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
SPDR(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, 2007
ITEM 1: REPORTS TO SHAREHOLDERS
SEMI-ANNUAL December 31, 2007
(SPDRs(SM) LOGO) Precise in a world that isn't.(SM)
State Street Global Advisors
TABLE OF CONTENTS
<Table>
PERFORMANCE & PORTFOLIO SUMMARY
SPDR(R) DJ WILSHIRE TOTAL MARKET ETF (TMW).............................. 1
SPDR(R) DJ WILSHIRE LARGE CAP ETF (ELR)................................. 4
SPDR(R) DJ WILSHIRE LARGE CAP GROWTH ETF (ELG).......................... 7
SPDR(R) DJ WILSHIRE LARGE CAP VALUE ETF (ELV)........................... 10
SPDR(R) DJ WILSHIRE MID CAP ETF (EMM)................................... 13
SPDR(R) DJ WILSHIRE MID CAP GROWTH ETF (EMG)............................ 16
SPDR(R) DJ WILSHIRE MID CAP VALUE ETF (EMV)............................. 19
SPDR(R) DJ WILSHIRE SMALL CAP ETF (DSC)................................. 22
SPDR(R) DJ WILSHIRE SMALL CAP GROWTH ETF (DSG).......................... 25
SPDR(R) DJ WILSHIRE SMALL CAP VALUE ETF (DSV)........................... 28
SPDR(R) DJ GLOBAL TITANS ETF (DGT)...................................... 31
DJ WILSHIRE REIT ETF (RWR).............................................. 34
KBW BANK ETF (KBE)...................................................... 37
KBW CAPITAL MARKETS ETF (KCE)........................................... 40
KBW INSURANCE ETF (KBI)................................................. 43
MORGAN STANLEY TECHNOLOGY ETF (MTK)..................................... 46
SPDR(R) S&P(R) DIVIDEND ETF (SDY)....................................... 49
SPDR(R) S&P(R) BIOTECH ETF (XBI)........................................ 52
SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB)................................... 55
SPDR(R) S&P(R) METALS & MINING ETF (XME)................................ 58
SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)................. 61
SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF (XOP)............. 64
SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH)................................ 67
SPDR(R) S&P(R) RETAIL ETF (XRT)......................................... 70
SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD).................................. 73
KBW REGIONAL BANKING(SM) ETF (KRE)...................................... 76
SUMMARY SCHEDULES OF INVESTMENTS
SPDR(R) DJ WILSHIRE TOTAL MARKET ETF (TMW).............................. 79
SPDR(R) DJ WILSHIRE LARGE CAP ETF (ELR)................................. 82
SPDR(R) DJ WILSHIRE LARGE CAP GROWTH ETF (ELG).......................... 85
SPDR(R) DJ WILSHIRE LARGE CAP VALUE ETF (ELV)........................... 88
SPDR(R) DJ WILSHIRE MID CAP ETF (EMM)................................... 90
SPDR(R) DJ WILSHIRE MID CAP GROWTH ETF (EMG)............................ 93
SPDR(R) DJ WILSHIRE MID CAP VALUE ETF (EMV)............................. 95
SPDR(R) DJ WILSHIRE SMALL CAP ETF (DSC)................................. 97
SPDR(R) DJ WILSHIRE SMALL CAP GROWTH ETF (DSG).......................... 100
SPDR(R) DJ WILSHIRE SMALL CAP VALUE ETF (DSV)........................... 103
</Table>
<Table>
SCHEDULES OF INVESTMENTS
SPDR(R) DJ GLOBAL TITANS ETF (DGT)...................................... 106
DJ WILSHIRE REIT ETF (RWR).............................................. 107
KBW BANK ETF (KBE)...................................................... 108
KBW CAPITAL MARKETS ETF (KCE)........................................... 109
KBW INSURANCE ETF (KBI)................................................. 110
MORGAN STANLEY TECHNOLOGY ETF (MTK)..................................... 111
SPDR(R) S&P(R) DIVIDEND ETF (SDY)....................................... 112
SPDR(R) S&P(R) BIOTECH ETF (XBI)........................................ 113
SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB)................................... 114
SPDR(R) S&P(R) METALS & MINING ETF (XME)................................ 115
SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)................. 116
SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF (XOP)............. 117
SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH)................................ 118
SPDR(R) S&P(R) RETAIL ETF (XRT)......................................... 119
SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD).................................. 120
KBW REGIONAL BANKING(SM) ETF (KRE)...................................... 121
FINANCIAL STATEMENTS...................................................... 122
FINANCIAL HIGHLIGHTS...................................................... 144
NOTES TO FINANCIAL STATEMENTS............................................. 158
OTHER INFORMATION......................................................... 169
</Table>
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE TOTAL MARKET ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE 5000
VALUE VALUE COMPOSITE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -1.81% -1.44% -1.92%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.44% 5.59% 5.48%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 29.54% 29.97% 30.07%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 80.46% 81.15% 92.61%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 20.84% 21.24% 23.17%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE 5000
VALUE VALUE COMPOSITE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.44% 5.59% 5.48%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 9.01% 9.13% 9.16%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 12.53% 12.62% 14.01%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 2.65% 2.70% 2.92%
----------------------------------------------------------------------------------------------------
(1) Prior to June 14, 2005, the Fund's investment strategy sought to track the
total return performance of an index different from the Dow Jones Wilshire
5000 Composite Index. Performance of the Fund prior to June 14, 2005 is
therefore based on the Fund's investment strategy to track the prior index.
Future performance may vary from past results.
(2) For the period October 4, 2000 to December 31, 2007.
1
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE TOTAL WILSHIRE 5000
MARKET ETF COMPOSITE INDEX
(A) (B)
-------------- ---------------
10/4/2000 10000.00 10000.00
10061.00 10061.00
9407.04 9406.03
12/31/00 9467.24 9467.17
9761.67 9766.33
9017.83 9022.14
8515.54 8519.60
9116.84 9122.79
9187.95 9194.86
8978.46 8987.06
8929.08 8937.63
8379.05 8387.07
7763.19 7770.62
7857.12 7865.42
8441.69 8453.76
12/31/01 8498.25 8513.78
8412.42 8429.49
8280.35 8297.15
8561.88 8582.57
8077.28 8097.66
8017.50 8038.54
7479.53 7497.55
6940.26 6956.98
6982.59 7002.20
6227.77 6244.56
6747.17 6767.23
7096.67 7120.48
12/31/02 6696.42 6719.59
6507.58 6530.77
6393.05 6417.14
6466.57 6494.14
6992.30 7024.71
7318.14 7354.17
7422.06 7460.81
7555.28 7596.60
7669.97 7713.58
7592.74 7637.99
8009.58 8059.61
8061.64 8113.61
12/31/03 8478.43 8535.51
8602.21 8662.69
8726.94 8790.04
8592.55 8656.43
8473.11 8536.97
8552.76 8619.78
8705.85 8775.79
8448.16 8516.91
8493.78 8563.75
8560.03 8632.26
8670.46 8746.21
9018.14 9097.81
12/31/04 9327.47 9414.41
9147.35 9234.59
9363.14 9454.38
9204.15 9295.54
9043.08 9134.73
9312.56 9409.69
9363.78 9485.90
9754.25 9878.62
9674.27 9789.71
9758.43 9868.03
9582.78 9686.06
9954.59 10072.70
12/31/05 9973.51 10086.50
10307.60 10445.50
10290.10 10442.40
10460.90 10634.50
10563.40 10752.60
10230.70 10407.40
10250.10 10426.20
10240.60 10413.70
10482.20 10657.30
10721.20 10891.80
11099.50 11286.70
11333.20 11542.40
12/31/06 11460.00 11677.10
11673.20 11897.80
11472.60 11709.80
11604.00 11839.80
12069.50 12313.40
12508.10 12765.30
12306.60 12558.50
11889.90 12130.30
12058.30 12298.90
12479.10 12740.40
12712.80 12981.20
12155.00 12398.30
12/31/07 12084.40 12317.80
</Table>
2
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Total Market ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. GENERAL ELECTRIC CO. MICROSOFT CORP. AT&T, INC.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $4,127,794 2,898,689 2,459,390 1,928,717
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.3% 2.3 1.9 1.5
--------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION PROCTER & GAMBLE CO.
