
========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
See accompanying notes to financial statements.
98
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)........... $ 175,444 1.15%
----------- -------
AIR FREIGHT & LOGISTICS
Other Securities(1)........... 60,071 0.39
----------- -------
AIRLINES
Continental Airlines, Inc.
(Class B) (a)............... 707 29,164 0.19
US Airways Group, Inc. (a).... 513 27,625 0.18
Other Securities(1)........... 63,259 0.41
----------- -------
120,048 0.78
----------- -------
AUTO COMPONENTS
The Goodyear Tire & Rubber Co.
(a)......................... 1,243 26,091 0.17
Other Securities(1)........... 113,102 0.74
----------- -------
139,193 0.91
----------- -------
AUTOMOBILES
Other Securities(1)........... 28,064 0.18
----------- -------
BEVERAGES
Other Securities(1)........... 35,730 0.23
----------- -------
BIOTECHNOLOGY
Other Securities(1)........... 302,333 1.98
----------- -------
BUILDING PRODUCTS
Other Securities(1)........... 107,826 0.70
----------- -------
CAPITAL MARKETS
Affiliated Managers Group,
Inc. (a).................... 242 25,441 0.17
Other Securities(1)........... 204,388 1.33
----------- -------
229,829 1.50
----------- -------
CHEMICALS
Celanese Corp. ............... 1,096 28,365 0.19
Other Securities(1)........... 371,552 2.42
----------- -------
399,917 2.61
----------- -------
COMMERCIAL BANKS
Cullen/Frost Bankers, Inc. ... 440 24,561 0.16
Other Securities(1)........... 782,021 5.11
----------- -------
806,582 5.27
----------- -------
COMMERCIAL SERVICES & SUPPLIES
Stericycle, Inc. (a).......... 351 26,500 0.17
Other Securities(1)........... 527,902 3.45
----------- -------
554,402 3.62
----------- -------
COMMUNICATIONS EQUIPMENT
Other Securities(1)........... 328,326 2.15
----------- -------
COMPUTERS & PERIPHERALS
Other Securities(1)........... 143,661 0.94
----------- -------
CONSTRUCTION & ENGINEERING
Foster Wheeler, Ltd. (a)...... 540 29,776 0.19
Other Securities(1)........... 112,954 0.74
----------- -------
142,730 0.93
----------- -------
CONSTRUCTION MATERIALS
Other Securities(1)........... 54,523 0.36
----------- -------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
CONSUMER FINANCE
First Marblehead Corp. ....... 484 $ 26,451 0.17%
Other Securities(1)........... 53,565 0.35
----------- -------
80,016 0.52
----------- -------
CONTAINERS & PACKAGING
Other Securities(1)........... 88,133 0.58
----------- -------
DISTRIBUTORS
Other Securities(1)........... 12,157 0.08
----------- -------
DIVERSIFIED CONSUMER SERVICES
Service Corp. International... 2,338 23,964 0.16
Other Securities(1)........... 180,888 1.18
----------- -------
204,852 1.34
----------- -------
DIVERSIFIED FINANCIAL SERVICES
IntercontinentalExchange, Inc.
(a)......................... 430 46,397 0.30
Other Securities(1)........... 55,538 0.37
----------- -------
101,935 0.67
----------- -------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)........... 112,689 0.74
----------- -------
ELECTRIC UTILITIES
Sierra Pacific Resources
(a)......................... 1,751 29,469 0.19
Other Securities(1)........... 163,461 1.07
----------- -------
192,930 1.26
----------- -------
ELECTRICAL EQUIPMENT
Other Securities(1)........... 189,398 1.24
----------- -------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Avnet, Inc. (a)............... 1,158 29,564 0.19
Mettler Toledo International,
Inc. (a).................... 313 24,680 0.16
Other Securities(1)........... 353,039 2.31
----------- -------
407,283 2.66
----------- -------
ENERGY EQUIPMENT & SERVICES
Other Securities(1)........... 377,259 2.47
----------- -------
FOOD & STAPLES RETAILING
Other Securities(1)........... 122,160 0.80
----------- -------
FOOD PRODUCTS
Other Securities(1)........... 187,645 1.23
----------- -------
GAS UTILITIES
AGL Resources, Inc. .......... 618 24,046 0.16
Energen Corp. ................ 519 24,362 0.16
National Fuel Gas Co. ........ 628 24,203 0.16
Southern Union Co. ........... 864 24,149 0.16
Other Securities(1)........... 165,106 1.07
----------- -------
261,866 1.71
----------- -------
HEALTH CARE EQUIPMENT & SUPPLIES
Intuitive Surgical, Inc.
(a)......................... 295 28,290 0.18
ResMed, Inc. (a).............. 607 29,877 0.20
Other Securities(1)........... 430,383 2.81
----------- -------
488,550 3.19
----------- -------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)........... 335,422 2.19
----------- -------
</Table>
See accompanying notes to financial statements.
99
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)........... $ 73,997 0.48%
----------- -------
HOTELS RESTAURANTS & LEISURE
Other Securities(1)........... 432,950 2.83
----------- -------
HOUSEHOLD DURABLES
Other Securities(1)........... 237,116 1.55
----------- -------
HOUSEHOLD PRODUCTS
Other Securities(1)........... 38,205 0.25
----------- -------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)........... 35,437 0.23
----------- -------
INDUSTRIAL CONGLOMERATES
Other Securities(1)........... 64,567 0.42
----------- -------
INSURANCE
Erie Indemnity Co. (Class
A).......................... 410 23,772 0.16
HCC Insurance Holdings,
Inc. ....................... 876 28,111 0.18
PartnerRe, Ltd. .............. 450 31,964 0.21
RenaissanceRe Holdings,
Ltd. ....................... 495 29,700 0.19
Other Securities(1)........... 514,314 3.36
----------- -------
627,861 4.10
----------- -------
INTERNET & CATALOG RETAIL
Other Securities(1)........... 78,975 0.52
----------- -------
INTERNET SOFTWARE & SERVICES
Other Securities(1)........... 210,677 1.38
----------- -------
IT SERVICES
Convergys Corp. (a)........... 1,097 26,087 0.17
Other Securities(1)........... 282,994 1.85
----------- -------
309,081 2.02
----------- -------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)........... 84,833 0.55
----------- -------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)........... 156,946 1.03
----------- -------
MACHINERY
Harsco Corp. ................. 328 24,961 0.16
The Manitowoc Co., Inc. ...... 487 28,942 0.19
Other Securities(1)........... 431,882 2.82
----------- -------
485,785 3.17
----------- -------
MARINE
Other Securities(1)........... 53,148 0.35
----------- -------
MEDIA
Other Securities(1)........... 333,714 2.18
----------- -------
METALS & MINING
Commercial Metals Co. ........ 953 24,587 0.16
Other Securities(1)........... 269,941 1.77
----------- -------
294,528 1.93
----------- -------
MULTI-UTILITIES
CMS Energy Corp. (a).......... 1,750 29,225 0.19
OGE Energy Corp. ............. 713 28,520 0.19
Other Securities(1)........... 115,004 0.75
----------- -------
172,749 1.13
----------- -------
MULTILINE RETAIL
Other Securities(1)........... 72,809 0.48
----------- -------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
OFFICE ELECTRONICS
Other Securities(1)........... $ 19,413 0.13%
----------- -------
OIL, GAS & CONSUMABLE FUELS
Cimarex Energy Co. ........... 653 23,834 0.16
Denbury Resources, Inc. (a)... 943 26,206 0.17
Frontier Oil Corp. ........... 880 25,291 0.17
Plains All American Pipeline
LP.......................... 619 31,693 0.21
TEPPCO Partners LP............ 598 24,105 0.16
Other Securities(1)........... 749,046 4.88
----------- -------
880,175 5.75
----------- -------
PAPER & FOREST PRODUCTS
Other Securities(1)........... 54,742 0.36
----------- -------
PERSONAL PRODUCTS
Other Securities(1)........... 71,746 0.47
----------- -------
PHARMACEUTICALS
Other Securities(1)........... 131,322 0.86
----------- -------
REAL ESTATE INVESTMENT TRUSTS
Brandywine Realty Trust....... 717 23,840 0.16
BRE Properties, Inc. (Class
A).......................... 405 26,333 0.17
Essex Property Trust, Inc. ... 185 23,911 0.16
Health Care REIT, Inc. ....... 568 24,435 0.16
Rayonier, Inc. ............... 602 24,712 0.16
Reckson Associates Realty
Corp. ...................... 652 29,731 0.20
Other Securities(1)........... 953,631 6.22
----------- -------
1,106,593 7.23
----------- -------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Jones Lang LaSalle, Inc. ..... 287 26,453 0.18
Other Securities(1)........... 14,375 0.09
----------- -------
40,828 0.27
----------- -------
ROAD & RAIL
Ryder Systems, Inc. .......... 484 24,713 0.16
Other Securities(1)........... 186,530 1.22
----------- -------
211,243 1.38
----------- -------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Agere Systems, Inc. (a)....... 1,340 25,688 0.17
Integrated Device Technology,
Inc. (a).................... 1,586 24,551 0.16
Other Securities(1)........... 451,951 2.95
----------- -------
502,190 3.28
----------- -------
SOFTWARE
NAVTEQ Corp. (a).............. 732 25,598 0.17
Other Securities(1)........... 418,728 2.73
----------- -------
444,326 2.90
----------- -------
SPECIALTY RETAIL
GameStop Corp. (Class A)
(a)......................... 519 28,602 0.19
OfficeMax, Inc. .............. 577 28,648 0.19
Other Securities(1)........... 438,683 2.86
----------- -------
495,933 3.24
----------- -------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)........... 208,672 1.36
----------- -------
</Table>
See accompanying notes to financial statements.
100
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
THRIFTS & MORTGAGE FINANCE
IndyMac Bancorp, Inc. ........ 548 $ 24,748 0.16%
Other Securities(1)........... 257,706 1.69
----------- -------
282,454 1.85
----------- -------
TOBACCO
Other Securities(1)........... 14,272 0.09
----------- -------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)........... 125,900 0.82
----------- -------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)........... 11,602 0.08
----------- -------
WATER UTILITIES
Aqua America, Inc. ........... 1,044 23,782 0.16
Other Securities(1)........... 15,157 0.09
----------- -------
38,939 0.25
----------- -------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)........... 75,427 0.49
----------- -------
TOTAL COMMON STOCKS --
(Cost $15,160,490).......... 15,270,129 99.79
----------- -------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
RIGHTS
Affordable Residential
Communities, Inc. (expiring
1/23/07) (a)(c)............. 389 $ 343 0.00(b)%
----------- -------
Revlon, Inc. (expiring
1/19/07) (a)................ 1,860 93 0.00(b)
----------- -------
TOTAL RIGHTS --
(Cost $0)................... 436 0.00(b)
----------- -------
WARRANTS
Pegasus (a) (Cost $0)......... 97 -- --
----------- -------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $58,609).............. 58,609 58,609 0.39
----------- -------
TOTAL INVESTMENTS
(Cost $15,219,099).......... 15,329,174 100.18
OTHER ASSETS AND
LIABILITIES................. (26,906) (0.18)
----------- -------
NET ASSETS.................... $15,302,268 100.00%
=========== =======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Amount shown represents less than 0.005% of net assets.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
See accompanying notes to financial statements.
101
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)........... $ 1,312,759 1.57%
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)........... 666,171 0.80
----------- ------
AIRLINES
Continental Airlines, Inc.
(Class B) (a)............... 7,922 326,783 0.39
US Airways Group, Inc. (a).... 5,767 310,553 0.37
Other Securities(1)........... 540,187 0.65
----------- ------
1,177,523 1.41
----------- ------
AUTO COMPONENTS
The Goodyear Tire & Rubber Co.
(a)......................... 13,981 293,461 0.35
Other Securities(1)........... 344,232 0.41
----------- ------
637,693 0.76
----------- ------
AUTOMOBILES
Other Securities(1)........... 279,634 0.33
----------- ------
BEVERAGES
Other Securities(1)........... 289,650 0.35
----------- ------
BIOTECHNOLOGY
Other Securities(1)........... 3,309,981 3.96
----------- ------
BUILDING PRODUCTS
Other Securities(1)........... 277,800 0.33
----------- ------
CAPITAL MARKETS
Affiliated Managers Group,
Inc. (a).................... 2,665 280,172 0.34
Investors Financial Services
Corp. ...................... 5,727 244,371 0.29
Other Securities(1)........... 419,256 0.50
----------- ------
943,799 1.13
----------- ------
CHEMICALS
Other Securities(1)........... 766,639 0.92
----------- ------
COMMERCIAL BANKS
Other Securities(1)........... 1,914,545 2.29
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Corrections Corp. of America
(a)......................... 5,305 239,945 0.29
Stericycle, Inc. (a).......... 3,897 294,223 0.35
The Brink's Co. .............. 3,968 253,635 0.30
Other Securities(1)........... 3,179,742 3.81
----------- ------
3,967,545 4.75
----------- ------
COMMUNICATIONS EQUIPMENT
F5 Networks, Inc. (a)......... 3,580 265,672 0.32
Polycom, Inc. (a)............. 7,821 241,747 0.29
Other Securities(1)........... 1,963,064 2.35
----------- ------
2,470,483 2.96
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)........... 982,861 1.18
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)........... 133,704 0.16
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)........... 472,369 0.56
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
CONSUMER FINANCE
First Marblehead Corp. ....... 5,381 $ 294,044 0.35%
Other Securities(1)........... 511,068 0.61
----------- ------
805,112 0.96
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)........... 165,335 0.20
----------- ------
DISTRIBUTORS
Other Securities(1)........... 49,557 0.06
----------- ------
DIVERSIFIED CONSUMER SERVICES
ITT Educational Services, Inc.
(a)......................... 3,696 245,303 0.29
Other Securities(1)........... 1,687,514 2.02
----------- ------
1,932,817 2.31
----------- ------
DIVERSIFIED FINANCIAL SERVICES
IntercontinentalExchange, Inc.
(a)......................... 4,807 518,675 0.62
Nasdaq Stock Market, Inc.
(a)......................... 8,665 266,796 0.32
Other Securities(1)........... 253,928 0.30
----------- ------
1,039,399 1.24
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)........... 927,138 1.11
----------- ------
ELECTRIC UTILITIES
Other Securities(1)........... 98,912 0.12
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)........... 1,170,096 1.40
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Mettler Toledo International,
Inc. (a).................... 3,506 276,448 0.33
Trimble Navigation, Ltd.
(a)......................... 4,878 247,461 0.30
Other Securities(1)........... 2,056,565 2.46
----------- ------
2,580,474 3.09
----------- ------
ENERGY EQUIPMENT & SERVICES
Superior Energy Services, Inc.
(a)......................... 7,042 230,133 0.28
Other Securities(1)........... 2,927,800 3.50
----------- ------
3,157,933 3.78
----------- ------
FOOD & STAPLES RETAILING
Rite Aid Corp. (a)............ 46,714 254,124 0.30
Other Securities(1)........... 641,620 0.77
----------- ------
895,744 1.07
----------- ------
FOOD PRODUCTS
Other Securities(1)........... 325,737 0.39
----------- ------
GAS UTILITIES
Energen Corp. ................ 5,818 273,097 0.33
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Edwards Lifesciences Corp.
(a)......................... 5,193 244,279 0.29
Gen-Probe, Inc. (a)........... 4,624 242,159 0.29
Hologic, Inc. (a)............. 4,725 223,398 0.27
IDEXX Laboratories, Inc.
(a)......................... 2,792 221,406 0.26
Intuitive Surgical, Inc.
(a)......................... 3,276 314,168 0.38
ResMed, Inc. (a).............. 6,763 332,875 0.40
Respironics, Inc. (a)......... 6,461 243,903 0.29
Other Securities(1)........... 2,897,752 3.47
----------- ------
4,719,940 5.65
----------- ------
</Table>
See accompanying notes to financial statements.
102
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE PROVIDERS & SERVICES
VCA Antech, Inc. (a).......... 7,345 $ 236,436 0.28%
Other Securities(1)........... 2,948,359 3.53
----------- ------
3,184,795 3.81
----------- ------
HEALTH CARE TECHNOLOGY
Cerner Corp. (a).............. 5,436 247,338 0.30
Other Securities(1)........... 576,580 0.69
----------- ------
823,918 0.99
----------- ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1)........... 2,940,518 3.52
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)........... 860,925 1.03
----------- ------
HOUSEHOLD PRODUCTS
Church & Dwight Co., Inc. .... 5,699 243,062 0.29
Other Securities(1)........... 37,714 0.05
----------- ------
280,776 0.34
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)........... 34,795 0.04
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)........... 164,902 0.20
----------- ------
INSURANCE
HCC Insurance Holdings,
Inc. ....................... 9,822 315,188 0.38
Philadelphia Consolidated
Holding Corp. (a)........... 5,264 234,564 0.28
Other Securities(1)........... 481,304 0.57
----------- ------
1,031,056 1.23
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)........... 899,761 1.08
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)........... 2,275,538 2.72
----------- ------
IT SERVICES
Hewitt Associates, Inc. (Class
A) (a)...................... 9,007 231,930 0.28
MoneyGram International,
Inc. ....................... 7,537 236,360 0.28
Other Securities(1)........... 1,683,123 2.01
----------- ------
2,151,413 2.57
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)........... 540,793 0.65
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)........... 1,450,795 1.74
----------- ------
MACHINERY
Other Securities(1)........... 1,074,800 1.29
----------- ------
MARINE
Other Securities(1)........... 299,752 0.36
----------- ------
MEDIA
Other Securities(1)........... 1,754,256 2.10
----------- ------
METALS & MINING
Meridian Gold, Inc. (a)....... 8,988 249,777 0.30
Other Securities(1)........... 522,821 0.62
----------- ------
772,598 0.92
----------- ------
MULTILINE RETAIL
Other Securities(1)........... 157,397 0.19
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
OFFICE ELECTRONICS
Other Securities(1)........... $ 217,611 0.26%
----------- ------
OIL, GAS & CONSUMABLE FUELS
Cabot Oil & Gas Corp. ........ 4,338 263,100 0.31
Cimarex Energy Co. ........... 7,312 266,888 0.32
Denbury Resources, Inc. (a)... 10,573 293,824 0.35
Frontier Oil Corp. ........... 9,784 281,192 0.34
Helix Energy Solutions Group,
Inc. (a).................... 7,308 229,252 0.27
Other Securities(1)........... 4,027,704 4.83
----------- ------
5,361,960 6.42
----------- ------
PERSONAL PRODUCTS
NBTY, Inc. (a)................ 5,366 223,065 0.27
Other Securities(1)........... 428,100 0.51
----------- ------
651,165 0.78
----------- ------
PHARMACEUTICALS
Other Securities(1)........... 1,167,881 1.40
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Essex Property Trust, Inc. ... 2,058 265,996 0.32
Other Securities(1)........... 895,241 1.07
----------- ------
1,161,237 1.39
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Jones Lang LaSalle, Inc. ..... 3,214 296,234 0.36
Other Securities(1)........... 68,043 0.08
----------- ------
364,277 0.44
----------- ------
ROAD & RAIL
Other Securities(1)........... 791,525 0.95
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Agere Systems, Inc. (a)....... 15,088 289,237 0.35
Atmel Corp. (a)............... 39,823 240,929 0.29
Other Securities(1)........... 3,653,836 4.37
----------- ------
4,184,002 5.01
----------- ------
SOFTWARE
Fair Isaac Corp. ............. 5,554 225,770 0.27
NAVTEQ Corp. (a).............. 8,204 286,894 0.34
Other Securities(1)........... 3,711,371 4.44
----------- ------
4,224,035 5.05
----------- ------
SPECIALTY RETAIL
Claire's Stores, Inc. ........ 8,001 265,153 0.32
GameStop Corp. (Class A)
(a)......................... 5,856 322,724 0.39
Other Securities(1)........... 3,139,546 3.75
----------- ------
3,727,423 4.46
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)........... 1,230,554 1.47
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)........... 389,082 0.46
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Wesco International, Inc.
(a)......................... 4,338 255,118 0.31
Other Securities(1)........... 448,721 0.53
----------- ------
703,839 0.84
----------- ------
</Table>
See accompanying notes to financial statements.
103
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WIRELESS TELECOMMUNICATION SERVICES
Leap Wireless International,
Inc. (a).................... 4,377 $ 260,300 0.31%
Other Securities(1)........... 546,619 0.65
----------- ------
806,919 0.96
----------- ------
TOTAL COMMON STOCKS --
(Cost $76,765,005).......... 83,424,745 99.84
----------- ------
RIGHTS
Revlon, Inc. (expiring
1/19/07) (a) (Cost $0)...... 14,700 735 0.00(b)
----------- ------
WARRANTS
Pegasus (a) (Cost $0)......... 569 -- --
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $225,471)............. 225,471 $ 225,471 0.27%
----------- ------
TOTAL INVESTMENTS
(Cost $76,990,476).......... 83,650,951 100.11
OTHER ASSETS AND
LIABILITIES................. (90,195) (0.11)
----------- ------
NET ASSETS.................... $83,560,756 100.00%
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Amount shown represents less than 0.005% of net assets.
See accompanying notes to financial statements.
104
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)........... $ 700,354 0.73%
----------- ------
AIRLINES
Other Securities(1)........... 179,308 0.19
----------- ------
AUTO COMPONENTS
Other Securities(1)........... 1,008,238 1.05
----------- ------
AUTOMOBILES
Other Securities(1)........... 37,864 0.04
----------- ------
BEVERAGES
Other Securities(1)........... 132,719 0.14
----------- ------
BIOTECHNOLOGY
Other Securities(1)........... 102,067 0.11
----------- ------
BUILDING PRODUCTS
Other Securities(1)........... 1,024,506 1.07
----------- ------
CAPITAL MARKETS
Raymond James Financial,
Inc. ....................... 9,093 275,609 0.29
Other Securities(1)........... 1,502,209 1.57
----------- ------
1,777,818 1.86
----------- ------
CHEMICALS
Albemarle Corp. .............. 3,768 270,542 0.28
Celanese Corp. ............... 13,458 348,293 0.36
FMC Corp. .................... 3,526 269,915 0.28
Other Securities(1)........... 3,157,353 3.31
----------- ------
4,046,103 4.23
----------- ------
COMMERCIAL BANKS
Cullen/Frost Bankers, Inc. ... 5,444 303,884 0.32
Wilmington Trust Corp. ....... 6,646 280,262 0.29
Other Securities(1)........... 7,162,413 7.49
----------- ------
7,746,559 8.10
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)........... 2,401,758 2.51
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)........... 1,304,032 1.36
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)........... 673,020 0.70
----------- ------
CONSTRUCTION & ENGINEERING
Foster Wheeler, Ltd. (a)...... 6,673 367,949 0.39
Other Securities(1)........... 1,235,577 1.29
----------- ------
1,603,526 1.68
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)........... 150,684 0.16
----------- ------
CONSUMER FINANCE
Other Securities(1)........... 92,845 0.10
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)........... 898,758 0.94
----------- ------
DISTRIBUTORS
Other Securities(1)........... 96,203 0.10
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
DIVERSIFIED CONSUMER SERVICES
Service Corp. International... 28,591 $ 293,058 0.31%
Other Securities(1)........... 92,287 0.09
----------- ------
385,345 0.40
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)........... 113,528 0.12
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)........... 377,863 0.39
----------- ------
ELECTRIC UTILITIES
Sierra Pacific Resources
(a)......................... 21,552 362,720 0.38
Other Securities(1)........... 1,881,290 1.97
----------- ------
2,244,010 2.35
----------- ------
ELECTRICAL EQUIPMENT
Thomas & Betts Corp. (a)...... 5,830 275,642 0.29
Other Securities(1)........... 737,357 0.77
----------- ------
1,012,999 1.06
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Avnet, Inc. (a)............... 14,158 361,454 0.38
Other Securities(1)........... 1,795,613 1.87
----------- ------
2,157,067 2.25
----------- ------
ENERGY EQUIPMENT & SERVICES
Tidewater, Inc. .............. 5,582 269,945 0.28
Veritas DGC, Inc. (a)......... 3,299 282,493 0.30
Other Securities(1)........... 629,005 0.65
----------- ------
1,181,443 1.23
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)........... 515,276 0.54
----------- ------
FOOD PRODUCTS
Other Securities(1)........... 1,898,649 1.98
----------- ------
GAS UTILITIES
AGL Resources, Inc. .......... 7,602 295,794 0.31
National Fuel Gas Co. ........ 7,699 296,720 0.31
Southern Union Co. ........... 10,938 305,717 0.32
UGI Corp. .................... 10,174 277,547 0.29
Other Securities(1)........... 1,740,388 1.82
----------- ------
2,916,166 3.05
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)........... 829,600 0.87
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)........... 614,137 0.64
----------- ------
HOTELS RESTAURANTS & LEISURE
Other Securities(1)........... 2,089,203 2.18
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)........... 1,949,598 2.04
----------- ------
HOUSEHOLD PRODUCTS
Other Securities(1)........... 154,094 0.16
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Dynegy, Inc. (Class A) (a).... 38,757 280,601 0.29
Other Securities(1)........... 118,799 0.13
----------- ------
399,400 0.42
----------- ------
</Table>
See accompanying notes to financial statements.
105
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)........... $ 631,097 0.66%
----------- ------
INSURANCE
Erie Indemnity Co. (Class
A).......................... 5,014 290,712 0.30
PartnerRe, Ltd. .............. 5,506 391,091 0.41
RenaissanceRe Holdings,
Ltd. ....................... 6,092 365,520 0.38
Other Securities(1)........... 5,462,052 5.71
----------- ------
6,509,375 6.80
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)........... 84,527 0.09
----------- ------
IT SERVICES
Convergys Corp. (a)........... 13,326 316,892 0.33
Other Securities(1)........... 1,104,774 1.16
----------- ------
1,421,666 1.49
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)........... 434,601 0.45
----------- ------
LIFE SCIENCES TOOLS & SERVICES
PerkinElmer, Inc. ............ 12,210 271,428 0.29
Other Securities(1)........... 59,799 0.06
----------- ------
331,227 0.35
----------- ------
MACHINERY
AGCO Corp. (a)................ 8,718 269,735 0.28
Flowserve Corp. (a)........... 5,456 275,364 0.29
Harsco Corp. ................. 4,004 304,704 0.32
The Manitowoc Co., Inc. ...... 6,022 357,887 0.37
Trinity Industries, Inc. ..... 7,695 270,864 0.28
Other Securities(1)........... 3,273,429 3.43
----------- ------
4,751,983 4.97
----------- ------
MARINE
Other Securities(1)........... 325,379 0.34
----------- ------
MEDIA
Other Securities(1)........... 2,144,892 2.24
----------- ------
METALS & MINING
Commercial Metals Co. ........ 11,689 301,576 0.32
Steel Dynamics, Inc. ......... 8,896 288,675 0.30
Other Securities(1)........... 2,176,897 2.27
----------- ------
2,767,148 2.89
----------- ------
MULTI-UTILITIES
CMS Energy Corp. (a).......... 21,439 358,031 0.37
OGE Energy Corp. ............. 8,792 351,680 0.37
Puget Energy, Inc. ........... 11,156 282,916 0.30
Other Securities(1)........... 1,120,129 1.17
----------- ------
2,112,756 2.21
----------- ------
MULTILINE RETAIL
Other Securities(1)........... 713,787 0.75
----------- ------
OIL, GAS & CONSUMABLE FUELS
Plains All American Pipeline
LP.......................... 7,741 396,339 0.41
TEPPCO Partners LP............ 7,321 295,109 0.31
Other Securities(1)........... 4,149,927 4.34
----------- ------
4,841,375 5.06
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
PAPER & FOREST PRODUCTS
Other Securities(1)........... $ 669,113 0.70%
----------- ------
PERSONAL PRODUCTS
Other Securities(1)........... 178,053 0.19
----------- ------
PHARMACEUTICALS
Other Securities(1)........... 325,701 0.34
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Alexandria Real Estate
Equities, Inc. ............. 2,836 284,734 0.30
Brandywine Realty Trust....... 8,741 290,638 0.30
BRE Properties, Inc. (Class
A).......................... 4,913 319,443 0.33
CBL & Associates Properties,
Inc. ....................... 6,234 270,244 0.28
Health Care REIT, Inc. ....... 7,003 301,269 0.31
Rayonier, Inc. ............... 7,380 302,949 0.32
Realty Income Corp. .......... 9,704 268,801 0.28
Reckson Associates Realty
Corp. ...................... 8,060 367,536 0.38
Other Securities(1)........... 9,823,065 10.28
----------- ------
12,228,679 12.78
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)........... 103,628 0.11
----------- ------
ROAD & RAIL
Ryder Systems, Inc. .......... 5,934 302,990 0.32
Other Securities(1)........... 1,421,418 1.48
----------- ------
1,724,408 1.80
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Integrated Device Technology,
Inc. (a).................... 19,412 300,498 0.31
Other Securities(1)........... 1,283,213 1.35
----------- ------
1,583,711 1.66
----------- ------
SOFTWARE
Compuware Corp. (a)........... 34,124 284,253 0.30
Other Securities(1)........... 512,241 0.53
----------- ------
796,494 0.83
----------- ------
SPECIALTY RETAIL
OfficeMax, Inc. .............. 7,264 360,658 0.38
Other Securities(1)........... 1,663,376 1.74
----------- ------
2,024,034 2.12
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Phillips-Van Heusen Corp. .... 5,355 268,660 0.28
Other Securities(1)........... 934,596 0.98
----------- ------
1,203,256 1.26
----------- ------
THRIFTS & MORTGAGE FINANCE
IndyMac Bancorp, Inc. ........ 6,913 312,191 0.33
Other Securities(1)........... 2,719,885 2.84
----------- ------
3,032,076 3.17
----------- ------
TOBACCO
Other Securities(1)........... 173,470 0.18
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)........... 770,027 0.80
----------- ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)........... 138,295 0.14
----------- ------
</Table>
See accompanying notes to financial statements.
106
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WATER UTILITIES
Aqua America, Inc. ........... 12,757 $ 290,605 0.30%
Other Securities(1)........... 185,826 0.20
----------- ------
476,431 0.50
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)........... 53,442 0.06
----------- ------
TOTAL COMMON STOCKS --
(Cost $84,571,845).......... 95,365,371 99.69
----------- ------
RIGHTS
Affordable Residential
Communities, Inc. (expiring
1/23/07) (a)(b)
(Cost $0)................... 3,407 3,010 0.00(c)
----------- ------
</Table>
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
AIM Short Term Investment
Class Prime Fund
(Cost $282,096)............. 282,096 $ 282,096 0.30%
----------- ------
TOTAL INVESTMENTS
(Cost $84,853,941).......... 95,650,477 99.99
OTHER ASSETS AND
LIABILITIES................. 7,863 0.01
----------- ------
NET ASSETS.................... $95,658,340 100.00
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represent less than one
percent of the net assets of the Fund as of December 31, 2006.
(a) Non-income producing security
(b) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
(c) Amount shown represents less than 0.005% of net assets.
See accompanying notes to financial statements.
107
SPDR DJ GLOBAL TITANS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
FINLAND -- 1.1%
Nokia Oyj ADR........................ 103,304 $ 2,099,137
------------
FRANCE -- 2.2%
Total SA ADR......................... 57,749 4,153,308
------------
GERMANY -- 1.1%
Siemens AG ADR....................... 21,157 2,085,022
------------
ITALY -- 1.1%
Eni SpA ADR.......................... 31,638 2,128,605
------------
JAPAN -- 4.4%
Mitsubishi UFJ Financial Group, Inc.
ADR................................ 248,575 3,094,759
Toyota Motor Corp. ADR............... 38,461 5,165,697
------------
8,260,456
------------
NETHERLANDS -- 1.3%
ING Groep N.V. ADR................... 53,132 2,346,841
------------
SOUTH KOREA -- 1.1%
Samsung Electronics Co., Ltd. GDR*... 6,283 2,067,107
------------
SPAIN -- 1.3%
Telefonica SA ADR.................... 36,378 2,319,098
------------
SWITZERLAND -- 7.2%
Nestle SA............................ 10,195 3,616,314
Novartis AG ADR...................... 63,024 3,620,099
Roche Holding AG..................... 17,896 3,203,306
UBS AG............................... 48,221 2,909,173
------------
13,348,892
------------
UNITED KINGDOM -- 17.2%
AstraZeneca PLC ADR.................. 39,267 2,102,748
Barclays PLC ADR..................... 41,368 2,405,135
BP PLC ADR........................... 82,757 5,552,995
GlaxoSmithKline PLC ADR.............. 76,129 4,016,566
HBOS PLC............................. 101,764 2,254,575
HSBC Holdings PLC ADR................ 58,663 5,376,464
Royal Bank of Scotland Group PLC..... 85,271 3,326,081
Royal Dutch Shell PLC ADR............ 47,323 3,349,995
Vodafone Group PLC ADR............... 133,927 3,720,492
------------
32,105,051
------------
UNITED STATES -- 62.0%
Abbott Laboratories.................. 38,870 1,893,358
Altria Group, Inc. .................. 52,630 4,516,707
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
American International Group,
Inc. .............................. 57,929 $ 4,151,192
AT&T, Inc. .......................... 97,644 3,490,773
Bank of America Corp. ............... 114,300 6,102,477
Chevron Corp. ....................... 55,835 4,105,547
Cisco Systems, Inc. (a).............. 154,745 4,229,181
Citigroup, Inc. ..................... 126,311 7,035,523
ConocoPhillips....................... 39,130 2,815,403
Dell, Inc. (a)....................... 50,684 1,271,662
Exxon Mobil Corp. ................... 148,257 11,360,934
General Electric Co. ................ 264,141 9,828,687
Hewlett-Packard Co. ................. 69,633 2,868,183
Intel Corp. ......................... 147,718 2,991,289
International Business Machines
Corp. ............................. 38,255 3,716,473
Johnson & Johnson.................... 73,714 4,866,598
JPMorgan Chase & Co. ................ 88,235 4,261,750
Merck & Co., Inc. ................... 55,293 2,410,775
Microsoft Corp. ..................... 222,493 6,643,641
Morgan Stanley....................... 24,533 1,997,722
PepsiCo, Inc. ....................... 42,222 2,640,986
Pfizer, Inc. ........................ 183,333 4,748,325
Procter & Gamble Co. ................ 80,681 5,185,368
The Coca-Cola Co. ................... 54,693 2,638,937
Time Warner, Inc. ................... 100,995 2,199,671
Verizon Communications, Inc. ........ 73,616 2,741,460
Wal-Mart Stores, Inc. ............... 65,616 3,030,147
Wyeth................................ 33,690 1,715,495
------------
115,458,264
------------
TOTAL COMMON STOCKS --
(Cost $169,299,708)................ 186,371,781
------------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class Prime
Fund (Cost $74,736)................ 74,736 74,736
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $169,374,444)................ 186,446,517
OTHER ASSETS AND LIABILITIES -- 0.0%
(B)................................ (81,279)
------------
NET ASSETS -- 100.0%................. $186,365,238
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
ADR = American Depositary Receipt
GDR = Global Depositary Receipt
* Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 1.1% of net assets as of December 31, 2006, is
considered liquid and may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
See accompanying notes to financial statements.
108
DJ WILSHIRE REIT ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.4%
DIVERSIFIED REIT'S -- 8.4%
Colonial Properties Trust......... 185,514 $ 8,696,896
Crescent Real Estate Equities
Co. ............................ 387,439 7,651,920
Liberty Property Trust............ 363,590 17,866,813
PS Business Parks, Inc. .......... 65,122 4,604,777
Vornado Realty Trust.............. 531,092 64,527,678
Washington Real Estate Investment
Trust........................... 181,111 7,244,440
--------------
110,592,524
--------------
INDUSTRIAL REIT'S -- 7.4%
AMB Property Corp. ............... 360,717 21,141,623
EastGroup Properties, Inc. ....... 95,640 5,122,478
First Industrial Realty Trust,
Inc. ........................... 179,539 8,418,584
First Potomac Realty Trust........ 97,406 2,835,489
ProLogis.......................... 999,369 60,731,654
--------------
98,249,828
--------------
OFFICE REIT'S -- 22.6%
Alexandria Real Estate Equities,
Inc. ........................... 117,529 11,799,912
American Financial Realty Trust... 518,442 5,930,976
BioMed Realty Trust, Inc. ........ 264,508 7,564,929
Boston Properties, Inc. .......... 471,849 52,790,466
Brandywine Realty Trust........... 365,449 12,151,179
Corporate Office Properties
Trust........................... 170,756 8,618,055
Cousins Properties, Inc. ......... 163,061 5,751,161
Digital Realty Trust, Inc. ....... 178,186 6,099,307
Douglas Emmett, Inc. ............. 266,518 7,086,714
Duke Realty Corp. ................ 544,480 22,269,232
Equity Office Properties Trust.... 1,414,090 68,116,715
Highwoods Properties, Inc. ....... 226,449 9,230,061
HRPT Properties Trust............. 847,440 10,465,884
Kilroy Realty Corp. .............. 130,769 10,199,982
Mack-Cali Realty Corp. ........... 251,696 12,836,496
Maguire Properties, Inc. ......... 146,241 5,849,640
Parkway Properties, Inc. ......... 60,080 3,064,681
Reckson Associates Realty
Corp. .......................... 333,431 15,204,454
SL Green Realty Corp. ............ 184,858 24,545,445
--------------
299,575,289
--------------
RESIDENTIAL REIT'S -- 20.2%
American Campus Communities,
Inc. ........................... 89,496 2,547,951
Apartment Investment & Management
Co. (Class A)................... 392,199 21,970,988
Archstone-Smith Trust............. 883,565 51,432,319
Associated Estates Realty
Corp. .......................... 60,294 828,440
Avalonbay Communities, Inc. ...... 300,151 39,034,638
BRE Properties, Inc. (Class A).... 203,666 13,242,363
Camden Property Trust............. 227,612 16,809,146
Education Realty Trust, Inc. ..... 106,709 1,576,092
Equity Lifestyle Properties,
Inc. ........................... 87,699 4,773,457
Equity Residential................ 1,176,347 59,699,610
Essex Property Trust, Inc. ....... 94,338 12,193,186
GMH Communities Trust............. 167,838 1,703,556
Home Properties, Inc. ............ 133,062 7,886,585
Mid-America Apartment Communities,
Inc. ........................... 98,943 5,663,497
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Post Properties, Inc. ............ 174,615 $ 7,979,906
Sun Communities, Inc. ............ 67,904 2,197,373
United Dominion Realty Trust,
Inc. ........................... 542,298 17,239,653
--------------
266,778,760
--------------
RETAIL REIT'S -- 27.4%
Acadia Realty Trust............... 113,435 2,838,144
Alexander's, Inc. (a)............. 8,123 3,408,817
CBL & Associates Properties,
Inc. ........................... 258,918 11,224,095
Cedar Shopping Centers, Inc. ..... 169,318 2,693,849
Developers Diversified Realty
Corp. .......................... 442,776 27,872,749
Equity One, Inc. ................. 151,201 4,031,019
Federal Realty Investment Trust... 223,019 18,956,615
General Growth Properties,
Inc. ........................... 915,114 47,796,404
Glimcher Realty Trust............. 147,992 3,952,866
Inland Real Estate Corp. ......... 246,862 4,621,257
Kimco Realty Corp. ............... 876,188 39,384,651
Kite Realty Group Trust........... 115,411 2,148,953
Macerich Co. ..................... 288,645 24,987,998
Mills Corp. ...................... 206,392 4,127,840
New Plan Excel Realty Trust....... 421,002 11,569,135
Pennsylvania Real Estate
Investment Trust................ 148,070 5,830,997
Ramco-Gershenson Properties
Trust........................... 66,880 2,550,803
Regency Centers Corp. ............ 274,175 21,432,260
Saul Centers, Inc. ............... 45,236 2,496,575
Simon Property Group, Inc. ....... 891,877 90,338,221
Tanger Factory Outlet Centers,
Inc. ........................... 124,064 4,848,421
Taubman Centers, Inc. ............ 213,176 10,842,131
Weingarten Realty Investors....... 320,675 14,786,324
--------------
362,740,124
--------------
SPECIALIZED REIT'S -- 13.4%
Ashford Hospitality Trust,
Inc. ........................... 261,125 3,251,006
DiamondRock Hospitality Co. ...... 290,054 5,223,873
Equity Inns, Inc. ................ 219,870 3,509,125
Extra Space Storage, Inc. ........ 259,142 4,731,933
FelCor Lodging Trust, Inc. ....... 250,451 5,469,850
Hersha Hospitality Trust.......... 127,442 1,445,192
Highland Hospitality Corp. ....... 234,013 3,334,685
Hospitality Properties Trust...... 326,059 15,497,584
Host Hotels & Resorts, Inc. ...... 2,103,756 51,647,210
Innkeepers USA Trust.............. 182,493 2,828,641
LaSalle Hotel Properties.......... 161,481 7,403,904
Public Storage, Inc. ............. 519,244 50,626,290
Sovran Self Storage, Inc. ........ 79,438 4,550,209
Strategic Hotels & Resorts,
Inc. ........................... 304,567 6,636,515
Sunstone Hotel Investors, Inc. ... 232,984 6,227,662
U-Store-It Trust.................. 190,352 3,911,734
Winston Hotels, Inc. ............. 117,987 1,563,328
--------------
177,858,741
--------------
TOTAL COMMON STOCKS --
(Cost $1,056,498,471)........... 1,315,795,266
--------------
</Table>
See accompanying notes to financial statements
109
DJ WILSHIRE REIT ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class
Prime Fund (Cost $100).......... 100 $ 100
--------------
TOTAL INVESTMENTS -- 99.4%
(Cost $1,056,498,571)........... 1,315,795,366
OTHER ASSETS AND
LIABILITIES -- 0.6%............. 7,672,260
--------------
NET ASSETS -- 100.0%.............. $1,323,467,626
==============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements
110
KBW BANK ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
ASSET MANAGEMENT & CUSTODY BANKS -- 12.0%
Northern Trust Corp. ................. 38,582 $ 2,341,542
State Street Corp. (a)................ 43,073 2,904,843
The Bank of New York Co., Inc. ....... 79,816 3,142,356
-----------
8,388,741
-----------
CONSUMER FINANCE -- 3.8%
Capital One Financial Corp. .......... 34,471 2,648,062
-----------
DIVERSIFIED BANKS -- 19.9%
Comerica, Inc. ....................... 29,597 1,736,752
U.S. Bancorp.......................... 91,917 3,326,476
Wachovia Corp. ....................... 63,295 3,604,651
Wells Fargo & Co. .................... 147,652 5,250,505
-----------
13,918,384
-----------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 24.6%
Bank of America Corp. ................ 105,216 5,617,482
Citigroup, Inc. ...................... 102,646 5,717,382
JPMorgan Chase & Co. ................. 122,138 5,899,264
-----------
17,234,128
-----------
REGIONAL BANKS -- 35.2%
BB&T Corp. ........................... 58,676 2,577,637
Commerce Bancorp, Inc. ............... 21,677 764,548
Compass Bancshares, Inc. ............. 8,721 520,208
Fifth Third Bancorp................... 59,687 2,442,989
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Keycorp............................... 57,467 $ 2,185,470
M&T Bank Corp. ....................... 17,633 2,154,047
Marshall & Ilsley Corp. .............. 24,781 1,192,214
National City Corp. .................. 67,818 2,479,426
PNC Financial Services Group.......... 35,797 2,650,410
Regions Financial Corp. .............. 74,759 2,795,986
SunTrust Banks, Inc. ................. 36,016 3,041,551
Zions Bancorp......................... 22,971 1,893,729
-----------
24,698,215
-----------
THRIFTS & MORTGAGE FINANCE -- 4.2%
Washington Mutual, Inc. .............. 65,484 2,978,867
-----------
TOTAL COMMON STOCKS --
(Cost $68,962,667).................. 69,866,397
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment
Class Prime Fund (Cost $153,591)...... 153,591 153,591
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $69,116,258).................. 70,019,988
OTHER ASSETS AND
LIABILITIES -- 0.1%................... 91,557
-----------
NET ASSETS -- 100.0%.................. $70,111,545
===========
</Table>
(a) Affiliated Issuer. (Note 3)
See accompanying notes to financial statements.
111
KBW CAPITAL MARKETS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
ASSET MANAGEMENT & CUSTODY BANKS -- 24.8%
Franklin Resources, Inc. .......... 48,010 $ 5,289,262
Investors Financial Services
Corp. ........................... 56,290 2,401,894
Janus Capital Group, Inc. ......... 146,820 3,169,844
Legg Mason, Inc. .................. 36,479 3,467,329
SEI Investments Co. ............... 59,282 3,530,836
State Street Corp. (a)............. 75,404 5,085,246
T. Rowe Price Group, Inc. ......... 100,908 4,416,743
------------
27,361,154
------------
INVESTMENT BANKING & BROKERAGE -- 59.1%
A.G. Edwards, Inc. ................ 53,813 3,405,825
E*TRADE Financial Corp. (b)........ 171,778 3,851,263
Goldman Sachs Group, Inc. ......... 51,428 10,252,172
Investment Technology Group, Inc.
(b).............................. 28,474 1,220,965
Jefferies Group, Inc. ............. 56,254 1,508,732
Lehman Brothers Holdings, Inc. .... 107,748 8,417,274
Merrill Lynch & Co., Inc. ......... 109,233 10,169,592
Morgan Stanley..................... 109,630 8,927,171
Raymond James Financial, Inc. ..... 96,004 2,909,881
TD Ameritrade Holding Corp. ....... 202,258 3,272,534
The Bear Stearns Cos., Inc. ....... 34,752 5,656,931
The Charles Schwab Corp. .......... 296,238 5,729,243
------------
65,321,583
------------
SPECIALIZED FINANCE -- 16.0%
Chicago Mercantile Exchange
Holdings, Inc. .................. 12,050 6,142,487
IntercontinentalExchange, Inc.
(b).............................. 14,303 1,543,294
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
International Securities Exchange,
Inc. ............................ 55,834 $ 2,612,473
Nasdaq Stock Market, Inc. (b)...... 78,540 2,418,246
NYSE Group, Inc. (b)............... 50,734 4,931,345
------------
17,647,845
------------
TOTAL COMMON STOCKS --
(Cost $110,224,168).............. 110,330,582
------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment Class
Prime Fund (Cost $70,371)........ 70,371 70,371
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $110,294,539).............. 110,400,953
OTHER ASSETS AND
LIABILITIES -- 0.0% (C).......... 46,285
------------
NET ASSETS -- 100.0%............... $110,447,238
============
</Table>
(a) Affiliated issuer. (Note 3)
(b) Non-income producing security
(c) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
112
KBW INSURANCE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
INSURANCE BROKERS -- 8.1%
Aon Corp. ............................ 60,241 $ 2,128,917
Marsh & McLennan Cos., Inc. .......... 72,840 2,233,274
-----------
4,362,191
-----------
LIFE & HEALTH INSURANCE -- 29.8%
AFLAC, Inc. .......................... 46,488 2,138,448
Lincoln National Corp. ............... 30,723 2,040,007
MetLife, Inc. ........................ 66,382 3,917,202
Principal Financial Group, Inc. ...... 41,644 2,444,503
Prudential Financial, Inc. ........... 45,426 3,900,276
UnumProvident Corp. .................. 82,995 1,724,636
-----------
16,165,072
-----------
MULTI-LINE INSURANCE -- 17.1%
American International Group, Inc. ... 64,763 4,640,917
Genworth Financial, Inc. (Class A).... 47,553 1,626,788
The Hartford Financial Services Group,
Inc. ............................... 32,199 3,004,489
-----------
9,272,194
-----------
PROPERTY & CASUALTY INSURANCE -- 40.1%
ACE, Ltd. ............................ 42,591 2,579,737
Axis Capital Holdings, Ltd. .......... 23,621 788,233
Chubb Corp. .......................... 44,760 2,368,251
Cincinnati Financial Corp. ........... 32,307 1,463,830
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Fidelity National Title Group,
Inc. ............................... 22,543 $ 538,327
MBIA, Inc. ........................... 26,864 1,962,684
SAFECO Corp. ......................... 25,572 1,599,529
The Allstate Corp. ................... 62,538 4,071,849
The Progressive Corp. ................ 82,580 2,000,088
The St. Paul Travelers Cos., Inc. .... 51,351 2,757,035
XL Capital, Ltd. (Class A)............ 22,375 1,611,447
-----------
21,741,010
-----------
REINSURANCE -- 2.1%
Everest Re Group, Ltd. ............... 11,637 1,141,706
-----------
THRIFTS & MORTGAGE FINANCE -- 2.4%
MGIC Investment Corp. ................ 20,364 1,273,565
-----------
TOTAL COMMON STOCKS --
(Cost $52,209,179).................. 53,955,738
-----------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
AIM Short Term Investment Class
Prime Fund (Cost $149,048)............ 149,048 149,048
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $52,358,227).................. 54,104,786
OTHER ASSETS AND
LIABILITIES -- 0.1%................. 64,433
-----------
NET ASSETS -- 100.0%.................. $54,169,219
===========
</Table>
See accompanying notes to financial statements.
113
MORGAN STANLEY TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT -- 20.5%
Avaya, Inc. (a)...................... 399,425 $ 5,583,961
Cisco Systems, Inc. (a).............. 195,968 5,355,805
Juniper Networks, Inc. (a)........... 272,517 5,161,472
Motorola, Inc. ...................... 260,598 5,357,895
Nokia Oyj ADR........................ 265,690 5,398,821
Nortel Networks Corp. (a)............ 233,592 6,243,914
QUALCOMM, Inc. ...................... 136,459 5,156,786
------------
38,258,654
------------
COMPUTERS & PERIPHERALS -- 17.1%
Apple Computer, Inc. (a)............. 61,535 5,220,629
Dell, Inc. (a)....................... 203,460 5,104,811
EMC Corp. (a)........................ 400,967 5,292,765
Hewlett-Packard Co. ................. 135,224 5,569,877
International Business Machines
Corp. ............................. 56,598 5,498,496
Network Appliance, Inc. (a).......... 131,633 5,170,544
------------
31,857,122
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.6%
Jabil Circuit, Inc. ................. 197,693 4,853,363
------------
INTERNET & CATALOG RETAIL -- 2.9%
Amazon.com, Inc. (a)................. 134,882 5,322,444
------------
INTERNET SOFTWARE & SERVICES -- 10.9%
eBay, Inc. (a)....................... 163,655 4,921,106
Google, Inc. (Class A) (a)........... 11,261 5,185,465
VeriSign, Inc. (a)................... 212,883 5,119,836
Yahoo!, Inc. (a)..................... 200,723 5,126,466
------------
20,352,873
------------
IT SERVICES -- 11.8%
Accenture, Ltd. (Class A)............ 155,040 5,725,627
Automatic Data Processing, Inc. ..... 108,701 5,353,524
First Data Corp. .................... 218,475 5,575,482
Infosys Technologies, Ltd. .......... 98,573 5,378,143
------------
22,032,776
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.1%
Applied Materials, Inc. ............. 298,169 $ 5,501,218
Broadcom Corp. (Class A) (a)......... 160,652 5,190,666
Intel Corp. ......................... 257,433 5,213,019
Maxim Integrated Products, Inc. ..... 174,776 5,351,641
NVIDIA Corp. (a)..................... 143,907 5,325,998
Texas Instruments, Inc. ............. 181,899 5,238,691
------------
31,821,233
------------
SOFTWARE -- 17.0%
Electronic Arts, Inc. (a)............ 100,202 5,046,173
Intuit, Inc. (a)..................... 171,233 5,224,319
Microsoft Corp. ..................... 178,726 5,336,758
Oracle Corp. (a)..................... 305,737 5,240,332
SAP AG ADR........................... 104,464 5,547,038
Symantec Corp. (a)................... 255,167 5,320,232
------------
31,714,852
------------
TOTAL COMMON STOCKS --
(Cost $191,921,837)................ 186,213,317
------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment Class Prime
Fund (Cost $229,854)............... 229,854 229,854
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $192,151,691)................ 186,443,171
OTHER ASSETS AND LIABILITIES -- 0.0%
(B)................................ (14,469)
------------
NET ASSETS -- 100.0%................. $186,428,702
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
ADR = American Depositary Receipt
See accompanying notes to financial statements.
114
SPDR S&P DIVIDEND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
BEVERAGES -- 3.3%
Anheuser-Busch Cos., Inc. ......... 65,114 $ 3,203,609
The Coca-Cola Co. ................. 68,520 3,306,090
------------
6,509,699
------------
CHEMICALS -- 5.7%
PPG Industries, Inc. .............. 57,376 3,684,113
Rohm & Haas Co. ................... 60,280 3,081,513
RPM International, Inc. ........... 212,782 4,445,016
------------
11,210,642
------------
COMMERCIAL BANKS -- 29.1%
Associated Bancorp................. 130,811 4,562,688
BB&T Corp. ........................ 112,992 4,963,739
Comerica, Inc. .................... 86,403 5,070,128
Compass Bancshares, Inc. .......... 59,502 3,549,294
Fifth Third Bancorp................ 129,123 5,285,004
First Horizon National Corp. ...... 142,372 5,948,302
Keycorp............................ 133,261 5,067,916
M&T Bank Corp. .................... 21,199 2,589,670
Mercantile Bankshares Corp. ....... 67,151 3,141,995
Regions Financial Corp. ........... 131,212 4,907,329
Synovus Financial Corp. ........... 109,979 3,390,653
U.S. Bancorp....................... 145,023 5,248,382
Wilmington Trust Corp. ............ 90,354 3,810,228
------------
57,535,328
------------
COMMERCIAL SERVICES & SUPPLIES -- 3.0%
ABM Industries, Inc. .............. 128,761 2,924,162
Avery Dennison Corp. .............. 44,203 3,002,710
------------
5,926,872
------------
CONSUMER FINANCE -- 1.4%
SLM Corp. ......................... 56,355 2,748,433
------------
DIVERSIFIED FINANCIAL SERVICES -- 2.7%
Bank of America Corp. ............. 99,848 5,330,885
------------
ELECTRICAL EQUIPMENT -- 1.6%
Emerson Electric Co. .............. 70,733 3,118,618
------------
FOOD PRODUCTS -- 1.2%
Wm. Wrigley Jr., Co. .............. 46,822 2,421,634
------------
GAS UTILITIES -- 8.9%
National Fuel Gas Co. ............. 101,361 3,906,453
Northwest Natural Gas Co. ......... 104,737 4,445,038
Piedmont Natural Gas Co., Inc. .... 154,329 4,128,301
WGL Holdings, Inc. ................ 154,745 5,041,592
------------
17,521,384
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2%
Hillenbrand Industries, Inc. ...... 41,400 2,356,902
------------
HOTELS RESTAURANTS & LEISURE -- 1.5%
McDonald's Corp. .................. 69,266 3,070,562
------------
HOUSEHOLD DURABLES -- 5.8%
La-Z-Boy, Inc. .................... 417,782 4,959,072
Leggett & Platt, Inc. ............. 150,044 3,586,052
The Stanley Works.................. 57,766 2,905,052
------------
11,450,176
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOUSEHOLD PRODUCTS -- 3.2%
Kimberly-Clark Corp. .............. 55,621 $ 3,779,447
Procter & Gamble Co. .............. 38,920 2,501,388
------------
6,280,835
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 2.4%
Black Hills Corp. ................. 128,014 4,728,837
------------
INDUSTRIAL CONGLOMERATES -- 3.3%
3M Co. ............................ 35,759 2,786,699
General Electric Co. .............. 101,427 3,774,099
------------
6,560,798
------------
INSURANCE -- 1.9%
Cincinnati Financial Corp. ........ 83,742 3,794,350
------------
MEDIA -- 1.3%
Gannett Co., Inc. ................. 43,970 2,658,426
------------
MULTI-UTILITIES -- 8.7%
Consolidated Edison, Inc. ......... 125,125 6,014,759
Vectren Corp. ..................... 192,544 5,445,144
WPS Resources Corp. ............... 105,586 5,704,812
------------
17,164,715
------------
PHARMACEUTICALS -- 7.2%
Abbott Laboratories................ 66,410 3,234,831
Eli Lilly & Co. ................... 69,770 3,635,017
Johnson & Johnson.................. 43,460 2,869,229
Pfizer, Inc. ...................... 176,911 4,581,995
------------
14,321,072
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.9%
V. F. Corp. ....................... 44,675 3,666,924
------------
TOBACCO -- 2.6%
Altria Group, Inc. ................ 60,654 5,205,326
------------
WATER UTILITIES -- 1.6%
American States Water Co. ......... 83,719 3,233,228
------------
TOTAL COMMON STOCKS --
(Cost $186,961,543).............. 196,815,646
------------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment Class
Prime Fund (Cost $381,087)....... 381,087 381,087
------------
TOTAL INVESTMENTS -- 99.7%
(Cost $187,342,630).............. 197,196,733
OTHER ASSETS AND
LIABILITIES -- 0.3%.............. 535,550
------------
NET ASSETS -- 100.0%............... $197,732,283
============
</Table>
See accompanying notes to financial statements.
115
SPDR S&P BIOTECH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
BIOTECHNOLOGY -- 99.8%
Alexion Pharmaceuticals, Inc. (a)..... 41,398 $ 1,672,065
Alkermes, Inc. (a).................... 127,318 1,702,242
Amgen, Inc. (a)....................... 25,636 1,751,195
Amylin Pharmaceuticals, Inc. (a)...... 46,950 1,693,486
Biogen Idec, Inc. (a)................. 35,034 1,723,322
BioMarin Pharmaceuticals, Inc. (a).... 106,222 1,740,979
Celgene Corp. (a)..................... 30,751 1,769,105
Cephalon, Inc. (a).................... 24,912 1,754,054
Cubist Pharmaceuticals, Inc. (a)...... 98,797 1,789,214
Digene Corp. (a)...................... 37,407 1,792,543
Genentech, Inc. (a)................... 22,286 1,808,063
Genzyme Corp. (a)..................... 28,386 1,748,010
Gilead Sciences, Inc. (a)............. 27,837 1,807,456
Human Genome Sciences, Inc. (a)....... 141,790 1,763,868
ICOS Corp. (a)........................ 53,899 1,821,247
ImClone Systems, Inc. (a)............. 63,720 1,705,147
Ligand Pharmaceuticals, Inc. (Class B)
(a)................................. 159,827 1,750,106
Martek Biosciences Corp. (a).......... 74,860 1,747,232
Medarex, Inc. (a)..................... 119,073 1,761,090
MedImmune, Inc. (a)................... 54,867 1,776,045
Millennium Pharmaceuticals, Inc.
(a)................................. 155,875 1,699,037
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Myriad Genetics, Inc. (a)............. 58,722 $ 1,837,999
Nuvelo, Inc. (a)...................... 432,126 1,728,504
Onyx Pharmaceuticals, Inc. (a)........ 150,410 1,591,338
OSI Pharmaceuticals, Inc. (a)......... 48,725 1,704,400
PDL BioPharma, Inc. (a)............... 83,544 1,682,576
Regeneron Pharmaceuticals, Inc. (a)... 89,080 1,787,836
Telik, Inc. (a)....................... 107,678 477,014
Theravance, Inc. (a).................. 59,908 1,850,558
United Therapeutics Corp. (a)......... 32,784 1,782,466
Vertex Pharmaceuticals, Inc. (a)...... 46,211 1,729,216
-----------
TOTAL COMMON STOCKS --
(Cost $54,554,224).................. 52,947,413
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment Class
Prime Fund (Cost $138,299).......... 138,299 138,299
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $54,692,523).................. 53,085,712
OTHER ASSETS AND LIABILITIES -- 0.0%
(B)................................. (16,312)
-----------
NET ASSETS -- 100.0%.................. $53,069,400
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
116
SPDR S&P HOMEBUILDERS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
HOME FURNISHINGS -- 14.2%
Ethan Allen Interiors, Inc. ....... 382,605 $ 13,815,866
Leggett & Platt, Inc. ............. 594,660 14,212,374
Mohawk Industries, Inc. (a)........ 184,780 13,832,631
------------
41,860,871
------------
HOME IMPROVEMENT RETAIL -- 14.3%
Lowe's Cos., Inc. ................. 447,454 13,938,192
The Home Depot, Inc. .............. 352,204 14,144,513
The Sherwin-Williams Co. .......... 221,284 14,069,237
------------
42,151,942
------------
HOMEBUILDING -- 71.5%
Beazer Homes USA, Inc. ............ 305,348 14,354,409
Centex Corp. ...................... 249,660 14,048,368
Champion Enterprises, Inc. (a)..... 1,483,155 13,882,331
D.R. Horton, Inc. ................. 517,861 13,718,138
Hovnanian Enterprises, Inc. (a).... 391,402 13,268,528
KB HOME............................ 271,533 13,924,212
Lennar Corp. (Class A)............. 264,944 13,898,962
M.D.C. Holdings, Inc. ............. 248,374 14,169,737
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Meritage Homes Corp. (a)........... 296,191 $ 14,134,235
NVR, Inc. (a)...................... 22,123 14,269,335
Pulte Homes, Inc. ................. 422,498 13,993,134
Ryland Group, Inc. ................ 259,565 14,177,440
Standard Pacific Corp. ............ 532,052 14,253,673
Toll Brothers, Inc. (a)............ 433,468 13,970,674
WCI Communities, Inc. (a).......... 779,418 14,949,237
------------
211,012,413
------------
TOTAL COMMON STOCKS --
(Cost $299,809,940).............. 295,025,226
------------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class
Prime Fund (Cost $37,342)........ 37,342 37,342
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $299,847,282).............. 295,062,568
OTHER ASSETS AND
LIABILITIES -- 0.0% (B).......... (61)
------------
NET ASSETS -- 100.0%............... $295,062,507
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
117
SPDR S&P METALS & MINING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
ALUMINUM -- 3.7%
Alcoa, Inc. .......................... 51,748 $ 1,552,958
-----------
COAL & CONSUMABLE FUELS -- 21.2%
Arch Coal, Inc. ...................... 47,249 1,418,887
CONSOL Energy, Inc. .................. 45,746 1,469,819
Foundation Coal Holdings, Inc. ....... 45,700 1,451,432
Massey Energy Co. .................... 63,402 1,472,828
Peabody Energy Corp. ................. 36,619 1,479,774
USEC, Inc. ........................... 121,558 1,546,218
-----------
8,838,958
-----------
DIVERSIFIED METALS & MINING -- 10.9%
Freeport-McMoRan Copper & Gold,
Inc. ............................... 26,705 1,488,270
Phelps Dodge Corp. ................... 13,117 1,570,367
Titanium Metals Corp. (a)............. 50,565 1,492,173
-----------
4,550,810
-----------
GOLD -- 3.7%
Newmont Mining Corp. ................. 33,793 1,525,754
-----------
PRECIOUS METALS & MINERALS -- 11.7%
Coeur d' Alene Mines Corp. (a)........ 320,018 1,584,089
Hecla Mining Co. (a).................. 225,646 1,728,449
Stillwater Mining Co. (a)............. 125,731 1,570,380
-----------
4,882,918
-----------
STEEL -- 48.6%
AK Steel Holding Corp. (a)............ 98,970 1,672,593
Allegheny Technologies, Inc. ......... 18,183 1,648,834
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Carpenter Technology Corp. ........... 14,640 $ 1,500,893
Chaparral Steel Co. (a)............... 34,550 1,529,529
Cleveland-Cliffs, Inc. ............... 34,537 1,672,972
Commercial Metals Co. ................ 55,936 1,443,149
Nucor Corp. .......................... 27,167 1,484,948
Oregon Steel Mills, Inc. (a).......... 25,932 1,618,416
Quanex Corp. ......................... 45,461 1,572,496
Reliance Steel & Aluminum Co. ........ 40,661 1,601,230
Steel Dynamics, Inc. ................. 48,654 1,578,822
United States Steel Corp. ............ 21,420 1,566,659
Worthington Industries, Inc. ......... 78,675 1,394,121
-----------
20,284,662
-----------
TOTAL COMMON STOCKS --
(Cost $39,866,495).................. 41,636,060
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment Class
Prime Fund (Cost $67,853)........... 67,853 67,853
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $39,934,348).................. 41,703,913
OTHER ASSETS AND LIABILITIES -- 0.0%
(B)................................. 22,366
-----------
NET ASSETS -- 100.0%.................. $41,726,279
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
118
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
OIL & GAS DRILLING -- 37.6%
Diamond Offshore Drilling, Inc. ....... 15,535 $ 1,241,868
ENSCO International, Inc. ............. 23,617 1,182,267
GlobalSantaFe Corp. ................... 20,741 1,219,156
Helmerich & Payne, Inc. ............... 48,561 1,188,288
Nabors Industries, Ltd. (a)............ 40,173 1,196,352
Noble Corp. ........................... 16,191 1,232,945
Patterson-UTI Energy, Inc. ............ 51,131 1,187,773
Pride International, Inc. (a).......... 39,682 1,190,857
Rowan Cos., Inc. ...................... 34,996 1,161,867
Transocean, Inc. (a)................... 15,634 1,264,634
Unit Corp. (a)......................... 24,908 1,206,792
-----------
13,272,799
-----------
OIL & GAS EQUIPMENT & SERVICES -- 62.3%
Baker Hughes, Inc. .................... 16,669 1,244,508
BJ Services Co. ....................... 40,572 1,189,571
Cameron International Corp. (a)........ 23,028 1,221,635
FMC Technologies, Inc. (a)............. 20,692 1,275,248
Grant Prideco, Inc. (a)................ 29,685 1,180,573
Halliburton Co. ....................... 39,683 1,232,157
Hanover Compressor Co. (a)............. 64,249 1,213,664
National-Oilwell Varco, Inc. (a)....... 19,458 1,190,440
Oceaneering International, Inc. (a).... 30,264 1,201,481
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Schlumberger, Ltd. .................... 19,309 $ 1,219,557
SEACOR Holdings, Inc. (a).............. 12,853 1,274,246
Smith International, Inc. ............. 29,631 1,216,945
Superior Energy Services, Inc. (a)..... 36,253 1,184,748
Tetra Technologies, Inc. (a)........... 46,564 1,191,107
Tidewater, Inc. ....................... 24,517 1,185,642
Universal Compression Holdings, Inc.
(a).................................. 20,229 1,256,423
Veritas DGC, Inc. (a).................. 15,533 1,330,091
Weatherford International, Ltd. (a).... 28,067 1,172,920
-----------
21,980,956
-----------
TOTAL COMMON STOCKS --
(Cost $34,942,853)................... 35,253,755
-----------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment Class
Prime Fund (Cost $25,823)............ 25,823 25,823
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $34,968,676)................... 35,279,578
OTHER ASSETS AND
LIABILITIES) -- 0.0% (B)............. 600
-----------
NET ASSETS -- 100.0%................... $35,280,178
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
119
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
INTEGRATED OIL & GAS -- 10.6%
Chevron Corp. ......................... 7,568 $ 556,475
ConocoPhillips......................... 7,838 563,944
Exxon Mobil Corp. ..................... 7,379 565,453
Occidental Petroleum Corp. ............ 10,986 536,446
-----------
2,222,318
-----------
OIL & GAS EXPLORATION & PRODUCTION -- 76.5%
Anadarko Petroleum Corp. .............. 12,534 545,480
Apache Corp. .......................... 8,285 551,035
Cabot Oil & Gas Corp. ................. 8,770 531,901
Cheniere Energy, Inc. (a).............. 20,211 583,492
Chesapeake Energy Corp. ............... 18,335 532,632
Cimarex Energy Co. .................... 15,163 553,449
Delta Petroleum Corp. (a).............. 22,219 514,592
Denbury Resources, Inc. (a)............ 19,005 528,149
Devon Energy Corp. .................... 8,070 541,336
Encore Aquisition Co. (a).............. 21,125 518,196
EOG Resources, Inc. ................... 8,313 519,147
Forest Oil Corp. (a)................... 16,271 531,736
Helix Energy Solutions Group, Inc.
(a).................................. 16,143 506,406
Mariner Energy, Inc. (a)............... 28,459 557,796
Newfield Exploration Co. (a)........... 11,873 545,564
Noble Energy, Inc. .................... 10,803 530,103
Penn Virginia Corp. ................... 7,674 537,487
Petrohawk Energy Corp. (a)............. 45,159 519,329
Pioneer Natural Resources Co. ......... 13,598 539,705
Plains Exploration & Production Co.
(a).................................. 11,598 551,253
Pogo Producing Co. .................... 11,130 539,137
Quicksilver Resources, Inc. (a)........ 13,951 510,467
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Range Resources Corp. ................. 19,001 $ 521,767
Southwestern Energy Co. (a)............ 14,614 512,221
St. Mary Land & Exploration Co. ....... 14,794 545,011
Swift Energy Co. (a)................... 11,756 526,786
The Houston Exploration Co. (a)........ 10,365 536,700
Ultra Petroleum Corp. (a).............. 11,301 539,623
Whiting Petroleum Corp. (a)............ 11,707 545,546
XTO Energy, Inc. ...................... 11,409 536,793
-----------
16,052,839
-----------
OIL & GAS REFINING & MARKETING -- 12.5%
Frontier Oil Corp. .................... 17,880 513,871
Holly Corp. ........................... 10,446 536,924
Sunoco, Inc. .......................... 8,357 521,143
Tesoro Corp. .......................... 7,964 523,792
Valero Energy Corp. ................... 10,362 530,120
-----------
2,625,850
-----------
TOTAL COMMON STOCKS --
(Cost $20,791,577)................... 20,901,007
-----------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
AIM Short Term Investment Class Prime
Fund (Cost $81,817).................. 81,817 81,817
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $20,873,394)................... 20,982,824
OTHER ASSETS AND LIABILITIES -- 0.0%
(B).................................. (846)
-----------
NET ASSETS -- 100.0%................... $20,981,978
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
120
SPDR S&P PHARMACEUTICALS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
PHARMACEUTICALS -- 99.9%
Abbott Laboratories................... 37,438 $ 1,823,605
Allergan, Inc. ....................... 14,851 1,778,259
Barr Pharmaceuticals, Inc. (a)........ 35,201 1,764,274
Bristol-Myers Squibb Co. ............. 70,856 1,864,930
Eli Lilly & Co. ...................... 33,265 1,733,107
Endo Pharmaceuticals Holdings, Inc.
(a)................................. 63,426 1,749,289
Forest Laboratories, Inc. (a)......... 35,235 1,782,891
Johnson & Johnson..................... 27,374 1,807,231
King Pharmaceuticals, Inc. (a)........ 111,463 1,774,491
Medicis Pharmaceutical Corp. (Class
A).................................. 49,716 1,746,523
Merck & Co., Inc. .................... 41,204 1,796,494
MGI Pharma, Inc. (a).................. 98,354 1,810,697
Mylan Laboratories, Inc. ............. 88,346 1,763,386
Perrigo Co. .......................... 107,311 1,856,480
Pfizer, Inc. ......................... 70,771 1,832,969
Schering-Plough Corp. ................ 76,858 1,816,923
Sepracor, Inc. (a).................... 31,925 1,965,942
The Medicines Co. (a)................. 57,516 1,824,408
Valeant Pharmaceuticals
International....................... 106,181 1,830,560
Watson Pharmaceuticals, Inc. (a)...... 68,788 1,790,552
Wyeth................................. 35,463 1,805,776
-----------
TOTAL COMMON STOCKS --
(Cost $37,670,880).................. 37,918,787
-----------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class Prime
Fund (Cost $15,445)................. 15,445 15,445
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $37,686,325).................. 37,934,232
OTHER ASSETS AND
LIABILITIES -- 0.1%................. 13,084
-----------
NET ASSETS -- 100.0%.................. $37,947,316
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
121
SPDR S&P RETAIL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
APPAREL RETAIL -- 37.1%
Abercrombie & Fitch Co. ........... 24,323 $ 1,693,611
Aeropostale, Inc. (a).............. 53,581 1,654,045
American Eagle Outfitters, Inc. ... 52,255 1,630,863
AnnTaylor Stores Corp. (a)......... 49,602 1,628,930
Charming Shoppes, Inc. (a)......... 118,099 1,597,879
Chico's FAS, Inc. (a).............. 76,674 1,586,385
Dress Barn, Inc. (a)............... 70,528 1,645,418
Foot Locker, Inc. ................. 73,601 1,614,070
Genesco, Inc. (a).................. 43,033 1,605,131
Guess ?, Inc. (a).................. 27,537 1,746,672
Gymboree Corp. (a)................. 43,405 1,656,335
J. Crew Group, Inc. (a)............ 41,019 1,581,282
Limited Brands..................... 55,419 1,603,826
Mens Wearhouse, Inc. .............. 44,405 1,698,935
Pacific Sunwear of California, Inc.
(a).............................. 83,720 1,639,238
Payless ShoeSource, Inc. (a)....... 51,250 1,682,025
Ross Stores, Inc. ................. 55,139 1,615,573
Stage Stores, Inc. ................ 54,201 1,647,168
The Cato Corp. (Class A)........... 71,457 1,637,080
The Children's Place Retail Stores,
Inc. (a)......................... 25,174 1,599,052
The Gap, Inc. ..................... 82,807 1,614,737
The TJX Cos., Inc. ................ 58,100 1,657,012
Tween Brands, Inc. (a)............. 38,925 1,554,275
Urban Outfitters, Inc. (a)......... 70,322 1,619,516
------------
39,209,058
------------
CATALOG RETAIL -- 10.0%
Blair Corp......................... 53,810 1,762,278
Coldwater Creek, Inc. (a).......... 68,299 1,674,691
Gaiam Inc (a)...................... 124,008 1,696,429
PetMed Express, Inc. (a)........... 125,758 1,678,869
Systemax, Inc. (a)................. 120,377 2,100,579
ValueVision Media, Inc. (Class A)
(a).............................. 128,928 1,694,114
------------
10,606,960
------------
COMPUTER & ELECTRONICS RETAIL -- 4.4%
Best Buy Co., Inc. ................ 33,487 1,647,225
Circuit City Stores, Inc. ......... 72,833 1,382,370
GameStop Corp. (Class A) (a)....... 29,823 1,643,546
------------
4,673,141
------------
DEPARTMENT STORES -- 7.7%
Federated Department Stores,
Inc. ............................ 43,460 1,657,130
J. C. Penney Co., Inc. ............ 21,216 1,641,270
Kohl's Corp. (a)................... 23,865 1,633,082
Nordstrom, Inc. ................... 33,559 1,655,801
Sears Holdings Corp. (a)........... 9,634 1,617,837
------------
8,205,120
------------
DRUG RETAIL -- 3.3%
CVS Corp. ......................... 55,299 1,709,292
Walgreen Co. ...................... 37,931 1,740,654
------------
3,449,946
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
FOOD RETAIL -- 7.8%
Casey's General Stores, Inc. ...... 68,997 $ 1,624,879
Safeway, Inc. ..................... 49,535 1,711,930
SUPERVALU, Inc. ................... 47,273 1,690,010
The Kroger Co. .................... 69,485 1,603,019
Whole Foods Market, Inc. .......... 34,403 1,614,533
------------
8,244,371
------------
GENERAL MERCHANDISE STORES -- 6.4%
Dollar General Corp. .............. 107,358 1,724,170
Dollar Tree Stores, Inc. (a)....... 55,677 1,675,878
Family Dollar Stores, Inc. ........ 58,259 1,708,736
Target Corp. ...................... 28,728 1,638,932
------------
6,747,716
------------
HYPERMARKETS & SUPER CENTERS -- 3.2%
Costco Wholesale Corp. ............ 31,405 1,660,382
Wal-Mart Stores, Inc. ............. 36,333 1,677,858
------------
3,338,240
------------
SPECIALTY STORES -- 20.1%
Barnes & Noble, Inc. .............. 40,811 1,620,605
Borders Group, Inc. ............... 73,898 1,651,620
Claire's Stores, Inc. ............. 50,155 1,662,137
Dick's Sporting Goods, Inc. (a).... 31,849 1,560,283
Guitar Center, Inc. (a)............ 36,949 1,679,702
Hibbett Sporting Goods, Inc. (a)... 53,032 1,619,067
Office Depot, Inc. (a)............. 41,904 1,599,476
OfficeMax, Inc. ................... 33,149 1,645,848
PETsMART, Inc. .................... 56,390 1,627,415
Staples, Inc. ..................... 61,578 1,644,133
Tiffany & Co. ..................... 43,672 1,713,689
Tractor Supply Co. (a)............. 36,888 1,649,262
Zale Corp. (a)..................... 56,611 1,596,995
------------
21,270,232
------------
TOTAL COMMON STOCKS --
(Cost $107,402,786).............. 105,744,784
------------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class
Prime Fund (Cost $35,462)........ 35,462 35,462
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $107,438,248).............. 105,780,246
OTHER ASSETS AND
LIABILITIES -- 0.0% (B).......... 27,458
------------
NET ASSETS -- 100.0%............... $105,807,704
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
122
SPDR S&P SEMICONDUCTOR ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
SEMICONDUCTORS -- 99.6%
Advanced Micro Devices, Inc. (a)...... 64,345 $ 1,309,421
Agere Systems, Inc. (a)............... 71,272 1,366,284
Altera Corp. (a)...................... 71,129 1,399,819
Analog Devices, Inc. ................. 43,675 1,435,597
Atmel Corp. (a)....................... 226,645 1,371,202
Broadcom Corp. (Class A) (a).......... 42,373 1,369,072
Cypress Semiconductor Corp. (a)....... 85,844 1,448,188
Fairchild Semiconductor International,
Inc. (a)............................ 82,503 1,386,875
Integrated Device Technology, Inc.
(a)................................. 88,900 1,376,172
Intel Corp. .......................... 67,906 1,375,097
International Rectifier Corp. (a)..... 35,718 1,376,215
Intersil Corp. (Class A).............. 58,407 1,397,095
Linear Technology Corp. .............. 45,329 1,374,375
LSI Logic Corp. (a)................... 150,774 1,356,966
Maxim Integrated Products, Inc. ...... 46,108 1,411,827
Microchip Technology, Inc. ........... 41,627 1,361,203
Micron Technology, Inc. (a)........... 103,890 1,450,304
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
National Semiconductor Corp. ......... 60,903 $ 1,382,498
NVIDIA Corp. (a)...................... 37,954 1,404,678
Rambus, Inc. (a)...................... 71,061 1,345,185
Silicon Laboratories, Inc. (a)........ 40,912 1,417,601
Texas Instruments, Inc. .............. 47,972 1,381,594
Xilinx, Inc. ......................... 57,278 1,363,789
-----------
TOTAL COMMON STOCKS --
(Cost $35,589,429).................. 31,861,057
-----------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
AIM Short Term Investment Class
Prime Fund (Cost $121,828).......... 121,828 121,828
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $35,711,257).................. 31,982,885
OTHER ASSETS AND
LIABILITIES -- 0.0% (B)............. (10,551)
-----------
NET ASSETS -- 100.0%.................. $31,972,334
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
123
KBW REGIONAL BANKING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
REGIONAL BANKS -- 87.8%
Associated Bancorp................... 158,509 $ 5,528,794
BancorpSouth, Inc. .................. 218,544 5,861,350
Bank of Hawaii Corp. ................ 102,003 5,503,062
Boston Private Financial Holdings,
Inc. .............................. 174,861 4,932,829
Cathay General Bancorp............... 154,804 5,342,286
Central Pacific Financial Corp. ..... 147,494 5,716,867
Chittenden Corp. .................... 193,028 5,924,029
Citizens Banking Corp. .............. 196,670 5,211,755
City National Corp. ................. 72,880 5,189,056
Colonial BancGroup, Inc. ............ 233,098 5,999,942
Commerce Bancshares, Inc. ........... 118,364 5,729,984
Cullen/Frost Bankers, Inc. .......... 91,055 5,082,690
CVB Financial Corp. ................. 358,800 5,188,248
East West Bancorp, Inc. ............. 147,494 5,224,237
F N B Corp. ......................... 273,258 4,992,424
First Community Bancorp, Inc. ....... 98,314 5,138,873
First Horizon National Corp. ........ 122,073 5,100,210
First Midwest Bancorp, Inc. ......... 151,157 5,846,753
FirstMerit Corp. .................... 200,390 4,837,415
Fulton Financial Corp. .............. 295,103 4,928,220
Greater Bay Bancorp.................. 200,390 5,276,269
Huntington Bancshares, Inc. ......... 222,210 5,277,487
Old National Bancorp................. 245,866 4,651,785
Pacific Capital Bancorp.............. 173,070 5,811,691
Prosperity Bancshares, Inc. ......... 152,992 5,279,754
Provident Bankshares Corp. .......... 158,478 5,641,817
Signature Bank (a)................... 163,954 5,079,295
South Financial Group, Inc. ......... 185,738 4,938,773
Sterling Bancshares, Inc. ........... 387,920 5,050,718
Sterling Financial
Corp. -- Washington................ 171,253 5,790,064
Susquehanna Bancshares, Inc. ........ 211,276 5,679,099
SVB Financial Group (a).............. 109,303 5,095,706
Synovus Financial Corp. ............. 187,643 5,785,034
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TCF Financial Corp. ................. 202,211 $ 5,544,626
Trustmark Corp. ..................... 182,161 5,958,486
UCBH Holdings, Inc. ................. 291,449 5,117,844
Umpqua Holdings Corp. ............... 200,306 5,895,005
UnionBanCal Corp. ................... 78,281 4,794,711
United Bankshares, Inc. ............. 151,157 5,842,218
Valley National Bancorp.............. 222,210 5,890,787
Westamerica Bancorp.................. 100,179 5,072,063
Whitney Holding Corp. ............... 163,935 5,347,560
Wilmington Trust Corp. .............. 118,387 4,992,380
Wintrust Financial Corp. ............ 100,179 4,810,596
------------
235,902,792
------------
THRIFTS & MORTGAGE FINANCE -- 12.1%
Brookline Bancorp, Inc. ............. 335,097 4,413,227
Corus Bankshares, Inc. .............. 253,198 5,841,278
Hudson City Bancorp, Inc. ........... 378,852 5,258,466
People's Bank........................ 129,343 5,771,285
Sovereign Bancorp, Inc. ............. 222,191 5,641,429
Webster Financial Corp. ............. 114,735 5,589,889
------------
32,515,574
------------
TOTAL COMMON STOCKS --
(Cost $265,898,662)................ 268,418,366
------------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
AIM Short Term Investment Class
Prime Fund (Cost $56,531).......... 56,531 56,531
------------
TOTAL INVESTMENTS -- 99.9%
(Cost $265,955,193)................ 268,474,897
OTHER ASSETS AND
LIABILITIES -- 0.1%................ 326,982
------------
NET ASSETS -- 100.0%................. $268,801,879
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
124
(This page intentionally left blank)
125
STREETTRACKS TRACKS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
TOTAL MARKET LARGE CAP LARGE CAP GROWTH
ETF ETF ETF
------------ ----------- ----------------
ASSETS
Investments in securities of unaffiliated issuers, at
value (Note 2).......................................... $111,710,027 $12,935,332 $212,860,345
Investments in securities of affiliated issuers, at value
(Note 3)................................................ 152,145 20,974 729,161
------------ ----------- ------------
Total Investments....................................... 111,862,172 12,956,306 213,589,506
Cash...................................................... -- -- --
Foreign currency, at value................................ -- -- --
Receivable for investments sold........................... -- -- --
Receivable for Fund shares sold in kind................... -- -- --
Receivable for foreign taxes recoverable.................. -- -- --
Dividends receivable (Note 2)............................. 151,513 17,203 191,829
------------ ----------- ------------
TOTAL ASSETS....................................... 112,013,685 12,973,509 213,781,335
------------ ----------- ------------
LIABILITIES
Payable for investments purchased......................... -- -- --
Payable for Fund shares repurchased in kind............... -- -- --
Accrued advisory fee (Note 3)............................. 19,047 2,204 36,354
Accrued trustees fee (Note 3)............................. 786 71 1,281
------------ ----------- ------------
TOTAL LIABILITIES.................................. 19,833 2,275 37,635
------------ ----------- ------------
NET ASSETS......................................... $111,993,852 $12,971,234 $213,743,700
============ =========== ============
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).................................. $101,994,689 $12,071,428 $213,747,903
Undistributed (distribution in excess of) net investment
income.................................................. 12,280 536 2,869
Accumulated net realized gain (loss) on investments and
foreign currency transactions........................... (10,394,836) (633) (18,076,794)
Net unrealized appreciation (depreciation) on:
Investments............................................. 20,381,719 899,903 18,069,722
Foreign currency........................................ -- -- --
------------ ----------- ------------
NET ASSETS......................................... $111,993,852 $12,971,234 $213,743,700
============ =========== ============
NET ASSET VALUE PER SHARE
Net asset value per share................................. $ 101.80 $ 64.86 $ 53.43
============ =========== ============
Shares outstanding (unlimited amount authorized, $0.01 par
value).................................................. 1,100,116 200,000 4,000,112
============ =========== ============
Investments in securities, at cost........................ $91,480,453 $12,056,403 $195,519,784
============ =========== ============
Foreign currency, at cost................................. $ -- $ -- $ --
============ =========== ============
</Table>
See accompanying notes to financial statements.