---------------------------------------------------
MARKET VALUE 1,762,667
---------------------------------------------------
% OF NET ASSETS 1.4
---------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 9.6%
Pharmaceuticals 5.1
Insurance 4.6
Computers & Peripherals 4.2
Software 4.0
Diversified Financial Services 3.5
Commercial Banks 3.2
Capital Markets 3.0
Industrial Conglomerates 3.0
Media 3.0
Semiconductors & Semiconductor
Equipment 2.8
Energy Equipment & Services 2.7
Diversified Telecommunication
Services 2.6
Health Care Providers &
Services 2.6
Aerospace & Defense 2.3
Communications Equipment 2.3
Machinery 2.3
Food & Staples Retailing 2.0
Household Products 2.0
Beverages 1.9
Electric Utilities 1.9
Hotels, Restaurants & Leisure 1.8
Real Estate Investment Trusts 1.8
Specialty Retail 1.8
Biotechnology 1.7
Chemicals 1.7
Health Care Equipment &
Supplies 1.7
Internet Software & Services 1.7
Food Products 1.5
IT Services 1.2
Metals & Mining 1.2
Tobacco 1.2
Multi-Utilities 1.0
Road & Rail 0.9
Commercial Services & Supplies 0.8
Multiline Retail 0.8%
Thrifts & Mortgage Finance 0.8
Household Durables 0.7
Life Sciences Tools & Services 0.7
Air Freight & Logistics 0.6
Consumer Finance 0.6
Electrical Equipment 0.6
Electronic Equipment &
Instruments 0.6
Wireless Telecommunication
Services 0.6
Construction & Engineering 0.4
Independent Power Producers &
Energy Traders 0.4
Internet & Catalog Retail 0.4
Textiles, Apparel & Luxury
Goods 0.4
Auto Components 0.3
Automobiles 0.3
Containers & Packaging 0.3
Diversified Consumer Services 0.3
Paper & Forest Products 0.3
Airlines 0.2
Gas Utilities 0.2
Leisure Equipment & Products 0.2
Personal Products 0.2
Trading Companies &
Distributors 0.2
Building Products 0.1
Construction Materials 0.1
Health Care Technology 0.1
Office Electronics 0.1
Real Estate Management &
Development 0.1
Water Utilities 0.1
Distributors 0.0**
Transportation Infrastructure 0.0**
Short Term Investments 1.0
Other Assets & Liabilities (0.3)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets
and may change over time.
** Amount represent less than 0.05% of net assets.
3
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE LARGE CAP ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS
0.20%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -0.90% -0.46% -0.84%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 6.21% 6.36% 6.40%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 25.95% 26.40% 26.48%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 6.21% 6.36% 6.40%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.34% 11.52% 11.45%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
4
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE LARGE WILSHIRE LARGE
CAP ETF CAP INDEX
(A) (B)
-------------- --------------
11/8/2005 10000.00 10000.00
10266.00 10267.00
12/31/05 10277.30 10280.30
10569.20 10574.40
10570.20 10573.30
10717.20 10721.30
10850.00 10855.30
10532.10 10539.50
10547.90 10556.30
10587.00 10598.50
10829.70 10846.50
11095.90 11112.30
11466.70 11486.80
11706.70 11730.30
12/31/06 11859.90 11885.10
12071.60 12100.30
11850.00 11878.80
11979.70 12010.70
12482.00 12518.70
12923.20 12965.70
12710.30 12751.70
12322.70 12364.10
12502.00 12543.30
12971.50 13022.50
13210.20 13263.40
12674.10 12720.90
12/31/07 12595.50 12648.30
</Table>
5
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Large Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. GENERAL ELECTRIC CO. MICROSOFT CORP. AT&T, INC.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $368,576 269,684 213,636 182,365
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.6% 2.7 2.1 1.8
--------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION PROCTOR & GAMBLE CO.
---------------------------------------------------
MARKET VALUE 163,653
---------------------------------------------------
% OF NET ASSETS 1.6
---------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 10.0%
Pharmaceuticals 5.8
Insurance 5.5
Computers & Peripherals 4.3
Diversified Financial Services 4.1
Software 3.8
Industrial Conglomerates 3.4
Capital Markets 3.2
Diversified Telecommunication
Services 3.0
Media 3.0
Commercial Banks 2.8
Energy Equipment & Services 2.6
Semiconductors & Semiconductor
Equipment 2.6
Aerospace & Defense 2.5
Communications Equipment 2.4
Beverages 2.3
Health Care Providers &
Services 2.3
Food & Staples Retailing 2.2
Household Products 2.2
Electric Utilities 2.0
Machinery 2.0
Chemicals 1.8
Health Care Equipment &
Supplies 1.8
Internet Software & Services 1.7
Hotels, Restaurants & Leisure 1.6
Specialty Retail 1.6
Food Products 1.5
Biotechnology 1.4
Real Estate Investment Trusts 1.4
Tobacco 1.3
IT Services 1.2
Multi-Utilities 1.2
Metals & Mining 1.0
Air Freight & Logistics 0.7
Multiline Retail 0.7%
Road & Rail 0.7
Thrifts & Mortgage Finance 0.7
Commercial Services & Supplies 0.6
Consumer Finance 0.6
Electrical Equipment 0.6
Wireless Telecommunication
Services 0.6
Household Durables 0.5
Electronic Equipment &
Instruments 0.4
Independent Power Producers &
Energy Traders 0.4
Internet & Catalog Retail 0.4
Life Sciences Tools & Services 0.4
Auto Components 0.3
Automobiles 0.3
Construction & Engineering 0.3
Paper & Forest Products 0.3
Textiles, Apparel & Luxury
Goods 0.3
Airlines 0.2
Containers & Packaging 0.2
Building Products 0.1
Construction Materials 0.1
Distributors 0.1
Diversified Consumer Services 0.1
Gas Utilities 0.1
Health Care Technology 0.1
Leisure Equipment & Products 0.1
Office Electronics 0.1
Personal Products 0.1
Real Estate Management &
Development 0.1
Trading Companies &
Distributors 0.1
Short Term Investments 0.7
Other Assets & Liabilities (0.5)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
6
(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 sect or.
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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE LARGE CAP GROWTH ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 2.74% 3.19% 2.83%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 10.77% 11.01% 10.97%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 24.40% 24.72% 29.76%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 68.60% 68.50% 81.15%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -36.65% -36.44% -18.56%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 10.77% 11.01% 10.97%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 7.55% 7.64% 9.07%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 11.01% 11.00% 12.62%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -6.09% -6.05% -2.78%
----------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones
Wilshire Large Cap Growth Index. Performance of the Fund prior to November
1, 2005 is therefore based on the Fund's investment strategy to track the
prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2007.
7
(streetTRACKS (R) semi-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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE LARGE WILSHIRE LARGE
CAP GROWTH CAP GROWTH
ETF (A) INDEX (B)
-------------- --------------
9/25/2000 10000 10000
9800 9865.02
9285.5 9343.64
7792.86 7898.9
12/31/00 7394.87 7725.65
8050.8 8265.54
6528.39 6931.8
5703.2 6198.92
6512.27 6923.44
6406.12 6876.71
6251.8 6762.1
5971.1 6488.15
5339.35 5907.17
4696.5 5298.89
4971.71 5566.08
5566.33 6100.88
12/31/01 5497.86 6136.13
5424.74 5982.51
5132.89 5682.8
5244.27 5897.51
4737.67 5430.99
4609.76 5317.33
4232.68 4880.85
3951.63 4592.03
3974.15 4637.35
3505.6 4156.38
3881.75 4578.5
4126.3 4824
12/31/02 3757 4495.88
3652.55 4385.2
3689.08 4347.42
3779.83 4454.11
4063.32 4808.73
4200.66 4980.03
4248.55 5050.21
4364.79 5161.52
4438.16 5262.39
4377.13 5211.34
4651.58 5468.24
4682.75 5515.43
12/31/03 4853.2 5730.38
4932.3 5867.94
4958.45 5936.55
4870.68 5849
4828.79 5787.51
4909.92 5875.42
4957.54 5979.77
4692.31 5714.8
4673.08 5713.09
4695.97 5779.72
4754.67 5824.35
4913.48 6056.52
12/31/04 5091.84 6276.66
4953.09 6100.13
4943.97 6165.61
4839.31 6054.48
4734.3 5885.54
4960.12 6166.27
4896.14 6207.5
5133.6 6515.93
5062.24 6469.54
5066.8 6520.5
5046.02 6459.99
5253.92 6727.31
12/31/05 5250.24 6724.06
5417.73 6938.96
5353.8 6857.65
5433.57 6960.89
5434.65 6963.13
5246.62 6721.99
5228.25 6699.63
5133.93 6579.93
5263.1 6747.15
5391.05 6912.45
5583.08 7160.37
5703.84 7317.14
12/31/06 5720.1 7338.96
5860.7 7520.95
5754.79 7385.81
5789.61 7431.49
6032.2 7744.8
6248.21 8023.62
6167.04 7920.29
6045.06 7764.41
6124.73 7866.61
6377.87 8194.3
6594.46 8474.12
6343.02 8152.54
12/31/07 6335.29 8144.3
</Table>
8
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Large Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION GOOGLE, INC.
MICROSOFT CORP. PROCTER & GAMBLE CO. APPLE, INC. CISCO SYSTEMS, INC. (CLASS A)
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $12,977,838 10,017,498 7,587,058 7,204,085 6,867,088
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.0% 3.1 2.4 2.2 2.1
-----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Software 7.2%
Computers & Peripherals 5.7
Media 5.3
Energy Equipment & Services 5.0
Oil, Gas & Consumable Fuels 5.0
Semiconductors & Semiconductor
Equipment 5.0
Communications Equipment 4.5
Health Care Providers &
Services 4.2
Household Products 3.9
Food & Staples Retailing 3.7
Insurance 3.4
Health Care Equipment &
Supplies 3.4
Internet Software & Services 3.2
Aerospace & Defense 2.9
Specialty Retail 2.9
Biotechnology 2.7
Beverages 2.4
Machinery 2.4
IT Services 2.0
Capital Markets 1.9
Hotels, Restaurants & Leisure 1.8
Chemicals 1.7
Pharmaceuticals 1.2
Air Freight & Logistics 1.2
Diversified Financial Services 1.2
Wireless Telecommunication
Services 1.2
Metals & Mining 1.2
Multiline Retail 1.1
Industrial Conglomerates 0.9
Food Products 0.9
Consumer Finance 0.9
Life Sciences Tools & Services 0.8
Independent Power Producers &
Energy Traders 0.8%
Commercial Services & Supplies 0.7
Internet & Catalog Retail 0.7
Electronic Equipment &
Instruments 0.7
Real Estate Investment Trusts 0.7
Textiles, Apparel & Luxury
Goods 0.6
Construction & Engineering 0.6
Household Durables 0.4
Multi-Utilities 0.3
Road & Rail 0.3
Airlines 0.3
Electrical Equipment 0.3
Personal Products 0.3
Diversified Consumer Services 0.3
Gas Utilities 0.3
Containers & Packaging 0.2
Office Electronics 0.2
Thrifts & Mortgage Finance 0.2
Automobiles 0.2
Auto Components 0.2
Diversified Telecommunication
Services 0.1
Electric Utilities 0.1
Real Estate Management &
Development 0.1
Building Products 0.1
Health Care Technology 0.1
Commercial Banks 0.1
Trading Companies &
Distributors 0.1
Construction Materials 0.1
Paper & Forest Products 0.0**
Short Term Investments 0.3
Other Assets & Liabilities (0.2)
------------------------------------------------
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.
9
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE LARGE CAP VALUE ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -4.64% -4.11% -4.60%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 1.70% 1.12% 1.84%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 30.39% 30.90% 31.21%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 85.13% 86.04% 94.50%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 51.37% 51.95% 66.55%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 1.70% 1.12% 1.84%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 9.25% 9.39% 9.48%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 13.11% 13.22% 14.23%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 5.87% 5.93% 7.27%
----------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones
Wilshire Large Cap Value Index. Performance of the Fund prior to November
1, 2005 is therefore based on the Fund's investment strategy to track the
prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2007.
10
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE LARGE WILSHIRE LARGE
CAP VALUE CAP VALUE
ETF (A) INDEX (B)
-------------- --------------
9/25/2000 10000.00 10000.00
10175.00 10180.10
10518.90 10484.90
10244.40 10157.90
12/31/00 10591.70 10613.30
10512.20 10616.20
10166.40 10297.20
9811.56 9937.83
10243.60 10386.50
10444.40 10589.30
10127.90 10304.70
10231.20 10458.90
9802.52 10071.20
9422.18 9439.81
9313.82 9342.50
9791.62 9853.49
12/31/01 9924.79 10041.10
9673.69 10048.30
9660.15 10190.20
10079.40 10602.10
9501.85 10295.50
9569.31 10350.40
8881.28 9704.90
8293.34 8854.51
8333.98 8873.90
7418.07 7939.61
8096.08 8437.61
8538.13 8948.00
12/31/02 8175.26 8563.26
7974.97 8338.13
7710.20 8145.67
7725.62 8119.90
8451.05 8765.13
8948.82 9441.01
9135.85 9550.19
9144.16 9700.87
9185.13 9917.30
9151.70 9793.30
9525.09 10446.90
9569.85 10575.70
12/31/03 10262.70 11179.40
10473.10 11335.70
10637.50 11544.30
10428.00 11399.80
10265.30 11148.70
10316.60 11283.20
10556.00 11519.70
10449.30 11242.20
10610.30 11347.80
10689.80 11485.40
10833.10 11741.30
11239.30 12255.00
12/31/04 11608.00 12693.70
11345.60 12423.80
11707.70 12845.60
11518.10 12654.60
11419.10 12534.20
11576.70 12835.40
11656.50 12858.50
11900.20 13218.50
11852.60 13097.30
12031.50 13207.90
11786.10 12913.60
12210.40 13381.00
12/31/05 12244.60 13419.70
12555.60 13763.40
12686.20 13909.10
12843.50 14086.20
13151.70 14427.10
12834.80 14080.80
12913.00 14168.60
13220.00 14509.10
13501.50 14822.00
13830.10 15187.00
14264.90 15668.50
14554.20 15991.10
12/31/06 14880.90 16353.90
15058.50 16550.40
14778.10 16243.50
15012.00 16505.30
15645.70 17206.60
16196.20 17816.80
15870.00 17457.80
15213.80 16736.10
15451.90 17002.20
15981.80 17589.80
16014.50 17627.40
15309.70 16851.10
12/31/07 15137.30 16655.40
</Table>
11
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Large Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. GENERAL ELECTRIC CO. AT&T, INC. CHEVRON CORP. JOHNSON & JOHNSON
--------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,785,077 7,160,219 4,845,563 3,804,877 3,651,492
--------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 7.7% 5.6 3.8 3.0 2.9
--------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 15.5%
Pharmaceuticals 10.8
Diversified Financial Services 7.2
Insurance 7.0
Industrial Conglomerates 6.2
Diversified Telecommunication
Services 6.1
Commercial Banks 5.9
Capital Markets 4.7
Electric Utilities 4.1
Tobacco 2.8
Computers & Peripherals 2.8
Real Estate Investment Trusts 2.2
Beverages 2.2
Food Products 2.2
Multi-Utilities 2.1
Aerospace & Defense 2.0
Chemicals 2.0
Machinery 1.6
Hotels, Restaurants & Leisure 1.4
Thrifts & Mortgage Finance 1.3
Road & Rail 1.1
Electrical Equipment 1.0
Metals & Mining 0.8
Household Durables 0.7
Food & Staples Retailing 0.6
Paper & Forest Products 0.5
Media 0.5%
Household Products 0.4
Commercial Services & Supplies 0.4
Consumer Finance 0.4
Automobiles 0.4
Health Care Providers &
Services 0.4
Auto Components 0.4
IT Services 0.3
Leisure Equipment & Products 0.2
Containers & Packaging 0.2
Specialty Retail 0.2
Electronic Equipment &
Instruments 0.2
Building Products 0.2
Multiline Retail 0.1
Distributors 0.1
Construction Materials 0.1
Textiles, Apparel & Luxury
Goods 0.1
Trading Companies &
Distributors 0.1
Software 0.1
Real Estate Management &
Development 0.1
Health Care Equipment &
Supplies 0.1
Communications Equipment 0.0**
Short Term Investments 0.9
Other Assets & Liabilities (0.7)
------------------------------------------------
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.
12
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO
YOU MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY
BE HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF
FUND SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE MID CAP ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2007 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -5.37% -5.04% -5.51%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.59% 5.92% 5.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 24.83% 25.13% 25.14%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.59% 5.92% 5.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 10.88% 11.00% 10.91%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
13
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE MID WILSHIRE MID
CAP ETF CAP INDEX
(A) (B)
------------ ------------
11/8/2005 10000.00 10000.00
10348.00 10348.00
12/31/05 10438.00 10441.10
10976.60 10975.70
10962.40 10962.50
11340.60 11346.20
11389.30 11397.30
10899.60 10907.20
10893.00 10902.80
10543.40 10555.00
10776.70 10791.50
10901.10 10917.70
11320.10 11341.30
11775.70 11801.80
12/31/06 11823.80 11851.40
12246.60 12279.20
12311.00 12346.80
12422.30 12460.30
12876.20 12920.10
13444.80 13495.10
13192.20 13242.70
12595.10 12646.80
12577.50 12631.60
12964.80 13024.50
13302.80 13368.30
12575.50 12637.00
12/31/07 12483.60 12514.20
</Table>
14
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION RANGE FMC
ACTIVISION, INC. HOLOGIC, INC. RESOURCES CORP. NAVTEQ CORP. TECHNOLOGIES, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $125,275 124,582 110,424 106,898 106,596
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.6% 0.6 0.5 0.5 0.5
-----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Oil, Gas & Consumable Fuels 5.5%
Real Estate Investment Trusts 5.3
Insurance 5.0
Machinery 4.7
Software 4.2
Chemicals 3.7
Health Care Equipment & Supplies 3.5
Multi-Utilities 3.5
Energy Equipment & Services 3.4
Specialty Retail 3.1
Commercial Services & Supplies 3.0
Life Sciences Tools & Services 2.7
Capital Markets 2.5
Containers & Packaging 2.5