126
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH
ETF ETF ETF ETF ETF ETF
--------------- ----------- -------------- ------------- ----------- ----------------
$153,901,610 $16,921,551 $21,286,029 $8,745,473 $15,329,174 $83,650,951
-- -- -- -- -- --
------------ ----------- ----------- ---------- ----------- -----------
153,901,610 16,921,551 21,286,029 8,745,473 15,329,174 83,650,951
-- 1,127 -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 53,410
-- -- -- -- -- --
-- -- -- -- -- --
264,428 18,139 7,556 15,857 22,219 23,673
------------ ----------- ----------- ---------- ----------- -----------
154,166,038 16,940,817 21,293,585 8,761,330 15,351,393 83,728,034
------------ ----------- ----------- ---------- ----------- -----------
-- -- -- -- 38,928 149,384
-- -- -- -- 6,214 --
26,066 3,635 4,581 1,885 3,848 17,346
961 107 249 65 135 548
------------ ----------- ----------- ---------- ----------- -----------
27,027 3,742 4,830 1,950 49,125 167,278
------------ ----------- ----------- ---------- ----------- -----------
$154,139,011 $16,937,075 $21,288,755 $8,759,380 $15,302,268 $83,560,756
============ =========== =========== ========== =========== ===========
$136,259,246 $15,329,748 $19,347,728 $8,106,806 $15,044,288 $76,963,865
(10,047) (1,962) (1,541) (2,252) 1,569 7,265
(3,339,078) 14,068 25,882 (9,083) 146,336 (70,849)
21,228,890 1,595,221 1,916,686 663,909 110,075 6,660,475
-- -- -- -- -- --
------------ ----------- ----------- ---------- ----------- -----------
$154,139,011 $16,937,075 $21,288,755 $8,759,380 $15,302,268 $83,560,756
============ =========== =========== ========== =========== ===========
$ 83.31 $ 56.46 $ 60.83 $ 58.40 $ 61.21 $ 92.83
============ =========== =========== ========== =========== ===========
1,850,258 300,000 350,000 150,000 250,000 900,100
============ =========== =========== ========== =========== ===========
$132,672,720 $15,326,330 $19,369,343 $8,081,564 $15,219,099 $76,990,476
============ =========== =========== ========== =========== ===========
$ -- $ -- $ -- $ -- $ -- $ --
============ =========== =========== ========== =========== ===========
</Table>
127
STREETTRACKS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ DJ
SMALL CAP VALUE GLOBAL TITANS WILSHIRE REIT
ETF ETF ETF
--------------- ---------------- ----------------
ASSETS
Investments in securities of unaffiliated issuers, at
value (Note 2).......................................... $95,650,477 $186,446,517 $1,315,795,366
Investments in securities of affiliated issuers, at value
(Note 3)................................................ -- -- --
----------- ------------ --------------
Total Investments....................................... 95,650,477 186,446,517 1,315,795,366
Cash...................................................... -- -- --
Foreign currency, at value................................ -- 53,944 --
Receivable for investments sold........................... -- 489,499 1,471,185
Receivable for Fund shares sold in kind................... -- -- --
Receivable for foreign taxes recoverable.................. -- 692 --
Dividends receivable (Note 2)............................. 179,253 322,229 7,922,787
----------- ------------ --------------
TOTAL ASSETS....................................... 95,829,730 187,312,881 1,325,189,338
----------- ------------ --------------
LIABILITIES
Payable for investments purchased......................... 150,268 -- 1,188,561
Payable for Fund shares repurchased in kind............... -- 868,565 --
Due to custodian.......................................... -- -- 244,263
Accrued advisory fee (Note 3)............................. 20,388 78,117 279,734
Accrued trustees fee (Note 3)............................. 734 961 9,154
----------- ------------ --------------
TOTAL LIABILITIES.................................. 171,390 947,643 1,721,712
----------- ------------ --------------
NET ASSETS......................................... $95,658,340 $186,365,238 $1,323,467,626
=========== ============ ==============
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).................................. $82,821,981 $174,019,421 $1,059,450,996
Undistributed (distribution in excess of) net investment
income.................................................. (11,751) (71,273) 6,761,796
Accumulated net realized gain (loss) on investments and
foreign currency transactions........................... 2,051,574 (4,656,022) (2,041,961)
Net unrealized appreciation (depreciation) on:
Investments............................................. 10,796,536 17,072,073 259,296,795
Foreign currency........................................ -- 1,039 --
----------- ------------ --------------
NET ASSETS......................................... $95,658,340 $186,365,238 $1,323,467,626
=========== ============ ==============
NET ASSET VALUE PER SHARE
Net asset value per share................................. $ 70.81 $ 76.06 $ 87.86
=========== ============ ==============
Shares outstanding (unlimited amount authorized, $0.01 par
value).................................................. 1,350,995 2,450,200 15,063,187
=========== ============ ==============
Investments in securities, at cost........................ $84,853,941 $169,374,444 $1,056,498,571
=========== ============ ==============
Foreign currency, at cost................................. $ -- $ 54,078 $ --
=========== ============ ==============
</Table>
See accompanying notes to financial statements.
128
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
KBW KBW KBW MORGAN STANLEY SPDR SPDR S&P
BANK CAPITAL MARKETS INSURANCE TECHNOLOGY S&P DIVIDEND S&P BIOTECH HOMEBUILDERS
ETF ETF ETF ETF ETF ETF ETF
----------- --------------- ----------- -------------- ------------ ------------ ------------
$67,115,145 $105,315,707 $54,104,786 $186,443,171 $197,196,733 $53,085,712 $295,062,568
2,904,843 5,085,246 -- -- -- -- --
----------- ------------ ----------- ------------ ------------ ------------ ------------
70,019,988 110,400,953 54,104,786 186,443,171 197,196,733 53,085,712 295,062,568
-- -- -- -- -- -- --
-- -- -- -- -- -- --
-- -- -- -- -- -- 632
14 -- -- -- -- -- --
-- -- -- -- -- -- --
108,726 70,964 80,675 65,813 593,767 353 89,566
----------- ------------ ----------- ------------ ------------ ------------ ------------
70,128,728 110,471,917 54,185,461 186,508,984 197,790,500 53,086,065 295,152,766
----------- ------------ ----------- ------------ ------------ ------------ ------------
-- -- -- -- -- -- --
-- -- -- 1,311 -- -- --
-- -- -- -- -- -- --
16,423 24,132 15,769 77,848 57,027 16,280 88,497
760 547 473 1,123 1,190 385 1,762
----------- ------------ ----------- ------------ ------------ ------------ ------------
17,183 24,679 16,242 80,282 58,217 16,665 90,259
----------- ------------ ----------- ------------ ------------ ------------ ------------
$70,111,545 $110,447,238 $54,169,219 $186,428,702 $197,732,283 $53,069,400 $295,062,507
=========== ============ =========== ============ ============ ============ ============
$69,101,410 $110,027,456 $52,328,010 $240,164,012 $185,499,970 $56,043,667 $307,385,941
38,127 14,621 (126) (20,472) 42,835 (86,576) 13,505
68,278 298,747 94,776 (48,006,318) 2,335,375 (1,280,880) (7,552,225)
903,730 106,414 1,746,559 (5,708,520) 9,854,103 (1,606,811) (4,784,714)
-- -- -- -- -- -- --
----------- ------------ ----------- ------------ ------------ ------------ ------------
$70,111,545 $110,447,238 $54,169,219 $186,428,702 $197,732,283 $53,069,400 $295,062,507
=========== ============ =========== ============ ============ ============ ============
$ 58.43 $ 66.94 $ 57.02 $ 56.49 $ 61.79 $ 46.15 $ 37.35
=========== ============ =========== ============ ============ ============ ============
1,200,002 1,650,000 950,000 3,300,102 3,200,027 1,150,000 7,900,000
=========== ============ =========== ============ ============ ============ ============
$69,116,258 $110,294,539 $52,358,227 $192,151,691 $187,342,630 $54,692,523 $299,847,282
=========== ============ =========== ============ ============ ============ ============
$ -- $ -- $ -- $ -- $ -- $ -- $ --
=========== ============ =========== ============ ============ ============ ============
</Table>
129
STREETTRACKS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
SPDR S&P OIL & GAS S&P OIL & GAS
S&P METALS & EQUIPMENT & EXPLORATION &
MINING SERVICES PRODUCTION
ETF ETF ETF
------------ ------------- -------------
ASSETS
Investments in securities of unaffiliated issuers, at
value (Note 2).......................................... $41,703,913 $35,279,578 $20,982,824
Investments in securities of affiliated issuers, at value
(Note 3)................................................ -- -- --
----------- ----------- -----------
Total Investments....................................... 41,703,913 35,279,578 20,982,824
Cash...................................................... 6,237 -- --
Foreign currency, at value................................ -- -- --
Receivable for investments sold........................... -- -- --
Receivable for Fund shares sold in kind................... -- -- --
Receivable for foreign taxes recoverable.................. -- -- --
Dividends receivable (Note 2)............................. 29,256 10,550 8,981
----------- ----------- -----------
TOTAL ASSETS....................................... 41,739,406 35,290,128 20,991,805
----------- ----------- -----------
LIABILITIES
Payable for investments purchased......................... -- 104 --
Payable for Fund shares repurchased in kind............... -- -- --
Accrued advisory fee (Note 3)............................. 12,961 9,706 9,581
Accrued trustees fee (Note 3)............................. 166 140 246
----------- ----------- -----------
TOTAL LIABILITIES.................................. 13,127 9,950 9,827
----------- ----------- -----------
NET ASSETS......................................... $41,726,279 $35,280,178 $20,981,978
=========== =========== ===========
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).................................. $40,250,228 $34,804,754 $20,874,491
Undistributed (distribution in excess of) net investment
income.................................................. 21,032 (696) (297)
Accumulated net realized gain (loss) on investments and
foreign currency transactions........................... (314,546) 165,218 (1,646)
Net unrealized appreciation (depreciation) on:
Investments............................................. 1,769,565 310,902 109,430
Foreign currency........................................ -- -- --
----------- ----------- -----------
NET ASSETS......................................... $41,726,279 $35,280,178 $20,981,978
=========== =========== ===========
NET ASSET VALUE PER SHARE
Net asset value per share................................. $ 49.09 $ 29.40 $ 38.15
=========== =========== ===========
Shares outstanding (unlimited amount authorized, $0.01 par
value).................................................. 850,000 1,200,000 550,000
=========== =========== ===========
Investments in securities, at cost........................ $39,934,348 $34,968,676 $20,873,394
=========== =========== ===========
Foreign currency, at cost................................. $ -- $ -- $ --
=========== =========== ===========
</Table>
See accompanying notes to financial statements.
130
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
S&P SPDR S&P KBW REGIONAL
PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING
ETF ETF ETF ETF
--------------- ------------ ------------- ------------
$37,934,232 $105,780,246 $31,982,885 $268,474,897
-- -- -- --
----------- ------------ ----------- ------------
37,934,232 105,780,246 31,982,885 268,474,897
-- -- -- --
-- -- -- --
-- 2,178 340 7,095,606
-- -- -- 2,224
-- -- -- --
24,531 49,229 4,086 269,511
----------- ------------ ----------- ------------
37,958,763 105,831,653 31,987,311 275,842,238
----------- ------------ ----------- ------------
-- -- -- 6,464,459
-- -- -- 538,603
11,297 23,638 14,580 36,825
150 311 397 472
----------- ------------ ----------- ------------
11,447 23,949 14,977 7,040,359
----------- ------------ ----------- ------------
$37,947,316 $105,807,704 $31,972,334 $268,801,879
=========== ============ =========== ============
$37,647,409 $107,942,157 $38,556,938 $265,979,095
(320) (77) 7,124 102,381
52,320 (476,374) (2,863,356) 200,699
247,907 (1,658,002) (3,728,372) 2,519,704
-- -- -- --
----------- ------------ ----------- ------------
$37,947,316 $105,807,704 $31,972,334 $268,801,879
=========== ============ =========== ============
$ 34.50 $ 40.70 $ 49.19 $ 50.24
=========== ============ =========== ============
1,100,058 2,600,000 650,000 5,350,000
=========== ============ =========== ============
$37,686,325 $107,438,248 $35,711,257 $265,955,193
=========== ============ =========== ============
$ -- $ -- $ -- $ --
=========== ============ =========== ============
</Table>
131
STREETTRACKS SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
TOTAL MARKET LARGE CAP LARGE CAP GROWTH
ETF ETF ETF
------------ ----------- ----------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated issuers
(Note 2)................................................ $ 960,207 $ 91,636 $ 979,877
Dividend income on securities of affiliated issuers (Note
3)...................................................... 856 47 3,394
Foreign taxes withheld.................................... (61) (10) (184)
----------- ---------- -----------
TOTAL INVESTMENT INCOME................................... 961,002 91,673 983,087
----------- ---------- -----------
EXPENSES
Advisory fee (Note 3)..................................... 104,143 9,342 171,522
Trustees fee (Note 3)..................................... 1,861 215 3,482
Miscellaneous expenses.................................... 12 -- 303
----------- ---------- -----------
TOTAL EXPENSES BEFORE WAIVERS............................. 106,016 9,557 175,307
Expenses waived by Adviser (Note 3)....................... -- -- --
----------- ---------- -----------
NET EXPENSES.............................................. 106,016 9,557 175,307
----------- ---------- -----------
NET INVESTMENT INCOME (LOSS).............................. 854,986 82,116 807,780
----------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated issuers....... 274,750 165,336 2,032,817
Investments in securities of affiliated issuers......... -- 322 5,687
Foreign currency transactions........................... -- -- --
Net change in unrealized appreciation (depreciation) on:
Investments............................................. 10,486,478 873,996 13,487,233
Foreign currency........................................ -- -- --
----------- ---------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY............................... 10,761,228 1,039,654 15,525,737
----------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $11,616,214 $1,121,770 $16,333,517
=========== ========== ===========
</Table>
See accompanying notes to financial statements.
132
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH
ETF ETF ETF ETF ETF ETF
--------------- ----------- -------------- ------------- ----------- ----------------
$ 1,716,965 $ 152,993 $ 111,831 $114,464 $ 136,553 $ 141,999
-- -- -- -- -- --
(149) (119) (82) (92) (28) (101)
----------- ---------- ---------- -------- ---------- ----------
1,716,816 152,874 111,749 114,372 136,525 141,898
----------- ---------- ---------- -------- ---------- ----------
128,429 20,396 25,772 10,598 23,091 90,382
2,473 281 431 183 438 1,601
11 -- -- -- -- 6
----------- ---------- ---------- -------- ---------- ----------
130,913 20,677 26,203 10,781 23,529 91,989
-- -- -- -- -- --
----------- ---------- ---------- -------- ---------- ----------
130,913 20,677 26,203 10,781 23,529 91,989
----------- ---------- ---------- -------- ---------- ----------
1,585,903 132,197 85,546 103,591 112,996 49,909
----------- ---------- ---------- -------- ---------- ----------
1,002,422 253,932 300,693 123,200 1,734,761 2,563,758
-- -- -- -- -- --
-- -- -- -- -- --
15,444,348 974,749 1,141,914 570,766 (856,609) 1,028,126
-- -- -- -- -- --
----------- ---------- ---------- -------- ---------- ----------
16,446,770 1,228,681 1,442,607 693,966 878,152 3,591,884
----------- ---------- ---------- -------- ---------- ----------
$18,032,673 $1,360,878 $1,528,153 $797,557 $ 991,148 $3,641,793
=========== ========== ========== ======== ========== ==========
</Table>
133
STREETTRACKS SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ DJ
SMALL CAP VALUE GLOBAL TITANS WILSHIRE REIT
ETF ETF ETF
--------------- ------------- -------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated issuers
(Note 2)................................................ $1,221,311 $ 1,774,281 $ 26,805,343
Dividend income on securities of affiliated issuers (Note
3)...................................................... -- -- --
Foreign taxes withheld.................................... (178) (33,010) --
---------- ----------- ------------
TOTAL INVESTMENT INCOME................................... 1,221,133 1,741,271 26,805,343
---------- ----------- ------------
EXPENSES
Advisory fee (Note 3)..................................... 120,532 325,596 1,517,083
Trustees fee (Note 3)..................................... 1,984 2,240 27,805
Miscellaneous expenses.................................... 272 1,319 1,071
---------- ----------- ------------
TOTAL EXPENSES BEFORE WAIVERS............................. 122,788 329,155 1,545,959
Expenses waived by Adviser (Note 3)....................... -- -- --
---------- ----------- ------------
NET EXPENSES.............................................. 122,788 329,155 1,545,959
---------- ----------- ------------
NET INVESTMENT INCOME (LOSS).............................. 1,098,345 1,412,116 25,259,384
---------- ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated issuers....... 6,449,477 2,471,117 68,821,272
Investments in securities of affiliated issuers......... -- -- --
Foreign currency transactions........................... -- 20,670 --
Net change in unrealized appreciation (depreciation) on:
Investments............................................. 1,053,408 13,629,528 109,022,596
Foreign currency........................................ -- (4,045) --
---------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY............................... 7,502,885 16,117,270 177,843,868
---------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $8,601,230 $17,529,386 $203,103,252
========== =========== ============
</Table>
See accompanying notes to financial statements.
134
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
KBW KBW KBW MORGAN STANLEY SPDR SPDR S&P
BANK CAPITAL MARKETS INSURANCE TECHNOLOGY S&P DIVIDEND S&P BIOTECH HOMEBUILDERS
ETF ETF ETF ETF ETF ETF ETF
---------- --------------- ---------- -------------- ------------ ----------- ------------
$1,493,425 $ 354,782 $ 580,605 $ 357,230 $ 2,734,002 $ 812 $ 1,063,847
32,353 16,488 -- -- -- -- --
-- -- -- -- -- -- --
---------- ----------- ---------- ----------- ----------- -------- -----------
1,525,778 371,270 580,605 357,230 2,734,002 812 1,063,847
---------- ----------- ---------- ----------- ----------- -------- -----------
165,139 127,536 109,184 374,277 266,054 86,127 393,168
2,467 1,425 741 3,418 3,605 1,261 5,458
3 -- -- 7 1,064 -- --
---------- ----------- ---------- ----------- ----------- -------- -----------
167,609 128,961 109,925 377,702 270,723 87,388 398,626
-- -- -- -- (23,961) -- --
---------- ----------- ---------- ----------- ----------- -------- -----------
167,609 128,961 109,925 377,702 246,762 87,388 398,626
---------- ----------- ---------- ----------- ----------- -------- -----------
1,358,169 242,309 470,680 (20,472) 2,487,240 (86,576) 665,221
---------- ----------- ---------- ----------- ----------- -------- -----------
7,298,673 11,238,269 4,422,783 2,151,142 7,190,956 (132,015) 5,183,119
144,588 116,828 -- -- -- -- --
-- -- -- -- -- -- --
866,019 4,143,108 2,457,245 16,878,044 8,272,408 176,949 10,521,705
-- -- -- -- -- -- --
---------- ----------- ---------- ----------- ----------- -------- -----------
8,309,280 15,498,205 6,880,028 19,029,186 15,463,364 44,934 15,704,824
---------- ----------- ---------- ----------- ----------- -------- -----------
$9,667,449 $15,740,514 $7,350,708 $19,008,714 $17,950,604 $(41,642) $16,370,045
========== =========== ========== =========== =========== ======== ===========
</Table>
135
STREETTRACKS SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
SPDR S&P OIL AND GAS S&P OIL & GAS
S&P METALS & EQUIPMENT & EXPLORATION &
MINING SERVICES PRODUCTION
ETF ETF ETF
------------ --------------- ---------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated issuers
(Note 2)................................................ $ 215,304 $ 43,389 $ 90,057
Dividend income on securities of affiliated issuers (Note
3)...................................................... -- -- --
Foreign taxes withheld.................................... -- -- --
----------- ----------- -----------
TOTAL INVESTMENT INCOME................................... 215,304 43,389 90,057
----------- ----------- -----------
EXPENSES
Advisory fee (Note 3)..................................... 52,814 33,459 56,056
Trustees fee (Note 3)..................................... 1,034 468 832
Miscellaneous expenses.................................... -- -- --
----------- ----------- -----------
TOTAL EXPENSES BEFORE WAIVERS............................. 53,848 33,927 56,888
Expenses waived by Adviser (Note 3)....................... -- -- --
----------- ----------- -----------
NET EXPENSES.............................................. 53,848 33,927 56,888
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS).............................. 161,456 9,462 33,169
----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated issuers....... 141,484 (263,369) 5,089,512
Investments in securities of affiliated issuers......... -- -- --
Foreign currency transactions........................... -- -- --
Net change in unrealized appreciation (depreciation) on:
Investments............................................. (1,616,551) (1,225,923) (2,549,586)
Foreign currency........................................ -- -- --
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY............................... (1,475,067) (1,489,292) 2,539,926
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $(1,313,611) $(1,479,830) $ 2,573,095
=========== =========== ===========
</Table>
See accompanying notes to financial statements.
136
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR KBW
S&P SPDR S&P REGIONAL
PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING
ETF ETF ETF ETF
--------------- ----------- ------------- ------------
$161,715 $ 176,389 $ 154,190 $ 850,609
-- -- -- --
-- -- -- --
-------- ----------- ---------- ----------
161,715 176,389 154,190 850,609
-------- ----------- ---------- ----------
43,886 77,682 86,062 119,314
566 999 1,112 1,715
-- -- -- --
-------- ----------- ---------- ----------
44,452 78,681 87,174 121,029
-- -- -- --
-------- ----------- ---------- ----------
44,452 78,681 87,174 121,029
-------- ----------- ---------- ----------
117,263 97,708 67,016 729,580
-------- ----------- ---------- ----------
621,102 5,279,957 665,820 2,187,956
-- -- -- --
-- -- -- --
19,383 (2,147,450) 1,561,595 1,268,127
-- -- -- --
-------- ----------- ---------- ----------
640,485 3,132,507 2,227,415 3,456,083
-------- ----------- ---------- ----------
$757,748 $ 3,230,215 $2,294,431 $4,185,663
======== =========== ========== ==========
</Table>
137
STREETTRACKS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE
TOTAL MARKET LARGE CAP
ETF ETF
--------------------------- -----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED FOR THE PERIOD
12/31/2006 YEAR ENDED 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ ------------ ------------ --------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss).......................... $ 854,986 $ 1,714,071 $ 82,116 $ 143,796
Net realized gain (loss) on investments and foreign
currency transactions............................... 274,750 4,033,881 165,658 62,121
Net change in unrealized appreciation (depreciation)
on investments and foreign currency transactions.... 10,486,478 4,089,125 873,996 25,907
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 11,616,214 9,837,077 1,121,770 231,824
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (889,668) (1,708,078) (82,199) (141,252)
Net realized gains.................................... -- -- -- --
------------ ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS................... (889,668) (1,708,078) (82,199) (141,252)
------------ ------------ ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.................. 4,850,737 -- 9,163,406 14,194,343
Net proceeds from reinvestment of shares issued....... 198 279 -- --
Cost of shares redeemed............................... -- (18,293,391) (3,048,555) (8,468,103)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL
INTEREST TRANSACTIONS................................. 4,850,935 (18,293,112) 6,114,851 5,726,240
------------ ------------ ----------- -----------
Net increase (decrease) in net assets during year..... 15,577,481 (10,164,113) 7,154,422 5,816,812
Net assets at beginning of year....................... 96,416,371 106,580,484 5,816,812 --
------------ ------------ ----------- -----------
NET ASSETS END OF YEAR (1).............................. $111,993,852 $ 96,416,371 $12,971,234 $ 5,816,812
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold........................................... 50,000 -- 150,000 250,000
Shares issued in connection with stock splits......... -- -- -- --
Shares issued to shareholders from reinvestment of
distributions....................................... 2 3 -- --
Shares redeemed....................................... -- (200,000) (50,000) (150,000)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE)................................. 50,002 (199,997) 100,000 100,000
============ ============ =========== ===========
(1) Including undistributed (distribution in excess of)
net investment income............................. $ 12,280 $ 46,962 $ 536 $ 619
============ ============ =========== ===========
* Commencement of operations
</Table>
See accompanying notes to financial statements.
138
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE SPDR DJ WILSHIRE
LARGE CAP GROWTH LARGE CAP VALUE MID CAP
ETF ETF ETF
--------------------------- --------------------------- -----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED MONTHS ENDED FOR THE PERIOD
12/31/2006 YEAR ENDED 12/31/2006 YEAR ENDED 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ ------------ ------------ ------------ ------------ --------------
$ 807,780 $ 954,541 $ 1,585,903 $ 2,472,271 $ 132,197 $ 169,691
2,038,504 1,822,053 1,002,422 7,330,674 253,932 1,262,236
13,487,233 2,197,433 15,444,348 439,362 974,749 620,472
------------ ------------ ------------ ------------ ----------- ------------
16,333,517 4,974,027 18,032,673 10,242,307 1,360,878 2,052,399
------------ ------------ ------------ ------------ ----------- ------------
(821,845) (943,031) (1,634,394) (2,516,767) (136,928) (164,617)
-- -- -- -- (236,356) --
------------ ------------ ------------ ------------ ----------- ------------
(821,845) (943,031) (1,634,394) (2,516,767) (373,284) (164,617)
------------ ------------ ------------ ------------ ----------- ------------
75,915,921 89,984,196 35,306,441 18,036,416 -- 25,066,207
-- 101 1,795 2,275 -- --
(15,036,688) (37,643,685) -- (58,787,421) -- (11,004,508)
------------ ------------ ------------ ------------ ----------- ------------
60,879,233 52,340,612 35,308,236 (40,748,730) -- 14,061,699
------------ ------------ ------------ ------------ ----------- ------------
76,390,905 56,371,608 51,706,515 (33,023,190) 987,594 15,949,481
137,352,795 80,981,187 102,432,496 135,455,686 15,949,481 --
------------ ------------ ------------ ------------ ----------- ------------
$213,743,700 $137,352,795 $154,139,011 $102,432,496 $16,937,075 $ 15,949,481
============ ============ ============ ============ =========== ============
1,500,000 1,850,000 450,000 250,000 -- 500,000
-- -- -- 750,102 -- --
-- 2 22 32 -- --
(300,000) (800,000) -- (600,000) -- (200,000)
------------ ------------ ------------ ------------ ----------- ------------
1,200,000 1,050,002 450,022 400,134 -- 300,000
============ ============ ============ ============ =========== ============
$ 2,869 $ 16,934 $ (10,047) $ 38,444 $ (1,962) $ 2,769
============ ============ ============ ============ =========== ============
</Table>
139
STREETTRACKS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE
MID CAP GROWTH MID CAP VALUE
ETF ETF
----------------------------- -----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------ --------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)..................... $ 85,546 $ 44,954 $ 103,591 $ 255,911
Net realized gain (loss) on investments and
foreign currency transactions.................. 300,693 954,400 123,200 2,038,225
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.......................... 1,141,914 774,772 570,766 93,143
----------- ----------- ---------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................ 1,528,153 1,774,126 797,557 2,387,279
----------- ----------- ---------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ (88,334) (43,583) (107,797) (251,159)
Net realized gains............................... (526,548) -- (124,635) --
----------- ----------- ---------- ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS.............. (614,882) (43,583) (232,432) (251,159)
----------- ----------- ---------- ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares............. -- 24,721,431 -- 28,483,878
Net proceeds from reinvestment of shares
issued......................................... -- -- -- --
Cost of shares redeemed.......................... -- (6,076,490) -- (22,425,743)
----------- ----------- ---------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS................. -- 18,644,941 -- 6,058,135
----------- ----------- ---------- ------------
Net increase (decrease) in net assets during
year........................................... 913,271 20,375,484 565,125 8,194,255
Net assets at beginning of year.................. 20,375,484 -- 8,194,255 --
----------- ----------- ---------- ------------
NET ASSETS END OF YEAR (1)......................... $21,288,755 $20,375,484 $8,759,380 $ 8,194,255
=========== =========== ========== ============
SHARES OF BENEFICIAL INTEREST:
Shares sold...................................... -- 450,000 -- 550,000
Shares issued in connection with stock splits.... -- -- -- --
Shares issued to shareholders from reinvestment
of distributions............................... -- -- -- --
Shares redeemed.................................. -- (100,000) -- (400,000)
----------- ----------- ---------- ------------
NET INCREASE (DECREASE)............................ -- 350,000 -- 150,000
=========== =========== ========== ============
(1) Including undistributed (distribution in excess
of) net investment income.................... $ (1,541) $ 1,247 $ (2,252) $ 1,954
=========== =========== ========== ============
* Commencement of operations
</Table>
See accompanying notes to financial statements.
140
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE SPDR DJ WILSHIRE
SMALL CAP SMALL CAP GROWTH SMALL CAP VALUE
ETF ETF ETF
----------------------------- --------------------------- ---------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED MONTHS ENDED
12/31/2006 11/08/2005*- 12/31/2006 YEAR ENDED 12/31/2006 YEAR ENDED
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------ ------------ ------------ ------------
$ 112,996 $ 207,122 $ 49,909 $ 186,151 $ 1,098,345 $ 2,065,233
1,734,761 770,348 2,563,758 8,013,245 6,449,477 7,796,365
(856,609) 966,684 1,028,126 (840,241) 1,053,408 4,995,608
------------ ----------- ------------ ------------ ------------ ------------
991,148 1,944,154 3,641,793 7,359,155 8,601,230 14,857,206
------------ ----------- ------------ ------------ ------------ ------------
(123,869) (182,448) (44,138) (200,434) (1,257,780) (1,960,638)
(285,598) -- -- -- (20,105) (3,178,795)
------------ ----------- ------------ ------------ ------------ ------------
(409,467) (182,448) (44,138) (200,434) (1,277,885) (5,139,433)
------------ ----------- ------------ ------------ ------------ ------------
6,174,415 27,385,847 14,190,299 30,309,612 13,659,264 18,935,465
-- -- -- -- 8,078 17,589
(17,566,551) (3,034,830) (12,632,302) (12,245,955) (26,676,155) (15,910,446)
------------ ----------- ------------ ------------ ------------ ------------
(11,392,136) 24,351,017 1,557,997 18,063,657 (13,008,813) 3,042,608
------------ ----------- ------------ ------------ ------------ ------------
(10,810,455) 26,112,723 5,155,652 25,222,378 (5,685,468) 12,760,381
26,112,723 -- 78,405,104 53,182,726 101,343,808 88,583,427
------------ ----------- ------------ ------------ ------------ ------------
$15,302,268 $26,112,723 $83,560,756 $ 78,405,104 $95,658,340 $101,343,808
============ =========== ============ ============ ============ ============
100,000 500,000 150,000 350,000 200,000 300,000
-- -- -- -- -- 1,000,395
-- -- -- -- 118 285
(300,000) (50,000) (150,000) (150,000) (400,000) (250,000)
------------ ----------- ------------ ------------ ------------ ------------
(200,000) 450,000 -- 200,000 (199,882) 1,050,680
============ =========== ============ ============ ============ ============
$ 1,569 $ 12,442 $ 7,265 $ 1,494 $ (11,751) $ 147,684
============ =========== ============ ============ ============ ============
</Table>
141
STREETTRACKS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ GLOBAL TITANS ETF DJ WILSHIRE REIT ETF
--------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
12/31/2006 YEAR ENDED 12/31/2006 YEAR ENDED
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ ------------ -------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)...................... $ 1,412,116 $ 1,882,487 $ 25,259,384 $ 31,326,095
Net realized gain (loss) on investments and
foreign currency transactions................... 2,491,787 4,661,097 68,821,272 82,214,447
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions........................... 13,625,483 1,524,620 109,022,596 58,193,073
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. 17,529,386 8,068,204 203,103,252 171,733,615
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. (1,503,967) (1,869,699) (23,939,231) (37,602,831)
Net realized gains................................ -- -- (7,909,615) (5,390,964)
------------ ------------ -------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS............... (1,503,967) (1,869,699) (31,848,846) (42,993,795)
------------ ------------ -------------- --------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares sold......... 104,749,933 6,628,720 279,460,336 590,604,411
Net proceeds from reinvestment of shares issued... 2,376 1,569 413,189 256,774
Cost of shares redeemed........................... (11,456,468) (42,688,496) (176,872,106) (329,612,103)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS.................. 93,295,841 (36,058,207) 103,001,419 261,249,082
------------ ------------ -------------- --------------
Net increase (decrease) in net assets during
year............................................ 109,321,260 (29,859,702) 274,255,825 389,988,902
Net assets at beginning of year................... 77,043,978 106,903,680 1,049,211,801 659,222,899
------------ ------------ -------------- --------------
NET ASSETS END OF YEAR (1).......................... $186,365,238 $ 77,043,978 $1,323,467,626 $1,049,211,801
============ ============ ============== ==============
SHARES OF BENEFICIAL INTEREST:
Shares sold....................................... 1,450,000 100,000 3,350,000 7,400,000
Shares issued in connection with stock splits..... -- -- -- 7,803,171
Shares issued to shareholders from reinvestment of
distributions................................... 32 24 4,790 3,640
Shares redeemed................................... (150,000) (650,000) (2,100,000) (4,750,000)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE)............................. 1,300,032 (549,976) 1,254,790 10,456,811
============ ============ ============== ==============
(1) Including undistributed (distribution in excess
of) net investment income..................... $ (71,273) $ 20,578 $ 6,761,796 $ 5,441,643
============ ============ ============== ==============
* Commencement of operations
</Table>
See accompanying notes to financial statements.
142
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW BANK ETF KBW CAPITAL MARKETS ETF KBW INSURANCE ETF
------------------------------ ------------------------------ ------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------- -------------- ------------- -------------- ------------- --------------
$ 1,358,169 $ 1,665,121 $ 242,309 $ 901,496 $ 470,680 $ 346,849
7,443,261 1,901,499 11,355,097 6,592,561 4,422,783 (242,378)
866,019 37,711 4,143,108 (4,036,694) 2,457,245 (710,686)
------------- ------------- ------------- ------------- ------------- ------------
9,667,449 3,604,331 15,740,514 3,457,363 7,350,708 (606,215)
------------- ------------- ------------- ------------- ------------- ------------
(1,451,275) (1,533,888) (247,178) (886,514) (490,149) (327,506)
-- -- -- -- -- --
------------- ------------- ------------- ------------- ------------- ------------
(1,451,275) (1,533,888) (247,178) (886,514) (490,149) (327,506)
------------- ------------- ------------- ------------- ------------- ------------
180,046,413 526,161,182 309,772,923 173,435,282 171,720,390 78,322,768
118 -- -- -- -- --
(265,907,179) (380,475,606) (265,377,985) (125,447,167) (160,266,929) (41,533,848)
------------- ------------- ------------- ------------- ------------- ------------
(85,860,648) 145,685,576 44,394,938 47,988,115 11,453,461 36,788,920
------------- ------------- ------------- ------------- ------------- ------------
(77,644,474) 147,756,019 59,888,274 50,558,964 18,314,020 35,855,199
147,756,019 -- 50,558,964 -- 35,855,199 --
------------- ------------- ------------- ------------- ------------- ------------
$ 70,111,545 $ 147,756,019 $110,447,238 $ 50,558,964 $ 54,169,219 $ 35,855,199
============= ============= ============= ============= ============= ============
3,200,000 9,950,000 4,950,000 3,000,000 3,200,000 1,500,000
-- -- -- -- -- --
2 -- -- -- -- --
(4,750,000) (7,200,000) (4,200,000) (2,100,000) (2,950,000) (800,000)
------------- ------------- ------------- ------------- ------------- ------------
(1,549,998) 2,750,000 750,000 900,000 250,000 700,000
============= ============= ============= ============= ============= ============
$ 38,127 $ 131,233 $ 14,621 $ 19,490 $ (126) $ 19,343
============= ============= ============= ============= ============= ============
</Table>
143
STREETTRACKS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
MORGAN STANLEY SPDR
TECHNOLOGY S&P DIVIDEND
ETF ETF
---------------------------- -----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED FOR THE PERIOD
12/31/2006 YEAR ENDED 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ ------------- ------------ --------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)...................... $ (20,472) $ 96,773 $ 2,487,240 $ 1,466,102
Net realized gain (loss) on investments and
foreign currency transactions................... 2,151,142 5,361,921 7,190,956 24,659
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions........................... 16,878,044 (16,336,454) 8,272,408 1,581,695
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. 19,008,714 (10,877,760) 17,950,604 3,072,456
------------ ------------- ------------ ------------
UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN
PRICE OF FUND SHARES ISSUED AND REDEEMED........ -- -- 237,742 (1,219)
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. -- (96,773) (2,876,565) (1,359,788)
Net realized gains................................ -- -- -- --
Return of capital................................. -- (17,750) -- --
------------ ------------- ------------ ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS............... -- (114,523) (2,876,565) (1,359,788)
------------ ------------- ------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares sold......... 94,634,389 276,749,443 132,338,359 98,549,837
Net proceeds from reinvestment of shares issued... -- -- 1,545 109
Cost of shares redeemed........................... (72,087,433) (151,430,514) (49,944,274) --
Net income equalization........................... -- -- (237,742) 1,219
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS.................. 22,546,956 125,318,929 82,157,888 98,551,165
------------ ------------- ------------ ------------
Net increase (decrease) in net assets during
year............................................ 41,555,670 114,326,646 97,469,669 100,262,614
Net assets at beginning of year................... 144,873,032 30,546,386 100,262,614 --
------------ ------------- ------------ ------------
NET ASSETS END OF YEAR (1).......................... $186,428,702 $ 144,873,032 $197,732,283 $100,262,614
============ ============= ============ ============
SHARES OF BENEFICIAL INTEREST:
Shares sold....................................... 1,700,000 5,250,000 2,250,000 1,800,000
Shares issued to shareholders from reinvestment of
distributions................................... -- -- 25 2
Shares redeemed................................... (1,350,000) (2,950,000) (850,000) --
------------ ------------- ------------ ------------
NET INCREASE (DECREASE)............................. 350,000 2,300,000 1,400,025 1,800,002
============ ============= ============ ============
(1) Including undistributed (distribution in excess
of) net investment income..................... $ (20,472) $ -- $ 42,835 $ 194,418
============ ============= ============ ============
* Commencement of operations
</Table>
See accompanying notes to financial statements.
144
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
S&P BIOTECH S&P HOMEBUILDERS S&P METALS & MINING
ETF ETF ETF
----------------------------- ------------------------------- -----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 1/31/2006*- 12/31/2006 1/31/2006*- 12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- -------------- -------------- ------------ --------------
$ (86,576) $ (47,923) $ 665,221 $ 106,168 $ 161,456 $ 11,354
(132,015) (1,327,319) 5,183,119 (7,373,332) 141,484 --
176,949 (1,783,760) 10,521,705 (15,306,419) (1,616,551) 3,386,116
----------- ------------ -------------- ------------- ----------- -----------
(41,642) (3,159,002) 16,370,045 (22,573,583) (1,313,611) 3,397,470
----------- ------------ -------------- ------------- ----------- -----------
-- -- -- -- -- --
----------- ------------ -------------- ------------- ----------- -----------
-- -- (651,716) (122,923) (151,778) --
-- -- -- -- -- --
-- -- -- -- -- --
----------- ------------ -------------- ------------- ----------- -----------
-- -- (651,716) (122,923) (151,778) --
----------- ------------ -------------- ------------- ----------- -----------
23,276,436 61,945,862 1,016,894,105 393,968,465 15,625,685 26,652,871
-- -- -- -- -- --
-- (28,952,254) (903,457,454) (205,364,432) (2,484,358) --
-- -- -- -- -- --
----------- ------------ -------------- ------------- ----------- -----------
23,276,436 32,993,608 113,436,651 188,604,033 13,141,327 26,652,871
----------- ------------ -------------- ------------- ----------- -----------
23,234,794 29,834,606 129,154,980 165,907,527 11,675,938 30,050,341
29,834,606 -- 165,907,527 -- 30,050,341 --
----------- ------------ -------------- ------------- ----------- -----------
$53,069,400 $ 29,834,606 $ 295,062,507 $ 165,907,527 $41,726,279 $30,050,341
=========== ============ ============== ============= =========== ===========
500,000 1,250,000 30,300,000 9,900,000 300,000 600,000
-- -- -- -- -- --
-- (600,000) (27,300,000) (5,000,000) (50,000) --
----------- ------------ -------------- ------------- ----------- -----------
500,000 650,000 3,000,000 4,900,000 250,000 600,000
=========== ============ ============== ============= =========== ===========
$ (86,576) $ -- $ 13,505 $ -- $ 21,032 $ 11,354
=========== ============ ============== ============= =========== ===========
</Table>
145
STREETTRACKS SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P OIL & GAS SPDR S&P OIL & GAS
EQUIPMENT & SERVICES EXPLORATION & PRODUCTION
ETF ETF
----------------------------- ------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 6/19/2006*- 12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)..................... $ 9,462 $ 716 $ 33,169 $ 535
Net realized gain (loss) on investments and
foreign currency transactions.................. (263,369) -- 5,089,512 --
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.......................... (1,225,923) 1,536,825 (2,549,586) 2,659,016
------------ ----------- ------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................ (1,479,830) 1,537,541 2,573,095 2,659,551
------------ ----------- ------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ (10,874) -- (34,001) --
Net realized gains............................... -- -- -- --
------------ ----------- ------------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS.............. (10,874) -- (34,001) --
------------ ----------- ------------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares sold........ 65,426,744 13,997,050 126,796,747 16,900,433
Net proceeds from reinvestment of shares
issued......................................... -- -- -- --
Cost of shares redeemed.......................... (44,190,453) -- (127,913,847) --
------------ ----------- ------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS................. 21,236,291 13,997,050 (1,117,100) 16,900,433
------------ ----------- ------------- -----------
Net increase (decrease) in net assets during
year........................................... 19,745,587 15,534,591 1,421,994 19,559,984
Net assets at beginning of year.................. 15,534,591 -- 19,559,984 --
------------ ----------- ------------- -----------
NET ASSETS END OF YEAR (1)......................... $35,280,178 $15,534,591 $ 20,981,978 $19,559,984
============ =========== ============= ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold...................................... 2,350,000 500,000 3,550,000 500,000
Shares issued to shareholders from reinvestment
of distributions............................... -- -- -- --
Shares redeemed.................................. (1,650,000) -- (3,500,000) --
------------ ----------- ------------- -----------
NET INCREASE (DECREASE)............................ 700,000 500,000 50,000 500,000
============ =========== ============= ===========
(1) Including undistributed (distribution in excess
of) net investment income.................... $ (696) $ 716 $ (297) $ 535
============ =========== ============= ===========
* Commencement of operations
</Table>
See accompanying notes to financial statements.
146
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------------------------------------------
SPDR S&P SPDR SPDR KBW REGIONAL
PHARMACEUTICALS S&P RETAIL S&P SEMICONDUCTOR BANKING
ETF ETF ETF ETF
----------------------------- ------------------------------ ----------------------------- ------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 6/19/2006*- 12/31/2006 6/19/2006*- 12/31/2006 1/31/2006*- 12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------- -------------- ------------ -------------- ------------- --------------
$ 117,263 $ 1,350 $ 97,708 $ 4,601 $ 67,016 $ 18,917 $ 729,580 $ 42,061
621,102 -- 5,279,957 -- 665,820 (2,442,046) 2,187,956 29,917
19,383 228,524 (2,147,450) 489,448 1,561,595 (5,289,967) 1,268,127 1,251,577
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
757,748 229,874 3,230,215 494,049 2,294,431 (7,713,096) 4,185,663 1,323,555
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
(118,933) -- (102,386) -- (59,892) (26,243) (669,260) --
(118,361) -- -- -- -- -- -- --
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
(237,294) -- (102,386) -- (59,892) (26,243) (669,260) --
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
28,195,414 15,708,800 421,144,852 20,193,431 51,289,215 87,369,614 933,821,105 133,309,275
2,009 -- -- -- -- -- -- --
(6,709,235) -- (339,152,457) -- (68,841,644) (32,340,051) (767,611,865) (35,556,594)
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
21,488,188 15,708,800 81,992,395 20,193,431 (17,552,429) 55,029,563 166,209,240 97,752,681
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
22,008,642 15,938,674 85,120,224 20,687,480 (15,317,890) 47,290,224 169,725,643 99,076,236
15,938,674 -- 20,687,480 -- 47,290,224 -- 99,076,236 --
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
$37,947,316 $15,938,674 $105,807,704 $20,687,480 $31,972,334 $ 47,290,224 $268,801,879 $ 99,076,236
=========== =========== ============= =========== ============ ============ ============= ============
800,000 500,000 9,150,000 550,000 1,100,000 1,650,000 15,450,000 2,800,000
58 -- -- -- -- -- -- --
(200,000) -- (7,100,000) -- (1,450,000) (650,000) (12,150,000) (750,000)
----------- ----------- ------------- ----------- ------------ ------------ ------------- ------------
600,058 500,000 2,050,000 550,000 (350,000) 1,000,000 3,300,000 2,050,000
=========== =========== ============= =========== ============ ============ ============= ============
$ (320) $ 1,350 $ (77) $ 4,601 $ 7,124 $ -- $ 102,381 $ 42,061
=========== =========== ============= =========== ============ ============ ============= ============
</Table>
147
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
DJ WILSHIRE
TOTAL MARKET ETF
-----------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 91.82 $ 85.26 $ 80.87 $ 69.97 $ 71.67 $ 87.13
-------- ------- -------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss).... 0.79 1.50 1.69 1.17 1.05 1.02
Net realized and unrealized gain
(loss) (5).................... 10.02 6.54 4.38 10.89 (1.68) (15.49)
-------- ------- -------- -------- ------- -------
Total from investment
operations.................... 10.81 8.04 6.07 12.06 (0.63) (14.47)
-------- ------- -------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........... (0.83) (1.48) (1.68) (1.16) (1.07) (0.99)
-------- ------- -------- -------- ------- -------
NET ASSET VALUE, END OF
PERIOD........................ $ 101.80 $ 91.82 $ 85.26 $ 80.87 $ 69.97 $ 71.67
======== ======= ======== ======== ======= =======
TOTAL RETURN (1)................ 11.80% 9.47% 7.55% 17.31% (0.77)% (16.69)%
Net assets, end of period (in
000's)........................ $111,994 $96,416 $106,580 $113,229 $80,474 $75,264
Ratio of expenses to average net
assets........................ 0.20%(2) 0.21% 0.21% 0.22% 0.24% 0.23%
Ratio of net investment income
(loss) to average net
assets........................ 1.64%(2) 1.62% 2.05% 1.59% 1.65% 1.25%
Portfolio turnover rate (3)..... 0% 2% 32% 5% 6% 6%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
148
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
LARGE CAP ETF LARGE CAP GROWTH ETF
----------------------------- -----------------------------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
12/31/2006 11/8/2005*- 12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ -------------- ------------ ---------- ---------- ---------- ---------- ----------
$ 58.17 $56.03 $ 49.05 $ 46.27 $ 47.56 $ 40.98 41.07 $ 60.81
------- ------ -------- -------- ------- ------- ------- -------
0.53 0.94 0.22 0.34 0.71 0.23 0.24(4) 0.16
6.69 2.11 4.39 2.78 (1.29) 6.60 (0.10) (19.77)
------- ------ -------- -------- ------- ------- ------- -------
7.22 3.05 4.61 3.12 (0.58) 6.83 0.14 (19.61)
------- ------ -------- -------- ------- ------- ------- -------
(0.53) (0.91) (0.23) (0.34) (0.71) (0.25) (0.23) (0.13)
------- ------ -------- -------- ------- ------- ------- -------
$ 64.86 $58.17 $ 53.43 $ 49.05 $ 46.27 $ 47.56 $ 40.98 $ 41.07
======= ====== ======== ======== ======= ======= ======= =======
12.44% 5.47% 9.41% 6.75% (1.25)% 16.70% 0.38% (32.29)%
$12,971 $5,817 $213,744 $137,353 $80,981 $68,973 $22,542 $16,431
0.20%(2) 0.21%(2) 0.20%(2) 0.21% 0.21% 0.21% 0.23% 0.25%
1.76%(2) 1.68%(2) 0.94%(2) 0.74% 1.57% 0.59% 0.64% 0.32%
2% 4% 7% 43% 21% 20% 37% 18%
</Table>
149
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE
LARGE CAP VALUE ETF
-----------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 73.15 $ 67.72 $ 62.91 $ 55.76 $ 55.69 $ 64.72
-------- -------- -------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss).... 0.93 1.80 1.70 1.51 1.34 1.17
Net realized and unrealized gain
(loss) (5).................... 10.20 5.44 4.81 7.10 0.09 (9.05)
-------- -------- -------- ------- ------- -------
Total from investment
operations.................... 11.13 7.24 6.51 8.61 1.43 (7.88)
-------- -------- -------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........... (0.97) (1.81) (1.70) (1.46) (1.36) (1.15)
Net realized gains.............. -- -- -- -- -- --
-------- -------- -------- ------- ------- -------
Total distributions............. (0.97) (1.81) (1.70) (1.46) (1.36) (1.15)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD........................ $ 83.31 $ 73.15 $ 67.72 $ 62.91 $ 55.76 $ 55.69
======== ======== ======== ======= ======= =======
TOTAL RETURN (1)................ 15.24% 10.80% 10.43% 15.54% 2.87% (12.31)%
Net assets, end of period (in
000's)........................ $154,139 $102,432 $135,456 $94,370 $44,616 $38,989
Ratio of expenses to average net
assets........................ 0.20%(2) 0.21% 0.21% 0.21% 0.23% 0.24%
Ratio of net investment income
(loss) to average net
assets........................ 2.47%(2) 2.52% 2.51% 2.72% 2.54% 1.81%
Portfolio turnover rate (3)..... 6% 42% 19% 28% 33% 10%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
150
<Table>
<Caption>
- ---------------------------------------------------------------------------------------------------------------------------------
SPDR DJ WILSHIRE SPDR DJ WILSHIRE SPDR DJ WILSHIRE SPDR DJ WILSHIRE
MID CAP ETF MID CAP GROWTH ETF MID CAP VALUE ETF SMALL CAP ETF
----------------------------- ----------------------------- ----------------------------- -----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------ -------------- ------------ -------------- ------------ --------------
$ 53.16 $ 49.18 $ 58.22 $ 53.95 $54.63 $50.42 $ 58.03 $ 52.42
------- ------- ------- ------- ------ ------ ------- -------
0.44 0.41 0.24 0.11 0.69 0.73 0.47 0.46
4.11 3.96 4.12 4.26 4.63 4.18 4.35 5.56
------- ------- ------- ------- ------ ------ ------- -------
4.55 4.37 4.36 4.37 5.32 4.91 4.82 6.02
------- ------- ------- ------- ------ ------ ------- -------
(0.46) (0.39) (0.25) (0.10) (0.72) (0.70) (0.50) (0.41)
(0.79) -- (1.50) -- (0.83) -- (1.14) --
------- ------- ------- ------- ------ ------ ------- -------
(1.25) (0.39) (1.75) (0.10) (1.55) (0.70) (1.64) (0.41)
------- ------- ------- ------- ------ ------ ------- -------
$ 56.46 $ 53.16 $ 60.83 $ 58.22 $58.40 $54.63 $ 61.21 $ 58.03
======= ======= ======= ======= ====== ====== ======= =======
8.54% 8.92% 7.49% 8.10% 9.76% 9.76% 8.32% 11.49%
$16,937 $15,949 $21,289 $20,375 $8,759 $8,194 $15,302 $26,113
0.25%(2) 0.26%(2) 0.25%(2) 0.26%(2) 0.25%(2) 0.26%(2) 0.25%(2) 0.26%(2)
1.62%(2) 1.24%(2) 0.83%(2) 0.30%(2) 2.44%(2) 2.20% 1.22%(2) 1.35%(2)
23% 25% 28% 34% 23% 29% 9% 10%
</Table>
151
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE
SMALL CAP GROWTH ETF
-----------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 87.11 $ 75.96 $ 69.92 $ 53.55 $ 54.10 $ 79.15
------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)......... 0.06 0.23 0.33 0.39(4) (0.02) 0.00+
Net realized and unrealized gain
(loss) (5)......................... 5.71 11.17 6.03 16.30 (0.53) (25.05)
------- ------- ------- ------- ------- -------
Total from investment operations..... 5.77 11.40 6.36 16.69 (0.55) (25.05)
------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ (0.05) (0.25) (0.32) (0.32) -- --
Net realized gains................... -- -- -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions.................. (0.05) (0.25) (0.32) (0.32) -- --
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 92.83 $ 87.11 $ 75.96 $ 69.92 $ 53.55 $ 54.10
======= ======= ======= ======= ======= =======
TOTAL RETURN (1)..................... 6.63% 15.02% 9.13% 31.19% (1.02)% (31.64)%
Net assets, end of period (in
000's)............................. $83,561 $78,405 $53,183 $55,944 $18,747 $21,647
Ratio of expenses to average net
assets............................. 0.25%(2) 0.26% 0.26% 0.27% 0.29% 0.30%
Ratio of net investment income (loss)
to average net assets.............. 0.14%(2) 0.26% 0.46% 0.59% (0.04)% (0.22)%
Portfolio turnover rate (3).......... 13% 84% 36% 63% 60% 46%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
152
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE
SMALL CAP VALUE ETF
-----------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ ---------- ---------- ---------- ---------- ----------
$ 65.35 $ 59.03 $ 56.97 $ 45.07 $ 45.17 $ 42.98
------- -------- ------- ------- ------- -------
0.83 1.40(4) 1.14(4) 0.91 1.26 0.96
5.57 8.21 4.55 12.92 0.14 3.82
------- -------- ------- ------- ------- -------
6.40 9.61 5.69 13.83 1.40 4.78
------- -------- ------- ------- ------- -------
(0.93) (1.30) (1.14) (0.75) (1.20) (1.01)
(0.01) (1.99) (2.49) (1.18) (0.30) (1.58)
------- -------- ------- ------- ------- -------
(0.94) (3.29) (3.63) (1.93) (1.50) (2.59)
------- -------- ------- ------- ------- -------
$ 70.81 $ 65.35 $ 59.03 $ 56.97 $ 45.07 $ 45.17
======= ======== ======= ======= ======= =======
9.86% 16.66% 10.07% 30.92% 3.57% 11.54%
$95,658 $101,344 $88,583 $76,928 $33,813 $54,217
0.25%(2) 0.26% 0.26% 0.27% 0.29% 0.28%
%(2)
2.28 2.21% 2.00% 1.88% 2.76% 2.31%
14% 97% 33% 54% 43% 29%
</Table>
153
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ GLOBAL TITANS ETF
----------------------------------------------------------------------------
FOR THE SIX
MONTHS
ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
----------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 66.98 $ 62.88 $ 61.43 $ 54.04 $ 56.00 $ 70.60
-------- ------- -------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)...... 0.79 1.46 1.47 0.72 0.90(4) 0.62
Net realized and unrealized gain
(loss) (5)...................... 9.03 4.08 1.44 7.60 (1.67) (14.63)
-------- ------- -------- ------- ------- -------
Total from investment
operations...................... 9.82 5.54 2.91 8.32 (0.77) (14.01)
-------- ------- -------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income............. (0.74) (1.44) (1.46) (0.93) (1.19) (0.59)
Net realized gains................ -- -- -- -- -- --
-------- ------- -------- ------- ------- -------
Total distributions............... (0.74) (1.44) (1.46) (0.93) (1.19) (0.59)
-------- ------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.... $ 76.06 $ 66.98 $ 62.88 $ 61.43 $ 54.04 $ 56.00
======== ======= ======== ======= ======= =======
TOTAL RETURN (1).................. 14.70% 8.88% 4.75% 15.47% (1.21)% (19.92)%
Net assets, end of period (in
000's).......................... $186,365 $77,044 $106,904 $67,581 $10,814 $25,207
Ratio of expenses to average net
assets.......................... 0.51%(2) 0.51% 0.51% 0.51% 0.54% 0.55%
Ratio of net investment income
(loss) to average net assets.... 2.17%(2) 2.11% 2.47% 1.84% 1.77% 1.07%
Portfolio turnover rate (3)....... 2% 9% 36% 15% 13% 12%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
154
- --------------------------------------------------------------------------------
<Table>
<Caption>
DJ WILSHIRE REIT ETF
- ------------------------------------------------------------------------------------------
FOR THE SIX
MONTHS
ENDED
12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006(6) 6/30/2005(6) 6/30/2004(6) 6/30/2003(6) 6/30/2002(6)
----------- ------------ ------------ ------------ ------------ ------------
$ 75.98 $ 65.56 $ 51.38 $ 42.59 $ 43.48 $ 40.24
---------- ---------- -------- -------- -------- -------
1.70 2.99 2.98(4) 2.59(4) 2.09 2.73(4)
12.37 10.88 14.00 8.69 (0.79) 3.21
---------- ---------- -------- -------- -------- -------
14.07 13.87 16.98 11.28 1.30 5.94
---------- ---------- -------- -------- -------- -------
(1.65) (3.00) (2.80) (2.33) (2.05) (2.47)
(0.54) (0.45) -- (0.16) (0.14) (0.23)
---------- ---------- -------- -------- -------- -------
(2.19) (3.45) (2.80) (2.49) (2.19) (2.70)
---------- ---------- -------- -------- -------- -------
$ 87.86 $ 75.98 $ 65.56 $ 51.38 $ 42.59 $ 43.48
========== ========== ======== ======== ======== =======
18.60% 21.73% 33.64% 26.70% 3.41% 15.53%
$1,323,468 $1,049,212 $659,223 $447,114 $121,398 $32,622
0.25%(2) 0.26% 0.26% 0.26% 0.28% 0.30%
4.16%(2) 3.57% 5.06% 5.23% 6.95% 6.74%
6% 11% 12% 15% 10% 15%
</Table>
155
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW BANK KBW CAPITAL
ETF MARKETS ETF
----------------------------- -----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2006 11/8/2005*- 12/31/2006 11/8/2005*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
------------ -------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD............... $ 53.73 $ 50.17 $ 56.18 $ 53.07
------- -------- -------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)....................... 1.20 0.93 0.23 2.63
Net realized and unrealized gain (loss) (5)........ 4.72 3.52 10.78 3.09
------- -------- -------- -------
Total from investment operations................... 5.92 4.45 11.01 5.72
------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (1.22) (0.89) (0.25) (2.61)
Return of capital.................................. -- -- -- --
------- -------- -------- -------
Total distributions................................ (1.22) (0.89) (0.25) (2.61)
------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD..................... $ 58.43 $ 53.73 $ 66.94 $ 56.18
======= ======== ======== =======
TOTAL RETURN (1)................................... 11.04% 8.90% 19.61% 10.55%
Net assets, end of period (in 000's)............... $70,112 $147,756 $110,447 $50,559
Ratio of expenses to average net assets............ 0.36%(2) 0.36%(2) 0.35%(2) 0.36%(2)
Ratio of net investment income (loss) to average
net assets....................................... 2.88%(2) 3.06%(2) 0.66%(2) 2.42%(2)
Portfolio turnover rate (3)........................ 5% 22% 29% 11%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
156
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW INSURANCE
ETF MORGAN STANLEY TECHNOLOGY ETF
----------------------------- ---------------------------------------------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
12/31/2006 11/8/2005*- 12/31/2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 6/30/2005 6/30/2004 6/30/2003 6/30/2002
------------ -------------- ------------ -------------- ------------ -------------- ------------ --------------
$ 51.22 $ 52.12 $ 49.11 $ 46.99 $ 49.18 $ 36.67 $ 33.30 $ 58.17
------- ------- -------- -------- ------- ------- ------- -------
0.50 0.44 (0.01) 0.03 0.11 (0.09)(4) (0.08) 0.00+
5.78 (0.93) 7.39 2.13 (2.19) 12.60 3.45 (24.87)
------- ------- -------- -------- ------- ------- ------- -------
6.28 (0.49) 7.38 2.16 (2.08) 12.51 3.37 (24.87)
------- ------- -------- -------- ------- ------- ------- -------
(0.48) (0.41) -- (0.03) (0.11) -- -- --
-- -- -- (0.01) -- -- -- --
------- ------- -------- -------- ------- ------- ------- -------
(0.48) (0.41) -- (0.04) (0.11) -- -- --
------- ------- -------- -------- ------- ------- ------- -------
$ 57.02 $ 51.22 $ 56.49 $ 49.11 $ 46.99 $ 49.18 $ 36.67 $ 33.30
======= ======= ======== ======== ======= ======= ======= =======
12.26% (0.93)% 15.04% 4.60% (4.25)% 34.11% 10.14% (42.77)%
$54,169 $35,855 $186,429 $144,873 $30,546 $24,595 $34,842 $53,276
0.35%(2) 0.36%(2) 0.50%(2) 0.51% 0.51% 0.52% 0.53% 0.54%
1.51%(2) 1.27%(2) (0.03)%(2) 0.07% 0.24% (0.20)% (0.21)% (0.30)%
6% 16% 14% 23% 46% 17% 23% 37%
</Table>
157
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
S&P DIVIDEND S&P BIOTECH
ETF ETF
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED FOR THE PERIOD ENDED FOR THE PERIOD
12/31/2006 11/8/2005*- 12/31/2006 1/31/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
----------- -------------- ----------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD.................... $ 55.70 $ 53.49 $ 45.90 $ 49.67
-------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)............................ 0.93 1.12 (0.08) (0.07)
Net realized and unrealized gain (loss) (5)............. 6.11 2.15 0.33 (3.70)
-------- -------- ------- -------
Total from investment operations........................ 7.04 3.27 0.25 (3.77)
-------- -------- ------- -------
Undistributed net investment income included in price of
units issued and redeemed............................. 0.07 0.00+ -- --
-------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................... (1.02) (1.06) -- --
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.......................... $ 61.79 $ 55.70 $ 46.15 $ 45.90
======== ======== ======= =======
TOTAL RETURN (1)........................................ 12.79% 6.16% 0.54% (7.59)%
Net assets, end of period (in 000's).................... $197,732 $100,263 $53,069 $29,835
Ratio of expenses to average net assets................. 0.32%(2) 0.30%(2) 0.36%(2) 0.36%(2)
Ratio of expense to average net assets before waivers... 0.36%(2) 0.36%(2) -- --
Ratio of net investment income (loss) to average net
assets................................................ 3.27%(2) 3.45%(2) (0.35)%(2) (0.33)%(2)
Portfolio turnover rate (3)............................. 27% 25% 33% 38%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
158
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR S&P OIL & GAS
S&P HOMEBUILDERS SPDR S&P METALS & SPDR S&P OIL & GAS EXPLORATION & PRODUCTION
ETF MINING ETF EQUIPMENT & SERVICES ETF ETF
---------------------------- ---------------------------- ---------------------------- ----------------------------
FOR THE SIX FOR THE FOR THE FOR THE
MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED FOR THE PERIOD ENDED FOR THE PERIOD ENDED FOR THE PERIOD ENDED FOR THE PERIOD
12/31/2006 1/31/2006*- 12/31/2006 6/19/2006*- 12/31/2006 6/19/2006*- 12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
----------- -------------- ----------- -------------- ----------- -------------- ----------- --------------
$ 33.86 $ 46.92 $ 50.08 $ 43.29 $ 31.07 $ 27.99 $ 39.12 $ 33.80
-------- -------- ------- ------- -------- ------- ------- -------
0.14 0.07 0.20 0.02 0.01 0.00+ 0.04 0.00+
3.49 (13.06) (0.99) 6.77 (1.67) 3.08 (0.97) 5.32
-------- -------- ------- ------- -------- ------- ------- -------
3.63 (12.99) (0.79) 6.79 (1.66) 3.08 (0.93) 5.32
-------- -------- ------- ------- -------- ------- ------- -------
-- -- -- -- -- -- -- --
-------- -------- ------- ------- -------- ------- ------- -------
(0.14) (0.07) (0.20) -- (0.01) -- (0.04) --
-------- -------- ------- ------- -------- ------- ------- -------
$ 37.35 $ 33.86 $ 49.09 $ 50.08 $ 29.40 $ 31.07 $ 38.15 $ 39.12
======== ======== ======= ======= ======== ======= ======= =======
10.75% (27.70)% (1.56)% 15.70% (5.33)% 10.98% (2.38)% 15.74%
$295,063 $165,908 $41,726 $30,050 $ 35,280 $15,535 $20,982 $19,560
0.35%(2) 0.36%(2) 0.36%(2) 0.36%(2) 0.35%(2) 0.36%(2) 0.36%(2) 0.36%(2)
-- -- -- -- -- -- -- --
0.59%(2) 0.34%(2) 1.07%(2) 1.65%(2) 0.10%(2) 0.17%(2) 0.21%(2) 0.10%(2)
7% 19% 20% 0% 18% 0% 35% 0%
</Table>
159
STREETTRACKS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P
PHARMACEUTICALS ETF
----------------------------
FOR THE
SIX MONTHS
ENDED FOR THE PERIOD
12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006
----------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 31.88 $ 31.42
-------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)................................ 0.15 0.00+
Net realized and unrealized gain (loss) (5)................. 2.73 0.46
-------- -------
Total from investment operations............................ 2.88 0.46
-------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................... (0.15) --
Net realized gains.......................................... (0.11) --
-------- -------
Total distributions......................................... (0.26) --
-------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 34.50 $ 31.88
======== =======
TOTAL RETURN (1)............................................ 9.03% 1.46%
Net assets, end of period (in 000's)........................ $ 37,947 $15,939
Ratio of expenses to average net assets..................... 0.35%(2) 0.36%(2)
Ratio of net investment income (loss) to average net
assets.................................................... 0.94%(2) 0.29%(2)
Portfolio turnover rate (3)................................. 12% 0%
</Table>
<Table>
* Commencement of operations
+ Amount is less than $0.005 per share.
(1) 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 each Fund. Total return for periods of less
than one year is not annualized. Broker commission charges
are not included in this calculation.
(2) Annualized
(3) Portfolio Turnover rate excludes securities received or
delivered from processing of creations or redemptions on
streetTRACKS.
(4) Per share numbers have been calculated using the average
shares method.
(5) The amounts shown at this caption for a share outstanding
may not accord with the change in aggregate gains and losses
in securities for the fiscal period because of the timing of
sales and repurchases of Fund shares in relation to
fluctuating market values for the Fund.
(6) All per share amounts representing data prior to September
21, 2005 have been adjusted for the affect of stock splits
which occurred on September 21, 2005, as follows: DJ
Wilshire Large Cap Value ETF: 2 for 1; DJ Wilshire Small Cap
Value ETF and DJ Wilshire REIT ETF: 3 for 1.
(7) Beginning NAV and distributions to shareholders have been
adjusted for the affect of a 3 for 1 stock split which
occurred on June 15, 2005.
</Table>
160
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P
SPDR S&P RETAIL ETF SEMICONDUCTOR ETF KBW REGIONAL BANKING ETF
---------------------------- ---------------------------- ----------------------------
FOR THE FOR THE FOR THE SIX
SIX MONTHS SIX MONTHS MONTHS
ENDED FOR THE PERIOD ENDED FOR THE PERIOD ENDED FOR THE PERIOD
12/31/2006 6/19/2006*- 12/31/2006 1/31/2006*- 12/31/2006 6/19/2006*-
(UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006 (UNAUDITED) 6/30/2006
----------- -------------- ----------- -------------- ----------- --------------
$ 37.61 $ 36.72 $ 47.29 $ 53.32 $ 48.33 $ 48.02
-------- ------- ------- ------- -------- -------
0.07 0.01 0.08 0.02 0.61 0.02
3.10 0.88 1.89 (6.03) 1.92 0.29
-------- ------- ------- ------- -------- -------
3.17 0.89 1.97 (6.01) 2.53 0.31
-------- ------- ------- ------- -------- -------
(0.08) -- (0.07) (0.02) (0.62) --
-------- ------- ------- ------- -------- -------
-- -- -- -- -- --
-------- ------- ------- ------- -------- -------
(0.08) -- (0.07) (0.02) (0.62) --
-------- ------- ------- ------- -------- -------
$ 40.70 $ 37.61 $ 49.19 $ 47.29 $ 50.24 $ 48.33
======== ======= ======= ======= ======== =======
8.41% 2.42% 4.16% (11.26)% 5.24% 0.66%
$105,808 $20,687 $31,972 $47,290 $268,802 $99.076
0.35%(2) 0.36%(2) 0.35%(2) 0.36%(2) 0.36%(2) 0.36%(2)
0.44%(2) 0.82%(2) 0.27%(2) 0.10%(2) 2.14%(2) 4.01%(2)
31% 0% 19% 40% 28% 0%
</Table>
161
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The streetTRACKS Series Trust (the "Trust"), which is registered under the
Investment Company Act of 1940, as amended, is an open-end investment management
company that was organized as a Massachusetts business trust on June 12, 1998.
The Trust currently consists of thirty-seven portfolios, each of which
represents a separate series of beneficial interest in the Trust, (each referred
to as a "Fund", collectively as "the Funds"). The following twenty-six Funds
were operational as of December 31, 2006: SPDR DJ Wilshire Total Market ETF
(formerly, streetTRACKS DJ Wilshire Total Market ETF), SPDR DJ Wilshire Large
Cap ETF (formerly, streetTRACKS DJ Wilshire Large Cap ETF), SPDR DJ Wilshire
Large Cap Growth ETF (formerly, streetTRACKS DJ Wilshire Large Cap Growth ETF),
SPDR DJ Wilshire Large Cap Value ETF (formerly, streetTRACKS DJ Wilshire Large
Cap Value ETF), SPDR DJ Wilshire Mid Cap ETF (formerly, streetTRACKS DJ Wilshire
Mid Cap ETF), SPDR DJ Wilshire Mid Cap Growth ETF (formerly, streetTRACKS DJ
Wilshire Mid Cap Growth ETF), SPDR DJ Wilshire Mid Cap Value ETF (formerly,
streetTRACKS DJ Wilshire Mid Cap Value ETF), SPDR DJ Wilshire Small Cap ETF
(formerly, streetTRACKS DJ Wilshire Small Cap ETF), SPDR DJ Wilshire Small Cap
Growth ETF (formerly, streetTRACKS DJ Wilshire Small Cap Growth ETF), SPDR DJ
Wilshire Small Cap Value ETF (formerly, streetTRACKS DJ Wilshire Small Cap Value
ETF), SPDR DJ Global Titans ETF (formerly, streetTRACKS DJ Global Titans ETF),
DJ Wilshire REIT ETF (formerly, streetTRACKS DJ Wilshire REIT ETF), KBW Bank ETF
(formerly, streetTRACKS KBW Bank ETF), KBW Capital Markets ETF (formerly,
streetTRACKS KBW Capital Markets ETF), KBW Insurance ETF (formerly, streetTRACKS
KBW Insurance ETF), Morgan Stanley Technology ETF (formerly, streetTRACKS Morgan
Stanley Technology ETF), SPDR S&P Dividend ETF (formerly, SPDR Dividend ETF),
SPDR S&P Biotech ETF (formerly, SPDR Biotech ETF), SPDR S&P Homebuilders ETF
(formerly, SPDR Homebuilders ETF), SPDR S&P Metals & Mining ETF (formerly, SPDR
Metals & Mining ETF), SPDR S&P Oil & Gas Equipment & Services ETF (formerly,
SPDR Oil & Gas Equipment & Services ETF), SPDR S&P Oil & Gas Exploration &
Production ETF (formerly, SPDR Oil & Gas Exploration & Production ETF), SPDR S&P
Pharmaceuticals ETF (formerly, SPDR Pharmaceuticals ETF), SPDR S&P Retail ETF
(formerly, SPDR Retail ETF), SPDR S&P Semiconductor ETF (formerly, SPDR
Semiconductor ETF), and KBW Regional Banking ETF (formerly, streetTRACKS KBW
Regional Banking ETF). The following eleven Funds were not operational as of
December 31, 2006: SPDR S&P Aerospace & Defense ETF (formerly, SPDR Aerospace &
Defense ETF), SPDR S&P Building & Construction ETF (formerly, SPDR Building &
Construction ETF), SPDR S&P Computer Hardware ETF (formerly, SPDR Computer
Hardware ETF), SPDR S&P Computer Software ETF (formerly, SPDR Computer Software
ETF), SPDR S&P Health Care Equipment ETF (formerly, SPDR Health Care Equipment
ETF), SPDR S&P Health Care Services ETF (formerly, SPDR Health Care Services
ETF), SPDR S&P LeisureTime ETF (formerly, SPDR LeisureTime ETF), SPDR S&P
Outsourcing & IT Consulting ETF (formerly, SPDR Outsourcing & IT Consulting
ETF), SPDR S&P Telecom ETF (formerly, SPDR Telecom ETF), SPDR S&P Transportation
ETF (formerly, SPDR Transportation ETF) and KBW Mortgage Finance ETF (formerly,
streetTRACKS KBW Mortgage Finance ETF). No financial information is presented
for these non-operational Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
SECURITY VALUATION
Portfolio securities are valued based on the last sale price on the exchange
which is deemed to be the principal market for the security. Securities traded
on the NASDAQ are valued at the NASDAQ official close price. Securities
regularly traded in an over-the-counter market are valued at the latest quoted
sale price in such market. Other portfolio securities and assets for which
market quotations are not readily available are valued based on fair value as
162
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
determined in good faith by Trust's Pricing and Investment Committee in
accordance with procedures approved by the Board of Trustees.
In September, 2006, Statement of Financial Accounting Standards No. 157, Fair
Value Measurements ("SFAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. SFAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. Management is currently evaluating the impact, if any, the
adoption of SFAS 157 will have on the Funds' financial statements.
INVESTMENT INCOME
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis. The value of additional securities received as
dividend payments is recorded as income and as an increase to the cost basis of
such securities.
EXPENSES
Advisory fees, which are directly identifiable to a specific Fund, are applied
to that Fund. Trustees fees are allocated in such a manner as deemed equitable,
taking into consideration the relative net assets of the Funds.
INVESTMENT TRANSACTIONS
Investment transactions are recorded on the trade date. Realized gains and
losses from the sale or disposition of securities and foreign exchange
transactions are recorded on the identified cost basis. Corporate actions
(including cash dividends) are recorded net of foreign tax withholdings.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The accounting records of the Funds are maintained in U.S. dollars. Portfolio
securities and other assets and liabilities denominated in a foreign currency
are translated to U.S. dollars at the prevailing rates of exchange at period
end. Purchases and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of transactions. The effects of changes in foreign currency exchange rates
on portfolio investments are included in the net realized and unrealized gains
and losses on investments. Net gains and losses on foreign currency transactions
include disposition of foreign currencies, and currency gains and losses between
the accrual and receipt dates of portfolio investment income and between the
trade and settlement dates of portfolio investment transactions.
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and securities of the U.S. government. These risks include revaluation
of currencies and the risk of appropriation. Moreover, the markets for
securities of many foreign companies and foreign governments may be less liquid
and the prices of such securities may be more volatile than those of comparable
U.S. companies and the U.S. government.
EQUALIZATION
The SPDR S&P Dividend ETF follows the accounting practice known as
"Equalization" by which a portion of the proceeds from sales and costs of
reacquiring Fund shares, equivalent on a per share basis to the amount of
distributable net investment income on the date of the transaction, is credited
or charged to undistributed net investment income. As a result, undistributed
net investment income per share is unaffected by sales or reacquisition of Fund
shares.
FEDERAL INCOME TAX
The Funds have qualified and intend to qualify for and elect treatment as a
"regulated investment companies" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying and electing, each Fund will not be
subject to federal income taxes to the extent it distributes its taxable income,
including any net realized capital
163
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
gains, for each fiscal year. In addition, by distributing during each calendar
year substantially all of their net investment income and capital gains, if any,
the Funds will not be subject to federal excise tax. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These book-tax differences
are primarily due to differing treatments for tax equalization, in-kind
transactions, foreign currencies, REITS and losses deferred due to wash sales.
For the six months ended December 31, 2006, the Funds reclassified non-taxable
security gains and losses realized on the in-kind redemption of Creation Units
(Note 4) as an increase or decrease to paid in capital in the Statements of
Assets and Liabilities as follows:
<Table>
<Caption>
NET GAIN (LOSS)
RECLASS AMOUNT
- -----------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ --
SPDR DJ Wilshire Large Cap ETF 166,056
SPDR DJ Wilshire Large Cap Growth ETF 2,409,372
SPDR DJ Wilshire Large Cap Value ETF --
SPDR DJ Wilshire Mid Cap ETF --
SPDR DJ Wilshire Mid Cap Growth ETF --
SPDR DJ Wilshire Mid Cap Value ETF --
SPDR DJ Wilshire Small Cap ETF 1,578,153
SPDR DJ Wilshire Small Cap Growth ETF 1,877,766
SPDR DJ Wilshire Small Cap Value ETF 4,340,750
SPDR DJ Global Titans ETF 2,590,833
DJ Wilshire REIT ETF 60,524,859
KBW Bank ETF 7,360,542
KBW Capital Markets ETF 11,055,453
KBW Insurance ETF 4,327,037
Morgan Stanley Technology ETF 3,640,228
SPDR S&P Dividend ETF 4,792,136
SPDR S&P Biotech ETF --
SPDR S&P Homebuilders ETF 9,291,390
SPDR S&P Metals & Mining ETF 456,030
SPDR S&P Oil & Gas Equipment & Services ETF (428,587)
SPDR S&P Oil & Gas Exploration & Production ETF 5,091,158
SPDR S&P Pharmaceuticals ETF 450,421
SPDR S&P Retail ETF 5,756,331
SPDR S&P Semiconductor ETF 2,287,905
KBW Regional Banking ETF 1,987,257
</Table>
164
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
At December 31, 2006, the Funds had capital loss carryforwards which may be
utilized to offset any net realized capital gains expiring June 30:
<Table>
<Caption>
2009 2010 2011 2012 2013 2014
------- ---------- ----------- ----------- ---------- -----------
SPDR DJ Wilshire Total Market ETF $ -- $ (372,167) $(3,654,485) $(1,348,494) $ (153,659) $(4,841,395)
SPDR DJ Wilshire Large Cap ETF -- -- -- -- -- --
SPDR DJ Wilshire Large Cap Growth ETF (12,048) (5,920,273) (4,738,409) (2,821,107) (309,686) (3,652,974)
SPDR DJ Wilshire Large Cap Value ETF -- -- (707,042) (652,025) (2,898,052) --
SPDR DJ Wilshire Mid Cap ETF -- -- -- -- -- --
SPDR DJ Wilshire Mid Cap Growth ETF -- -- -- -- -- --
SPDR DJ Wilshire Mid Cap Value ETF -- -- -- -- -- --
SPDR DJ Wilshire Small Cap ETF -- -- -- -- -- --
SPDR DJ Wilshire Small Cap Growth ETF -- -- (672,033) -- -- --
SPDR DJ Wilshire Small Cap Value ETF -- -- -- -- -- --
SPDR DJ Global Titans ETF -- (476,156) (1,493,437) (984,760) -- --
DJ Wilshire REIT ETF -- -- -- -- -- --
KBW Bank ETF -- -- -- -- -- --
KBW Capital Markets ETF -- -- -- -- -- --
KBW Insurance ETF -- -- -- -- -- --
Morgan Stanley Technology ETF (1,836) (2,341,875) (10,238,030) (19,143,628) (8,746,932) (3,784,746)
SPDR S&P Dividend ETF -- -- -- -- -- --
SPDR S&P Biotech ETF -- -- -- -- -- --
SPDR S&P Homebuilders ETF -- -- -- -- -- --
SPDR S&P Metals & Mining ETF -- -- -- -- -- --
SPDR S&P Oil & Gas Equipment & Services ETF -- -- -- -- -- --
SPDR S&P Oil & Gas Exploration & Production
ETF -- -- -- -- -- --
SPDR S&P Pharmaceuticals ETF -- -- -- -- -- --
SPDR S&P Retail ETF -- -- -- -- -- --
SPDR S&P Semiconductor ETF -- -- -- -- -- --
KBW Regional Banking ETF -- -- -- -- -- --
</Table>
165
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
The Funds incurred the following losses during the period November 1, 2005
through June 30, 2006 that are deferred for tax purposes until fiscal 2007:
<Table>
<Caption>
DEFERRED LOSSES
- ----------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ --
SPDR DJ Wilshire Large Cap ETF --
SPDR DJ Wilshire Large Cap Growth ETF 167,654
SPDR DJ Wilshire Large Cap Value ETF --
SPDR DJ Wilshire Mid Cap ETF --
SPDR DJ Wilshire Mid Cap Growth ETF --
SPDR DJ Wilshire Mid Cap Value ETF --
SPDR DJ Wilshire Small Cap ETF --
SPDR DJ Wilshire Small Cap Growth ETF --
SPDR DJ Wilshire Small Cap Value ETF --
SPDR DJ Global Titans ETF 92,651
DJ Wilshire REIT ETF --
KBW Bank ETF --
KBW Capital Markets ETF --
KBW Insurance ETF --
Morgan Stanley Technology ETF 2,191,596
SPDR S&P Dividend ETF --
SPDR S&P Biotech ETF 1,123,574
SPDR S&P Homebuilders ETF 3,333,473
SPDR S&P Metals & Mining ETF --
SPDR S&P Oil & Gas Equipment & Services ETF --
SPDR S&P Oil & Gas Exploration & Production ETF --
SPDR S&P Pharmaceuticals ETF --
SPDR S&P Retail ETF --
SPDR S&P Semiconductor ETF 1,217,841
KBW Regional Banking ETF --
</Table>
DISTRIBUTIONS
The Trust declares and distributes dividends from net investment income, if any,
to its shareholders quarterly. The Trust distributes net realized capital gains,
if any, at least annually. Distributions are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from accounting principles generally accepted
in the United States.