Health Care Providers & Services 2.5
IT Services 2.5
Electronic Equipment & Instruments 2.4
Media 2.2
Commercial Banks 2.1
Hotels, Restaurants & Leisure 2.1
Household Durables 1.9
Semiconductors & Semiconductor Equipment 1.9
Metals & Mining 1.8
Electrical Equipment 1.7
Electric Utilities 1.6
Construction & Engineering 1.5
Gas Utilities 1.5
Food Products 1.4
Communications Equipment 1.3
Diversified Consumer Services 1.3
Airlines 1.2
Auto Components 1.2
Biotechnology 1.2%
Pharmaceuticals 1.1
Thrifts & Mortgage Finance 1.1
Computers & Peripherals 1.0
Aerospace & Defense 0.8
Diversified Telecommunication Services 0.8
Health Care Technology 0.7
Textiles, Apparel & Luxury Goods 0.7
Beverages 0.6
Household Products 0.6
Internet Software & Services 0.6
Multiline Retail 0.6
Paper & Forest Products 0.6
Road & Rail 0.6
Building Products 0.5
Construction Materials 0.4
Diversified Financial Services 0.4
Wireless Telecommunication Services 0.4
Industrial Conglomerates 0.3
Internet & Catalog Retail 0.3
Leisure Equipment & Products 0.3
Real Estate Management & Development 0.3
Trading Companies & Distributors 0.3
Office Electronics 0.2
Personal Products 0.2
Water Utilities 0.2
Air Freight & Logistics 0.1
Automobiles 0.1
Consumer Finance 0.1
Food & Staples Retailing 0.1
Short Term Investments 5.4
Other Assets & Liabilities (5.3)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
15
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE MID CAP GROWTH ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -2.35% -2.01% -2.31%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 11.04% 11.41% 11.24%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 29.02% 29.38% 29.61%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 11.04% 11.41% 11.24%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 12.60% 12.74% 12.72%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
16
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE MID WILSHIRE MID
CAP GROWTH CAP GROWTH
ETF (A) INDEX (B)
------------ ------------
11/8/2005 10000.00 10000.00
10327.00 10329.00
12/31/05 10438.50 10443.70
11007.40 11002.40
10942.50 10943.00
11426.20 11433.20
11469.30 11481.20
10833.90 10847.50
10810.30 10826.90
10326.10 10342.90
10549.50 10570.50
10705.80 10729.00
11048.50 11075.50
11571.50 11603.80
12/31/06 11619.70 11652.60
12061.60 12098.90
12088.50 12129.10
12202.60 12246.80
12696.70 12746.50
13340.40 13397.80
13211.40 13270.50
12786.30 12847.20
12812.60 12876.70
13336.30 13408.50
13828.80 13911.40
13014.50 13087.80
12/31/07 12902.30 12961.80
</Table>
17
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION RANGE FMC
ACTIVISION, INC. HOLOGIC, INC. RESOURCES CORP. NAVTEQ CORP. TECHNOLOGIES, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $432,402 430,029 384,070 371,801 370,818
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.9% 0.9 0.8 0.8 0.8
-----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Oil, Gas & Consumable Fuels 6.7%
Software 6.0
Health Care Equipment & Supplies 5.4
Commercial Services & Supplies 4.8
Energy Equipment & Services 4.7
Health Care Providers & Services 4.3
Life Sciences Tools & Services 4.3
Specialty Retail 4.3
Machinery 4.0
IT Services 3.7
Hotels, Restaurants & Leisure 3.3
Semiconductors & Semiconductor Equipment 3.2
Electronic Equipment & Instruments 2.9
Insurance 2.4
Electrical Equipment 2.3
Media 2.1
Airlines 2.0
Biotechnology 1.9
Communications Equipment 1.9
Containers & Packaging 1.9
Capital Markets 1.8
Diversified Consumer Services 1.7
Computers & Peripherals 1.6
Auto Components 1.5
Chemicals 1.5
Real Estate Investment Trusts 1.5
Construction & Engineering 1.4
Household Durables 1.4
Pharmaceuticals 1.4%
Aerospace & Defense 1.3
Health Care Technology 1.2
Household Products 1.1
Internet Software & Services 1.0
Beverages 0.8
Metals & Mining 0.8
Textiles, Apparel & Luxury Goods 0.7
Wireless Telecommunication Services 0.7
Construction Materials 0.6
Diversified Financial Services 0.6
Real Estate Management & Development 0.6
Gas Utilities 0.5
Multiline Retail 0.5
Road & Rail 0.5
Food Products 0.4
Internet & Catalog Retail 0.4
Paper & Forest Products 0.4
Personal Products 0.4
Diversified Telecommunication Services 0.3
Office Electronics 0.3
Air Freight & Logistics 0.2
Automobiles 0.2
Food & Staples Retailing 0.2
Trading Companies & Distributors 0.2
Consumer Finance 0.1
Short Term Investments 1.9
Other Assets & Liabilities (1.8)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
18
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE MID CAP VALUE ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -9.68% -9.45% -9.60%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -1.52% -1.36% -1.29%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 18.65% 18.92% 19.23%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -1.52% -1.36% -1.29%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 8.29% 8.40% 8.46%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
19
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE MID WILSHIRE MID
CAP VALUE CAP VALUE
ETF (A) INDEX (B)
------------ ------------
11/8/2005 10000.00 10000.00
10368.00 10366.00
12/31/05 10438.50 10438.60
10946.90 10951.10
10976.40 10980.70
11241.00 11248.60
11294.90 11303.70
10962.80 10972.50
10976.00 10986.80
10778.60 10791.20
11022.10 11038.30
11113.60 11132.20
11612.80 11636.40
11999.10 12027.40
12/31/06 12047.50 12077.90
12451.50 12540.50
12553.90 12571.90
12659.80 12693.80
13065.30 13115.30
13539.70 13595.30
13136.20 13191.50
12331.50 12384.20
12258.50 12313.60
12473.00 12532.80
12596.50 12659.30
11989.50 12049.20
12/31/07 11865.50 11923.90
</Table>
20
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION ANNALY CAPITAL PEPCO STEEL
MANAGEMENT, INC. OWENS-ILLINOIS, INC. AGCO CORP. HOLDINGS, INC. DYNAMICS, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $131,187 129,938 111,759 105,471 103,235
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.2% 1.2 1.0 0.9 0.9
-----------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Real Estate Investment Trusts 10.9%
Insurance 8.9
Multi-Utilities 8.8
Chemicals 7.1
Machinery 5.7
Commercial Banks 5.2
Electric Utilities 3.9
Oil, Gas & Consumable Fuels 3.7
Capital Markets 3.4
Containers & Packaging 3.3
Metals & Mining 3.3
Gas Utilities 3.0
Food Products 2.8
Thrifts & Mortgage Finance 2.8
Household Durables 2.7
Media 2.3
Electronic Equipment &
Instruments 1.8
Construction & Engineering 1.6
Software 1.5
Diversified Telecommunication
Services 1.4
Energy Equipment & Services 1.3
Specialty Retail 1.2
Building Products 1.1
Paper & Forest Products 0.9
Electrical Equipment 0.9%
Road & Rail 0.9
Pharmaceuticals 0.8
Health Care Equipment &
Supplies 0.8
Leisure Equipment & Products 0.8
Industrial Conglomerates 0.8
Textiles, Apparel & Luxury
Goods 0.8
Multiline Retail 0.7
Diversified Consumer Services 0.6
Auto Components 0.6
IT Services 0.6
Life Sciences Tools & Services 0.5
Trading Companies &
Distributors 0.5
Water Utilities 0.4
Communications Equipment 0.4
Commercial Services & Supplies 0.4
Beverages 0.3
Hotels, Restaurants & Leisure 0.2
Diversified Financial Services 0.1
Consumer Finance 0.1
Short Term Investments 0.7
Other Assets & Liabilities (0.5)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
21
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE SMALL CAP ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS
0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -7.20% -6.94% -7.15%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 1.69% 1.84% 1.90%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 22.81% 23.12% 23.57%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 1.69% 1.84% 1.90%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 10.04% 10.17% 10.26%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
22
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE SMALL WILSHIRE SMALL
CAP ETF CAP INDEX
(A) (B)
-------------- --------------
11/8/2005 10000.00 10000.00
10353.00 10356.00
12/31/05 10359.20 10366.40
11169.30 11183.20
11144.70 11159.70
11656.30 11676.40
11687.70 11710.30
11113.90 11136.50
11150.50 11176.60
10798.30 10826.80
11052.80 11085.50
11124.00 11158.70
11705.90 11747.90
12079.90 12127.30
12/31/06 12078.60 12127.30
12383.00 12437.80
12383.30 12440.30
12529.60 12589.50
12859.50 12925.70
13433.40 13507.30
13238.30 13310.10
12491.70 12560.80
12655.10 12726.60
12919.70 12996.40
13236.80 13317.40
12362.10 12437.10
12/31/07 12281.30 12357.80
</Table>
23
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Small Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-------------------------------------------------------------------------------------------------------------
DESCRIPTION PLAINS EXPLORATION & STEEL CYPRESS
HOLOGIC, INC. AGCO CORP. PRODUCTION CO. DYNAMICS, INC. SEMICONDUCTOR CORP.