INDEMNIFICATIONS
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liability arising out of the performance of their
duties to the Trust. Additionally, in the normal course of business, the Trust
enters into contracts with service providers that contain general
indemnification clauses. The Trust's maximum exposure under these arrangements
is unknown as this could involve future claims that may be made against the
Trust that have not yet occurred. However, based on experience the Trust expects
the risk of loss to be remote.
3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY
TRANSACTIONS
ADVISORY FEE
Each Fund has entered into an Investment Advisory Agreement with SSgA Funds
Management, Inc. (the "Adviser"). As compensation for the services rendered,
facilities furnished, and expenses borne by the Adviser, each
166
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
Fund pays the Adviser a fee accrued daily and paid monthly, based on a
percentage of each Fund's average daily net assets as shown in the following
table:
<Table>
<Caption>
ANNUAL RATE
- -------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF 0.20%
SPDR DJ Wilshire Large Cap ETF 0.20
SPDR DJ Wilshire Large Cap Growth ETF 0.20
SPDR DJ Wilshire Large Cap Value ETF 0.20
SPDR DJ Wilshire Mid Cap ETF 0.25
SPDR DJ Wilshire Mid Cap Growth ETF 0.25
SPDR DJ Wilshire Mid Cap Value ETF 0.25
SPDR DJ Wilshire Small Cap ETF 0.25
SPDR DJ Wilshire Small Cap Growth ETF 0.25
SPDR DJ Wilshire Small Cap Value ETF 0.25
SPDR DJ Global Titans ETF 0.50
DJ Wilshire REIT ETF 0.25
KBW Bank ETF 0.35
KBW Capital Markets ETF 0.35
KBW Insurance ETF 0.35
Morgan Stanley Technology ETF 0.50
SPDR S&P Dividend ETF 0.35*
SPDR S&P Homebuilders ETF 0.35
SPDR S&P Biotech ETF 0.35
SPDR S&P Semiconductor ETF 0.35
SPDR S&P Metals & Mining ETF 0.35
SPDR S&P Oil & Gas Equipment & Services ETF 0.35
SPDR S&P Oil & Gas Exploration & Production ETF 0.35
SPDR S&P Pharmaceuticals ETF 0.35
SPDR S&P Retail ETF 0.35
KBW Regional Banking ETF 0.35
</Table>
The Adviser pays all expenses of each Fund other than the management fee,
distribution fee pursuant to each Fund's Distribution and Service Plan, if any,
brokerage, taxes, interest, fees and expenses of the Independent Trustees
(including any Trustee's counsel fees), litigation expenses and other
extraordinary expenses.
*The Adviser had contractually agreed to limit its management fee to the extent
necessary to limit annual operating expenses to 0.30% for the one year ending
October 31, 2006.
State Street Bank and Trust Company ("State Street"), an affiliate of the
Adviser, receives fees for its services as Custodian, Administrator and Transfer
Agent.
DISTRIBUTOR
State Street Global Markets, LLC (the "Distributor") serves as the distributor
of the shares of each Fund pursuant to a Distribution Plan and Agreement,
pursuant to Rule 12b-1 under the 1940 Act, between the Distributor and the
Trust. Each Fund, with the exception of the DJ Wilshire Total Market ETF, is
authorized to pay an amount of up to 0.25% of its average daily net assets for
certain distribution-related activities. However, the Board has determined that
no such payments will be made through at least October 31, 2007 and therefore no
such payments have been made to the Distributor.
TRUSTEES' FEES
The Trust pays each Independent Trustee an annual fee of $12,000, and a meeting
fee of $4,500 per board meeting attended. An Independent Trustee will receive
$500 for each meeting attended via telephone or video conference. The Funds will
reimburse the Trustees for any out of pocket expenses related to attending
meetings of the Board of Trustees and for other Board-related matters. The Board
of Trustees has an Audit Committee consisting of all Trustees who are not
"interested persons" (as defined in the 1940 Act) of the Trust. The Trustees
which are members of the Audit Committee do not receive additional compensation
from the Trust as a result of their position on the Audit Committee. The
Trustee's independent counsel fees are included as part of the trustee fees
presented on the financial statements.
167
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSACTIONS WITH AFFILIATES
The SPDR DJ Wilshire Total Market ETF, SPDR DJ Wilshire Large Cap ETF, SPDR DJ
Wilshire Large Cap Growth ETF, KBW Bank ETF and KBW Capital Markets ETF have
invested in affiliated companies. These investments represent 0.14%, 0.16%,
0.34%, 4.14% and 4.60%, respectively, of net assets at December 31, 2006.
Amounts relating to these investments at December 31, 2006 and for the period
ended are:
SDPR DJ WILSHIRE TOTAL MARKET ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
SECURITY DESCRIPTION HELD AT 6/30/06 ENDED 12/31/06 ENDED 12/31/06 AT 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. 2,141 115 0 2,256
</Table>
<Table>
<Caption>
REALIZED GAIN ( LOSS )
INCOME EARNED FOR ON SHARES SOLD DURING THE MARKET VALUE
THE SIX MONTHS SIX MONTHS ENDED AT SIX MONTHS
SECURITY DESCRIPTION ENDED 12/31/06 12/31/06 ENDED 12/31/06
- ---------------------------------------------------------------------------------------------------------------------
State Street Corp. $856 $0 $152,145
</Table>
SPDR DJ WILSHIRE LARGE CAP ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
SECURITY DESCRIPTION HELD AT 6/30/06 ENDED 12/31/06 ENDED 12/31/06 AT 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. 157 231 77 311
</Table>
<Table>
<Caption>
REALIZED GAIN ON SHARES
INCOME EARNED FOR SOLD DURING THE SIX MARKET VALUE
THE SIX MONTHS MONTHS ENDED AT SIX MONTHS
SECURITY DESCRIPTION ENDED 12/31/06 12/31/06 ENDED 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. $47 $322 $20,974
</Table>
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
SECURITY DESCRIPTION HELD AT 6/30/06 ENDED 12/31/06 ENDED 12/31/06 AT 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. 7,561 4,208 957 10,812
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
FOR THE SIX SOLD DURING THE SIX MARKET VALUE
MONTHS ENDED MONTHS ENDED AT SIX MONTHS
SECURITY DESCRIPTION 12/31/06 12/31/06 ENDED 12/31/06
- ------------------------------------------------------------------------------------------------------------------
State Street Corp. $3,394 $5,687 $729,161
</Table>
KBW BANK ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
SECURITY DESCRIPTION HELD AT 6/30/06 ENDED 12/31/06 ENDED 12/31/06 AT 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. 97,857 101,588 156,372 43,073
</Table>
<Table>
<Caption>
REALIZED GAIN ON SHARES
INCOME EARNED FOR SOLD DURING THE SIX MARKET VALUE
THE SIX MONTHS MONTHS ENDED AT SIX MONTHS
SECURITY DESCRIPTION ENDED 12/31/06 12/31/06 ENDED 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. $32,353 $144,588 $2,904,843
</Table>
168
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
KBW CAPITAL MARKETS ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
SECURITY DESCRIPTION HELD AT 6/30/06 ENDED 6/30/06 ENDED 6/30/06 AT 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. 36,620 193,484 154,700 75,404
</Table>
<Table>
<Caption>
INCOME EARNED FOR REALIZED GAIN ON SHARES MARKET VALUE
THE SIX MONTHS SOLD DURING THE SIX AT SIX MONTHS
SECURITY DESCRIPTION ENDED 6/30/06 MONTHS ENDED 6/30/06 ENDED 12/31/06
- --------------------------------------------------------------------------------------------------------------------
State Street Corp. $16,488 $116,828 $5,085,246
</Table>
4. SHAREHOLDER TRANSACTIONS
Except for Shares issued under the Trust's dividend reinvestment plan, Shares
are issued and redeemed by a Fund only in Creation Unit size aggregations of
50,000 Shares. Such transactions are only permitted on an in-kind basis, with a
separate cash payment, which is a balancing cash component to equate the
transaction to the net asset value per unit of the Fund on the transaction date.
Transaction fees at scheduled amounts ranging from $250 to $4,500 per Creation
Unit are charged to those persons creating or redeeming Creation Units.
Transaction fees are received by the Custodian and used to offset the expense of
processing orders of portfolio transactions.
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
The identified cost of investments in securities owned by each Fund for federal
income tax purposes was substantially the same as the cost for financial
reporting purposes. Accordingly, gross unrealized appreciation and depreciation
at December 31, 2006 were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 91,480,453 $ 25,267,686 $ 4,885,967 $ 20,381,719
SPDR DJ Wilshire Large Cap ETF 12,056,403 1,047,311 147,408 899,903
SPDR DJ Wilshire Large Cap Growth ETF 195,519,784 22,772,296 4,702,574 18,069,722
SPDR DJ Wilshire Large Cap Value ETF 132,672,720 22,964,657 1,735,767 21,228,890
SPDR DJ Wilshire Mid Cap ETF 15,326,330 2,071,434 476,213 1,595,221
SPDR DJ Wilshire Mid Cap Growth ETF 19,369,343 2,576,720 660,034 1,916,686
SPDR DJ Wilshire Mid Cap Value ETF 8,081,564 883,272 219,363 663,909
SPDR DJ Wilshire Small Cap ETF 15,219,099 1,010,169 900,094 110,075
SPDR DJ Wilshire Small Cap Growth ETF 76,990,476 11,173,756 4,513,281 6,660,475
SPDR DJ Wilshire Small Cap Value ETF 84,853,941 13,442,406 2,645,870 10,796,536
SPDR DJ Global Titans ETF 169,374,444 19,128,108 2,056,035 17,072,073
DJ Wilshire REIT ETF 1,056,498,571 265,353,474 6,056,679 259,296,795
KBW Bank ETF 69,116,258 1,435,994 532,264 903,730
KBW Capital Markets ETF 110,294,539 2,517,848 2,411,434 106,414
KBW Insurance ETF 52,358,227 1,948,899 202,340 1,746,559
Morgan Stanley Technology ETF 192,151,691 9,212,057 14,920,577 (5,708,520)
SPDR S&P Dividend ETF 187,342,630 10,841,002 986,899 9,854,103
SPDR S&P Biotech ETF 54,692,523 4,029,531 5,636,342 (1,606,811)
SPDR S&P Homebuilders ETF 299,847,282 1,192,298 5,977,012 (4,784,714)
SPDR S&P Metals & Mining ETF 39,934,348 3,681,187 1,911,622 1,769,565
SPDR S&P Oil & Gas Equipment & Services ETF 34,968,676 1,054,028 743,126 310,902
SPDR S&P Oil & Gas Exploration & Production ETF 20,873,394 780,767 671,337 109,430
SPDR S&P Pharmaceuticals ETF 37,686,325 1,099,026 851,119 247,907
SPDR S&P Retail ETF 107,438,248 785,823 2,443,825 (1,658,002)
SPDR S&P Semiconductor ETF 35,711,257 589,879 4,318,251 (3,728,372)
KBW Regional Banking ETF 265,955,193 2,935,489 415,785 2,519,704
</Table>
169
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2006, the Trust had in-kind contributions
and in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
- -------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 4,850,411 $ --
SPDR DJ Wilshire Large Cap ETF 9,089,290 3,023,802
SPDR DJ Wilshire Large Cap Growth ETF 74,693,105 14,748,118
SPDR DJ Wilshire Large Cap Value ETF 35,302,638 --
SPDR DJ Wilshire Mid Cap ETF -- --
SPDR DJ Wilshire Mid Cap Growth ETF -- --
SPDR DJ Wilshire Mid Cap Value ETF -- --
SPDR DJ Wilshire Small Cap ETF 6,168,383 17,558,744
SPDR DJ Wilshire Small Cap Growth ETF 14,189,274 12,313,443
SPDR DJ Wilshire Small Cap Value ETF 13,659,136 26,322,778
SPDR DJ Global Titans ETF 96,688,441 10,587,421
DJ Wilshire REIT ETF 279,424,752 176,876,549
KBW Bank ETF 157,765,032 243,639,411
KBW Capital Markets ETF 266,328,064 219,629,018
KBW Insurance ETF 152,971,772 141,514,521
Morgan Stanley Technology ETF 88,866,510 66,320,420
SPDR S&P Dividend ETF 132,113,044 49,944,593
SPDR S&P Biotech ETF 23,276,159 --
SPDR S&P Homebuilders ETF 1,016,871,472 903,458,496
SPDR S&P Metals & Mining ETF 15,626,624 2,484,036
SPDR S&P Oil & Gas Equipment & Services ETF 65,422,302 44,189,598
SPDR S&P Oil & Gas Exploration & Production ETF 126,329,385 127,915,601
SPDR S&P Pharmaceuticals ETF 28,196,587 6,707,367
SPDR S&P Retail ETF 38,064,382 283,026,392
SPDR S&P Semiconductor ETF 51,288,988 68,842,039
KBW Regional Banking ETF 765,464,065 597,920,151
</Table>
For the six months ended December 31, 2006, the Trust had purchases and sales of
investment securities as follows:
<Table>
<Caption>
PURCHASES SALES
- --------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 1,117,509 $ 507,862
SPDR DJ Wilshire Large Cap ETF 314,995 220,489
SPDR DJ Wilshire Large Cap Growth ETF 12,854,577 11,335,188
SPDR DJ Wilshire Large Cap Value ETF 8,122,639 7,470,376
SPDR DJ Wilshire Mid Cap ETF 3,708,386 3,697,990
SPDR DJ Wilshire Mid Cap Growth ETF 5,808,207 5,984,415
SPDR DJ Wilshire Mid Cap Value ETF 1,945,875 1,988,055
SPDR DJ Wilshire Small Cap ETF 1,799,579 1,607,469
SPDR DJ Wilshire Small Cap Growth ETF 11,795,407 9,665,939
SPDR DJ Wilshire Small Cap Value ETF 14,901,539 13,715,409
SPDR DJ Global Titans ETF 9,621,906 2,243,226
DJ Wilshire REIT ETF 103,855,149 75,130,533
KBW Bank ETF 4,659,135 4,654,612
KBW Capital Markets ETF 20,670,336 23,042,103
KBW Insurance ETF 3,180,213 3,371,747
Morgan Stanley Technology ETF 20,897,474 20,969,487
SPDR S&P Dividend ETF 41,100,811 41,750,199
SPDR S&P Biotech ETF 15,533,050 15,726,712
SPDR S&P Homebuilders ETF 17,019,595 16,690,756
SPDR S&P Metals & Mining ETF 6,523,027 6,593,190
SPDR S&P Oil & Gas Equipment & Services ETF 3,702,886 3,725,937
SPDR S&P Oil & Gas Exploration & Production ETF 11,812,453 10,733,274
SPDR S&P Pharmaceuticals ETF 5,230,943 3,225,872
SPDR S&P Retail ETF 18,008,668 17,431,927
SPDR S&P Semiconductor ETF 11,378,822 11,468,616
KBW Regional Banking ETF 24,052,724 25,672,388
</Table>
170
STREETTRACKS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
7. CONCENTRATION OF RISK
The Funds' assets may be concentrated in an industry or group of industries to
the extent that the Funds' underlying index concentrates in a particular
industry or group of industries. By concentrating their assets in a single
industry or group of industries, the Funds are subject to the risk that
economic, political or other conditions that have a negative effect on that
industry or group of industries will negatively impact the Funds to a greater
extent than if the Funds' assets were invested in a wider variety of industries.
8. OTHER INFORMATION
In December 2006, the SEC issued staff guidance ("SEC Letter") that delayed the
implementation of the Financial Accounting Standards Board's ("FASB")
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" ("FIN 48")
and clarified its application. FIN 48 was originally released by the FASB in
July 2006. FIN 48 mandates a two-part test for recognition of a tax benefit in
the financial statement of any company (including an investment company) that
follows generally accepted accounting principles. First, the company must
determine that it has a greater than 50% likelihood of sustaining its position
based on the "technical merits" of the position. Second, the company must
determine the amount of benefit that may be recognized by considering all of the
potential outcomes and measuring the probability that each will occur. The SEC
Letter clarifies the types of guidance upon which investment companies can rely
in determining the technical merits of a tax position. In addition, the SEC
Letter permits investment companies to delay the implementation of FIN 48 until
the last NAV calculation in the first required financial reporting period for
fiscal years beginning after December 15, 2006. At this time, management is
evaluating the implications of FIN 48 and its impact, if any, in the financial
statements has not yet been determined.
171
STREETTRACKS SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs
which may include creation and redemption fees or brokerage charges and (2)
ongoing costs, including management fees and trustee fees. This Example is
intended to help you understand your ongoing costs (in dollars) of investing in
a Fund and to compare these costs with the ongoing costs of investing in other
mutual funds. It is based on an investment of $1,000 invested at July 1, 2006
and held for the six months ended December 31, 2006.
ACTUAL EXPENSES
The first table below provides information about actual account values and
actual expenses. You may use the information in this table, together with the
amount you invested, to estimate the expenses that you incurred over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the first
table under the heading entitled "Expenses Paid During Period" to estimate the
expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table below provides information about hypothetical account values
and hypothetical expenses based on a Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not a Fund's actual
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds. The Funds charge transaction fees at scheduled amounts
ranging from $250 to $4,500 per Creation Unit to those persons creating or
redeeming Creation Units. If you buy or sell Trust Fund Shares in the secondary
market, you will incur customary brokerage commissions and charges.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees on brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL 7/1/2006 12/31/2006 07/01/06-12/31/06
- ---------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $1,118.00 $1.07
SPDR DJ Wilshire Large Cap ETF $1,000 $1,124.40 $1.07
SPDR DJ Wilshire Large Cap Growth ETF $1,000 $1,094.10 $1.06
SPDR DJ Wilshire Large Cap Value ETF $1,000 $1,152.40 $1.09
SPDR DJ Wilshire Mid Cap ETF $1,000 $1,085.40 $1.31
SPDR DJ Wilshire Mid Cap Growth ETF $1,000 $1,074.90 $1.31
SPDR DJ Wilshire Mid Cap Value ETF $1,000 $1,000.00 $1.32
SPDR DJ Wilshire Small Cap ETF $1,000 $1,083.20 $1.31
SPDR DJ Wilshire Small Cap Growth ETF $1,000 $1,066.30 $1.30
SPDR DJ Wilshire Small Cap Value ETF $1,000 $1,098.60 $1.32
SPDR DJ Global Titans ETF $1,000 $1,147.00 $2.76
DJ Wilshire REIT ETF $1,000 $1,186.00 $1.38
KBW Bank ETF $1,000 $1,110.40 $1.91
KBW Capital Markets ETF $1,000 $1,196.10 $1.94
KBW Insurance ETF $1,000 $1,122.60 $1.87
Morgan Stanley Technology ETF $1,000 $1,150.40 $2.71
SPDR S&P Dividend ETF $1,000 $1,127.90 $1.72
SPDR S&P Biotech ETF $1,000 $1,005.40 $1.82
SPDR S&P Homebuilders ETF $1,000 $1,107.50 $1.86
</Table>
172
STREETTRACKS SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL 7/1/2006 12/31/2006 07/01/06-12/31/06
- ---------------------------------------------------------------------------------------------------------------
SPDR S&P Metals & Mining ETF $1,000 $ 984.40 $1.80
SPDR S&P Oil & Gas Equipment & Services ETF $1,000 $ 946.70 $1.72
SPDR S&P Oil & Gas Exploration & Production ETF $1,000 $ 976.20 $1.79
SPDR S&P Pharmaceuticals ETF $1,000 $1,090.30 $1.84
SPDR S&P Retail ETF $1,000 $1,084.10 $1.84
SPDR S&P Semiconductor ETF $1,000 $1,041.60 $1.80
KBW Regional Banking ETF $1,000 $1,052.40 $1.86
</Table>
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL 7/1/2006 12/31/2006 07/01/06-12/31/06
- ---------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $1,024.20 $1.02
SPDR DJ Wilshire Large Cap ETF $1,000 $1,024.20 $1.02
SPDR DJ Wilshire Large Cap Growth ETF $1,000 $1,024.20 $1.02
SPDR DJ Wilshire Large Cap Value ETF $1,000 $1,024.20 $1.02
SPDR DJ Wilshire Mid Cap ETF $1,000 $1,023.95 $1.28
SPDR DJ Wilshire Mid Cap Growth ETF $1,000 $1,023.95 $1.28
SPDR DJ Wilshire Mid Cap Value ETF $1,000 $1,023.95 $1.28
SPDR DJ Wilshire Small Cap ETF $1,000 $1,023.95 $1.28
SPDR DJ Wilshire Small Cap Growth ETF $1,000 $1,023.95 $1.28
SPDR DJ Wilshire Small Cap Value ETF $1,000 $1,023.95 $1.28
SPDR DJ Global Titans ETF $1,000 $1,022.63 $2.60
DJ Wilshire REIT ETF $1,000 $1,023.95 $1.28
KBW Bank ETF $1,000 $1,023.39 $1.84
KBW Capital Markets ETF $1,000 $1,023.44 $1.79
KBW Insurance ETF $1,000 $1,023.44 $1.79
Morgan Stanley Technology ETF $1,000 $1,022.68 $2.55
SPDR S&P Dividend ETF $1,000 $1,023.59 $1.63
SPDR S&P Biotech ETF $1,000 $1,023.39 $1.84
SPDR S&P Homebuilders ETF $1,000 $1,023.44 $1.79
SPDR S&P Metals & Mining ETF $1,000 $1,023.44 $1.84
SPDR S&P Oil & Gas Equipment & Services ETF $1,000 $1,023.44 $1.79
SPDR S&P Oil & Gas Exploration & Production ETF $1,000 $1,023.39 $1.84
SPDR S&P Pharmaceuticals ETF $1,000 $1,023.44 $1.79
SPDR S&P Retail ETF $1,000 $1,023.44 $1.79
SPDR S&P Semiconductor ETF $1,000 $1,023.44 $1.79
KBW Regional Banking ETF $1,000 $1,023.39 $1.84
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.20%, 0.20%,
0.20%, 0.20%, 0.25%, 0.25%, 0.25%, 0.25%, 0.25%, 0.25%, 0.51%, 0.25%, 0.36%,
0.35%, 0.35%, 0.50%, 0.32% 0.36%, 0.35%, 0.36%, 0.35%, 0.36%, 0.35%, 0.35%,
0.35%, and 0.36%, respectively. Expenses are equal to the Fund's annualized
expense ratio, multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period (or since
commencement of operations), then divided by 365.
173
STREETTRACKS SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
PROXY VOTING POLICIES
A description of the policies and procedures that are used by the Funds'
investment adviser to vote proxies relating to the Funds' portfolio securities
is available without charge, upon request, by calling 1-866-787-2257 (toll
free). Information regarding how the investment adviser votes these proxies is
available by calling the same number and on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on the Form N-Q. The Funds' Forms
N-Q is available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
form N-Q will be available upon request without charge, by calling
1-866-787-2257 (toll free), and on the Funds' website at www.spdretfs.com.
FULL PORTFOLIO SCHEDULE
The complete schedules of portfolio holdings for the following Funds are
available on the Funds' website at www.spdretfs.com, without charge, upon
request, by calling 1-866-787-2257 (toll-free) and on the SEC's website at
www.sec.gov.
SPDR DJ Wilshire Total Market ETF
SPDR DJ Wilshire Large Cap ETF
SPDR DJ Wilshire Large Cap Growth ETF
SPDR DJ Wilshire Large Cap Value ETF
SPDR DJ Wilshire Mid Cap ETF
SPDR DJ Wilshire Mid Cap Value ETF
SPDR DJ Wilshire Mid Cap Growth ETF
SPDR DJ Wilshire Small Cap ETF
SPDR DJ Wilshire Small Cap Growth ETF
SPDR DJ Wilshire Small Cap Value ETF
APPROVAL OF ADVISORY AGREEMENTS
At an in-person meeting held on August 23, 2006 (the "Meeting"), the Board of
Trustees of the Trust (the "Board") considered renewal of the Investment
Advisory Agreement (the "Agreement") between the Trust and SSgA Funds
Management, Inc. (the "Adviser") with respect to the series portfolios of the
Trust (each a "Fund", collectively, the "Funds"). The Trustees who are not
"interested persons" of the Trust within the meaning of the Investment Company
Act of 1940, as amended (the "Independent Trustees") also met separately with
their independent legal counsel to consider the Agreement.
In evaluating the Agreement, the Board drew on materials provided to them by the
Adviser and on other materials provided by State Street Bank and Trust Company,
the Trust's Administrator, Transfer Agent and Custodian ("State Street"). In
deciding whether to renew the Agreement, the Board considered certain factors,
including (i) the nature, extent and quality of the services provided by the
Adviser under the Agreement, (ii) the investment performance of the Funds, (iii)
the costs to the Adviser of its services and the profits realized by the Adviser
from its relationship with the Trust, and (iv) the extent to which economies of
scale would be realized if and as the Funds grow and whether the fee levels in
the Agreement reflect these economies of scale.
First, the Board considered the nature, extent and quality of the services
provided by the Adviser. In doing so, they relied on their prior experience with
the Trust and materials provided prior to and at the meeting. The Board reviewed
the Agreement and the Adviser's responsibilities for managing the investment
operations of each Fund in accordance with each Fund's investment objective and
policies, and the applicable legal and regulatory requirements. The Board
appreciated the relatively unique nature of the Funds, as exchange-traded funds
("ETFs"), and the experience and expertise of the Adviser with ETFs. The Board
considered the background and experience of the Adviser's senior management,
including those individuals responsible for the portfolio management and
compliance. The Board also
174
STREETTRACKS SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
considered the resources, structures and practices of the Adviser in managing
the Funds' portfolios and in monitoring and securing each Fund's compliance with
its investment objectives and policies and with applicable laws and regulations.
The Board also considered information about the Adviser's best execution
procedures and overall investment management business, noting that the Adviser
serves a wide range of clients across a broad spectrum of asset classes. The
Board looked at the Adviser's general knowledge of the investment business and
that of its parent, State Street Global Advisers, with which the Adviser shares
all of its senior personnel. The Board considered that the Adviser and its
affiliates constitute one of the world's largest investment management
enterprises for indexed products generally and ETFs in particular. The Board
then determined that the nature, extent and quality of the services provided by
the Adviser to the Trust were necessary and appropriate.
The Board then reviewed the Funds' performance, noting that the distinctive
indexed investment objective of each of the Funds made the analysis of
investment performance, in absolute terms, less of a priority than that which
normally attaches to the performance of actively-managed funds. The Board was
more concerned with the extent to which each Fund achieved its objective of
replicating the total return of the applicable index. The Board reviewed
information regarding the Funds' index tracking and tracking error, noting that
each Fund closely tracked its benchmark index. The Board also considered that
none of the Funds generated a taxable gain during the most recent fiscal year.
The Board then determined that the performance of each Fund was satisfactory.
The Board considered the profitability of the advisory arrangement with the
Funds to the Adviser including data on the Funds' historical profitability to
the Adviser. The Independent Trustees, through their counsel, had the
opportunity to discuss with representatives of the Adviser and State Street the
methodologies used in computing the costs that formed the bases of the
profitability calculations and determined that these methodologies were
reasonable. The Board concluded that, to the extent that the Adviser realized a
profit on the Funds, the profitability was not excessive.
The Board considered whether the Adviser benefited in other ways from its
relationship with the Trust, noting that Adviser maintains no soft-dollar
arrangements in connection with the Trust's brokerage transactions. The Board
concluded that, to the extent that the Adviser derives other benefits from its
relationship with the Trust, those benefits are not so significant as to cause
the Adviser's fee to be excessive.
The Board determined that the Adviser is likely to realize economies of scale in
managing the Funds as assets grow in size. The Board further determined that
such economies of scale are currently shared with the Funds by way of the low
fee structure of the Trust.
The Board evaluated the Funds' unitary fee through the review of comparative
information with respect to fees paid by similar funds - i.e., ETFs tracking
sector indexes. The Board reviewed the universe of similar ETFs for each Fund
based upon Lipper Analytical Services and related comparative information. The
Board also reviewed the expense ratios of the Funds and the unitary fee
structure. The Board used a Fund by Fund analysis of the data to determine that
each Fund's expense ratio was reasonable in light of its peers. The Board
concluded, based on the information presented, that each Fund's fees were fair
and reasonable in light those of their direct competitors.
The Board's conclusions regarding the Agreement were as follows: (a) the nature
and extent of the services provided by the Adviser were appropriate; (b) the
performance, and more importantly, the index tracking, of each Fund had been
satisfactory; (c) the Adviser's fees for each Fund and the unitary fee,
considered in relation to the services provided, were fair and reasonable; (d)
the profitability of the Trust's relationship with the Adviser was not
excessive; (e) any additional benefits to the Adviser were not of a magnitude
materially to affect the Board's conclusions; and (f) the fees paid to the
Adviser adequately shared the economies of scale with the Funds.
At the Meeting, the Board also considered the renewal of the Sub-Advisory
Agreement (the "Sub-Advisory Agreement") between the Trust and The Tuckerman
Group LLC, an affiliate of the Adviser (the "Sub-Adviser") with respect to the
streetTRACKS DJ Wilshire REIT ETF (the "REIT Fund"). The Board considered the
background and experience of the Sub-Adviser's senior management and in
particular the Sub-Adviser's experience in investing in real estate investment
trusts, otherwise known as REITs. The Board considered that the REIT Fund
clearly tracked its benchmark index and did not distribute any capital gains. In
light of the Board's determination that the unitary fee paid to State Street by
the Fund was fair and reasonable and that the Sub-Adviser's fees are paid by the
Adviser, the Trustees did not believe it necessary to evaluate the Sub-Adviser's
profitability or any additional benefits that the Sub-Adviser may receive.
175
STREETTRACKS SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
The Board's conclusions with respect to the Sub-Advisory Agreement were as
follows: (a) the nature and extent of the services provided by the Sub-Adviser
were appropriate; (b) the performance, and more importantly, the index tracking,
of the REIT Fund had been satisfactory; and (c) the Sub-Adviser's fees for the
REIT Fund and the unitary fee, considered in relation to the services provided,
were fair and reasonable; (d) any additional benefits to the Sub-Adviser were
not of a magnitude materially to affect the Board's conclusions; and (e) the
fees paid to the Sub-Adviser adequately shared the economies of scale with the
REIT Fund.
176
THE SSGA(R) FAMILY OF FUNDS
The following is a list of SSgA Funds being offered, along with their respective
exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR
ANY SSGA FUND. THE PROSPECTUS CONTAINS MORE COMPLETE INFORMATION, INCLUDING
CHARGES, EXPENSES, INVESTMENT OBJECTIVES AND RISK FACTORS THAT SHOULD BE
CAREFULLY CONSIDERED TO DETERMINE IF THE FUND(S) ARE AN APPROPRIATE INVESTMENT
FOR YOU. READ THE PROSPECTUS(ES) CAREFULLY BEFORE INVESTING. INVESTING INVOLVES
RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
SPDR DJ Wilshire Total Market ETF (TMW)
SPDR DJ Wilshire Large Cap ETF (ELR)
SPDR DJ Wilshire Large Cap Growth ETF (ELG)
SPDR DJ Wilshire Large Cap Value ETF (ELV)
SPDR DJ Wilshire Mid Cap ETF (EMM)
SPDR DJ Wilshire Mid Cap Growth ETF (EMG)
SPDR DJ Wilshire Mid Cap Value (EMV)
SPDR DJ Wilshire Small Cap ETF (DSC)
SPDR DJ Wilshire Small Cap Growth ETF (DSG)
SPDR DJ Wilshire Small Cap Value (DSV)
SPDR Global Titans ETF (DGT)
DJ Wilshire REIT ETF (RWR)
KBW Bank ETF (KBE)
KBW Capital Markets ETF (KCE)
KBW Insurance ETF (KBI)
Morgan Stanley Technology ETF (MTK)
SPDR S&P Dividend ETF (SDY)
SPDR S&P Biotech ETF (XBI)
SPDR S&P Homebuilders ETF (XHB)
SPDR S&P Metals & Mining ETF (XME)
SPDR S&P Oil & Gas Equipment & Services ETF (XES)
SPDR S&P Oil & Gas Exploration & Production ETF (XOP)
SPDR S&P Pharmaceuticals ETF (XHP)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
KBW Regional Banking ETF (KRE)
The Consumer Discretionary Select Sector SPDR Fund (XLY)
The Consumer Staples Select Sector SPDR Fund (XLP)
The Energy Select Sector SPDR Fund (XLE)
The Financial Select Sector SPDR Fund (XLF)
The Health Care Select Sector SPDR Fund (XLV)
The Industrial Select Sector SPDR Fund (XLI)
The Materials Select Sector SPDR Fund (XLB)
The Technology Select Sector SPDR Fund (XLK)
The Utilities Select Sector SPDR Fund (XLU)
Dow Diamonds (DIA)
SPDR S&P 500 ETF (SPY)
DJ STOXX 50 ETF (FEU)
DJ Euro STOXX 50 ETF (FEZ)
SPDR DJ Wilshire International Real Estate ETF (RWX)
SPDR FTSE/Macquarie Global Infrastructure 100 ETF (GII)
SPDR MSCI ACWI ex-US ETF (CWI)
SPDR Russell/Nomura PRIME Japan ETF (JPP)
SPDR Russell/Nomura Small Cap Japan ETF (JSC)
State Street Global Markets, LLC, member NASD, SIPC is distributor for all SPDRs
product. ALPS Distributors, Inc., a registered broker-dealer, is distributor for
SPDR shares and Dow Diamonds, both unit investment trusts and Select Sector
SPDRs.
streetTRACKS' SERIES TRUST
TRUSTEES
David M. Kelly
Frank Nesvet
Helen F. Peters
James E. Ross
OFFICERS
James E. Ross, President
Michael P. Riley, Vice President
Gary L. French, Treasurer
Mary Moran Zeven, Secretary
Ryan M. Louvar, Assistant Secretary
Chad C. Hallett, Assistant Treasurer
John W. Clark, Assistant Treasurer
Matthew W. Flaherty, Assistant Treasurer
Peter A. Ambrosini, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
DISTRIBUTOR
State Street Global Markets, LLC
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned
subsidiary of State Street Corporation. State Street Global Markets, LLC is a
member of NASD, SIPC, and the Boston Stock Exchange.
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 1-866-787-2257 or visiting www.spdretfs.com
Please read the prospectus carefully before you invest.
State Street Global Advisors
State Street Financial Center
One Lincoln Street
Boston, MA 02111
The investment return and principal value of an investment in the Funds will
fluctuate in value, so that when shares are sold or redeemed they may be worth
more or less than when they were purchased.
ETFs trade like stocks, are subject to investment risk and will fluctuate in
market value.
For SPDR DJ Wilshire Small Cap Growth ETF, SPDR DJ Wilshire Small Cap Value
ETF, Morgan Stanley Technology ETF, SPDR DJ Wilshire REIT ETF, KBW Bank ETF,
KBW Capital Markets ETF, KBW Insurance ETF, KBW Regional Banking ETF, SPDR S&P
Dividend ETF, SPDR S&P Biotech ETF, SPDR Homebuilders ETF, SPDR Semiconductor
ETF, SPDR S&P Metals & Mining ETF, SPDR S&P Oil & Gas Equipment &
Services ETF, SPDR S&P Oil & Gas Exploration & Production ETF, SPDR S&P
Pharmaceuticals ETF and SPDR S&P Retail ETF: In addition to the normal risks
associated with equity investing, narrowly focused investments and investments
in smaller companies typically exhibit higher volatility and price fluctuation.
For SPDR Global Titans Fund: International investments may involve risk of
capital loss from unfavorable fluctuations in currency values, from differences
in generally accepted accounting principles or from economic or political
instability in other nations.
In general, Fund shares can be expected to move up or down in value with the
value of the applicable index. Although Fund shares may be bought and sold on
the exchange through any brokerage account, Fund shares are not individually
redeemable from the Fund. Investors may directly acquire shares of the Funds
and tender them for redemption in Creation Unit Aggregations only. Please see
the prospectus for more details.
The Funds are not sponsored, endorsed, sold or promoted by Dow Jones & Company,
Time Inc., Morgan Stanley Dean Witter, Keefe, Bruyette & Woods, Inc., Standard
& Poor's and Wilshire Associates. Neither do these companies make any
representation regarding the advisability of investing in the Funds. The Funds
are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary
of State Street Corporation. State Street Global Markets, LLC is a member of
NASD, SIPC, and the Boston Stock Exchange. References to State Street may
include State Street Corporation and its affiliates. Shares of the Funds are
not insured by the FDIC or by another governmental agency; they are not
obligations of the FDIC nor are they deposits or obligations of or guaranteed
by State Street Bank and Trust Company. Fund shares are subject to investment
risks, including possible loss of the principal invested. The Funds pay State
Street for its services as investment advisor, custodian, transfer agent and
administrator shareholder servicing agent.
Please read the prospectus carefully before you invest or send money.
(c) 2007 State Street Corporation STSAR
For more complete information, please call 866.787.2257 or visit spdretfs.com
today
ITEM 2. CODE OF ETHICS
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to the Registrant; this Form N-CSR is a Semi-Annual Report.
ITEM 6. SCHEDULE OF INVESTMENTS
A Schedule of Investments for each series of the Trust, except for those series
set forth below, is included as a part of the semi-annual report to shareholders
filed under Item 1 of this Form N-CSR.
The Schedule of Investments for the following series of the Trust is set forth
below:
SPDR DJ Wilshire Total Market ETF
SPDR DJ Wilshire Large Cap ETF
SPDR DJ Wilshire Large Cap Growth ETF
SPDR DJ Wilshire Large Cap Value ETF
SPDR DJ Wilshire Mid Cap ETF
SPDR DJ Wilshire Mid Cap Growth ETF
SPDR DJ Wilshire Mid Cap Value ETF
SPDR DJ Wilshire Small Cap ETF
SPDR DJ Wilshire Small Cap Growth ETF
SPDR DJ Wilshire Small Cap Value ETF
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.9%
Ascent Solar Technologies, Inc. (a)... 3,600 $ 10,440
Boeing Co. ........................... 5,181 460,280
General Dynamics Corp. ............... 2,295 170,633
Goodrich Corp. ....................... 1,430 65,136
Honeywell International, Inc. ........ 5,271 238,460
L-3 Communications Holdings, Inc. .... 1,044 85,378
Lockheed Martin Corp. ................ 2,361 217,377
Northrop Grumman Corp. ............... 2,204 149,211
Precision Castparts Corp. ............ 813 63,642
Raytheon Co. ......................... 3,446 181,949
Rockwell Collins, Inc. ............... 1,658 104,935
United Technologies Corp. ............ 6,203 387,812
------------
2,135,253
------------
AIR FREIGHT & LOGISTICS -- 0.6%
C.H. Robinson Worldwide, Inc. ........ 916 37,455
Expeditors International Washington,
Inc. ............................... 2,619 106,070
FedEx Corp. .......................... 1,995 216,697
Forward Air Corp. .................... 1,723 49,846
United Parcel Service, Inc. (Class
B).................................. 3,788 284,024
------------
694,092
------------
AIRLINES -- 0.2%
AMR Corp. (a)......................... 2,253 68,108
JetBlue Airways Corp. (a)............. 2,535 35,997
Midwest Air Group, Inc. (a)........... 200 2,300
Southwest Airlines Co. ............... 6,031 92,395
------------
198,800
------------
AUTO COMPONENTS -- 0.3%
Gentex Corp. ......................... 2,688 41,825
Johnson Controls, Inc. ............... 1,591 136,699
Lear Corp. ........................... 1,075 31,745
Modine Manufacturing Co. ............. 1,587 39,723
Proliance International, Inc. (a)..... 426 1,959
The Goodyear Tire & Rubber Co. (a).... 2,577 54,091
------------
306,042
------------
AUTOMOBILES -- 0.3%
Ford Motor Co. ....................... 14,104 105,921
General Motors Corp. ................. 3,404 104,571
Harley-Davidson, Inc. ................ 2,405 169,480
Thor Industries, Inc. ................ 300 13,197
------------
393,169
------------
BEVERAGES -- 1.6%
Anheuser-Busch Cos., Inc. ............ 4,800 236,160
Coca-Cola Enterprises, Inc. .......... 2,879 58,789
Constellation Brands, Inc. (Class A)
(a)................................. 2,053 59,578
PepsiCo, Inc. ........................ 11,115 695,243
The Coca-Cola Co. .................... 14,752 711,784
The Pepsi Bottling Group, Inc. ....... 1,985 61,357
------------
1,822,911
------------
BIOTECHNOLOGY -- 1.8%
Alfacell Corp. (a).................... 800 1,368
Amgen, Inc. (a)....................... 8,870 605,910
Amylin Pharmaceuticals, Inc. (a)...... 300 10,821
AVI BioPharma, Inc. (a)............... 2,600 8,268
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
BioCryst Pharmaceuticals, Inc. (a).... 500 $ 5,780
Biogen Idec, Inc. (a)................. 2,852 140,290
Celgene Corp. (a)..................... 3,207 184,499
Cephalon, Inc. (a).................... 1,125 79,211
Chelsea Therapeutics International,
Inc. (a)............................ 3,300 12,606
Dyadic International, Inc. (a)........ 1,300 7,930
Dynavax Technologies Corp. (a)........ 1,400 12,852
Genentech, Inc. (a)................... 3,367 273,165
Genzyme Corp. (a)..................... 1,753 107,950
Gilead Sciences, Inc. (a)............. 3,489 226,541
Human Genome Sciences, Inc. (a)....... 3,103 38,601
ImClone Systems, Inc. (a)............. 1,008 26,974
Isolagen, Inc. (a).................... 3,100 9,083
MedImmune, Inc. (a)................... 2,784 90,118
Millennium Pharmaceuticals, Inc.
(a)................................. 4,710 51,339
Neurocrine Biosciences, Inc. (a)...... 987 10,284
Novavax, Inc. (a)..................... 1,900 7,790
OSI Pharmaceuticals, Inc. (a)......... 400 13,992
SIGA Technologies, Inc. (a)........... 2,800 10,500
Sirna Therapeutics, Inc. (a).......... 2,000 26,020
StemCells, Inc. (a)................... 1,000 2,650
Threshold Pharmaceuticals, Inc. (a)... 400 1,480
------------
1,966,022
------------
BUILDING PRODUCTS -- 0.2%
American Standard Cos., Inc. ......... 1,625 74,506
Masco Corp. .......................... 2,990 89,312
Simpson Manufacturing Co., Inc. ...... 300 9,495
------------
173,313
------------
CAPITAL MARKETS -- 3.3%
A.G. Edwards, Inc. ................... 500 31,645
Ameriprise Financial, Inc. ........... 1,470 80,115
E*TRADE Financial Corp. (a)........... 4,344 97,393
Franklin Resources, Inc. ............. 1,179 129,891
Goldman Sachs Group, Inc. ............ 2,804 558,977
International Assets Holding Corp.
(a)................................. 900 25,839
Investors Financial Services Corp. ... 500 21,335
Janus Capital Group, Inc. ............ 3,414 73,708
Legg Mason, Inc. ..................... 968 92,008
Lehman Brothers Holdings, Inc. ....... 3,884 303,418
Mellon Financial Corp. ............... 3,312 139,601
Merrill Lynch & Co., Inc. ............ 5,743 534,673
Morgan Stanley........................ 6,809 554,457
Northern Trust Corp. ................. 1,790 108,635
SEI Investments Co. .................. 1,421 84,635
State Street Corp. (b)................ 2,256 152,145
T. Rowe Price Group, Inc. ............ 1,643 71,914
TD Ameritrade Holding Corp. .......... 1,717 27,781
The Bank of New York Co., Inc. ....... 5,386 212,047
The Bear Stearns Cos., Inc. .......... 772 125,666
The Charles Schwab Corp. ............. 9,704 187,675
Waddell & Reed Financial, Inc. (Class
A).................................. 2,443 66,841
------------
3,680,399
------------
CHEMICALS -- 1.5%
Air Products & Chemicals, Inc. ....... 1,736 122,006
Ashland, Inc. ........................ 810 56,036
Cabot Corp. .......................... 400 17,428
Chemtura Corp. ....................... 2,422 23,324
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
E. I. du Pont de Nemours & Co. ....... 6,771 $ 329,815
Eastman Chemical Co. ................. 1,009 59,844
Ecolab, Inc. ......................... 2,064 93,293
Lyondell Chemical Co. ................ 2,260 57,788
Monsanto Co. ......................... 4,158 218,420
Nalco Holding Co. (a)................. 600 12,276
PPG Industries, Inc. ................. 1,461 93,811
Praxair, Inc. ........................ 2,644 156,869
Rohm & Haas Co. ...................... 1,493 76,322
Sigma-Aldrich Corp. .................. 400 31,088
The Dow Chemical Co. ................. 6,762 270,074
Tronox, Inc. ......................... 146 2,305
Xethanol Corp. Del (a)................ 3,300 7,491
------------
1,628,190
------------
COMMERCIAL BANKS -- 4.5%
Arrow Financial Corp. ................ 1,998 49,490
Bank of Granite Corp. ................ 4,013 76,127
Bank of Hawaii Corp. ................. 400 21,580
BB&T Corp. ........................... 3,612 158,675
Capitol Bancorp, Ltd. ................ 1,560 72,072
Cathay General Bancorp................ 300 10,353
Columbia Banking System, Inc. ........ 2,092 73,471
Comerica, Inc. ....................... 500 29,340
Commerce Bancorp, Inc. ............... 1,747 61,617
Commercial Bankshares, Inc. .......... 734 27,855
Community Banks, Inc. ................ 2,570 71,343
Compass Bancshares, Inc. ............. 500 29,825
CVB Financial Corp. .................. 3,865 55,888
Farmers Capital Bank Corp. ........... 1,713 58,465
Fifth Third Bancorp................... 3,282 134,332
First Bancorp-North Carolina.......... 1,180 25,771
First Commonwealth Financial Corp. ... 4,953 66,519
First Community Bancorp, Inc. ........ 916 47,879
First Merchants Corp. ................ 2,352 63,951
FNB Corp. ............................ 2,090 86,839
Horizon Financial Corp. .............. 1,650 39,699
Huntington Bancshares, Inc. .......... 700 16,625
Independent Bank
Corp. -- Massachusetts.............. 1,626 58,585
Integra Bank Corp. ................... 1,481 40,757
International Bancshares Corp. ....... 400 12,364
Keycorp............................... 2,716 103,289
Lakeland Financial Corp. ............. 2,833 72,326
M&T Bank Corp. ....................... 600 73,296
Marshall & Ilsley Corp. .............. 800 38,488
National City Corp. .................. 3,537 129,313
National Penn Bancshares, Inc. ....... 3,091 62,593
Old National Bancorp.................. 500 9,460
Omega Financial Corp. ................ 1,932 61,669
PNC Financial Services Group.......... 1,703 126,090
Popular, Inc. ........................ 1,800 32,310
Regions Financial Corp. .............. 3,782 141,447
Renasant Corp. ....................... 2,739 83,896
Republic Bancorp, Inc.- Michigan...... 4,746 63,881
Sandy Spring Bancorp, Inc. ........... 1,638 62,539
Simmons First National Corp. ......... 2,230 70,357
Sterling Financial
Corp. -- Pennsylvania............... 2,771 65,590
SunTrust Banks, Inc. ................. 2,091 176,585
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Synovus Financial Corp. .............. 800 $ 24,664
TD Banknorth, Inc. ................... 1,742 56,232
Trustmark Corp. ...................... 400 13,084
U.S. Bancorp.......................... 12,201 441,554
UCBH Holdings, Inc. .................. 2,664 46,780
Umpqua Holdings Corp. ................ 2,733 80,432
UnionBanCal Corp. .................... 400 24,500
United Bankshares, Inc. .............. 300 11,595
United Community Banks, Inc. ......... 2,218 71,686
Wachovia Corp. ....................... 12,595 717,285
Wells Fargo & Co. .................... 21,302 757,499
Zions Bancorp......................... 156 12,861
------------
5,020,723
------------
COMMERCIAL SERVICES & SUPPLIES -- 1.0%
ACCO Brands Corp. (a)................. 302 7,994
ADESA, Inc. .......................... 1,618 44,899
Aramark Corp. ........................ 900 30,105
Avery Dennison Corp. ................. 1,172 79,614
ChoicePoint, Inc. (a)................. 1,183 46,587
Cintas Corp. ......................... 1,607 63,814
Dun & Bradstreet Corp. (a)............ 870 72,027
Ennis, Inc. .......................... 2,766 67,656
Equifax, Inc. ........................ 1,564 63,498
Herman Miller, Inc. .................. 1,513 55,013
Manpower, Inc. ....................... 521 39,039
Monster Worldwide, Inc. (a)........... 1,484 69,214
Pitney Bowes, Inc. ................... 1,939 89,562
R.R. Donnelley & Sons Co. ............ 2,460 87,428
Robert Half International, Inc. ...... 2,113 78,435
Waste Connections, Inc. (a)........... 300 12,465
Waste Management, Inc. ............... 4,601 169,179
------------
1,076,529
------------
COMMUNICATIONS EQUIPMENT -- 2.4%
3Com Corp. (a)........................ 9,132 37,533
ADC Telecommunications, Inc. (a)...... 1,691 24,570
American Telecom Svcs, Inc. (a)....... 2,200 7,304
Andrew Corp. (a)...................... 2,767 28,307
Avaya, Inc. (a)....................... 4,623 64,630
Avici Systems, Inc. (a)............... 1,000 7,750
Avocent Corp. (a)..................... 400 13,540
Carrier Access Corp. (a).............. 1,700 11,152
Cisco Systems, Inc. (a)............... 43,958 1,201,372
Comverse Technology, Inc. (a)......... 2,065 43,592
Corning, Inc. (a)..................... 10,539 197,185
Finisar Corp. (a)..................... 3,000 9,690
Foundry Networks, Inc. (a)............ 900 13,482
Harris Corp. ......................... 1,648 75,577
JDS Uniphase Corp. (a)................ 2,417 40,267
Juniper Networks, Inc. (a)............ 3,995 75,665
Motorola, Inc. ....................... 17,164 352,892
MRV Communications, Inc. (a).......... 1,100 3,894
Occam Networks Inc (a)................ 100 1,650
Orbit/Fr, Inc. (a).................... 200 416
Plantronics, Inc. .................... 400 8,480
QUALCOMM, Inc. ....................... 11,508 434,887
Relm Wireless Corp. (a)............... 100 598
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Tellabs, Inc. (a)..................... 5,370 $ 55,096
Terabeam, Inc. (a).................... 5,400 10,746
------------
2,720,275
------------
COMPUTERS & PERIPHERALS -- 3.4%
Apple Computer, Inc. (a).............. 5,946 504,459
Avid Technology, Inc. (a)............. 639 23,809
Brocade Communications Systems, Inc.
(a)................................. 1,800 14,778
Dell, Inc. (a)........................ 15,270 383,124
EMC Corp. (a)......................... 17,831 235,369
Hewlett-Packard Co. .................. 20,578 847,608
Icad, Inc. (a)........................ 2,200 6,490
International Business Machines
Corp. .............................. 11,121 1,080,405
Interphase Corp. (a).................. 800 6,632
Lexmark International, Inc. (a)....... 796 58,267
NCR Corp. (a)......................... 1,789 76,498
Network Appliance, Inc. (a)........... 3,127 122,829
Palm, Inc. (a)........................ 600 8,454
QLogic Corp. (a)...................... 2,283 50,043
SanDisk Corp. (a)..................... 1,851 79,649
Seagate Technology.................... 2,197 58,220
Sun Microsystems, Inc. (a)............ 28,232 153,017
Western Digital Corp. (a)............. 2,500 51,150
------------
3,760,801
------------
CONSTRUCTION & ENGINEERING -- 0.1%
EMCOR Group, Inc. (a)................. 200 11,370
Fluor Corp. .......................... 887 72,424
Jacobs Engineering Group, Inc. (a).... 887 72,326
URS Corp. (a)......................... 300 12,855
------------
168,975
------------
CONSTRUCTION MATERIALS -- 0.1%
Eagle Materials, Inc. ................ 300 12,969
Headwaters, Inc. (a).................. 300 7,188
Martin Marietta Materials, Inc. ...... 239 24,835
Vulcan Materials Co. ................. 1,014 91,128
------------
136,120
------------
CONSUMER FINANCE -- 0.8%
American Express Co. ................. 7,349 445,864
AmeriCredit Corp. (a)................. 1,798 45,256
Capital One Financial Corp. .......... 3,527 270,944
CompuCredit Corp. (a)................. 300 11,943
SLM Corp. ............................ 3,157 153,967
------------
927,974
------------
CONTAINERS & PACKAGING -- 0.3%
Crown Holdings, Inc. (a).............. 2,349 49,141
Owens-Illinois, Inc. (a).............. 1,848 34,096
Pactiv Corp. (a)...................... 2,261 80,695
Sealed Air Corp. ..................... 1,118 72,581
Smurfit-Stone Container Corp. (a)..... 3,790 40,022
Temple-Inland, Inc. .................. 1,218 56,064
------------
332,599
------------
DISTRIBUTORS -- 0.0% (C)
Genuine Parts Co. .................... 500 23,715
Infosonics Corp. (a).................. 3,700 18,167
------------
41,882
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Apollo Group, Inc. (a)................ 1,287 $ 50,154
Career Education Corp. (a)............ 1,250 30,975
H&R Block, Inc. ...................... 2,439 56,194
ITT Educational Services, Inc. (a).... 792 52,565
Laureate Education, Inc. (a).......... 917 44,594
Service Corp. International........... 5,468 56,047
Strayer Education, Inc. .............. 100 10,605
The Service Master Co. ............... 1,560 20,452
------------
321,586
------------
DIVERSIFIED FINANCIAL SERVICES -- 4.6%
Bank of America Corp. ................ 30,596 1,633,520
Chicago Mercantile Exchange Holdings,
Inc. ............................... 265 135,084
CIT Group, Inc. ...................... 1,922 107,190
Citigroup, Inc. ...................... 34,528 1,923,209
JPMorgan Chase & Co. ................. 23,572 1,138,528
Leucadia National Corp. .............. 2,269 63,986
Moody's Corp. ........................ 2,180 150,551
Nasdaq Stock Market, Inc. (a)......... 400 12,316
------------
5,164,384
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.4%
AT&T, Inc. ........................... 26,714 955,026
BellSouth Corp. ...................... 11,904 560,797
Broadwing Corp. (a)................... 600 9,372
CenturyTel, Inc. ..................... 900 39,294
Citizens Communications Co. .......... 4,604 66,160
Cogent Communications Group, Inc.
(a)................................. 1,400 22,708
Covad Communications Group, Inc.
(a)................................. 1,400 1,932
Embarq Corp. ......................... 942 49,512
Fibernet Telecom Group, Inc. (a)...... 1,200 8,016
Level 3 Communications, Inc. (a)...... 5,000 28,000
Qwest Communications International,
Inc. (a)............................ 15,516 129,869
SureWest Communications............... 1,495 41,172
US LEC Corp. (a)...................... 1,000 9,310
Verizon Communications, Inc. ......... 19,500 726,180
Windstream Corp. (a).................. 2,379 33,829
------------
2,681,177
------------
ELECTRIC UTILITIES -- 1.8%
Allegheny Energy, Inc. (a)............ 1,878 86,219
American Electric Power Co., Inc. .... 3,064 130,465
Central Vermont Public Service
Corp. .............................. 2,599 61,207
Duke Energy Corp. .................... 7,105 235,957
Edison International.................. 2,573 117,020
Entergy Corp. ........................ 1,383 127,679
Exelon Corp. ......................... 4,722 292,245
FirstEnergy Corp. .................... 2,390 144,117
FPL Group, Inc. ...................... 2,469 134,363
Green Mountain Power Corp. ........... 1,829 61,985
MGE Energy, Inc. ..................... 1,700 62,186
Northeast Utilities................... 594 16,727
Pepco Holdings, Inc. ................. 3,194 83,076
PPL Corp. ............................ 3,360 120,422
Progress Energy, Inc. ................ 600 29,448
Reliant Energy, Inc. (a).............. 3,768 53,543
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Southern Co. ..................... 4,604 $ 169,703
Unitil Corp. ......................... 2,075 52,601
------------
1,978,963
------------
ELECTRICAL EQUIPMENT -- 0.6%
American Power Conversion Corp. ...... 2,251 68,858
BTU International, Inc. (a)........... 200 1,960
Capstone Turbine Corp. (a)............ 4,200 5,166
Cooper Industries, Ltd. .............. 986 89,164
Emerson Electric Co. ................. 5,784 255,017
EXX, Inc. (a)......................... 600 2,196
Hoku Scientific, Inc. (a)............. 500 1,305
Hubbell, Inc. (Class B)............... 1,070 48,375
Phazar Corp. (a)...................... 200 1,130
Rockwell Automation, Inc. ............ 1,469 89,726
Roper Industries, Inc. ............... 1,348 67,723
Simclar, Inc. (a)..................... 1,300 7,774
------------
638,394
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.7%
Aetrium, Inc. (a)..................... 3,900 13,884
Agilent Technologies, Inc. (a)........ 3,092 107,756
American Technology Corp. (a)......... 300 1,176
Amphenol Corp. (Class A).............. 1,108 68,785
Arrow Electronics, Inc. (a)........... 1,744 55,023
Avnet, Inc. (a)....................... 2,006 51,213
CDW Corp. ............................ 857 60,264
Digital Angel Corp. (a)............... 4,600 11,730
Jabil Circuit, Inc. .................. 1,784 43,797
Lightpath Technologies, Inc. (a)...... 4,100 19,352
Lumera Corp. (a)...................... 1,600 9,760
Mechanical Technology, Inc. (a)....... 3,100 5,859
Mikron Infrared, Inc. (a)............. 600 7,254
Molex, Inc. .......................... 1,872 59,211
National Instruments Corp. ........... 400 10,896
Pemstar, Inc. (a)..................... 1,100 4,235
RAE Systems, Inc. (a)................. 500 1,600
Sanmina-SCI Corp. (a)................. 7,161 24,705
Security With Advanced Technology,
Inc. (a)............................ 300 1,632
Solectron Corp. (a)................... 11,526 37,114
Superconductor Technologies, Inc.
(a)................................. 100 177
Symbol Technologies, Inc. ............ 3,085 46,090
Tektronix, Inc. ...................... 1,709 49,852
Trimble Navigation, Ltd. (a).......... 1,008 51,136
Vishay Intertechnology, Inc. (a)...... 3,068 41,541
------------
784,042
------------
ENERGY EQUIPMENT & SERVICES -- 2.0%
Baker Hughes, Inc. ................... 2,197 164,028
BJ Services Co. ...................... 2,728 79,985
Cameron International Corp. (a)....... 800 42,440
Diamond Offshore Drilling, Inc. ...... 400 31,976
ENSCO International, Inc. ............ 1,652 82,699
GlobalSantaFe Corp. .................. 1,929 113,387
Grant Prideco, Inc. (a)............... 1,969 78,307
Grey Wolf, Inc. (a)................... 5,690 39,033
Halliburton Co. ...................... 7,442 231,074
Helmerich & Payne, Inc. .............. 600 14,682
Metretek Technologies, Inc. (a)....... 600 7,392
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Nabors Industries, Ltd. (a)........... 2,611 $ 77,756
National-Oilwell Varco, Inc. (a)...... 1,549 94,768
Noble Corp. .......................... 1,227 93,436
Omni Energy Services Corp. (a)........ 2,800 27,412
Patterson-UTI Energy, Inc. ........... 2,052 47,668
Pride International, Inc. (a)......... 1,100 33,011
Rowan Cos., Inc. ..................... 1,712 56,838
Schlumberger, Ltd. ................... 7,661 483,869
Smith International, Inc. ............ 700 28,749
Superior Energy Services, Inc. (a).... 2,398 78,367
TGC Industries, Inc. (a).............. 2,000 16,800
Tidewater, Inc. ...................... 400 19,344
Transocean, Inc. (a).................. 2,524 204,166
Universal Compression Holdings, Inc.
(a)................................. 200 12,422
Weatherford International, Ltd. (a)... 2,324 97,120
------------
2,256,729
------------
FOOD & STAPLES RETAILING -- 1.9%
Costco Wholesale Corp. ............... 3,518 185,997
CVS Corp. ............................ 5,742 177,485
Performance Food Group Co. (a)........ 1,167 32,256
Safeway, Inc. ........................ 3,654 126,282
SUPERVALU, Inc. ...................... 2,030 72,572
Sysco Corp. .......................... 4,831 177,588
The Kroger Co. ....................... 5,254 121,210
The Topps Co., Inc. .................. 5,033 44,794
Wal-Mart Stores, Inc. ................ 16,987 784,460
Walgreen Co. ......................... 7,087 325,222
Whole Foods Market, Inc. ............. 1,051 49,323
------------
2,097,189
------------
FOOD PRODUCTS -- 1.2%
Archer-Daniels-Midland Co. ........... 5,096 162,868
Bunge, Ltd. .......................... 1,151 83,459
Campbell Soup Co. .................... 2,466 95,903
ConAgra Foods, Inc. .................. 4,455 120,285
Dean Foods Co. (a).................... 1,753 74,117
Del Monte Foods Co. .................. 4,644 51,223
Delta and Pine Land Co. .............. 1,714 69,331
Flowers Foods, Inc. .................. 2,024 54,628
General Mills, Inc. .................. 2,648 152,525
H.J. Heinz Co. ....................... 2,874 129,359
Kellogg Co. .......................... 600 30,036
Kraft Foods, Inc. .................... 1,000 35,700
McCormick & Co., Inc. ................ 900 34,704
Pilgrim's Pride Corp. ................ 300 8,829
Sara Lee Corp. ....................... 6,363 108,362
The Hershey Co. ...................... 1,347 67,080
The J.M. Smucker Co. ................. 400 19,388
TreeHouse Foods, Inc. (a)............. 349 10,889
Tyson Foods, Inc. (Class A)........... 3,160 51,982
Wm. Wrigley Jr., Co. ................. 500 25,860
------------
1,386,528
------------
GAS UTILITIES -- 0.2%
Cascade Natural Gas Corp. ............ 1,611 41,757
Chesapeake Utilities Corp. ........... 1,827 55,998
EnergySouth, Inc. .................... 2,080 83,408
Questar Corp. ........................ 526 43,684
------------
224,847
------------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.7%
Advanced Medical Optics, Inc. (a)..... 1,060 $ 37,312
Angeion Corp. (a)..................... 300 3,669
Bausch & Lomb, Inc. .................. 614 31,965
Baxter International, Inc. ........... 4,208 195,209
Becton, Dickinson & Co. .............. 1,884 132,163
Biomet, Inc. ......................... 2,043 84,315
Boston Scientific Corp. (a)........... 8,423 144,707
C.R. Bard, Inc. ...................... 984 81,642
Cambridge Heart, Inc. (a)............. 4,100 11,316
Cytyc Corp. (a)....................... 1,734 49,072
Dade Behring Holdings, Inc. .......... 1,572 62,581
Edwards Lifesciences Corp. (a)........ 1,027 48,310
Hologic, Inc. (a)..................... 400 18,912
Hospira, Inc. (a)..................... 1,652 55,474
Insite Vision, Inc. (a)............... 800 1,240
Kinetic Concepts, Inc. (a)............ 683 27,013
Medtronic, Inc. ...................... 8,023 429,311
St. Jude Medical, Inc. (a)............ 2,873 105,037
Stryker Corp. ........................ 2,203 121,407
Varian Medical Systems, Inc. (a)...... 1,505 71,593
Zimmer Holdings, Inc. (a)............. 1,840 144,219
------------
1,856,467
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.6%
Aetna, Inc. .......................... 4,387 189,431
AmerisourceBergen Corp. .............. 2,090 93,966
Cardinal Health, Inc. ................ 3,275 211,008
Caremark Rx, Inc. .................... 3,553 202,912
CIGNA Corp. .......................... 940 123,676
Coventry Health Care, Inc. (a)........ 1,436 71,872
DaVita, Inc. (a)...................... 1,083 61,601
Express Scripts, Inc. (Class A) (a)... 1,258 90,073
Health Management Associates, Inc. ... 2,222 46,906
Health Net, Inc. (a).................. 1,446 70,362
Healthways, Inc. (a).................. 200 9,542
Henry Schein, Inc. (a)................ 1,280 62,694
Humana, Inc. (a)...................... 1,509 83,463
Laboratory Corp. of America Holdings
(a)................................. 1,281 94,115
Lincare Holdings, Inc. (a)............ 1,187 47,290
Manor Care, Inc. ..................... 846 39,694
McKesson Corp. ....................... 2,371 120,210
Medco Health Solutions, Inc. (a)...... 2,185 116,766
Omnicare, Inc. ....................... 1,241 47,940
Patterson Cos., Inc. (a).............. 1,243 44,139
Psychiatric Solutions, Inc. (a)....... 300 11,256
Quest Diagnostics, Inc. .............. 1,002 53,106
Tenet Healthcare Corp. (a)............ 4,979 34,704
Triad Hospitals, Inc. (a)............. 862 36,058
UnitedHealth Group, Inc. ............. 9,989 536,709
VCA Antech, Inc. (a).................. 1,623 52,244
WellPoint, Inc. (a)................... 4,193 329,947
------------
2,881,684
------------
HEALTH CARE TECHNOLOGY -- 0.1%
Emdeon Corp. (a)...................... 1,574 19,502
IMS Health, Inc. ..................... 2,649 72,794
------------
92,296
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOTELS RESTAURANTS & LEISURE -- 2.0%
Bob Evans Farms, Inc. ................ 2,170 $ 74,257
Brinker International, Inc. .......... 728 21,941
Carnival Corp. ....................... 3,159 154,949
Darden Restaurants, Inc. ............. 1,634 65,638
Gaylord Entertainment Co. (a)......... 300 15,279
Harrah's Entertainment, Inc. ......... 1,758 145,422
Hilton Hotels Corp. .................. 3,348 116,845
International Game Technology......... 2,959 136,706
Las Vegas Sands Corp. (a)............. 300 26,844
Marriott International, Inc. (Class
A).................................. 2,919 139,295
McDonald's Corp. ..................... 8,706 385,937
MGM Mirage, Inc. (a).................. 1,267 72,662
OSI Restaurant Partners, Inc. ........ 500 19,600
Panera Bread Co. (Class A) (a)........ 200 11,182
Ruby Tuesday, Inc. ................... 500 13,720
Scientific Games Corp. (Class A)
(a)................................. 1,514 45,768
Starbucks Corp. (a)................... 6,068 214,929
Starwood Hotels & Resorts Worldwide,
Inc. ............................... 1,666 104,125
Station Casinos, Inc. ................ 571 46,634
The Cheesecake Factory, Inc. (a)...... 1,622 39,901
The Steak n Shake Co. (a)............. 2,193 38,597
Wendy's International, Inc. .......... 1,148 37,987
Wyndham Worldwide Corp. (a)........... 1,624 52,001
Wynn Resorts, Ltd. ................... 791 74,235
Yum! Brands, Inc. .................... 2,355 138,474
------------
2,192,928
------------
HOUSEHOLD DURABLES -- 0.9%
American Greetings Corp. (Class A).... 1,585 37,834
Bassett Furniture Industries, Inc. ... 2,547 41,618
Beazer Homes USA, Inc. ............... 699 32,860
Black & Decker Corp. ................. 762 60,937
Centex Corp. ......................... 1,124 63,248
Cti Inds Corp. (a).................... 1,500 7,290
D.R. Horton, Inc. .................... 2,571 68,106
Fortune Brands, Inc. ................. 1,134 96,832
Handheld Entmt, Inc. (a).............. 300 1,146
Harman International Industries,
Inc. ............................... 683 68,239
KB HOME............................... 796 40,819
Kimball International, Inc. (Class
B).................................. 2,716 65,999
Leggett & Platt, Inc. ................ 2,172 51,911
Lennar Corp. (Class A)................ 1,164 61,063
Mohawk Industries, Inc. (a)........... 400 29,944
National Presto Industries, Inc. ..... 298 17,841
Newell Rubbermaid, Inc. .............. 2,972 86,039
NVR, Inc. (a)......................... 64 41,280
Pulte Homes, Inc. .................... 1,823 60,378
Ryland Group, Inc. ................... 618 33,755
Salton, Inc. (a)...................... 100 225
Toll Brothers, Inc. (a)............... 958 30,876
Whirlpool Corp. ...................... 750 62,265
------------
1,060,505
------------
HOUSEHOLD PRODUCTS -- 1.8%
Church & Dwight Co., Inc. ............ 1,437 61,288
Colgate-Palmolive Co. ................ 3,668 239,300
Energizer Holdings, Inc. (a).......... 899 63,820
Kimberly-Clark Corp. ................. 3,027 205,685
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Procter & Gamble Co. ................. 21,988 $ 1,413,169
The Clorox Co. ....................... 986 63,252
------------
2,046,514
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5%
Constellation Energy Group, Inc. ..... 1,537 105,853
Mirant Corp. (a)...................... 1,730 54,616
NRG Energy, Inc. (a).................. 1,235 69,173
The AES Corp. (a)..................... 5,554 122,410
TXU Corp. ............................ 3,009 163,118
Us Energy Sys, Inc. (a)............... 100 516
------------
515,686
------------
INDUSTRIAL CONGLOMERATES -- 3.2%
3M Co. ............................... 4,642 361,751
General Electric Co. ................. 71,589 2,663,827
McDermott International, Inc. (a)..... 300 15,258
Textron, Inc. ........................ 1,090 102,209
Tyco International, Ltd. ............. 13,889 422,226
------------
3,565,271
------------
INSURANCE -- 4.9%
ACE, Ltd. ............................ 1,928 116,779
AFLAC, Inc. .......................... 3,779 173,834
Alfa Corp. ........................... 3,951 74,318
Ambac Financial Group, Inc. .......... 1,044 92,989
American International Group, Inc. ... 15,750 1,128,645
Aon Corp. ............................ 2,635 93,121
Assurant, Inc. ....................... 1,728 95,472
Berkshire Hathaway, Inc. (Class A)
(a)................................. 7 769,930
Chubb Corp. .......................... 2,760 146,032
Cincinnati Financial Corp. ........... 949 42,999
Everest Re Group, Ltd. ............... 400 39,244
Fidelity National Title Group,
Inc. ............................... 2,239 53,467
Genworth Financial, Inc. (Class A).... 2,604 89,083
Hanover Insurance Group, Inc. ........ 837 40,846
IPC Holdings, Ltd. ................... 400 12,580
Lincoln National Corp. ............... 2,031 134,858
Loews Corp. .......................... 3,425 142,035
Marsh & McLennan Cos., Inc. .......... 3,545 108,690
MBIA, Inc. ........................... 1,321 96,512
MetLife, Inc. ........................ 3,225 190,307
Philadelphia Consolidated Holding
Corp. (a)........................... 300 13,368
Principal Financial Group, Inc. ...... 2,581 151,505
ProAssurance Corp. (a)................ 1,230 61,402
Prudential Financial, Inc. ........... 3,673 315,364
Reinsurance Group America, Inc. ...... 300 16,710
RenaissanceRe Holdings, Ltd. ......... 500 30,000
SAFECO Corp. ......................... 1,320 82,566
Selective Insurance Group, Inc. ...... 1,168 66,915
The Allstate Corp. ................... 4,436 288,828
The Hartford Financial Services Group,
Inc. ............................... 2,097 195,671
The Phoenix Cos., Inc. ............... 3,653 58,046
The Progressive Corp. ................ 4,833 117,055
The St. Paul Travelers Cos., Inc. .... 4,947 265,605
Torchmark Corp. ...................... 400 25,504
Transatlantic Holdings, Inc. ......... 200 12,420
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
UnumProvident Corp. .................. 3,630 $ 75,431
WR Berkley Corp. ..................... 500 17,255
XL Capital, Ltd. (Class A)............ 913 65,754
------------
5,501,140
------------
INTERNET & CATALOG RETAIL -- 0.3%
Amazon.com, Inc. (a).................. 2,527 99,716
Expedia, Inc. (a)..................... 2,133 44,750
IAC/InterActiveCorp (a)............... 2,133 79,262
Liberty Media Holding
Corp. -- Interactive (Class A)
(a)................................. 4,868 105,003
------------
328,731
------------
INTERNET SOFTWARE & SERVICES -- 1.2%
Akamai Technologies, Inc. (a)......... 1,100 58,432
Answers Corp. (a)..................... 200 2,678
aQuantive, Inc. (a)................... 400 9,864
Art Technology Group, Inc. (a)........ 2,900 6,757
EarthLink, Inc. (a)................... 3,763 26,717
eBay, Inc. (a)........................ 7,157 215,211
EDGAR Online, Inc. (a)................ 100 350
Google, Inc. (Class A) (a)............ 1,486 684,273
Internap Network Services Corp. (a)... 400 7,948
Local Com Corp. (a)................... 2,500 10,125
Looksmart (a)......................... 1,900 8,474
Navisite, Inc. (a).................... 2,800 19,516
Quepasa Corp. (a)..................... 2,100 19,845
Terremark Worldwide, Inc. (a)......... 200 1,344
VeriSign, Inc. (a).................... 2,415 58,081
VitalStream Holdings, Inc. (a)........ 1,600 16,064
Websense, Inc. (a).................... 400 9,132
Yahoo!, Inc. (a)...................... 8,359 213,489
------------
1,368,300
------------
IT SERVICES -- 1.4%
Accenture, Ltd. (Class A)............. 3,139 115,923
Affiliated Computer Services, Inc.
(a)................................. 1,136 55,482
Automatic Data Processing, Inc. ...... 4,074 200,644
Ceridian Corp. (a).................... 2,315 64,774
Checkfree Corp. (a)................... 1,129 45,341
Cognizant Technology Solutions Corp.
(a)................................. 1,283 98,996
Computer Sciences Corp. (a)........... 1,670 89,128
Electronic Data Systems Corp. ........ 4,538 125,022
Fidelity National Information
Services, Inc. ..................... 2,190 87,797
First Data Corp. ..................... 5,280 134,746
Fiserv, Inc. (a)...................... 1,783 93,465
Iron Mountain, Inc. (a)............... 1,571 64,945
Mastercard, Inc. ..................... 318 31,320
Paychex, Inc. ........................ 2,841 112,333
Sabre Holdings Corp. (Class A)........ 2,160 68,882
The BISYS Group, Inc. (a)............. 2,650 34,212
The Western Union Co. ................ 5,280 118,378
Unisys Corp. (a)...................... 5,154 40,407
------------
1,581,795
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Brunswick Corp. ...................... 1,266 40,385
Eastman Kodak Co. .................... 2,655 68,499
Hasbro, Inc. ......................... 2,558 69,706
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Mattel, Inc. ......................... 4,034 $ 91,410
Pool Corp. ........................... 1,218 47,709
------------
317,709
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.5%
Affymetrix, Inc. (a).................. 828 19,094
Applera Corp. -- Applied Biosystems
Group............................... 2,931 107,538
Charles River Laboratories
International, Inc. (a)............. 500 21,625
Covance, Inc. (a)..................... 400 23,564
Invitrogen Corp. (a).................. 674 38,142
Medivation, Inc. (a).................. 2,000 31,640
Millipore Corp. (a)................... 837 55,744
Nektar Therapeutics (a)............... 600 9,126
PerkinElmer, Inc. .................... 2,176 48,373
Pure Bioscience (a)................... 2,500 6,600
Sequenom, Inc. (a).................... 400 1,872
Techne Corp. (a)...................... 923 51,180
Thermo Electron Corp. (a)............. 2,703 122,419
Waters Corp. (a)...................... 1,233 60,380
------------
597,297
------------
MACHINERY -- 1.8%
Caterpillar, Inc. .................... 4,758 291,808
CLARCOR, Inc. ........................ 400 13,524
Crane Co. ............................ 400 14,656
Cummins, Inc. ........................ 200 23,636
Danaher Corp. ........................ 1,711 123,945
Deere & Co. .......................... 1,850 175,879
Donaldson Co., Inc. .................. 269 9,337
Dover Corp. .......................... 1,320 64,706
Eaton Corp. .......................... 1,297 97,457
Federal Signal Corp. ................. 2,718 43,597
Harsco Corp. ......................... 835 63,543
IDEX Corp. ........................... 1,568 74,339
Illinois Tool Works, Inc. ............ 3,451 159,402
Ingersoll-Rand Co., Ltd. (Class A).... 2,758 107,921
ITT Industries, Inc. ................. 1,697 96,424
Joy Global, Inc. ..................... 1,887 91,218
Lincoln Electric Holdings, Inc. ...... 300 18,126
Oshkosh Truck Corp. .................. 500 24,210
PACCAR, Inc. ......................... 2,210 143,429
Pall Corp. ........................... 2,150 74,282
Parker-Hannifin Corp. ................ 1,151 88,489
Pentair, Inc. ........................ 1,255 39,407
SPX Corp. ............................ 752 45,992
The Manitowoc Co., Inc. .............. 400 23,772
The Timken Co. ....................... 2,000 58,360
Watts Water Technologies, Inc. ....... 1,511 62,117
------------
2,029,576
------------
MEDIA -- 3.9%
Cablevision Systems Corp. (Class A)... 2,121 60,406
CBS Corp. ............................ 5,209 162,417
Charter Communications, Inc. (a)...... 200 612
Clear Channel Communications, Inc. ... 4,078 144,932
Comcast Corp. (Class A) (a)........... 15,463 654,549
Courier Corp. ........................ 1,390 54,168
Discovery Holding Co. (Class A) (a)... 2,217 35,672
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Dow Jones & Co., Inc. ................ 300 $ 11,400
EchoStar Communications Corp. (Class
A) (a).............................. 2,388 90,816
EW Scripps Co. ....................... 600 29,964
Gannett Co., Inc. .................... 1,635 98,852
Getty Images, Inc. (a)................ 598 25,606
Idearc, Inc. (a)...................... 975 27,934
Insignia Sys, Inc. (a)................ 600 1,830
Journal Communications, Inc. ......... 2,779 35,043
Knology, Inc. (a)..................... 100 1,064
Lamar Advertising Co. (a)............. 948 61,990
Liberty Global, Inc. (Class A) (a).... 2,457 71,622
Liberty Global, Inc. (Series C) (a)... 2,543 71,204
Liberty Media Holding Corp. -- Capital
(Series A) (a)...................... 974 95,432
Live Nation, Inc. (a)................. 556 12,454
News Corp. (Class A).................. 16,799 360,842
NTL, Inc. ............................ 2,000 50,480
Omnicom Group, Inc. .................. 1,404 146,774
R.H. Donnelley Corp. ................. 145 9,096
Radio One, Inc. (Class A) (a)......... 2,634 17,727
Sirius Satellite Radio, Inc. (a)...... 10,655 37,719
The DIRECTV Group, Inc. (a)........... 7,684 191,639
The Interpublic Group of Cos., Inc.
(a)................................. 4,443 54,382
The McGraw-Hill Cos., Inc. ........... 2,935 199,639
The New York Times Co. (Class A)...... 838 20,414
The Walt Disney Co. .................. 13,931 477,415
Time Warner, Inc. .................... 31,033 675,899
Tribune Co. .......................... 1,527 47,001
Univision Communications, Inc. (a).... 2,565 90,852
Viacom, Inc. (a)...................... 5,209 213,725
XM Satellite Radio Holdings, Inc.