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $43,174 31,135 30,294 28,772 27,563
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.5% 0.3 0.3 0.3 0.3
-------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------
Oil, Gas & Consumable Fuels 7.2%
Real Estate Investment Trusts 5.4
Commercial Banks 4.5
Insurance 3.9
Commercial Services & Supplies 3.7
Health Care Equipment &
Supplies 3.5
Machinery 3.4
Semiconductors & Semiconductor
Equipment 3.3
Chemicals 3.2
Energy Equipment & Services 3.2
Software 3.1
Health Care Providers &
Services 2.7
Biotechnology 2.6
Hotels, Restaurants & Leisure 2.5
Metals & Mining 2.5
Electronic Equipment &
Instruments 2.4
Communications Equipment 2.3
Specialty Retail 2.2
IT Services 2.0
Gas Utilities 1.8
Media 1.8
Capital Markets 1.8
Electrical Equipment 1.7
Aerospace & Defense 1.6
Internet Software & Services 1.5
Life Sciences Tools & Services 1.4
Diversified Consumer Services 1.4
Electric Utilities 1.3
Food Products 1.3
Textiles, Apparel & Luxury
Goods 1.3
Pharmaceuticals 1.2
Thrifts & Mortgage Finance 1.2
Multi-Utilities 1.1
Construction & Engineering 1.1
Household Durables 1.0
Road & Rail 0.9%
Computers & Peripherals 0.9
Trading Companies &
Distributors 0.8
Food & Staples Retailing 0.8
Diversified Telecommunication
Services 0.7
Containers & Packaging 0.7
Auto Components 0.7
Diversified Financial Services 0.6
Building Products 0.6
Personal Products 0.6
Marine 0.5
Internet & Catalog Retail 0.5
Airlines 0.5
Industrial Conglomerates 0.4
Health Care Technology 0.4
Leisure Equipment & Products 0.4
Wireless Telecommunication
Services 0.4
Multiline Retail 0.4
Consumer Finance 0.3
Real Estate Management &
Development 0.3
Paper & Forest Products 0.3
Air Freight & Logistics 0.3
Beverages 0.3
Household Products 0.3
Water Utilities 0.2
Construction Materials 0.2
Distributors 0.2
Automobiles 0.1
Tobacco 0.1
Office Electronics 0.1
Transportation Infrastructure 0.1
Independent Power Producers &
Energy Traders 0.1
Short Term Investments 0.6
Other Assets & Liabilities (0.4)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
24
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE SMALL CAP GROWTH ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -3.83% -3.73% -3.82%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 7.89% 7.40% 8.05%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 32.99% 34.48% 34.85%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 126.77% 127.20% 142.45%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 1.17% 1.45% 24.47%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 7.89% 7.40% 8.05%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 9.97% 10.38% 10.48%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 17.79% 17.84% 19.38%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 0.16% 0.20% 3.06%
----------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones
Wilshire Small Cap Growth Index. Performance of the Fund prior to November
1, 2005 is therefore based on the Fund's investment strategy to track the
prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2007.
25
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE SMALL WILSHIRE SMALL
CAP GROWTH CAP GROWTH
ETF (A) INDEX (B)
-------------- --------------
9/25/2000 10000.00 10000.00
9988.00 9993.49
9320.80 9132.37
7567.56 7350.12
12/3100 8019.34 7811.60
8628.81 8417.15
7390.58 7156.71
6585.00 6388.19
7498.60 7325.55
7690.56 7564.02
7893.44 7732.82
7235.13 7147.88
6709.13 6666.89
5499.48 5479.56
6113.77 6108.39
6808.90 6723.83
12/31/01 7307.31 7184.67
6996.75 6944.03
6308.27 6480.46
6824.29 7016.24
6427.12 6806.64
5970.79 6437.47
5396.40 5909.77
4598.81 5111.16
4535.81 5157.48
4090.39 4748.96
4368.13 5016.26
4884.01 5530.56
12/31/02 4461.54 5133.93
4396.85 4995.39
4283.85 4851.87
4338.25 4931.97
4744.31 5449.38
5252.90 6087.49
5341.15 6265.80
5665.36 6652.18
5972.71 7034.86
5865.14 6865.51
6392.41 7487.45
6595.05 7703.71
12/31/03 6605.61 7754.04
6845.39 8098.39
6916.58 8166.17
6943.56 8250.39
6702.61 7965.73
6809.86 8115.68
7006.66 8377.04
6582.76 7802.26
6505.74 7673.23
6735.39 8080.81
6883.57 8294.89
7307.60 8910.71
12/31/04 7607.21 9230.49
7401.13 8924.89
7575.58 9122.59
7393.00 8898.92
7086.20 8450.17
7478.06 9027.35
7645.57 9317.72
8105.83 9861.10
8013.43 9755.03
8054.30 9877.99
7802.20 9545.18
8228.98 10069.70
12/31/05 8270.94 10123.70
8952.47 10961.80
8926.51 10930.80
9414.79 11535.10
9430.79 11559.60
8824.39 10818.70
8792.63 10780.00
8389.57 10289.40
8583.62 10531.60
8642.51 10608.50
9139.54 11223.80
9420.85 11573.20
12/31/06 9375.91 11519.30
9650.53 11859.90
9663.66 11877.20
9808.32 12058.30
10105.40 12427.80
10598.30 13037.70
10518.10 12942.00
10036.50 12352.90
10168.90 12518.50
10479.20 12902.70
10860.80 13372.20
10102.00 12440.40
12/31/07 10117.00 12447.10
</Table>
26
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Small Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION PLAINS EXPLORATION & CYPRESS THE NASDAQ AK STEEL
HOLOGIC, INC. PRODUCTION CO. SEMICONDUCTOR CORP. STOCK MARKET, INC. HOLDING CORP.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $788,399 555,876 502,871 482,874 471,741
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.9% 0.6 0.6 0.5 0.5
--------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 8.6%
Health Care Equipment &
Supplies 5.8
Semiconductors & Semiconductor
Equipment 5.7
Software 5.0
Commercial Services & Supplies 4.9
Biotechnology 4.9
Energy Equipment & Services 4.6
Health Care Providers &
Services 4.1
Communications Equipment 3.9
Hotels, Restaurants & Leisure 3.5
Electronic Equipment &
Instruments 3.2
IT Services 2.9
Internet Software & Services 2.8
Specialty Retail 2.5
Machinery 2.5
Life Sciences Tools & Services 2.1
Diversified Consumer Services 2.0
Aerospace & Defense 1.9
Media 1.8
Electrical Equipment 1.5
Pharmaceuticals 1.5
Textiles, Apparel & Luxury
Goods 1.3
Chemicals 1.2
Metals & Mining 1.2
Real Estate Investment Trusts 1.1
Computers & Peripherals 1.1
Diversified Telecommunication
Services 1.1
Insurance 1.0
Capital Markets 1.0
Internet & Catalog Retail 1.0
Personal Products 1.0
Commercial Banks 0.9
Airlines 0.8
Health Care Technology 0.8%
Construction & Engineering 0.8
Diversified Financial Services 0.7
Wireless Telecommunication
Services 0.7
Household Durables 0.6
Road & Rail 0.6
Trading Companies &
Distributors 0.6
Real Estate Management &
Development 0.6
Food & Staples Retailing 0.5
Food Products 0.5
Consumer Finance 0.4
Air Freight & Logistics 0.4
Auto Components 0.4
Marine 0.4
Household Products 0.4
Containers & Packaging 0.4
Automobiles 0.3
Beverages 0.3
Industrial Conglomerates 0.3
Distributors 0.3
Electric Utilities 0.3
Construction Materials 0.2
Leisure Equipment & Products 0.2
Thrifts & Mortgage Finance 0.2
Building Products 0.2
Office Electronics 0.2
Multiline Retail 0.1
Independent Power Producers &
Energy Traders 0.1
Gas Utilities 0.0**
Short Term Investments 1.9
Other Assets & Liabilities (1.8)
------------------------------------------------
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 the net assets.
27
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR DJ WILSHIRE SMALL CAP VALUE ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -10.55% -10.30% -10.57%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -4.22% -4.34% -4.13%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 21.35% 21.91% 21.18%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 104.56% 105.16% 112.85%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 158.73% 159.39% 134.69%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -4.22% -4.34% -4.13%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 (1) 6.66% 6.83% 6.61%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 (1) 15.39% 15.46% 16.31%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 13.97% 14.01% 12.45%
----------------------------------------------------------------------------------------------------
(1) Prior to November 1, 2005, the Fund's investment strategy sought to track
the total return performance of an index different from the Dow Jones
Wilshire Small Cap Value Index. Performance of the Fund prior to November
1, 2005 is therefore based on the Fund's investment strategy to track the
prior index. Future performance may vary from past results.
(2) For the period September 25, 2000 to December 31, 2007.
28
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DJ WILSHIRE SMALL
WILSHIRE SMALL CAP
CAP VALUE VALUE INDEX
ETF (A) (B)
-------------- --------------
9/25/2000 10000.00 10000.00
10194.70 10153.90
10249.10 10065.40
10233.70 9699.17
12/31/00 11575.10 10713.60
11598.90 10990.30
11740.20 10890.20
11449.20 10568.90
11964.50 11122.30
12425.50 11480.20
12668.70 11766.10
12790.30 11637.40
12735.30 11548.10
11503.80 10323.80
11667.20 10664.30
12417.40 11431.00
12/31/01 13002.20 12076.70
13228.50 12127.20
13527.40 12177.70
14477.00 13097.20
14872.30 13373.80
14597.10 12965.30
14131.50 12517.30
12872.40 11090.50
13077.00 11175.10
12165.60 10463.60
12237.30 10575.70
12781.90 11356.40
12/31/02 12649.00 11025.90
12261.90 10733.00
11897.80 10454.90
11929.90 10520.20
13171.80 11569.40
14423.10 12624.20
14636.50 12838.60
15174.30 13455.20
15641.80 13970.90
15393.00 13865.60
16572.10 14943.60
17291.30 15559.90
12/31/03 18076.30 16192.10
18647.50 16727.70
19190.20 17001.30
19359.00 17190.90
18067.80 16233.60
18405.70 16538.40
19158.40 17336.30
18145.00 16521.00
18342.70 16633.60
18982.90 17151.80
19318.90 17447.60
20775.60 18831.20
12/31/04 21319.90 19366.50
20252.60 18576.50
20617.90 18951.20
20255.50 18549.20
19202.20 17689.80
20362.00 18644.10
21074.70 19352.80
22444.50 20565.30
22260.50 20185.10
22302.80 20221.50
21671.60 19575.80
22642.50 20459.00
12/31/05 22572.30 20393.50
24254.00 21921.00
24217.60 21892.30
25125.70 22721.40
25211.20 22803.60
24343.90 22020.50
24587.30 22247.30
24135.70 21845.30
24714.20 22374.50
24859.00 22508.20
26037.80 23584.60
26897.10 24371.00
12/31/06 27010.90 24480.40
27590.30 25015.20
27556.00 24989.10
27798.80 25206.20
28420.70 25778.00
29574.30 26831.90
28934.00 26241.60
26978.90 24468.30
27321.00 24784.10
27625.60 25064.00
27963.50 25376.60
26221.10 23793.30
12/31/07 25873.00 23469.00
</Table>
29
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Wilshire Small Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------
DESCRIPTION STEEL CF INDUSTRIES EXTERRAN THE SHAW
AGCO CORP. DYNAMICS, INC. HOLDINGS, INC. HOLDINGS, INC. GROUP, INC.