(Class A) (a)....................... 2,024 29,247
------------
4,370,818
------------
METALS & MINING -- 1.0%
Alcoa, Inc. .......................... 6,492 194,825
Allegheny Technologies, Inc. ......... 300 27,204
Empire Resources, Inc. ............... 1,800 19,692
Freeport-McMoRan Copper & Gold,
Inc. ............................... 1,857 103,490
Metalline Mng, Inc. (a)............... 6,100 21,899
Newmont Mining Corp. ................. 3,401 153,555
Nucor Corp. .......................... 2,788 152,392
Phelps Dodge Corp. ................... 1,733 207,475
Quanex Corp. ......................... 300 10,377
Southern Copper Corp. ................ 600 32,334
Steel Dynamics, Inc. ................. 600 19,470
Titanium Metals Corp. (a)............. 200 5,902
United States Steel Corp. ............ 1,277 93,400
Uranerz Energy Corp. (a).............. 8,500 34,765
Wheeling-Pittsburgh Corp. (a)......... 200 3,746
Worthington Industries, Inc. ......... 500 8,860
------------
1,089,386
------------
MULTI-UTILITIES -- 1.0%
Ameren Corp. ......................... 1,527 82,046
CMS Energy Corp. (a).................. 3,013 50,317
Consolidated Edison, Inc. ............ 600 28,842
Dominion Resources, Inc. ............. 2,270 190,317
DTE Energy Co. ....................... 800 38,728
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Energy East Corp. .................... 2,470 $ 61,256
KeySpan Corp. ........................ 600 24,708
NiSource, Inc. ....................... 1,000 24,100
PG&E Corp. ........................... 3,291 155,763
PNM Resources, Inc. .................. 400 12,440
Public Service Enterprise Group,
Inc. ............................... 1,646 109,261
Sempra Energy......................... 1,769 99,135
TECO Energy, Inc. .................... 3,492 60,167
Wisconsin Energy Corp. ............... 800 37,968
Xcel Energy, Inc. .................... 4,604 106,168
------------
1,081,216
------------
MULTILINE RETAIL -- 1.1%
Big Lots, Inc. (a).................... 2,666 61,105
Dillards, Inc. (Class A).............. 500 17,485
Dollar General Corp. ................. 3,041 48,838
Dollar Tree Stores, Inc. (a).......... 1,696 51,050
Family Dollar Stores, Inc. ........... 1,833 53,762
Federated Department Stores, Inc. .... 4,310 164,340
J. C. Penney Co., Inc. ............... 2,052 158,743
Kohl's Corp. (a)...................... 2,318 158,621
Nordstrom, Inc. ...................... 2,059 101,591
Sears Holdings Corp. (a).............. 689 115,704
Target Corp. ......................... 5,830 332,601
------------
1,263,840
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (a)....................... 7,908 134,041
Zebra Technologies Corp. (Class A)
(a)................................. 966 33,607
------------
167,648
------------
OIL, GAS & CONSUMABLE FUELS -- 7.5%
Abraxas Petroleum Corp. (a)........... 1,100 3,399
Anadarko Petroleum Corp. ............. 3,564 155,105
Apache Corp. ......................... 2,357 156,764
Arch Coal, Inc. ...................... 1,530 45,946
Blue Dolphin Energy Co. (a)........... 3,500 10,710
Cano Petroleum Inc. (a)............... 2,100 11,508
Chesapeake Energy Corp. .............. 2,827 82,124
Chevron Corp. ........................ 14,827 1,090,229
ConocoPhillips........................ 10,620 764,109
CONSOL Energy, Inc. .................. 2,048 65,802
Cross Timbers Royalty Trust........... 1,197 60,580
Crosstex Energy LP.................... 1,206 48,059
Denbury Resources, Inc. (a)........... 2,468 68,586
Devon Energy Corp. ................... 3,486 233,841
Dune Energy, Inc. (a)................. 2,300 5,359
El Paso Corp. ........................ 6,180 94,430
Encore Aquisition Co. (a)............. 300 7,359
Energy Transfer Partners LP........... 418 22,614
Enterprise Products Partners LP....... 2,527 73,233
EOG Resources, Inc. .................. 1,953 121,965
Exxon Mobil Corp. .................... 41,195 3,156,773
Forest Oil Corp. (a).................. 400 13,072
Gasco Energy, Inc. (a)................ 5,100 12,495
Hess Corp. ........................... 1,703 84,418
Holly Corp. .......................... 400 20,560
Houston Amern Energy Corp. ........... 2,200 16,258
Hugoton Royalty Trust................. 188 4,625
Kinder Morgan Energy Partners LP...... 835 39,997
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Kinder Morgan, Inc. .................. 800 $ 84,600
Marathon Oil Corp. ................... 2,846 263,255
Massey Energy Co. .................... 1,096 25,460
Murphy Oil Corp. ..................... 1,510 76,784
Newfield Exploration Co. (a).......... 783 35,979
Noble Energy, Inc. ................... 1,619 79,444
Occidental Petroleum Corp. ........... 5,432 265,245
ONEOK Partners LP..................... 335 21,219
Peabody Energy Corp. ................. 1,583 63,969
Pioneer Natural Resources Co. ........ 1,431 56,796
Plains All American Pipeline LP....... 1,338 68,506
Plains Exploration & Production Co.
(a)................................. 1,303 61,932
Range Resources Corp. ................ 2,331 64,009
Southwestern Energy Co. (a)........... 904 31,685
St. Mary Land & Exploration Co. ...... 1,654 60,933
Sunoco, Inc. ......................... 1,364 85,059
Tesoro Corp. ......................... 869 57,154
The Williams Cos., Inc. .............. 5,010 130,861
Transmeridian Exploration, Inc. (a)... 2,800 9,660
Ultra Petroleum Corp. (a)............. 991 47,320
Valero Energy Corp. .................. 4,712 241,066
XTO Energy, Inc. ..................... 3,022 142,185
------------
8,443,041
------------
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co. .............. 3,859 131,592
MeadWestvaco Corp. ................... 2,518 75,691
Weyerhaeuser Co. ..................... 1,753 123,849
------------
331,132
------------
PERSONAL PRODUCTS -- 0.2%
Avon Products, Inc. .................. 3,562 117,688
The Estee Lauder Cos., Inc. (Class
A).................................. 1,435 58,577
------------
176,265
------------
PHARMACEUTICALS -- 5.2%
Abbott Laboratories................... 10,703 521,343
Advancis Pharmaceutical Corp. (a)..... 900 3,492
Allergan, Inc. ....................... 1,119 133,989
Barr Pharmaceuticals, Inc. (a)........ 966 48,416
Bristol-Myers Squibb Co. ............. 13,648 359,215
Cortex Pharmaceuticals, Inc. (a)...... 1,800 2,232
Eli Lilly & Co. ...................... 6,794 353,967
Emisphere Technologies, Inc. (a)...... 300 1,587
Forest Laboratories, Inc. (a)......... 3,025 153,065
Johnson & Johnson..................... 19,901 1,313,864
King Pharmaceuticals, Inc. (a)........ 1,352 21,524
Merck & Co., Inc. .................... 15,022 654,959
Mylan Laboratories, Inc. ............. 2,908 58,044
New River Pharmaceuticals, Inc. (a)... 300 16,413
Pfizer, Inc. ......................... 52,341 1,355,632
Replidyne, Inc. (a)................... 1,200 6,888
Repros Therapeutics, Inc. (a)......... 600 7,566
Schering-Plough Corp. ................ 10,766 254,508
Sepracor, Inc. (a).................... 1,025 63,120
Spectrum Pharmaceuticals, Inc. (a).... 300 1,659
Watson Pharmaceuticals, Inc. (a)...... 1,438 37,431
Wyeth................................. 9,494 483,435
------------
5,852,349
------------
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
Agree Realty Corp. ................... 1,875 $ 64,444
AMB Property Corp. ................... 600 35,166
American Financial Realty Trust....... 3,762 43,037
American Land Lease, Inc. ............ 1,609 42,654
Annaly Mortgage Management, Inc. ..... 900 12,519
Anthracite Capital, Inc. ............. 4,774 60,773
Archstone-Smith Trust................. 2,362 137,492
Ashford Hospitality Trust, Inc. ...... 4,208 52,390
Avalonbay Communities, Inc. .......... 200 26,010
BioMed Realty Trust, Inc. ............ 400 11,440
Boston Properties, Inc. .............. 500 55,940
CentraCore Properties Trust........... 2,206 71,320
Corporate Office Properties Trust..... 1,538 77,623
Crescent Real Estate Equities Co. .... 2,173 42,917
Developers Diversified Realty
Corp. .............................. 300 18,885
Equity Office Properties Trust........ 3,133 150,917
Equity Residential.................... 2,373 120,430
Friedman, Billings, Ramsey Group,
Inc. ............................... 2,686 21,488
General Growth Properties, Inc. ...... 2,070 108,116
Glimcher Realty Trust................. 2,342 62,555
GMH Communities Trust................. 3,181 32,287
Health Care Property Investors,
Inc. ............................... 1,000 36,820
Highland Hospitality Corp. ........... 4,216 60,078
HomeBanc Corp. ....................... 4,351 18,405
Host Hotels & Resorts, Inc. .......... 5,178 127,120
Innkeepers USA Trust.................. 3,484 54,002
Investors Real Estate Trust........... 5,739 58,882
Kimco Realty Corp. ................... 800 35,960
LaSalle Hotel Properties.............. 1,764 80,879
Longview Fibre Co. ................... 2,628 57,685
National Health Realty, Inc. ......... 2,878 69,072
National Retail Properties, Inc. ..... 3,808 87,393
Nationwide Health Properties, Inc. ... 500 15,110
One Liberty Properties, Inc. ......... 3,273 82,250
Pennsylvania Real Estate Investment
Trust............................... 1,500 59,070
Plum Creek Timber Co., Inc. .......... 2,203 87,789
PMC Commercial Trust.................. 4,374 65,654
Post Properties, Inc. ................ 300 13,710
ProLogis.............................. 1,668 101,364
Public Storage, Inc. ................. 300 29,250
Ramco-Gershenson Properties Trust..... 2,149 81,963
Simon Property Group, Inc. ........... 1,603 162,368
Tanger Factory Outlet Centers,
Inc. ............................... 2,260 88,321
Urstadt Biddle Properties (Class A)... 3,156 60,248
Vornado Realty Trust.................. 300 36,450
Weingarten Realty Investors........... 600 27,666
------------
2,845,912
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2%
CB Richard Ellis Group, Inc. (Class A)
(a)................................. 2,930 97,276
Jones Lang LaSalle, Inc. ............. 200 18,434
Move, Inc. (a)........................ 900 4,959
Realogy Corp. (a)..................... 2,030 61,549
The St. Joe Co. ...................... 773 41,410
------------
223,628
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ROAD & RAIL -- 0.8%
Avis Budget Group, Inc. .............. 812 $ 17,612
Burlington Northern Santa Fe Corp. ... 2,832 209,030
CSX Corp. ............................ 4,041 139,132
J.B. Hunt Transport Services, Inc. ... 2,359 48,996
Kansas City Southern (a).............. 500 14,490
Laidlaw International, Inc. .......... 1,602 48,749
Landstar Systems, Inc. ............... 1,724 65,822
Norfolk Southern Corp. ............... 3,396 170,785
Union Pacific Corp. .................. 1,880 172,997
YRC Worldwide, Inc. (a)............... 820 30,939
------------
918,552
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6%
Advanced Micro Devices, Inc. (a)...... 3,477 70,757
Altera Corp. (a)...................... 2,472 48,649
Amkor Technology, Inc. (a)............ 300 2,802
Anadigics, Inc. (a)................... 1,300 11,518
Analog Devices, Inc. ................. 2,881 94,698
Applied Materials, Inc. .............. 12,405 228,872
AXT, Inc. (a)......................... 4,300 20,296
Broadcom Corp. (Class A) (a).......... 3,355 108,400
Conexant Systems, Inc. (a)............ 1,600 3,264
Ibis Technology Corp. (a)............. 2,600 3,822
Intel Corp. .......................... 43,231 875,428
International Rectifier Corp. (a)..... 885 34,099
Intersil Corp. (Class A).............. 2,327 55,662
KLA-Tencor Corp. ..................... 1,667 82,933
Lam Research Corp. (a)................ 1,568 79,372
Linear Technology Corp. .............. 2,341 70,979
Logic Devices, Inc. (a)............... 800 2,048
LSI Logic Corp. (a)................... 4,946 44,514
Marvell Technology Group, Ltd. (a).... 1,600 30,704
Maxim Integrated Products, Inc. ...... 2,225 68,130
MEMC Electronic Materials, Inc. (a)... 2,216 86,734
Microchip Technology, Inc. ........... 1,938 63,373
Micron Technology, Inc. (a)........... 6,018 84,011
Microsemi Corp. (a)................... 500 9,825
National Semiconductor Corp. ......... 3,127 70,983
Neomagic Corp. (a).................... 2,900 17,023
Novellus Systems, Inc. (a)............ 1,790 61,612
Nve Corp. (a)......................... 100 3,072
NVIDIA Corp. (a)...................... 3,209 118,765
Rambus, Inc. (a)...................... 700 13,251
Sigma Designs, Inc. (a)............... 300 7,635
Teradyne, Inc. (a).................... 2,831 42,352
Texas Instruments, Inc. .............. 11,620 334,656
Xilinx, Inc. ......................... 2,304 54,858
------------
2,905,097
------------
SOFTWARE -- 3.5%
Activision, Inc. (a).................. 3,146 54,237
Adobe Systems, Inc. (a)............... 5,235 215,263
Authentidate Holding Corp. (a)........ 4,200 6,720
Autodesk, Inc. (a).................... 2,044 82,700
BEA Systems, Inc. (a)................. 5,415 68,121
BMC Software, Inc. (a)................ 2,647 85,234
CA, Inc. ............................. 3,531 79,977
Cadence Design Systems, Inc. (a)...... 3,640 65,192
Citrix Systems, Inc. (a).............. 2,279 61,647
</Table>
See accompanying notes to financial statements.
9
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Compuware Corp. (a)................... 4,325 $ 36,027
Electronic Arts, Inc. (a)............. 2,281 114,871
Intuit, Inc. (a)...................... 3,429 104,619
Jack Henry & Associates, Inc. ........ 600 12,840
Kronos, Inc. (a)...................... 200 7,348
McAfee, Inc. (a)...................... 1,752 49,722
Microsoft Corp. ...................... 63,157 1,885,868
Napster, Inc. (a)..................... 200 726
NAVTEQ Corp. (a)...................... 1,126 39,376
Novell, Inc. (a)...................... 5,375 33,325
Oracle Corp. (a)...................... 31,337 537,116
Parametric Technology Corp. (a)....... 2,457 44,275
Red Hat, Inc. (a)..................... 2,641 60,743
Smith Micro Software, Inc. (a)........ 1,100 15,609
Symantec Corp. (a).................... 9,723 202,725
Synopsys, Inc. (a).................... 2,599 69,471
Versant Corp. (a)..................... 1,400 19,068
------------
3,952,820
------------
SPECIALTY RETAIL -- 2.3%
Abercrombie & Fitch Co. .............. 836 58,211
Advance Auto Parts, Inc. ............. 1,187 42,210
American Eagle Outfitters, Inc. ...... 2,088 65,167
AutoNation, Inc. (a).................. 2,496 53,215
AutoZone, Inc. (a).................... 588 67,949
Bed Bath & Beyond, Inc. (a)........... 2,470 94,107
Best Buy Co., Inc. ................... 3,111 153,030
Borders Group, Inc. .................. 500 11,175
Chico's FAS, Inc. (a)................. 1,634 33,808
Circuit City Stores, Inc. ............ 2,430 46,121
Claire's Stores, Inc. ................ 600 19,884
Foot Locker, Inc. .................... 1,704 37,369
Guitar Center, Inc. (a)............... 200 9,092
Limited Brands........................ 2,897 83,839
Lowe's Cos., Inc. .................... 9,942 309,693
Mens Wearhouse, Inc. ................. 400 15,304
O'Reilly Automotive, Inc. (a)......... 1,652 52,963
Office Depot, Inc. (a)................ 2,932 111,914
PETsMART, Inc. ....................... 1,723 49,726
RadioShack Corp. ..................... 1,685 28,274
Rent-A-Center, Inc. (a)............... 600 17,706
Ross Stores, Inc. .................... 1,658 48,579
Staples, Inc. ........................ 6,085 162,470
The Gap, Inc. ........................ 4,720 92,040
The Home Depot, Inc. ................. 15,184 609,789
The Sherwin-Williams Co. ............. 400 25,432
The TJX Cos., Inc. ................... 3,280 93,546
Tiffany & Co. ........................ 1,566 61,450
Urban Outfitters, Inc. (a)............ 1,477 34,015
Williams-Sonoma, Inc. ................ 1,148 36,093
Zale Corp. (a)........................ 400 11,284
------------
2,535,455
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.5%
Coach, Inc. (a)....................... 3,217 138,202
Hanesbrands, Inc. (a)................. 795 18,778
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Jones Apparel Group, Inc. ............ 1,760 $ 58,837
Liz Claiborne, Inc. .................. 1,476 64,147
NIKE, Inc. (Class B).................. 1,368 135,473
Quiksilver, Inc. (a).................. 2,547 40,115
V. F. Corp. .......................... 300 24,624
Wolverine World Wide, Inc. ........... 2,010 57,325
------------
537,501
------------
THRIFTS & MORTGAGE FINANCE -- 1.7%
Astoria Financial Corp. .............. 700 21,112
Berkshire Hills Bancorp, Inc. ........ 1,348 45,104
Countrywide Financial Corp. .......... 4,166 176,847
ESB Financial Corp. .................. 2,504 27,594
Fannie Mae............................ 6,710 398,507
Freddie Mac........................... 4,732 321,303
Hudson City Bancorp, Inc. ............ 1,700 23,596
KNBT Bancorp, Inc. ................... 1,721 28,792
MASSBANK Corp. ....................... 1,933 63,576
MGIC Investment Corp. ................ 1,021 63,853
NewAlliance Bancshares, Inc. ......... 4,400 72,160
OceanFirst Financial Corp. ........... 2,391 54,826
People's Bank......................... 1,747 77,951
Radian Group, Inc. ................... 1,203 64,854
Sovereign Bancorp, Inc. .............. 3,287 83,457
TrustCo Bank Corp. NY................. 4,816 53,554
Washington Mutual, Inc. .............. 6,570 298,869
------------
1,875,955
------------
TOBACCO -- 1.2%
Altria Group, Inc. ................... 13,831 1,186,976
Loews Corp.-Carolina Group............ 300 19,416
Reynolds American, Inc. .............. 1,542 100,955
UST, Inc. ............................ 1,575 91,665
------------
1,399,012
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. ......................... 1,801 64,620
Kaman Corp. (Class A)................. 2,435 54,520
W.W. Grainger, Inc. .................. 300 20,982
------------
140,122
------------
WATER UTILITIES -- 0.1%
Aqua America, Inc. ................... 900 20,502
Connecticut Water Service, Inc. ...... 2,228 50,687
Middlesex Water Co. .................. 2,960 55,441
------------
126,630
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.8%
ALLTEL Corp. ......................... 2,301 139,164
American Tower Corp. (a).............. 2,749 102,483
Crown Castle International Corp.
(a)................................. 2,789 90,085
FiberTower Corp. (a).................. 600 3,528
Goamerica, Inc. (a)................... 700 5,712
Leap Wireless International, Inc.
(a)................................. 300 17,841
NII Holdings, Inc. (a)................ 1,351 87,058
SBA Communications Corp. (a).......... 600 16,500
</Table>
See accompanying notes to financial statements.
10
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Sprint Nextel Corp. .................. 18,847 $ 356,020
Telephone & Data Systems, Inc. ....... 1,224 66,500
------------
884,891
------------
TOTAL COMMON STOCKS -- (Cost
$91,393,358)........................ 111,775,077
------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment
Class Prime Fund
(Cost $87,095)...................... 87,095 87,095
------------
TOTAL INVESTMENTS -- 99.9% (Cost
$91,480,453)........................ 111,862,172
OTHER ASSETS AND
LIABILITIES -- 0.1%................. 131,680
------------
NET ASSETS -- 100.0%.................. $111,993,852
============
</Table>
(a) Non-income producing security
(b) Affiliated Issuer. (Note 3)
(c) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
11
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.1%
Alliant Techsystems, Inc. (a).......... 34 $ 2,659
Boeing Co. ............................ 659 58,546
General Dynamics Corp. ................ 312 23,197
Goodrich Corp. ........................ 109 4,965
Honeywell International, Inc. ......... 693 31,351
KBR, Inc. (a).......................... 26 680
L-3 Communications Holdings, Inc. ..... 113 9,241
Lockheed Martin Corp. ................. 317 29,186
Northrop Grumman Corp. ................ 307 20,784
Precision Castparts Corp. ............. 124 9,707
Raytheon Co. .......................... 414 21,859
Rockwell Collins, Inc. ................ 160 10,126
Spirit Aerosystems Holdings, Inc.
(a).................................. 51 1,707
United Technologies Corp. ............. 865 54,080
-----------
278,088
-----------
AIR FREIGHT & LOGISTICS -- 0.7%
C.H. Robinson Worldwide, Inc. ......... 155 6,338
Expeditors International Washington,
Inc. ................................ 198 8,019
FedEx Corp. ........................... 262 28,458
United Parcel Service, Inc. (Class
B)................................... 574 43,039
-----------
85,854
-----------
AIRLINES -- 0.2%
AMR Corp. (a).......................... 170 5,139
Southwest Airlines Co. ................ 738 11,306
UAL Corp. (a).......................... 82 3,608
-----------
20,053
-----------
AUTO COMPONENTS -- 0.1%
BorgWarner, Inc. ...................... 52 3,069
Johnson Controls, Inc. ................ 178 15,294
-----------
18,363
-----------
AUTOMOBILES -- 0.3%
Ford Motor Co. ........................ 1,723 12,940
General Motors Corp. .................. 458 14,070
Harley-Davidson, Inc. ................. 245 17,265
-----------
44,275
-----------
BEVERAGES -- 1.9%
Anheuser-Busch Cos., Inc. ............. 672 33,062
Brown-Forman Corp. .................... 57 3,776
Coca-Cola Enterprises, Inc. ........... 242 4,942
Constellation Brands, Inc. (Class A)
(a).................................. 182 5,282
Molson Coors Brewing Co. .............. 64 4,892
PepsiCo, Inc. ......................... 1,542 96,452
The Coca-Cola Co. ..................... 2,000 96,500
The Pepsi Bottling Group, Inc. ........ 118 3,647
-----------
248,553
-----------
BIOTECHNOLOGY -- 1.6%
Amgen, Inc. (a)........................ 1,086 74,185
Amylin Pharmaceuticals, Inc. (a)....... 104 3,751
Biogen Idec, Inc. (a).................. 311 15,298
Celgene Corp. (a)...................... 347 19,963
Cephalon, Inc. (a)..................... 54 3,802
Genentech, Inc. (a).................... 432 35,048
Genzyme Corp. (a)...................... 240 14,779
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Gilead Sciences, Inc. (a).............. 427 $ 27,725
MedImmune, Inc. (a).................... 221 7,154
Millennium Pharmaceuticals, Inc. (a)... 286 3,118
Vertex Pharmaceuticals, Inc. (a)....... 102 3,817
-----------
208,640
-----------
BUILDING PRODUCTS -- 0.2%
American Standard Cos., Inc. .......... 162 7,427
Masco Corp. ........................... 355 10,604
USG Corp. (a).......................... 71 3,891
-----------
21,922
-----------
CAPITAL MARKETS -- 3.5%
A.G. Edwards, Inc. .................... 72 4,557
AllianceBernstein Holding LP........... 25 2,010
Ameriprise Financial, Inc. ............ 202 11,009
BlackRock, Inc. ....................... 12 1,823
E*TRADE Financial Corp. (a)............ 392 8,789
Eaton Vance Corp. ..................... 125 4,126
Federated Investors, Inc. ............. 90 3,040
Franklin Resources, Inc. .............. 162 17,847
Goldman Sachs Group, Inc. ............. 339 67,580
Janus Capital Group, Inc. ............. 197 4,253
Legg Mason, Inc. ...................... 119 11,311
Lehman Brothers Holdings, Inc. ........ 498 38,904
Mellon Financial Corp. ................ 391 16,481
Merrill Lynch & Co., Inc. ............. 823 76,621
Morgan Stanley......................... 899 73,205
Northern Trust Corp. .................. 180 10,924
Nuveen Investments, Inc. .............. 73 3,787
SEI Investments Co. ................... 66 3,931
State Street Corp. (b)................. 311 20,974
T. Rowe Price Group, Inc. ............. 242 10,592
TD Ameritrade Holding Corp. ........... 210 3,398
The Bank of New York Co., Inc. ........ 707 27,835
The Bear Stearns Cos., Inc. ........... 106 17,255
The Charles Schwab Corp. .............. 965 18,663
-----------
458,915
-----------
CHEMICALS -- 1.4%
Air Products & Chemicals, Inc. ........ 197 13,845
Ashland, Inc. ......................... 53 3,667
E. I. du Pont de Nemours & Co. ........ 853 41,550
Eastman Chemical Co. .................. 71 4,211
Ecolab, Inc. .......................... 170 7,684
Huntsman Corp. (a)..................... 84 1,593
International Flavors & Fragrances,
Inc. ................................ 78 3,834
Lubrizol Corp. ........................ 61 3,058
Lyondell Chemical Co. ................. 208 5,319
Monsanto Co. .......................... 502 26,370
PPG Industries, Inc. .................. 156 10,017
Praxair, Inc. ......................... 300 17,799
Rohm & Haas Co. ....................... 132 6,748
Sigma-Aldrich Corp. ................... 57 4,430
The Dow Chemical Co. .................. 894 35,706
The Mosaic Co. (a)..................... 126 2,691
-----------
188,522
-----------
COMMERCIAL BANKS -- 4.1%
Associated Bancorp..................... 108 3,767
Bank of Hawaii Corp. .................. 48 2,590
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
BB&T Corp. ............................ 500 $ 21,965
City National Corp. ................... 41 2,919
Colonial BancGroup, Inc. .............. 139 3,578
Comerica, Inc. ........................ 157 9,213
Commerce Bancorp, Inc. ................ 169 5,961
Commerce Bancshares, Inc. ............. 72 3,507
Compass Bancshares, Inc. .............. 120 7,158
Fifth Third Bancorp.................... 431 17,641
First Horizon National Corp. .......... 111 4,638
Fulton Financial Corp. ................ 149 2,488
Huntington Bancshares, Inc. ........... 213 5,059
Keycorp................................ 376 14,299
M&T Bank Corp. ........................ 76 9,284
Marshall & Ilsley Corp. ............... 229 11,017
Mercantile Bankshares Corp. ........... 113 5,287
National City Corp. ................... 575 21,022
PNC Financial Services Group........... 273 20,213
Popular, Inc. ......................... 227 4,075
Regions Financial Corp. ............... 701 26,217
Sky Financial Group, Inc. ............. 100 2,854
SunTrust Banks, Inc. .................. 336 28,375
Synovus Financial Corp. ............... 239 7,368
TCF Financial Corp. ................... 118 3,235
TD Banknorth, Inc. .................... 101 3,260
U.S. Bancorp........................... 1,651 59,750
UnionBanCal Corp. ..................... 52 3,185
Valley National Bancorp................ 109 2,890
Wachovia Corp. ........................ 1,780 101,371
Wells Fargo & Co. ..................... 2,957 105,151
Zions Bancorp.......................... 97 7,997
-----------
527,334
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.7%
Allied Waste Industries, Inc. (a)...... 266 3,269
Aramark Corp. ......................... 105 3,512
Avery Dennison Corp. .................. 87 5,910
ChoicePoint, Inc. (a).................. 77 3,032
Cintas Corp. .......................... 133 5,281
Dun & Bradstreet Corp. (a)............. 62 5,133
Equifax, Inc. ......................... 120 4,872
Manpower, Inc. ........................ 85 6,369
Monster Worldwide, Inc. (a)............ 104 4,851
Pitney Bowes, Inc. .................... 208 9,608
R.R. Donnelley & Sons Co. ............. 200 7,108
Republic Services, Inc. ............... 110 4,474
Robert Half International, Inc. ....... 160 5,939
The Corporate Executive Board Co. ..... 37 3,245
Waste Management, Inc. ................ 503 18,495
-----------
91,098
-----------
COMMUNICATIONS EQUIPMENT -- 2.5%
Avaya, Inc. (a)........................ 407 5,690
Cisco Systems, Inc. (a)................ 5,669 154,934
Comverse Technology, Inc. (a).......... 188 3,969
Corning, Inc. (a)...................... 1,435 26,849
Harris Corp. .......................... 124 5,686
JDS Uniphase Corp. (a)................. 183 3,049
Juniper Networks, Inc. (a)............. 511 9,678
Motorola, Inc. ........................ 2,252 46,301
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
QUALCOMM, Inc. ........................ 1,538 $ 58,121
Tellabs, Inc. (a)...................... 392 4,022
-----------
318,299
-----------
COMPUTERS & PERIPHERALS -- 3.6%
Apple Computer, Inc. (a)............... 786 66,684
Dell, Inc. (a)......................... 1,894 47,521
Diebold, Inc. ......................... 61 2,843
EMC Corp. (a).......................... 2,051 27,073
Hewlett-Packard Co. ................... 2,551 105,076
International Business Machines
Corp. ............................... 1,403 136,301
Lexmark International, Inc. (a)........ 96 7,027
NCR Corp. (a).......................... 170 7,269
Network Appliance, Inc. (a)............ 339 13,316
QLogic Corp. (a)....................... 163 3,573
SanDisk Corp. (a)...................... 205 8,821
Seagate Technology..................... 539 14,284
Sun Microsystems, Inc. (a)............. 3,232 17,517
Western Digital Corp. (a).............. 203 4,153
-----------
461,458
-----------
CONSTRUCTION & ENGINEERING -- 0.1%
Fluor Corp. ........................... 80 6,532
Jacobs Engineering Group, Inc. (a)..... 54 4,403
-----------
10,935
-----------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials, Inc. ....... 42 4,364
Vulcan Materials Co. .................. 82 7,370
-----------
11,734
-----------
CONSUMER FINANCE -- 0.9%
American Express Co. .................. 1,003 60,852
AmeriCredit Corp. (a).................. 108 2,718
Capital One Financial Corp. ........... 381 29,269
SLM Corp. ............................. 384 18,728
Student Loan Corp. .................... 4 829
-----------
112,396
-----------
CONTAINERS & PACKAGING -- 0.2%
Ball Corp. ............................ 99 4,316
Bemis Co., Inc. ....................... 101 3,432
Crown Holdings, Inc. (a)............... 151 3,159
Pactiv Corp. (a)....................... 140 4,997
Sealed Air Corp. ...................... 76 4,934
Smurfit-Stone Container Corp. (a)...... 231 2,439
Sonoco Products Co. ................... 92 3,502
Temple-Inland, Inc. ................... 99 4,557
-----------
31,336
-----------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. ..................... 157 7,447
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
Apollo Group, Inc. (a)................. 142 5,534
H&R Block, Inc. ....................... 283 6,520
The Service Master Co. ................ 267 3,500
Weight Watchers International, Inc. ... 41 2,154
-----------
17,708
-----------
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED FINANCIAL SERVICES -- 5.4%
Bank of America Corp. ................. 4,189 $ 223,651
Cbot Holdings, Inc. (a)................ 34 5,150
Chicago Mercantile Exchange Holdings,
Inc. .................................. 29 14,783
CIT Group, Inc. ....................... 184 10,262
Citigroup, Inc. ....................... 4,642 258,559
JPMorgan Chase & Co. .................. 3,250 156,975
Leucadia National Corp. ............... 150 4,230
Moody's Corp. ......................... 232 16,022
Nymex Holdings, Inc. (a)............... 6 744
NYSE Group, Inc. (a)................... 48 4,665
-----------
695,041
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.7%
AT&T, Inc. ............................ 3,579 127,949
BellSouth Corp. ....................... 1,702 80,181
CenturyTel, Inc. ...................... 108 4,715
Citizens Communications Co. ........... 299 4,297
Embarq Corp. .......................... 134 7,043
Level 3 Communications, Inc. (a)....... 915 5,124
Qwest Communications International,
Inc. (a)............................... 1,436 12,019
Verizon Communications, Inc. .......... 2,718 101,219
Windstream Corp. (a)................... 436 6,200
-----------
348,747
-----------
ELECTRIC UTILITIES -- 1.8%
Allegheny Energy, Inc. (a)............. 145 6,657
American Electric Power Co., Inc. ..... 364 15,499
DPL, Inc. ............................. 105 2,917
Duke Energy Corp. ..................... 1,168 38,789
Edison International................... 276 12,553
Entergy Corp. ......................... 197 18,187
Exelon Corp. .......................... 622 38,496
FirstEnergy Corp. ..................... 301 18,150
FPL Group, Inc. ....................... 345 18,775
Northeast Utilities.................... 143 4,027
Pepco Holdings, Inc. .................. 171 4,448
Pinnacle West Capital Corp. ........... 87 4,410
PPL Corp. ............................. 349 12,508
Progress Energy, Inc. ................. 227 11,141
Reliant Energy, Inc. (a)............... 278 3,950
The Southern Co. ...................... 683 25,175
-----------
235,682
-----------
ELECTRICAL EQUIPMENT -- 0.5%
American Power Conversion Corp. ....... 171 5,231
AMETEK, Inc. .......................... 96 3,057
Cooper Industries, Ltd. ............... 88 7,958
Emerson Electric Co. .................. 756 33,332
Hubbell, Inc. (Class B)................ 52 2,351
Rockwell Automation, Inc. ............. 151 9,223
Roper Industries, Inc. ................ 80 4,019
-----------
65,171
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.3%
Agilent Technologies, Inc. (a)......... 397 13,835
Amphenol Corp. (Class A)............... 82 5,091
Arrow Electronics, Inc. (a)............ 107 3,376
CDW Corp. ............................. 61 4,290
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ingram Micro, Inc. (Class A) (a)....... 132 $ 2,694
Jabil Circuit, Inc. ................... 168 4,124
Molex, Inc. ........................... 124 3,922
Solectron Corp. (a).................... 908 2,924
Symbol Technologies, Inc. ............. 230 3,436
-----------
43,692
-----------
ENERGY EQUIPMENT & SERVICES -- 1.9%
Baker Hughes, Inc. .................... 299 22,323
BJ Services Co. ....................... 283 8,298
Cameron International Corp. (a)........ 104 5,517
Diamond Offshore Drilling, Inc. ....... 56 4,477
ENSCO International, Inc. ............. 142 7,109
FMC Technologies, Inc. (a)............. 64 3,944
GlobalSantaFe Corp. ................... 223 13,108
Grant Prideco, Inc. (a)................ 121 4,812
Halliburton Co. ....................... 950 29,497
Nabors Industries, Ltd. (a)............ 279 8,309
National-Oilwell Varco, Inc. (a)....... 160 9,789
Noble Corp. ........................... 128 9,747
Patterson-UTI Energy, Inc. ............ 146 3,392
Pride International, Inc. (a).......... 145 4,351
Rowan Cos., Inc. ...................... 100 3,320
Schlumberger, Ltd. .................... 1,094 69,097
Smith International, Inc. ............. 196 8,050
Transocean, Inc. (a)................... 272 22,002
Weatherford International, Ltd. (a).... 322 13,456
-----------
250,598
-----------
FOOD & STAPLES RETAILING -- 2.0%
Costco Wholesale Corp. ................ 437 23,104
CVS Corp. ............................. 742 22,935
Safeway, Inc. ......................... 409 14,135
SUPERVALU, Inc. ....................... 196 7,007
Sysco Corp. ........................... 596 21,909
The Kroger Co. ........................ 612 14,119
Wal-Mart Stores, Inc. ................. 2,397 110,693
Walgreen Co. .......................... 940 43,137
Whole Foods Market, Inc. .............. 131 6,148
-----------
263,187
-----------
FOOD PRODUCTS -- 1.1%
Archer-Daniels-Midland Co. ............ 549 17,546
Bunge, Ltd. ........................... 108 7,831
Campbell Soup Co. ..................... 236 9,178
ConAgra Foods, Inc. ................... 490 13,230
Dean Foods Co. (a)..................... 117 4,947
General Mills, Inc. ................... 326 18,777
H.J. Heinz Co. ........................ 293 13,188
Hormel Foods Corp. .................... 68 2,539
Kellogg Co. ........................... 229 11,464
Kraft Foods, Inc. ..................... 234 8,354
McCormick & Co., Inc. ................. 120 4,627
Sara Lee Corp. ........................ 713 12,142
Smithfield Foods, Inc. (a)............. 103 2,643
The Hershey Co. ....................... 158 7,868
Tyson Foods, Inc. (Class A)............ 215 3,537
Wm. Wrigley Jr., Co. .................. 212 10,965
-----------
148,836
-----------
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
GAS UTILITIES -- 0.1%
Equitable Resources, Inc. ............. 106 $ 4,425
ONEOK, Inc. ........................... 97 4,183
Questar Corp. ......................... 77 6,395
-----------
15,003
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.6%
Bausch & Lomb, Inc. ................... 48 2,499
Baxter International, Inc. ............ 610 28,298
Beckman Coulter, Inc. ................. 56 3,349
Becton, Dickinson & Co. ............... 216 15,152
Biomet, Inc. .......................... 214 8,832
Boston Scientific Corp. (a)............ 1,259 21,630
C.R. Bard, Inc. ....................... 96 7,965
Cytyc Corp. (a)........................ 104 2,943
Dade Behring Holdings, Inc. ........... 82 3,264
Dentsply International, Inc. .......... 130 3,880
Hillenbrand Industries, Inc. .......... 49 2,790
Hospira, Inc. (a)...................... 141 4,735
Medtronic, Inc. ....................... 1,076 57,577
St. Jude Medical, Inc. (a)............. 334 12,211
Stryker Corp. ......................... 255 14,053
Varian Medical Systems, Inc. (a)....... 127 6,041
Zimmer Holdings, Inc. (a).............. 228 17,871
-----------
213,090
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.5%
Aetna, Inc. ........................... 486 20,985
AmerisourceBergen Corp. ............... 190 8,542
Brookdale Senior Living, Inc. ......... 48 2,304
Cardinal Health, Inc. ................. 386 24,870
Caremark Rx, Inc. ..................... 397 22,673
CIGNA Corp. ........................... 100 13,157
Community Health Systems, Inc. (a)..... 84 3,068
Coventry Health Care, Inc. (a)......... 145 7,257
DaVita, Inc. (a)....................... 94 5,347
Express Scripts, Inc. (Class A) (a).... 112 8,019
Health Management Associates, Inc. .... 223 4,708
Health Net, Inc. (a)................... 101 4,915
Henry Schein, Inc. (a)................. 80 3,918
Humana, Inc. (a)....................... 150 8,296
Laboratory Corp. of America Holdings
(a).................................. 120 8,816
Lincare Holdings, Inc. (a)............. 90 3,586
Manor Care, Inc. ...................... 62 2,909
McKesson Corp. ........................ 280 14,196
Medco Health Solutions, Inc. (a)....... 273 14,589
Omnicare, Inc. ........................ 112 4,327
Patterson Cos., Inc. (a)............... 114 4,048
Quest Diagnostics, Inc. ............... 142 7,526
Tenet Healthcare Corp. (a)............. 429 2,990
Triad Hospitals, Inc. (a).............. 80 3,346
UnitedHealth Group, Inc. .............. 1,267 68,076
Universal Health Services, Inc. (Class
B)................................... 53 2,938
WellPoint, Inc. (a).................... 572 45,011
-----------
320,417
-----------
HEALTH CARE TECHNOLOGY -- 0.0% (C)
IMS Health, Inc. ...................... 200 5,496
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOTELS RESTAURANTS & LEISURE -- 1.8%
Boyd Gaming Corp. ..................... 48 $ 2,175
Brinker International, Inc. ........... 117 3,529
Carnival Corp. ........................ 389 19,080
Darden Restaurants, Inc. .............. 116 4,660
Harrah's Entertainment, Inc. .......... 172 14,228
Hilton Hotels Corp. ................... 331 11,552
International Game Technology.......... 317 14,645
International Speedway Corp. (Class
A)................................... 32 1,633
Las Vegas Sands Corp. (a).............. 96 8,590
Marriott International, Inc. (Class
A)................................... 322 15,366
McDonald's Corp. ...................... 1,146 50,802
MGM Mirage, Inc. (a)................... 112 6,423
Penn National Gaming, Inc. (a)......... 62 2,580
Royal Caribbean Cruises, Ltd. ......... 119 4,924
Starbucks Corp. (a).................... 709 25,113
Starwood Hotels & Resorts Worldwide,
Inc. ................................ 197 12,312
Station Casinos, Inc. ................. 39 3,185
Wendy's International, Inc. ........... 108 3,574
Wyndham Worldwide Corp. (a)............ 183 5,860
Wynn Resorts, Ltd. .................... 68 6,382
Yum! Brands, Inc. ..................... 247 14,524
-----------
231,137
-----------
HOUSEHOLD DURABLES -- 0.7%
Black & Decker Corp. .................. 63 5,038
Centex Corp. .......................... 106 5,965
D.R. Horton, Inc. ..................... 252 6,675
Fortune Brands, Inc. .................. 138 11,784
Garmin, Ltd. .......................... 106 5,900
Harman International Industries,
Inc. ................................ 61 6,095
KB HOME................................ 72 3,692
Leggett & Platt, Inc. ................. 172 4,111
Lennar Corp. (Class A)................. 126 6,610
Mohawk Industries, Inc. (a)............ 51 3,818
Newell Rubbermaid, Inc. ............... 251 7,266
NVR, Inc. (a).......................... 5 3,225
Pulte Homes, Inc. ..................... 193 6,392
The Stanley Works...................... 78 3,923
Toll Brothers, Inc. (a)................ 108 3,481
Whirlpool Corp. ....................... 72 5,977
-----------
89,952
-----------
HOUSEHOLD PRODUCTS -- 2.0%
Colgate-Palmolive Co. ................. 486 31,707
Energizer Holdings, Inc. (a)........... 49 3,478
Kimberly-Clark Corp. .................. 426 28,947
Procter & Gamble Co. .................. 2,967 190,689
The Clorox Co. ........................ 142 9,109
-----------
263,930
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5%
Constellation Energy Group, Inc. ...... 170 11,708
Mirant Corp. (a)....................... 237 7,482
NRG Energy, Inc. (a)................... 127 7,113
The AES Corp. (a)...................... 593 13,070
TXU Corp. ............................. 426 23,093
-----------
62,466
-----------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INDUSTRIAL CONGLOMERATES -- 3.7%
3M Co. ................................ 629 $ 49,018
General Electric Co. .................. 9,702 361,011
McDermott International, Inc. (a)...... 100 5,086
Textron, Inc. ......................... 102 9,565
Tyco International, Ltd. .............. 1,876 57,030
-----------
481,710
-----------
INSURANCE -- 5.5%
ACE, Ltd. ............................. 301 18,232
AFLAC, Inc. ........................... 461 21,206
Ambac Financial Group, Inc. ........... 101 8,996
American International Group, Inc. .... 2,132 152,779
Aon Corp. ............................. 259 9,153
Arch Capital Group, Ltd. (a)........... 39 2,637
Arthur J. Gallagher & Co. ............. 83 2,453
Assurant, Inc. ........................ 104 5,746
Axis Capital Holdings, Ltd. ........... 131 4,372
Berkshire Hathaway, Inc. (Class A)
(a).................................. 1 109,990
Brown & Brown, Inc. ................... 104 2,934
Chubb Corp. ........................... 385 20,370
Cincinnati Financial Corp. ............ 137 6,208
CNA Financial Corp. (a)................ 22 887
Conseco, Inc. (a)...................... 140 2,797
Everest Re Group, Ltd. ................ 60 5,887
Fidelity National Title Group, Inc. ... 226 5,397
First American Corp. .................. 78 3,173
Genworth Financial, Inc. (Class A)..... 418 14,300
Lincoln National Corp. ................ 259 17,198
Loews Corp. ........................... 435 18,039
Markel Corp. (a)....................... 8 3,841
Marsh & McLennan Cos., Inc. ........... 509 15,606
MBIA, Inc. ............................ 124 9,059
MetLife, Inc. ......................... 429 25,315
Nationwide Financial Services, Inc.
(Class A)............................ 52 2,818
Old Republic International Corp. ...... 196 4,563
Principal Financial Group, Inc. ....... 253 14,851
Protective Life Corp. ................. 60 2,850
Prudential Financial, Inc. ............ 446 38,294
SAFECO Corp. .......................... 112 7,006
The Allstate Corp. .................... 582 37,894
The Hartford Financial Services Group,
Inc. ................................ 295 27,526
The Progressive Corp. ................. 677 16,397
The St. Paul Travelers Cos., Inc. ..... 642 34,469
Torchmark Corp. ....................... 96 6,121
Transatlantic Holdings, Inc. .......... 24 1,490
Unitrin, Inc. ......................... 40 2,004
UnumProvident Corp. ................... 316 6,567
White Mountains Insurance Group,
Ltd. ................................ 8 4,635
WR Berkley Corp. ...................... 173 5,970
XL Capital, Ltd. (Class A)............. 164 11,811
-----------
711,841
-----------
INTERNET & CATALOG RETAIL -- 0.3%
Amazon.com, Inc. (a)................... 275 10,852
Expedia, Inc. (a)...................... 241 5,056
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
IAC/InterActiveCorp (a)................ 192 $ 7,135
Liberty Media Holding
Corp. -- Interactive (Class A) (a)... 613 13,222
-----------
36,265
-----------
INTERNET SOFTWARE & SERVICES -- 1.3%
Akamai Technologies, Inc. (a).......... 143 7,596
eBay, Inc. (a)......................... 972 29,228
Google, Inc. (Class A) (a)............. 208 95,780
VeriSign, Inc. (a)..................... 232 5,580
Yahoo!, Inc. (a)....................... 1,188 30,341
-----------
168,525
-----------
IT SERVICES -- 1.4%
Accenture, Ltd. (Class A).............. 520 19,204
Affiliated Computer Services, Inc.
(a).................................. 108 5,275
Alliance Data Systems Corp. (a)........ 63 3,936
Automatic Data Processing, Inc. ....... 514 25,314
Ceridian Corp. (a)..................... 132 3,693
Checkfree Corp. (a).................... 69 2,771
Cognizant Technology Solutions Corp.
(a).................................. 129 9,954
Computer Sciences Corp. (a)............ 166 8,859
DST Systems, Inc. (a).................. 51 3,194
Electronic Data Systems Corp. ......... 484 13,334
Fidelity National Information Services,
Inc. ................................ 264 10,584
First Data Corp. ...................... 704 17,966
Fiserv, Inc. (a)....................... 155 8,125
Global Payments, Inc. ................. 82 3,797
Iron Mountain, Inc. (a)................ 112 4,630
Mastercard, Inc. ...................... 57 5,614
Paychex, Inc. ......................... 312 12,336
Sabre Holdings Corp. (Class A)......... 130 4,146
The Western Union Co. ................. 704 15,784
Total System Services, Inc. ........... 36 950
-----------
179,466
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Brunswick Corp. ....................... 86 2,744
Eastman Kodak Co. ..................... 264 6,811
Hasbro, Inc. .......................... 137 3,733
Mattel, Inc. .......................... 333 7,546
-----------
20,834
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
Applera Corp. -- Applied Biosystems
Group................................ 160 5,870
Charles River Laboratories
International, Inc. (a).............. 66 2,854
Covance, Inc. (a)...................... 59 3,476
Invitrogen Corp. (a)................... 48 2,716
Millipore Corp. (a).................... 53 3,530
Pharmaceutical Product Development,
Inc. ................................ 96 3,093
Thermo Electron Corp. (a).............. 378 17,120
Waters Corp. (a)....................... 105 5,142
-----------
43,801
-----------
MACHINERY -- 1.5%
Caterpillar, Inc. ..................... 614 37,657
Cummins, Inc. ......................... 44 5,200
Danaher Corp. ......................... 227 16,444
Deere & Co. ........................... 216 20,535
Donaldson Co., Inc. ................... 68 2,360
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Dover Corp. ........................... 188 $ 9,216
Eaton Corp. ........................... 143 10,745
Graco, Inc. ........................... 64 2,536
Illinois Tool Works, Inc. ............. 458 21,155
Ingersoll-Rand Co., Ltd. (Class A)..... 286 11,191
ITT Industries, Inc. .................. 167 9,489
Joy Global, Inc. ...................... 107 5,172
Oshkosh Truck Corp. ................... 68 3,293
PACCAR, Inc. .......................... 233 15,122
Pall Corp. ............................ 116 4,008
Parker-Hannifin Corp. ................. 112 8,610
Pentair, Inc. ......................... 89 2,795
SPX Corp. ............................. 53 3,241
Terex Corp. (a)........................ 92 5,941
-----------
194,710
-----------
MEDIA -- 3.8%
Cablevision Systems Corp. (Class A).... 225 6,408
CBS Corp. ............................. 630 19,643
Clear Channel Communications, Inc. .... 426 15,140
Clear Channel Outdoor Holdings, Inc.
(a).................................. 34 949
Comcast Corp. (Class A) (a)............ 1,847 78,184
Discovery Holding Co. (Class A) (a).... 257 4,135
EchoStar Communications Corp. (Class A)
(a).................................. 199 7,568
EW Scripps Co. ........................ 76 3,795
Gannett Co., Inc. ..................... 221 13,362
Getty Images, Inc. (a)................. 44 1,884
Idearc, Inc. (a)....................... 134 3,839
Lamar Advertising Co. (a).............. 69 4,512
Liberty Global, Inc. (Class A) (a)..... 373 10,873
Liberty Media Holding Corp. -- Capital
(Series A) (a)....................... 128 12,541
News Corp. (Class A)................... 2,188 46,998
NTL, Inc. ............................. 234 5,906
Omnicom Group, Inc. ................... 162 16,935
R.H. Donnelley Corp. .................. 70 4,391
Sirius Satellite Radio, Inc. (a)....... 1,134 4,014
The DIRECTV Group, Inc. (a)............ 747 18,630
The Interpublic Group of Cos., Inc.
(a).................................. 395 4,835
The McGraw-Hill Cos., Inc. ............ 331 22,515
The New York Times Co. (Class A)....... 136 3,313
The Walt Disney Co. ................... 1,806 61,892
The Washington Post Co. ............... 5 3,728
Time Warner, Inc. ..................... 3,788 82,503
Tribune Co. ........................... 144 4,432
Univision Communications, Inc. (a)..... 214 7,580
Viacom, Inc. (a)....................... 593 24,331
XM Satellite Radio Holdings, Inc.
(Class A) (a)........................ 248 3,584
-----------
498,420
-----------
METALS & MINING -- 0.9%
Alcoa, Inc. ........................... 803 24,098
Allegheny Technologies, Inc. .......... 84 7,617
Freeport-McMoRan Copper & Gold,
Inc. ................................ 176 9,809
Newmont Mining Corp. .................. 419 18,918
Nucor Corp. ........................... 262 14,321
Phelps Dodge Corp. .................... 188 22,507
Southern Copper Corp. ................. 72 3,880
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Titanium Metals Corp. (a).............. 75 $ 2,213
United States Steel Corp. ............. 110 8,045
-----------
111,408
-----------
MULTI-UTILITIES -- 1.2%
Alliant Energy Corp. .................. 108 4,079
Ameren Corp. .......................... 189 10,155
CenterPoint Energy, Inc. .............. 254 4,211
Consolidated Edison, Inc. ............. 239 11,489
Dominion Resources, Inc. .............. 325 27,248
DTE Energy Co. ........................ 159 7,697
Energy East Corp. ..................... 136 3,373
KeySpan Corp. ......................... 161 6,630
MDU Resources Group, Inc. ............. 146 3,743
NiSource, Inc. ........................ 247 5,953
NSTAR.................................. 100 3,436
PG&E Corp. ............................ 318 15,051
Public Service Enterprise Group,
Inc. ................................ 233 15,467
SCANA Corp. ........................... 96 3,900
Sempra Energy.......................... 212 11,880
TECO Energy, Inc. ..................... 188 3,239
Wisconsin Energy Corp. ................ 108 5,126
Xcel Energy, Inc. ..................... 367 8,463
-----------
151,140
-----------
MULTILINE RETAIL -- 1.0%
Dollar General Corp. .................. 279 4,481
Dollar Tree Stores, Inc. (a)........... 98 2,950
Family Dollar Stores, Inc. ............ 144 4,223
Federated Department Stores, Inc. ..... 510 19,446
J. C. Penney Co., Inc. ................ 189 14,621
Kohl's Corp. (a)....................... 277 18,955
Nordstrom, Inc. ....................... 203 10,016
Sears Holdings Corp. (a)............... 90 15,114
Target Corp. .......................... 725 41,361
-----------
131,167
-----------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (a)........................ 899 15,238
-----------
OIL, GAS & CONSUMABLE FUELS -- 7.8%
Anadarko Petroleum Corp. .............. 420 18,278
Apache Corp. .......................... 301 20,020
Arch Coal, Inc. ....................... 133 3,994
Chesapeake Energy Corp. ............... 371 10,778
Chevron Corp. ......................... 2,044 150,295
CNX Gas Corp. (a)...................... 24 612
ConocoPhillips......................... 1,432 103,032
CONSOL Energy, Inc. ................... 165 5,301
Devon Energy Corp. .................... 389 26,094
El Paso Corp. ......................... 645 9,856
Energy Transfer Partners LP............ 71 3,841
Enterprise Products Partners LP........ 244 7,071
EOG Resources, Inc. ................... 228 14,239
Exxon Mobil Corp. ..................... 5,432 416,255
Hess Corp. ............................ 233 11,550
Kinder Morgan Energy Partners LP....... 132 6,323
Kinder Morgan, Inc. ................... 101 10,681
Marathon Oil Corp. .................... 327 30,247
Murphy Oil Corp. ...................... 159 8,085
Newfield Exploration Co. (a)........... 118 5,422
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Noble Energy, Inc. .................... 159 $ 7,802
Occidental Petroleum Corp. ............ 790 38,576
ONEOK Partners LP...................... 44 2,787
Peabody Energy Corp. .................. 239 9,658
Pioneer Natural Resources Co. ......... 117 4,644
Plains Exploration & Production Co.
(a).................................. 72 3,422
Pogo Producing Co. .................... 50 2,422
Range Resources Corp. ................. 128 3,515
Southwestern Energy Co. (a)............ 151 5,293
Sunoco, Inc. .......................... 124 7,733
Tesoro Corp. .......................... 64 4,209
The Williams Cos., Inc. ............... 553 14,444
Ultra Petroleum Corp. (a).............. 142 6,780
Valero Energy Corp. ................... 573 29,315
XTO Energy, Inc. ...................... 337 15,856
-----------
1,018,430
-----------
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co. ............... 424 14,458
MeadWestvaco Corp. .................... 167 5,020
Weyerhaeuser Co. ...................... 220 15,543
-----------
35,021
-----------
PERSONAL PRODUCTS -- 0.2%
Alberto Culver Co. (a)................. 76 1,630
Avon Products, Inc. ................... 430 14,207
The Estee Lauder Cos., Inc. (Class
A)................................... 126 5,144
-----------
20,981
-----------
PHARMACEUTICALS -- 5.8%
Abbott Laboratories.................... 1,433 69,802
Abraxis BioScience, Inc. (a)........... 21 574
Allergan, Inc. ........................ 142 17,003
Barr Pharmaceuticals, Inc. (a)......... 93 4,661
Bristol-Myers Squibb Co. .............. 1,812 47,692
Eli Lilly & Co. ....................... 912 47,515
Endo Pharmaceuticals Holdings, Inc.
(a).................................. 121 3,337
Forest Laboratories, Inc. (a).......... 297 15,028
Johnson & Johnson...................... 2,700 178,254
King Pharmaceuticals, Inc. (a)......... 224 3,566
Merck & Co., Inc. ..................... 2,041 88,988
Mylan Laboratories, Inc. .............. 195 3,892
Pfizer, Inc. .......................... 6,716 173,945
Schering-Plough Corp. ................. 1,374 32,481
Sepracor, Inc. (a)..................... 98 6,035
Warner Chilcott, Ltd. (a).............. 65 898
Watson Pharmaceuticals, Inc. (a)....... 95 2,473
Wyeth.................................. 1,238 63,039
-----------
759,183
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.9%
AMB Property Corp. .................... 80 4,689
Apartment Investment & Management Co.
(Class A)............................ 88 4,930
Archstone-Smith Trust.................. 196 11,409
Avalonbay Communities, Inc. ........... 68 8,843
Boston Properties, Inc. ............... 104 11,635
Camden Property Trust.................. 52 3,840
CapitalSource, Inc. ................... 116 3,168
Developers Diversified Realty Corp. ... 100 6,295
Duke Realty Corp. ..................... 128 5,235
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Equity Office Properties Trust......... 330 $ 15,896
Equity Residential..................... 269 13,652
Federal Realty Investment Trust........ 48 4,080
General Growth Properties, Inc. ....... 203 10,603
Health Care Property Investors,
Inc. ................................ 184 6,775
Hospitality Properties Trust........... 62 2,947
Host Hotels & Resorts, Inc. ........... 482 11,833
iStar Financial, Inc. ................. 118 5,643
Kimco Realty Corp. .................... 216 9,709
Liberty Property Trust................. 79 3,882
Macerich Co. .......................... 67 5,800
Mack-Cali Realty Corp. ................ 56 2,856
New Plan Excel Realty Trust............ 96 2,638
Plum Creek Timber Co., Inc. ........... 163 6,496
ProLogis............................... 230 13,977
Public Storage, Inc. .................. 116 11,310
Regency Centers Corp. ................. 64 5,003
Simon Property Group, Inc. ............ 212 21,473
SL Green Realty Corp. ................. 43 5,710
Thornburg Mortgage, Inc. .............. 98 2,463
United Dominion Realty Trust, Inc. .... 118 3,751
Ventas, Inc. .......................... 96 4,063
Vornado Realty Trust................... 121 14,701
Weingarten Realty Investors............ 71 3,274
-----------
248,579
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2%
Brookfield Properties Corp. ........... 108 4,248
CB Richard Ellis Group, Inc. (Class
A) (a)............................... 178 5,909
Forest City Enterprises, Inc. ......... 64 3,738
Realogy Corp. (a)...................... 183 5,548
The St. Joe Co. ....................... 66 3,536
-----------
22,979
-----------
ROAD & RAIL -- 0.7%
Burlington Northern Santa Fe Corp. .... 342 25,243
CSX Corp. ............................. 410 14,116
Hertz Global Holdings, Inc. (a)........ 82 1,426
J.B. Hunt Transport Services, Inc. .... 111 2,306
Norfolk Southern Corp. ................ 382 19,211
Union Pacific Corp. ................... 248 22,821
-----------
85,123
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.5%
Advanced Micro Devices, Inc. (a)....... 534 10,867
Altera Corp. (a)....................... 346 6,809
Analog Devices, Inc. .................. 319 10,486
Applied Materials, Inc. ............... 1,285 23,708
Broadcom Corp. (Class A) (a)........... 409 13,215
Intel Corp. ........................... 5,398 109,309
International Rectifier Corp. (a)...... 61 2,350
Intersil Corp. (Class A)............... 131 3,134
KLA-Tencor Corp. ...................... 179 8,905
Lam Research Corp. (a)................. 130 6,581
Linear Technology Corp. ............... 282 8,550
LSI Logic Corp. (a).................... 368 3,312
Marvell Technology Group, Ltd. (a)..... 428 8,213
Maxim Integrated Products, Inc. ....... 295 9,033
MEMC Electronic Materials, Inc. (a).... 157 6,145
Microchip Technology, Inc. ............ 197 6,442
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Micron Technology, Inc. (a)............ 670 $ 9,353
National Semiconductor Corp. .......... 316 7,173
Novellus Systems, Inc. (a)............. 125 4,303
NVIDIA Corp. (a)....................... 337 12,472
Teradyne, Inc. (a)..................... 182 2,723
Texas Instruments, Inc. ............... 1,382 39,802
Xilinx, Inc. .......................... 315 7,500
-----------
320,385
-----------
SOFTWARE -- 3.3%
Activision, Inc. (a)................... 246 4,241
Adobe Systems, Inc. (a)................ 545 22,410
Autodesk, Inc. (a)..................... 209 8,456
BEA Systems, Inc. (a).................. 361 4,541
BMC Software, Inc. (a)................. 199 6,408
CA, Inc. .............................. 392 8,879
Cadence Design Systems, Inc. (a)....... 249 4,460
Citrix Systems, Inc. (a)............... 169 4,571
Electronic Arts, Inc. (a).............. 275 13,849
Intuit, Inc. (a)....................... 290 8,848
McAfee, Inc. (a)....................... 137 3,888
Microsoft Corp. ....................... 8,155 243,508
Oracle Corp. (a)....................... 3,783 64,841
Red Hat, Inc. (a)...................... 171 3,933
Salesforce.com, Inc. (a)............... 84 3,062
Symantec Corp. (a)..................... 874 18,223
Synopsys, Inc. (a)..................... 127 3,395
-----------
427,513
-----------
SPECIALTY RETAIL -- 2.2%
Abercrombie & Fitch Co. ............... 80 5,570
Advance Auto Parts, Inc. .............. 105 3,734
American Eagle Outfitters, Inc. ....... 180 5,618
AutoNation, Inc. (a)................... 157 3,347
AutoZone, Inc. (a)..................... 50 5,778
Bed Bath & Beyond, Inc. (a)............ 268 10,211
Best Buy Co., Inc. .................... 365 17,954
CarMax, Inc. (a)....................... 98 5,256
Chico's FAS, Inc. (a).................. 164 3,393
Circuit City Stores, Inc. ............. 174 3,303
Foot Locker, Inc. ..................... 144 3,158
Limited Brands......................... 314 9,087
Lowe's Cos., Inc. ..................... 1,436 44,731
O'Reilly Automotive, Inc. (a).......... 104 3,334
Office Depot, Inc. (a)................. 253 9,657
PETsMART, Inc. ........................ 130 3,752
RadioShack Corp. ...................... 124 2,081
Ross Stores, Inc. ..................... 134 3,926
Sally Beauty Holdings, Inc. (a)........ 76 593
Staples, Inc. ......................... 683 18,236
The Gap, Inc. ......................... 573 11,173
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Home Depot, Inc. .................. 1,916 $ 76,947
The Sherwin-Williams Co. .............. 108 6,867
The TJX Cos., Inc. .................... 431 12,292
Tiffany & Co. ......................... 134 5,258
Urban Outfitters, Inc. (a)............. 105 2,418
Williams-Sonoma, Inc. ................. 83 2,610
-----------
280,284
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Coach, Inc. (a)........................ 343 14,735
Jones Apparel Group, Inc. ............. 108 3,610
Liz Claiborne, Inc. ................... 98 4,259
NIKE, Inc. (Class B)................... 158 15,647
Polo Ralph Lauren Corp. ............... 56 4,349
V. F. Corp. ........................... 82 6,731
-----------
49,331
-----------
THRIFTS & MORTGAGE FINANCE -- 1.5%
Astoria Financial Corp. ............... 91 2,744
Countrywide Financial Corp. ........... 564 23,942
Fannie Mae............................. 898 53,332
Freddie Mac............................ 643 43,660
Hudson City Bancorp, Inc. ............. 517 7,176
MGIC Investment Corp. ................. 84 5,253
New York Community Bancorp, Inc. ...... 248 3,993
People's Bank.......................... 56 2,499
PMI Group, Inc. ....................... 84 3,962
Radian Group, Inc. .................... 78 4,205
Sovereign Bancorp, Inc. ............... 287 7,287
Washington Mutual, Inc. ............... 887 40,350
Webster Financial Corp. ............... 48 2,338
-----------
200,741
-----------
TOBACCO -- 1.5%
Altria Group, Inc. .................... 1,936 166,148
Loews Corp.-Carolina Group............. 100 6,472
Reynolds American, Inc. ............... 160 10,475
UST, Inc. ............................. 150 8,730
-----------
191,825
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. .......................... 127 4,557
W.W. Grainger, Inc. ................... 74 5,175
-----------
9,732
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.8%
ALLTEL Corp. .......................... 348 21,047
American Tower Corp. (a)............... 390 14,539
Crown Castle International Corp. (a)... 177 5,717
NII Holdings, Inc. (a)................. 127 8,184
Sprint Nextel Corp. ................... 2,751 51,966
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Telephone & Data Systems, Inc. ........ 96 $ 5,216
US Cellular Corp. (a).................. 16 1,114
-----------
107,783
-----------
TOTAL COMMON STOCKS --
(Cost $12,037,887)................... 12,937,790
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment
Class Prime Fund
(Cost $18,516)....................... 18,516 18,516
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $12,056,403)................... 12,956,306
OTHER ASSETS AND
LIABILITIES -- 0.1%.................. 14,928
-----------
NET ASSETS -- 100.0%................... $12,971,234
===========
</Table>
(a) Non-income producing security
(b) Affiliate Issuer. (Note 3)
(c) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
9
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.6%
Alliant Techsystems, Inc. (a)........ 1,120 $ 87,573
General Dynamics Corp. .............. 10,916 811,605
KBR, Inc. (a)........................ 900 23,544
L-3 Communications Holdings, Inc. ... 3,893 318,369
Lockheed Martin Corp. ............... 10,848 998,775
Precision Castparts Corp. ........... 4,314 337,700
Raytheon Co. ........................ 14,441 762,485
Rockwell Collins, Inc. .............. 5,622 355,816
Spirit Aerosystems Holdings, Inc.
(a)................................ 1,800 60,246
United Technologies Corp. ........... 29,928 1,871,099
------------
5,627,212
------------
AIR FREIGHT & LOGISTICS -- 1.4%
C.H. Robinson Worldwide, Inc. ....... 5,540 226,531
Expeditors International Washington,
Inc. .............................. 6,795 275,198
FedEx Corp. ......................... 9,194 998,652
United Parcel Service, Inc. (Class
B)................................. 19,938 1,494,951
------------
2,995,332
------------
AIRLINES -- 0.2%
Southwest Airlines Co. .............. 25,062 383,950
UAL Corp. (a)........................ 2,897 127,468
------------
511,418
------------
AUTO COMPONENTS -- 0.1%
BorgWarner, Inc. .................... 1,843 108,774
------------
AUTOMOBILES -- 0.3%
Harley-Davidson, Inc. ............... 8,364 589,411
------------
BEVERAGES -- 2.3%
Anheuser-Busch Cos., Inc. ........... 23,326 1,147,639
Brown-Forman Corp. .................. 1,994 132,083
Constellation Brands, Inc. (Class A)
(a)................................ 6,382 185,206
PepsiCo, Inc. ....................... 53,453 3,343,485
The Pepsi Bottling Group, Inc. ...... 4,522 139,775
------------
4,948,188
------------
BIOTECHNOLOGY -- 3.4%
Amgen, Inc. (a)...................... 37,594 2,568,046
Amylin Pharmaceuticals, Inc. (a)..... 3,642 131,367
Biogen Idec, Inc. (a)................ 10,968 539,516
Celgene Corp. (a).................... 11,974 688,864
Cephalon, Inc. (a)................... 1,885 132,723
Genentech, Inc. (a).................. 14,884 1,207,539
Genzyme Corp. (a).................... 8,233 506,988
Gilead Sciences, Inc. (a)............ 14,662 952,003
MedImmune, Inc. (a).................. 7,629 246,951
Millennium Pharmaceuticals, Inc.
(a)................................ 10,181 110,973
Vertex Pharmaceuticals, Inc. (a)..... 3,733 139,689
------------
7,224,659
------------
BUILDING PRODUCTS -- 0.1%
American Standard Cos., Inc. ........ 5,324 244,105
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CAPITAL MARKETS -- 1.6%
Ameriprise Financial, Inc. .......... 6,956 $ 379,102
BlackRock, Inc. ..................... 546 82,937
E*TRADE Financial Corp. (a).......... 13,689 306,907
Eaton Vance Corp. ................... 4,077 134,582
Franklin Resources, Inc. ............ 5,457 601,198
Legg Mason, Inc. .................... 4,259 404,818
Nuveen Investments, Inc. ............ 2,529 131,205
SEI Investments Co. ................. 2,292 136,512
State Street Corp. (b)............... 10,812 729,161
T. Rowe Price Group, Inc. ........... 8,420 368,543
TD Ameritrade Holding Corp. ......... 7,837 126,803
------------
3,401,768
------------
CHEMICALS -- 1.0%
Ecolab, Inc. ........................ 5,812 262,702
Huntsman Corp. (a)................... 2,876 54,558
Monsanto Co. ........................ 17,555 922,164
Praxair, Inc. ....................... 10,559 626,465
Sigma-Aldrich Corp. ................. 1,880 146,114
The Mosaic Co. (a)................... 4,986 106,501
------------
2,118,504
------------
COMMERCIAL BANKS -- 1.1%
Commerce Bancorp, Inc. .............. 5,922 208,869
U.S. Bancorp......................... 56,640 2,049,801
------------
2,258,670
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.9%
Allied Waste Industries, Inc. (a).... 9,209 113,179
Aramark Corp. ....................... 3,892 130,187
ChoicePoint, Inc. (a)................ 2,862 112,705
Cintas Corp. ........................ 4,528 179,807
Dun & Bradstreet Corp. (a)........... 2,000 165,580
Manpower, Inc. ...................... 2,773 207,781
Monster Worldwide, Inc. (a).......... 3,673 171,309
Robert Half International, Inc. ..... 5,494 203,937
The Corporate Executive Board Co. ... 1,267 111,116
Waste Management, Inc. .............. 17,530 644,578
------------
2,040,179
------------
COMMUNICATIONS EQUIPMENT -- 4.3%
Avaya, Inc. (a)...................... 14,926 208,665
Cisco Systems, Inc. (a).............. 196,198 5,362,091
Corning, Inc. (a).................... 49,836 932,432
Harris Corp. ........................ 4,261 195,409
JDS Uniphase Corp. (a)............... 6,813 113,505
Juniper Networks, Inc. (a)........... 17,979 340,522
QUALCOMM, Inc. ...................... 53,259 2,012,658
------------
9,165,282
------------
COMPUTERS & PERIPHERALS -- 2.9%
Apple Computer, Inc. (a)............. 27,355 2,320,798
Dell, Inc. (a)....................... 64,410 1,616,047
Diebold, Inc. ....................... 2,087 97,254
EMC Corp. (a)........................ 70,981 936,949
Lexmark International, Inc. (a)...... 3,204 234,533
Network Appliance, Inc. (a).......... 11,908 467,746
QLogic Corp. (a)..................... 5,084 111,441
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SanDisk Corp. (a).................... 7,152 $ 307,751
Western Digital Corp. (a)............ 7,337 150,115
------------
6,242,634
------------
CONSTRUCTION & ENGINEERING -- 0.2%
Fluor Corp. ......................... 2,810 229,437
Jacobs Engineering Group, Inc. (a)... 1,858 151,501
------------
380,938
------------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials, Inc. ..... 1,442 149,838
------------
CONSUMER FINANCE -- 1.8%
American Express Co. ................ 34,725 2,106,766
AmeriCredit Corp. (a)................ 4,399 110,723
Capital One Financial Corp. ......... 13,160 1,010,951
SLM Corp. ........................... 13,164 642,008
Student Loan Corp. .................. 136 28,193
------------
3,898,641
------------
CONTAINERS & PACKAGING -- 0.2%
Ball Corp. .......................... 3,364 146,671
Crown Holdings, Inc. (a)............. 5,484 114,725
Pactiv Corp. (a)..................... 4,397 156,929
------------
418,325
------------
DIVERSIFIED CONSUMER SERVICES -- 0.2%
Apollo Group, Inc. (a)............... 4,586 178,716
H&R Block, Inc. ..................... 9,753 224,709
Weight Watchers International,
Inc. .............................. 1,422 74,698
------------
478,123
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
Cbot Holdings, Inc. (a).............. 1,139 172,524
Chicago Mercantile Exchange Holdings,
Inc. .............................. 1,024 521,984
Leucadia National Corp. ............. 5,145 145,089
Moody's Corp. ....................... 7,645 527,964
NYSE Group, Inc. (a)................. 1,683 163,588
------------
1,531,149
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1%
Level 3 Communications, Inc. (a)..... 31,600 176,960
------------
ELECTRIC UTILITIES -- 0.1%
Allegheny Energy, Inc. (a)........... 5,170 237,355
------------
ELECTRICAL EQUIPMENT -- 0.1%
AMETEK, Inc. ........................ 3,405 108,415
Roper Industries, Inc. .............. 2,853 143,335
------------
251,750
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.3%
Amphenol Corp. (Class A)............. 2,875 178,480
CDW Corp. ........................... 1,944 136,702
Jabil Circuit, Inc. ................. 5,942 145,876
Symbol Technologies, Inc. ........... 8,091 120,880
------------
581,938
------------
ENERGY EQUIPMENT & SERVICES -- 4.0%
Baker Hughes, Inc. .................. 10,287 768,027
BJ Services Co. ..................... 9,536 279,596
Cameron International Corp. (a)...... 3,557 188,699
Diamond Offshore Drilling, Inc. ..... 1,975 157,881
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ENSCO International, Inc. ........... 4,896 $ 245,094
FMC Technologies, Inc. (a)........... 2,211 136,264
GlobalSantaFe Corp. ................. 7,604 446,963
Grant Prideco, Inc. (a).............. 4,173 165,960
Halliburton Co. ..................... 32,403 1,006,113
Nabors Industries, Ltd. (a).......... 9,534 283,923
National-Oilwell Varco, Inc. (a)..... 5,488 335,756
Noble Corp. ......................... 4,359 331,938
Patterson-UTI Energy, Inc. .......... 5,297 123,049
Pride International, Inc. (a)........ 5,300 159,053
Rowan Cos., Inc. .................... 3,501 116,233
Schlumberger, Ltd. .................. 37,995 2,399,764
Smith International, Inc. ........... 6,773 278,167
Transocean, Inc. (a)................. 9,449 764,330
Weatherford International, Ltd.
(a)................................ 11,087 463,326
------------
8,650,136
------------
FOOD & STAPLES RETAILING -- 3.7%
Costco Wholesale Corp. .............. 14,750 779,832
CVS Corp. ........................... 26,226 810,646
Sysco Corp. ......................... 20,075 737,957
Wal-Mart Stores, Inc. ............... 83,150 3,839,867
Walgreen Co. ........................ 32,457 1,489,452
Whole Foods Market, Inc. ............ 4,476 210,059
------------
7,867,813
------------
FOOD PRODUCTS -- 0.8%
Archer-Daniels-Midland Co. .......... 19,389 619,672
Bunge, Ltd. ......................... 3,938 285,544
Dean Foods Co. (a)................... 4,260 180,113
The Hershey Co. ..................... 5,327 265,285
Wm. Wrigley Jr., Co. ................ 7,336 379,418
------------
1,730,032
------------
GAS UTILITIES -- 0.2%
Equitable Resources, Inc. ........... 3,627 151,427
ONEOK, Inc. ......................... 3,495 150,705
Questar Corp. ....................... 2,702 224,401
------------
526,533
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4%
Bausch & Lomb, Inc. ................. 1,794 93,396
Baxter International, Inc. .......... 21,182 982,633
Beckman Coulter, Inc. ............... 1,975 118,105
Becton, Dickinson & Co. ............. 7,335 514,550
Biomet, Inc. ........................ 7,279 300,404
Boston Scientific Corp. (a).......... 43,995 755,834
C.R. Bard, Inc. ..................... 3,341 277,203
Cytyc Corp. (a)...................... 3,686 104,314
Dade Behring Holdings, Inc. ......... 2,755 109,676
Dentsply International, Inc. ........ 4,594 137,131
Hospira, Inc. (a).................... 4,982 167,296
Medtronic, Inc. ..................... 37,048 1,982,438
St. Jude Medical, Inc. (a)........... 11,246 411,154
Stryker Corp. ....................... 8,899 490,424
Varian Medical Systems, Inc. (a)..... 4,133 196,607
Zimmer Holdings, Inc. (a)............ 7,893 618,653
------------
7,259,818
------------
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HEALTH CARE PROVIDERS & SERVICES -- 4.9%
Aetna, Inc. ......................... 16,859 $ 727,972
AmerisourceBergen Corp. ............. 6,425 288,868
Brookdale Senior Living, Inc. ....... 1,636 78,528
Cardinal Health, Inc. ............... 13,108 844,548
Caremark Rx, Inc. ................... 13,702 782,521
Community Health Systems, Inc. (a)... 3,098 113,139
Coventry Health Care, Inc. (a)....... 5,164 258,458
DaVita, Inc. (a)..................... 3,305 187,988
Express Scripts, Inc. (Class A)
(a)................................ 3,712 265,779
Health Management Associates,
Inc. .............................. 7,648 161,449
Health Net, Inc. (a)................. 3,706 180,334
Henry Schein, Inc. (a)............... 2,859 140,034
Humana, Inc. (a)..................... 5,245 290,101
Laboratory Corp. of America Holdings
(a)................................ 3,977 292,190
Lincare Holdings, Inc. (a)........... 2,989 119,082
Manor Care, Inc. .................... 2,354 110,450
McKesson Corp. ...................... 9,694 491,486
Medco Health Solutions, Inc. (a)..... 9,370 500,733
Omnicare, Inc. ...................... 3,968 153,284
Patterson Cos., Inc. (a)............. 4,187 148,680
Quest Diagnostics, Inc. ............. 4,872 258,216
Triad Hospitals, Inc. (a)............ 2,856 119,467
UnitedHealth Group, Inc. ............ 43,447 2,334,407
Universal Health Services, Inc.
(Class B).......................... 1,611 89,298
WellPoint, Inc. (a).................. 19,861 1,562,862
------------
10,499,874
------------
HEALTH CARE TECHNOLOGY -- 0.1%
IMS Health, Inc. .................... 6,461 177,548
------------
HOTELS RESTAURANTS & LEISURE -- 2.6%
Boyd Gaming Corp. ................... 1,968 89,170
Brinker International, Inc. ......... 3,953 119,222
Darden Restaurants, Inc. ............ 4,269 171,486
Harrah's Entertainment, Inc. ........ 5,935 490,943
Hilton Hotels Corp. ................. 11,526 402,257
International Game Technology........ 10,730 495,726
International Speedway Corp. (Class
A)................................. 1,174 59,921
Las Vegas Sands Corp. (a)............ 3,391 303,427
Marriott International, Inc. (Class
A)................................. 11,254 537,041
MGM Mirage, Inc. (a)................. 3,905 223,952
Penn National Gaming, Inc. (a)....... 2,375 98,848
Starbucks Corp. (a).................. 24,700 874,874
Starwood Hotels & Resorts Worldwide,
Inc. .............................. 6,983 436,437
Station Casinos, Inc. ............... 1,414 115,481
Wendy's International, Inc. ......... 3,110 102,910
Wyndham Worldwide Corp. (a).......... 6,379 204,256
Wynn Resorts, Ltd. .................. 2,444 229,369
Yum! Brands, Inc. ................... 8,720 512,736
------------
5,468,056
------------
HOUSEHOLD DURABLES -- 1.0%
Centex Corp. ........................ 3,777 212,532
D.R. Horton, Inc. ................... 8,712 230,781
Fortune Brands, Inc. ................ 4,801 409,957
Garmin, Ltd. ........................ 3,726 207,389
Harman International Industries,
Inc. .............................. 1,962 196,024
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Lennar Corp. (Class A)............... 4,374 $ 229,460
Mohawk Industries, Inc. (a).......... 1,740 130,256
NVR, Inc. (a)........................ 165 106,425
Pulte Homes, Inc. ................... 6,774 224,355
Toll Brothers, Inc. (a).............. 3,692 118,993
------------
2,066,172
------------
HOUSEHOLD PRODUCTS -- 3.8%
Colgate-Palmolive Co. ............... 16,723 1,091,009
Energizer Holdings, Inc. (a)......... 1,717 121,890
Procter & Gamble Co. ................ 102,179 6,567,044
The Clorox Co. ...................... 4,849 311,063
------------
8,091,006
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2%
The AES Corp. (a).................... 20,905 460,746
------------
INDUSTRIAL CONGLOMERATES -- 0.9%
3M Co. .............................. 21,772 1,696,692
McDermott International, Inc. (a).... 3,487 177,349
------------
1,874,041
------------
INSURANCE -- 3.7%
AFLAC, Inc. ......................... 16,325 750,950
Arch Capital Group, Ltd. (a)......... 1,331 89,989
Assurant, Inc. ...................... 3,460 191,165
Axis Capital Holdings, Ltd. ......... 4,544 151,633
Berkshire Hathaway, Inc. (Class A)
(a)................................ 33 3,629,670
Brown & Brown, Inc. ................. 3,678 103,757
First American Corp. ................ 2,718 110,568
Markel Corp. (a)..................... 312 149,791
Principal Financial Group, Inc. ..... 8,582 503,764
Protective Life Corp. ............... 1,998 94,905
Prudential Financial, Inc. .......... 15,626 1,341,648
The Progressive Corp. ............... 23,022 557,593
WR Berkley Corp. .................... 5,896 203,471
------------
7,878,904
------------
INTERNET & CATALOG RETAIL -- 0.6%
Amazon.com, Inc. (a)................. 9,632 380,079
Expedia, Inc. (a).................... 9,071 190,309
IAC/InterActiveCorp (a).............. 7,081 263,130
Liberty Media Holding Corp. --
Interactive (Class A) (a).......... 21,210 457,500
------------
1,291,018
------------
INTERNET SOFTWARE & SERVICES -- 2.7%
Akamai Technologies, Inc. (a)........ 4,914 261,032
eBay, Inc. (a)....................... 33,966 1,021,357
Google, Inc. (Class A) (a)........... 7,150 3,292,432
VeriSign, Inc. (a)................... 7,816 187,975
Yahoo!, Inc. (a)..................... 41,695 1,064,890
------------
5,827,686
------------
IT SERVICES -- 2.5%
Accenture, Ltd. (Class A)............ 17,612 650,411
Affiliated Computer Services, Inc.