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $685,918 634,957 601,038 595,668 505,943
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.7% 0.7 0.6 0.6 0.5
------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Real Estate Investment Trusts 10.2%
Commercial Banks 8.4
Insurance 7.2
Oil, Gas & Consumable Fuels 5.5
Chemicals 5.3
Machinery 4.5
Gas Utilities 3.8
Metals & Mining 3.8
Electric Utilities 2.6
Capital Markets 2.6
Commercial Services & Supplies 2.4
Multi-Utilities 2.3
Thrifts & Mortgage Finance 2.2
Food Products 2.1
Specialty Retail 2.0
Electrical Equipment 2.0
Media 1.8
Electronic Equipment &
Instruments 1.6
Energy Equipment & Services 1.6
Household Durables 1.5
Road & Rail 1.4
Construction & Engineering 1.4
Hotels, Restaurants & Leisure 1.3
Textiles, Apparel & Luxury
Goods 1.2
Aerospace & Defense 1.2
Health Care Providers &
Services 1.2
Food & Staples Retailing 1.2
Trading Companies &
Distributors 1.1
IT Services 1.0
Containers & Packaging 1.0
Health Care Equipment &
Supplies 1.0
Auto Components 0.9
Building Products 0.9
Software 0.9
Pharmaceuticals 0.9%
Semiconductors & Semiconductor
Equipment 0.7
Multiline Retail 0.7
Paper & Forest Products 0.7
Diversified Consumer Services 0.7
Communications Equipment 0.6
Computers & Peripherals 0.6
Industrial Conglomerates 0.6
Leisure Equipment & Products 0.6
Life Sciences Tools & Services 0.6
Marine 0.6
Water Utilities 0.5
Diversified Financial Services 0.5
Diversified Telecommunication
Services 0.3
Tobacco 0.3
Consumer Finance 0.3
Air Freight & Logistics 0.2
Construction Materials 0.2
Beverages 0.2
Transportation Infrastructure 0.2
Airlines 0.1
Household Products 0.1
Personal Products 0.1
Biotechnology 0.1
Internet Software & Services 0.1
Real Estate Management &
Development 0.1
Wireless Telecommunication
Services 0.1
Distributors 0.0**
Automobiles 0.0**
Short Term Investments 1.2
Other Assets & Liabilities (1.0)
------------------------------------------------
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.
30
(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, which is no guarantee of future
results. Investment return and principal value will fluctuate, so you may have a
gain or loss when shares are sold. Current performance may be higher or lower
than that quoted. Visit www.spdretfs.com for most recent month-end performance.
The returns do not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or on the redemption of Fund shares. The total expense
ratio for SPDR DJ Global Titans ETF as stated in the Fees and Expenses table of
the prospectus dated October 31, 2007 is 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL
VALUE VALUE TITANS 50 INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 0.67% 1.01% 0.74%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.95% 6.23% 6.33%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 30.65% 31.17% 32.58%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 75.17% 76.07% 79.86%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 6.95% 7.34% 11.26%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL
VALUE VALUE TITANS 50 INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 5.95% 6.23% 6.33%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 9.32% 9.47% 9.86%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 11.86% 11.98% 12.46%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.93% 0.98% 1.47%
----------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2007.
31
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
SPDR DJ GLOBAL TITANS
GLOBAL TITANS 50 INDEX
ETF (A) (B)
------------- -------------
9/25/2000 10000.00 10000.00
9982.00 9998.00
10110.80 10137.00
9346.39 9375.69
12/31/00 9147.32 9179.73
9502.23 9538.66
8601.42 8636.30
8106.84 8142.31
8814.80 8858.02
8701.97 8749.06
8446.14 8453.34
8300.86 8346.83
7798.66 7845.19
7377.53 7422.33
7550.90 7600.47
7939.78 7994.93
12/31/01 7966.77 8026.11
7673.59 7734.76
7514.75 7578.52
7787.54 7856.65
7211.26 7276.05
7201.88 7268.04
6764.73 6833.41
6265.49 6329.79
6263.61 6332.32
5547.06 5611.07
6168.33 6245.12
6510.67 6594.85
12/31/02 6105.70 6185.97
5904.22 5983.69
5765.47 5844.27
5821.97 5905.63
6319.75 6412.34
6588.34 6688.07
6682.55 6789.06
6725.52 6837.26
6725.79 6839.99
6812.48 6932.33
7048.88 7176.35
7153.90 7287.59
12/31/03 7628.92 7776.58
7729.63 7883.12
7803.83 7964.32
7604.05 7762.82
7569.83 7728.66
7624.34 7788.18
7716.59 7888.64
7540.65 7711.94
7590.42 7763.61
7590.42 7767.49
7683.02 7859.92
7928.88 8128.73
12/31/04 8185.78 8392.10
8009.70 8215.03
8288.12 8515.70
8082.57 8302.81
8038.12 8255.48
8136.18 8362.80
8081.67 8315.97
8254.62 8498.09
8285.16 8532.93
8405.30 8657.51
8237.19 8489.56
8388.75 8649.16
12/31/05 8423.15 8690.68
8653.10 8929.67
8613.30 8890.38
8747.66 9037.96
8996.97 9299.16
8758.55 9051.80
8799.72 9096.15
9070.57 9379.95
9351.12 9677.30
9441.27 9774.07
9710.25 10056.50
9886.88 10243.60
12/31/06 10093.50 10463.80
10143.30 10521.40
9834.11 10200.50
9942.48 10321.90
10391.80 10790.50
10648.60 11063.50
10623.30 11043.60
10385.70 10795.10
10529.70 10947.30
10970.50 11415.80
11183.30 11638.50
10799.30 11238.10
12/31/07 10695.00 11126.00
</Table>
32
(streetTRACKS (R) semi-annual report LOGO)
SPDR DJ Global Titans ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON GENERAL
MOBIL CORP. ELECTRIC CO. MICROSOFT CORP. AT&T, INC. BP PLC ADR
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $12,821,665 9,386,791 7,437,694 6,335,032 5,782,845
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.8% 5.0 3.9 3.3 3.1
-------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 19.7%
Pharmaceuticals 13.5
Commercial Banks 7.9
Diversified Financial Services 7.6
Diversified Telecommunication
Services 6.8
Industrial Conglomerates 6.8
Communications Equipment 4.2
Software 3.9
Computers & Peripherals 3.7
Beverages 3.3
Household Products 3.0
Insurance 3.0
Semiconductors & Semiconductor
Equipment 2.9
Wireless Telecommunication
Services 2.6
Food Products 2.4
Automobiles 2.1
Tobacco 2.1
Capital Markets 1.9
Food & Staples Retailing 1.6
Media 0.8
Short Term Investments 0.5
Other Assets & Liabilities (0.3)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
33
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR DJ WILSHIRE REIT ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES
VALUE VALUE WILSHIRE REIT INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -12.39% -12.56% -12.32%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -17.69% -17.92% -17.55%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 26.75% 26.58% 27.60%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 127.83% 126.94% 131.37%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 167.35% 166.74% 173.00%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES
VALUE VALUE WILSHIRE REIT INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -17.69% -17.92% -17.55%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 8.22% 8.17% 8.46%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 17.90% 17.81% 18.27%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 15.83% 15.79% 16.04%
----------------------------------------------------------------------------------------------------
(1) For the period April 23, 2001 to December 31, 2007.