(a)................................ 3,588 175,238
Alliance Data Systems Corp. (a)...... 2,144 133,936
Automatic Data Processing, Inc. ..... 17,786 875,960
Ceridian Corp. (a)................... 4,431 123,979
Checkfree Corp. (a).................. 2,473 99,316
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Cognizant Technology Solutions
Corp. (a).......................... 4,500 $ 347,220
DST Systems, Inc. (a)................ 1,776 111,231
Fidelity National Information
Services, Inc. .................... 9,167 367,505
First Data Corp. .................... 24,364 621,769
Fiserv, Inc. (a)..................... 5,681 297,798
Global Payments, Inc. ............... 2,636 122,047
Iron Mountain, Inc. (a).............. 3,934 162,632
Mastercard, Inc. .................... 1,998 196,783
Paychex, Inc. ....................... 10,915 431,579
The Western Union Co. ............... 24,364 546,241
Total System Services, Inc. ......... 1,233 32,539
------------
5,296,184
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
Applera Corp. -- Applied Biosystems
Group.............................. 5,843 214,380
Charles River Laboratories
International, Inc. (a)............ 2,174 94,025
Covance, Inc. (a).................... 2,057 121,178
Invitrogen Corp. (a)................. 1,678 94,958
Millipore Corp. (a).................. 1,664 110,822
Pharmaceutical Product Development,
Inc. .............................. 3,445 110,998
Thermo Electron Corp. (a)............ 12,932 585,690
Waters Corp. (a)..................... 3,315 162,336
------------
1,494,387
------------
MACHINERY -- 2.0%
Caterpillar, Inc. ................... 21,003 1,288,114
Cummins, Inc. ....................... 1,503 177,625
Danaher Corp. ....................... 7,682 556,484
Donaldson Co., Inc. ................. 2,406 83,512
Graco, Inc. ......................... 2,266 89,779
Illinois Tool Works, Inc. ........... 15,834 731,372
ITT Industries, Inc. ................ 5,886 334,443
Joy Global, Inc. .................... 3,942 190,556
Oshkosh Truck Corp. ................. 2,272 110,010
PACCAR, Inc. ........................ 7,974 517,513
Terex Corp. (a)...................... 3,197 206,462
------------
4,285,870
------------
MEDIA -- 6.3%
Cablevision Systems Corp. (Class
A)................................. 7,400 210,752
Clear Channel Communications,
Inc. .............................. 14,627 519,844
Clear Channel Outdoor Holdings, Inc.
(a)................................ 1,190 33,213
Comcast Corp. (Class A) (a).......... 64,043 2,710,940
Discovery Holding Co. (Class A)
(a)................................ 8,783 141,318
EchoStar Communications Corp. (Class
A) (a)............................. 6,661 253,318
EW Scripps Co. ...................... 2,691 134,389
Getty Images, Inc. (a)............... 1,593 68,212
Lamar Advertising Co. (a)............ 2,342 153,143
Liberty Global, Inc. (Class A) (a)... 12,872 375,219
Liberty Media Holding
Corp. -- Capital (Series A) (a).... 4,507 441,596
News Corp. (Class A)................. 75,804 1,628,270
NTL, Inc. ........................... 8,727 220,269
Omnicom Group, Inc. ................. 5,435 568,175
R.H. Donnelley Corp. ................ 2,287 143,464
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Sirius Satellite Radio, Inc. (a)..... 40,218 $ 142,372
The DIRECTV Group, Inc. (a).......... 25,706 641,108
The McGraw-Hill Cos., Inc. .......... 11,417 776,584
The Washington Post Co. ............. 182 135,699
Time Warner, Inc. ................... 131,062 2,854,530
Univision Communications, Inc. (a)... 7,635 270,432
Viacom, Inc. (a)..................... 20,674 848,254
XM Satellite Radio Holdings, Inc.
(Class A) (a)...................... 8,441 121,972
------------
13,393,073
------------
METALS & MINING -- 0.9%
Allegheny Technologies, Inc. ........ 3,017 273,582
Freeport-McMoRan Copper & Gold,
Inc. .............................. 6,391 356,170
Newmont Mining Corp. ................ 14,522 655,668
Nucor Corp. ......................... 9,019 492,979
Titanium Metals Corp. (a)............ 2,559 75,516
------------
1,853,915
------------
MULTI-UTILITIES -- 0.5%
PG&E Corp. .......................... 11,012 521,198
Public Service Enterprise Group,
Inc. .............................. 8,009 531,637
------------
1,052,835
------------
MULTILINE RETAIL -- 1.9%
Dollar General Corp. ................ 9,914 159,219
Dollar Tree Stores, Inc. (a)......... 3,363 101,226
Family Dollar Stores, Inc. .......... 4,490 131,692
Federated Department Stores, Inc. ... 17,851 680,658
J. C. Penney Co., Inc. .............. 6,509 503,536
Kohl's Corp. (a)..................... 9,383 642,079
Nordstrom, Inc. ..................... 6,950 342,913
Target Corp. ........................ 24,978 1,424,995
------------
3,986,318
------------
OIL, GAS & CONSUMABLE FUELS -- 3.4%
Anadarko Petroleum Corp. ............ 14,923 649,449
Apache Corp. ........................ 10,661 709,063
Arch Coal, Inc. ..................... 4,646 139,519
Chesapeake Energy Corp. ............. 13,025 378,376
CNX Gas Corp. (a).................... 903 23,026
CONSOL Energy, Inc. ................. 5,897 189,471
Devon Energy Corp. .................. 13,464 903,165
EOG Resources, Inc. ................. 7,709 481,427
Kinder Morgan, Inc. ................. 3,469 366,847
Murphy Oil Corp. .................... 5,743 292,032
Newfield Exploration Co. (a)......... 4,158 191,060
Peabody Energy Corp. ................ 8,429 340,616
Pioneer Natural Resources Co. ....... 4,034 160,109
Plains Exploration & Production Co.
(a)................................ 2,452 116,544
Pogo Producing Co. .................. 1,679 81,331
Range Resources Corp. ............... 4,397 120,742
Southwestern Energy Co. (a).......... 5,329 186,781
Sunoco, Inc. ........................ 4,156 259,168
Ultra Petroleum Corp. (a)............ 4,873 232,686
Valero Energy Corp. ................. 19,522 998,746
XTO Energy, Inc. .................... 11,606 546,062
------------
7,366,220
------------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PERSONAL PRODUCTS -- 0.3%
Alberto Culver Co. (a)............... 2,673 $ 57,336
Avon Products, Inc. ................. 14,507 479,311
The Estee Lauder Cos., Inc. (Class
A)................................. 3,975 162,260
------------
698,907
------------
PHARMACEUTICALS -- 5.3%
Abraxis BioScience, Inc. (a)......... 737 20,150
Allergan, Inc. ...................... 4,988 597,263
Barr Pharmaceuticals, Inc. (a)....... 3,307 165,747
Endo Pharmaceuticals Holdings, Inc.
(a)................................ 4,271 117,794
Forest Laboratories, Inc. (a)........ 10,221 517,183
Johnson & Johnson.................... 93,453 6,169,767
Mylan Laboratories, Inc. ............ 6,702 133,772
Schering-Plough Corp. ............... 47,429 1,121,221
Sepracor, Inc. (a)................... 3,497 215,345
Warner Chilcott, Ltd. (a)............ 2,253 31,136
Watson Pharmaceuticals, Inc. (a)..... 3,261 84,884
Wyeth................................ 43,040 2,191,597
------------
11,365,859
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
Boston Properties, Inc. ............. 3,647 408,026
CapitalSource, Inc. ................. 3,986 108,858
General Growth Properties, Inc. ..... 7,362 384,517
Public Storage, Inc. ................ 4,051 394,972
Simon Property Group, Inc. .......... 7,140 723,211
SL Green Realty Corp. ............... 1,452 192,797
Vornado Realty Trust................. 4,192 509,328
------------
2,721,709
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3%
Brookfield Properties Corp. ......... 3,867 152,089
CB Richard Ellis Group, Inc. (Class
A) (a)............................. 6,518 216,398
Realogy Corp. (a).................... 6,936 210,300
The St. Joe Co. ..................... 2,513 134,621
------------
713,408
------------
ROAD & RAIL -- 0.4%
Hertz Global Holdings, Inc. (a)...... 2,800 48,692
J.B. Hunt Transport Services,
Inc. .............................. 3,455 71,760
Norfolk Southern Corp. .............. 12,741 640,745
------------
761,197
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.1%
Advanced Micro Devices, Inc. (a)..... 17,317 352,401
Altera Corp. (a)..................... 11,427 224,883
Analog Devices, Inc. ................ 11,516 378,531
Applied Materials, Inc. ............. 44,453 820,158
Broadcom Corp. (Class A) (a)......... 14,076 454,796
International Rectifier Corp. (a).... 2,270 87,463
Intersil Corp. (Class A)............. 4,515 107,999
KLA-Tencor Corp. .................... 6,364 316,609
Lam Research Corp. (a)............... 4,546 230,118
Linear Technology Corp. ............. 9,682 293,558
Marvell Technology Group, Ltd. (a)... 14,674 281,594
Maxim Integrated Products, Inc. ..... 10,303 315,478
MEMC Electronic Materials, Inc.
(a)................................ 5,434 212,687
Microchip Technology, Inc. .......... 6,714 219,548
National Semiconductor Corp. ........ 10,334 234,582
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Novellus Systems, Inc. (a)........... 4,058 $ 139,676
NVIDIA Corp. (a)..................... 11,376 421,026
Texas Instruments, Inc. ............. 47,862 1,378,426
Xilinx, Inc. ........................ 10,825 257,743
------------
6,727,276
------------
SOFTWARE -- 5.5%
Activision, Inc. (a)................. 8,880 153,091
Adobe Systems, Inc. (a).............. 18,767 771,699
Autodesk, Inc. (a)................... 7,372 298,271
BEA Systems, Inc. (a)................ 12,596 158,458
Citrix Systems, Inc. (a)............. 5,839 157,945
Electronic Arts, Inc. (a)............ 9,701 488,542
Intuit, Inc. (a)..................... 9,995 304,948
McAfee, Inc. (a)..................... 5,074 144,000
Microsoft Corp. ..................... 282,117 8,424,014
Red Hat, Inc. (a).................... 6,007 138,161
Salesforce.com, Inc. (a)............. 2,760 100,602
Symantec Corp. (a)................... 30,199 629,649
------------
11,769,380
------------
SPECIALTY RETAIL -- 4.2%
Abercrombie & Fitch Co. ............. 2,814 195,939
Advance Auto Parts, Inc. ............ 3,378 120,122
American Eagle Outfitters, Inc. ..... 6,124 191,130
AutoNation, Inc. (a)................. 5,063 107,943
AutoZone, Inc. (a)................... 1,716 198,301
Bed Bath & Beyond, Inc. (a).......... 9,001 342,938
Best Buy Co., Inc. .................. 12,725 625,943
CarMax, Inc. (a)..................... 3,456 185,345
Chico's FAS, Inc. (a)................ 5,798 119,961
Foot Locker, Inc. ................... 5,114 112,150
Lowe's Cos., Inc. ................... 49,772 1,550,398
O'Reilly Automotive, Inc. (a)........ 3,666 117,532
Office Depot, Inc. (a)............... 9,031 344,713
PETsMART, Inc. ...................... 4,464 128,831
Ross Stores, Inc. ................... 4,574 134,018
Sally Beauty Holdings, Inc. (a)...... 2,673 20,849
Staples, Inc. ....................... 23,324 622,751
The Gap, Inc. ....................... 19,621 382,609
The Home Depot, Inc. ................ 66,599 2,674,616
The TJX Cos., Inc. .................. 14,603 416,478
Tiffany & Co. ....................... 4,492 176,266
Urban Outfitters, Inc. (a)........... 3,846 88,573
Williams-Sonoma, Inc. ............... 3,058 96,144
------------
8,953,550
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.6%
Coach, Inc. (a)...................... 11,668 501,257
Liz Claiborne, Inc. ................. 3,317 144,157
NIKE, Inc. (Class B)................. 5,348 529,612
Polo Ralph Lauren Corp. ............. 1,919 149,030
------------
1,324,056
------------
THRIFTS & MORTGAGE FINANCE -- 0.5%
Countrywide Financial Corp. ......... 19,670 834,991
Hudson City Bancorp, Inc. ........... 16,868 234,128
------------
1,069,119
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. ........................ 4,558 163,541
------------
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
WIRELESS TELECOMMUNICATION SERVICES -- 1.4%
American Tower Corp. (a)............. 13,426 $ 500,521
Crown Castle International Corp.
(a)................................ 6,425 207,528
NII Holdings, Inc. (a)............... 4,450 286,758
Sprint Nextel Corp. ................. 95,708 1,807,924
Telephone & Data Systems, Inc. ...... 3,268 177,550
US Cellular Corp. (a)................ 446 31,037
------------
3,011,318
------------
TOTAL COMMON STOCKS --
(Cost $195,188,936)................ 213,258,658
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
AIM Short Term Investment
Class Prime Fund
(Cost $330,848).................... 330,848 $ 330,848
------------
TOTAL INVESTMENTS -- 99.9%
(Cost $195,519,784)................ 213,589,506
------------
OTHER ASSETS AND
LIABILITIES -- 0.1%................ 154,194
------------
NET ASSETS -- 100.0%................. $213,743,700
============
</Table>
(a) Non-income producing security
(b) Affiliated Issuer. (Note 3)
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 1.7%
Boeing Co. .......................... 15,075 $ 1,339,263
Goodrich Corp. ...................... 2,534 115,424
Honeywell International, Inc. ....... 15,971 722,528
Northrop Grumman Corp. .............. 6,787 459,480
------------
2,636,695
------------
AIRLINES -- 0.1%
AMR Corp. (a)........................ 4,092 123,701
------------
AUTO COMPONENTS -- 0.2%
Johnson Controls, Inc. .............. 4,134 355,193
------------
AUTOMOBILES -- 0.4%
Ford Motor Co. ...................... 39,867 299,401
General Motors Corp. ................ 10,208 313,590
------------
612,991
------------
BEVERAGES -- 1.6%
Coca-Cola Enterprises, Inc. ......... 5,708 116,557
Molson Coors Brewing Co. ............ 1,452 110,991
The Coca-Cola Co. ................... 45,609 2,200,634
------------
2,428,182
------------
BUILDING PRODUCTS -- 0.2%
Masco Corp. ......................... 8,386 250,490
USG Corp. (a)........................ 1,601 87,735
------------
338,225
------------
CAPITAL MARKETS -- 5.3%
A.G. Edwards, Inc. .................. 1,596 101,011
AllianceBernstein Holding LP......... 582 46,793
Federated Investors, Inc. ........... 2,206 74,519
Goldman Sachs Group, Inc. ........... 7,703 1,535,593
Janus Capital Group, Inc. ........... 4,471 96,529
Lehman Brothers Holdings, Inc. ...... 11,190 874,163
Mellon Financial Corp. .............. 8,660 365,019
Merrill Lynch & Co., Inc. ........... 18,657 1,736,967
Morgan Stanley....................... 20,409 1,661,905
Northern Trust Corp. ................ 4,108 249,314
The Bank of New York Co., Inc. ...... 15,846 623,857
The Bear Stearns Cos., Inc. ......... 2,372 386,114
The Charles Schwab Corp. ............ 21,783 421,283
------------
8,173,067
------------
CHEMICALS -- 1.9%
Air Products & Chemicals, Inc. ...... 4,374 307,405
Ashland, Inc. ....................... 1,166 80,664
E. I. du Pont de Nemours & Co. ...... 19,462 947,994
Eastman Chemical Co. ................ 1,715 101,717
International Flavors & Fragrances,
Inc. .............................. 1,728 84,948
Lubrizol Corp. ...................... 1,552 77,802
Lyondell Chemical Co. ............... 4,854 124,117
PPG Industries, Inc. ................ 3,507 225,184
Rohm & Haas Co. ..................... 3,143 160,670
The Dow Chemical Co. ................ 20,377 813,857
------------
2,924,358
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMERCIAL BANKS -- 6.8%
Associated Bancorp................... 2,638 $ 92,014
Bank of Hawaii Corp. ................ 1,062 57,295
BB&T Corp. .......................... 11,445 502,779
City National Corp. ................. 901 64,151
Colonial BancGroup, Inc. ............ 3,097 79,717
Comerica, Inc. ...................... 3,468 203,502
Commerce Bancshares, Inc. ........... 1,461 70,705
Compass Bancshares, Inc. ............ 2,661 158,729
Fifth Third Bancorp.................. 9,874 404,143
First Horizon National Corp. ........ 2,537 105,996
Fulton Financial Corp. .............. 3,430 57,281
Huntington Bancshares, Inc. ......... 4,923 116,921
Keycorp.............................. 8,609 327,400
M&T Bank Corp. ...................... 1,704 208,161
Marshall & Ilsley Corp. ............. 5,088 244,784
Mercantile Bankshares Corp. ......... 2,741 128,251
National City Corp. ................. 12,788 467,529
PNC Financial Services Group......... 6,274 464,527
Popular, Inc. ....................... 5,158 92,586
Regions Financial Corp. ............. 15,472 578,653
Sky Financial Group, Inc. ........... 2,167 61,846
SunTrust Banks, Inc. ................ 7,407 625,521
Synovus Financial Corp. ............. 5,590 172,340
TCF Financial Corp. ................. 2,543 69,729
TD Banknorth, Inc. .................. 2,304 74,373
UnionBanCal Corp. ................... 1,182 72,398
Valley National Bancorp.............. 2,383 63,173
Wachovia Corp. ...................... 40,481 2,305,393
Wells Fargo & Co. ................... 66,847 2,377,079
Zions Bancorp........................ 2,244 184,995
------------
10,431,971
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.5%
Avery Dennison Corp. ................ 2,003 136,064
Equifax, Inc. ....................... 2,657 107,874
Pitney Bowes, Inc. .................. 4,647 214,645
R.R. Donnelley & Sons Co. ........... 4,710 167,393
Republic Services, Inc. ............. 2,404 97,771
------------
723,747
------------
COMMUNICATIONS EQUIPMENT -- 0.8%
Comverse Technology, Inc. (a)........ 4,257 89,865
Motorola, Inc. ...................... 50,887 1,046,237
Tellabs, Inc. (a).................... 8,521 87,425
------------
1,223,527
------------
COMPUTERS & PERIPHERALS -- 4.1%
Hewlett-Packard Co. ................. 57,774 2,379,711
International Business Machines
Corp. ............................. 31,857 3,094,907
NCR Corp. (a)........................ 3,939 168,432
Seagate Technology................... 12,128 321,392
Sun Microsystems, Inc. (a)........... 74,136 401,817
------------
6,366,259
------------
CONSTRUCTION MATERIALS -- 0.1%
Vulcan Materials Co. ................ 1,849 166,170
------------
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CONTAINERS & PACKAGING -- 0.3%
Bemis Co., Inc. ..................... 2,148 $ 72,989
Sealed Air Corp. .................... 1,718 111,532
Smurfit-Stone Container Corp. (a).... 5,107 53,930
Sonoco Products Co. ................. 2,010 76,501
Temple-Inland, Inc. ................. 2,267 104,350
------------
419,302
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. ................... 3,587 170,131
------------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
The Service Master Co. .............. 5,906 77,428
------------
DIVERSIFIED FINANCIAL SERVICES -- 9.6%
Bank of America Corp. ............... 95,026 5,073,438
CIT Group, Inc. ..................... 4,213 234,959
Citigroup, Inc. ..................... 105,225 5,861,032
JPMorgan Chase & Co. ................ 73,589 3,554,349
Nymex Holdings, Inc. (a)............. 100 12,401
------------
14,736,179
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 5.1%
AT&T, Inc. .......................... 81,133 2,900,505
BellSouth Corp. ..................... 38,840 1,829,752
CenturyTel, Inc. .................... 2,265 98,890
Citizens Communications Co. ......... 6,759 97,127
Embarq Corp. ........................ 3,188 167,561
Qwest Communications International,
Inc. (a)........................... 33,112 277,147
Verizon Communications, Inc. ........ 61,432 2,287,728
Windstream Corp. (a)................. 10,176 144,703
------------
7,803,413
------------
ELECTRIC UTILITIES -- 3.4%
American Electric Power Co., Inc. ... 8,419 358,481
DPL, Inc. ........................... 2,410 66,950
Duke Energy Corp. ................... 26,441 878,106
Edison International................. 6,247 284,113
Entergy Corp. ....................... 4,431 409,070
Exelon Corp. ........................ 14,171 877,043
FirstEnergy Corp. ................... 6,727 405,638
FPL Group, Inc. ..................... 7,931 431,605
Northeast Utilities.................. 3,191 89,859
Pepco Holdings, Inc. ................ 3,971 103,286
Pinnacle West Capital Corp. ......... 2,208 111,923
PPL Corp. ........................... 7,927 284,104
Progress Energy, Inc. ............... 5,427 266,357
Reliant Energy, Inc. (a)............. 6,369 90,503
The Southern Co. .................... 15,659 577,191
------------
5,234,229
------------
ELECTRICAL EQUIPMENT -- 0.8%
American Power Conversion Corp. ..... 3,723 113,886
Cooper Industries, Ltd. ............. 2,127 192,345
Emerson Electric Co. ................ 16,842 742,564
Hubbell, Inc. (Class B).............. 1,191 53,845
Rockwell Automation, Inc. ........... 3,310 202,175
------------
1,304,815
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.4%
Agilent Technologies, Inc. (a)....... 8,887 $ 309,712
Arrow Electronics, Inc. (a).......... 2,529 79,790
Ingram Micro, Inc. (Class A) (a)..... 3,031 61,863
Molex, Inc. ......................... 2,918 92,296
Solectron Corp. (a).................. 19,225 61,904
------------
605,565
------------
FOOD & STAPLES RETAILING -- 0.5%
Safeway, Inc. ....................... 9,318 322,030
SUPERVALU, Inc. ..................... 4,579 163,699
The Kroger Co. ...................... 14,375 331,632
------------
817,361
------------
FOOD PRODUCTS -- 1.5%
Campbell Soup Co. ................... 4,952 192,583
ConAgra Foods, Inc. ................. 10,995 296,865
General Mills, Inc. ................. 7,357 423,763
H.J. Heinz Co. ...................... 6,561 295,311
Hormel Foods Corp. .................. 1,479 55,226
Kellogg Co. ......................... 5,300 265,318
Kraft Foods, Inc. ................... 5,428 193,779
McCormick & Co., Inc. ............... 2,409 92,891
Sara Lee Corp. ...................... 15,962 271,833
Smithfield Foods, Inc. (a)........... 2,452 62,918
Tyson Foods, Inc. (Class A).......... 4,828 79,421
------------
2,229,908
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.0% (B)
Hillenbrand Industries, Inc. ........ 1,200 68,316
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.2%
CIGNA Corp. ......................... 2,121 279,060
Tenet Healthcare Corp. (a)........... 9,517 66,333
------------
345,393
------------
HOTELS RESTAURANTS & LEISURE -- 1.1%
Carnival Corp. ...................... 8,986 440,763
McDonald's Corp. .................... 25,994 1,152,314
Royal Caribbean Cruises, Ltd. ....... 2,882 119,257
------------
1,712,334
------------
HOUSEHOLD DURABLES -- 0.4%
Black & Decker Corp. ................ 1,423 113,797
KB HOME.............................. 1,715 87,945
Leggett & Platt, Inc. ............... 3,845 91,896
Newell Rubbermaid, Inc. ............. 5,719 165,565
The Stanley Works.................... 1,715 86,248
Whirlpool Corp. ..................... 1,614 133,994
------------
679,445
------------
HOUSEHOLD PRODUCTS -- 0.4%
Kimberly-Clark Corp. ................ 9,709 659,727
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.7%
Constellation Energy Group, Inc. .... 3,718 256,059
Mirant Corp. (a)..................... 5,469 172,656
NRG Energy, Inc. (a)................. 2,602 145,738
TXU Corp. ........................... 9,774 529,849
------------
1,104,302
------------
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INDUSTRIAL CONGLOMERATES -- 6.3%
General Electric Co. ................ 219,745 $ 8,176,712
Textron, Inc. ....................... 2,255 211,451
Tyco International, Ltd. ............ 42,993 1,306,987
------------
9,695,150
------------
INSURANCE -- 7.0%
ACE, Ltd. ........................... 6,862 415,631
Ambac Financial Group, Inc. ......... 2,248 200,229
American International Group,
Inc. .............................. 48,280 3,459,745
Aon Corp. ........................... 5,796 204,831
Arthur J. Gallagher & Co. ........... 1,899 56,115
Chubb Corp. ......................... 8,745 462,698
Cincinnati Financial Corp. .......... 3,288 148,979
CNA Financial Corp. (a).............. 294 11,854
Conseco, Inc. (a).................... 3,088 61,698
Everest Re Group, Ltd. .............. 1,334 130,879
Fidelity National Title Group,
Inc. .............................. 4,502 107,508
Genworth Financial, Inc. (Class A)... 9,692 331,563
Lincoln National Corp. .............. 5,924 393,354
Loews Corp. ......................... 9,882 409,807
Marsh & McLennan Cos., Inc. ......... 11,620 356,269
MBIA, Inc. .......................... 2,788 203,691
MetLife, Inc. ....................... 9,726 573,931
Nationwide Financial Services, Inc.
(Class A).......................... 1,189 64,444
Old Republic International Corp. .... 4,356 101,408
SAFECO Corp. ........................ 2,505 156,688
The Allstate Corp. .................. 13,139 855,480
The Hartford Financial Services
Group, Inc. ....................... 6,653 620,791
The St. Paul Travelers Cos., Inc. ... 14,657 786,934
Torchmark Corp. ..................... 2,110 134,534
Transatlantic Holdings, Inc. ........ 605 37,571
Unitrin, Inc. ....................... 928 46,502
UnumProvident Corp. ................. 7,315 152,006
White Mountains Insurance Group,
Ltd. .............................. 155 89,812
XL Capital, Ltd. (Class A)........... 3,765 271,155
------------
10,846,107
------------
IT SERVICES -- 0.4%
Computer Sciences Corp. (a).......... 3,704 197,683
Electronic Data Systems Corp. ....... 10,988 302,719
Sabre Holdings Corp. (Class A)....... 2,781 88,686
------------
589,088
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Brunswick Corp. ..................... 1,983 63,258
Eastman Kodak Co. ................... 6,013 155,135
Hasbro, Inc. ........................ 3,172 86,437
Mattel, Inc. ........................ 8,158 184,860
------------
489,690
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MACHINERY -- 1.0%
Deere & Co. ......................... 4,963 $ 471,832
Dover Corp. ......................... 4,350 213,237
Eaton Corp. ......................... 3,173 238,419
Ingersoll-Rand Co., Ltd. (Class A)... 6,421 251,254
Pall Corp. .......................... 2,541 87,792
Parker-Hannifin Corp. ............... 2,519 193,661
Pentair, Inc. ....................... 2,026 63,616
SPX Corp. ........................... 1,224 74,860
------------
1,594,671
------------
MEDIA -- 1.6%
CBS Corp. ........................... 14,578 454,542
Gannett Co., Inc. ................... 4,899 296,193
Idearc, Inc. (a)..................... 3,041 87,125
The Interpublic Group of Cos., Inc.
(a)................................ 9,570 117,137
The New York Times Co. (Class A)..... 2,952 71,911
The Walt Disney Co. ................. 40,898 1,401,574
Tribune Co. ......................... 2,843 87,508
------------
2,515,990
------------
METALS & MINING -- 0.9%
Alcoa, Inc. ......................... 18,480 554,585
Phelps Dodge Corp. .................. 4,274 511,683
Southern Copper Corp. ............... 1,574 84,823
United States Steel Corp. ........... 2,621 191,700
------------
1,342,791
------------
MULTI-UTILITIES -- 1.8%
Alliant Energy Corp. ................ 2,410 91,026
Ameren Corp. ........................ 4,270 229,427
CenterPoint Energy, Inc. ............ 6,013 99,695
Consolidated Edison, Inc. ........... 5,134 246,791
Dominion Resources, Inc. ............ 7,487 627,710
DTE Energy Co. ...................... 3,718 179,988
Energy East Corp. ................... 2,961 73,433
KeySpan Corp. ....................... 3,700 152,366
MDU Resources Group, Inc. ........... 3,415 87,561
NiSource, Inc. ...................... 5,698 137,322
NSTAR................................ 2,153 73,977
SCANA Corp. ......................... 2,135 86,724
Sempra Energy........................ 4,881 273,531
TECO Energy, Inc. ................... 4,372 75,330
Wisconsin Energy Corp. .............. 2,402 113,999
Xcel Energy, Inc. ................... 8,368 192,966
------------
2,741,846
------------
MULTILINE RETAIL -- 0.2%
Sears Holdings Corp. (a)............. 1,985 333,341
------------
OFFICE ELECTRONICS -- 0.2%
Xerox Corp. (a)...................... 20,163 341,763
------------
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
OIL, GAS & CONSUMABLE FUELS -- 11.9%
Chevron Corp. ....................... 46,575 $ 3,424,660
ConocoPhillips....................... 32,633 2,347,944
El Paso Corp. ....................... 14,988 229,017
Energy Transfer Partners LP.......... 1,562 84,504
Enterprise Products Partners LP...... 5,554 160,955
Exxon Mobil Corp. ................... 123,270 9,446,180
Hess Corp. .......................... 5,308 263,117
Kinder Morgan Energy Partners LP..... 2,939 140,778
Marathon Oil Corp. .................. 7,432 687,460
Noble Energy, Inc. .................. 3,709 182,001
Occidental Petroleum Corp. .......... 17,983 878,110
ONEOK Partners LP.................... 953 60,363
Tesoro Corp. ........................ 1,454 95,630
The Williams Cos., Inc. ............. 12,665 330,810
------------
18,331,529
------------
PAPER & FOREST PRODUCTS -- 0.5%
International Paper Co. ............. 9,470 322,927
MeadWestvaco Corp. .................. 3,832 115,190
Weyerhaeuser Co. .................... 4,972 351,272
------------
789,389
------------
PHARMACEUTICALS -- 6.3%
Abbott Laboratories.................. 32,668 1,591,258
Bristol-Myers Squibb Co. ............ 41,248 1,085,648
Eli Lilly & Co. ..................... 20,391 1,062,371
King Pharmaceuticals, Inc. (a)....... 5,261 83,755
Merck & Co., Inc. ................... 46,135 2,011,486
Pfizer, Inc. ........................ 152,273 3,943,871
------------
9,778,389
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
AMB Property Corp. .................. 1,854 108,663
Apartment Investment & Management Co.
(Class A).......................... 1,999 111,984
Archstone-Smith Trust................ 4,592 267,300
Avalonbay Communities, Inc. ......... 1,579 205,349
Camden Property Trust................ 1,224 90,392
Developers Diversified Realty
Corp. ............................. 2,262 142,393
Duke Realty Corp. ................... 2,898 118,528
Equity Office Properties Trust....... 7,496 361,082
Equity Residential................... 6,205 314,904
Federal Realty Investment Trust...... 1,110 94,350
Health Care Property Investors,
Inc. .............................. 3,952 145,513
Hospitality Properties Trust......... 1,450 68,918
Host Hotels & Resorts, Inc. ......... 10,931 268,356
iStar Financial, Inc. ............... 2,382 113,907
Kimco Realty Corp. .................. 4,526 203,444
Liberty Property Trust............... 1,961 96,364
Macerich Co. ........................ 1,473 127,518
Mack-Cali Realty Corp. .............. 1,318 67,218
New Plan Excel Realty Trust.......... 2,338 64,248
Plum Creek Timber Co., Inc. ......... 3,729 148,601
ProLogis............................. 5,151 313,026
Regency Centers Corp. ............... 1,464 114,441
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Thornburg Mortgage, Inc. ............ 2,278 $ 57,246
United Dominion Realty Trust,
Inc. .............................. 2,988 94,989
Ventas, Inc. ........................ 2,213 93,654
Weingarten Realty Investors.......... 1,728 79,678
------------
3,872,066
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Forest City Enterprises, Inc. ....... 1,473 86,023
------------
ROAD & RAIL -- 0.9%
Burlington Northern Santa Fe
Corp. ............................. 7,714 569,370
CSX Corp. ........................... 9,396 323,504
Union Pacific Corp. ................. 5,634 518,441
------------
1,411,315
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9%
Intel Corp. ......................... 123,240 2,495,610
LSI Logic Corp. (a).................. 8,279 74,511
Micron Technology, Inc. (a).......... 15,595 217,706
Teradyne, Inc. (a)................... 3,925 58,718
------------
2,846,545
------------
SOFTWARE -- 1.3%
BMC Software, Inc. (a)............... 4,462 143,676
CA, Inc. ............................ 8,755 198,301
Cadence Design Systems, Inc. (a)..... 5,976 107,030
Oracle Corp. (a)..................... 85,341 1,462,745
Synopsys, Inc. (a)................... 2,931 78,346
------------
1,990,098
------------
SPECIALTY RETAIL -- 0.3%
Circuit City Stores, Inc. ........... 3,800 72,124
Limited Brands....................... 7,107 205,677
RadioShack Corp. .................... 2,691 45,155
The Sherwin-Williams Co. ............ 2,393 152,147
------------
475,103
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.2%
Jones Apparel Group, Inc. ........... 2,384 79,697
V. F. Corp. ......................... 1,853 152,094
------------
231,791
------------
THRIFTS & MORTGAGE FINANCE -- 2.5%
Astoria Financial Corp. ............. 1,969 59,385
Fannie Mae........................... 20,545 1,220,168
Freddie Mac.......................... 14,710 998,809
MGIC Investment Corp. ............... 1,804 112,822
New York Community Bancorp, Inc. .... 5,483 88,276
People's Bank........................ 1,207 53,856
PMI Group, Inc. ..................... 1,849 87,217
Radian Group, Inc. .................. 1,727 93,103
Sovereign Bancorp, Inc. ............. 6,964 176,816
Washington Mutual, Inc. ............. 19,928 906,525
Webster Financial Corp. ............. 1,073 52,277
------------
3,849,254
------------
TOBACCO -- 2.8%
Altria Group, Inc. .................. 43,838 3,762,177
Loews Corp.-Carolina Group........... 2,327 150,603
Reynolds American, Inc. ............. 3,653 239,162
UST, Inc. ........................... 3,533 205,621
------------
4,357,563
------------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
W.W. Grainger, Inc. ................. 1,712 $ 119,737
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.3%
ALLTEL Corp. ........................ 7,815 472,651
------------
TOTAL COMMON STOCKS -- (Cost
$132,344,934)...................... 153,573,824
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment
Class Prime Fund
(Cost $327,786).................... 327,786 $ 327,786
------------
TOTAL INVESTMENTS -- 99.8%
(Cost $132,672,720)................ 153,901,610
OTHER ASSETS AND LIABILITIES -- 0.2% 237,401
------------
NET ASSETS -- 100.0%................. $154,139,011
============
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 0.7%
Alliant Techsystems, Inc. (a).......... 352 $ 27,523
Goodrich Corp. ........................ 1,332 60,673
KBR, Inc. (a).......................... 297 7,769
Spirit Aerosystems Holdings, Inc.
(a).................................. 588 19,680
-----------
115,645
-----------
AIR FREIGHT & LOGISTICS -- 0.2%
UTI Worldwide, Inc. ................... 864 25,834
-----------
AIRLINES -- 1.1%
AMR Corp. (a).......................... 2,100 63,483
Continental Airlines, Inc. (Class B)
(a).................................. 955 39,394
UAL Corp. (a).......................... 1,048 46,112
US Airways Group, Inc. (a)............. 690 37,156
-----------
186,145
-----------
AUTO COMPONENTS -- 0.6%
BorgWarner, Inc. ...................... 609 35,943
Gentex Corp. .......................... 1,529 23,791
The Goodyear Tire & Rubber Co. (a)..... 1,676 35,180
TRW Automotive Holdings Corp. (a)...... 453 11,719
-----------
106,633
-----------
AUTOMOBILES -- 0.1%
Thor Industries, Inc. ................. 406 17,860
-----------
BEVERAGES -- 0.2%
Hansen Natural Corp. (a)............... 769 25,900
PepsiAmericas, Inc. ................... 705 14,791
-----------
40,691
-----------
BIOTECHNOLOGY -- 1.2%
Cephalon, Inc. (a)..................... 651 45,837
ImClone Systems, Inc. (a).............. 639 17,099
Millennium Pharmaceuticals, Inc. (a)... 3,400 37,060
OSI Pharmaceuticals, Inc. (a).......... 610 21,338
PDL BioPharma, Inc. (a)................ 1,222 24,611
Vertex Pharmaceuticals, Inc. (a)....... 1,338 50,068
-----------
196,013
-----------
BUILDING PRODUCTS -- 0.4%
Owens Corning, Inc. (a)................ 906 27,089
USG Corp. (a).......................... 808 44,279
-----------
71,368
-----------
CAPITAL MARKETS -- 2.3%
A.G. Edwards, Inc. .................... 817 51,708
Affiliated Managers Group, Inc. (a).... 322 33,852
Eaton Vance Corp. ..................... 1,366 45,092
Federated Investors, Inc. ............. 1,060 35,807
Investors Financial Services Corp. .... 694 29,613
Janus Capital Group, Inc. ............. 2,116 45,684
Jefferies Group, Inc. ................. 1,100 29,502
Nuveen Investments, Inc. .............. 845 43,838
Raymond James Financial, Inc. ......... 1,002 30,371
SEI Investments Co. ................... 767 45,682
-----------
391,149
-----------
CHEMICALS -- 3.2%
Airgas, Inc. .......................... 715 28,972
Albemarle Corp. ....................... 407 29,223
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ashland, Inc. ......................... 606 $ 41,923
Cabot Corp. ........................... 606 26,403
Celanese Corp. ........................ 1,492 38,613
Chemtura Corp. ........................ 2,566 24,711
Cytec Industries, Inc. ................ 417 23,565
Eastman Chemical Co. .................. 870 51,600
FMC Corp. ............................. 386 29,548
Huntsman Corp. (a)..................... 964 18,287
International Flavors & Fragrances,
Inc. ................................ 882 43,359
Lubrizol Corp. ........................ 729 36,545
Nalco Holding Co. (a).................. 999 20,440
RPM International, Inc. ............... 1,263 26,384
Sigma-Aldrich Corp. ................... 603 46,865
The Scotts Miracle-Gro Co. (Class A)... 485 25,050
Valhi, Inc. ........................... 126 3,273
Valspar Corp. ......................... 1,008 27,861
-----------
542,622
-----------
COMMERCIAL BANKS -- 3.8%
Associated Bancorp..................... 1,303 45,449
BancorpSouth, Inc. .................... 793 21,268
Bank of Hawaii Corp. .................. 531 28,647
BOK Financial Corp. ................... 242 13,305
City National Corp. ................... 446 31,755
Colonial BancGroup, Inc. .............. 1,645 42,342
Commerce Bancshares, Inc. ............. 749 36,278
Cullen/Frost Bankers, Inc. ............ 600 33,492
East West Bancorp, Inc. ............... 611 21,642
First Citizens BancShares, Inc. (Class
A)................................... 58 11,753
First Horizon National Corp. .......... 1,319 55,108
Fulton Financial Corp. ................ 1,851 30,912
Mercantile Bankshares Corp. ........... 1,339 62,652
Popular, Inc. ......................... 2,723 48,878
Sky Financial Group, Inc. ............. 1,162 33,163
TCF Financial Corp. ................... 1,321 36,222
Valley National Bancorp................ 1,231 32,634
Whitney Holding Corp. ................. 701 22,867
Wilmington Trust Corp. ................ 728 30,700
-----------
639,067
-----------
COMMERCIAL SERVICES & SUPPLIES -- 3.6%
Allied Waste Industries, Inc. (a)...... 3,054 37,534
ChoicePoint, Inc. (a).................. 852 33,552
Copart, Inc. (a)....................... 714 21,420
Corrections Corp. of America (a)....... 642 29,038
Covanta Holding Corp. (a).............. 944 20,806
Dun & Bradstreet Corp. (a)............. 656 54,310
Equifax, Inc. ......................... 1,336 54,241
Manpower, Inc. ........................ 907 67,961
Monster Worldwide, Inc. (a)............ 1,231 57,414
Republic Services, Inc. ............... 1,230 50,024
Robert Half International, Inc. ....... 1,789 66,408
Steelcase, Inc. (Class A).............. 668 12,131
Stericycle, Inc. (a)................... 471 35,560
The Brink's Co. ....................... 480 30,682
The Corporate Executive Board Co. ..... 417 36,571
-----------
607,652
-----------
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMUNICATIONS EQUIPMENT -- 1.3%
Avaya, Inc. (a)........................ 4,879 $ 68,209
CIENA Corp. (a)........................ 896 24,828
Comverse Technology, Inc. (a).......... 2,149 45,365
JDS Uniphase Corp. (a)................. 2,293 38,201
Tellabs, Inc. (a)...................... 4,321 44,334
-----------
220,937
-----------
COMPUTERS & PERIPHERALS -- 0.7%
Diebold, Inc. ......................... 701 32,667
QLogic Corp. (a)....................... 1,683 36,891
Western Digital Corp. (a).............. 2,357 48,224
-----------
117,782
-----------
CONSTRUCTION & ENGINEERING -- 0.6%
Foster Wheeler, Ltd. (a)............... 730 40,252
Granite Construction, Inc. ............ 368 18,518
Jacobs Engineering Group, Inc. (a)..... 628 51,207
-----------
109,977
-----------
CONSTRUCTION MATERIALS -- 0.4%
Florida Rock Industries, Inc. ......... 544 23,419
Martin Marietta Materials, Inc. ....... 484 50,293
-----------
73,712
-----------
CONSUMER FINANCE -- 0.4%
AmeriCredit Corp. (a).................. 1,233 31,035
First Marblehead Corp. ................ 651 35,577
Student Loan Corp. .................... 44 9,121
-----------
75,733
-----------
CONTAINERS & PACKAGING -- 2.4%
Ball Corp. ............................ 1,111 48,440
Bemis Co., Inc. ....................... 1,124 38,193
Crown Holdings, Inc. (a)............... 1,741 36,422
Owens-Illinois, Inc. (a)............... 1,524 28,118
Packaging Corp. of America............. 876 19,360
Pactiv Corp. (a)....................... 1,421 50,715
Sealed Air Corp. ...................... 861 55,896
Smurfit-Stone Container Corp. (a)...... 2,710 28,618
Sonoco Products Co. ................... 1,059 40,305
Temple-Inland, Inc. ................... 1,142 52,566
-----------
398,633
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
ITT Educational Services, Inc. (a)..... 442 29,336
Laureate Education, Inc. (a)........... 506 24,607
Service Corp. International............ 3,154 32,328
The Service Master Co. ................ 3,065 40,182
Weight Watchers International, Inc. ... 479 25,162
-----------
151,615
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
IntercontinentalExchange, Inc. (a)..... 581 62,690
Nasdaq Stock Market, Inc. (a).......... 1,038 31,960
-----------
94,650
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2%
CenturyTel, Inc. ...................... 1,160 $ 50,646
Citizens Communications Co. ........... 3,426 49,232
Level 3 Communications, Inc. (a)....... 10,584 59,270
NeuStar, Inc. (Class A) (a)............ 788 25,563
Time Warner Telecom, Inc. (Class A)
(a).................................. 1,296 25,829
-----------
210,540
-----------
ELECTRIC UTILITIES -- 2.0%
DPL, Inc. ............................. 1,207 33,530
Great Plains Energy, Inc. ............. 849 26,998
Hawaiian Electric Industries, Inc. .... 858 23,295
Northeast Utilities.................... 1,640 46,182
Pepco Holdings, Inc. .................. 2,012 52,332
Pinnacle West Capital Corp. ........... 1,059 53,681
Reliant Energy, Inc. (a)............... 3,294 46,808
Sierra Pacific Resources (a)........... 2,359 39,702
Westar Energy, Inc. ................... 927 24,065
-----------
346,593
-----------
ELECTRICAL EQUIPMENT -- 1.2%
American Power Conversion Corp. ....... 1,935 59,192
AMETEK, Inc. .......................... 1,132 36,043
Hubbell, Inc. (Class B)................ 605 27,352
Roper Industries, Inc. ................ 927 46,572
Thomas & Betts Corp. (a)............... 640 30,259
-----------
199,418
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.7%
Amphenol Corp. (Class A)............... 933 57,921
Anixter International, Inc. ........... 369 20,037
Arrow Electronics, Inc. (a)............ 1,294 40,826
Avnet, Inc. (a)........................ 1,562 39,878
AVX Corp. ............................. 567 8,386
CDW Corp. ............................. 651 45,778
Dolby Laboratories, Inc. (a)........... 362 11,229
Ingram Micro, Inc. (Class A) (a)....... 1,520 31,023
Mettler Toledo International, Inc.
(a).................................. 420 33,117
National Instruments Corp. ............ 563 15,336
Solectron Corp. (a).................... 9,642 31,047
Sunpower Corp. (a)..................... 166 6,170
Symbol Technologies, Inc. ............. 2,710 40,487
Tektronix, Inc. ....................... 893 26,049
Trimble Navigation, Ltd. (a)........... 592 30,032
Vishay Intertechnology, Inc. (a)....... 1,801 24,386
-----------
461,702
-----------
ENERGY EQUIPMENT & SERVICES -- 2.1%
FMC Technologies, Inc. (a)............. 726 44,743
Helmerich & Payne, Inc. ............... 1,021 24,984
Patterson-UTI Energy, Inc. ............ 1,697 39,421
Pride International, Inc. (a).......... 1,748 52,458
Rowan Cos., Inc. ...................... 1,168 38,778
SEACOR Holdings, Inc. (a).............. 228 22,604
Superior Energy Services, Inc. (a)..... 850 27,778
Tidewater, Inc. ....................... 613 29,645
Todco (Class A) (a).................... 616 21,049
Unit Corp. (a)......................... 494 23,934
Veritas DGC, Inc. (a).................. 364 31,169
-----------
356,563
-----------
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
FOOD & STAPLES RETAILING -- 0.2%
Rite Aid Corp. (a)..................... 5,610 $ 30,518
-----------
FOOD PRODUCTS -- 1.5%
Corn Products International, Inc. ..... 790 27,286
Dean Foods Co. (a)..................... 1,437 60,756
Del Monte Foods Co. ................... 2,128 23,472
Hormel Foods Corp. .................... 793 29,611
McCormick & Co., Inc. ................. 1,257 48,470
Smithfield Foods, Inc. (a)............. 1,182 30,330
The J.M. Smucker Co. .................. 610 29,567
-----------
249,492
-----------
GAS UTILITIES -- 1.7%
AGL Resources, Inc. ................... 832 32,373
Atmos Energy Corp. .................... 875 27,921
Energen Corp. ......................... 696 32,670
Equitable Resources, Inc. ............. 1,214 50,685
National Fuel Gas Co. ................. 843 32,489
ONEOK, Inc. ........................... 1,099 47,389
Southern Union Co. .................... 1,200 33,540
UGI Corp. ............................. 1,121 30,581
-----------
287,648
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0%
Advanced Medical Optics, Inc. (a)...... 633 22,282
Bausch & Lomb, Inc. ................... 574 29,882
Beckman Coulter, Inc. ................. 662 39,588
Cytyc Corp. (a)........................ 1,201 33,988
Dade Behring Holdings, Inc. ........... 921 36,665
Dentsply International, Inc. .......... 1,519 45,342
Edwards Lifesciences Corp. (a)......... 624 29,353
Gen-Probe, Inc. (a).................... 561 29,380
Hillenbrand Industries, Inc. .......... 622 35,410
Hologic, Inc. (a)...................... 563 26,619
IDEXX Laboratories, Inc. (a)........... 333 26,407
Intuitive Surgical, Inc. (a)........... 398 38,168
Kinetic Concepts, Inc. (a)............. 553 21,871
ResMed, Inc. (a)....................... 821 40,410
Respironics, Inc. (a).................. 785 29,634
The Cooper Cos., Inc. ................. 475 21,137
-----------
506,136
-----------
HEALTH CARE PROVIDERS & SERVICES -- 3.3%
Brookdale Senior Living, Inc. ......... 547 26,256
Community Health Systems, Inc. (a)..... 1,009 36,849
Health Management Associates, Inc. .... 2,570 54,253
Health Net, Inc. (a)................... 1,251 60,874
Henry Schein, Inc. (a)................. 942 46,139
Lincare Holdings, Inc. (a)............. 989 39,402
Manor Care, Inc. ...................... 787 36,926
Patterson Cos., Inc. (a)............... 1,380 49,004
Pediatrix Medical Group, Inc. (a)...... 517 25,281
Sierra Health Services, Inc. (a)....... 558 20,110
Tenet Healthcare Corp. (a)............. 5,001 34,857
Triad Hospitals, Inc. (a).............. 934 39,069
Universal Health Services, Inc. (Class
B)................................... 542 30,043
VCA Antech, Inc. (a)................... 892 28,713
WellCare Health Plans, Inc. (a)........ 370 25,493
-----------
553,269
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HEALTH CARE TECHNOLOGY -- 0.3%
Cerner Corp. (a)....................... 659 $ 29,984
Emdeon Corp. (a)....................... 1,592 19,725
WebMD Health Corp. (a)................. 87 3,482
-----------
53,191
-----------
HOTELS RESTAURANTS & LEISURE -- 1.7%
American Real Estate Partners LP....... 68 5,830
Boyd Gaming Corp. ..................... 607 27,503
Brinker International, Inc. ........... 1,325 39,962
Choice Hotels International, Inc. ..... 388 16,335
Darden Restaurants, Inc. .............. 1,430 57,443
International Speedway Corp. (Class
A)................................... 370 18,885
OSI Restaurant Partners, Inc. ......... 750 29,400
Penn National Gaming, Inc. (a)......... 779 32,422
Scientific Games Corp. (Class A) (a)... 728 22,007
Station Casinos, Inc. ................. 453 36,996
-----------
286,783
-----------
HOUSEHOLD DURABLES -- 1.6%
KB HOME................................ 845 43,332
Leggett & Platt, Inc. ................. 1,911 45,673
Mohawk Industries, Inc. (a)............ 583 43,643
NVR, Inc. (a).......................... 54 34,830
Snap-on, Inc. ......................... 562 26,774
The Stanley Works...................... 868 43,652
Toll Brothers, Inc. (a)................ 1,250 40,287
-----------
278,191
-----------
HOUSEHOLD PRODUCTS -- 0.4%
Church & Dwight Co., Inc. ............. 690 29,429
Energizer Holdings, Inc. (a)........... 575 40,819
-----------
70,248
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2%
Dynegy, Inc. (Class A) (a)............. 4,304 31,161
-----------
INDUSTRIAL CONGLOMERATES -- 0.4%
Carlisle Cos., Inc. ................... 327 25,669
Teleflex, Inc. ........................ 376 24,275
Walter Industries, Inc. ............... 536 14,499
-----------
64,443
-----------
INSURANCE -- 5.0%
Alleghany Corp. (a).................... 55 19,998
Allied World Assurance Holdings,
Ltd. ................................ 110 4,799
American Financial Group, Inc. ........ 741 26,609
American National Insurance Co. ....... 171 19,513
Arch Capital Group, Ltd. (a)........... 443 29,951
Arthur J. Gallagher & Co. ............. 1,047 30,939
Aspen Insurance Holdings, Ltd. ........ 620 16,343
Axis Capital Holdings, Ltd. ........... 1,501 50,089
Brown & Brown, Inc. ................... 1,210 34,134
Conseco, Inc. (a)...................... 1,632 32,607
eHealth, Inc. (a)...................... 54 1,086
Endurance Specialty Holdings, Ltd. .... 631 23,082
Erie Indemnity Co. (Class A)........... 551 31,947
Fidelity National Title Group, Inc. ... 2,321 55,426
First American Corp. .................. 912 37,100
Hanover Insurance Group, Inc. ......... 544 26,547
HCC Insurance Holdings, Inc. .......... 1,181 37,898
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Markel Corp. (a)....................... 103 $ 49,450
Mercury General Corp. ................. 287 15,134
Odyssey Re Holdings Corp. ............. 243 9,064
Old Republic International Corp. ...... 2,289 53,288
OneBeacon Insurance Group, Ltd. (a).... 254 7,112
PartnerRe, Ltd. ....................... 606 43,044
Philadelphia Consolidated Holding Corp.
(a).................................. 632 28,162
Protective Life Corp. ................. 686 32,585
Reinsurance Group America, Inc. ....... 315 17,546
RenaissanceRe Holdings, Ltd. .......... 669 40,140
StanCorp Financial Group, Inc. ........ 572 25,769
Transatlantic Holdings, Inc. .......... 281 17,450
Unitrin, Inc. ......................... 467 23,401
Wesco Financial Corp. ................. 15 6,900
-----------
847,113
-----------
INTERNET & CATALOG RETAIL -- 0.1%
Coldwater Creek, Inc. (a).............. 650 15,938
-----------
INTERNET SOFTWARE & SERVICES -- 0.4%
VeriSign, Inc. (a)..................... 2,618 62,963
-----------
IT SERVICES -- 2.1%
Acxiom Corp. .......................... 708 18,160
Alliance Data Systems Corp. (a)........ 708 44,229
Ceridian Corp. (a)..................... 1,484 41,522
Checkfree Corp. (a).................... 788 31,646
Convergys Corp. (a).................... 1,471 34,981
DST Systems, Inc. (a).................. 563 35,261
Global Payments, Inc. ................. 850 39,355
Hewitt Associates, Inc. (Class A)
(a).................................. 1,079 27,784
MoneyGram International, Inc. ......... 909 28,506
Sabre Holdings Corp. (Class A)......... 1,401 44,678
Total System Services, Inc. ........... 411 10,846
-----------
356,968
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.4%
Brunswick Corp. ....................... 990 31,581
Hasbro, Inc. .......................... 1,523 41,502
-----------
73,083
-----------
LIFE SCIENCES TOOLS & SERVICES -- 1.5%
Charles River Laboratories
International, Inc. (a).............. 714 30,881
Covance, Inc. (a)...................... 681 40,118
Invitrogen Corp. (a)................... 514 29,087
Millipore Corp. (a).................... 566 37,696
PerkinElmer, Inc. ..................... 1,341 29,810
Pharmaceutical Product Development,
Inc. ................................ 1,096 35,313
Waters Corp. (a)....................... 1,084 53,083
-----------
255,988
-----------
MACHINERY -- 3.7%
AGCO Corp. (a)......................... 964 29,826
Crane Co. ............................. 563 20,628
Donaldson Co., Inc. ................... 756 26,241
Flowserve Corp. (a).................... 600 30,282
Graco, Inc. ........................... 718 28,447
Harsco Corp. .......................... 443 33,712
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
IDEX Corp. ............................ 565 $ 26,787
Joy Global, Inc. ...................... 1,267 61,247
Kennametal, Inc. ...................... 413 24,305
Lincoln Electric Holdings, Inc. ....... 425 25,678
Oshkosh Truck Corp. ................... 783 37,913
Pall Corp. ............................ 1,305 45,088
Pentair, Inc. ......................... 1,065 33,441
SPX Corp. ............................. 618 37,797
Terex Corp. (a)........................ 1,086 70,134
The Manitowoc Co., Inc. ............... 658 39,105
The Timken Co. ........................ 903 26,349
Trinity Industries, Inc. .............. 859 30,237
-----------
627,217
-----------
MEDIA -- 2.3%
Discovery Holding Co. (Class A) (a).... 2,991 48,125
Dow Jones & Co., Inc. ................. 558 21,204
DreamWorks Animation SKG, Inc. (Class
A) (a)............................... 601 17,724
Getty Images, Inc. (a)................. 503 21,538
Harte-Hanks, Inc. ..................... 546 15,130
McClatchy Co. (Class A)................ 586 25,374
Meredith Corp. ........................ 411 23,160
R.H. Donnelley Corp. .................. 751 47,110
Regal Entertainment Group.............. 719 15,329
The Interpublic Group of Cos., Inc.
(a).................................. 4,707 57,614
The New York Times Co. (Class A)....... 1,551 37,782
Warner Music Group Corp. .............. 500 11,475
XM Satellite Radio Holdings, Inc.
(Class A) (a)........................ 3,176 45,893
-----------
387,458
-----------
METALS & MINING -- 1.0%
Carpenter Technology Corp. ............ 272 27,884
Commercial Metals Co. ................. 1,285 33,153
Meridian Gold, Inc. (a)................ 1,077 29,930
Reliance Steel & Aluminum Co. ......... 661 26,030
Steel Dynamics, Inc. .................. 981 31,834
Titanium Metals Corp. (a).............. 858 25,320
-----------
174,151
-----------
MULTI-UTILITIES -- 3.1%
Alliant Energy Corp. .................. 1,240 46,835
CenterPoint Energy, Inc. .............. 2,934 48,646
CMS Energy Corp. (a)................... 2,360 39,412
Energy East Corp. ..................... 1,573 39,010
MDU Resources Group, Inc. ............. 1,776 45,537
NSTAR.................................. 1,139 39,136
OGE Energy Corp. ...................... 961 38,440
Puget Energy, Inc. .................... 1,227 31,117
SCANA Corp. ........................... 1,124 45,657
TECO Energy, Inc. ..................... 2,224 38,319
Vectren Corp. ......................... 811 22,935
Wisconsin Energy Corp. ................ 1,249 59,277
WPS Resources Corp. ................... 459 24,800
-----------
519,121
-----------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MULTILINE RETAIL -- 1.1%
Big Lots, Inc. (a)..................... 1,162 $ 26,633
Dillards, Inc. (Class A)............... 689 24,094
Dollar General Corp. .................. 3,329 53,464
Dollar Tree Stores, Inc. (a)........... 1,089 32,779
Family Dollar Stores, Inc. ............ 1,527 44,787
-----------
181,757
-----------
OFFICE ELECTRONICS -- 0.2%
Zebra Technologies Corp. (Class A)
(a).................................. 751 26,127
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.0%
Arch Coal, Inc. ....................... 1,529 45,916
Boardwalk Pipeline Partners LP......... 224 6,904
Cabot Oil & Gas Corp. ................. 519 31,477
Cimarex Energy Co. .................... 883 32,230
CNX Gas Corp. (a)...................... 298 7,599
Denbury Resources, Inc. (a)............ 1,271 35,321
Enbridge Energy Partners LP............ 533 26,325
Energy Transfer Equity LP.............. 413 12,968
Energy Transfer Partners LP............ 810 43,821
Enterprise GP Holdings LP.............. 116 4,289
Forest Oil Corp. (a)................... 580 18,954
Frontier Oil Corp. .................... 1,178 33,856
Helix Energy Solutions Group, Inc.
(a).................................. 882 27,668
Holly Corp. ........................... 501 25,751
Kinder Morgan Management LLC (a)....... 556 25,398
Magellan Midstream Partners LP......... 709 27,367
Massey Energy Co. ..................... 807 18,747
ONEOK Partners LP...................... 495 31,353
Overseas Shipholding Group, Inc. ...... 318 17,903
Pioneer Natural Resources Co. ......... 1,309 51,954
Plains All American Pipeline LP........ 841 43,059
Plains Exploration & Production Co.
(a).................................. 819 38,927
Pogo Producing Co. .................... 563 27,272
Quicksilver Resources, Inc. (a)........ 585 21,405
Range Resources Corp. ................. 1,473 40,449
St. Mary Land & Exploration Co. ....... 585 21,551
Teekay Shipping Corp. ................. 463 20,196
TEPPCO Partners LP..................... 808 32,571
Tesoro Corp. .......................... 719 47,289
Valero LP.............................. 391 21,806
W&T Offshore, Inc. .................... 291 8,940
-----------
849,266
-----------
PAPER & FOREST PRODUCTS -- 0.5%
Louisiana-Pacific Corp. ............... 1,129 24,307
MeadWestvaco Corp. .................... 1,927 57,926
-----------
82,233
-----------
PERSONAL PRODUCTS -- 0.2%
Alberto Culver Co. (a)................. 903 19,369
Bare Escentuals, Inc. (a).............. 174 5,406
Herbalife, Ltd. (a).................... 435 17,470
-----------
42,245
-----------
PHARMACEUTICALS -- 1.4%
Abraxis BioScience, Inc. (a)........... 254 6,944
Endo Pharmaceuticals Holdings, Inc.
(a).................................. 1,423 39,246
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
King Pharmaceuticals, Inc. (a)......... 2,581 $ 41,090
Mylan Laboratories, Inc. .............. 2,245 44,810
Sepracor, Inc. (a)..................... 1,161 71,495
Warner Chilcott, Ltd. (a).............. 766 10,586
Watson Pharmaceuticals, Inc. (a)....... 1,091 28,399
-----------
242,570
-----------
REAL ESTATE INVESTMENT TRUSTS -- 8.8%
Alexandria Real Estate Equities,
Inc. ................................ 311 31,224
AMB Property Corp. .................... 957 56,090
Annaly Mortgage Management, Inc. ...... 2,105 29,281
Apartment Investment & Management Co.
(Class A)............................ 1,037 58,093
Brandywine Realty Trust................ 966 32,120
BRE Properties, Inc. (Class A)......... 539 35,046
Camden Property Trust.................. 602 44,458
CapitalSource, Inc. ................... 1,389 37,934
CBL & Associates Properties, Inc. ..... 685 29,695
Colonial Properties Trust.............. 491 23,018
Crescent Real Estate Equities Co. ..... 1,024 20,224
Douglas Emmett, Inc. .................. 708 18,826
Duke Realty Corp. ..................... 1,440 58,896
Essex Property Trust, Inc. ............ 250 32,313
Federal Realty Investment Trust........ 581 49,385
Global Signal, Inc. ................... 230 12,114
Health Care Property Investors,
Inc. ................................ 2,053 75,592
Health Care REIT, Inc. ................ 768 33,039
Hospitality Properties Trust........... 863 41,018
HRPT Properties Trust.................. 2,240 27,664
iStar Financial, Inc. ................. 1,348 64,461
Kilroy Realty Corp. ................... 346 26,988
Liberty Property Trust................. 961 47,224
Macerich Co. .......................... 763 66,053
Mack-Cali Realty Corp. ................ 665 33,915
Nationwide Health Properties, Inc. .... 902 27,258
New Century Financial Corp. ........... 543 17,153
New Plan Excel Realty Trust............ 1,113 30,585
Post Properties, Inc. ................. 462 21,113
Rayonier, Inc. ........................ 816 33,497
Realty Income Corp. ................... 1,066 29,528
Reckson Associates Realty Corp. ....... 882 40,219
Regency Centers Corp. ................. 725 56,673
SL Green Realty Corp. ................. 489 64,929
Taubman Centers, Inc. ................. 564 28,685
Thornburg Mortgage, Inc. .............. 1,209 30,382
United Dominion Realty Trust, Inc. .... 1,434 45,587
Ventas, Inc. .......................... 1,109 46,933
Weingarten Realty Investors............ 848 39,101
-----------
1,496,314
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.3%
CB Richard Ellis Group, Inc. (Class A)
(a).................................. 2,141 71,081
Jones Lang LaSalle, Inc. .............. 388 35,762
Realogy Corp. (a)...................... 2,275 68,978
The St. Joe Co. ....................... 796 42,642
-----------
218,463
-----------
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ROAD & RAIL -- 1.0%
Con-way, Inc. ......................... 520 $ 22,901
Hertz Global Holdings, Inc. (a)........ 942 16,381
J.B. Hunt Transport Services, Inc. .... 1,134 23,553
Laidlaw International, Inc. ........... 879 26,748
Landstar Systems, Inc. ................ 607 23,175
Ryder Systems, Inc. ................... 648 33,087
YRC Worldwide, Inc. (a)................ 619 23,355
-----------
169,200
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1%
Agere Systems, Inc. (a)................ 1,808 34,659
Atmel Corp. (a)........................ 4,789 28,973
Cypress Semiconductor Corp. (a)........ 1,519 25,626
Fairchild Semiconductor International,
Inc. (a)............................. 1,298 21,819
Formfactor, Inc. (a)................... 462 17,209
Integrated Device Technology, Inc.
(a).................................. 2,141 33,143
International Rectifier Corp. (a)...... 764 29,437
Intersil Corp. (Class A)............... 1,474 35,258
LSI Logic Corp. (a).................... 4,267 38,403
Novellus Systems, Inc. (a)............. 1,316 45,297
Spansion, Inc. (a)..................... 896 13,315
Teradyne, Inc. (a)..................... 2,026 30,309
-----------
353,448
-----------
SOFTWARE -- 2.4%
Activision, Inc. (a)................... 2,993 51,599
Cadence Design Systems, Inc. (a)....... 2,962 53,050
Compuware Corp. (a).................... 3,761 31,329
Factset Research Systems, Inc. ........ 401 22,649
Fair Isaac Corp. ...................... 671 27,276
McAfee, Inc. (a)....................... 1,700 48,246
NAVTEQ Corp. (a)....................... 989 34,585
Novell, Inc. (a)....................... 3,620 22,444
Red Hat, Inc. (a)...................... 2,036 46,828
Salesforce.com, Inc. (a)............... 838 30,545
Synopsys, Inc. (a)..................... 1,499 40,068
-----------
408,619
-----------
SPECIALTY RETAIL -- 4.1%
Advance Auto Parts, Inc. .............. 1,132 40,254
AnnTaylor Stores Corp. (a)............. 779 25,582
AutoNation, Inc. (a)................... 1,633 34,816
Barnes & Noble, Inc. .................. 568 22,555
CarMax, Inc. (a)....................... 1,137 60,977
Chico's FAS, Inc. (a).................. 1,875 38,794
Circuit City Stores, Inc. ............. 1,859 35,284
Claire's Stores, Inc. ................. 964 31,947
Dick's Sporting Goods, Inc. (a)........ 360 17,636
Foot Locker, Inc. ..................... 1,671 36,645
GameStop Corp. (Class A) (a)........... 701 38,632
O'Reilly Automotive, Inc. (a).......... 1,224 39,241
OfficeMax, Inc. ....................... 795 39,472
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PETsMART, Inc. ........................ 1,496 $ 43,175
RadioShack Corp. ...................... 1,434 24,063
Ross Stores, Inc. ..................... 1,507 44,155
Sally Beauty Holdings, Inc. (a)........ 903 7,043
Tiffany & Co. ......................... 1,475 57,879
Urban Outfitters, Inc. (a)............. 1,255 28,903
Williams-Sonoma, Inc. ................. 978 30,748
-----------
697,801
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
Jones Apparel Group, Inc. ............. 1,177 39,347
Liz Claiborne, Inc. ................... 1,094 47,545
Phillips-Van Heusen Corp. ............. 589 29,550
-----------
116,442
-----------
THRIFTS & MORTGAGE FINANCE -- 1.7%
Astoria Financial Corp. ............... 962 29,014
Capitol Federal Financial.............. 236 9,067
IndyMac Bancorp, Inc. ................. 748 33,780
MGIC Investment Corp. ................. 886 55,410
New York Community Bancorp, Inc. ...... 2,857 45,998
PMI Group, Inc. ....................... 848 40,000
Radian Group, Inc. .................... 860 46,363
Webster Financial Corp. ............... 599 29,183
-----------
288,815
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
MSC Industrial Direct Co., Inc. (Class
A)................................... 501 19,615
Wesco International, Inc. (a).......... 527 30,993
-----------
50,608
-----------
WATER UTILITIES -- 0.2%
Aqua America, Inc. .................... 1,408 32,074
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.8%
Leap Wireless International, Inc.
(a).................................. 524 31,162
SBA Communications Corp. (a)........... 944 25,960
Telephone & Data Systems, Inc. ........ 1,095 59,492
US Cellular Corp. (a).................. 166 11,552
-----------
128,166
-----------
TOTAL COMMON STOCKS --
(Cost $15,278,541)................... 16,873,762
-----------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
AIM Short Term Investment
Class Prime Fund
(Cost $47,789)....................... 47,789 47,789
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $15,326,330)................... 16,921,551
OTHER ASSETS AND
LIABILITIES -- 0.1%.................. 15,524
-----------
NET ASSETS -- 100.0%................... $16,937,075
===========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
AEROSPACE & DEFENSE -- 0.6%
Alliant Techsystems, Inc. (a).......... 880 $ 68,807
KBR, Inc. (a).......................... 744 19,463
Spirit Aerosystems Holdings, Inc.
(a).................................. 1,471 49,235
-----------
137,505
-----------
AIR FREIGHT & LOGISTICS -- 0.3%
UTI Worldwide, Inc. ................... 2,162 64,644
-----------
AIRLINES -- 1.4%
Continental Airlines, Inc. (Class B)
(a).................................. 2,389 98,546
UAL Corp. (a).......................... 2,621 115,324
US Airways Group, Inc. (a)............. 1,727 92,999
-----------
306,869
-----------
AUTO COMPONENTS -- 1.1%
BorgWarner, Inc. ...................... 1,523 89,887
Gentex Corp. .......................... 3,826 59,533
The Goodyear Tire & Rubber Co. (a)..... 4,194 88,032
-----------
237,452
-----------
AUTOMOBILES -- 0.2%
Thor Industries, Inc. ................. 1,014 44,606
-----------
BEVERAGES -- 0.3%
Hansen Natural Corp. (a)............... 1,923 64,767
-----------
BIOTECHNOLOGY -- 2.3%
Cephalon, Inc. (a)..................... 1,628 114,628
ImClone Systems, Inc. (a).............. 1,598 42,762
Millennium Pharmaceuticals, Inc. (a)... 8,442 92,018
OSI Pharmaceuticals, Inc. (a).......... 1,525 53,345
PDL BioPharma, Inc. (a)................ 3,057 61,568
Vertex Pharmaceuticals, Inc. (a)....... 3,346 125,207
-----------
489,528
-----------
CAPITAL MARKETS -- 2.3%
Affiliated Managers Group, Inc. (a).... 806 84,735
Eaton Vance Corp. ..................... 3,417 112,795
Investors Financial Services Corp. .... 1,736 74,075
Nuveen Investments, Inc. .............. 2,114 109,675
SEI Investments Co. ................... 1,920 114,355
-----------
495,635
-----------
CHEMICALS -- 1.3%
Huntsman Corp. (a)..................... 2,413 45,775
Nalco Holding Co. (a).................. 2,500 51,150
Sigma-Aldrich Corp. ................... 1,509 117,279
The Scotts Miracle-Gro Co. (Class A)... 1,214 62,703
-----------
276,907
-----------
COMMERCIAL BANKS -- 0.3%
East West Bancorp, Inc. ............... 1,529 54,157
-----------
COMMERCIAL SERVICES & SUPPLIES -- 5.9%
Allied Waste Industries, Inc. (a)...... 7,639 93,883
ChoicePoint, Inc. (a).................. 2,131 83,919
Copart, Inc. (a)....................... 1,786 53,580
Corrections Corp. of America (a)....... 1,606 72,639
Covanta Holding Corp. (a).............. 2,362 52,058
Dun & Bradstreet Corp. (a)............. 1,640 135,776
Manpower, Inc. ........................ 2,269 170,016
Monster Worldwide, Inc. (a)............ 3,079 143,605
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Robert Half International, Inc. ....... 4,476 $ 166,149
Steelcase, Inc. (Class A).............. 1,670 30,327
Stericycle, Inc. (a)................... 1,179 89,015
The Brink's Co. ....................... 1,201 76,768
The Corporate Executive Board Co. ..... 1,043 91,471
-----------
1,259,206
-----------
COMMUNICATIONS EQUIPMENT -- 1.3%
Avaya, Inc. (a)........................ 12,206 170,640
JDS Uniphase Corp. (a)................. 5,819 96,944
-----------
267,584
-----------
COMPUTERS & PERIPHERALS -- 1.4%
Diebold, Inc. ......................... 1,753 81,690
QLogic Corp. (a)....................... 4,211 92,305
Western Digital Corp. (a).............. 5,895 120,612
-----------
294,607
-----------
CONSTRUCTION & ENGINEERING -- 0.6%
Jacobs Engineering Group, Inc. (a)..... 1,572 128,181
-----------
CONSTRUCTION MATERIALS -- 0.9%
Florida Rock Industries, Inc. ......... 1,360 58,548
Martin Marietta Materials, Inc. ....... 1,211 125,835
-----------
184,383
-----------
CONSUMER FINANCE -- 0.9%
AmeriCredit Corp. (a).................. 3,085 77,649
First Marblehead Corp. ................ 1,629 89,025
Student Loan Corp. .................... 107 22,181
-----------
188,855
-----------
CONTAINERS & PACKAGING -- 1.6%
Ball Corp. ............................ 2,779 121,164
Crown Holdings, Inc. (a)............... 4,355 91,107
Pactiv Corp. (a)....................... 3,554 126,842
-----------
339,113
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
ITT Educational Services, Inc. (a)..... 1,105 73,339
Laureate Education, Inc. (a)........... 1,266 61,566
Weight Watchers International, Inc. ... 1,199 62,983
-----------
197,888
-----------
DIVERSIFIED FINANCIAL SERVICES -- 1.1%
IntercontinentalExchange, Inc. (a)..... 1,453 156,779
Nasdaq Stock Market, Inc. (a).......... 2,597 79,961
-----------
236,740
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3%
Level 3 Communications, Inc. (a)....... 26,477 148,271
NeuStar, Inc. (Class A) (a)............ 1,971 63,940
Time Warner Telecom, Inc. (Class A)
(a).................................. 3,297 65,709
-----------
277,920
-----------
ELECTRICAL EQUIPMENT -- 1.0%
AMETEK, Inc. .......................... 2,832 90,171
Roper Industries, Inc. ................ 2,320 116,557
-----------
206,728
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.8%
Amphenol Corp. (Class A)............... 2,334 144,895
CDW Corp. ............................. 1,628 114,481
Dolby Laboratories, Inc. (a)........... 894 27,732
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Mettler Toledo International, Inc.
(a).................................. 1,050 $ 82,793
National Instruments Corp. ............ 1,410 38,408
Sunpower Corp. (a)..................... 414 15,388
Symbol Technologies, Inc. ............. 6,778 101,263
Trimble Navigation, Ltd. (a)........... 1,472 74,675
-----------
599,635
-----------
ENERGY EQUIPMENT & SERVICES -- 3.2%
FMC Technologies, Inc. (a)............. 1,817 111,982
Helmerich & Payne, Inc. ............... 2,553 62,472
Patterson-UTI Energy, Inc. ............ 4,244 98,588
Pride International, Inc. (a).......... 4,374 131,264
Rowan Cos., Inc. ...................... 2,922 97,011
Superior Energy Services, Inc. (a)..... 2,127 69,510
Todco (Class A) (a).................... 1,542 52,690
Unit Corp. (a)......................... 1,236 59,884
-----------
683,401
-----------
FOOD & STAPLES RETAILING -- 0.4%
Rite Aid Corp. (a)..................... 14,035 76,350
-----------
FOOD PRODUCTS -- 0.7%
Dean Foods Co. (a)..................... 3,595 151,997
-----------
GAS UTILITIES -- 1.5%
Energen Corp. ......................... 1,741 81,722
Equitable Resources, Inc. ............. 3,037 126,795
ONEOK, Inc. ........................... 2,750 118,580
-----------
327,097
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 5.0%
Bausch & Lomb, Inc. ................... 1,436 74,758
Beckman Coulter, Inc. ................. 1,656 99,029
Cytyc Corp. (a)........................ 3,006 85,070
Dade Behring Holdings, Inc. ........... 2,304 91,722
Dentsply International, Inc. .......... 3,799 113,400
Edwards Lifesciences Corp. (a)......... 1,560 73,382
Gen-Probe, Inc. (a).................... 1,391 72,847
Hologic, Inc. (a)...................... 1,408 66,570
IDEXX Laboratories, Inc. (a)........... 832 65,978
Intuitive Surgical, Inc. (a)........... 987 94,653
Kinetic Concepts, Inc. (a)............. 1,384 54,737
ResMed, Inc. (a)....................... 2,038 100,310
Respironics, Inc. (a).................. 1,950 73,613
-----------
1,066,069
-----------
HEALTH CARE PROVIDERS & SERVICES -- 6.1%
Brookdale Senior Living, Inc. ......... 1,369 65,712
Community Health Systems, Inc. (a)..... 2,525 92,213
Health Management Associates, Inc. .... 6,428 135,695
Health Net, Inc. (a)................... 3,114 151,527
Henry Schein, Inc. (a)................. 2,358 115,495
Lincare Holdings, Inc. (a)............. 2,473 98,524
Manor Care, Inc. ...................... 1,968 92,339
Patterson Cos., Inc. (a)............... 3,452 122,580
Pediatrix Medical Group, Inc. (a)...... 1,293 63,228
Sierra Health Services, Inc. (a)....... 1,389 50,060
Triad Hospitals, Inc. (a).............. 2,336 97,715
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Universal Health Services, Inc. (Class
B)................................... 1,356 $ 75,163
VCA Antech, Inc. (a)................... 2,224 71,591
WellCare Health Plans, Inc. (a)........ 925 63,732
-----------
1,295,574
-----------
HEALTH CARE TECHNOLOGY -- 0.6%
Cerner Corp. (a)....................... 1,649 75,030
Emdeon Corp. (a)....................... 3,982 49,337
WebMD Health Corp. (a)................. 218 8,724
-----------
133,091
-----------
HOTELS RESTAURANTS & LEISURE -- 3.0%
American Real Estate Partners LP....... 166 14,231
Boyd Gaming Corp. ..................... 1,520 68,871
Brinker International, Inc. ........... 3,314 99,950
Choice Hotels International, Inc. ..... 965 40,627
Darden Restaurants, Inc. .............. 3,577 143,688
International Speedway Corp. (Class
A)................................... 925 47,212
Penn National Gaming, Inc. (a)......... 1,950 81,159
Scientific Games Corp. (Class A) (a)... 1,822 55,079
Station Casinos, Inc. ................. 1,132 92,451
-----------
643,268
-----------
HOUSEHOLD DURABLES -- 1.4%
Mohawk Industries, Inc. (a)............ 1,459 109,221
NVR, Inc. (a).......................... 136 87,720
Toll Brothers, Inc. (a)................ 3,128 100,815
-----------
297,756
-----------
HOUSEHOLD PRODUCTS -- 0.8%
Church & Dwight Co., Inc. ............. 1,727 73,656
Energizer Holdings, Inc. (a)........... 1,438 102,084
-----------
175,740
-----------
INDUSTRIAL CONGLOMERATES -- 0.2%
Walter Industries, Inc. ............... 1,342 36,301
-----------
INSURANCE -- 3.5%
Arch Capital Group, Ltd. (a)........... 1,108 74,912
Axis Capital Holdings, Ltd. ........... 3,755 125,304
Brown & Brown, Inc. ................... 3,027 85,392
First American Corp. .................. 2,282 92,832
HCC Insurance Holdings, Inc. .......... 2,955 94,826
Markel Corp. (a)....................... 258 123,866
Philadelphia Consolidated Holding Corp.
(a).................................. 1,581 70,449
Protective Life Corp. ................. 1,716 81,510
-----------
749,091
-----------
INTERNET & CATALOG RETAIL -- 0.2%
Coldwater Creek, Inc. (a).............. 1,590 38,987
-----------
INTERNET SOFTWARE & SERVICES -- 0.7%
VeriSign, Inc. (a)..................... 6,548 157,479
-----------
IT SERVICES -- 3.3%
Acxiom Corp. .......................... 1,771 45,426
Alliance Data Systems Corp. (a)........ 1,772 110,697
Ceridian Corp. (a)..................... 3,713 103,890
Checkfree Corp. (a).................... 1,972 79,195
DST Systems, Inc. (a).................. 1,408 88,183
Global Payments, Inc. ................. 2,126 98,434
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Hewitt Associates, Inc. (Class A)
(a).................................. 2,699 $ 69,499
MoneyGram International, Inc. ......... 2,275 71,344
Total System Services, Inc. ........... 1,004 26,496
-----------
693,164
-----------
LIFE SCIENCES TOOLS & SERVICES -- 2.7%
Charles River Laboratories
International, Inc. (a).............. 1,787 77,288
Covance, Inc. (a)...................... 1,703 100,324
Invitrogen Corp. (a)................... 1,285 72,718
Millipore Corp. (a).................... 1,415 94,239
Pharmaceutical Product Development,
Inc. ................................ 2,741 88,315
Waters Corp. (a)....................... 2,711 132,757
-----------
565,641
-----------
MACHINERY -- 2.6%
Donaldson Co., Inc. ................... 1,892 65,671
Graco, Inc. ........................... 1,796 71,157
Joy Global, Inc. ...................... 3,170 153,238
Oshkosh Truck Corp. ................... 1,959 94,855
Terex Corp. (a)........................ 2,717 175,464
-----------
560,385
-----------
MEDIA -- 2.7%
Discovery Holding Co. (Class A) (a).... 7,482 120,385
Dow Jones & Co., Inc. ................. 1,396 53,048
DreamWorks Animation SKG, Inc. (Class
A) (a)............................... 1,503 44,323
Getty Images, Inc. (a)................. 1,257 53,825
Harte-Hanks, Inc. ..................... 1,366 37,852
R.H. Donnelley Corp. .................. 1,879 117,870
Warner Music Group Corp. .............. 1,223 28,068
XM Satellite Radio Holdings, Inc.
(Class A) (a)........................ 7,946 114,820
-----------
570,191
-----------
METALS & MINING -- 0.6%
Meridian Gold, Inc. (a)................ 2,693 74,838
Titanium Metals Corp. (a).............. 2,147 63,358
-----------
138,196
-----------
MULTILINE RETAIL -- 1.5%
Dollar General Corp. .................. 8,328 133,748
Dollar Tree Stores, Inc. (a)........... 2,724 81,992
Family Dollar Stores, Inc. ............ 3,821 112,070
-----------
327,810
-----------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp. (Class A)
(a).................................. 1,879 65,370
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.8%
Arch Coal, Inc. ....................... 3,824 114,835
Cabot Oil & Gas Corp. ................. 1,299 78,784
Cimarex Energy Co. .................... 2,208 80,592
CNX Gas Corp. (a)...................... 746 19,023
Denbury Resources, Inc. (a)............ 3,179 88,344
Energy Transfer Equity LP.............. 1,011 31,745
Enterprise GP Holdings LP.............. 293 10,832
Frontier Oil Corp. .................... 2,947 84,697
Helix Energy Solutions Group, Inc.
(a).................................. 2,206 69,202
Holly Corp. ........................... 1,253 64,404
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Kinder Morgan Management LLC (a)....... 1,381 $ 63,084
Pioneer Natural Resources Co. ......... 3,275 129,985
Plains Exploration & Production Co.
(a).................................. 2,049 97,389
Pogo Producing Co. .................... 1,409 68,252
Quicksilver Resources, Inc. (a)........ 1,464 53,568
Range Resources Corp. ................. 3,685 101,190
St. Mary Land & Exploration Co. ....... 1,464 53,934
W&T Offshore, Inc. .................... 730 22,426
-----------
1,232,286
-----------
PERSONAL PRODUCTS -- 0.5%
Alberto Culver Co. .................... 2,243 48,112
Bare Escentuals, Inc. (a).............. 438 13,609
Herbalife, Ltd. (a).................... 1,069 42,931
-----------
104,652
-----------
PHARMACEUTICALS -- 2.4%
Abraxis BioScience, Inc. (a)........... 640 17,498
Endo Pharmaceuticals Holdings, Inc.
(a).................................. 3,559 98,157
Mylan Laboratories, Inc. .............. 5,616 112,095
Sepracor, Inc. (a)..................... 2,905 178,890
Warner Chilcott, Ltd. (a).............. 1,886 26,065
Watson Pharmaceuticals, Inc. (a)....... 2,730 71,062
-----------
503,767
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
CapitalSource, Inc. ................... 3,456 94,384
Essex Property Trust, Inc. ............ 624 80,652
Global Signal, Inc. ................... 569 29,969
SL Green Realty Corp. ................. 1,223 162,390
-----------
367,395
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.6%
CB Richard Ellis Group, Inc. (Class A)
(a).................................. 5,357 177,852
Jones Lang LaSalle, Inc. .............. 972 89,589
Realogy Corp. (a)...................... 5,691 172,551
The St. Joe Co. ....................... 1,992 106,712
-----------
546,704
-----------
ROAD & RAIL -- 0.7%
Hertz Global Holdings, Inc. (a)........ 2,357 40,988
J.B. Hunt Transport Services, Inc. .... 2,836 58,904
Landstar Systems, Inc. ................ 1,519 57,995
-----------
157,887
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4%
Agere Systems, Inc. (a)................ 4,524 86,725
Atmel Corp. (a)........................ 11,981 72,485
Formfactor, Inc. (a)................... 1,134 42,241
International Rectifier Corp. (a)...... 1,911 73,631
Intersil Corp. (Class A)............... 3,688 88,217
Novellus Systems, Inc. (a)............. 3,292 113,311
Spansion, Inc. (a)..................... 2,197 32,647
-----------
509,257
-----------
SOFTWARE -- 3.1%
Activision, Inc. (a)................... 7,488 129,093
Factset Research Systems, Inc. ........ 1,002 56,593
Fair Isaac Corp. ...................... 1,680 68,292
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
McAfee, Inc. (a)....................... 4,254 $ 120,729
NAVTEQ Corp. (a)....................... 2,474 86,516
Red Hat, Inc. (a)...................... 5,093 117,139
Salesforce.com, Inc. (a)............... 2,096 76,399
-----------
654,761
-----------
SPECIALTY RETAIL -- 6.8%
Advance Auto Parts, Inc. .............. 2,831 100,670
AnnTaylor Stores Corp. (a)............. 1,949 64,005
AutoNation, Inc. (a)................... 4,086 87,114
CarMax, Inc. (a)....................... 2,844 152,524
Chico's FAS, Inc. (a).................. 4,690 97,036
Claire's Stores, Inc. ................. 2,413 79,967
Dick's Sporting Goods, Inc. (a)........ 906 44,385
Foot Locker, Inc. ..................... 4,181 91,689
GameStop Corp. (Class A) (a)........... 1,754 96,663
O'Reilly Automotive, Inc. (a).......... 3,036 97,334
PETsMART, Inc. ........................ 3,741 107,965
Ross Stores, Inc. ..................... 3,769 110,432
Sally Beauty Holdings, Inc. (a)........ 2,214 17,269
Tiffany & Co. ......................... 3,690 144,796
Urban Outfitters, Inc. (a)............. 3,139 72,291
Williams-Sonoma, Inc. ................. 2,446 76,902
-----------
1,441,042
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.6%
Liz Claiborne, Inc. ................... 2,738 118,993
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TRADING COMPANIES & DISTRIBUTORS -- 0.6%
MSC Industrial Direct Co., Inc. (Class
A)................................... 1,253 $ 49,055
Wesco International, Inc. (a).......... 1,307 76,865
-----------
125,920
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 1.5%
Leap Wireless International, Inc.
(a).................................. 1,311 77,965
SBA Communications Corp. (a)........... 2,361 64,928
Telephone & Data Systems, Inc. ........ 2,739 148,810
US Cellular Corp. (a).................. 411 28,601
-----------
320,304
-----------
TOTAL COMMON STOCKS --
(Cost $19,272,150)................... 21,188,836
-----------
SHORT TERM INVESTMENTS -- 0.5%
MONEY MARKET FUND -- 0.5%
AIM Short Term Investment
Class Prime Fund
(Cost $97,193)....................... 97,193 97,193
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $19,369,343)................... 21,286,029
OTHER ASSETS AND LIABILITIES -- 0.0%
(B).................................. 2,726
-----------
NET ASSETS -- 100.0%................... $21,288,755
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 0.7%
Goodrich Corp. ......................... 1,382 $ 62,950
----------
AIRLINES -- 0.8%
AMR Corp. (a)........................... 2,184 66,022
----------
AUTO COMPONENTS -- 0.1%
TRW Automotive Holdings Corp. (a)....... 471 12,185
----------
BEVERAGES -- 0.2%
PepsiAmericas, Inc. .................... 708 14,854
----------
BUILDING PRODUCTS -- 0.8%
Owens Corning, Inc. (a)................. 927 27,717
USG Corp. (a)........................... 840 46,032
----------
73,749
----------
CAPITAL MARKETS -- 2.3%
A.G. Edwards, Inc. ..................... 850 53,796
Federated Investors, Inc. .............. 1,103 37,259
Janus Capital Group, Inc. .............. 2,201 47,520
Jefferies Group, Inc. .................. 1,144 30,682
Raymond James Financial, Inc. .......... 1,042 31,583
----------
200,840
----------
CHEMICALS -- 5.1%
Airgas, Inc. ........................... 744 30,147
Albemarle Corp. ........................ 424 30,443
Ashland, Inc. .......................... 631 43,653
Cabot Corp. ............................ 630 27,449
Celanese Corp. ......................... 1,537 39,778
Chemtura Corp. ......................... 2,668 25,693
Cytec Industries, Inc. ................. 427 24,130
Eastman Chemical Co. ................... 905 53,675
FMC Corp. .............................. 402 30,773
International Flavors & Fragrances,
Inc. ................................. 917 45,080
Lubrizol Corp. ......................... 758 37,998
RPM International, Inc. ................ 1,313 27,429
Valhi, Inc. ............................ 132 3,429
Valspar Corp. .......................... 1,049 28,994
----------
448,671
----------
COMMERCIAL BANKS -- 7.3%
Associated Bancorp...................... 1,355 47,263
BancorpSouth, Inc. ..................... 824 22,100
Bank of Hawaii Corp. ................... 552 29,780
BOK Financial Corp. .................... 246 13,525
City National Corp. .................... 464 33,037
Colonial BancGroup, Inc. ............... 1,711 44,041
Commerce Bancshares, Inc. .............. 780 37,757
Cullen/Frost Bankers, Inc. ............. 617 34,441
First Citizens BancShares, Inc. (Class
A).................................... 58 11,753
First Horizon National Corp. ........... 1,371 57,280
Fulton Financial Corp. ................. 1,925 32,148
Mercantile Bankshares Corp. ............ 1,392 65,132
Popular, Inc. .......................... 2,833 50,852
Sky Financial Group, Inc. .............. 1,209 34,505
TCF Financial Corp. .................... 1,374 37,675
Valley National Bancorp................. 1,281 33,959
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Whitney Holding Corp. .................. 730 $ 23,813
Wilmington Trust Corp. ................. 758 31,965
----------
641,026
----------
COMMERCIAL SERVICES & SUPPLIES -- 1.2%
Equifax, Inc. .......................... 1,390 56,434
Republic Services, Inc. ................ 1,279 52,017
----------
108,451
----------
COMMUNICATIONS EQUIPMENT -- 1.4%
CIENA Corp. (a)......................... 932 25,826
Comverse Technology, Inc. (a)........... 2,236 47,202
Tellabs, Inc. (a)....................... 4,494 46,108
----------
119,136
----------
CONSTRUCTION & ENGINEERING -- 0.7%
Foster Wheeler, Ltd. (a)................ 759 41,851
Granite Construction, Inc. ............. 383 19,273
----------
61,124
----------
CONTAINERS & PACKAGING -- 3.1%
Bemis Co., Inc. ........................ 1,169 39,723
Owens-Illinois, Inc. (a)................ 1,585 29,243
Packaging Corp. of America.............. 911 20,133
Sealed Air Corp. ....................... 895 58,103
Smurfit-Stone Container Corp. (a)....... 2,819 29,769
Sonoco Products Co. .................... 1,101 41,904
Temple-Inland, Inc. .................... 1,188 54,684
----------
273,559
----------
DIVERSIFIED CONSUMER SERVICES -- 0.9%
Service Corp. International............. 3,280 33,620
The Service Master Co. ................. 3,187 41,782
----------
75,402
----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2%
CenturyTel, Inc. ....................... 1,207 52,698
Citizens Communications Co. ............ 3,563 51,200
----------
103,898
----------
ELECTRIC UTILITIES -- 4.1%
DPL, Inc. .............................. 1,255 34,864
Great Plains Energy, Inc. .............. 883 28,079
Hawaiian Electric Industries, Inc. ..... 893 24,245
Northeast Utilities..................... 1,705 48,013
Pepco Holdings, Inc. ................... 2,093 54,439
Pinnacle West Capital Corp. ............ 1,101 55,810
Reliant Energy, Inc. (a)................ 3,426 48,684
Sierra Pacific Resources (a)............ 2,453 41,284
Westar Energy, Inc. .................... 964 25,025
----------
360,443
----------
ELECTRICAL EQUIPMENT -- 1.4%
American Power Conversion Corp. ........ 2,007 61,394
Hubbell, Inc. (Class B)................. 624 28,211
Thomas & Betts Corp. (a)................ 665 31,441
----------
121,046
----------
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.6%
Anixter International, Inc. (a)......... 377 $ 20,471
Arrow Electronics, Inc. (a)............. 1,346 42,466
Avnet, Inc. (a)......................... 1,625 41,486
AVX Corp. .............................. 564 8,342
Ingram Micro, Inc. (Class A) (a)........ 1,581 32,268
Solectron Corp. (a)..................... 10,028 32,290
Tektronix, Inc. ........................ 929 27,099
Vishay Intertechnology, Inc. (a)........ 1,873 25,361
----------
229,783
----------
ENERGY EQUIPMENT & SERVICES -- 1.0%
SEACOR Holdings, Inc. (a)............... 237 23,496
Tidewater, Inc. ........................ 639 30,902
Veritas DGC, Inc. (a)................... 373 31,940
----------
86,338
----------
FOOD PRODUCTS -- 2.2%
Corn Products International, Inc. ...... 822 28,392
Del Monte Foods Co. .................... 2,213 24,409
Hormel Foods Corp. ..................... 825 30,806
McCormick & Co., Inc. .................. 1,307 50,398
Smithfield Foods, Inc. (a).............. 1,229 31,536
The J.M. Smucker Co. ................... 635 30,778
----------
196,319
----------
GAS UTILITIES -- 1.9%
AGL Resources, Inc. .................... 866 33,696
Atmos Energy Corp. ..................... 900 28,719
National Fuel Gas Co. .................. 877 33,800
Southern Union Co. ..................... 1,248 34,882
UGI Corp. .............................. 1,166 31,808
----------
162,905
----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9%
Advanced Medical Optics, Inc. (a)....... 659 23,197
Hillenbrand Industries, Inc. ........... 647 36,833
The Cooper Cos., Inc. .................. 494 21,983
----------
82,013
----------
HEALTH CARE PROVIDERS & SERVICES -- 0.4%
Tenet Healthcare Corp. (a).............. 5,201 36,251
----------
HOTELS RESTAURANTS & LEISURE -- 0.3%
OSI Restaurant Partners, Inc. .......... 780 30,576
----------
HOUSEHOLD DURABLES -- 1.9%
KB HOME................................. 879 45,075
Leggett & Platt, Inc. .................. 1,988 47,513
Snap-on, Inc. .......................... 584 27,822
The Stanley Works....................... 902 45,362
----------
165,772
----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Dynegy, Inc. (Class A) (a).............. 4,413 31,950
----------
INDUSTRIAL CONGLOMERATES -- 0.6%
Carlisle Cos., Inc. .................... 340 26,690
Teleflex, Inc. ......................... 391 25,243
----------
51,933
----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INSURANCE -- 6.5%
Alleghany Corp. (a)..................... 57 $ 20,725
Allied World Assurance Holdings,
Ltd. ................................. 115 5,017
American Financial Group, Inc. ......... 771 27,687
American National Insurance Co. ........ 175 19,969
Arthur J. Gallagher & Co. .............. 1,093 32,298
Aspen Insurance Holdings, Ltd. ......... 625 16,475
Conseco, Inc. (a)....................... 1,697 33,906
Endurance Specialty Holdings, Ltd. ..... 657 24,033
Erie Indemnity Co. (Class A)............ 573 33,223
Fidelity National Title Group, Inc. .... 2,439 58,243
Hanover Insurance Group, Inc. .......... 566 27,621
Mercury General Corp. .................. 292 15,397
Odyssey Re Holdings Corp. .............. 253 9,437
Old Republic International Corp. ....... 2,381 55,430
OneBeacon Insurance Group, Ltd. (a)..... 270 7,560
PartnerRe, Ltd. ........................ 630 44,749
Reinsurance Group America, Inc. ........ 321 17,880
RenaissanceRe Holdings, Ltd. ........... 696 41,760
StanCorp Financial Group, Inc. ......... 594 26,760
Transatlantic Holdings, Inc. ........... 292 18,133
Unitrin, Inc. .......................... 486 24,353
Wesco Financial Corp. .................. 16 7,360
----------
568,016
----------
IT SERVICES -- 0.9%
Convergys Corp. (a)..................... 1,530 36,383
Sabre Holdings Corp. (Class A).......... 1,457 46,464
----------
82,847
----------
LEISURE EQUIPMENT & PRODUCTS -- 0.9%
Brunswick Corp. ........................ 1,030 32,857
Hasbro, Inc. ........................... 1,584 43,164
----------
76,021
----------
LIFE SCIENCES TOOLS & SERVICES -- 0.4%
PerkinElmer, Inc. ...................... 1,395 31,011
----------
MACHINERY -- 4.8%
AGCO Corp. (a).......................... 1,002 31,002
Crane Co. .............................. 586 21,471
Flowserve Corp. (a)..................... 624 31,493
Harsco Corp. ........................... 461 35,082
IDEX Corp. ............................. 588 27,877
Kennametal, Inc. ....................... 429 25,247
Lincoln Electric Holdings, Inc. ........ 442 26,706
Pall Corp. ............................. 1,357 46,884
Pentair, Inc. .......................... 1,108 34,791
SPX Corp. .............................. 642 39,265
The Manitowoc Co., Inc. ................ 684 40,650
The Timken Co. ......................... 939 27,400
Trinity Industries, Inc. ............... 886 31,187
----------
419,055
----------
MEDIA -- 1.9%
McClatchy Co. (Class A)................. 610 26,413
Meredith Corp. ......................... 428 24,118
Regal Entertainment Group............... 748 15,947
The Interpublic Group of Cos., Inc.
(a)................................... 4,895 59,915
The New York Times Co. (Class A)........ 1,613 39,293
----------
165,686
----------
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
METALS & MINING -- 1.4%
Carpenter Technology Corp. ............. 282 $ 28,910
Commercial Metals Co. .................. 1,336 34,469
Reliance Steel & Aluminum Co. .......... 687 27,054
Steel Dynamics, Inc. ................... 1,020 33,099
----------
123,532
----------
MULTI-UTILITIES -- 6.2%
Alliant Energy Corp. ................... 1,289 48,686
CenterPoint Energy, Inc. ............... 3,052 50,602
CMS Energy Corp. (a).................... 2,454 40,982
Energy East Corp. ...................... 1,636 40,573
MDU Resources Group, Inc. .............. 1,847 47,357
NSTAR................................... 1,185 40,717
OGE Energy Corp. ....................... 999 39,960
Puget Energy, Inc. ..................... 1,276 32,359
SCANA Corp. ............................ 1,170 47,525
TECO Energy, Inc. ...................... 2,314 39,870
Vectren Corp. .......................... 844 23,868
Wisconsin Energy Corp. ................. 1,299 61,651
WPS Resources Corp. .................... 478 25,826
----------
539,976
----------
MULTILINE RETAIL -- 0.6%
Big Lots, Inc. (a)...................... 1,209 27,710
Dillards, Inc. (Class A)................ 717 25,074
----------
52,784
----------
OIL, GAS & CONSUMABLE FUELS -- 4.2%
Boardwalk Pipeline Partners LP.......... 233 7,181
Enbridge Energy Partners LP............. 555 27,412
Energy Transfer Partners LP............. 843 45,606
Forest Oil Corp. (a).................... 603 19,706
Magellan Midstream Partners LP.......... 737 28,448
Massey Energy Co. ...................... 840 19,513
ONEOK Partners LP....................... 515 32,620
Overseas Shipholding Group, Inc. ....... 331 18,635
Plains All American Pipeline LP......... 882 45,159
Teekay Shipping Corp. .................. 481 20,981
TEPPCO Partners LP...................... 841 33,901
Tesoro Corp. ........................... 747 49,130
Valero LP............................... 406 22,643
----------
370,935
----------
PAPER & FOREST PRODUCTS -- 1.0%
Louisiana-Pacific Corp. ................ 1,175 25,298
MeadWestvaco Corp. ..................... 2,005 60,270
----------
85,568
----------
PHARMACEUTICALS -- 0.5%
King Pharmaceuticals, Inc. (a).......... 2,684 42,729
----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
REAL ESTATE INVESTMENT TRUSTS -- 16.0%
Alexandria Real Estate Equities,
Inc. ................................. 323 $ 32,429
AMB Property Corp. ..................... 985 57,731
Annaly Mortgage Management, Inc. ....... 2,194 30,519
Apartment Investment & Management Co.
(Class A)............................. 1,078 60,390
Brandywine Realty Trust................. 1,005 33,416
BRE Properties, Inc. (Class A).......... 560 36,411
Camden Property Trust................... 626 46,230
CBL & Associates Properties, Inc. ...... 712 30,865
Colonial Properties Trust............... 510 23,909
Crescent Real Estate Equities Co. ...... 1,065 21,034
Douglas Emmett, Inc. ................... 725 19,278
Duke Realty Corp. ...................... 1,497 61,227
Federal Realty Investment Trust......... 613 52,105
Health Care Property Investors, Inc. ... 2,154 79,310
Health Care REIT, Inc. ................. 797 34,287
Hospitality Properties Trust............ 892 42,397
HRPT Properties Trust................... 2,330 28,776
iStar Financial, Inc. .................. 1,402 67,044
Kilroy Realty Corp. .................... 360 28,080
Liberty Property Trust.................. 1,000 49,140
Macerich Co. ........................... 794 68,737
Mack-Cali Realty Corp. ................. 692 35,292
Nationwide Health Properties, Inc. ..... 938 28,346
New Century Financial Corp. ............ 565 17,848
New Plan Excel Realty Trust............. 1,157 31,794
Post Properties, Inc. .................. 480 21,936
Rayonier, Inc. ......................... 849 34,851
Realty Income Corp. .................... 1,109 30,719
Reckson Associates Realty Corp. ........ 917 41,815
Regency Centers Corp. .................. 754 58,940
Taubman Centers, Inc. .................. 586 29,804
Thornburg Mortgage, Inc. ............... 1,258 31,614
United Dominion Realty Trust Inc. ...... 1,491 47,399
Ventas, Inc. ........................... 1,153 48,795
Weingarten Realty Investors............. 882 40,669
----------
1,403,137
----------
ROAD & RAIL -- 1.3%
Con-way, Inc. .......................... 533 23,473
Laidlaw International, Inc. ............ 914 27,813
Ryder Systems, Inc. .................... 674 34,415
YRC Worldwide, Inc. (a)................. 643 24,260
----------
109,961
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.8%
Cypress Semiconductor Corp. (a)......... 1,590 26,823
Fairchild Semiconductor International,
Inc. (a).............................. 1,350 22,694
Integrated Device Technology, Inc.
(a)................................... 2,226 34,458
LSI Logic Corp. (a)..................... 4,438 39,942
Teradyne, Inc. (a)...................... 2,108 31,536
----------
155,453
----------
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SOFTWARE -- 1.7%
Cadence Design Systems, Inc. (a)........ 3,081 $ 55,181
Compuware Corp. (a)..................... 3,912 32,587
Novell, Inc. (a)........................ 3,765 23,343
Synopsys, Inc. (a)...................... 1,559 41,672
----------
152,783
----------
SPECIALTY RETAIL -- 1.4%
Barnes & Noble, Inc. ................... 590 23,429
Circuit City Stores, Inc. .............. 1,933 36,688
OfficeMax, Inc. ........................ 827 41,061
RadioShack Corp. ....................... 1,491 25,019
----------
126,197
----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.8%
Jones Apparel Group, Inc. .............. 1,224 40,918
Phillips-Van Heusen Corp. .............. 613 30,754
----------
71,672
----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
THRIFTS & MORTGAGE FINANCE -- 3.4%
Astoria Financial Corp. ................ 1,001 $ 30,190
Capitol Federal Financial............... 238 9,144
IndyMac Bancorp, Inc. .................. 779 35,180
MGIC Investment Corp. .................. 922 57,662
New York Community Bancorp, Inc. ....... 2,972 47,849
PMI Group, Inc. ........................ 882 41,604
Radian Group, Inc. ..................... 895 48,249
Webster Financial Corp. ................ 623 30,353
----------
300,231
----------
WATER UTILITIES -- 0.4%
Aqua America, Inc. ..................... 1,465 33,373
----------
TOTAL COMMON STOCKS -- (Cost
$8,064,254)........................... 8,728,163
----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
AIM Short Term Investment
Class Prime Fund
(Cost $17,310)........................ 17,310 17,310
----------
TOTAL INVESTMENTS -- 99.8%
(Cost $8,081,564)..................... 8,745,473
OTHER ASSETS AND
LIABILITIES -- 0.2%................... 13,907
----------
NET ASSETS -- 100.0%.................... $8,759,380
==========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.1%
AAR Corp. (a).......................... 282 $ 8,232
Argon ST, Inc. (a)..................... 112 2,412
Armor Holdings, Inc. (a)............... 262 14,371
BE Aerospace, Inc. (a)................. 614 15,768
Ceradyne, Inc. (a)..................... 197 11,130
Cubic Corp. ........................... 136 2,951
Curtiss-Wright Corp. .................. 354 13,126
DRS Technologies, Inc. ................ 315 16,594
DynCorp International, Inc. (a)........ 207 3,285
EDO Corp. ............................. 125 2,968
Esterline Technologies Corp. (a)....... 202 8,126
GenCorp, Inc. (a)...................... 342 4,795
Heico Corp. ........................... 169 5,506
Hexcel Corp. (a)....................... 732 12,744
Innovative Solutions & Support, Inc.
(a).................................. 110 1,873
Ionatron, Inc. (a)..................... 240 984
K&F Industries Holdings, Inc. (a)...... 145 3,293
Moog, Inc. (a)......................... 312 11,915
MTC Technologies, Inc. (a)............. 80 1,884
Orbital Sciences Corp. (a)............. 488 8,999
Taser International, Inc. (a).......... 492 3,744
Teledyne Technologies, Inc. (a)........ 260 10,434
Triumph Group, Inc. ................... 125 6,554
United Industrial Corp. ............... 74 3,756
-----------
175,444
-----------
AIR FREIGHT & LOGISTICS -- 0.4%
ABX Air, Inc. (a)...................... 471 3,264
Atlas Air Worldwide Holdings, Inc.
(a).................................. 118 5,251
EGL, Inc. (a).......................... 256 7,624
Forward Air Corp. ..................... 245 7,088
HUB Group, Inc. (Class A) (a).......... 324 8,926
Pacer International, Inc. ............. 293 8,722
UTI Worldwide, Inc. ................... 642 19,196
-----------
60,071
-----------
AIRLINES -- 0.8%
AirTran Holdings, Inc. (a)............. 739 8,676
Alaska Air Group, Inc. (a)............. 320 12,640
Allegiant Travel Co. (a)............... 24 673
Continental Airlines, Inc. (Class B)
(a).................................. 707 29,164
ExpressJet Holdings, Inc. (a).......... 398 3,224
Frontier Airlines Holdings, Inc. (a)... 287 2,124
JetBlue Airways Corp. (a).............. 1,291 18,332
Republic Airways Holdings, Inc. (a).... 276 4,631
SkyWest, Inc. ......................... 508 12,959
US Airways Group, Inc. (a)............. 513 27,625
-----------
120,048
-----------
AUTO COMPONENTS -- 0.9%
American Axle & Manufacturing Holdings,
Inc. ................................ 369 7,007
ArvinMeritor, Inc. .................... 528 9,625
Bandag, Inc. .......................... 94 4,740
Cooper Tire & Rubber Co. .............. 485 6,936
Drew Industries, Inc. (a).............. 153 3,980
Gentex Corp. .......................... 1,146 17,832
Lear Corp. ............................ 533 15,740
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LKQ Corp. (a).......................... 394 $ 9,058
Modine Manufacturing Co. .............. 247 6,182
Sauer-Danfoss, Inc. ................... 85 2,741
Superior Industries International,
Inc. ................................ 179 3,449
Tenneco Automotive, Inc. (a)........... 361 8,924
The Goodyear Tire & Rubber Co. (a)..... 1,243 26,091
TRW Automotive Holdings Corp. (a)...... 307 7,942
Visteon Corp. (a)...................... 1,055 8,946
-----------
139,193
-----------
AUTOMOBILES -- 0.2%
Fleetwood Enterprises, Inc. (a)........ 504 3,986
Monaco Coach Corp. .................... 223 3,158
Thor Industries, Inc. ................. 302 13,285
Winnebago Industries, Inc. ............ 232 7,635
-----------
28,064
-----------
BEVERAGES -- 0.2%
Boston Beer Co., Inc. (a).............. 78 2,806
Coca-Cola Hellenic Bottling Co. SA..... 30 2,053
Hansen Natural Corp. (a)............... 569 19,164
Jamba, Inc. (a)........................ 100 1,007
PepsiAmericas, Inc. ................... 510 10,700
-----------
35,730
-----------
BIOTECHNOLOGY -- 2.0%
Alexion Pharmaceuticals, Inc. (a)...... 264 10,663
Alkermes, Inc. (a)..................... 801 10,709
Altus Pharmaceuticals, Inc. (a)........ 104 1,960
Applera Corp. -- Celera Genomics Group
(a).................................. 619 8,660
Arena Pharmaceuticals, Inc. (a)........ 466 6,016
Ariad Pharmaceuticals, Inc. (a)........ 467 2,400
BioMarin Pharmaceuticals, Inc. (a)..... 709 11,621
Cell Genesys, Inc. (a)................. 341 1,156
Cepheid, Inc. (a)...................... 431 3,663
Coley Pharmaceutical Group, Inc. (a)... 142 1,376
Cubist Pharmaceuticals, Inc. (a)....... 427 7,733
CV Therapeutics, Inc. (a).............. 432 6,031
Dendreon Corp. (a)..................... 563 2,348
Digene Corp. (a)....................... 160 7,667
Encysive Pharmaceuticals, Inc. (a)..... 451 1,899
Enzon Pharmaceuticals, Inc. (a)........ 350 2,979
Geron Corp. (a)........................ 501 4,399
Human Genome Sciences, Inc. (a)........ 1,050 13,062
ICOS Corp. (a)......................... 471 15,915
Idenix Pharmaceuticals, Inc. (a)....... 160 1,390
ImClone Systems, Inc. (a).............. 475 12,711
Incyte, Inc. (a)....................... 603 3,522
InterMune, Inc. (a).................... 206 6,334
Isis Pharmaceuticals, Inc. (a)......... 577 6,416
Keryx Biopharmaceuticals, Inc. (a)..... 314 4,176
Lexicon Genetics, Inc. (a)............. 360 1,300
Ligand Pharmaceuticals, Inc. (Class B)
(a).................................. 463 5,070
MannKind Corp. (a)..................... 283 4,667
Martek Biosciences Corp. (a)........... 246 5,742
Maxygen, Inc. (a)...................... 198 2,132
Medarex, Inc. (a)...................... 973 14,391
Momenta Pharmaceuticals, Inc. (a)...... 268 4,216
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Myriad Genetics, Inc. (a).............. 319 $ 9,985
Nabi Biopharmaceuticals (a)............ 465 3,153
Neurocrine Biosciences, Inc. (a)....... 294 3,063
Northfield Laboratories, Inc. (a)...... 200 814
Nuvelo, Inc. (a)....................... 390 1,560
Onyx Pharmaceuticals, Inc. (a)......... 337 3,565
OSI Pharmaceuticals, Inc. (a).......... 451 15,776
PDL BioPharma, Inc. (a)................ 906 18,247
Pharmion Corp. (a)..................... 215 5,534
Progenics Pharmaceuticals, Inc. (a).... 179 4,607
Regeneron Pharmaceuticals, Inc. (a).... 566 11,360
Renovis, Inc. (a)...................... 254 803
Tanox, Inc. (a)........................ 195 3,880
Telik, Inc. (a)........................ 415 1,838
Theravance, Inc. (a)................... 373 11,522
United Therapeutics Corp. (a).......... 178 9,678
Zymogenetics, Inc. (a)................. 297 4,624
-----------
302,333
-----------
BUILDING PRODUCTS -- 0.7%
American Woodmark Corp. ............... 85 3,557
Ameron International Corp. ............ 62 4,735
Apogee Enterprises, Inc. .............. 229 4,422
Armstrong World Industries, Inc. (a)... 138 5,850
Builders FirstSource, Inc. (a)......... 132 2,354
ElkCorp................................ 146 5,999
Goodman Global, Inc. (a)............... 258 4,438
Griffon Corp. (a)...................... 212 5,406
Jacuzzi Brands, Inc. (a)............... 596 7,408
Lennox International, Inc. ............ 516 15,795
NCI Building Systems, Inc. (a)......... 159 8,228
Owens Corning, Inc. (a)................ 667 19,943
PGT Inc. (a)........................... 70 886
Simpson Manufacturing Co., Inc. ....... 295 9,337
Trex Co., Inc. (a)..................... 100 2,289
Universal Forest Products, Inc. ....... 154 7,179
-----------
107,826
-----------
CAPITAL MARKETS -- 1.5%
ACA Capital Holdings, Inc. (a)......... 56 866
Affiliated Managers Group, Inc. (a).... 242 25,441
Calamos Asset Management, Inc. (Class
B)................................... 185 4,964
Cohen & Steers, Inc. .................. 84 3,374
GAMCO Investors, Inc. ................. 59 2,269
GFI Group, Inc. (a).................... 124 7,720
Greenhill & Co., Inc. ................. 96 7,085
Investment Technology Group, Inc.
(a).................................. 341 14,622
Investors Financial Services Corp. .... 514 21,932
Jefferies Group, Inc. ................. 816 21,885
KBW, Inc. (a).......................... 55 1,616
Knight Capital Group, Inc. (a)......... 827 15,854
LaBranche & Co., Inc. (a).............. 454 4,463
Lazard, Ltd. .......................... 399 18,889
optionsXpress Holdings, Inc. .......... 358 8,123
Penson Worldwide, Inc. (a)............. 114 3,125
Piper Jaffray Cos., Inc. (a)........... 147 9,577
Raymond James Financial, Inc. ......... 742 22,490
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Thomas Weisel Partners Group, Inc.
(a).................................. 178 $ 3,756
TradeStation Group, Inc. (a)........... 280 3,850
W.P. Carey & Co. LLC................... 222 6,675
W.P. Stewart & Co., Ltd. .............. 181 2,867
Waddell & Reed Financial, Inc. (Class
A)................................... 672 18,386
-----------
229,829
-----------
CHEMICALS -- 2.6%
A. Schulman, Inc. ..................... 205 4,561
Airgas, Inc. .......................... 529 21,435
Albemarle Corp. ....................... 301 21,612
American Vanguard Corp. ............... 163 2,592
Arch Chemicals, Inc. .................. 187 6,229
Cabot Corp. ........................... 450 19,607
Celanese Corp. ........................ 1,096 28,365
CF Industries Holdings, Inc. .......... 399 10,230
Chemtura Corp. ........................ 1,903 18,326
Cytec Industries, Inc. ................ 308 17,405
Ferro Corp. ........................... 331 6,848
FMC Corp. ............................. 288 22,046
Georgia Gulf Corp. .................... 262 5,059
H.B. Fuller Co. ....................... 471 12,161
Hercules, Inc. (a)..................... 896 17,302
Kronos Worldwide, Inc. ................ 25 814
MacDermid, Inc. ....................... 205 6,991
Minerals Technologies, Inc. ........... 153 8,995
Nalco Holding Co. (a).................. 742 15,181
NewMarket Corp. ....................... 120 7,086
NL Industries, Inc. ................... 60 620
Olin Corp. ............................ 587 9,697
OM Group, Inc. (a)..................... 237 10,731
PolyOne Corp. (a)...................... 701 5,258
Rockwood Holdings, Inc. (a)............ 294 7,426
RPM International, Inc. ............... 935 19,532
Sensient Technologies Corp. ........... 378 9,299
Spartech Corp. ........................ 261 6,843
Symyx Technologies, Inc. (a)........... 261 5,635
Terra Industries, Inc. (a)............. 737 8,829
Terra Nitrogen Co. LP.................. 60 2,043
The Scotts Miracle-Gro Co. (Class A)... 361 18,646
Tronox, Inc. .......................... 327 5,229
Valhi, Inc. ........................... 101 2,624
Valspar Corp. ......................... 746 20,620
W.R. Grace & Co. (a)................... 465 9,207
Westlake Chemical Corp. ............... 154 4,833
-----------
399,917
-----------
COMMERCIAL BANKS -- 5.3%
1st Source Corp. ...................... 109 3,502
Alabama National Bancorp............... 137 9,416
AMCORE Financial, Inc. ................ 179 5,848
Arrow Financial Corp. ................. 74 1,833
Bancfirst Corp. ....................... 60 3,240
BancorpSouth, Inc. .................... 589 15,797
Bank of the Ozarks, Inc. .............. 100 3,306
Banner Corp. .......................... 81 3,592
BOK Financial Corp. ................... 176 9,676
Boston Private Financial Holdings,
Inc. ................................ 299 8,435
Capital City Bank Group, Inc. ......... 105 3,706
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Capitol Bancorp, Ltd. ................. 111 $ 5,128
Cascade Bancorp........................ 168 5,213
Cathay General Bancorp................. 347 11,975
Centennial Bank Holdings, Inc. (a)..... 479 4,531
Central Pacific Financial Corp. ....... 240 9,302
Chemical Financial Corp. .............. 185 6,160
Chittenden Corp. ...................... 368 11,294
Citizens Banking Corp. ................ 354 9,381
City Holding Co. ...................... 145 5,929
CoBiz, Inc. ........................... 115 2,535
Columbia Banking System, Inc. ......... 127 4,460
Community Bank System, Inc. ........... 249 5,727
Community Banks, Inc. ................. 199 5,524
Community Trust Bancorp, Inc. ......... 101 4,195
Cullen/Frost Bankers, Inc. ............ 440 24,561
CVB Financial Corp. ................... 478 6,912
East West Bancorp, Inc. ............... 454 16,081
F N B Corp. ........................... 476 8,697
First BanCorp- Puerto Rico............. 606 5,775
First Bancorp-North Carolina........... 112 2,446
First Charter Corp. ................... 259 6,371
First Citizens BancShares, Inc. (Class
A)................................... 42 8,511
First Commonwealth Financial Corp. .... 516 6,930
First Community Bancorp, Inc. ......... 218 11,395
First Financial Bancorp................ 320 5,315
First Financial Bankshares, Inc. ...... 146 6,112
First Financial Corp. ................. 89 3,155
First Indiana Corp. ................... 105 2,663
First Merchants Corp. ................. 154 4,187
First Midwest Bancorp, Inc. ........... 394 15,240
First Republic Bank.................... 246 9,614
First State Bancorp.................... 132 3,267
FirstMerit Corp. ...................... 603 14,556
Frontier Financial Corp. .............. 351 10,260
Glacier Bancorp, Inc. ................. 414 10,118
Great Southern Bancorp, Inc. .......... 81 2,390
Greater Bay Bancorp.................... 403 10,611
Hancock Holding Co. ................... 214 11,308
Hanmi Financial Corp. ................. 388 8,742
Harleysville National Corp. ........... 231 4,461
IBERIABANK Corp. ...................... 70 4,133
Independent Bank
Corp. -- Massachusetts............... 118 4,252
Independent Bank Corp. -- Michigan..... 182 4,603
Integra Bank Corp. .................... 140 3,853
Interchange Financial Services
Corp. ............................... 153 3,517
International Bancshares Corp. ........ 406 12,549
Irwin Financial Corp. ................. 197 4,458
MB Financial, Inc. .................... 272 10,230
Mid-State Bancshares................... 176 6,405
Midwest Banc Holdings, Inc. ........... 166 3,942
Nara Bancorp, Inc. .................... 177 3,703
National Penn Bancshares, Inc. ........ 354 7,168
NBT Bancorp, Inc. ..................... 279 7,117
Old National Bancorp................... 486 9,195
Old Second Bancorp, Inc. .............. 102 2,989
Omega Financial Corp. ................. 86 2,745
Oriental Financial Group............... 170 2,202
Pacific Capital Bancorp................ 370 12,425
Park National Corp. ................... 89 8,811
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Placer Sierra Bancshares............... 158 $ 3,756
PrivateBancorp, Inc. .................. 158 6,578
Prosperity Bancshares, Inc. ........... 259 8,938
Provident Bankshares Corp. ............ 265 9,434
Republic Bancorp, Inc. -- Kentucky..... 88 2,208
Republic Bancorp, Inc. -- Michigan..... 840 11,306
S&T Bancorp, Inc. ..................... 209 7,246
S.Y. Bancorp, Inc. .................... 105 2,940
Sandy Spring Bancorp, Inc. ............ 115 4,391
Santander BanCorp...................... 46 821
Seacoast Banking Corp. of Florida...... 123 3,050
Signature Bank (a)..................... 232 7,187
Simmons First National Corp. .......... 103 3,250
South Financial Group, Inc. ........... 588 15,635
Sterling Bancorp....................... 139 2,738
Sterling Bancshares, Inc. ............. 636 8,281
Sterling Financial
Corp. -- Pennsylvania................ 202 4,781
Sterling Financial
Corp. -- Washington.................. 340 11,495
Suffolk Bancorp........................ 85 3,241
Sun Bancorp, Inc. (a).................. 141 2,971
Susquehanna Bancshares, Inc. .......... 411 11,048
SVB Financial Group (a)................ 273 12,727
Texas Capital Bancshares, Inc. (a)..... 210 4,175
Tompkins Trustco, Inc. ................ 59 2,682
Trico Bancshares....................... 115 3,129
Trustmark Corp. ....................... 402 13,149
UCBH Holdings, Inc. ................... 746 13,100
UMB Financial Corp. ................... 240 8,762
Umpqua Holdings Corp. ................. 464 13,656
United Bankshares, Inc. ............... 313 12,097
United Community Banks, Inc. .......... 316 10,213
USB Holding Co., Inc. ................. 100 2,410
Virginia Commerce Bancorp, Inc. (a).... 148 2,942
Washington Trust Bancorp, Inc. ........ 101 2,817
WesBanco, Inc. ........................ 154 5,164
West Coast Bancorp..................... 124 4,295
Westamerica Bancorp.................... 245 12,404
Western Alliance Bancorp (a)........... 157 5,459
Whitney Holding Corp. ................. 519 16,930
Wilmington Trust Corp. ................ 539 22,730
Wintrust Financial Corp. .............. 203 9,748
Yardville National Bancorp............. 80 3,018
-----------
806,582
-----------
COMMERCIAL SERVICES & SUPPLIES -- 3.6%
ABM Industries, Inc. .................. 350 7,949
ACCO Brands Corp. (a).................. 450 11,911
ADESA, Inc. ........................... 672 18,648
Administaff, Inc. ..................... 196 8,383
Advisory Board Co. (a)................. 140 7,496
American Reprographics Co. (a)......... 212 7,062
Banta Corp. ........................... 189 6,880
Bowne & Co., Inc. ..................... 241 3,842
Brady Corp. ........................... 379 14,129
CBIZ, Inc. (a)......................... 440 3,067
CDI Corp. ............................. 100 2,490
Central Parking Corp. ................. 140 2,520
Cenveo, Inc. (a)....................... 333 7,060
Clean Harbors, Inc. (a)................ 125 6,051
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Consolidated Graphics, Inc. (a)........ 95 $ 5,612
Copart, Inc. (a)....................... 539 16,170
Corrections Corp. of America (a)....... 475 21,484
CoStar Group, Inc. (a)................. 148 7,927
Covanta Holding Corp. (a).............. 701 15,450
CRA International, Inc. (a)............ 90 4,716
Deluxe Corp. .......................... 405 10,206
Diamond Management & Technology
Consultants, Inc. ................... 242 3,010
Ennis, Inc. ........................... 209 5,112
ExlService Holdings, Inc. (a).......... 40 842
First Advantage Corp. (Class A) (a).... 52 1,194
FTI Consulting, Inc. (a)............... 324 9,036
Fuel Tech, Inc. (a).................... 136 3,351
G & K Services, Inc. (Class A)......... 169 6,572
Global Cash Access, Inc. (a)........... 363 5,891
Healthcare Services Group, Inc. ....... 186 5,387
Heidrick & Struggles International,
Inc. (a)............................. 141 5,973
Herman Miller, Inc. ................... 525 19,089
HNI Corp. ............................. 317 14,078
Hudson Highland Group, Inc. (a)........ 192 3,203
Huron Consulting Group, Inc. (a)....... 120 5,441
IHS, Inc. (a).......................... 242 9,554
IKON Office Solutions, Inc. ........... 755 12,359
John H. Harland Co. ................... 206 10,341
Kelly Services, Inc. (Class A)......... 146 4,225
Kforce, Inc. (a)....................... 316 3,846
Knoll, Inc. ........................... 344 7,568
Korn/Ferry International (a)........... 346 7,944
Labor Ready, Inc. (a).................. 420 7,699
LECG Corp. (a)......................... 184 3,400
McGrath Rentcorp....................... 183 5,605
Mine Safety Appliances Co. ............ 216 7,916
Mobile Mini, Inc. (a).................. 289 7,786
Navigant Consulting, Inc. (a).......... 420 8,299
PHH Corp. (a).......................... 426 12,299
Pike Electric Corp. (a)................ 137 2,237
Resources Connection, Inc. (a)......... 369 11,749
Rollins, Inc. ......................... 280 6,191
SAIC, Inc. (a)......................... 746 13,271
School Specialty, Inc. (a)............. 170 6,373
Spherion Corp. (a)..................... 453 3,366
Steelcase, Inc. (Class A).............. 502 9,116
Stericycle, Inc. (a)................... 351 26,500
TeleTech Holdings, Inc. (a)............ 287 6,854
Tetra Tech, Inc. (a)................... 448 8,104
The Brink's Co. ....................... 355 22,692
United Stationers, Inc. (a)............ 245 11,439
Viad Corp. ............................ 164 6,658
Volt Information Sciences, Inc. (a).... 70 3,515
Waste Connections, Inc. (a)............ 360 14,958
Watson Wyatt Worldwide, Inc. (Class
A)................................... 339 15,306
-----------
554,402
-----------
COMMUNICATIONS EQUIPMENT -- 2.1%
3Com Corp. (a)......................... 3,120 12,823
Acme Packet, Inc. (a).................. 93 1,919
ADC Telecommunications, Inc. (a)....... 934 13,571
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Adtran, Inc. .......................... 506 $ 11,486
Andrew Corp. (a)....................... 1,265 12,941
Arris Group, Inc. (a).................. 863 10,796
Avocent Corp. (a)...................... 355 12,017
Bel Fuse, Inc. (Class B)............... 94 3,270
Black Box Corp. ....................... 140 5,879
C-COR.net Corp. (a).................... 356 3,966
CIENA Corp. (a)........................ 663 18,372
CommScope, Inc. (a).................... 469 14,295
Comtech Telecommunications Corp. (a)... 183 6,967
Dycom Industries, Inc. (a)............. 309 6,526
Extreme Networks, Inc. (a)............. 871 3,649
F5 Networks, Inc. (a).................. 320 23,747
Finisar Corp. (a)...................... 1,968 6,357
Foundry Networks, Inc. (a)............. 1,010 15,130
Harmonic, Inc. (a)..................... 573 4,166
Hughes Communications, Inc. (a)........ 52 2,431
Inter-Tel, Inc. ....................... 156 3,457
InterDigital Communications Corp.
(a).................................. 422 14,158
Ixia (a)............................... 276 2,650
Loral Space & Communications, Ltd.
(a).................................. 103 4,194
Mastec, Inc. (a)....................... 348 4,016
Netgear, Inc. (a)...................... 271 7,114
Optium Corp. (a)....................... 42 1,047
Packeteer, Inc. (a).................... 257 3,495
Plantronics, Inc. ..................... 374 7,929
Polycom, Inc. (a)...................... 708 21,884
Powerwave Technologies, Inc. (a)....... 891 5,747
Redback Networks, Inc. (a)............. 470 11,722
Riverbed Technology, Inc. (a).......... 71 2,180
SafeNet, Inc. (a)...................... 212 5,075
Sonus Networks, Inc. (a)............... 1,997 13,160
Sycamore Networks, Inc. (a)............ 1,492 5,610
Symmetricom, Inc. (a).................. 347 3,095
Tekelec (a)............................ 537 7,964
Utstarcom, Inc. (a).................... 857 7,499
Viasat, Inc. (a)....................... 202 6,022
-----------
328,326
-----------
COMPUTERS & PERIPHERALS -- 0.9%
Adaptec, Inc. (a)...................... 871 4,059
Avid Technology, Inc. (a).............. 336 12,519
Brocade Communications Systems, Inc.
(a).................................. 2,148 17,635
Electronics for Imaging, Inc. (a)...... 459 12,200
Emulex Corp. (a)....................... 687 13,403
Gateway, Inc. (a)...................... 2,074 4,169
Hutchinson Technology, Inc. (a)........ 214 5,044
Hypercom Corp. (a)..................... 389 2,470
Imation Corp. ......................... 283 13,140
Intermec, Inc. (a)..................... 386 9,368
Komag, Inc. (a)........................ 249 9,432
McDATA Corp. (Class A) (a)............. 1,251 6,943
Novatel Wireless, Inc. (a)............. 235 2,272
Palm, Inc. (a)......................... 751 10,582
Presstek, Inc. (a)..................... 216 1,374
Quantum Corp. (a)...................... 1,590 3,689
Rackable Systems, Inc. (a)............. 214 6,628
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Stratasys, Inc. (a).................... 89 $ 2,796
Synaptics, Inc. (a).................... 200 5,938
-----------
143,661
-----------
CONSTRUCTION & ENGINEERING -- 0.9%
EMCOR Group, Inc. (a).................. 250 14,213
Foster Wheeler, Ltd. (a)............... 540 29,776
Granite Construction, Inc. ............ 274 13,788
Infrasource Services, Inc. (a)......... 324 7,053
Insituform Technologies, Inc. (a)...... 214 5,534
Perini Corp. (a)....................... 152 4,679
Quanta Services, Inc. (a).............. 820 16,129
The Shaw Group, Inc. (a)............... 598 20,033
URS Corp. (a).......................... 412 17,654
Washington Group International, Inc.
(a).................................. 232 13,871
-----------
142,730
-----------
CONSTRUCTION MATERIALS -- 0.4%
Eagle Materials, Inc. ................. 390 16,860
Florida Rock Industries, Inc. ......... 404 17,392
Headwaters, Inc. (a)................... 326 7,811
Texas Industries, Inc. ................ 194 12,460
-----------
54,523
-----------
CONSUMER FINANCE -- 0.5%
Advance America Cash Advance Centers,
Inc. ................................ 481 7,047
Advanta Corp. (Class B)................ 177 7,723
Cash America International, Inc. ...... 237 11,115
CompuCredit Corp. (a).................. 257 10,231
Credit Acceptance Corp. (a)............ 17 567
First Cash Financial Services, Inc.
(a).................................. 239 6,183
First Marblehead Corp. ................ 484 26,451
Nelnet, Inc. (a)....................... 168 4,596
World Acceptance Corp. (a)............. 130 6,103
-----------
80,016
-----------
CONTAINERS & PACKAGING -- 0.6%
Aptargroup, Inc. ...................... 255 15,055
Chesapeake Corp. ...................... 151 2,570
Graphic Packaging Corp. (a)............ 810 3,507
Greif, Inc. (Class A).................. 120 14,208
Myers Industries, Inc. ................ 197 3,085
Owens-Illinois, Inc. (a)............... 1,128 20,812
Packaging Corp. of America............. 648 14,321
Rock-Tenn Co. ......................... 246 6,669
Silgan Holdings, Inc. ................. 180 7,906
-----------
88,133
-----------
DISTRIBUTORS -- 0.1%
Audiovox Corp. (Class A) (a)........... 146 2,057
Building Material Holding Corp. ....... 237 5,851
Keystone Automotive Industries, Inc.
(a).................................. 125 4,249
-----------
12,157
-----------
DIVERSIFIED CONSUMER SERVICES -- 1.3%
Bright Horizons Family Solutions, Inc.
(a).................................. 215 8,312
Career Education Corp. (a)............. 750 18,585
Coinmach Service Corp. ................ 212 2,523
Coinstar, Inc. (a)..................... 223 6,817
Corinthian Colleges, Inc. (a).......... 683 9,309
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DeVry, Inc. ........................... 494 $ 13,832
Educate, Inc. (a)...................... 160 1,139
ITT Educational Services, Inc. (a)..... 331 21,968
Jackson Hewitt Tax Service, Inc. ...... 246 8,357
Laureate Education, Inc. (a)........... 374 18,188
Lincoln Educational Services Corp.
(a).................................. 38 513
Matthews International Corp. (Class
A)................................... 261 10,270
Pre-Paid Legal Services, Inc. ......... 107 4,187
Regis Corp. ........................... 361 14,274
Service Corp. International............ 2,338 23,964
Sotheby's Holdings, Inc. .............. 503 15,603
Steiner Leisure, Ltd. (a).............. 133 6,052
Stewart Enterprises, Inc. (Class A).... 768 4,800
Strayer Education, Inc. ............... 113 11,984
Universal Technical Institute, Inc.
(a).................................. 188 4,175
-----------
204,852
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
Asset Acceptance Capital Corp. (a)..... 122 2,052
Encore Capital Group, Inc. (a)......... 119 1,499
Financial Federal Corp. ............... 206 6,059
IntercontinentalExchange, Inc. (a)..... 430 46,397
International Securities Exchange,
Inc. ................................ 283 13,242
Nasdaq Stock Market, Inc. (a).......... 770 23,708
Portfolio Recovery Associates, Inc.
(a).................................. 125 5,836
Resource America, Inc. ................ 119 3,142
-----------
101,935
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7%
Broadwing Corp. (a).................... 515 8,044
Cbeyond, Inc. (a)...................... 131 4,007
Cincinnati Bell, Inc. (a).............. 1,984 9,067
Commonwealth Telephone Enterprises,
Inc. ................................ 158 6,614
Consolidated Communications Holdings,
Inc. ................................ 145 3,030
Covad Communications Group, Inc. (a)... 2,413 3,330
Fairpoint Communications, Inc. ........ 220 4,169
General Communication, Inc. (Class A)
(a).................................. 389 6,119
Global Crossing, Ltd. (a).............. 151 3,707
Globalstar, Inc. (a)................... 61 849
IDT Corp. (Class B) (a)................ 508 6,645
Iowa Telecommunications Services,
Inc. ................................ 225 4,435
NeuStar, Inc. (Class A) (a)............ 584 18,945
North Pittsburgh Systems, Inc. ........ 110 2,655
NTELOS Holdings Corp. (a).............. 118 2,110
Premiere Global Services, Inc. (a)..... 508 4,796
SureWest Communications................ 105 2,892
Time Warner Telecom, Inc. (Class A)
(a).................................. 954 19,013
Vonage Holdings Corp. (a).............. 326 2,262
-----------
112,689
-----------
ELECTRIC UTILITIES -- 1.3%
ALLETE, Inc. .......................... 199 9,261
Cleco Corp. ........................... 445 11,227
Duquesne Light Holdings, Inc. ......... 766 15,205
El Paso Electric Co. (a)............... 382 9,309
Empire District Electric Co. .......... 232 5,728
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Great Plains Energy, Inc. ............. 628 $ 19,970
Hawaiian Electric Industries, Inc. .... 637 17,295
IDACORP, Inc. ......................... 340 13,141
ITC Holdings Corp. .................... 213 8,499
MGE Energy, Inc. ...................... 166 6,072
Otter Tail Corp. ...................... 201 6,263
Portland General Electric Co. ......... 214 5,832
Sierra Pacific Resources (a)........... 1,751 29,469
UIL Holdings Corp. .................... 182 7,679
Unisource Energy Corp. ................ 277 10,119
Westar Energy, Inc. ................... 688 17,861
-----------
192,930
-----------
ELECTRICAL EQUIPMENT -- 1.2%
A.O. Smith Corp. ...................... 168 6,310
Acuity Brands, Inc. ................... 342 17,798
American Superconductor Corp. (a)...... 260 2,551
Baldor Electric Co. ................... 228 7,620
Belden CDT, Inc. ...................... 355 13,877
Encore Wire Corp. (a).................. 135 2,971
Energy Conversion Devices, Inc. (a).... 311 10,568
EnerSys (a)............................ 248 3,968
Evergreen Solar, Inc. (a).............. 555 4,201
First Solar, Inc. (a).................. 158 4,708
Franklin Electric Co., Inc. ........... 135 6,938
FuelCell Energy, Inc. (a).............. 353 2,280
General Cable Corp. (a)................ 406 17,746
Genlyte Group, Inc. (a)................ 200 15,622
GrafTech International, Ltd. (a)....... 783 5,418
II-VI, Inc. (a)........................ 201 5,616
Medis Technologies, Ltd. (a)........... 157 2,737
Plug Power, Inc. (a)................... 513 1,996
Power-One, Inc. (a).................... 589 4,288
Regal-Beloit Corp. .................... 244 12,812
Superior Essex, Inc. (a)............... 168 5,586
Thomas & Betts Corp. (a)............... 479 22,647
Vicor Corp. ........................... 152 1,689
Woodward Governor Co. ................. 238 9,451
-----------
189,398
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.7%
Aeroflex, Inc. (a)..................... 609 7,137
Agilysys, Inc. ........................ 251 4,202
Anixter International, Inc. (a)........ 269 14,607
Avnet, Inc. (a)........................ 1,158 29,564
AVX Corp. ............................. 414 6,123
Benchmark Electronics, Inc. (a)........ 513 12,497
Brightpoint, Inc. (a).................. 399 5,367
Checkpoint Systems, Inc. (a)........... 319 6,444
Cogent, Inc. (a)....................... 304 3,347
Cognex Corp. .......................... 328 7,813
Coherent, Inc. (a)..................... 240 7,577
CTS Corp. ............................. 303 4,757
Daktronics, Inc. ...................... 293 10,797
Dolby Laboratories, Inc. (a)........... 256 7,941
Echelon Corp. (a)...................... 274 2,192
Electro Scientific Industries, Inc.
(a).................................. 229 4,612
FLIR Systems, Inc. (a)................. 548 17,443
Global Imaging Systems, Inc. (a)....... 420 9,219
Insight Enterprises, Inc. (a).......... 379 7,152
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Itron, Inc. (a)........................ 200 $ 10,368
KEMET Corp. (a)........................ 698 5,095
L-1 Identity Solutions, Inc. (a)....... 525 7,943
Littelfuse, Inc. (a)................... 180 5,738
Measurement Specialties, Inc. (a)...... 92 1,991
Mercury Computer System, Inc. (a)...... 172 2,298
Methode Electronics, Inc. (Class A).... 277 3,000
Mettler Toledo International, Inc.
(a).................................. 313 24,680
MTS Systems Corp. ..................... 144 5,561
Multi-Fineline Electronix, Inc. (a).... 81 1,644
National Instruments Corp. ............ 426 11,604
Newport Corp. (a)...................... 306 6,411
Park Electrochemical Corp. ............ 145 3,719
Paxar Corp. (a)........................ 308 7,102
Plexus Corp. (a)....................... 371 8,859
Rofin-Sinar Technologies, Inc. (a)..... 122 7,376
Rogers Corp. (a)....................... 139 8,222
Sanmina-SCI Corp. (a).................. 4,212 14,531
Scansource, Inc. (a)................... 200 6,080
Smart Modular Technologies (WWH), Inc.
(a).................................. 184 2,477
Sunpower Corp. (a)..................... 115 4,275
SYNNEX Corp. (a)....................... 112 2,457
Tech Data Corp. (a).................... 436 16,511
Technitrol, Inc. ...................... 329 7,860
Tektronix, Inc. ....................... 663 19,340
Trimble Navigation, Ltd. (a)........... 433 21,966
TTM Technologies, Inc. (a)............. 292 3,308
Vishay Intertechnology, Inc. (a)....... 1,335 18,076
-----------
407,283
-----------
ENERGY EQUIPMENT & SERVICES -- 2.5%
Atwood Oceanics, Inc. (a).............. 210 10,284
Basic Energy Services, Inc. (a)........ 126 3,106
Bristow Group, Inc. (a)................ 175 6,316
CARBO Ceramics, Inc. .................. 155 5,792
Complete Production Services, Inc.
(a).................................. 338 7,166
Dresser-Rand Group, Inc. (a)........... 524 12,822
Dril-Quip, Inc. (a).................... 186 7,284
Global Industries, Inc. (a)............ 675 8,802
Grey Wolf, Inc. (a).................... 1,542 10,578
Gulfmark Offshore, Inc. (a)............ 146 5,462
Hanover Compressor Co. (a)............. 686 12,959
Helmerich & Payne, Inc. ............... 757 18,524
Hercules Offshore, Inc. (a)............ 240 6,936
Horizon Offshore, Inc. (a)............. 210 3,423
Hornbeck Offshore Services, Inc. (a)... 182 6,497
Hydril (a)............................. 150 11,278
Input/Output, Inc. (a)................. 578 7,878
Lone Star Technologies, Inc. (a)....... 242 11,715
Lufkin Industries, Inc. ............... 115 6,679
NATCO Group, Inc. (a).................. 115 3,666
Newpark Resources, Inc. (a)............ 729 5,256
Oceaneering International, Inc. (a).... 424 16,833
Oil States International, Inc. (a)..... 366 11,796
Parker Drilling Co. (a)................ 880 7,190
Pioneer Drilling Co. (a)............... 392 5,206
RPC, Inc. ............................. 315 5,317
SEACOR Holdings, Inc. (a).............. 171 16,953
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Superior Energy Services, Inc. (a)..... 631 $ 20,621
Superior Well Services, Inc. (a)....... 88 2,249
Tetra Technologies, Inc. (a)........... 564 14,427
Tidewater, Inc. ....................... 450 21,762
Todco (Class A) (a).................... 458 15,650
Unit Corp. (a)......................... 366 17,733
Universal Compression Holdings, Inc.
(a).................................. 238 14,782
Veritas DGC, Inc. (a).................. 266 22,778
W-H Energy Services, Inc. (a).......... 237 11,539
-----------
377,259
-----------
FOOD & STAPLES RETAILING -- 0.8%
BJ'S Wholesale Club, Inc. (a).......... 521 16,208
Casey's General Stores, Inc. .......... 403 9,491
Central European Distribution Corp.
(a).................................. 224 6,653
Great Atlantic & Pacific Tea Co. ...... 142 3,655
Ingles Markets, Inc. .................. 101 3,009
Longs Drug Stores Corp. ............... 240 10,171
Nash Finch Co. ........................ 96 2,621
Pantry, Inc. (a)....................... 185 8,665
Performance Food Group Co. (a)......... 254 7,021
Rite Aid Corp. (a)..................... 4,158 22,619
Ruddick Corp. ......................... 276 7,659
Smart & Final, Inc. (a)................ 100 1,890
The Andersons, Inc. ................... 140 5,935
The Topps Co., Inc. ................... 270 2,403
United Natural Foods, Inc. (a)......... 306 10,991
Weis Markets, Inc. .................... 79 3,169
-----------
122,160
-----------
FOOD PRODUCTS -- 1.2%
Alico, Inc. ........................... 30 1,519
Chiquita Brands International, Inc. ... 342 5,462
Corn Products International, Inc. ..... 587 20,275
Del Monte Foods Co. ................... 1,577 17,394
Delta and Pine Land Co. ............... 294 11,892
Farmer Brothers Co. ................... 50 1,068
Flowers Foods, Inc. ................... 453 12,226
Fresh Del Monte Produce, Inc. ......... 224 3,340
Gold Kist, Inc. (a).................... 604 12,696
Hain Celestial Group, Inc. (a)......... 313 9,769
J&J Snack Foods Corp. ................. 110 4,554
Lancaster Colony Corp. ................ 201 8,906
Lance, Inc. ........................... 231 4,639
Peet's Coffee & Tea, Inc. (a).......... 110 2,886
Pilgrim's Pride Corp. ................. 330 9,712
Premium Standard Farms, Inc. .......... 157 2,916
Ralcorp Holdings, Inc. (a)............. 215 10,941
Reddy Ice Holdings, Inc. .............. 132 3,408
Sanderson Farms, Inc. ................. 142 4,301
Seaboard Corp. ........................ 2 3,530
The J.M. Smucker Co. .................. 452 21,908
Tootsie Roll Industries, Inc. ......... 196 6,409
TreeHouse Foods, Inc. (a).............. 253 7,894
-----------
187,645
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
GAS UTILITIES -- 1.7%
AGL Resources, Inc. ................... 618 $ 24,046
Amerigas Partners LP................... 259 8,425
Atmos Energy Corp. .................... 643 20,518
Energen Corp. ......................... 519 24,362
Laclede Group, Inc. ................... 159 5,570
National Fuel Gas Co. ................. 628 24,203
New Jersey Resources Corp. ............ 220 10,688
Nicor, Inc. ........................... 350 16,380
Northwest Natural Gas Co. ............. 220 9,337
Peoples Energy Corp. .................. 303 13,505
Piedmont Natural Gas Co., Inc. ........ 559 14,953
South Jersey Industries, Inc. ......... 237 7,918
Southern Union Co. .................... 864 24,149
Southwest Gas Corp. ................... 331 12,700
Suburban Propane Partners LP........... 252 9,579
UGI Corp. ............................. 832 22,697
WGL Holdings, Inc. .................... 394 12,836
-----------
261,866
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.2%
Advanced Medical Optics, Inc. (a)...... 469 16,509
Align Technology, Inc. (a)............. 439 6,133
American Medical Systems Holdings, Inc.
(a).................................. 553 10,242
Analogic Corp. ........................ 110 6,175
Arrow International, Inc. ............. 186 6,581
Arthrocare Corp. (a)................... 215 8,583
Aspect Medical Systems, Inc. (a)....... 135 2,539
Biosite, Inc. (a)...................... 134 6,546
CONMED Corp. (a)....................... 222 5,133
Conor Medsystems, Inc. (a)............. 297 9,305
Cyberonics, Inc. (a)................... 164 3,385
Datascope Corp. ....................... 102 3,717
DJO, Inc. (a).......................... 183 7,836
Edwards Lifesciences Corp. (a)......... 464 21,827
ev3, Inc. (a).......................... 144 2,481
Foxhollow Technologies, Inc. (a)....... 149 3,215
Gen-Probe, Inc. (a).................... 411 21,524
Greatbatch, Inc. (a)................... 166 4,469
Haemonetics Corp. (a).................. 218 9,814
Hologic, Inc. (a)...................... 416 19,668
I-Flow Corp. (a)....................... 157 2,347
ICU Medical, Inc. (a).................. 96 3,905
IDEXX Laboratories, Inc. (a)........... 250 19,825
Immucor, Inc. (a)...................... 542 15,843
Integra LifeSciences Holdings Corp.
(a).................................. 161 6,857
Intuitive Surgical, Inc. (a)........... 295 28,290
Invacare Corp. ........................ 261 6,408
Inverness Medical Innovations, Inc.
(a).................................. 255 9,868
Kensey Nash Corp. (a).................. 92 2,926
Kinetic Concepts, Inc. (a)............. 413 16,334
Kyphon, Inc. (a)....................... 349 14,100
Life Cell Corp. (a).................... 273 6,590
Mentor Corp. .......................... 330 16,127
Meridian Bioscience, Inc. ............. 188 4,612
Merit Medical Systems, Inc. (a)........ 208 3,295
NuVasive, Inc. (a)..................... 235 5,428
OraSure Technologies, Inc. (a)......... 318 2,627
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Palomar Medical Technologies, Inc.
(a).................................. 125 $ 6,334
PolyMedica Corp. ...................... 184 7,435
ResMed, Inc. (a)....................... 607 29,877
Respironics, Inc. (a).................. 575 21,706
Sirona Dental Systems, Inc. ........... 147 5,661
SonoSite, Inc. (a)..................... 126 3,897
STERIS Corp. .......................... 515 12,963
SurModics, Inc. (a).................... 133 4,139
Symmetry Medical, Inc. (a)............. 238 3,292
The Cooper Cos., Inc. ................. 352 15,664
Thoratec Corp. (a)..................... 387 6,803
Viasys Healthcare, Inc. (a)............ 259 7,205
Vital Signs, Inc. ..................... 65 3,245
West Pharmaceutical Services, Inc. .... 257 13,166
Wright Medical Group, Inc. (a)......... 262 6,099
-----------
488,550
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.2%
Alliance Imaging, Inc. (a)............. 173 1,150
Amedisys, Inc. (a)..................... 203 6,673
AMERIGROUP Corp. (a)................... 410 14,715
AMN Healthcare Services, Inc. (a)...... 263 7,243
Amsurg Corp. (a)....................... 235 5,405
Apria Healthcare Group, Inc. (a)....... 337 8,981
Assisted Living Concepts, Inc. (a)..... 453 4,480
Centene Corp. (a)...................... 351 8,624
Chemed Corp. .......................... 215 7,951
Cross Country Healthcare, Inc. (a)..... 200 4,364
Genesis HealthCare Corp. (a)........... 154 7,273
Gentiva Health Services, Inc. (a)...... 189 3,602
HealthExtras, Inc. (a)................. 232 5,591
Healthsouth Corp. (a).................. 643 14,564
Healthspring, Inc. (a)................. 364 7,407
Healthways, Inc. (a)................... 273 13,025
inVentiv Health, Inc. (a).............. 238 8,413
Kindred Healthcare, Inc. (a)........... 273 6,893
Landauer, Inc. ........................ 70 3,673
LCA-Vision, Inc. ...................... 164 5,635
LifePoint Hospitals, Inc. (a).......... 425 14,323
Magellan Health Services, Inc. (a)..... 301 13,009
Matria Healthcare, Inc. (a)............ 163 4,683
Molina Healthcare, Inc. (a)............ 112 3,641
National Healthcare Corp. ............. 63 3,478
Nighthawk Radiology Holdings, Inc.
(a).................................. 145 3,698
Odyssey Healthcare, Inc. (a)........... 275 3,647
Option Care, Inc. ..................... 186 2,651
Owens & Minor, Inc. ................... 315 9,850
Pediatrix Medical Group, Inc. (a)...... 382 18,680
PSS World Medical, Inc. (a)............ 538 10,507
Psychiatric Solutions, Inc. (a)........ 420 15,758
Radiation Therapy Services, Inc. (a)... 96 3,026
RehabCare Group, Inc. (a).............. 126 1,871
Sierra Health Services, Inc. (a)....... 409 14,740
Sunrise Assisted Living, Inc. (a)...... 357 10,967
Symbion, Inc. (a)...................... 171 3,165
United Surgical Partners (a)........... 362 10,263
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
VCA Antech, Inc. (a)................... 661 $ 21,278
Visicu, Inc. (a)....................... 147 1,646
WellCare Health Plans, Inc. (a)........ 274 18,879
-----------
335,422
-----------
HEALTH CARE TECHNOLOGY -- 0.5%
Allscripts Healthcare Solutions, Inc.
(a).................................. 361 9,744
Cerner Corp. (a)....................... 490 22,295
Dendrite International, Inc. (a)....... 309 3,309
Eclipsys Corp. (a)..................... 378 7,772
Emdeon Corp. (a)....................... 1,180 14,620
Per-Se Technologies, Inc. (a).......... 267 7,417
The TriZetto Group, Inc. (a)........... 344 6,319
WebMD Health Corp. (a)................. 63 2,521
-----------
73,997
-----------
HOTELS RESTAURANTS & LEISURE -- 2.8%
AFC Enterprises, Inc. (a).............. 205 3,622
American Real Estate Partners LP....... 49 4,201
Ameristar Casinos, Inc. ............... 185 5,687
Applebees International, Inc. ......... 590 14,555
Aztar Corp. (a)........................ 288 15,673
Bally Technologies, Inc. (a)........... 373 6,968
BJ's Restaurants, Inc. (a)............. 116 2,344
Bob Evans Farms, Inc. ................. 286 9,787
Burger King Holdings, Inc. (a)......... 233 4,916
California Pizza Kitchen, Inc. (a)..... 155 5,163
CBRL Group, Inc. ...................... 245 10,966
CEC Entertainment, Inc. (a)............ 263 10,586
Cedar Fair LP.......................... 403 11,211
Chipotle Mexican Grill, Inc. (a)....... 245 13,965
Choice Hotels International, Inc. ..... 284 11,956
Churchill Downs, Inc. ................. 83 3,547
CKE Restaurants, Inc. ................. 573 10,543
Domino's Pizza, Inc. .................. 312 8,736
Gaylord Entertainment Co. (a).......... 320 16,298
Great Wolf Resorts, Inc. (a)........... 209 2,918
IHOP Corp. ............................ 128 6,746
Isle of Capri Casinos, Inc. (a)........ 158 4,200
Jack in the Box, Inc. (a).............. 282 17,213
Krispy Kreme Doughnuts, Inc. (a)....... 466 5,173
Landry's Restaurants, Inc. ............ 144 4,333
Life Time Fitness, Inc. (a)............ 236 11,448
Marcus Corp. .......................... 163 4,169
Multimedia Games, Inc. (a)............. 231 2,218
O'Charleys, Inc. (a)................... 188 4,001
Orient-Express Hotels, Ltd. (Class
A)................................... 315 14,906
OSI Restaurant Partners, Inc. ......... 555 21,756
P F Chang's China Bistro, Inc. (a)..... 208 7,983
Panera Bread Co. (Class A) (a)......... 248 13,866
Papa John's International, Inc. (a).... 181 5,251
Pinnacle Entertainment, Inc. (a)....... 381 12,626
Rare Hospitality International, Inc.
(a).................................. 274 9,023
Red Robin Gourmet Burgers, Inc. (a).... 115 4,123
Ruby Tuesday, Inc. .................... 461 12,650
Ruth's Chris Steak House, Inc. (a)..... 137 2,504
Scientific Games Corp. (Class A) (a)... 539 16,294
Shuffle Master, Inc. (a)............... 280 7,336
Six Flags, Inc. (a).................... 595 3,118
Sonic Corp. (a)........................ 553 13,244
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Speedway Motorsports, Inc. ............ 110 $ 4,224
Texas Roadhouse, Inc. (Class A) (a).... 434 5,755
The Cheesecake Factory, Inc. (a)....... 603 14,834
The Steak n Shake Co. (a).............. 202 3,555
Triarc Cos., Inc. (Class B)............ 393 7,860
Vail Resorts, Inc. (a)................. 242 10,846
WMS Industries, Inc. (a)............... 231 8,053
-----------
432,950
-----------
HOUSEHOLD DURABLES -- 1.5%
American Greetings Corp. (Class A)..... 424 10,121
Avatar Holdings, Inc. (a).............. 43 3,477
Beazer Homes USA, Inc. ................ 298 14,009
Blyth, Inc. ........................... 244 5,063
Brookfield Homes Corp. ................ 96 3,605
Champion Enterprises, Inc. (a)......... 602 5,635
CSS Industries, Inc. .................. 65 2,299
Ethan Allen Interiors, Inc. ........... 243 8,775
Furniture Brands International,
Inc. ................................ 372 6,038
Helen of Troy, Ltd. (a)................ 226 5,483
Hovnanian Enterprises, Inc. (a)........ 279 9,458
Interface, Inc. (Class A) (a).......... 366 5,204
iRobot Corp. (a)....................... 88 1,589
Jarden Corp. (a)....................... 510 17,743
Kimball International, Inc. (Class
B)................................... 201 4,884
La-Z-Boy, Inc. ........................ 428 5,080
M.D.C. Holdings, Inc. ................. 276 15,746
M/I Homes, Inc. ....................... 102 3,895
Meritage Homes Corp. (a)............... 173 8,256
Palm Harbor Homes, Inc. (a)............ 85 1,192
Russ Berrie & Co., Inc. (a)............ 85 1,313
Ryland Group, Inc. .................... 341 18,625
Sealy Corp. ........................... 358 5,280
Skyline Corp. ......................... 55 2,212
Snap-on, Inc. ......................... 416 19,818
Standard Pacific Corp. ................ 510 13,663
Technical Olympic USA, Inc. ........... 151 1,536
Tempur-Pedic International, Inc. (a)... 506 10,353
The Yankee Candle, Inc. ............... 316 10,832
Tupperware Corp. ...................... 479 10,830
WCI Communities, Inc. (a).............. 266 5,102
-----------
237,116
-----------
HOUSEHOLD PRODUCTS -- 0.3%
Central Garden & Pet Co. (a)........... 172 8,328
Church & Dwight Co., Inc. ............. 513 21,879
Spectrum Brands, Inc. (a).............. 305 3,325
WD-40 Co. ............................. 134 4,673
-----------
38,205
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2%
Black Hills Corp. ..................... 262 9,678
Dynegy, Inc. (Class A) (a)............. 3,151 22,813
Ormat Technologies, Inc. .............. 80 2,946
-----------
35,437
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INDUSTRIAL CONGLOMERATES -- 0.4%
Carlisle Cos., Inc. ................... 242 $ 18,997
Raven Industries, Inc. ................ 135 3,618
Sequa Corp. (a)........................ 49 5,638
Standex International Corp. ........... 90 2,712
Teleflex, Inc. ........................ 282 18,206
Tredegar Corp. ........................ 206 4,657
Walter Industries, Inc. ............... 397 10,739
-----------
64,567
-----------
INSURANCE -- 4.1%
21st Century Insurance Group........... 211 3,724
Alfa Corp. ............................ 301 5,662
Alleghany Corp. (a).................... 41 14,908
Allied World Assurance Holdings,
Ltd. ................................ 85 3,709
American Equity Investment Life Holding
Co. ................................. 419 5,460
American Financial Group, Inc. ........ 623 22,372
American National Insurance Co. ....... 125 14,264
Amtrust Financial Services, Inc. ...... 120 1,026
Argonaut Group, Inc. (a)............... 241 8,401
Aspen Insurance Holdings, Ltd. ........ 452 11,915
Assured Guaranty, Ltd. ................ 381 10,135
Baldwin & Lyons, Inc. (Class B)........ 75 1,916
Bristol West Holdings, Inc. ........... 156 2,469
CNA Surety Corp. (a)................... 125 2,688
Delphi Financial Group................. 343 13,878
eHealth, Inc. (a)...................... 40 804
Endurance Specialty Holdings, Ltd. .... 469 17,156
Enstar Group, Inc. (a)................. 34 3,261
Erie Indemnity Co. (Class A)........... 410 23,772
FBL Financial Group, Inc. (Class A).... 102 3,986
First Acceptance Corp. (a)............. 143 1,533
Great American Financial Resources,
Inc. ................................ 65 1,498
Hanover Insurance Group, Inc. ......... 405 19,764
Harleysville Group, Inc. .............. 105 3,656
HCC Insurance Holdings, Inc. .......... 876 28,111
Hilb Rogal and Hobbs Co. .............. 283 11,920
Horace Mann Educators Corp. ........... 346 6,989
Infinity Property & Casualty Corp. .... 157 7,597
IPC Holdings, Ltd. .................... 514 16,165
Kansas City Life Insurance Co. ........ 32 1,603
LandAmerica Financial Group, Inc. ..... 167 10,539
Max Re Capital, Ltd. .................. 366 9,084
Mercury General Corp. ................. 210 11,073
Montpelier Re Holdings, Ltd. .......... 817 15,204
National Financial Partners Corp. ..... 269 11,828
National Western Life Insurance Co.
(Class A)............................ 18 4,143
Navigators Group, Inc. (a)............. 108 5,203
Odyssey Re Holdings Corp. ............. 181 6,751
Ohio Casualty Corp. ................... 485 14,458
OneBeacon Insurance Group, Ltd. (a).... 194 5,432
PartnerRe, Ltd. ....................... 450 31,964
Philadelphia Consolidated Holding Corp.
(a).................................. 470 20,943
Platinum Underwriters Holdings,
Ltd. ................................ 480 14,851
Presidential Life Corp. ............... 176 3,863
ProAssurance Corp. (a)................. 249 12,430
</Table>
See accompanying notes to financial statements.
9
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Reinsurance Group America, Inc. ....... 229 $ 12,755
RenaissanceRe Holdings, Ltd. .......... 495 29,700
RLI Corp. ............................. 175 9,874
Safety Insurance Group, Inc. .......... 118 5,984
Scottish R Egroup, Ltd. ............... 404 2,157
Security Capital Assurance, Ltd. ...... 181 5,037
Selective Insurance Group, Inc. ....... 222 12,718
StanCorp Financial Group, Inc. ........ 427 19,236
State Auto Financial Corp. ............ 110 3,820
Stewart Information Services Corp. .... 135 5,854
The Commerce Group, Inc. .............. 484 14,399
The Midland Co. ....................... 105 4,405
The Phoenix Cos., Inc. ................ 890 14,142
United America Indemnity, Ltd. (a)..... 168 4,255
United Fire & Casualty Co. ............ 177 6,239
Universal American Financial Corp.