34
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DJ WILSHIRE DOW JONES
REIT ETF WILSHIRE REIT
(A) INDEX (B)
----------- -------------
4/23/2001 10000.00 10000.00
10259.10 10252.00
10504.60 10502.20
11121.60 11123.90
10898.10 10900.30
11325.30 11334.10
10848.50 10857.00
10461.20 10470.40
11086.80 11102.90
12/31/01 11364.00 11389.30
11316.20 11344.90
11559.50 11593.30
12300.50 12342.30
12360.80 12411.40
12515.30 12577.70
12848.20 12909.80
12155.70 12211.30
12163.00 12222.30
11683.70 11737.10
11057.50 11108.00
11581.60 11639.00
12/31/02 11733.30 11797.30
11391.90 11454.00
11595.80 11662.40
11871.80 11945.80
12324.10 12405.70
13016.70 13107.90
13286.20 13391.00
13985.00 14103.40
14097.20 14220.50
14579.50 14721.00
14787.90 14938.90
15435.70 15597.70
12/31/03 15894.10 16065.60
16525.10 16708.30
16796.10 16985.60
17797.10 18006.50
15202.30 15370.30
16362.30 16543.10
16833.50 17029.40
16912.60 17116.30
18301.10 18528.40
18211.40 18439.40
19213.10 19462.80
20062.30 20334.80
12/31/04 21091.50 21390.10
19241.30 19512.10
19841.30 20124.80
19565.50 19849.10
20712.00 21020.20
21387.30 21711.70
22495.10 22847.20
24200.20 24590.50
23266.10 23646.20
23377.80 23747.90
22889.20 23244.40
23942.10 24323.00
12/31/05 23966.00 24347.30
25830.60 26256.10
26378.20 26818.00
27720.90 28191.10
26670.20 27125.50
25920.80 26374.10
27385.30 27874.80
28357.80 28864.30
29297.00 29834.20
29861.80 30415.90
31733.60 32332.10
33241.60 33874.40
12/31/06 32479.30 33108.80
35348.20 36058.80
34554.30 35251.10
33670.40 34348.70
33648.90 34334.90
33665.40 34359.00
30515.30 31132.70
28111.60 28688.80
29755.80 30384.30
30891.30 31572.30
31249.00 31935.40
28211.60 28831.20
12/31/07 26735.00 27300.00
</Table>
35
(streetTRACKS (R) semi-annual report LOGO)
DJ Wilshire REIT ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------
DESCRIPTION SIMON PROPERTY VORNADO BOSTON EQUITY
GROUP, INC. PROLOGIS REALTY TRUST PROPERTIES, INC. RESIDENTIAL
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $95,316,777 79,785,976 61,336,506 53,650,000 48,553,787
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 7.7% 6.5 5.0 4.3 3.9
------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Retail REIT's 28.0%
Specialized REIT's 21.7
Office REIT's 17.3
Residential REIT's 14.9
Industrial REIT's 10.8
Diversified REIT's 7.3
Short Term Investments 0.1
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.
36
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR KBW BANK ETF AS STATED IN THE FEES AND
EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE BANK INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -19.82% -19.82% -19.94%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -21.81% -21.83% -21.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -5.44% -5.51% -4.96%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE BANK INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -21.81% -21.83% -21.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -2.57% -2.60% -2.32%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
37
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW BANK KBW BANK
ETF (A) INDEX (B)
-------- ---------
11/8/2005 10000.00 10000.00
10349.00 10351.00
12/31/05 10379.00 10388.30
10359.30 10371.60
10681.50 10697.30
10696.40 10718.70
11396.00 11425.10
11006.20 11035.50
10889.60 10920.70
11278.80 11316.00
11253.60 11294.50
11567.20 11615.30
11655.60 11707.10
11576.50 11631.00
12/31/06 12091.60 12155.50
12163.50 12232.10
11951.80 12021.70
11795.00 11873.80
12054.60 12133.90
12197.10 12283.10
11791.50 11870.40
11008.20 11084.60
11156.00 11219.80
11183.00 11251.20
10935.40 11001.50
10319.20 10382.10
12/31/07 9456.00 9504.00
</Table>
38
(streetTRACKS (R) semi-annual report LOGO)
KBW Bank ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-------------------------------------------------------------------------------------------------------------------------
DESCRIPTION BANK OF JPMORGAN
WELLS FARGO & CO. AMERICA CORP. CHASE & CO. CITIGROUP, INC. WACHOVIA CORP.
-------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $31,266,696 30,453,758 27,879,517 27,678,693 25,699,533
-------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.7% 8.5 7.8 7.7 7.2
-------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Regional Banks 33.0%
Other Diversified Financial
Services 23.9
Diversified Banks 22.6
Asset Management & Custody
Banks 12.4
Thrifts and Mortgage Finance 4.3
Consumer Finance 3.4
Short Term Investments 1.4
Other Assets & Liabilities (1.0)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
39
[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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR KBW CAPITAL MARKETS ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW CAPITAL
VALUE VALUE MARKETS INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -1.95% -1.50% -1.84%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 0.94% 1.10% 1.26%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 33.47% 33.86% 34.51%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW CAPITAL
VALUE VALUE MARKETS INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 0.94% 1.10% 1.26%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 14.39% 14.54% 14.66%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
40
(streetTRACKS (R) semi-annual report LOGO)
KBW Capital Markets ETF--PORTFOLIO SUMMARY
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
KBW CAPITAL MARKETS ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW CAPITAL KBW CAPITAL
MARKETS ETF MARKETS INDEX
(A) (B)
----------- -------------
11/8/2005 10000.00 10000.00
10275.00 10277.00
12/31/05 10293.50 10297.50
11191.10 11203.70
11492.10 11509.60
11761.00 11783.50
11862.20 11888.40
11148.10 11173.90
11055.60 11082.30
11213.30 11244.10
11342.90 11377.90
12244.30 12285.90
12773.30 12822.70
12982.90 13038.20
12/31/06 13223.80 13283.30
13845.80 13912.90
13117.80 13186.70
13075.60 13145.80
13591.70 13669.00
14170.90 14263.60
13613.60 13703.00
12811.60 12897.30
12397.30 12474.30
13084.60 13174.00
14135.00 14237.20
13210.00 13307.50
12/31/07 13347.00 13451.00
</Table>
41
(streetTRACKS (R) semi-annual report LOGO)
KBW Capital Market ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION THE GOLDMAN MERRILL LYNCH & LEHMAN BROTHERS
CME GROUP, INC. MORGAN STANLEY SACHS GROUP, INC. CO., INC. HOLDINGS, INC.
------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $13,536,838 13,154,338 12,579,565 11,758,014 10,197,646
------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.6% 8.3 8.0 7.5 6.5
------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Investment Banking & Brokerage 52.9%
Specialized Finance 24.7
Asset Management & Custody Banks 22.3
Short Term Investments 0.3
Other Assets & Liabilities (0.2)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
42
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR KBW INSURANCE ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE INSURANCE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -9.99% -9.38% -9.84%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -5.81% -5.11% -5.49%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 4.75% 5.36% 5.56%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE INSURANCE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -5.81% -5.11% -5.49%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.18% 2.46% 2.53%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
43
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW INSURANCE KBW INSURANCE
ETF (A) INDEX (B)
------------- -------------
11/8/05 10000.00 10000.00
10254.00 10257.00
12/31/05 10093.00 10098.00
9913.36 9920.29
10031.30 10041.30
9847.75 9858.57
10302.70 10320.00
9980.24 9999.00
9906.39 9928.00
9893.41 9918.08
10095.30 10124.40
10429.30 10462.50
10553.50 10589.10
10778.30 10818.90
12/31/06 11120.70 11168.40
11053.90 11104.70
11043.90 11096.90
11057.40 11113.60
11645.90 11710.40
11943.30 12012.50
11636.10 11706.20
10643.50 10708.80
10778.30 10848.00
11291.30 11370.90
10908.10 10987.70
10716.50 10797.60
12/31/07 10475.00 10556.00
</Table>
44
(streetTRACKS (R) semi-annual report LOGO)
KBW Insurance ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION PRUDENTIAL AMERICAN INTERNATIONAL THE TRAVELERS
FINANCIAL, INC. METLIFE, INC. GROUP, INC. THE ALLSTATE CORP. COS., INC.
--------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,410,450 7,155,992 6,615,593 5,766,767 5,747,239
--------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.8% 8.5 7.8 6.8 6.8
--------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Property & Casualty Insurance 38.3%
Life & Health Insurance 34.3
Multi-Line Insurance 14.7
Insurance Brokers 8.8
Reinsurance 2.6
Thrifts & Mortgage Finance 1.1
Short Term Investments 0.7
Other Assets & Liabilities (0.5)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
45
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR MORGAN STANLEY TECHNOLOGY ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY
VALUE VALUE TECHNOLOGY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 0.03% 0.41% 0.24%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 9.73% 10.04% 10.24%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 22.82% 23.36% 24.67%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 116.02% 117.26% 121.52%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -36.43% -36.16% -34.49%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY
VALUE VALUE TECHNOLOGY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 9.73% 10.04% 10.24%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/07 7.09% 7.25% 7.63%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/07 16.65% 16.79% 17.24%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -6.04% -5.99% -5.61%
----------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2007.