(a).................................. 300 5,592
USI Holdings Corp. (a)................. 296 4,547
Wesco Financial Corp. ................. 11 5,060
Zenith National Insurance Corp. ....... 298 13,979
-----------
627,861
-----------
INTERNET & CATALOG RETAIL -- 0.5%
1-800-FLOWERS.COM, Inc. (Class A)
(a).................................. 204 1,257
Blue Nile, Inc. (a).................... 115 4,242
Coldwater Creek, Inc. (a).............. 474 11,623
FTD Group, Inc. (a).................... 109 1,950
GSI Commerce, Inc. (a)................. 135 2,531
Netflix, Inc. (a)...................... 470 12,154
Nutri/System, Inc. (a)................. 251 15,911
Overstock.com, Inc. (a)................ 84 1,327
Priceline.com, Inc. (a)................ 274 11,949
Stamps.com, Inc. (a)................... 171 2,693
ValueVision Media, Inc. (Class A)
(a).................................. 244 3,206
VistaPrint, Ltd. (a)................... 306 10,132
-----------
78,975
-----------
INTERNET SOFTWARE & SERVICES -- 1.4%
aQuantive, Inc. (a).................... 547 13,489
Ariba, Inc. (a)........................ 597 4,621
CMGI, Inc. (a)......................... 3,674 4,923
CNET Networks, Inc. (a)................ 1,088 9,890
DealerTrack Holdings, Inc. (a)......... 240 7,061
Digital Insight Corp. (a).............. 248 9,546
Digital River, Inc. (a)................ 312 17,406
Digitas, Inc. (a)...................... 698 9,360
DivX, Inc. (a)......................... 74 1,707
EarthLink, Inc. (a).................... 932 6,617
Equinix, Inc. (a)...................... 196 14,821
Infospace, Inc. (a).................... 254 5,210
Interwoven, Inc. (a)................... 291 4,269
Ipass, Inc. (a)........................ 458 2,693
j2 Global Communications, Inc. (a)..... 395 10,764
Jupitermedia Corp. (a)................. 174 1,378
LoopNet, Inc. (a)...................... 163 2,442
Marchex, Inc. (Class B) (a)............ 194 2,596
Netratings, Inc. (a)................... 115 2,014
NIC, Inc. (a).......................... 312 1,551
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Openwave Systems, Inc. (a)............. 772 $ 7,126
RealNetworks, Inc. (a)................. 850 9,299
S1 Corp. (a)........................... 546 3,008
SAVVIS Inc. (a)........................ 108 3,857
SonicWALL, Inc. (a).................... 501 4,218
Travelzoo, Inc. (a).................... 20 599
United Online, Inc. ................... 506 6,720
Valueclick, Inc. (a)................... 789 18,644
Vignette Corp. (a)..................... 235 4,011
WebEx Communications, Inc. (a)......... 344 12,002
Websense, Inc. (a)..................... 387 8,835
-----------
210,677
-----------
IT SERVICES -- 2.0%
Acxiom Corp. .......................... 535 13,723
BearingPoint, Inc. (a)................. 1,471 11,577
CACI International, Inc. (Class A)
(a).................................. 241 13,616
CIBER, Inc. (a)........................ 453 3,071
Convergys Corp. (a).................... 1,097 26,087
Covansys Corp. (a)..................... 145 3,328
CSG Systems International, Inc. (a).... 384 10,264
eFunds Corp. (a)....................... 378 10,395
Euronet Worldwide, Inc. (a)............ 259 7,690
Forrester Research, Inc. (a)........... 108 2,928
Gartner, Inc. (a)...................... 538 10,647
Gevity HR, Inc. ....................... 203 4,809
Heartland Payment Systems, Inc. ....... 122 3,447
Hewitt Associates, Inc. (Class A)
(a).................................. 800 20,600
infoUSA, Inc. ......................... 278 3,311
Kanbay International, Inc. (a)......... 251 7,221
Keane, Inc. (a)........................ 404 4,812
Lionbridge Technologies, Inc. (a)...... 434 2,795
Mantech International Corp. (a)........ 139 5,119
MAXIMUS, Inc. ......................... 169 5,202
MoneyGram International, Inc. ......... 673 21,105
MPS Group, Inc. (a).................... 812 11,514
Perot Systems Corp. (Class A) (a)...... 676 11,080
Sapient Corp. (a)...................... 645 3,541
SRA International, Inc. (a)............ 328 8,771
SYKES Enterprises, Inc. (a)............ 202 3,563
Syntel, Inc. .......................... 150 4,020
Talx Corp. ............................ 249 6,835
The BISYS Group, Inc. (a).............. 969 12,510
TNS, Inc. (a).......................... 182 3,503
Tyler Technologies, Inc. (a)........... 295 4,148
Unisys Corp. (a)....................... 2,711 21,254
VeriFone Holdings, Inc. (a)............ 466 16,496
Wright Express Corp. (a)............... 324 10,099
-----------
309,081
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.6%
Callaway Golf Co. ..................... 556 8,012
JAKKS Pacific, Inc. (a)................ 226 4,936
K2, Inc. (a)........................... 381 5,025
Leapfrog Enterprises, Inc. (a)......... 215 2,038
Marine Products Corp. ................. 126 1,479
MarineMax, Inc. (a).................... 143 3,708
Marvel Entertainment, Inc. (a)......... 507 13,643
</Table>
See accompanying notes to financial statements.
10
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Nautilus Group, Inc. .................. 269 $ 3,766
Oakley, Inc. .......................... 209 4,193
Polaris Industries, Inc. .............. 315 14,752
Pool Corp. ............................ 409 16,021
RC2 Corp. (a).......................... 165 7,260
-----------
84,833
-----------
LIFE SCIENCES TOOLS & SERVICES -- 1.0%
Affymetrix, Inc. (a)................... 545 12,568
Albany Molecular Research, Inc. (a).... 167 1,764
Bio-Rad Laboratories, Inc. (Class A)
(a).................................. 150 12,378
Bruker BioSciences Corp. (a)........... 286 2,148
Cambrex Corp. ......................... 218 4,953
Dionex Corp. (a)....................... 154 8,733
Enzo Biochem, Inc. (a)................. 229 3,268
eResearch Technology, Inc. (a)......... 325 2,187
Exelixis, Inc. (a)..................... 745 6,705
Illumina, Inc. (a)..................... 350 13,758
Molecular Devices Corp. (a)............ 146 3,076
Nektar Therapeutics (a)................ 724 11,012
PAREXEL International Corp. (a)........ 207 5,997
PerkinElmer, Inc. ..................... 994 22,097
PharmaNet Development Group, Inc.
(a).................................. 145 3,200
PRA International (a).................. 153 3,866
Techne Corp. (a)....................... 297 16,469
Varian, Inc. (a)....................... 247 11,063
Ventana Medical Systems, Inc. (a)...... 272 11,704
-----------
156,946
-----------
MACHINERY -- 3.2%
Accuride Corp. (a)..................... 168 1,892
Actuant Corp. (Class A)................ 219 10,435
AGCO Corp. (a)......................... 715 22,122
Albany International Corp. (Class A)... 202 6,648
American Railcar Industries, Inc. ..... 72 2,451
American Science & Engineering, Inc.
(a).................................. 75 4,463
Astec Industries, Inc. (a)............. 133 4,668
ASV, Inc. (a).......................... 162 2,636
Barnes Group, Inc. .................... 331 7,199
Blount International, Inc. (a)......... 287 3,863
Briggs & Stratton Corp. ............... 398 10,726
Bucyrus International, Inc. (Class
A)................................... 251 12,992
Cascade Corp. ......................... 85 4,496
Chart Industries, Inc. (a)............. 99 1,605
CIRCOR International, Inc. ............ 96 3,532
CLARCOR, Inc. ......................... 416 14,065
Crane Co. ............................. 417 15,279
EnPro Industries, Inc. (a)............. 161 5,347
ESCO Technologies, Inc. (a)............ 201 9,133
Federal Signal Corp. .................. 385 6,175
Flowserve Corp. (a).................... 444 22,409
Freightcar America, Inc. .............. 101 5,600
Gardner Denver, Inc. (a)............... 416 15,521
Harsco Corp. .......................... 328 24,961
IDEX Corp. ............................ 420 19,912
Kaydon Corp. .......................... 225 8,941
Kennametal, Inc. ...................... 308 18,126
Lincoln Electric Holdings, Inc. ....... 316 19,093
Lindsay Manufacturing Co. ............. 94 3,069
Middleby Corp. (a)..................... 59 6,176
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Mueller Industries, Inc. .............. 293 $ 9,288
Mueller Water Products, Inc. (Class A)
(a).................................. 674 10,043
Mueller Water Products, Inc. (Class
B)................................... 240 3,569
NACCO Industries, Inc. ................ 45 6,147
Navistar International Corp. (a)....... 530 17,718
Nordson Corp. ......................... 243 12,109
Robbins & Myers, Inc. ................. 106 4,867
Tecumseh Products Co. (Class A) (a).... 121 2,045
Tennant Co. ........................... 131 3,799
The Greenbrier Cos., Inc. ............. 107 3,210
The Manitowoc Co., Inc. ............... 487 28,942
The Timken Co. ........................ 668 19,492
The Toro Co. .......................... 330 15,388
Trinity Industries, Inc. .............. 628 22,106
Valmont Industries, Inc. .............. 144 7,991
Wabash National Corp. ................. 255 3,850
Wabtec Corp. .......................... 385 11,696
Watts Water Technologies, Inc. ........ 243 9,990
-----------
485,785
-----------
MARINE -- 0.3%
Alexander & Baldwin, Inc. ............. 340 15,076
American Commercial Lines, Inc. (a).... 189 12,381
Eagle Bulk Shipping, Inc. ............. 205 3,555
Genco Shipping & Trading, Ltd. ........ 95 2,654
Horizon Lines, Inc. ................... 196 5,284
Kirby Corp. (a)........................ 416 14,198
-----------
53,148
-----------
MEDIA -- 2.2%
ADVO, Inc. ............................ 256 8,346
Arbitron, Inc. ........................ 231 10,035
Belo Corp. ............................ 728 13,373
Carmike Cinemas, Inc. ................. 90 1,835
Catalina Marketing Corp. .............. 288 7,920
Charter Communications, Inc. (a)....... 3,649 11,166
Citadel Broadcasting Corp. ............ 272 2,709
CKX, Inc. (a).......................... 360 4,223
Courier Corp. ......................... 94 3,663
Cox Radio, Inc. (Class A) (a).......... 286 4,662
Crown Media Holdings, Inc. (Class A)
(a).................................. 75 272
Cumulus Media, Inc. (a)................ 301 3,127
Dow Jones & Co., Inc. ................. 415 15,770
DreamWorks Animation SKG, Inc. (Class
A) (a)............................... 445 13,123
Emmis Communications Corp. ............ 269 2,217
Entercom Communications Corp. ......... 250 7,045
Entravision Communications Corp. (a)... 454 3,732
Fisher Communications, Inc. (a)........ 56 2,476
GateHouse Media, Inc. ................. 111 2,060
Gemstar-TV Guide International, Inc.
(a).................................. 2,014 8,076
Gray Television, Inc. ................. 383 2,807
Harte-Hanks, Inc. ..................... 412 11,417
Hearst-Argyle Television, Inc. ........ 205 5,228
Interactive Data Corp. ................ 285 6,851
John Wiley & Sons, Inc. (Class A)...... 337 12,964
Journal Communications, Inc. .......... 335 4,224
Journal Register Co. .................. 349 2,548
Lee Enterprises, Inc. ................. 329 10,219
</Table>
See accompanying notes to financial statements.
11
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Lin TV Corp. (Class A) (a)............. 215 $ 2,139
Live Nation, Inc. (a).................. 457 10,237
Martha Stewart Living Omnimedia, Inc.
(Class A)............................ 198 4,336
McClatchy Co. (Class A)................ 440 19,052
Media General, Inc. (Class A).......... 177 6,579
Mediacom Communications Corp. (a)...... 437 3,513
Meredith Corp. ........................ 310 17,468
Morningstar, Inc. (a).................. 80 3,604
Primedia, Inc. (a)..................... 1,225 2,070
ProQuest Co. (a)....................... 178 1,860
Radio One, Inc. (Class A) (a).......... 647 4,354
RCN Corp. (a).......................... 286 8,623
Reader's Digest Association, Inc. ..... 778 12,993
Regal Entertainment Group.............. 598 12,749
Salem Communications Corp. ............ 101 1,207
Scholastic Corp. (a)................... 265 9,498
Sinclair Broadcast Group, Inc. ........ 371 3,896
Spanish Broadcasting System, Inc.
(a).................................. 320 1,315
Sun-Times Media Group, Inc. ........... 466 2,288
Tivo, Inc. (a)......................... 710 3,635
Valassis Communications, Inc. (a)...... 375 5,438
Warner Music Group Corp. .............. 370 8,492
Westwood One, Inc. .................... 564 3,982
World Wrestling Entertainment, Inc.
(Class A)............................ 141 2,298
-----------
333,714
-----------
METALS & MINING -- 1.9%
AK Steel Holding Corp. (a)............. 917 15,497
AMCOL International Corp. ............. 200 5,548
Brush Engineered Materials, Inc. (a)... 144 4,863
Carpenter Technology Corp. ............ 201 20,606
Century Aluminum Co. (a)............... 191 8,528
Chaparral Steel Co. (a)................ 340 15,052
Cleveland-Cliffs, Inc. ................ 327 15,840
Coeur d' Alene Mines Corp. (a)......... 2,200 10,890
Commercial Metals Co. ................. 953 24,587
Compass Minerals International,
Inc. ................................ 262 8,269
Gibraltar Industries, Inc. ............ 222 5,219
Hecla Mining Co. (a)................... 954 7,308
Kaiser Aluminum Corp. (a).............. 94 5,262
Meridian Gold, Inc. (a)................ 797 22,149
Metal Management, Inc. ................ 209 7,911
Oregon Steel Mills, Inc. (a)........... 282 17,600
Quanex Corp. .......................... 294 10,169
Reliance Steel & Aluminum Co. ......... 489 19,257
Royal Gold, Inc. ...................... 166 5,973
RTI International Metals, Inc. (a)..... 182 14,236
Ryerson Tull, Inc. .................... 178 4,466
Schnitzer Steel Industries, Inc. (Class
A)................................... 180 7,146
Steel Dynamics, Inc. .................. 729 23,656
Stillwater Mining Co. (a).............. 352 4,396
Worthington Industries, Inc. .......... 570 10,100
-----------
294,528
-----------
MULTI-UTILITIES -- 1.1%
Aquila, Inc. (a)....................... 2,957 13,898
Avista Corp. .......................... 393 9,947
CH Energy Group, Inc. ................. 125 6,600
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CMS Energy Corp. (a)................... 1,750 $ 29,225
NorthWestern Corp. .................... 282 9,977
OGE Energy Corp. ...................... 713 28,520
PNM Resources, Inc. ................... 508 15,799
Puget Energy, Inc. .................... 910 23,077
Vectren Corp. ......................... 613 17,336
WPS Resources Corp. ................... 340 18,370
-----------
172,749
-----------
MULTILINE RETAIL -- 0.5%
99 Cents Only Stores (a)............... 390 4,746
Big Lots, Inc. (a)..................... 876 20,078
Conn's, Inc. (a)....................... 97 2,257
Dillards, Inc. (Class A)............... 510 17,835
Fred's, Inc. (Class A)................. 297 3,576
Retail Ventures, Inc. (a).............. 192 3,656
Saks, Inc. ............................ 950 16,929
Tuesday Morning Corp. ................. 240 3,732
-----------
72,809
-----------
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp. (Class A)
(a).................................. 558 19,413
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.8%
Alliance Holdings GP LP................ 103 2,035
Alliance Resource Partners LP.......... 161 5,558
Alon USA Energy, Inc. ................. 76 2,000
Alpha Natural Resources, Inc. (a)...... 424 6,033
APCO Argentina, Inc. .................. 19 1,667
Atlas America, Inc. (a)................ 140 7,136
Atlas Pipeline Holdings LP............. 29 693
ATP Oil & Gas Corp. (a)................ 150 5,935
Aurora Oil & Gas Corp. (a)............. 817 2,623
Aventine Renewable Energy Holdings,
Inc. (a)............................. 275 6,479
Berry Petroleum Co. (Class A).......... 317 9,830
Bill Barrett Corp. (a)................. 225 6,122
Boardwalk Pipeline Partners LP......... 167 5,147
Bois d'Arc Energy, Inc. (a)............ 154 2,253
BP Prudhoe Bay Royalty Trust........... 170 13,087
Brigham Exploration Co. (a)............ 266 1,944
Buckeye GP Holdings LP................. 86 1,409
Buckeye Partners LP.................... 297 13,805
Cabot Oil & Gas Corp. ................. 384 23,290
Calumet Specialty Products Partners
LP................................... 95 3,804
Carrizo Oil & Gas, Inc. (a)............ 177 5,137
Cheniere Energy, Inc. (a).............. 410 11,837
Cimarex Energy Co. .................... 653 23,834
Comstock Resources, Inc. (a)........... 348 10,809
Crosstex Energy LP..................... 123 4,902
Crosstex Energy, Inc. ................. 400 12,676
DCP Midstream Partners LP.............. 84 2,902
Delek US Holdings, Inc. ............... 88 1,442
Delta Petroleum Corp. (a).............. 426 9,866
Denbury Resources, Inc. (a)............ 943 26,206
Dorchester Minerals LP................. 219 4,825
Double Hull Tankers, Inc. ............. 134 2,169
Enbridge Energy Management LLC (a)..... 78 3,783
Enbridge Energy Partners LP............ 395 19,509
Encore Aquisition Co. (a).............. 404 9,910
</Table>
See accompanying notes to financial statements.
12
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Energy Partners, Ltd. (a).............. 275 $ 6,715
Energy Transfer Equity LP.............. 302 9,483
Enterprise GP Holdings LP.............. 85 3,142
Evergreen Energy, Inc. (a)............. 643 6,359
EXCO Resources, Inc. (a)............... 669 11,313
Ferrellgas Partners LP................. 302 6,457
Forest Oil Corp. (a)................... 429 14,020
Foundation Coal Holdings, Inc. ........ 362 11,497
Frontier Oil Corp. .................... 880 25,291
Gasco Energy, Inc. (a)................. 755 1,850
General Maritime Corp. ................ 221 7,777
GeoMet, Inc. (a)....................... 80 832
Giant Industries, Inc. (a)............. 114 8,544
Goodrich Petroleum Corp. (a)........... 112 4,052
Harvest Natural Resources, Inc. (a).... 286 3,040
Helix Energy Solutions Group, Inc.
(a).................................. 653 20,485
Holly Corp. ........................... 375 19,275
Holly Energy Partners LP............... 51 2,053
Hugoton Royalty Trust.................. 327 8,044
Inergy Holdings LP..................... 79 3,160
Inergy LP.............................. 299 8,913
International Coal Group, Inc. (a)..... 955 5,205
James River Coal Co. (a)............... 138 1,281
Kinder Morgan Management LLC (a)....... 411 18,774
Linn Energy LLC........................ 116 3,706
Magellan Midstream Holdings LP......... 160 3,568
Magellan Midstream Partners LP......... 524 20,226
Mariner Energy, Inc. (a)............... 652 12,779
Markwest Energy Partners LP............ 109 6,502
Massey Energy Co. ..................... 598 13,892
McMoRan Exploration Co. (a)............ 197 2,801
Meridian Resource Corp. (a)............ 698 2,157
Natural Resource Partners LP........... 134 7,765
OMI Corp. ............................. 511 10,818
Overseas Shipholding Group, Inc. ...... 239 13,456
Pacific Ethanol, Inc. (a).............. 261 4,017
Parallel Petroleum Corp. (a)........... 313 5,499
Penn Virginia Corp. ................... 147 10,296
Penn Virginia Resource Partners LP..... 204 5,306
Petrohawk Energy Corp. (a)............. 1,318 15,157
Petroleum Development Corp. (a)........ 121 5,209
Plains All American Pipeline LP........ 619 31,693
Quicksilver Resources, Inc. (a)........ 435 15,917
Regency Energy Partners LP............. 167 4,534
Rentech, Inc. (a)...................... 1,054 3,974
Rosetta Resources, Inc. (a)............ 407 7,599
Ship Finance International, Ltd. ...... 331 7,865
St. Mary Land & Exploration Co. ....... 435 16,025
Stone Energy Corp. (a)................. 213 7,530
Sunoco Logistics Partners LP........... 129 6,522
Swift Energy Co. (a)................... 236 10,575
Syntroleum Corp. (a)................... 339 1,173
TC Pipelines LP........................ 130 4,680
Teekay LNG Partners LP................. 92 3,064
Teekay Shipping Corp. ................. 342 14,918
TEPPCO Partners LP..................... 598 24,105
The Houston Exploration Co. (a)........ 226 11,702
U.S. Shipping Partners LP.............. 47 881
USEC, Inc. ............................ 707 8,993
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Valero GP Holdings LLC................. 338 $ 8,389
Valero LP.............................. 291 16,229
Venoco, Inc. (a)....................... 159 2,792
VeraSun Energy Corp. (a)............... 144 2,844
W&T Offshore, Inc. .................... 213 6,543
Warren Resources, Inc. (a)............. 395 4,629
Western Refining, Inc. ................ 223 5,678
Whiting Petroleum Corp. (a)............ 292 13,607
Williams Partners LP................... 158 6,115
World Fuel Services Corp. ............. 230 10,226
-----------
880,175
-----------
PAPER & FOREST PRODUCTS -- 0.4%
Bowater, Inc. ......................... 448 10,080
Buckeye Technologies, Inc. (a)......... 304 3,642
Deltic Timber Corp. ................... 90 5,020
Glatfelter............................. 297 4,603
Louisiana-Pacific Corp. ............... 836 17,999
Neenah Paper, Inc. .................... 124 4,380
Schweitzer-Mauduit International,
Inc. ................................ 116 3,022
Wausau-Mosinee Paper Corp. ............ 400 5,996
-----------
54,742
-----------
PERSONAL PRODUCTS -- 0.5%
Bare Escentuals, Inc. (a).............. 129 4,008
Chattem, Inc. (a)...................... 117 5,859
Elizabeth Arden, Inc. (a).............. 185 3,524
Herbalife, Ltd. (a).................... 316 12,690
Mannatech, Inc. ....................... 120 1,768
NBTY, Inc. (a)......................... 479 19,912
Nu Skin Enterprises, Inc. (Class A).... 422 7,693
Playtex Products, Inc. (a)............. 466 6,706
Prestige Brands Holdings, Inc. (a)..... 280 3,646
Revlon, Inc. (Class A) (a)............. 1,210 1,549
USANA Health Sciences, Inc. (a)........ 85 4,391
-----------
71,746
-----------
PHARMACEUTICALS -- 0.9%
Adams Respiratory Therapeutics, Inc.
(a).................................. 249 10,162
Adolor Corp. (a)....................... 345 2,594
Alpharma, Inc. (Class A)............... 347 8,363
Atherogenics, Inc. (a)................. 317 3,142
KV Pharmaceutical Co. (Class A) (a).... 339 8,061
Medicis Pharmaceutical Corp. (Class
A)................................... 430 15,106
MGI Pharma, Inc. (a)................... 633 11,654
New River Pharmaceuticals, Inc. (a).... 126 6,893
Noven Pharmaceuticals, Inc. (a)........ 191 4,861
Par Pharmaceutical Cos., Inc. (a)...... 266 5,950
Perrigo Co. ........................... 612 10,588
Salix Pharmaceuticals, Ltd. (a)........ 381 4,637
Sciele Pharma, Inc. (a)................ 244 5,856
The Medicines Co. (a).................. 394 12,498
Valeant Pharmaceuticals
International........................ 735 12,671
Viropharma, Inc. (a)................... 566 8,286
-----------
131,322
-----------
REAL ESTATE INVESTMENT TRUSTS -- 7.2%
Acadia Realty Trust.................... 222 5,554
Alexander's, Inc. (a).................. 16 6,714
Alexandria Real Estate Equities,
Inc. ................................ 224 22,490
American Financial Realty Trust........ 1,037 11,863
</Table>
See accompanying notes to financial statements.
13
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
American Home Mortgage Investment
Corp. ............................... 366 $ 12,854
Annaly Mortgage Management, Inc. ...... 1,569 21,825
Anthracite Capital, Inc. .............. 428 5,448
Anworth Mortgage Asset Corp. .......... 370 3,519
Arbor Realty Trust, Inc. .............. 139 4,183
Ashford Hospitality Trust, Inc. ....... 501 6,237
BioMed Realty Trust, Inc. ............. 520 14,872
Brandywine Realty Trust................ 717 23,840
BRE Properties, Inc. (Class A)......... 405 26,333
Capital Lease Funding, Inc. ........... 262 3,039
Capital Trust, Inc. (Class A).......... 122 6,093
CBL & Associates Properties, Inc. ..... 509 22,065
CBRE Realty Finance, Inc. ............. 78 1,225
CentraCore Properties Trust............ 94 3,039
Colonial Properties Trust.............. 365 17,111
Corporate Office Properties Trust...... 336 16,958
Cousins Properties, Inc. .............. 321 11,322
Crescent Real Estate Equities Co. ..... 774 15,287
Crystal River Capital, Inc. ........... 60 1,532
Deerfield Triarc Capital Corp. ........ 335 5,672
DiamondRock Hospitality Co. ........... 636 11,454
Digital Realty Trust, Inc. ............ 359 12,289
Douglas Emmett, Inc. .................. 535 14,226
EastGroup Properties, Inc. ............ 183 9,802
Education Realty Trust, Inc. .......... 210 3,102
Entertainment Properties Trust......... 209 12,214
Equity Inns, Inc. ..................... 446 7,118
Equity Lifestyle Properties, Inc. ..... 176 9,580
Equity One, Inc. ...................... 309 8,238
Essex Property Trust, Inc. ............ 185 23,911
Extra Space Storage, Inc. ............. 569 10,390
FelCor Lodging Trust, Inc. ............ 479 10,461
Fieldstone Investment Corp. ........... 395 1,730
First Industrial Realty Trust, Inc. ... 351 16,458
First Potomac Realty Trust............. 196 5,706
Franklin Street Properties Corp. ...... 505 10,630
Friedman, Billings, Ramsey Group,
Inc. ................................ 1,194 9,552
Getty Realty Corp. .................... 155 4,790
Glimcher Realty Trust.................. 302 8,066
Global Signal, Inc. ................... 171 9,007
GMH Communities Trust.................. 340 3,451
Gramercy Capital Corp./New York........ 162 5,004
Health Care REIT, Inc. ................ 568 24,435
Healthcare Realty Trust, Inc. ......... 377 14,907
Highland Hospitality Corp. ............ 458 6,527
Highwoods Properties, Inc. ............ 428 17,445
Home Properties, Inc. ................. 264 15,647
HomeBanc Corp. ........................ 352 1,489
HRPT Properties Trust.................. 1,660 20,501
Impac Mortgage Holdings, Inc. ......... 559 4,919
Inland Real Estate Corp. .............. 484 9,061
Innkeepers USA Trust................... 334 5,177
Investors Real Estate Trust............ 351 3,601
JER Investors Trust, Inc. ............. 209 4,320
Kilroy Realty Corp. ................... 256 19,968
KKR Financial Corp. ................... 637 17,065
LaSalle Hotel Properties............... 316 14,489
Lexington Corporate Properties Trust... 413 9,259
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Longview Fibre Co. .................... 529 $ 11,612
LTC Properties, Inc. .................. 173 4,725
Luminent Mortgage Capital, Inc. ....... 359 3,486
Maguire Properties, Inc. .............. 286 11,440
Medical Properties Trust, Inc. ........ 322 4,927
MFA Mortgage Investments, Inc. ........ 628 4,829
Mid-America Apartment Communities,
Inc. ................................ 197 11,276
Mills Corp. ........................... 424 8,480
National Health Investors, Inc. ....... 203 6,699
National Retail Properties, Inc. ...... 465 10,672
Nationwide Health Properties, Inc. .... 656 19,824
New Century Financial Corp. ........... 402 12,699
Newcastle Investment Corp. ............ 362 11,338
Newkirk Realty Trust, Inc. ............ 118 2,129
Novastar Financial, Inc. .............. 278 7,409
Omega Healthcare Investors, Inc. ...... 465 8,240
Parkway Properties, Inc. .............. 114 5,815
Pennsylvania Real Estate Investment
Trust................................ 299 11,775
Post Properties, Inc. ................. 342 15,629
Potlatch Corp. ........................ 311 13,628
PS Business Parks, Inc. ............... 130 9,192
RAIT Investment Trust.................. 412 14,206
Ramco-Gershenson Properties Trust...... 137 5,225
Rayonier, Inc. ........................ 602 24,712
Realty Income Corp. ................... 857 23,739
Reckson Associates Realty Corp. ....... 652 29,731
Redwood Trust, Inc. ................... 198 11,500
Saul Centers, Inc. .................... 91 5,022
Senior Housing Properties Trust........ 603 14,761
Sovran Self Storage, Inc. ............. 162 9,279
Spirit Finance Corp. .................. 777 9,689
Strategic Hotels & Resorts, Inc. ...... 587 12,791
Sun Communities, Inc. ................. 135 4,369
Sunstone Hotel Investors, Inc. ........ 462 12,349
Tanger Factory Outlet Centers, Inc. ... 242 9,457
Taubman Centers, Inc. ................. 419 21,310
Trustreet Properties, Inc. ............ 524 8,829
U-Store-It Trust....................... 382 7,850
Universal Health Realty Income Trust... 96 3,742
Urstadt Biddle Properties (Class A).... 150 2,864
Washington Real Estate Investment
Trust................................ 357 14,280
-----------
1,106,593
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3%
Affordable Residential Communities
(a).................................. 279 3,250
Jones Lang LaSalle, Inc. .............. 287 26,453
Move, Inc. (a)......................... 1,107 6,099
Tejon Ranch Co. (a).................... 90 5,026
-----------
40,828
-----------
ROAD & RAIL -- 1.4%
Amerco, Inc. (a)....................... 61 5,308
Arkansas Best Corp. ................... 182 6,552
Avis Budget Group, Inc. ............... 792 17,179
Con-way, Inc. ......................... 381 16,779
Dollar Thrifty Automotive Group (a).... 179 8,164
Florida East Coast Industries, Inc. ... 166 9,894
Genesee & Wyoming, Inc. (Class A)
(a).................................. 306 8,029
Heartland Express, Inc. ............... 475 7,135
Kansas City Southern (a)............... 598 17,330
</Table>
See accompanying notes to financial statements.
14
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Knight Transportation, Inc. ........... 446 $ 7,604
Laidlaw International, Inc. ........... 652 19,840
Landstar Systems, Inc. ................ 451 17,219
Old Dominion Freight Line, Inc. (a).... 259 6,234
RailAmerica, Inc. (a).................. 285 4,583
Ryder Systems, Inc. ................... 484 24,713
Swift Transportation Co., Inc. (a)..... 372 9,773
Werner Enterprises, Inc. .............. 432 7,551
YRC Worldwide, Inc. (a)................ 460 17,356
-----------
211,243
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3%
Actel Corp. (a)........................ 203 3,687
Advanced Analogic Technologies, Inc.
(a).................................. 233 1,256
Advanced Energy Industries, Inc. (a)... 286 5,397
Agere Systems, Inc. (a)................ 1,340 25,688
AMIS Holdings, Inc. (a)................ 363 3,837
Amkor Technology, Inc. (a)............. 816 7,621
Applied Micro Circuits Corp. (a)....... 2,339 8,327
Atheros Communications, Inc. (a)....... 405 8,635
Atmel Corp. (a)........................ 3,551 21,484
ATMI, Inc. (a)......................... 280 8,548
Axcelis Technologies, Inc. (a)......... 804 4,687
Brooks Automation, Inc. (a)............ 585 8,424
Cabot Microelectronics Corp. (a)....... 192 6,517
Cirrus Logic, Inc. (a)................. 605 4,162
Cohu, Inc. ............................ 152 3,064
Conexant Systems, Inc. (a)............. 3,821 7,795
Credence Systems Corp. (a)............. 609 3,167
Cree, Inc. (a)......................... 609 10,548
Cymer, Inc. (a)........................ 301 13,229
Cypress Semiconductor Corp. (a)........ 1,127 19,013
Diodes, Inc. (a)....................... 159 5,641
DSP Group, Inc. (a).................... 234 5,078
Entegris, Inc. (a)..................... 957 10,355
Exar Corp. (a)......................... 282 3,666
Fairchild Semiconductor International,
Inc. (a)............................. 962 16,171
FEI Co. (a)............................ 267 7,041
Formfactor, Inc. (a)................... 335 12,479
Genesis Microchip, Inc. (a)............ 252 2,555
Hittite Microwave Corp. (a)............ 107 3,458
Integrated Device Technology, Inc.
(a).................................. 1,586 24,551
Kopin Corp. (a)........................ 582 2,078
Kulicke & Soffa Industries, Inc. (a)... 468 3,931
Lattice Semiconductor Corp. (a)........ 861 5,579
Mattson Technology, Inc. (a)........... 418 3,896
Micrel, Inc. (a)....................... 462 4,980
Microsemi Corp. (a).................... 546 10,729
MKS Instruments, Inc. (a).............. 306 6,910
Netlogic Microsystems, Inc. (a)........ 136 2,950
OmniVision Technologies, Inc. (a)...... 417 5,692
ON Semiconductor Corp. (a)............. 1,492 11,294
PDF Solutions, Inc. (a)................ 180 2,601
Photronics, Inc. (a)................... 297 4,853
PMC-Sierra, Inc. (a)................... 1,657 11,118
PortalPlayer, Inc. (a)................. 194 2,609
Power Integrations, Inc. (a)........... 239 5,605
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Rambus, Inc. (a)....................... 774 $ 14,652
RF Micro Devices, Inc. (a)............. 1,515 10,287
Semtech Corp. (a)...................... 578 7,554
Silicon Image, Inc. (a)................ 644 8,192
Silicon Laboratories, Inc. (a)......... 404 13,999
Silicon Storage Technology, Inc. (a)... 722 3,256
Sirf Technology Holdings, Inc. (a)..... 373 9,519
Skyworks Solutions, Inc. (a)........... 1,262 8,935
Spansion, Inc. (a)..................... 672 9,986
Standard Microsystems Corp. (a)........ 182 5,092
Tessera Technologies, Inc. (a)......... 365 14,724
Trident Microsystems, Inc. (a)......... 463 8,417
TriQuint Semiconductor, Inc. (a)....... 1,095 4,928
Ultratech, Inc. (a).................... 177 2,209
Varian Semiconductor Equipment
Associates, Inc. (a)................. 443 20,165
Veeco Instruments, Inc. (a)............ 199 3,727
Zoran Corp. (a)........................ 387 5,642
-----------
502,190
-----------
SOFTWARE -- 2.9%
Advent Software, Inc. (a).............. 156 5,505
Agile Software Corp. (a)............... 372 2,288
Altiris, Inc. (a)...................... 195 4,949
Ansys, Inc. (a)........................ 252 10,959
Aspen Technology, Inc. (a)............. 410 4,518
Blackbaud, Inc. ....................... 348 9,048
Blackboard, Inc. (a)................... 194 5,828
Borland Software Corp. (a)............. 667 3,628
Commvault Systems, Inc. (a)............ 90 1,801
Compuware Corp. (a).................... 2,790 23,241
Concur Technologies, Inc. (a).......... 274 4,395
Epicor Software Corp. (a).............. 365 4,931
eSpeed, Inc. (a)....................... 237 2,069
Factset Research Systems, Inc. ........ 299 16,887
Fair Isaac Corp. ...................... 507 20,610
FalconStor Software, Inc. (a).......... 200 1,730
Hyperion Solutions Corp. (a)........... 466 16,748
i2 Technologies, Inc. (a).............. 110 2,510
Informatica Corp. (a).................. 698 8,523
InterVoice, Inc. (a)................... 307 2,352
Jack Henry & Associates, Inc. ......... 672 14,381
JDA Software Group, Inc. (a)........... 238 3,277
Kronos, Inc. (a)....................... 247 9,075
Lawson Software, Inc. (a).............. 1,106 8,173
Macrovision Corp. (a).................. 417 11,784
Magma Design Automation, Inc. (a)...... 233 2,081
Manhattan Associates, Inc. (a)......... 219 6,587
Mentor Graphics Corp. (a).............. 646 11,647
MICROS Systems, Inc. (a)............... 314 16,548
MicroStrategy, Inc. (a)................ 79 9,007
Midway Games, Inc. (a)................. 79 551
MSC Software Corp. (a)................. 316 4,813
NAVTEQ Corp. (a)....................... 732 25,598
Novell, Inc. (a)....................... 2,683 16,635
Nuance Communications, Inc. (a)........ 1,109 12,709
Open Solutions, Inc. (a)............... 165 6,211
Opsware, Inc. (a)...................... 744 6,562
Parametric Technology Corp. (a)........ 880 15,858
</Table>
See accompanying notes to financial statements.
15
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Progress Software Corp. (a)............ 335 $ 9,357
Quality Systems, Inc. ................. 138 5,143
Quest Software, Inc. (a)............... 449 6,578
Sonic Solutions, Inc. (a).............. 212 3,456
Sybase, Inc. (a)....................... 723 17,858
Take-Two Interactive Software, Inc.
(a).................................. 573 10,176
THQ, Inc. (a).......................... 504 16,390
TIBCO Software, Inc. (a)............... 1,666 15,727
Transaction Systems Architects, Inc.
(a).................................. 296 9,641
Ulticom, Inc. (a)...................... 100 959
Verint Systems, Inc. (a)............... 100 3,428
Wind River Systems, Inc. (a)........... 661 6,775
Witness Systems, Inc. (a).............. 275 4,821
-----------
444,326
-----------
SPECIALTY RETAIL -- 3.2%
Aaron Rents, Inc. (Class B)............ 384 11,052
AC Moore Arts & Crafts, Inc. (a)....... 111 2,405
Aeropostale, Inc. (a).................. 423 13,058
AnnTaylor Stores Corp. (a)............. 579 19,014
Asbury Automotive Group, Inc. ......... 204 4,806
Barnes & Noble, Inc. .................. 420 16,678
Bebe Stores, Inc. ..................... 184 3,641
Big 5 Sporting Goods Corp. ............ 168 4,103
Blockbuster, Inc. (Class A) (a)........ 1,397 7,390
Borders Group, Inc. ................... 500 11,175
Buckle, Inc. .......................... 79 4,017
Build-A-Bear Workshop, Inc. (a)........ 121 3,390
Cabela's, Inc. (a)..................... 350 8,446
Charming Shoppes, Inc. (a)............. 990 13,395
Christopher & Banks Corp. ............. 294 5,486
Claire's Stores, Inc. ................. 716 23,728
Cost Plus, Inc. (a).................... 132 1,360
CSK Auto Corp. (a)..................... 346 5,934
DEB Shops, Inc. ....................... 29 766
Dick's Sporting Goods, Inc. (a)........ 267 13,080
Dress Barn, Inc. (a)................... 371 8,656
DSW, Inc. (Class A) (a)................ 120 4,628
GameStop Corp. (Class A) (a)........... 519 28,602
Genesco, Inc. (a)...................... 182 6,789
Group 1 Automotive, Inc. .............. 170 8,792
Guess ?, Inc. (a)...................... 246 15,604
Guitar Center, Inc. (a)................ 221 10,047
Gymboree Corp. (a)..................... 254 9,693
Hibbett Sporting Goods, Inc. (a)....... 265 8,091
Hot Topic, Inc. (a).................... 351 4,682
J Crew Group, Inc. (a)................. 244 9,406
Jo-Ann Stores, Inc. (a)................ 184 4,526
Jos. A. Bank Clothiers, Inc. (a)....... 146 4,285
Lithia Motors, Inc. (Class A).......... 116 3,336
Mens Wearhouse, Inc. .................. 381 14,577
New York & Co., Inc. (a)............... 180 2,354
OfficeMax, Inc. ....................... 577 28,648
Pacific Sunwear of California, Inc.
(a).................................. 556 10,887
Payless ShoeSource, Inc. (a)........... 525 17,231
Pier 1 Imports, Inc. .................. 645 3,838
Rent-A-Center, Inc. (a)................ 549 16,201
Select Comfort Corp. (a)............... 420 7,304
Sonic Automotive, Inc. (Class A)....... 231 6,708
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Stage Stores, Inc. .................... 219 $ 6,655
Stein Mart, Inc. ...................... 217 2,877
Talbots, Inc. ......................... 176 4,242
The Cato Corp. (Class A)............... 254 5,819
The Children's Place Retail Stores,
Inc. (a)............................. 189 12,005
The Finish Line, Inc. (Class A)........ 322 4,598
The Pep Boys -- Manny, Moe & Jack...... 338 5,023
Tractor Supply Co. (a)................. 273 12,206
Tween Brands, Inc. (a)................. 266 10,621
United Auto Group, Inc. ............... 322 7,590
West Marine, Inc. (a).................. 110 1,900
Zale Corp. (a)......................... 381 10,748
Zumiez, Inc. (a)....................... 130 3,840
-----------
495,933
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.4%
Brown Shoe Co., Inc. (a)............... 224 10,694
Carter's, Inc. (a)..................... 401 10,226
Columbia Sportswear Co. ............... 107 5,960
CROCS, Inc. (a)........................ 298 12,874
Deckers Outdoor Corp. (a).............. 85 5,096
Fossil, Inc. (a)....................... 387 8,738
Hanesbrands, Inc. (a).................. 757 17,880
Heelys, Inc. (a)....................... 29 931
K-Swiss, Inc. (Class A)................ 209 6,425
Kellwood Co. .......................... 189 6,146
Kenneth Cole Productions, Inc. (Class
A)................................... 98 2,351
Maidenform Brands, Inc. (a)............ 125 2,265
Movado Group, Inc. .................... 145 4,205
Oxford Industries, Inc. ............... 126 6,256
Phillips-Van Heusen Corp. ............. 436 21,874
Quiksilver, Inc. (a)................... 964 15,183
Skechers USA, Inc. (a)................. 185 6,162
Steven Madden, Ltd. ................... 159 5,579
Stride Rite Corp. ..................... 276 4,162
The Timberland Co. (Class A) (a)....... 412 13,011
Under Armour, Inc. (Class A) (a)....... 229 11,553
UniFirst Corp. ........................ 109 4,187
Volcom, Inc. (a)....................... 112 3,312
Warnaco Group, Inc. (a)................ 367 9,314
Wolverine World Wide, Inc. ............ 444 12,663
Xerium Technologies, Inc. ............. 166 1,625
-----------
208,672
-----------
THRIFTS & MORTGAGE FINANCE -- 1.8%
Accredited Home Lenders Holding Co.
(a).................................. 189 5,156
Anchor Bancorp Wisconsin, Inc. ........ 162 4,669
Bank Mutual Corp. ..................... 475 5,752
BankAtlantic Bancorp, Inc. (Class A)... 370 5,110
BankUnited Financial Corp. ............ 287 8,025
Brookline Bancorp, Inc. ............... 507 6,677
Capitol Federal Financial.............. 170 6,531
Charter Financial Corp. ............... 30 1,546
CharterMac............................. 407 8,738
City Bank.............................. 115 4,099
Clayton Holdings, Inc. (a)............. 90 1,684
Clifton Savings Bancorp, Inc. ......... 112 1,365
Corus Bankshares, Inc. ................ 273 6,298
Dime Community Bancshares.............. 270 3,783
Doral Financial Corp. ................. 756 2,170
</Table>
See accompanying notes to financial statements.
16
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Downey Financial Corp. ................ 164 $ 11,903
Fidelity Bankshares, Inc. ............. 184 7,299
First Busey Corp. ..................... 131 3,020
First Financial Holdings, Inc. ........ 95 3,722
First Niagara Financial Group, Inc. ... 880 13,077
First Place Financial Corp. ........... 132 3,101
FirstFed Financial Corp. (a)........... 132 8,840
Flagstar Bancorp, Inc. ................ 310 4,600
Flushing Financial Corp. .............. 160 2,731
Franklin Bank Corp. (a)................ 191 3,923
Fremont General Corp. ................. 535 8,672
IndyMac Bancorp, Inc. ................. 548 24,748
Kearny Financial Corp. ................ 174 2,794
KNBT Bancorp, Inc. .................... 220 3,681
MAF Bancorp, Inc. ..................... 246 10,994
NetBank, Inc. ......................... 375 1,740
NewAlliance Bancshares, Inc. .......... 814 13,350
Northwest Bancorp, Inc. ............... 169 4,641
OceanFirst Financial Corp. ............ 67 1,536
Ocwen Financial Corp. (a).............. 299 4,742
Partners Trust Financial Group,
Inc. ................................ 346 4,027
PFF Bancorp, Inc. ..................... 171 5,901
Provident Financial Services, Inc. .... 483 8,757
Provident New York Bancorp............. 337 5,048
Roma Financial Corp. (a)............... 81 1,341
TierOne Corp. ......................... 137 4,331
Triad Guaranty, Inc. (a)............... 98 5,377
TrustCo Bank Corp. NY.................. 601 6,683
United Community Financial Corp. ...... 220 2,693
W Holding Co., Inc. ................... 1,071 6,383
Washington Federal, Inc. .............. 698 16,424
Wauwatosa Holdings, Inc. (a)........... 80 1,426
WSFS Financial Corp. .................. 50 3,346
-----------
282,454
-----------
TOBACCO -- 0.1%
Universal Corp. ....................... 205 10,047
Vector Group, Ltd. .................... 238 4,225
-----------
14,272
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aircastle, Ltd. ....................... 73 2,154
Applied Industrial Technologies,
Inc. ................................ 315 8,288
Beacon Roofing Supply, Inc. (a)........ 350 6,587
BlueLinx Holdings, Inc. ............... 95 988
GATX Corp. ............................ 356 15,426
H&E Equipment Services, Inc. (a)....... 129 3,195
Interline Brands, Inc. (a)............. 243 5,460
Kaman Corp. (Class A).................. 187 4,187
Lawson Products, Inc. ................. 34 1,560
MSC Industrial Direct Co., Inc. (Class
A)................................... 371 14,525
TAL International Group, Inc. ......... 134 3,576
TransDigm Group, Inc. (a).............. 110 2,916
UAP Holding Corp. ..................... 315 7,932
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
United Rentals, Inc. (a)............... 524 $ 13,325
Watsco, Inc. .......................... 195 9,196
Wesco International, Inc. (a).......... 388 22,818
Williams Scotsman International, Inc.
(a).................................. 192 3,767
-----------
125,900
-----------
TRANSPORTATION INFRASTRUCTURE -- 0.1%
Interpool, Inc. ....................... 82 1,916
Macquarie Infrastructure Co. Trust..... 273 9,686
-----------
11,602
-----------
WATER UTILITIES -- 0.3%
American States Water Co. ............. 135 5,214
Aqua America, Inc. .................... 1,044 23,782
California Water Service Group......... 154 6,222
SJW Corp. ............................. 96 3,721
-----------
38,939
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
Centennial Communications Corp. ....... 190 1,366
Dobson Communications Corp. (Class A)
(a).................................. 1,186 10,330
FiberTower Corp. (a)................... 937 5,510
ICO Global Communications Holdings,
Ltd. (a)............................. 879 4,017
iPCS, Inc. (a)......................... 87 4,816
Leap Wireless International, Inc.
(a).................................. 374 22,242
SBA Communications Corp. (a)........... 701 19,277
Syniverse Holdings, Inc. (a)........... 225 3,373
USA Mobility, Inc. .................... 201 4,496
-----------
75,427
-----------
TOTAL COMMON STOCKS --
(Cost $15,160,490)................... 15,270,129
-----------
RIGHTS -- 0.0% (B)
Affordable Residential Communities,
Inc. (expiring 1/23/07) (a) (c)...... 389 343
Revlon, Inc. (expiring 1/19/07) (a).... 1,860 93
-----------
TOTAL RIGHTS
(Cost $0)............................ 436
-----------
WARRANTS -- 0.0% (B)
Pegasus (a)
(Cost $0)............................ 97 --
-----------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
AIM Short Term Investment Class Prime
Fund (Cost $58,609).................. 58,609 58,609
-----------
TOTAL INVESTMENTS -- 100.2%
(Cost $15,219,099)................... 15,329,174
OTHER ASSETS AND
LIABILITIES -- (0.2)%................ (26,906)
-----------
NET ASSETS -- 100.0%................... $15,302,268
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
See accompanying notes to financial statements.
17
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
AAR Corp. (a)......................... 3,267 $ 95,364
Argon ST, Inc. (a).................... 1,272 27,399
Armor Holdings, Inc. (a).............. 2,954 162,027
BE Aerospace, Inc. (a)................ 6,945 178,347
Ceradyne, Inc. (a).................... 2,234 126,221
DynCorp International, Inc. (a)....... 2,272 36,057
EDO Corp. ............................ 1,357 32,215
Hexcel Corp. (a)...................... 8,281 144,172
Innovative Solutions & Support, Inc.
(a)................................. 1,058 18,018
Ionatron, Inc. (a).................... 2,444 10,020
K&F Industries Holdings, Inc. (a)..... 1,577 35,814
Moog, Inc. (a)........................ 3,381 129,120
MTC Technologies, Inc. (a)............ 900 21,195
Orbital Sciences Corp. (a)............ 5,373 99,078
Taser International, Inc. (a)......... 5,428 41,307
Teledyne Technologies, Inc. (a)....... 2,844 114,130
United Industrial Corp. .............. 833 42,275
-----------
1,312,759
-----------
AIR FREIGHT & LOGISTICS -- 0.8%
ABX Air, Inc. (a)..................... 5,180 35,898
Atlas Air Worldwide Holdings, Inc.
(a)................................. 1,306 58,117
EGL, Inc. (a)......................... 2,915 86,809
Forward Air Corp. .................... 2,695 77,966
HUB Group, Inc. (Class A) (a)......... 3,513 96,783
Pacer International, Inc. ............ 3,243 96,544
UTI Worldwide, Inc. .................. 7,159 214,054
-----------
666,171
-----------
AIRLINES -- 1.4%
AirTran Holdings, Inc. (a)............ 8,042 94,413
Allegiant Travel Co. (a).............. 400 11,224
Continental Airlines, Inc. (Class B)
(a)................................. 7,922 326,783
ExpressJet Holdings, Inc. (a)......... 4,375 35,438
JetBlue Airways Corp. (a)............. 14,487 205,715
Republic Airways Holdings, Inc. (a)... 2,898 48,628
SkyWest, Inc. ........................ 5,675 144,769
US Airways Group, Inc. (a)............ 5,767 310,553
-----------
1,177,523
-----------
AUTO COMPONENTS -- 0.8%
Drew Industries, Inc. (a)............. 1,695 44,087
Gentex Corp. ......................... 12,753 198,437
LKQ Corp. (a)......................... 4,424 101,708
The Goodyear Tire & Rubber Co. (a).... 13,981 293,461
-----------
637,693
-----------
AUTOMOBILES -- 0.3%
Fleetwood Enterprises, Inc. (a)....... 5,647 44,668
Thor Industries, Inc. ................ 3,385 148,906
Winnebago Industries, Inc. ........... 2,615 86,060
-----------
279,634
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
BEVERAGES -- 0.3%
Boston Beer Co., Inc. (a)............. 881 $ 31,699
Coca-Cola Hellenic Bottling Co. SA.... 340 23,266
Hansen Natural Corp. (a).............. 6,400 215,552
Jamba, Inc. (a)....................... 1,900 19,133
-----------
289,650
-----------
BIOTECHNOLOGY -- 4.0%
Alexion Pharmaceuticals, Inc. (a)..... 3,037 122,664
Alkermes, Inc. (a).................... 8,959 119,782
Altus Pharmaceuticals, Inc. (a)....... 1,162 21,904
Applera Corp. -- Celera Genomics Group
(a)................................. 6,863 96,013
Arena Pharmaceuticals, Inc. (a)....... 5,066 65,402
Ariad Pharmaceuticals, Inc. (a)....... 5,521 28,378
BioMarin Pharmaceuticals, Inc. (a).... 8,158 133,710
Cepheid, Inc. (a)..................... 4,867 41,370
Coley Pharmaceutical Group, Inc.
(a)................................. 1,609 15,591
Cubist Pharmaceuticals, Inc. (a)...... 4,863 88,069
CV Therapeutics, Inc. (a)............. 4,837 67,525
Dendreon Corp. (a).................... 6,410 26,730
Digene Corp. (a)...................... 1,999 95,792
Encysive Pharmaceuticals, Inc. (a).... 5,063 21,315
Enzon Pharmaceuticals, Inc. (a)....... 3,934 33,478
Geron Corp. (a)....................... 5,941 52,162
Human Genome Sciences, Inc. (a)....... 11,530 143,433
ICOS Corp. (a)........................ 5,349 180,743
Idenix Pharmaceuticals, Inc. (a)...... 1,799 15,633
ImClone Systems, Inc. (a)............. 5,300 141,828
InterMune, Inc. (a)................... 2,261 69,526
Isis Pharmaceuticals, Inc. (a)........ 6,952 77,306
Keryx Biopharmaceuticals, Inc. (a).... 3,619 48,133
Lexicon Genetics, Inc. (a)............ 5,881 21,230
Ligand Pharmaceuticals, Inc. (Class B)
(a)................................. 5,188 56,809
MannKind Corp. (a).................... 3,560 58,704
Martek Biosciences Corp. (a).......... 2,815 65,702
Maxygen, Inc. (a)..................... 2,631 28,336
Medarex, Inc. (a)..................... 10,811 159,895
Momenta Pharmaceuticals, Inc. (a)..... 2,269 35,691
Myriad Genetics, Inc. (a)............. 3,528 110,426
Neurocrine Biosciences, Inc. (a)...... 3,421 35,647
Northfield Laboratories, Inc. (a)..... 2,247 9,145
Nuvelo, Inc. (a)...................... 4,332 17,328
Onyx Pharmaceuticals, Inc. (a)........ 3,677 38,903
OSI Pharmaceuticals, Inc. (a)......... 5,121 179,133
PDL BioPharma, Inc. (a)............... 10,161 204,643
Pharmion Corp. (a).................... 2,393 61,596
Progenics Pharmaceuticals, Inc. (a)... 2,003 51,557
Regeneron Pharmaceuticals, Inc. (a)... 5,702 114,439
Renovis, Inc. (a)..................... 2,078 6,566
Tanox, Inc. (a)....................... 2,138 42,546
Telik, Inc. (a)....................... 4,648 20,591
Theravance, Inc. (a).................. 4,144 128,008
United Therapeutics Corp. (a)......... 1,902 103,412
Zymogenetics, Inc. (a)................ 3,416 53,187
-----------
3,309,981
-----------
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
BUILDING PRODUCTS -- 0.3%
Griffon Corp. (a)..................... 2,357 $ 60,104
Jacuzzi Brands, Inc. (a).............. 6,914 85,941
Simpson Manufacturing Co., Inc. ...... 3,350 106,027
Trex Co., Inc. (a).................... 1,124 25,728
-----------
277,800
-----------
CAPITAL MARKETS -- 1.1%
ACA Capital Holdings, Inc. (a)........ 614 9,492
Affiliated Managers Group, Inc. (a)... 2,665 280,172
Calamos Asset Management, Inc. (Class
B).................................. 2,028 54,411
GFI Group, Inc. (a)................... 1,375 85,608
Greenhill & Co., Inc. ................ 1,046 77,195
Investors Financial Services Corp. ... 5,727 244,371
KBW, Inc. (a)......................... 607 17,840
optionsXpress Holdings, Inc. ......... 3,967 90,011
Penson Worldwide, Inc. (a)............ 1,535 42,074
TradeStation Group, Inc. (a).......... 3,100 42,625
-----------
943,799
-----------
CHEMICALS -- 0.9%
American Vanguard Corp. .............. 1,835 29,177
CF Industries Holdings, Inc. ......... 4,423 113,406
Nalco Holding Co. (a)................. 8,393 171,721
Rockwood Holdings, Inc. (a)........... 3,198 80,781
Symyx Technologies, Inc. (a).......... 2,914 62,913
Terra Industries, Inc. (a)............ 8,190 98,116
The Scotts Miracle-Gro Co. (Class
A).................................. 4,076 210,525
-----------
766,639
-----------
COMMERCIAL BANKS -- 2.3%
Bank of the Ozarks, Inc. ............. 1,102 36,432
Boston Private Financial Holdings,
Inc. ............................... 3,235 91,259
Cascade Bancorp....................... 1,892 58,709
Cathay General Bancorp................ 3,937 135,866
CoBiz, Inc. .......................... 1,317 29,027
East West Bancorp, Inc. .............. 5,132 181,775
First Community Bancorp, Inc. ........ 2,398 125,343
Hanmi Financial Corp. ................ 4,370 98,456
Nara Bancorp, Inc. ................... 1,975 41,317
Old Second Bancorp, Inc. ............. 1,129 33,080
PrivateBancorp, Inc. ................. 1,872 77,931
Prosperity Bancshares, Inc. .......... 2,913 100,528
Signature Bank (a).................... 2,612 80,920
Sterling Financial
Corp. -- Washington................. 3,720 125,773
Texas Capital Bancshares, Inc. (a).... 2,310 45,923
Trico Bancshares...................... 1,344 36,570
UCBH Holdings, Inc. .................. 8,373 147,030
Umpqua Holdings Corp. ................ 5,106 150,270
United Community Banks, Inc. ......... 3,555 114,898
Virginia Commerce Bancorp, Inc. (a)... 1,662 33,040
Western Alliance Bancorp (a).......... 1,727 60,048
Wintrust Financial Corp. ............. 2,298 110,350
-----------
1,914,545
-----------
COMMERCIAL SERVICES & SUPPLIES -- 4.7%
ACCO Brands Corp. (a)................. 4,295 113,689
Administaff, Inc. .................... 2,220 94,949
Advisory Board Co. (a)................ 1,638 87,698
American Reprographics Co. (a)........ 2,295 76,446
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CBIZ, Inc. (a)........................ 4,909 $ 34,216
Cenveo, Inc. (a)...................... 3,795 80,454
Clean Harbors, Inc. (a)............... 1,358 65,741
Copart, Inc. (a)...................... 5,997 179,910
Corrections Corp. of America (a)...... 5,305 239,945
CoStar Group, Inc. (a)................ 1,664 89,124
Covanta Holding Corp. (a)............. 7,935 174,887
CRA International, Inc. (a)........... 1,014 53,134
Diamond Management & Technology
Consultants, Inc. .................. 2,863 35,616
ExlService Holdings, Inc. (a)......... 446 9,384
First Advantage Corp. (Class A) (a)... 659 15,131
FTI Consulting, Inc. (a).............. 3,560 99,288
Fuel Tech, Inc. (a)................... 1,500 36,960
Global Cash Access, Inc. (a).......... 4,065 65,975
Healthcare Services Group, Inc. ...... 2,138 61,916
HNI Corp. ............................ 3,557 157,966
Hudson Highland Group, Inc. (a)....... 2,129 35,512
Huron Consulting Group, Inc. (a)...... 1,317 59,713
IHS, Inc. (a)......................... 2,664 105,175
Kforce, Inc. (a)...................... 3,533 42,997
Knoll, Inc. .......................... 3,840 84,480
Korn/Ferry International (a).......... 3,804 87,340
Labor Ready, Inc. (a)................. 4,613 84,556
LECG Corp. (a)........................ 2,087 38,568
Mine Safety Appliances Co. ........... 2,473 90,635
Mobile Mini, Inc. (a)................. 3,134 84,430
Navigant Consulting, Inc. (a)......... 4,905 96,923
Pike Electric Corp. (a)............... 1,543 25,197
Resources Connection, Inc. (a)........ 4,059 129,239
Rollins, Inc. ........................ 3,148 69,602
SAIC, Inc. (a)........................ 7,642 135,951
Spherion Corp. (a).................... 5,130 38,116
Steelcase, Inc. (Class A)............. 5,574 101,224
Stericycle, Inc. (a).................. 3,897 294,223
TeleTech Holdings, Inc. (a)........... 3,160 75,461
Tetra Tech, Inc. (a).................. 5,099 92,241
The Brink's Co. ...................... 3,968 253,635
Waste Connections, Inc. (a)........... 4,089 169,898
-----------
3,967,545
-----------
COMMUNICATIONS EQUIPMENT -- 3.0%
Acme Packet, Inc. (a)................. 1,016 20,970
Adtran, Inc. ......................... 5,658 128,437
Arris Group, Inc. (a)................. 9,485 118,657
Avocent Corp. (a)..................... 3,967 134,283
C-COR.net Corp. (a)................... 3,842 42,800
Comtech Telecommunications Corp.
(a)................................. 2,035 77,472
Extreme Networks, Inc. (a)............ 9,469 39,675
F5 Networks, Inc. (a)................. 3,580 265,672
Finisar Corp. (a)..................... 22,014 71,105
Foundry Networks, Inc. (a)............ 11,225 168,151
Harmonic, Inc. (a).................... 6,415 46,637
Hughes Communications, Inc. (a)....... 568 26,554
InterDigital Communications Corp.
(a)................................. 4,630 155,337
Ixia (a).............................. 3,144 30,182
Loral Space & Communications, Ltd.
(a)................................. 1,147 46,706
Netgear, Inc. (a)..................... 2,965 77,831
Optium Corp. (a)...................... 464 11,572
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Packeteer, Inc. (a)................... 2,956 $ 40,202
Plantronics, Inc. .................... 4,264 90,397
Polycom, Inc. (a)..................... 7,821 241,747
Redback Networks, Inc. (a)............ 5,264 131,284
Riverbed Technology, Inc. (a)......... 780 23,946
SafeNet, Inc. (a)..................... 2,290 54,823
Sonus Networks, Inc. (a).............. 22,624 149,092
Symmetricom, Inc. (a)................. 3,948 35,216
Tekelec (a)........................... 5,960 88,387
Utstarcom, Inc. (a)................... 9,441 82,609
Viasat, Inc. (a)...................... 2,373 70,739
-----------
2,470,483
-----------
COMPUTERS & PERIPHERALS -- 1.2%
Avid Technology, Inc. (a)............. 3,774 140,619
Brocade Communications Systems, Inc.
(a)................................. 23,998 197,024
Hypercom Corp. (a).................... 4,385 27,845
Intermec, Inc. (a).................... 4,337 105,259
Komag, Inc. (a)....................... 2,753 104,284
McDATA Corp. (Class A) (a)............ 14,263 79,160
Novatel Wireless, Inc. (a)............ 2,560 24,755
Palm, Inc. (a)........................ 8,397 118,314
Presstek, Inc. (a).................... 2,471 15,715
Rackable Systems, Inc. (a)............ 2,427 75,164
Stratasys, Inc. (a)................... 904 28,395
Synaptics, Inc. (a)................... 2,234 66,327
-----------
982,861
-----------
CONSTRUCTION & ENGINEERING -- 0.2%
Infrasource Services, Inc. (a)........ 3,567 77,654
Perini Corp. (a)...................... 1,821 56,050
-----------
133,704
-----------
CONSTRUCTION MATERIALS -- 0.6%
Eagle Materials, Inc. ................ 4,309 186,278
Florida Rock Industries, Inc. ........ 4,564 196,480
Headwaters, Inc. (a).................. 3,740 89,611
-----------
472,369
-----------
CONSUMER FINANCE -- 1.0%
Advance America Cash Advance Centers,
Inc. ............................... 5,288 77,469
Cash America International, Inc. ..... 2,633 123,488
CompuCredit Corp. (a)................. 2,902 115,529
Credit Acceptance Corp. (a)........... 183 6,099
First Cash Financial Services, Inc.
(a)................................. 2,563 66,305
First Marblehead Corp. ............... 5,381 294,044
Nelnet, Inc. (a)...................... 1,919 52,504
World Acceptance Corp. (a)............ 1,484 69,674
-----------
805,112
-----------
CONTAINERS & PACKAGING -- 0.2%
Graphic Packaging Corp. (a)........... 8,895 38,515
Myers Industries, Inc. ............... 2,419 37,882
Silgan Holdings, Inc. ................ 2,025 88,938
-----------
165,335
-----------
DISTRIBUTORS -- 0.1%
Keystone Automotive Industries, Inc.
(a)................................. 1,458 49,557
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED CONSUMER SERVICES -- 2.3%
Bright Horizons Family Solutions, Inc.
(a)................................. 2,351 $ 90,890
Career Education Corp. (a)............ 8,420 208,648
Coinstar, Inc. (a).................... 2,463 75,294
Corinthian Colleges, Inc. (a)......... 7,636 104,079
DeVry, Inc. .......................... 5,426 151,928
Educate, Inc. (a)..................... 1,799 12,809
ITT Educational Services, Inc. (a).... 3,696 245,303
Jackson Hewitt Tax Service, Inc. ..... 2,800 95,116
Laureate Education, Inc. (a).......... 4,249 206,629
Lincoln Educational Services Corp.
(a)................................. 321 4,330
Matthews International Corp. (Class
A).................................. 2,811 110,613
Pre-Paid Legal Services, Inc. (a)..... 1,134 44,373
Regis Corp. .......................... 4,027 159,228
Sotheby's Holdings, Inc. ............. 5,676 176,069
Steiner Leisure, Ltd. (a)............. 1,463 66,566
Strayer Education, Inc. .............. 1,271 134,790
Universal Technical Institute, Inc.
(a)................................. 2,078 46,152
-----------
1,932,817
-----------
DIVERSIFIED FINANCIAL SERVICES -- 1.2%
Asset Acceptance Capital Corp. (a).... 1,351 22,724
Encore Capital Group, Inc. (a)........ 1,542 19,429
IntercontinentalExchange, Inc. (a).... 4,807 518,675
International Securities Exchange,
Inc. ............................... 3,161 147,903
Nasdaq Stock Market, Inc. (a)......... 8,665 266,796
Portfolio Recovery Associates, Inc.
(a)................................. 1,368 63,872
-----------
1,039,399
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1%
Broadwing Corp. (a)................... 5,855 91,455
Cbeyond, Inc. (a)..................... 1,440 44,050
Cincinnati Bell, Inc. (a)............. 21,829 99,759
Covad Communications Group, Inc.
(a)................................. 26,068 35,974
General Communication, Inc. (Class A)
(a)................................. 4,228 66,506
Global Crossing, Ltd. (a)............. 1,645 40,385
Globalstar, Inc. (a).................. 668 9,292
NeuStar, Inc. (Class A) (a)........... 6,564 212,936
NTELOS Holdings Corp. (a)............. 1,289 23,047
Premiere Global Services, Inc. (a).... 6,251 59,009
Time Warner Telecom, Inc. (Class A)
(a)................................. 11,026 219,748
Vonage Holdings Corp. (a)............. 3,599 24,977
-----------
927,138
-----------
ELECTRIC UTILITIES -- 0.1%
ITC Holdings Corp. ................... 2,479 98,912
-----------
ELECTRICAL EQUIPMENT -- 1.4%
Acuity Brands, Inc. .................. 3,813 198,428
American Superconductor Corp. (a)..... 2,932 28,763
Encore Wire Corp. (a)................. 1,467 32,289
Energy Conversion Devices, Inc. (a)... 3,459 117,537
EnerSys (a)........................... 2,241 35,856
Evergreen Solar, Inc. (a)............. 5,956 45,087
First Solar, Inc. (a)................. 1,800 53,640
Franklin Electric Co., Inc. .......... 1,458 74,927
FuelCell Energy, Inc. (a)............. 4,331 27,978
General Cable Corp. (a)............... 4,565 199,536
Genlyte Group, Inc. (a)............... 2,243 175,201
II-VI, Inc. (a)....................... 2,141 59,820
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Medis Technologies, Ltd. (a).......... 1,787 $ 31,147
Plug Power, Inc. (a).................. 5,741 22,332
Power-One, Inc. (a)................... 6,705 48,812
Vicor Corp. .......................... 1,687 18,743
-----------
1,170,096
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.1%
Aeroflex, Inc. (a).................... 6,637 77,786
Benchmark Electronics, Inc. (a)....... 5,726 139,485
Brightpoint, Inc. (a)................. 4,469 60,108
Cogent, Inc. (a)...................... 3,486 38,381
Cognex Corp. ......................... 3,578 85,228
CTS Corp. ............................ 3,197 50,193
Daktronics, Inc. ..................... 3,260 120,131
Dolby Laboratories, Inc. (a).......... 2,923 90,671
Echelon Corp. (a)..................... 2,927 23,416
FLIR Systems, Inc. (a)................ 6,148 195,691
Global Imaging Systems, Inc. (a)...... 4,668 102,462
Insight Enterprises, Inc. (a)......... 4,278 80,726
Itron, Inc. (a)....................... 2,271 117,729
L-1 Identity Solutions, Inc. (a)...... 5,975 90,402
Measurement Specialties, Inc. (a)..... 1,214 26,271
Mercury Computer System, Inc. (a)..... 1,903 25,424
Mettler Toledo International, Inc.
(a)................................. 3,506 276,448
MTS Systems Corp. .................... 1,615 62,371
Multi-Fineline Electronix, Inc. (a)... 845 17,145
National Instruments Corp. ........... 4,678 127,429
Rofin-Sinar Technologies, Inc. (a).... 1,350 81,621
Rogers Corp. (a)...................... 1,567 92,688
Sanmina-SCI Corp. (a)................. 47,726 164,655
Scansource, Inc. (a).................. 2,250 68,400
Smart Modular Technologies
(WWH), Inc. (a)..................... 1,981 26,664
Sunpower Corp. (a).................... 1,339 49,771
Trimble Navigation, Ltd. (a).......... 4,878 247,461
TTM Technologies, Inc. (a)............ 3,682 41,717
-----------
2,580,474
-----------
ENERGY EQUIPMENT & SERVICES -- 3.8%
Atwood Oceanics, Inc. (a)............. 2,387 116,891
Basic Energy Services, Inc. (a)....... 1,430 35,250
CARBO Ceramics, Inc. ................. 1,748 65,323
Complete Production Services, Inc.
(a)................................. 3,693 78,292
Dresser-Rand Group, Inc. (a).......... 5,899 144,349
Dril-Quip, Inc. (a)................... 2,100 82,236
Global Industries, Inc. (a)........... 7,602 99,130
Grey Wolf, Inc. (a)................... 17,344 118,980
Gulfmark Offshore, Inc. (a)........... 1,598 59,781
Helmerich & Payne, Inc. .............. 8,472 207,310
Hercules Offshore, Inc. (a)........... 2,781 80,371
Hornbeck Offshore Services, Inc.
(a)................................. 2,111 75,363
Hydril (a)............................ 1,644 123,612
Input/Output, Inc. (a)................ 6,255 85,256
Lufkin Industries, Inc. .............. 1,317 76,491
NATCO Group, Inc. (a)................. 1,263 40,264
Newpark Resources, Inc. (a)........... 7,987 57,586
Oceaneering International, Inc. (a)... 4,793 190,282
Oil States International, Inc. (a).... 4,106 132,336
Parker Drilling Co. (a)............... 9,670 79,004
Pioneer Drilling Co. (a).............. 4,407 58,525
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
RPC, Inc. ............................ 3,546 $ 59,856
Superior Energy Services, Inc. (a).... 7,042 230,133
Superior Well Services, Inc. (a)...... 911 23,285
Tetra Technologies, Inc. (a).......... 6,372 162,996
Todco (Class A) (a)................... 5,116 174,814
Unit Corp. (a)........................ 4,147 200,922
Universal Compression Holdings, Inc.
(a)................................. 2,750 170,802
W-H Energy Services, Inc. (a)......... 2,639 128,493
-----------
3,157,933
-----------
FOOD & STAPLES RETAILING -- 1.1%
BJ'S Wholesale Club, Inc. (a)......... 5,766 179,380
Central European Distribution Corp.
(a)................................. 2,587 76,834
Pantry, Inc. (a)...................... 2,024 94,804
Performance Food Group Co. (a)........ 2,887 79,797
Rite Aid Corp. (a).................... 46,714 254,124
Smart & Final, Inc. (a)............... 1,159 21,905
The Andersons, Inc. .................. 1,504 63,755
United Natural Foods, Inc. (a)........ 3,484 125,145
-----------
895,744
-----------
FOOD PRODUCTS -- 0.4%
Flowers Foods, Inc. .................. 5,042 136,083
J&J Snack Foods Corp. ................ 1,230 50,922
Peet's Coffee & Tea, Inc. (a)......... 1,240 32,538
Sanderson Farms, Inc. ................ 1,583 47,949
Seaboard Corp. ....................... 33 58,245
-----------
325,737
-----------
GAS UTILITIES -- 0.3%
Energen Corp. ........................ 5,818 273,097
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 5.6%
Align Technology, Inc. (a)............ 4,938 68,984
American Medical Systems Holdings,
Inc. (a)............................ 6,177 114,398
Analogic Corp. ....................... 1,227 68,884
Arrow International, Inc. ............ 2,012 71,185
Arthrocare Corp. (a).................. 2,323 92,734
Aspect Medical Systems, Inc. (a)...... 1,494 28,102
Biosite, Inc. (a)..................... 1,521 74,301
Conor Medsystems, Inc. (a)............ 3,336 104,517
Cyberonics, Inc. (a).................. 1,794 37,028
Edwards Lifesciences Corp. (a)........ 5,193 244,279
ev3, Inc. (a)......................... 1,755 30,239
Foxhollow Technologies, Inc. (a)...... 1,680 36,254
Gen-Probe, Inc. (a)................... 4,624 242,159
Greatbatch, Inc. (a).................. 1,912 51,471
Haemonetics Corp. (a)................. 2,389 107,553
Hologic, Inc. (a)..................... 4,725 223,398
I-Flow Corp. (a)...................... 2,081 31,111
ICU Medical, Inc. (a)................. 1,175 47,799
IDEXX Laboratories, Inc. (a).......... 2,792 221,406
Immucor, Inc. (a)..................... 6,045 176,695
Integra LifeSciences Holdings Corp.
(a)................................. 1,779 75,768
Intuitive Surgical, Inc. (a).......... 3,276 314,168
Inverness Medical Innovations, Inc.
(a)................................. 3,024 117,029
Kensey Nash Corp. (a)................. 1,012 32,182
Kinetic Concepts, Inc. (a)............ 4,569 180,704
Kyphon, Inc. (a)...................... 3,919 158,328
Life Cell Corp. (a)................... 2,994 72,275
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Mentor Corp. ......................... 3,725 $ 182,041
Meridian Bioscience, Inc. ............ 1,987 48,741
Merit Medical Systems, Inc. (a)....... 2,359 37,367
NuVasive, Inc. (a).................... 2,835 65,488
OraSure Technologies, Inc. (a)........ 3,711 30,653
Palomar Medical Technologies, Inc.
(a)................................. 1,460 73,978
PolyMedica Corp. ..................... 2,101 84,901
ResMed, Inc. (a)...................... 6,763 332,875
Respironics, Inc. (a)................. 6,461 243,903
Sirona Dental Systems, Inc. .......... 1,607 61,886
SonoSite, Inc. (a).................... 1,444 44,663
SurModics, Inc. (a)................... 1,460 45,435
Symmetry Medical, Inc. (a)............ 2,644 36,566
Thoratec Corp. (a).................... 4,313 75,822
Viasys Healthcare, Inc. (a)........... 2,858 79,509
Vital Signs, Inc. .................... 720 35,942
West Pharmaceutical Services, Inc. ... 2,860 146,518
Wright Medical Group, Inc. (a)........ 3,037 70,701
-----------
4,719,940
-----------
HEALTH CARE PROVIDERS & SERVICES -- 3.8%
Alliance Imaging, Inc. (a)............ 1,846 12,276
Amedisys, Inc. (a).................... 2,253 74,056
AMERIGROUP Corp. (a).................. 4,632 166,243
AMN Healthcare Services, Inc. (a)..... 3,083 84,906
Amsurg Corp. (a)...................... 2,590 59,570
Apria Healthcare Group, Inc. (a)...... 3,756 100,097
Assisted Living Concepts, Inc. (a).... 5,006 49,509
Centene Corp. (a)..................... 3,808 93,563
Cross Country Healthcare, Inc. (a).... 2,248 49,051
Gentiva Health Services, Inc. (a)..... 2,239 42,675
HealthExtras, Inc. (a)................ 2,611 62,925
Healthsouth Corp. (a)................. 7,094 160,679
Healthspring, Inc. (a)................ 4,043 82,275
Healthways, Inc. (a).................. 3,083 147,090
inVentiv Health, Inc. (a)............. 2,568 90,779
LCA-Vision, Inc. ..................... 1,851 63,600
LifePoint Hospitals, Inc. (a)......... 4,818 162,367
Matria Healthcare, Inc. (a)........... 1,866 53,610
Molina Healthcare, Inc. (a)........... 1,248 40,572
National Healthcare Corp. ............ 715 39,468
Nighthawk Radiology Holdings, Inc.
(a)................................. 1,584 40,392
Odyssey Healthcare, Inc. (a).......... 3,042 40,337
Option Care, Inc. .................... 2,151 30,652
Pediatrix Medical Group, Inc. (a)..... 4,340 212,226
PSS World Medical, Inc. (a)........... 6,003 117,239
Psychiatric Solutions, Inc. (a)....... 4,695 176,156
Radiation Therapy Services, Inc.
(a)................................. 1,017 32,056
Sierra Health Services, Inc. (a)...... 4,638 167,154
Sunrise Assisted Living, Inc. (a)..... 3,884 119,316
Symbion, Inc. (a)..................... 1,966 36,391
United Surgical Partners (a).......... 3,979 112,805
VCA Antech, Inc. (a).................. 7,345 236,436
Visicu, Inc. (a)...................... 1,617 18,110
WellCare Health Plans, Inc. (a)....... 3,051 210,214
-----------
3,184,795
-----------
HEALTH CARE TECHNOLOGY -- 1.0%
Allscripts Healthcare Solutions, Inc.
(a)................................. 3,938 106,287
Cerner Corp. (a)...................... 5,436 247,338
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Dendrite International, Inc. (a)...... 3,375 $ 36,146
Eclipsys Corp. (a).................... 4,181 85,961
Emdeon Corp. (a)...................... 13,271 164,428
Per-Se Technologies, Inc. (a)......... 3,016 83,784
The TriZetto Group, Inc. (a).......... 3,841 70,559
WebMD Health Corp. (a)................ 735 29,415
-----------
823,918
-----------
HOTELS RESTAURANTS & LEISURE -- 3.5%
American Real Estate Partners LP...... 552 47,323
Ameristar Casinos, Inc. .............. 2,130 65,476
Applebees International, Inc. ........ 6,586 162,477
Bally Technologies, Inc. (a).......... 4,167 77,840
BJ's Restaurants, Inc. (a)............ 1,240 25,060
Burger King Holdings, Inc. (a)........ 2,915 61,506
California Pizza Kitchen, Inc. (a).... 1,789 59,592
CEC Entertainment, Inc. (a)........... 3,000 120,750
Chipotle Mexican Grill, Inc. (a)...... 2,851 162,507
Choice Hotels International, Inc. .... 3,255 137,035
CKE Restaurants, Inc. ................ 5,607 103,169
Gaylord Entertainment Co. (a)......... 3,615 184,112
Great Wolf Resorts, Inc. (a).......... 2,535 35,389
Isle of Capri Casinos, Inc. (a)....... 1,773 47,126
Krispy Kreme Doughnuts, Inc. (a)...... 5,113 56,754
Life Time Fitness, Inc. (a)........... 2,658 128,940
Multimedia Games, Inc. (a)............ 2,472 23,731
O'Charleys, Inc. (a).................. 2,124 45,199
P F Chang's China Bistro, Inc. (a).... 2,352 90,270
Panera Bread Co. (Class A) (a)........ 2,779 155,374
Papa John's International, Inc. (a)... 2,057 59,674
Rare Hospitality International, Inc.
(a)................................. 3,046 100,305
Red Robin Gourmet Burgers, Inc. (a)... 1,323 47,429
Ruby Tuesday, Inc. ................... 5,149 141,288
Ruth's Chris Steak House, Inc. (a).... 1,551 28,352
Scientific Games Corp. (Class A)
(a)................................. 6,064 183,315
Shuffle Master, Inc. (a).............. 3,148 82,478
Sonic Corp. (a)....................... 6,185 148,131
Texas Roadhouse, Inc. (Class A) (a)... 4,967 65,862
The Cheesecake Factory, Inc. (a)...... 6,725 165,435
The Steak n Shake Co. (a)............. 2,277 40,075
WMS Industries, Inc. (a).............. 2,540 88,544
-----------
2,940,518
-----------
HOUSEHOLD DURABLES -- 1.0%
Brookfield Homes Corp. ............... 1,024 38,451
Champion Enterprises, Inc. (a)........ 6,802 63,667
Helen of Troy, Ltd. (a)............... 2,525 61,257
Hovnanian Enterprises, Inc. (a)....... 3,147 106,683
Interface, Inc. (Class A) (a)......... 4,678 66,521
iRobot Corp. (a)...................... 988 17,843
Jarden Corp. (a)...................... 5,646 196,424
Sealy Corp. .......................... 3,940 58,115
Technical Olympic USA, Inc. .......... 1,766 17,960
Tempur-Pedic International, Inc.
(a)................................. 5,516 112,858
The Yankee Candle, Inc. .............. 3,534 121,146
-----------
860,925
-----------
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOUSEHOLD PRODUCTS -- 0.3%
Church & Dwight Co., Inc. ............ 5,699 $ 243,062
Spectrum Brands, Inc. (a)............. 3,460 37,714
-----------
280,776
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%
Ormat Technologies, Inc. ............. 945 34,795
-----------
INDUSTRIAL CONGLOMERATES -- 0.2%
Raven Industries, Inc. ............... 1,603 42,960
Walter Industries, Inc. .............. 4,508 121,942
-----------
164,902
-----------
INSURANCE -- 1.2%
American Equity Investment Life
Holding Co. ........................ 4,694 61,163
First Acceptance Corp. (a)............ 1,710 18,331
HCC Insurance Holdings, Inc. ......... 9,822 315,188
Hilb Rogal and Hobbs Co. ............. 3,176 133,773
National Financial Partners Corp. .... 2,973 130,723
Philadelphia Consolidated Holding
Corp. (a)........................... 5,264 234,564
Scottish R Egroup, Ltd. .............. 4,211 22,487
Universal American Financial Corp.
(a)................................. 3,380 63,003
USI Holdings Corp. (a)................ 3,374 51,824
-----------
1,031,056
-----------
INTERNET & CATALOG RETAIL -- 1.1%
1-800-FLOWERS.COM, Inc. (Class A)
(a)................................. 2,248 13,848
Blue Nile, Inc. (a)................... 1,255 46,297
Coldwater Creek, Inc. (a)............. 5,275 129,343
FTD Group, Inc. (a)................... 1,234 22,076
GSI Commerce, Inc. (a)................ 1,567 29,381
Netflix, Inc. (a)..................... 5,335 137,963
Nutri/System, Inc. (a)................ 2,962 187,761
Overstock.com, Inc. (a)............... 834 13,177
Priceline.com, Inc. (a)............... 3,168 138,157
Stamps.com, Inc. (a).................. 2,008 31,626
ValueVision Media, Inc. (Class A)
(a)................................. 2,760 36,267
VistaPrint, Ltd. (a).................. 3,439 113,865
-----------
899,761
-----------
INTERNET SOFTWARE & SERVICES -- 2.7%
aQuantive, Inc. (a)................... 6,152 151,708
Ariba, Inc. (a)....................... 6,831 52,872
CMGI, Inc. (a)........................ 40,511 54,285
CNET Networks, Inc. (a)............... 12,275 111,580
DealerTrack Holdings, Inc. (a)........ 2,694 79,258
Digital Insight Corp. (a)............. 2,651 102,037
Digital River, Inc. (a)............... 3,541 197,552
Digitas, Inc. (a)..................... 7,700 103,257
DivX, Inc. (a)........................ 805 18,571
EarthLink, Inc. (a)................... 10,214 72,519
Equinix, Inc. (a)..................... 2,252 170,296
Infospace, Inc. (a)................... 2,771 56,833
Interwoven, Inc. (a).................. 3,440 50,465
Ipass, Inc. (a)....................... 5,137 30,206
j2 Global Communications, Inc. (a).... 4,398 119,846
Jupitermedia Corp. (a)................ 1,912 15,143
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LoopNet, Inc. (a)..................... 1,750 $ 26,215
Marchex, Inc. (Class B) (a)........... 2,119 28,352
Netratings, Inc. (a).................. 1,286 22,518
NIC, Inc. (a)......................... 3,508 17,435
Openwave Systems, Inc. (a)............ 8,281 76,434
RealNetworks, Inc. (a)................ 9,346 102,245
S1 Corp. (a).......................... 5,980 32,950
SAVVIS Inc. (a)....................... 1,151 41,102
SonicWALL, Inc. (a)................... 5,833 49,114
Travelzoo, Inc. (a)................... 240 7,188
Valueclick, Inc. (a).................. 8,691 205,368
Vignette Corp. (a).................... 2,589 44,194
WebEx Communications, Inc. (a)........ 4,002 139,630
Websense, Inc. (a).................... 4,221 96,365
-----------
2,275,538
-----------
IT SERVICES -- 2.6%
Acxiom Corp. ......................... 5,913 151,669
CACI International, Inc. (Class A)
(a)................................. 2,725 153,963
CIBER, Inc. (a)....................... 4,946 33,534
eFunds Corp. (a)...................... 4,148 114,070
Euronet Worldwide, Inc. (a)........... 2,851 84,646
Gartner, Inc. (a)..................... 6,146 121,629
Heartland Payment Systems, Inc. ...... 1,389 39,239
Hewitt Associates, Inc. (Class A)
(a)................................. 9,007 231,930
Kanbay International, Inc. (a)........ 2,819 81,103
Keane, Inc. (a)....................... 4,564 54,357
Lionbridge Technologies, Inc. (a)..... 5,071 32,657
MoneyGram International, Inc. ........ 7,537 236,360
Sapient Corp. (a)..................... 7,110 39,034
SRA International, Inc. (a)........... 3,656 97,761
SYKES Enterprises, Inc. (a)........... 2,200 38,808
Syntel, Inc. ......................... 1,675 44,890
Talx Corp. ........................... 2,701 74,142
The BISYS Group, Inc. (a)............. 10,646 137,440
TNS, Inc. (a)......................... 2,151 41,407
Tyler Technologies, Inc. (a).......... 3,147 44,247
VeriFone Holdings, Inc. (a)........... 5,264 186,346
Wright Express Corp. (a).............. 3,599 112,181
-----------
2,151,413
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.6%
Leapfrog Enterprises, Inc. (a)........ 3,053 28,942
Marine Products Corp. ................ 1,353 15,884
MarineMax, Inc. (a)................... 1,561 40,477
Marvel Entertainment, Inc. (a)........ 5,620 151,234
Oakley, Inc. ......................... 2,360 47,342
Pool Corp. ........................... 4,537 177,714
RC2 Corp. (a)......................... 1,800 79,200
-----------
540,793
-----------
LIFE SCIENCES TOOLS & SERVICES -- 1.7%
Affymetrix, Inc. (a).................. 5,996 138,268
Albany Molecular Research, Inc. (a)... 2,030 21,437
Bio-Rad Laboratories, Inc. (Class A)
(a)................................. 1,658 136,818
Bruker BioSciences Corp. (a).......... 3,999 30,032
Dionex Corp. (a)...................... 1,679 95,216
Enzo Biochem, Inc. (a)................ 2,605 37,173
eResearch Technology, Inc. (a)........ 3,546 23,865
Exelixis, Inc. (a).................... 8,268 74,412
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Illumina, Inc. (a).................... 3,872 $ 152,208
Molecular Devices Corp. (a)........... 1,475 31,078
Nektar Therapeutics (a)............... 7,971 121,239
PAREXEL International Corp. (a)....... 2,377 68,862
PharmaNet Development Group,
Inc. (a)............................ 1,568 34,606
PRA International (a)................. 1,794 45,334
Techne Corp. (a)...................... 3,316 183,872
Varian, Inc. (a)...................... 2,788 124,875
Ventana Medical Systems, Inc. (a)..... 3,056 131,500
-----------
1,450,795
-----------
MACHINERY -- 1.3%
Accuride Corp. (a).................... 2,010 22,633
Actuant Corp. (Class A)............... 2,402 114,455
American Railcar Industries, Inc. .... 804 27,368
American Science & Engineering,
Inc. (a)............................ 794 47,251
ASV, Inc. (a)......................... 1,801 29,302
Bucyrus International, Inc. (Class
A).................................. 2,793 144,566
Chart Industries, Inc. (a)............ 1,096 17,766
CLARCOR, Inc. ........................ 4,564 154,309
ESCO Technologies, Inc. (a)........... 2,271 103,194
Gardner Denver, Inc. (a).............. 4,657 173,753
Middleby Corp. (a).................... 659 68,978
The Toro Co. ......................... 3,672 171,225
-----------
1,074,800
-----------
MARINE -- 0.4%
American Commercial Lines, Inc. (a)... 2,114 138,488
Kirby Corp. (a)....................... 4,725 161,264
-----------
299,752
-----------
MEDIA -- 2.1%
ADVO, Inc. ........................... 2,837 92,486
Arbitron, Inc. ....................... 2,601 112,987
Charter Communications, Inc. (a)...... 40,717 124,594
CKX, Inc. (a)......................... 4,046 47,460
Crown Media Holdings, Inc.
(Class A) (a)....................... 897 3,256
Dow Jones & Co., Inc. ................ 4,687 178,106
DreamWorks Animation SKG, Inc. (Class
A) (a).............................. 4,975 146,713
Entravision Communications Corp.
(a)................................. 4,956 40,738
GateHouse Media, Inc. ................ 1,228 22,792
Gemstar-TV Guide International,
Inc. (a)............................ 22,166 88,886
Gray Television, Inc. ................ 4,154 30,449
Harte-Hanks, Inc. .................... 4,562 126,413
Interactive Data Corp. ............... 3,152 75,774
John Wiley & Sons, Inc. (Class A)..... 3,772 145,109
Live Nation, Inc. (a)................. 5,352 119,885
Martha Stewart Living Omnimedia, Inc.
(Class A)........................... 2,223 48,684
Mediacom Communications Corp. (a)..... 4,984 40,071
Morningstar, Inc. (a)................. 896 40,365
Primedia, Inc. (a).................... 13,815 23,347
ProQuest Co. (a)...................... 2,024 21,151
Salem Communications Corp. ........... 1,028 12,285
Spanish Broadcasting System, Inc.
(a)................................. 3,492 14,352
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Tivo, Inc. (a)........................ 8,587 $ 43,965
Valassis Communications, Inc. (a)..... 4,231 61,349
Warner Music Group Corp. ............. 4,054 93,039
-----------
1,754,256
-----------
METALS & MINING -- 0.9%
AK Steel Holding Corp. (a)............ 9,765 165,028
Coeur d' Alene Mines Corp. (a)........ 24,636 121,948
Hecla Mining Co. (a).................. 10,473 80,223
Meridian Gold, Inc. (a)............... 8,988 249,777
Metal Management, Inc. ............... 2,294 86,828
Royal Gold, Inc. ..................... 1,912 68,794
-----------
772,598
-----------
MULTILINE RETAIL -- 0.2%
99 Cents Only Stores (a).............. 4,384 53,353
Conn's, Inc. (a)...................... 1,078 25,085
Fred's, Inc. (Class A)................ 3,264 39,299
Retail Ventures, Inc. (a)............. 2,083 39,660
-----------
157,397
-----------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp. (Class A)
(a)................................. 6,255 217,611
-----------
OIL, GAS & CONSUMABLE FUELS -- 6.4%
Alliance Holdings GP LP............... 1,111 21,953
Alliance Resource Partners LP......... 1,835 63,344
Alon USA Energy, Inc. ................ 902 23,732
Alpha Natural Resources, Inc. (a)..... 4,608 65,572
APCO Argentina, Inc. ................. 222 19,480
Atlas America, Inc. (a)............... 1,507 76,812
ATP Oil & Gas Corp. (a)............... 1,738 68,773
Aurora Oil & Gas Corp. (a)............ 8,159 26,190
Berry Petroleum Co. (Class A)......... 3,481 107,946
Bill Barrett Corp. (a)................ 2,474 67,318
Bois d'Arc Energy, Inc. (a)........... 1,642 24,022
BP Prudhoe Bay Royalty Trust.......... 1,913 147,263
Brigham Exploration Co. (a)........... 2,988 21,842
Buckeye GP Holdings LP................ 923 15,119
Cabot Oil & Gas Corp. ................ 4,338 263,100
Carrizo Oil & Gas, Inc. (a)........... 2,106 61,116
Cheniere Energy, Inc. (a)............. 4,633 133,755
Cimarex Energy Co. ................... 7,312 266,888
Comstock Resources, Inc. (a).......... 3,803 118,121
Crosstex Energy, Inc. ................ 3,710 117,570
Delek US Holdings, Inc. .............. 900 14,751
Delta Petroleum Corp. (a)............. 4,739 109,755
Denbury Resources, Inc. (a)........... 10,573 293,824
Enbridge Energy Management LLC (a).... 939 45,541
Encore Aquisition Co. (a)............. 4,469 109,625
Energy Partners, Ltd. (a)............. 3,142 76,728
Energy Transfer Equity LP............. 3,360 105,504
Enterprise GP Holdings LP............. 905 33,458
EXCO Resources, Inc. (a).............. 7,482 126,521
Foundation Coal Holdings, Inc. ....... 4,024 127,802
Frontier Oil Corp. ................... 9,784 281,192
Gasco Energy, Inc. (a)................ 7,660 18,767
GeoMet, Inc. (a)...................... 911 9,474
Goodrich Petroleum Corp. (a).......... 1,212 43,850
Helix Energy Solutions Group, Inc.
(a)................................. 7,308 229,252
Holly Corp. .......................... 4,205 216,137
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
International Coal Group, Inc. (a).... 10,748 $ 58,577
Kinder Morgan Management LLC (a)...... 4,596 209,959
Magellan Midstream Holdings LP........ 1,956 43,619
Mariner Energy, Inc. (a).............. 7,160 140,336
OMI Corp. ............................ 5,623 119,039
Pacific Ethanol, Inc. (a)............. 3,130 48,171
Parallel Petroleum Corp. (a).......... 3,352 58,895
Penn Virginia Corp. .................. 1,672 117,107
Petroleum Development Corp. (a)....... 1,266 54,501
Quicksilver Resources, Inc. (a)....... 4,917 179,913
Regency Energy Partners LP............ 2,140 58,101
Rentech, Inc. (a)..................... 11,476 43,264
Rosetta Resources, Inc. (a)........... 4,535 84,668
St. Mary Land & Exploration Co. ...... 4,874 179,558
Syntroleum Corp. (a).................. 3,714 12,850
Valero GP Holdings LLC................ 3,235 80,293
Venoco, Inc. (a)...................... 1,100 19,316
W&T Offshore, Inc. ................... 2,368 72,745
Warren Resources, Inc. (a)............ 4,372 51,240
Western Refining, Inc. ............... 2,534 64,516
World Fuel Services Corp. ............ 2,546 113,195
-----------
5,361,960
-----------
PERSONAL PRODUCTS -- 0.8%
Bare Escentuals, Inc. (a)............. 1,415 43,964
Chattem, Inc. (a)..................... 1,345 67,358
Elizabeth Arden, Inc. (a)............. 2,250 42,862
Herbalife, Ltd. (a)................... 3,544 142,327
Mannatech, Inc. ...................... 1,351 19,900
NBTY, Inc. (a)........................ 5,366 223,065
Prestige Brands Holdings, Inc. (a).... 3,146 40,961
Revlon, Inc. (Class A) (a)............ 19,700 25,216
USANA Health Sciences, Inc. (a)....... 881 45,512
-----------
651,165
-----------
PHARMACEUTICALS -- 1.4%
Adams Respiratory Therapeutics,
Inc. (a)............................ 2,820 115,084
Adolor Corp. (a)...................... 4,065 30,569
Atherogenics, Inc. (a)................ 3,516 34,844
Medicis Pharmaceutical Corp. (Class
A).................................. 4,863 170,837
MGI Pharma, Inc. (a).................. 6,981 128,520
New River Pharmaceuticals, Inc. (a)... 1,425 77,962
Noven Pharmaceuticals, Inc. (a)....... 2,110 53,699
Par Pharmaceutical Cos., Inc. (a)..... 3,083 68,967
Salix Pharmaceuticals, Ltd. (a)....... 4,162 50,651
Sciele Pharma, Inc. (a)............... 2,662 63,888
The Medicines Co. (a)................. 4,432 140,583
Valeant Pharmaceuticals
International....................... 8,316 143,368
Viropharma, Inc. (a).................. 6,073 88,909
-----------
1,167,881
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
Alexander's, Inc. (a)................. 178 74,698
Anworth Mortgage Asset Corp. ......... 4,040 38,420
BioMed Realty Trust, Inc. ............ 5,905 168,883
Corporate Office Properties Trust..... 3,759 189,717
Digital Realty Trust, Inc. ........... 3,930 134,524
Essex Property Trust, Inc. ........... 2,058 265,996
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
First Potomac Realty Trust............ 2,091 $ 60,869
Global Signal, Inc. .................. 1,895 99,810
Maguire Properties, Inc. ............. 3,208 128,320
-----------
1,161,237
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
Jones Lang LaSalle, Inc. ............. 3,214 296,234
Move, Inc. (a)........................ 12,349 68,043
-----------
364,277
-----------
ROAD & RAIL -- 0.9%
Florida East Coast Industries,
Inc. ............................... 1,820 108,472
Genesee & Wyoming, Inc.
(Class A) (a)....................... 3,479 91,289
Heartland Express, Inc. .............. 5,404 81,168
Knight Transportation, Inc. .......... 5,001 85,267
Landstar Systems, Inc. ............... 5,068 193,496
Old Dominion Freight Line, Inc. (a)... 2,959 71,223
RailAmerica, Inc. (a)................. 3,437 55,267
Swift Transportation Co., Inc. (a).... 4,010 105,343
-----------
791,525
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.0%
Advanced Analogic Technologies, Inc.
(a)................................. 3,023 16,294
Agere Systems, Inc. (a)............... 15,088 289,237
AMIS Holdings, Inc. (a)............... 4,049 42,798
Amkor Technology, Inc. (a)............ 9,177 85,713
Applied Micro Circuits Corp. (a)...... 26,353 93,817
Atheros Communications, Inc. (a)...... 4,642 98,967
Atmel Corp. (a)....................... 39,823 240,929
ATMI, Inc. (a)........................ 3,131 95,589
Brooks Automation, Inc. (a)........... 6,636 95,558
Cabot Microelectronics Corp. (a)...... 2,164 73,446
Cirrus Logic, Inc. (a)................ 6,859 47,190
Conexant Systems, Inc. (a)............ 42,916 87,549
Cree, Inc. (a)........................ 6,843 118,521
Cymer, Inc. (a)....................... 3,286 144,420
Diodes, Inc. (a)...................... 1,734 61,522
DSP Group, Inc. (a)................... 2,603 56,485
FEI Co. (a)........................... 2,919 76,974
Formfactor, Inc. (a).................. 3,723 138,682
Genesis Microchip, Inc. (a)........... 3,356 34,030
Hittite Microwave Corp. (a)........... 1,177 38,041
Kopin Corp. (a)....................... 6,193 22,109
Mattson Technology, Inc. (a).......... 4,809 44,820
Micrel, Inc. (a)...................... 5,011 54,019
Microsemi Corp. (a)................... 6,324 124,267
Netlogic Microsystems, Inc. (a)....... 1,517 32,904
OmniVision Technologies, Inc. (a)..... 4,815 65,725
ON Semiconductor Corp. (a)............ 16,799 127,168
PDF Solutions, Inc. (a)............... 2,022 29,218
PMC-Sierra, Inc. (a).................. 18,741 125,752
PortalPlayer, Inc. (a)................ 2,186 29,402
Power Integrations, Inc. (a).......... 2,634 61,767
Rambus, Inc. (a)...................... 8,641 163,574
RF Micro Devices, Inc. (a)............ 17,164 116,544
Semtech Corp. (a)..................... 6,450 84,301
Silicon Image, Inc. (a)............... 7,244 92,144
Silicon Laboratories, Inc. (a)........ 4,510 156,271
Silicon Storage Technology, Inc.
(a)................................. 7,907 35,661
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Sirf Technology Holdings, Inc. (a).... 4,170 $ 106,418
Skyworks Solutions, Inc. (a).......... 14,178 100,380
Spansion, Inc. (a).................... 7,343 109,117
Tessera Technologies, Inc. (a)........ 4,098 165,313
Trident Microsystems, Inc. (a)........ 5,115 92,991
Ultratech, Inc. (a)................... 1,919 23,949
Varian Semiconductor Equipment
Associates, Inc. (a)................ 4,849 220,726
Zoran Corp. (a)....................... 4,369 63,700
-----------
4,184,002
-----------
SOFTWARE -- 5.1%
Advent Software, Inc. (a)............. 1,707 60,240
Agile Software Corp. (a).............. 4,744 29,176
Altiris, Inc. (a)..................... 2,216 56,242
Ansys, Inc. (a)....................... 3,047 132,514
Blackbaud, Inc. ...................... 3,862 100,412
Blackboard, Inc. (a).................. 2,140 64,286
Commvault Systems, Inc. (a)........... 984 19,690
Concur Technologies, Inc. (a)......... 3,009 48,264
Epicor Software Corp. (a)............. 4,174 56,391
eSpeed, Inc. (a)...................... 2,593 22,637
Factset Research Systems, Inc. ....... 3,365 190,055
Fair Isaac Corp. ..................... 5,554 225,770
FalconStor Software, Inc. (a)......... 2,256 19,514
Hyperion Solutions Corp. (a).......... 5,183 186,277
i2 Technologies, Inc. (a)............. 1,240 28,297
Informatica Corp. (a)................. 7,657 93,492
InterVoice, Inc. (a).................. 3,386 25,937
Jack Henry & Associates, Inc. ........ 7,466 159,772
JDA Software Group, Inc. (a).......... 2,589 35,650
Kronos, Inc. (a)...................... 2,826 103,827
Lawson Software, Inc. (a)............. 12,400 91,636
Macrovision Corp. (a)................. 4,576 129,318
Magma Design Automation, Inc. (a)..... 2,816 25,147
Manhattan Associates, Inc. (a)........ 2,390 71,891
Mentor Graphics Corp. (a)............. 7,156 129,023
MICROS Systems, Inc. (a).............. 3,456 182,131
MicroStrategy, Inc. (a)............... 895 102,039
Midway Games, Inc. (a)................ 1,114 7,776
MSC Software Corp. (a)................ 3,500 53,305
NAVTEQ Corp. (a)...................... 8,204 286,894
Nuance Communications, Inc. (a)....... 12,408 142,196
Open Solutions, Inc. (a).............. 1,779 66,961
Opsware, Inc. (a)..................... 8,102 71,460
Parametric Technology Corp. (a)....... 9,962 179,515
Progress Software Corp. (a)........... 3,627 101,302
Quality Systems, Inc. ................ 1,522 56,725
Quest Software, Inc. (a).............. 4,880 71,492
Sonic Solutions, Inc. (a)............. 2,272 37,034
Take-Two Interactive Software, Inc.
(a)................................. 6,437 114,321
THQ, Inc. (a)......................... 5,725 186,177
TIBCO Software, Inc. (a).............. 18,699 176,518
Transaction Systems Architects, Inc.
(a)................................. 3,295 107,318
Ulticom, Inc. (a)..................... 1,127 10,808
Verint Systems, Inc. (a).............. 1,127 38,634
Wind River Systems, Inc. (a).......... 7,166 73,451
Witness Systems, Inc. (a)............. 2,996 52,520
-----------
4,224,035
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SPECIALTY RETAIL -- 4.5%
Aaron Rents, Inc. (Class B)........... 4,272 $ 122,948
AC Moore Arts & Crafts, Inc. (a)...... 1,367 29,623
Aeropostale, Inc. (a)................. 4,659 143,823
AnnTaylor Stores Corp. (a)............ 6,445 211,654
Bebe Stores, Inc. .................... 2,028 40,134
Big 5 Sporting Goods Corp. ........... 1,888 46,105
Build-A-Bear Workshop, Inc. (a)....... 1,352 37,883
Cabela's, Inc. (a).................... 3,887 93,793
Charming Shoppes, Inc. (a)............ 10,846 146,746
Christopher & Banks Corp. ............ 3,277 61,149
Claire's Stores, Inc. ................ 8,001 265,153
Cost Plus, Inc. (a)................... 1,450 14,935
Dick's Sporting Goods, Inc. (a)....... 2,962 145,108
Dress Barn, Inc. (a).................. 4,046 94,393
DSW, Inc. (Class A) (a)............... 1,347 51,954
GameStop Corp. (Class A) (a).......... 5,856 322,724
Genesco, Inc. (a)..................... 2,059 76,801
Guess ?, Inc. (a)..................... 2,798 177,477
Guitar Center, Inc. (a)............... 2,628 119,469
Gymboree Corp. (a).................... 2,849 108,718
Hibbett Sporting Goods, Inc. (a)...... 2,883 88,018
Hot Topic, Inc. (a)................... 4,052 54,054
J Crew Group, Inc. (a)................ 2,791 107,593
Jos. A. Bank Clothiers, Inc. (a)...... 1,639 48,105
Mens Wearhouse, Inc. ................. 4,324 165,436
New York & Co., Inc. (a).............. 1,992 26,055
Pacific Sunwear of California, Inc.
(a)................................. 6,154 120,495
Rent-A-Center, Inc. (a)............... 6,225 183,700
Select Comfort Corp. (a).............. 4,686 81,490
Stein Mart, Inc. ..................... 2,403 31,864
The Children's Place Retail Stores,
Inc. (a)............................ 2,102 133,519
The Finish Line, Inc. (Class A)....... 3,780 53,979
Tractor Supply Co. (a)................ 3,070 137,260
Tween Brands, Inc. (a)................ 2,939 117,354
West Marine, Inc. (a)................. 1,240 21,415
Zumiez, Inc. (a)...................... 1,574 46,496
-----------
3,727,423
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.5%
Carter's, Inc. (a).................... 4,507 114,928
Columbia Sportswear Co. .............. 1,144 63,721
CROCS, Inc. (a)....................... 3,254 140,573
Deckers Outdoor Corp. (a)............. 936 56,113
Fossil, Inc. (a)...................... 4,239 95,717
Heelys, Inc. (a)...................... 600 19,266
K-Swiss, Inc. (Class A)............... 2,303 70,794
Maidenform Brands, Inc. (a)........... 1,402 25,404
Quiksilver, Inc. (a).................. 10,785 169,864
Steven Madden, Ltd. .................. 1,692 59,372
The Timberland Co. (Class A) (a)...... 4,629 146,184
Under Armour, Inc. (Class A) (a)...... 2,546 128,446
Volcom, Inc. (a)...................... 1,193 35,277
Warnaco Group, Inc. (a)............... 4,133 104,895
-----------
1,230,554
-----------
THRIFTS & MORTGAGE FINANCE -- 0.5%
Clayton Holdings, Inc. (a)............ 1,018 19,047
Franklin Bank Corp. (a)............... 2,034 41,778
</Table>
See accompanying notes to financial statements.
9
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
KNBT Bancorp, Inc. ................... 2,282 $ 38,178
NetBank, Inc. ........................ 4,157 19,288
NewAlliance Bancshares, Inc. ......... 9,094 149,142
Ocwen Financial Corp. (a)............. 3,231 51,244
W Holding Co., Inc. .................. 11,813 70,405
-----------
389,082
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Beacon Roofing Supply, Inc. (a)....... 3,896 73,323
H&E Equipment Services, Inc. (a)...... 1,418 35,124
Interline Brands, Inc. (a)............ 2,685 60,332
MSC Industrial Direct Co., Inc.
(Class A)........................... 4,124 161,454
TAL International Group, Inc. ........ 1,584 42,277
TransDigm Group, Inc. (a)............. 1,217 32,262
Wesco International, Inc. (a)......... 4,338 255,118
Williams Scotsman International,
Inc. (a)............................ 2,240 43,949
-----------
703,839
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 1.0%
Centennial Communications Corp. ...... 2,136 15,358
Dobson Communications Corp. (Class A)
(a)................................. 13,336 116,157
FiberTower Corp. (a).................. 10,470 61,564
ICO Global Communications Holdings,
Ltd. (a)............................ 9,618 43,954
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
iPCS, Inc. (a)........................ 1,017 $ 56,301
Leap Wireless International, Inc.
(a)................................. 4,377 260,300
SBA Communications Corp. (a).......... 7,858 216,095
Syniverse Holdings, Inc. (a).......... 2,481 37,190
-----------
806,919
-----------
TOTAL COMMON STOCKS --
(Cost $76,765,005).................. 83,424,745
-----------
RIGHTS -- 0.0% (B)
Revlon, Inc. (expiring 1/19/07) (a)
(Cost $0)........................... 14,700 735
-----------
WARRANTS -- 0.0% (b)
Pegasus (a)
(Cost $0)........................... 569 --
-----------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
AIM Short Term Investment
Class Prime Fund
(Cost $225,471)..................... 225,471 225,471
-----------
TOTAL INVESTMENTS -- 100.1%
(Cost $76,990,476).................. 83,650,951
OTHER ASSETS AND
LIABILITIES -- (0.1)%............... (90,195)
-----------
NET ASSETS -- 100.0%.................. $83,560,756
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
10
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 0.7%
Cubic Corp. .......................... 1,629 $ 35,349
Curtiss-Wright Corp. ................. 4,215 156,292
DRS Technologies, Inc. ............... 3,837 202,133
Esterline Technologies Corp. (a) ..... 2,476 99,610
GenCorp, Inc. (a) .................... 4,440 62,249
Heico Corp. .......................... 1,975 64,346
Triumph Group, Inc. .................. 1,533 80,375
-----------
700,354
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc. (a) ........... 3,883 153,378
Frontier Airlines Holdings, Inc.
(a) ................................ 3,504 25,930
-----------
179,308
-----------
AUTO COMPONENTS -- 1.1%
American Axle & Manufacturing
Holdings, Inc. ..................... 4,331 82,246
ArvinMeritor, Inc. ................... 6,546 119,334
Bandag, Inc. ......................... 1,197 60,365
Cooper Tire & Rubber Co. ............. 5,960 85,228
Lear Corp. ........................... 6,538 193,067
Modine Manufacturing Co. ............. 2,959 74,064
Sauer-Danfoss, Inc. .................. 1,020 32,895
Superior Industries International,
Inc. ............................... 2,099 40,448
Tenneco Automotive, Inc. (a).......... 4,418 109,213
TRW Automotive Holdings Corp. (a)..... 4,058 104,980
Visteon Corp. (a)..................... 12,547 106,398
-----------
1,008,238
-----------
AUTOMOBILES -- 0.0% (B)
Monaco Coach Corp. ................... 2,674 37,864
-----------
BEVERAGES -- 0.1%
PepsiAmericas, Inc. .................. 6,326 132,719
-----------
BIOTECHNOLOGY -- 0.1%
Cell Genesys, Inc. (a) ............... 5,420 18,374
Incyte, Inc. (a) ..................... 7,500 43,800
Nabi Biopharmaceuticals (a)........... 5,884 39,893
-----------
102,067
-----------
BUILDING PRODUCTS -- 1.1%
American Woodmark Corp. .............. 1,018 42,603
Ameron International Corp. ........... 771 58,881
Apogee Enterprises, Inc. ............. 2,763 53,354
Armstrong World Industries, Inc.
(a)................................. 1,676 71,046
Builders FirstSource, Inc. (a)........ 1,552 27,672
ElkCorp............................... 1,877 77,126
Goodman Global, Inc. (a).............. 3,079 52,959
Lennox International, Inc. ........... 6,184 189,292
NCI Building Systems, Inc. (a)........ 1,951 100,964
Owens Corning, Inc. (a)............... 8,192 244,941
PGT Inc. (a).......................... 1,480 18,722
Universal Forest Products, Inc. ...... 1,865 86,946
-----------
1,024,506
-----------
CAPITAL MARKETS -- 1.9%
Cohen & Steers, Inc. ................. 1,059 42,540
GAMCO Investors, Inc. ................ 584 22,461
Investment Technology Group, Inc.
(a)................................. 4,168 178,724
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Jefferies Group, Inc. ................ 9,977 $ 267,583
Knight Capital Group, Inc. (a)........ 10,115 193,905
LaBranche & Co., Inc. (a)............. 5,616 55,205
Lazard, Ltd. ......................... 4,876 230,830
Piper Jaffray Cos., Inc. (a).......... 1,856 120,918
Raymond James Financial, Inc. ........ 9,093 275,609
Thomas Weisel Partners Group, Inc.
(a)................................. 2,313 48,804
W.P. Carey & Co. LLC.................. 2,728 82,031
W.P. Stewart & Co., Ltd. ............. 2,204 34,911
Waddell & Reed Financial, Inc. (Class
A).................................. 8,198 224,297
-----------
1,777,818
-----------
CHEMICALS -- 4.2%
A. Schulman, Inc. .................... 2,368 52,688
Airgas, Inc. ......................... 6,524 264,352
Albemarle Corp. ...................... 3,768 270,542
Arch Chemicals, Inc. ................. 2,296 76,480
Cabot Corp. .......................... 5,505 239,853
Celanese Corp. ....................... 13,458 348,293
Chemtura Corp. ....................... 23,246 223,859
Cytec Industries, Inc. ............... 3,769 212,986
Ferro Corp. .......................... 4,119 85,222
FMC Corp. ............................ 3,526 269,915
Georgia Gulf Corp. ................... 3,229 62,352
H.B. Fuller Co. ...................... 5,841 150,815
Hercules, Inc. (a).................... 10,986 212,140
Kronos Worldwide, Inc. ............... 351 11,429
MacDermid, Inc. ...................... 2,510 85,591
Minerals Technologies, Inc. .......... 1,867 109,761
NewMarket Corp. ...................... 1,448 85,504
NL Industries, Inc. .................. 775 8,013
Olin Corp. ........................... 7,072 116,829
OM Group, Inc. (a).................... 2,806 127,056
PolyOne Corp. (a)..................... 8,358 62,685
RPM International, Inc. .............. 11,488 239,984
Sensient Technologies Corp. .......... 4,501 110,725
Spartech Corp. ....................... 3,158 82,803
Terra Nitrogen Co. LP................. 676 23,018
Tronox, Inc. ......................... 4,049 64,744
Valhi, Inc. .......................... 1,205 31,306
Valspar Corp. ........................ 9,131 252,381
W.R. Grace & Co. (a).................. 5,463 108,167
Westlake Chemical Corp. .............. 1,804 56,610
-----------
4,046,103
-----------
COMMERCIAL BANKS -- 8.1%
1st Source Corp. ..................... 1,294 41,576
Alabama National Bancorp.............. 1,805 124,058
AMCORE Financial, Inc. ............... 2,118 69,195
Arrow Financial Corp. ................ 970 24,027
Bancfirst Corp. ...................... 676 36,504
BancorpSouth, Inc. ................... 7,144 191,602
Banner Corp. ......................... 1,117 49,528
BOK Financial Corp. .................. 2,191 120,461
Capital City Bank Group, Inc. ........ 1,272 44,902
Capitol Bancorp, Ltd. ................ 1,463 67,591
Centennial Bank Holdings, Inc. (a).... 5,476 51,803
Central Pacific Financial Corp. ...... 2,984 115,660
Chemical Financial Corp. ............. 2,205 73,427
Chittenden Corp. ..................... 4,431 135,987
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Citizens Banking Corp. ............... 4,190 $ 111,035
City Holding Co. ..................... 1,695 69,309
Columbia Banking System, Inc. ........ 1,530 53,734
Community Bank System, Inc. .......... 2,890 66,470
Community Banks, Inc. ................ 2,330 64,681
Community Trust Bancorp, Inc. ........ 1,272 52,826
Cullen/Frost Bankers, Inc. ........... 5,444 303,884
CVB Financial Corp. .................. 5,977 86,427
F N B Corp. .......................... 5,798 105,929
First BanCorp- Puerto Rico............ 7,336 69,912
First Bancorp-North Carolina.......... 1,359 29,681
First Charter Corp. .................. 3,283 80,762
First Citizens BancShares, Inc. (Class
A).................................. 511 103,549
First Commonwealth Financial Corp. ... 6,649 89,296
First Financial Bancorp............... 3,920 65,111
First Financial Bankshares, Inc. ..... 1,702 71,246
First Financial Corp. ................ 1,032 36,584
First Indiana Corp. .................. 1,389 35,225
First Merchants Corp. ................ 1,789 48,643
First Midwest Bancorp, Inc. .......... 4,833 186,940
First Republic Bank................... 3,036 118,647
First State Bancorp................... 1,972 48,807
FirstMerit Corp. ..................... 7,288 175,932
Frontier Financial Corp. ............. 4,427 129,401
Glacier Bancorp, Inc. ................ 5,103 124,717
Great Southern Bancorp, Inc. ......... 906 26,736
Greater Bay Bancorp................... 4,946 130,228
Hancock Holding Co. .................. 2,673 141,241
Harleysville National Corp. .......... 2,872 55,458
IBERIABANK Corp. ..................... 845 49,897
Independent Bank Corp.-
Massachusetts....................... 1,437 51,775
Independent Bank Corp.- Michigan...... 2,150 54,374
Integra Bank Corp. ................... 1,704 46,894
Interchange Financial Services
Corp. .............................. 1,959 45,037
International Bancshares Corp. ....... 4,881 150,872
Irwin Financial Corp. ................ 2,461 55,692
MB Financial, Inc. ................... 3,519 132,350
Mid-State Bancshares.................. 2,115 76,965
Midwest Banc Holdings, Inc. .......... 1,958 46,503
National Penn Bancshares, Inc. ....... 4,286 86,791
NBT Bancorp, Inc. .................... 3,355 85,586
Old National Bancorp.................. 5,920 112,006
Omega Financial Corp. ................ 1,104 35,240
Oriental Financial Group.............. 2,141 27,726
Pacific Capital Bancorp............... 4,574 153,595
Park National Corp. .................. 1,068 105,732
Placer Sierra Bancshares.............. 1,875 44,569
Provident Bankshares Corp. ........... 3,238 115,273
Republic Bancorp, Inc. -- Kentucky.... 990 24,839
Republic Bancorp, Inc. -- Michigan.... 7,847 105,621
S&T Bancorp, Inc. .................... 2,477 85,878
S.Y. Bancorp, Inc. ................... 1,263 35,364
Sandy Spring Bancorp, Inc. ........... 1,458 55,666
Santander BanCorp..................... 511 9,121
Seacoast Banking Corp. of Florida..... 1,516 37,597
Simmons First National Corp. ......... 1,266 39,942
South Financial Group, Inc. .......... 7,257 192,964
Sterling Bancorp...................... 1,782 35,105
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Sterling Bancshares, Inc. ............ 7,073 $ 92,090
Sterling Financial
Corp. -- Pennsylvania............... 2,367 56,027
Suffolk Bancorp....................... 1,026 39,121
Sun Bancorp, Inc. (a)................. 1,733 36,514
Susquehanna Bancshares, Inc. ......... 5,023 135,018
SVB Financial Group (a)............... 3,384 157,762
Tompkins Trustco, Inc. ............... 750 34,088
Trustmark Corp. ...................... 4,962 162,307
UMB Financial Corp. .................. 2,892 105,587
United Bankshares, Inc. .............. 3,754 145,092
USB Holding Co., Inc. ................ 1,190 28,679
Washington Trust Bancorp, Inc. ....... 1,193 33,273
WesBanco, Inc. ....................... 1,867 62,601
West Coast Bancorp.................... 1,456 50,436
Westamerica Bancorp................... 3,017 152,751
Whitney Holding Corp. ................ 6,392 208,507
Wilmington Trust Corp. ............... 6,646 280,262
Yardville National Bancorp............ 1,027 38,738
-----------
7,746,559
-----------
COMMERCIAL SERVICES & SUPPLIES -- 2.5%
ABM Industries, Inc. ................. 4,354 98,879
ADESA, Inc. .......................... 8,311 230,630
Banta Corp. .......................... 2,349 85,504
Bowne & Co., Inc. .................... 2,962 47,214
Brady Corp. .......................... 4,642 173,054
CDI Corp. ............................ 1,288 32,071
Central Parking Corp. ................ 1,804 32,472
Consolidated Graphics, Inc. (a)....... 1,197 70,707
Deluxe Corp. ......................... 4,934 124,337
Ennis, Inc. .......................... 2,470 60,416
G & K Services, Inc. (Class A)........ 2,089 81,241
Heidrick & Struggles International,
Inc. (a)............................ 1,687 71,461
Herman Miller, Inc. .................. 6,342 230,595
IKON Office Solutions, Inc. .......... 9,163 149,998
John H. Harland Co. .................. 2,461 123,542
Kelly Services, Inc. (Class A)........ 1,874 54,234
McGrath Rentcorp...................... 2,156 66,038
PHH Corp. (a)......................... 5,167 149,171
School Specialty, Inc. (a)............ 2,013 75,468
United Stationers, Inc. (a)........... 2,894 135,121
Viad Corp. ........................... 2,019 81,972
Volt Information Sciences, Inc. (a)... 854 42,879
Watson Wyatt Worldwide, Inc. (Class
A).................................. 4,092 184,754
-----------
2,401,758
-----------
COMMUNICATIONS EQUIPMENT -- 1.4%
3Com Corp. (a)........................ 38,098 156,583
ADC Telecommunications, Inc. (a)...... 11,245 163,390
Andrew Corp. (a)...................... 15,470 158,258
Bel Fuse, Inc. (Class B).............. 1,017 35,381
Black Box Corp. ...................... 1,706 71,635
CIENA Corp. (a)....................... 8,133 225,365
CommScope, Inc. (a)................... 5,842 178,064
Dycom Industries, Inc. (a)............ 3,884 82,030
Inter-Tel, Inc. ...................... 2,003 44,387
Mastec, Inc. (a)...................... 4,199 48,456
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Powerwave Technologies, Inc. (a)...... 11,029 $ 71,137
Sycamore Networks, Inc. (a)........... 18,443 69,346
-----------
1,304,032
-----------
COMPUTERS & PERIPHERALS -- 0.7%
Adaptec, Inc. (a)..................... 10,875 50,677
Electronics for Imaging, Inc. (a)..... 5,572 148,104
Emulex Corp. (a)...................... 8,346 162,830
Gateway, Inc. (a)..................... 24,910 50,069
Hutchinson Technology, Inc. (a)....... 2,558 60,292
Imation Corp. ........................ 3,348 155,448
Quantum Corp. (a)..................... 19,655 45,600
-----------
673,020
-----------
CONSTRUCTION & ENGINEERING -- 1.7%
EMCOR Group, Inc. (a)................. 3,084 175,325
Foster Wheeler, Ltd. (a).............. 6,673 367,949
Granite Construction, Inc. ........... 3,306 166,358
Insituform Technologies, Inc. (a)..... 2,610 67,495
Quanta Services, Inc. (a)............. 9,846 193,671
The Shaw Group, Inc. (a).............. 7,313 244,985
URS Corp. (a)......................... 5,054 216,564
Washington Group International, Inc.
(a)................................. 2,863 171,179
-----------
1,603,526
-----------
CONSTRUCTION MATERIALS -- 0.2%
Texas Industries, Inc. ............... 2,346 150,684
-----------
CONSUMER FINANCE -- 0.1%
Advanta Corp. (Class B)............... 2,128 92,845
-----------
CONTAINERS & PACKAGING -- 0.9%
Aptargroup, Inc. ..................... 3,085 182,138
Chesapeake Corp. ..................... 1,940 33,019
Greif, Inc. (Class A)................. 1,448 171,443
Owens-Illinois, Inc. (a).............. 13,787 254,370
Packaging Corp. of America............ 7,906 174,723
Rock-Tenn Co. ........................ 3,064 83,065
-----------
898,758
-----------
DISTRIBUTORS -- 0.1%
Audiovox Corp. (Class A) (a).......... 1,895 26,701
Building Material Holding Corp. ...... 2,815 69,502
-----------
96,203
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.4%
Coinmach Service Corp. ............... 2,771 32,975
Service Corp. International........... 28,591 293,058
Stewart Enterprises, Inc. (Class A)... 9,490 59,312
-----------
385,345
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.1%
Financial Federal Corp. .............. 2,555 75,142
Resource America, Inc. ............... 1,454 38,386
-----------
113,528
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.4%
Commonwealth Telephone Enterprises,
Inc. ............................... 1,945 81,418
Consolidated Communications Holdings,
Inc. ............................... 1,989 41,570
Fairpoint Communications, Inc. ....... 2,739 51,904
IDT Corp. (Class B) (a)............... 6,306 82,483
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Iowa Telecommunications Services,
Inc. ............................... 2,651 $ 52,251
North Pittsburgh Systems, Inc. ....... 1,371 33,096
SureWest Communications............... 1,276 35,141
-----------
377,863
-----------
ELECTRIC UTILITIES -- 2.3%
ALLETE, Inc. ......................... 2,476 115,233
Cleco Corp. .......................... 5,540 139,774
Duquesne Light Holdings, Inc. ........ 8,481 168,348
El Paso Electric Co. (a).............. 4,498 109,616
Empire District Electric Co. ......... 2,961 73,107
Great Plains Energy, Inc. ............ 7,756 246,641
Hawaiian Electric Industries, Inc. ... 7,845 212,992
IDACORP, Inc. ........................ 4,128 159,547
MGE Energy, Inc. ..................... 1,959 71,660
Otter Tail Corp. ..................... 2,563 79,863
Portland General Electric Co. ........ 2,601 70,877
Sierra Pacific Resources (a).......... 21,552 362,720
UIL Holdings Corp. ................... 2,125 89,654
Unisource Energy Corp. ............... 3,390 123,837
Westar Energy, Inc. .................. 8,480 220,141
-----------
2,244,010
-----------
ELECTRICAL EQUIPMENT -- 1.1%
A.O. Smith Corp. ..................... 2,012 75,571
Baldor Electric Co. .................. 2,795 93,409
Belden CDT, Inc. ..................... 4,298 168,009
GrafTech International, Ltd. (a)...... 9,660 66,847
Regal-Beloit Corp. ................... 3,010 158,055
Superior Essex, Inc. (a).............. 1,926 64,040
Thomas & Betts Corp. (a).............. 5,830 275,642
Woodward Governor Co. ................ 2,806 111,426
-----------
1,012,999
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.3%
Agilysys, Inc. ....................... 3,051 51,074
Anixter International, Inc. (a)....... 3,350 181,905
Avnet, Inc. (a)....................... 14,158 361,454
AVX Corp. ............................ 5,024 74,305
Checkpoint Systems, Inc. (a).......... 3,852 77,810
Coherent, Inc. (a).................... 2,983 94,173
Electro Scientific Industries, Inc.
(a)................................. 2,537 51,095
KEMET Corp. (a)....................... 8,089 59,050
Littelfuse, Inc. (a).................. 2,212 70,519
Methode Electronics, Inc. (Class A)... 3,506 37,970
Newport Corp. (a)..................... 3,755 78,667
Park Electrochemical Corp. ........... 1,747 44,810
Paxar Corp. (a)....................... 3,570 82,324
Plexus Corp. (a)...................... 4,473 106,815
SYNNEX Corp. (a)...................... 1,419 31,133
Tech Data Corp. (a)................... 5,294 200,484
Technitrol, Inc. ..................... 3,919 93,625
Tektronix, Inc. ...................... 8,167 238,231
Vishay Intertechnology, Inc. (a)...... 16,368 221,623
-----------
2,157,067
-----------
ENERGY EQUIPMENT & SERVICES -- 1.2%
Bristow Group, Inc. (a)............... 2,134 77,016
Hanover Compressor Co. (a)............ 8,391 158,506
Horizon Offshore, Inc. (a)............ 2,629 42,853
Lone Star Technologies, Inc. (a)...... 3,016 146,005
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SEACOR Holdings, Inc. (a)............. 2,064 $ 204,625
Tidewater, Inc. ...................... 5,582 269,945
Veritas DGC, Inc. (a)................. 3,299 282,493
-----------
1,181,443
-----------
FOOD & STAPLES RETAILING -- 0.5%
Casey's General Stores, Inc. ......... 4,875 114,806
Great Atlantic & Pacific Tea Co. ..... 1,604 41,287
Ingles Markets, Inc. ................. 1,172 34,914
Longs Drug Stores Corp. .............. 2,944 124,767
Nash Finch Co. ....................... 1,278 34,889
Ruddick Corp. ........................ 3,509 97,375
The Topps Co., Inc. .................. 3,332 29,655
Weis Markets, Inc. ................... 937 37,583
-----------
515,276
-----------
FOOD PRODUCTS -- 2.0%
Alico, Inc. .......................... 333 16,860
Chiquita Brands International,
Inc. ............................... 4,122 65,828
Corn Products International, Inc. .... 7,216 249,241
Del Monte Foods Co. .................. 19,282 212,680
Delta and Pine Land Co. .............. 3,523 142,505
Farmer Brothers Co. .................. 595 12,703
Fresh Del Monte Produce, Inc. ........ 2,781 41,465
Gold Kist, Inc. (a)................... 4,940 103,839
Hain Celestial Group, Inc. (a)........ 3,771 117,693
Lancaster Colony Corp. ............... 2,457 108,870
Lance, Inc. .......................... 2,901 58,252
Pilgrim's Pride Corp. ................ 4,039 118,868
Premium Standard Farms, Inc. ......... 1,800 33,426
Ralcorp Holdings, Inc. (a)............ 2,592 131,907
Reddy Ice Holdings, Inc. ............. 1,646 42,500
The J.M. Smucker Co. ................. 5,539 268,475
Tootsie Roll Industries, Inc. ........ 2,456 80,311
TreeHouse Foods, Inc. (a)............. 2,988 93,226
-----------
1,898,649
-----------
GAS UTILITIES -- 3.0%
AGL Resources, Inc. .................. 7,602 295,794
Amerigas Partners LP.................. 3,163 102,892
Atmos Energy Corp. ................... 7,943 253,461
Laclede Group, Inc. .................. 1,969 68,974
National Fuel Gas Co. ................ 7,699 296,720
New Jersey Resources Corp. ........... 2,680 130,194
Nicor, Inc. .......................... 4,254 199,087
Northwest Natural Gas Co. ............ 2,669 113,272
Peoples Energy Corp. ................. 3,758 167,494
Piedmont Natural Gas Co., Inc. ....... 6,830 182,703
South Jersey Industries, Inc. ........ 2,812 93,949
Southern Union Co. ................... 10,938 305,717
Southwest Gas Corp. .................. 4,026 154,478
Suburban Propane Partners LP.......... 3,171 120,530
UGI Corp. ............................ 10,174 277,547
WGL Holdings, Inc. ................... 4,707 153,354
-----------
2,916,166
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.9%
Advanced Medical Optics, Inc. (a)..... 5,798 204,090
CONMED Corp. (a)...................... 2,624 60,667
Datascope Corp. ...................... 1,190 43,364
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DJO, Inc. (a)......................... 2,232 $ 95,574
Invacare Corp. ....................... 3,066 75,270
STERIS Corp. ......................... 6,217 156,482
The Cooper Cos., Inc. ................ 4,363 194,153
-----------
829,600
-----------
HEALTH CARE PROVIDERS & SERVICES -- 0.6%
Chemed Corp. ......................... 2,554 94,447
Genesis HealthCare Corp. (a).......... 1,864 88,037
Kindred Healthcare, Inc. (a).......... 3,267 82,492
Landauer, Inc. ....................... 848 44,494
Magellan Health Services, Inc. (a).... 3,652 157,839
Owens & Minor, Inc. .................. 3,929 122,860
RehabCare Group, Inc. (a)............. 1,614 23,968
-----------
614,137
-----------
HOTELS RESTAURANTS & LEISURE -- 2.2%
AFC Enterprises, Inc. (a)............. 2,520 44,528
Aztar Corp. (a)....................... 3,530 192,103
Bob Evans Farms, Inc. ................ 3,571 122,200
CBRL Group, Inc. ..................... 3,028 135,533
Cedar Fair LP......................... 4,904 136,429
Churchill Downs, Inc. ................ 957 40,902
Domino's Pizza, Inc. ................. 3,867 108,276
IHOP Corp. ........................... 1,508 79,472
Jack in the Box, Inc. (a)............. 3,406 207,902
Landry's Restaurants, Inc. ........... 1,707 51,364
Marcus Corp. ......................... 2,042 52,234
Orient-Express Hotels, Ltd. (Class
A).................................. 3,848 182,087
OSI Restaurant Partners, Inc. ........ 6,784 265,933
Pinnacle Entertainment, Inc. (a)...... 4,639 153,736
Six Flags, Inc. (a)................... 7,303 38,268
Speedway Motorsports, Inc. ........... 1,307 50,189
Triarc Cos., Inc. (Class B)........... 4,825 96,500
Vail Resorts, Inc. (a)................ 2,935 131,547
-----------
2,089,203
-----------
HOUSEHOLD DURABLES -- 2.0%
American Greetings Corp. (Class A).... 5,520 131,762
Avatar Holdings, Inc. (a)............. 527 42,608
Beazer Homes USA, Inc. ............... 3,625 170,411
Blyth, Inc. .......................... 2,802 58,142
CSS Industries, Inc. ................. 766 27,094
Ethan Allen Interiors, Inc. .......... 2,868 103,564
Furniture Brands International,
Inc. ............................... 4,431 71,915
Kimball International, Inc. (Class
B).................................. 2,385 57,956
La-Z-Boy, Inc. ....................... 4,921 58,412
M.D.C. Holdings, Inc. ................ 3,328 189,862
M/I Homes, Inc. ...................... 1,191 45,484
Meritage Homes Corp. (a).............. 2,111 100,737
Palm Harbor Homes, Inc. (a)........... 1,021 14,314
Russ Berrie & Co., Inc. (a)........... 1,022 15,790
Ryland Group, Inc. ................... 4,180 228,312
Skyline Corp. ........................ 685 27,551
Snap-on, Inc. ........................ 5,079 241,964
Standard Pacific Corp. ............... 6,256 167,598
Tupperware Corp. ..................... 5,840 132,042
WCI Communities, Inc. (a)............. 3,341 64,080
-----------
1,949,598
-----------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOUSEHOLD PRODUCTS -- 0.2%
Central Garden & Pet Co. (a).......... 2,077 $ 100,568
WD-40 Co. ............................ 1,535 53,526
-----------
154,094
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Black Hills Corp. .................... 3,216 118,799
Dynegy, Inc. (Class A) (a)............ 38,757 280,601
-----------
399,400
-----------
INDUSTRIAL CONGLOMERATES -- 0.7%
Carlisle Cos., Inc. .................. 3,025 237,462
Sequa Corp. (a)....................... 693 79,737
Standex International Corp. .......... 1,113 33,535
Teleflex, Inc. ....................... 3,402 219,633
Tredegar Corp. ....................... 2,686 60,730
-----------
631,097
-----------
INSURANCE -- 6.8%
21st Century Insurance Group.......... 2,561 45,202
Alfa Corp. ........................... 3,673 69,089
Alleghany Corp. (a)................... 490 178,164
Allied World Assurance Holdings,
Ltd. ............................... 968 42,234
American Financial Group, Inc. ....... 6,706 240,812
American National Insurance Co. ...... 1,556 177,555
Amtrust Financial Services, Inc. ..... 2,500 21,375
Argonaut Group, Inc. (a).............. 3,178 110,785
Aspen Insurance Holdings, Ltd. ....... 5,520 145,507
Assured Guaranty, Ltd. ............... 4,657 123,876
Baldwin & Lyons, Inc. (Class B)....... 946 24,161
Bristol West Holdings, Inc. .......... 1,691 26,768
CNA Surety Corp. (a).................. 1,534 32,981
Delphi Financial Group................ 4,082 165,158
eHealth, Inc. (a)..................... 484 9,733
Endurance Specialty Holdings, Ltd. ... 5,694 208,286
Enstar Group, Inc. (a)................ 427 40,949
Erie Indemnity Co. (Class A).......... 5,014 290,712
FBL Financial Group, Inc. (Class A)... 1,188 46,427
Great American Financial Resources,
Inc. ............................... 766 17,656
Hanover Insurance Group, Inc. ........ 4,994 243,707
Harleysville Group, Inc. ............. 1,371 47,738
Horace Mann Educators Corp. .......... 4,153 83,891
Infinity Property & Casualty Corp. ... 1,946 94,167
IPC Holdings, Ltd. ................... 6,181 194,392
Kansas City Life Insurance Co. ....... 435 21,785
LandAmerica Financial Group,
Inc. ................................. 2,029 128,050
Max Re Capital, Ltd. ................. 4,362 108,265
Mercury General Corp. ................ 2,581 136,096
Montpelier Re Holdings, Ltd. ......... 10,125 188,426
National Western Life Insurance Co.
(Class A)........................... 219 50,401
Navigators Group, Inc. (a)............ 1,310 63,116
Odyssey Re Holdings Corp. ............ 2,209 82,396
Ohio Casualty Corp. .................. 5,959 177,638
OneBeacon Insurance Group, Ltd. (a)... 2,326 65,128
PartnerRe, Ltd. ...................... 5,506 391,091
Platinum Underwriters Holdings,
Ltd. ............................... 5,704 176,482
Presidential Life Corp. .............. 2,109 46,293
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ProAssurance Corp. (a)................ 2,945 $ 147,014
Reinsurance Group America, Inc. ...... 2,858 159,191
RenaissanceRe Holdings, Ltd. ......... 6,092 365,520
RLI Corp. ............................ 2,120 119,610
Safety Insurance Group, Inc. ......... 1,368 69,371
Security Capital Assurance, Ltd. ..... 2,094 58,276
Selective Insurance Group, Inc. ...... 2,820 161,558
StanCorp Financial Group, Inc. ....... 5,194 233,990
State Auto Financial Corp. ........... 1,364 47,372
Stewart Information Services Corp. ... 1,609 69,766
The Commerce Group, Inc. ............. 5,929 176,388
The Midland Co. ...................... 1,268 53,193
The Phoenix Cos., Inc. ............... 10,930 173,678
United America Indemnity, Ltd. (a).... 1,920 48,634
United Fire & Casualty Co. ........... 2,139 75,400
Wesco Financial Corp. ................ 136 62,560
Zenith National Insurance Corp. ...... 3,653 171,362
-----------
6,509,375
-----------
INTERNET SOFTWARE & SERVICES -- 0.1%
United Online, Inc. .................. 6,365 84,527
-----------
IT SERVICES -- 1.5%
BearingPoint, Inc. (a)................ 18,248 143,612
Convergys Corp. (a)................... 13,326 316,892
Covansys Corp. (a).................... 1,788 41,035
CSG Systems International, Inc. (a)... 4,540 121,354
Forrester Research, Inc. (a).......... 1,404 38,062
Gevity HR, Inc. ...................... 2,453 58,112
infoUSA, Inc. ........................ 3,490 41,566
Mantech International Corp. (a)....... 1,745 64,268
MAXIMUS, Inc. ........................ 2,016 62,052
MPS Group, Inc. (a)................... 10,054 142,566
Perot Systems Corp. (Class A) (a)..... 8,068 132,235
Unisys Corp. (a)...................... 33,152 259,912
-----------
1,421,666
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.5%
Callaway Golf Co. .................... 6,693 96,446
JAKKS Pacific, Inc. (a)............... 2,579 56,325
K2, Inc. (a).......................... 4,614 60,859
Nautilus Group, Inc. ................. 3,173 44,422
Polaris Industries, Inc. ............. 3,770 176,549
-----------
434,601
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
Cambrex Corp. ........................ 2,632 59,799
PerkinElmer, Inc. .................... 12,210 271,428
-----------
331,227
-----------
MACHINERY -- 5.0%
AGCO Corp. (a)........................ 8,718 269,735
Albany International Corp. (Class
A).................................. 2,427 79,873
Astec Industries, Inc. (a)............ 1,729 60,688
Barnes Group, Inc. ................... 4,014 87,305
Blount International, Inc. (a)........ 3,664 49,317
Briggs & Stratton Corp. .............. 4,792 129,144
Cascade Corp. ........................ 1,016 53,746
CIRCOR International, Inc. ........... 1,283 47,202
Crane Co. ............................ 5,115 187,414
EnPro Industries, Inc. (a)............ 2,044 67,881
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Federal Signal Corp. ................. 4,685 $ 75,147
Flowserve Corp. (a)................... 5,456 275,364
Freightcar America, Inc. ............. 1,211 67,150
Harsco Corp. ......................... 4,004 304,704
IDEX Corp. ........................... 5,131 243,261
Kaydon Corp. ......................... 2,722 108,172
Kennametal, Inc. ..................... 3,812 224,336
Lincoln Electric Holdings, Inc. ...... 3,830 231,409
Lindsay Manufacturing Co. ............ 1,015 33,140
Mueller Industries, Inc. ............. 3,533 111,996
Mueller Water Products, Inc. (Class
B).................................. 11,232 167,020
NACCO Industries, Inc. ............... 513 70,076
Navistar International Corp. (a)...... 6,445 215,456
Nordson Corp. ........................ 2,936 146,301
Robbins & Myers, Inc. ................ 1,218 55,931
Tecumseh Products Co. (Class A) (a)... 1,531 25,874
Tennant Co. .......................... 1,546 44,834
The Greenbrier Cos., Inc. ............ 1,402 42,060
The Manitowoc Co., Inc. .............. 6,022 357,887
The Timken Co. ....................... 8,254 240,852
Trinity Industries, Inc. ............. 7,695 270,864
Valmont Industries, Inc. ............. 1,816 100,770
Wabash National Corp. ................ 2,879 43,473
Wabtec Corp. ......................... 4,693 142,573
Watts Water Technologies, Inc. ....... 2,944 121,028
-----------
4,751,983
-----------
MARINE -- 0.3%
Alexander & Baldwin, Inc. ............ 4,149 183,967
Eagle Bulk Shipping, Inc. ............ 2,721 47,182
Genco Shipping & Trading, Ltd. ....... 1,106 30,901
Horizon Lines, Inc. .................. 2,349 63,329
-----------
325,379
-----------
MEDIA -- 2.2%
Belo Corp. ........................... 8,843 162,446
Carmike Cinemas, Inc. ................ 1,111 22,653
Catalina Marketing Corp. ............. 3,548 97,570
Citadel Broadcasting Corp. ........... 3,470 34,561
Courier Corp. ........................ 1,108 43,179
Cox Radio, Inc. (Class A) (a)......... 3,507 57,164
Cumulus Media, Inc. (a)............... 3,427 35,607
Emmis Communications Corp. ........... 3,239 26,689
Entercom Communications Corp. ........ 3,065 86,372
Fisher Communications, Inc. (a)....... 714 31,566
Hearst-Argyle Television, Inc. ....... 2,397 61,123
Journal Communications, Inc. ......... 4,612 58,157
Journal Register Co. ................. 3,711 27,090
Lee Enterprises, Inc. ................ 4,010 124,551
Lin TV Corp. (Class A) (a)............ 2,640 26,268
McClatchy Co. (Class A)............... 5,326 230,616
Media General, Inc. (Class A)......... 2,150 79,915
Meredith Corp. ....................... 3,794 213,792
Radio One, Inc. (Class A) (a)......... 7,601 51,155
RCN Corp. (a)......................... 3,579 107,907
Reader's Digest Association, Inc. .... 9,446 157,748
Regal Entertainment Group............. 6,477 138,090
Scholastic Corp. (a).................. 3,257 116,731
Sinclair Broadcast Group, Inc. ....... 4,579 48,080
Sun-Times Media Group, Inc. .......... 5,413 26,578
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Westwood One, Inc. ................... 7,102 $ 50,140
World Wrestling Entertainment, Inc.
(Class A)........................... 1,788 29,144
-----------
2,144,892
-----------
METALS & MINING -- 2.9%
AMCOL International Corp. ............ 2,480 68,795
Brush Engineered Materials, Inc.
(a)................................. 2,075 70,073
Carpenter Technology Corp. ........... 2,507 257,018
Century Aluminum Co. (a).............. 2,392 106,803
Chaparral Steel Co. (a)............... 4,108 181,861
Cleveland-Cliffs, Inc. ............... 4,038 195,601
Commercial Metals Co. ................ 11,689 301,576
Compass Minerals International,
Inc. ............................... 3,063 96,668
Gibraltar Industries, Inc. ........... 2,622 61,643
Kaiser Aluminum Corp. (a)............. 1,153 64,545
Oregon Steel Mills, Inc. (a).......... 3,494 218,061
Quanex Corp. ......................... 3,568 123,417
Reliance Steel & Aluminum Co. ........ 6,016 236,910
RTI International Metals, Inc. (a).... 2,210 172,866
Ryerson Tull, Inc. ................... 2,244 56,302
Schnitzer Steel Industries, Inc.
(Class A)........................... 2,198 87,261
Steel Dynamics, Inc. ................. 8,896 288,675
Stillwater Mining Co. (a)............. 4,348 54,307
Worthington Industries, Inc. ......... 7,041 124,766
-----------
2,767,148
-----------
MULTI-UTILITIES -- 2.2%
Aquila, Inc. (a)...................... 36,202 170,150
Avista Corp. ......................... 4,745 120,096
CH Energy Group, Inc. ................ 1,535 81,048
CMS Energy Corp. (a).................. 21,439 358,031
NorthWestern Corp. ................... 3,480 123,122
OGE Energy Corp. ..................... 8,792 351,680
PNM Resources, Inc. .................. 6,169 191,856
Puget Energy, Inc. ................... 11,156 282,916
Vectren Corp. ........................ 7,407 209,470
WPS Resources Corp. .................. 4,153 224,387
-----------
2,112,756
-----------
MULTILINE RETAIL -- 0.7%
Big Lots, Inc. (a).................... 10,558 241,989
Dillards, Inc. (Class A).............. 6,278 219,542
Saks, Inc. ........................... 11,654 207,674
Tuesday Morning Corp. ................ 2,867 44,582
-----------
713,787
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.1%
Atlas Pipeline Holdings LP............ 339 8,095
Aventine Renewable Energy Holdings,
Inc. (a)............................ 3,080 72,565
Boardwalk Pipeline Partners LP........ 2,014 62,071
Buckeye Partners LP................... 3,525 163,842
Calumet Specialty Products Partners
LP.................................. 1,146 45,886
Crosstex Energy LP.................... 1,606 63,999
DCP Midstream Partners LP............. 974 33,652
Dorchester Minerals LP................ 2,654 58,468
Double Hull Tankers, Inc. ............ 1,630 26,390
Enbridge Energy Partners LP........... 4,835 238,801
Evergreen Energy, Inc. (a)............ 7,984 78,962
Ferrellgas Partners LP................ 3,686 78,807
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Forest Oil Corp. (a).................. 5,270 $ 172,224
General Maritime Corp. ............... 2,600 91,494
Giant Industries, Inc. (a)............ 1,477 110,701
Harvest Natural Resources, Inc. (a)... 3,566 37,907
Holly Energy Partners LP.............. 771 31,033
Hugoton Royalty Trust................. 3,849 94,685
Inergy Holdings LP.................... 935 37,400
Inergy LP............................. 3,566 106,302
James River Coal Co. (a).............. 1,420 13,178
Linn Energy LLC....................... 1,389 44,379
Magellan Midstream Partners LP........ 6,456 249,202
Markwest Energy Partners LP........... 1,394 83,152
Massey Energy Co. .................... 7,288 169,300
McMoRan Exploration Co. (a)........... 2,319 32,976
Meridian Resource Corp. (a)........... 8,538 26,382
Natural Resource Partners LP.......... 1,639 94,980
Overseas Shipholding Group, Inc. ..... 2,940 165,522
Penn Virginia Resource Partners LP.... 2,489 64,739
Petrohawk Energy Corp. (a)............ 16,158 185,817
Plains All American Pipeline LP....... 7,741 396,339
Ship Finance International, Ltd. ..... 3,973 94,398
Stone Energy Corp. (a)................ 2,573 90,956
Sunoco Logistics Partners LP.......... 1,619 81,857
Swift Energy Co. (a).................. 2,841 127,305
TC Pipelines LP....................... 1,530 55,080
Teekay LNG Partners LP................ 1,040 34,642
Teekay Shipping Corp. ................ 4,183 182,462
TEPPCO Partners LP.................... 7,321 295,109
The Houston Exploration Co. (a)....... 2,772 143,534
U.S. Shipping Partners LP............. 885 16,594
USEC, Inc. ........................... 8,574 109,061
Valero LP............................. 3,515 196,032
VeraSun Energy Corp. (a).............. 1,754 34,641
Whiting Petroleum Corp. (a)........... 3,553 165,570
Williams Partners LP.................. 1,935 74,884
-----------
4,841,375
-----------
PAPER & FOREST PRODUCTS -- 0.7%
Bowater, Inc. ........................ 5,459 122,827
Buckeye Technologies, Inc. (a)........ 3,668 43,943
Deltic Timber Corp. .................. 1,112 62,027
Glatfelter............................ 3,926 60,853
Louisiana-Pacific Corp. .............. 10,268 221,070
Neenah Paper, Inc. ................... 1,453 51,320
Schweitzer-Mauduit International,
Inc. ............................... 1,442 37,564
Wausau-Mosinee Paper Corp. ........... 4,637 69,509
-----------
669,113
-----------
PERSONAL PRODUCTS -- 0.2%
Nu Skin Enterprises, Inc. (Class A)... 5,199 94,778
Playtex Products, Inc. (a)............ 5,787 83,275
-----------
178,053
-----------
PHARMACEUTICALS -- 0.3%
Alpharma, Inc. (Class A).............. 4,099 98,786
KV Pharmaceutical Co. (Class A) (a)... 4,094 97,355
Perrigo Co. .......................... 7,489 129,560
-----------
325,701
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
REAL ESTATE INVESTMENT TRUSTS -- 12.8%
Acadia Realty Trust................... 2,730 $ 68,305
Alexandria Real Estate Equities,
Inc. ............................... 2,836 284,734
American Financial Realty Trust....... 12,482 142,794
American Home Mortgage Investment
Corp. .............................. 4,424 155,371
Annaly Mortgage Management, Inc. ..... 19,305 268,532
Anthracite Capital, Inc. ............. 5,449 69,366
Arbor Realty Trust, Inc. ............. 1,622 48,806
Ashford Hospitality Trust, Inc. ...... 6,549 81,535
Brandywine Realty Trust............... 8,741 290,638
BRE Properties, Inc. (Class A)........ 4,913 319,443
Capital Lease Funding, Inc. .......... 3,106 36,030
Capital Trust, Inc. (Class A)......... 1,587 79,255
CBL & Associates Properties, Inc. .... 6,234 270,244
CBRE Realty Finance, Inc. ............ 927 14,563
CentraCore Properties Trust........... 1,114 36,016
Colonial Properties Trust............. 4,445 208,382
Cousins Properties, Inc. ............. 3,896 137,412
Crescent Real Estate Equities Co. .... 9,279 183,260
Crystal River Capital, Inc. .......... 699 17,845
Deerfield Triarc Capital Corp. ....... 4,009 67,872
DiamondRock Hospitality Co. .......... 6,942 125,025
Douglas Emmett, Inc. ................. 6,424 170,814
EastGroup Properties, Inc. ........... 2,326 124,581
Education Realty Trust, Inc. ......... 2,485 36,703
Entertainment Properties Trust........ 2,592 151,476
Equity Inns, Inc. .................... 5,229 83,455
Equity Lifestyle Properties, Inc. .... 2,135 116,208
Equity One, Inc. ..................... 3,606 96,136
Extra Space Storage, Inc. ............ 6,227 113,705
FelCor Lodging Trust, Inc. ........... 6,019 131,455
Fieldstone Investment Corp. .......... 4,876 21,357
First Industrial Realty Trust,
Inc. ............................... 4,295 201,393
Franklin Street Properties Corp. ..... 6,185 130,194
Friedman, Billings, Ramsey Group,
Inc. ............................... 14,595 116,760
Getty Realty Corp. ................... 1,869 57,752
Glimcher Realty Trust................. 3,490 93,218
GMH Communities Trust................. 4,042 41,026
Gramercy Capital Corp./New York....... 2,072 64,004
Health Care REIT, Inc. ............... 7,003 301,269
Healthcare Realty Trust, Inc. ........ 4,620 182,675
Highland Hospitality Corp. ........... 5,528 78,774
Highwoods Properties, Inc. ........... 5,401 220,145
Home Properties, Inc. ................ 3,210 190,257
HomeBanc Corp. ....................... 4,430 18,739
HRPT Properties Trust................. 20,337 251,162
Impac Mortgage Holdings, Inc. ........ 6,891 60,641
Inland Real Estate Corp. ............. 5,973 111,815
Innkeepers USA Trust.................. 4,381 67,905
Investors Real Estate Trust........... 4,424 45,390
JER Investors Trust, Inc. ............ 2,667 55,127
Kilroy Realty Corp. .................. 3,203 249,834
KKR Financial Corp. .................. 7,845 210,168
LaSalle Hotel Properties.............. 3,856 176,798
Lexington Corporate Properties
Trust............................... 5,114 114,656
Longview Fibre Co. ................... 6,383 140,107
LTC Properties, Inc. ................. 2,042 55,767
Luminent Mortgage Capital, Inc. ...... 4,370 42,433
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Medical Properties Trust, Inc. ....... 3,796 $ 58,079
MFA Mortgage Investments, Inc. ....... 7,683 59,082
Mid-America Apartment Communities,
Inc. ............................... 2,378 136,117
Mills Corp. .......................... 4,934 98,680
National Health Investors, Inc. ...... 2,484 81,972
National Retail Properties, Inc. ..... 5,720 131,274
Nationwide Health Properties, Inc. ... 8,162 246,656
New Century Financial Corp. .......... 4,931 155,770
Newcastle Investment Corp. ........... 4,444 139,186
Newkirk Realty Trust, Inc. ........... 1,445 26,068
Novastar Financial, Inc. ............. 3,567 95,061
Omega Healthcare Investors, Inc. ..... 5,727 101,482
Parkway Properties, Inc. ............. 1,465 74,730
Pennsylvania Real Estate Investment
Trust............................... 3,580 140,980
Post Properties, Inc. ................ 4,175 190,797
Potlatch Corp. ....................... 3,719 162,967
PS Business Parks, Inc. .............. 1,629 115,187
RAIT Investment Trust................. 5,055 174,296
Ramco-Gershenson Properties Trust..... 1,616 61,634
Rayonier, Inc. ....................... 7,380 302,949
Realty Income Corp. .................. 9,704 268,801
Reckson Associates Realty Corp. ...... 8,060 367,536
Redwood Trust, Inc. .................. 2,397 139,218
Saul Centers, Inc. ................... 1,113 61,426
Senior Housing Properties Trust....... 7,397 181,079
Sovran Self Storage, Inc. ............ 1,947 111,524
Spirit Finance Corp. ................. 9,467 118,053
Strategic Hotels & Resorts, Inc. ..... 7,317 159,437
Sun Communities, Inc. ................ 1,675 54,203
Sunstone Hotel Investors, Inc. ....... 5,596 149,581
Tanger Factory Outlet Centers,
Inc. ............................... 2,977 116,341
Taubman Centers, Inc. ................ 5,116 260,200
Trustreet Properties, Inc. ........... 6,621 111,564
U-Store-It Trust...................... 4,610 94,735
Universal Health Realty Income
Trust............................... 1,114 43,424
Urstadt Biddle Properties (Class A)... 1,887 36,023
Washington Real Estate Investment
Trust............................... 4,331 173,240
-----------
12,228,679
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Affordable Residential Communities
(a)................................. 3,407 39,691
Tejon Ranch Co. (a)................... 1,145 63,937
-----------
103,628
-----------
ROAD & RAIL -- 1.8%
Amerco, Inc. (a)...................... 743 64,648
Arkansas Best Corp. .................. 2,220 79,920
Avis Budget Group, Inc. .............. 9,704 210,480
Con-way, Inc. ........................ 4,698 206,900
Dollar Thrifty Automotive
Group (a)............................. 2,205 100,570
Kansas City Southern (a).............. 7,391 214,191
Laidlaw International, Inc. .......... 7,934 241,432
Ryder Systems, Inc. .................. 5,934 302,990
Werner Enterprises, Inc. ............. 5,310 92,819
YRC Worldwide, Inc. (a)............... 5,578 210,458
-----------
1,724,408
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.7%
Actel Corp. (a)....................... 2,501 $ 45,418
Advanced Energy Industries, Inc.
(a)................................. 3,418 64,498
Axcelis Technologies, Inc. (a)........ 9,934 57,915
Cohu, Inc. ........................... 1,957 39,453
Credence Systems Corp. (a)............ 8,610 44,772
Cypress Semiconductor Corp. (a)....... 13,902 234,527
Entegris, Inc. (a).................... 11,508 124,517
Exar Corp. (a)........................ 3,458 44,954
Fairchild Semiconductor International,
Inc. (a)............................ 11,815 198,610
Integrated Device Technology, Inc.
(a)................................. 19,412 300,498
Kulicke & Soffa Industries, Inc.
(a)................................. 5,626 47,258
Lattice Semiconductor Corp. (a)....... 10,557 68,409
MKS Instruments, Inc. (a)............. 3,693 83,388
Photronics, Inc. (a).................. 3,692 60,327
Standard Microsystems Corp. (a)....... 2,131 59,625
TriQuint Semiconductor, Inc. (a)...... 13,604 61,218
Veeco Instruments, Inc. (a)........... 2,580 48,324
-----------
1,583,711
-----------
SOFTWARE -- 0.8%
Aspen Technology, Inc. (a)............ 4,778 52,654
Borland Software Corp. (a)............ 7,601 41,349
Compuware Corp. (a)................... 34,124 284,253
Novell, Inc. (a)...................... 32,830 203,546
Sybase, Inc. (a)...................... 8,692 214,692
-----------
796,494
-----------
SPECIALTY RETAIL -- 2.1%
Asbury Automotive Group, Inc. ........ 2,662 62,717
Barnes & Noble, Inc. ................. 5,111 202,958
Blockbuster, Inc. (Class A) (a)....... 16,895 89,375
Borders Group, Inc. .................. 6,047 135,150
Buckle, Inc. ......................... 938 47,697
CSK Auto Corp. (a).................... 4,260 73,059
DEB Shops, Inc. ...................... 332 8,765
Group 1 Automotive, Inc. ............. 2,128 110,060
Jo-Ann Stores, Inc. (a)............... 2,320 57,072
Lithia Motors, Inc. (Class A)......... 1,437 41,328
OfficeMax, Inc. ...................... 7,264 360,658
Payless ShoeSource, Inc. (a).......... 6,364 208,867
Pier 1 Imports, Inc. ................. 7,876 46,862
Sonic Automotive, Inc. (Class A)...... 2,906 84,390
Stage Stores, Inc. ................... 2,852 86,672
Talbots, Inc. ........................ 2,157 51,984
The Cato Corp. (Class A).............. 2,997 68,661
The Pep Boys -- Manny, Moe & Jack..... 4,171 61,981
United Auto Group, Inc. .............. 4,034 95,081
Zale Corp. (a)........................ 4,633 130,697
-----------
2,024,034
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.3%
Brown Shoe Co., Inc. (a).............. 2,702 128,993
Hanesbrands, Inc. (a)................. 9,313 219,973
Kellwood Co. ......................... 2,355 76,585
Kenneth Cole Productions, Inc. (Class
A).................................. 1,107 26,557
Movado Group, Inc. ................... 1,799 52,171
Oxford Industries, Inc. .............. 1,501 74,525
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Phillips-Van Heusen Corp. ............ 5,355 $ 268,660
Skechers USA, Inc. (a)................ 2,507 83,508
Stride Rite Corp. .................... 3,219 48,542
UniFirst Corp. ....................... 1,255 48,205
Wolverine World Wide, Inc. ........... 5,480 156,290
Xerium Technologies, Inc. ............ 1,966 19,247
-----------
1,203,256
-----------
THRIFTS & MORTGAGE FINANCE -- 3.2%
Accredited Home Lenders Holding Co.
(a)................................. 2,220 60,562
Anchor Bancorp Wisconsin, Inc. ....... 2,016 58,101
Bank Mutual Corp. .................... 5,659 68,530
BankAtlantic Bancorp, Inc. (Class
A).................................. 4,595 63,457
BankUnited Financial Corp. ........... 3,628 101,439
Brookline Bancorp, Inc. .............. 5,964 78,546
Capitol Federal Financial............. 2,041 78,415
Charter Financial Corp. .............. 430 22,154
CharterMac............................ 5,018 107,736
City Bank............................. 1,406 50,317
Clifton Savings Bancorp, Inc. ........ 1,364 16,627
Corus Bankshares, Inc. ............... 3,250 74,978
Dime Community Bancshares............. 3,310 46,373
Doral Financial Corp. ................ 9,035 25,930
Downey Financial Corp. ............... 2,072 150,386
Fidelity Bankshares, Inc. ............ 2,304 91,400
First Busey Corp. .................... 1,531 35,290
First Financial Holdings, Inc. ....... 1,197 46,898
First Niagara Financial Group,
Inc. ............................... 10,781 160,206
First Place Financial Corp. .......... 1,701 39,956
FirstFed Financial Corp. (a).......... 1,629 109,094
Flagstar Bancorp, Inc. ............... 3,656 54,255
Flushing Financial Corp. ............. 1,861 31,767
Fremont General Corp. ................ 6,464 104,781
IndyMac Bancorp, Inc. ................ 6,913 312,191
Kearny Financial Corp. ............... 2,131 34,224
MAF Bancorp, Inc. .................... 3,039 135,813
Northwest Bancorp, Inc. .............. 1,958 53,767
OceanFirst Financial Corp. ........... 857 19,651
Partners Trust Financial Group,
Inc. ............................... 3,940 45,862
PFF Bancorp, Inc. .................... 2,230 76,957
Provident Financial Services, Inc. ... 5,884 106,677
Provident New York Bancorp............ 4,021 60,235
Roma Financial Corp. (a).............. 960 15,898
TierOne Corp. ........................ 1,629 51,493
Triad Guaranty, Inc. (a).............. 1,201 65,899
TrustCo Bank Corp. NY................. 7,283 80,987
United Community Financial Corp. ..... 2,739 33,525
Washington Federal, Inc. ............. 8,387 197,346
Wauwatosa Holdings, Inc. (a).......... 1,031 18,372
WSFS Financial Corp. ................. 687 45,981
-----------
3,032,076
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TOBACCO -- 0.2%
Universal Corp. ...................... 2,470 $ 121,054
Vector Group, Ltd. ................... 2,953 52,416
-----------
173,470
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aircastle, Ltd. ...................... 847 24,987
Applied Industrial Technologies,
Inc. ............................... 3,769 99,162
BlueLinx Holdings, Inc. .............. 1,198 12,459
GATX Corp. ........................... 4,359 188,876
Kaman Corp. (Class A)................. 2,178 48,765
Lawson Products, Inc. ................ 326 14,960
UAP Holding Corp. .................... 3,784 95,281
United Rentals, Inc. (a).............. 6,759 171,881
Watsco, Inc. ......................... 2,410 113,656
-----------
770,027
-----------
TRANSPORTATION INFRASTRUCTURE -- 0.1%
Interpool, Inc. ...................... 1,028 24,014
Macquarie Infrastructure Co. Trust.... 3,221 114,281
-----------
138,295
-----------
WATER UTILITIES -- 0.5%
American States Water Co. ............ 1,622 62,642
Aqua America, Inc. ................... 12,757 290,605
California Water Service Group........ 1,823 73,649
SJW Corp. ............................ 1,278 49,535
-----------
476,431
-----------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
USA Mobility, Inc. ................... 2,389 53,442
-----------
TOTAL COMMON STOCKS --
(Cost $84,571,845).................... 95,365,371
-----------
RIGHTS -- 0.0% (B)
Affordable Residential Communities,
Inc. (expiring 1/23/07) (a) (c)
(Cost $0)........................... 3,407 3,010
-----------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
AIM Short Term Investment
Class Prime Fund
(Cost $282,096)..................... 282,096 282,096
-----------
TOTAL INVESTMENTS -- 100.0%
(Cost $84,853,941).................. 95,650,477
OTHER ASSETS AND
LIABILITIES -- 0.0%(B).............. 7,863
-----------
NET ASSETS -- 100.0%.................. $95,658,340
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
See accompanying notes to financial statements.
9
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
Registrant has not adopted any material changes to the procedures by which
shareholders may recommend nominees to the Registrant's Board.
ITEM 11. CONTROLS AND PROCEDURES
(a) Within 90 days of the filing date of this Form N-CSR, James E. Ross, the
Registrant's President, and Gary L. French, the Registrant's Principal Financial
Officer, reviewed the Registrant's disclosure controls and procedures (the
"Procedures") and evaluated their effectiveness. Based on the review, Messrs.
Ross and French determined that the Procedures adequately ensure that
information required to be disclosed by the Registrant in its periodic reports
is recorded, processed, summarized and reported within the time periods required
by the Securities and Exchange Commission's rules and regulations.
(b) In the Registrant's second fiscal quarter covered by this form N-CSR filing,
there were no significant changes in the Registrant's internal controls or in
other factors that have materially affected, or are reasonably likely to
materially affect, its controls over financial reporting subsequent to the date
of their evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 12. EXHIBITS
(a)(1) Not applicable to the Registrant; This Form N-CSR is a Semi-Annual
Report.
(2) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are
attached hereto.
(3) Not applicable
(b) Certifications of principal executive officer and principal financial
officer of the registrant as required by Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
STREETTRACKS(R) SERIES TRUST
By: /s/ James E. Ross
---------------------------
James E. Ross
President and Principal Executive Officer
Date: March 2, 2007
---------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ James E. Ross
---------------------------
James E. Ross
President and Principal Executive Officer
Date: March 2, 2007
---------------------------
By: /s/Gary L. French
---------------------------
Gary L. French
Treasurer and Principal Financial Officer
Date: March 2, 2007
---------------------------