46
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
MORGAN STANLEY MORGAN STANLEY
TECHNOLOGY ETF TECHNOLOGY INDEX
(A) (B)
-------------- ----------------
9/25/00 10000.00 10000.00
9725.00 9725.00
9484.79 9488.68
7242.59 7247.46
12/31/00 6875.75 6834.35
8096.20 8052.23
6106.15 6074.60
5391.12 5365.09
6244.82 6217.60
5851.40 5828.38
5947.95 5933.29
5599.40 5582.04
4921.31 4908.29
3839.11 3829.94
4533.61 4524.69
5271.68 5264.02
12/31/01 5203.15 5198.75
5161.52 5160.28
4339.29 4340.31
4663.00 4665.83
4091.32 4095.67
3956.31 3962.15
3404.40 3410.22
3072.47 3079.09
3002.11 3010.12
2443.72 2451.14
2979.38 2990.14
3499.58 3513.42
12/31/02 2943.50 2957.60
2951.45 2967.06
2947.02 2963.80
2941.13 2959.35
3244.65 3266.24
3753.41 3777.73
3750.03 3777.73
3945.07 3975.68
4303.72 4340.25
4207.27 4243.46
4631.79 4673.75
4739.71 4785.45
12/31/03 4858.20 4907.96
5141.43 5196.55
5055.57 5110.81
4969.63 5026.99
4654.05 4708.78
4837.89 4896.66
5029.47 5092.53
4469.19 4526.75
4302.93 4359.71
4546.05 4608.21
4675.16 4740.93
4965.48 5037.24
12/31/04 5177.01 5254.34
4828.08 4902.30
4822.29 4897.89
4642.42 4717.16
4451.61 4526.11
4883.42 4968.32
4815.05 4900.75
5102.03 5195.77
5060.70 5155.24
5163.94 5262.99
5090.10 5190.36
5392.45 5500.22
12/31/05 5323.97 5432.57
5514.56 5629.23
5404.82 5519.46
5588.59 5710.43
5546.11 5669.32
5119.62 5235.62
5036.68 5152.89
4764.10 4875.67
5188.20 5312.53
5416.42 5548.93
5638.55 5779.22
5866.57 6015.59
12/31/06 5794.00 5943.40
5768.57 5919.62
5755.71 5908.97
5673.23 5826.24
6051.12 6217.77
6287.72 6463.37
6355.63 6535.76
6381.56 6565.82
6495.21 6682.04
6820.43 7019.48
6972.59 7179.53
6295.20 6484.55
12/31/07 6357.78 6551.99
</Table>
47
(streetTRACKS (R) semi-annual report LOGO)
Morgan Stanley Technology ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------
DESCRIPTION
INFOSYS
APPLE, INC. AMAZON.COM, INC. ADOBE SYSTEMS, INC. TECHNOLOGIES, LTD. ADR
--------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,883,386 7,838,270 7,825,102 7,765,269
--------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.0% 2.9 2.9 2.9
--------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION TELEFONAKTIEBOLAGET
LM ERICSSON
(CLASS B) ADR
----------------------------------------------
MARKET VALUE 7,743,117
----------------------------------------------
% OF NET ASSETS 2.9
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Software 20.2%
Communications Equipment 19.8
Semiconductors & Semiconductor Equipment 17.2
Computers & Peripherals 17.1
IT Services 11.4
Internet & Software & Services 8.5
Internet & Catalog Retail 2.9
Electronic Equipment & Instruments 2.9
Short Term Investments 0.0**
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.
48
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P DIVIDEND ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HIGH YIELD DIVIDEND
VALUE VALUE ARISTOCRATS INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -8.80% -8.56% -8.82%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -6.39% -6.06% -6.29%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 12.09% 12.74% 12.46%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HIGH YIELD DIVIDEND
VALUE VALUE ARISTOCRATS INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -6.39% -6.06% -6.29%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.46% 5.74% 5.57%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2007.
49
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P HIGH
SPDR S&P YIELD DIVIDEND
DIVIDEND ETF ARISTOCRATS INDEX
(A) (B)
------------ -----------------
11/8/05 10000.00 10000.00
10176.00 10178.00
12/31/05 10170.90 10170.90
10404.80 10407.90
10487.00 10492.20
10538.40 10545.70
10761.80 10757.60
10567.00 10565.10
10617.80 10616.80
10899.50 10902.40
11149.40 11156.50
11301.00 11311.50
11669.10 11683.70
11748.10 11766.60
12/31/06 11976.40 12000.80
12078.30 12106.40
12117.20 12147.60
12131.70 12165.80
12490.20 12530.80
12773.90 12816.50
12293.30 12333.30
11667.90 11708.00
11991.30 12035.80
11923.40 11972.00
11863.90 11915.80
11495.40 11548.80
12/31/07 11209.00 11246.20
</Table>
50
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Dividend ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------
DESCRIPTION FIRSTMERIT CORP. COMERICA, INC. KEYCORP REGIONS FINANCIAL CORP.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $7,554,395 7,379,032 7,171,291 7,167,014
--------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.2% 3.1 3.0 3.0
--------------------------------------------------------------------------------------------------------
----------------------------------------------------------
DESCRIPTION INTEGRYS ENERGY GROUP, INC.
----------------------------------------------------------
MARKET VALUE 7,142,266
----------------------------------------------------------
% OF NET ASSETS 3.0
----------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Commercial Banks 28.6%
Multi-Utilities 10.3
Gas Utilities 7.9
Pharmaceuticals 7.2
Chemicals 6.9
Commercial Services & Supplies 5.2
Household Durables 3.7
Insurance 3.3
Household Products 3.2
Diversified Financial Services 3.0
Industrial Conglomerates 3.0
Media 2.8
Beverages 2.7%
Containers & Packaging 2.0
Textiles, Apparel & Luxury
Goods 1.7
Hotels, Restaurants & Leisure 1.5
Computers & Peripherals 1.4
IT Services 1.4
Health Care Equipment &
Supplies 1.3
Water Utilities 1.3
Electrical Equipment 1.2
Short Term Investments 2.5
Other Assets & Liabilities (2.1)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
51
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P BIOTECH ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P BIOTECHNOLOGY
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 16.67% 16.69% 16.89%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 29.10% 29.26% 29.63%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 19.95% 20.05% 20.90%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P BIOTECHNOLOGY
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 29.10% 29.26% 29.63%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.95% 10.00% 10.41%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2007.
52
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P S&P BIOTECHNOLOGY
BIOTECH ETF SELECT INDUSTRY
(A) INDEX (B)
----------- -----------------
1/31/06 10000.00 10000.00
10730.00 10733.00
10130.20 10144.80
9646.98 9662.95
9058.52 9076.41
9241.50 9262.48
9039.94 9063.33
9337.45 9364.24
9161.16 9190.06
10189.20 10224.90
10176.80 10214.60
12/31/06 9291.41 9325.96
9630.64 9670.09
9691.89 9734.88
9726.00 9771.87
10604.40 10663.10
10844.30 10907.30
10282.00 10342.30
10187.90 10251.30
11233.00 11306.10
11713.50 11793.40
12227.80 12315.80
12256.40 12347.90
12/31/07 11995.60 12090.60
</Table>
53
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Biotech ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION REGENERON ALEXION GILEAD
PHARMACEUTICALS, INC. PHARMION CORP. PHARMACEUTICALS, INC. SCIENCES, INC.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,784,445 9,755,872 9,650,509 9,625,476
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.6% 3.6 3.5 3.5
--------------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION
GENENTECH, INC.
----------------------------------------------
MARKET VALUE 9,615,222
----------------------------------------------
% OF NET ASSETS 3.5
----------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Biotechnology 100.0%
Short Term Investments 0.1
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.
54
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P HOMEBUILDERS ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HOMEBUILDERS SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -35.93% -36.03% -36.16%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -47.65% -47.46% -47.74%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -58.09% -57.84% -58.09%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HOMEBUILDERS SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -47.65% -47.46% -47.74%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -36.46% -36.26% -36.47%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2007.
55
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P S&P HOMEBUILDERS
HOMEBUILDERS ETF SELECT INDUSTRY
(A) INDEX (B)
---------------- ----------------
1/31/06 10000.00 10000.00
9531.00 9533.00
9507.17 9510.12
9052.73 9057.44
7836.95 7841.93
7229.58 7231.83
6633.14 6635.93
6707.44 6712.24
7034.82 7038.45
7342.53 7348.85
7915.69 7926.47
12/31/06 8006.48 8020.79
8227.06 8244.57
7655.11 7672.40
7000.52 7021.78
7351.74 7376.38
7665.14 7693.57
6541.74 6564.92
5722.52 5742.99
5381.40 5401.28
4622.51 4607.29
4811.02 4804.03
4065.31 4060.36
12/31/07 4191.05 4191.11
</Table>
56
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Homebuilders ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION CAVCO INDUSTRIES, INC. AVATAR HOLDINGS, INC. LENNAR CORP. (CLASS A) SKYLINE CORP.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $17,950,597 16,242,428 15,791,074 15,653,822
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.7% 5.2 5.0 5.0
------------------------------------------------------------------------------------------------------------------------
------------------------------------------------
DESCRIPTION PULTE HOMES, INC.
------------------------------------------------
MARKET VALUE 15,604,249
------------------------------------------------
% OF NET ASSETS 5.0
------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Homebuilding 80.7%
Home Improvement Retail 14.3
Home Furnishings 4.8
Short Term Investments 2.1
Other Assets and Liabilities (1.9)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
57
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P METALS & MINING ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P METALS & MINING SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 11.46% 11.39% 11.53%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 42.58% 42.37% 42.99%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 62.39% 62.45% 63.17%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P METALS & MINING SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 42.58% 42.37% 42.99%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 37.09% 37.12% 36.24%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
58
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR S&P METALS & MINING
METAL & MINING SELECT INDUSTRY
ETF (A) INDEX (B)
--------------- --------------
6/19/06 10000.00 10000.00
11570.00 11571.00
10563.40 10567.80
10227.50 10234.90
9605.66 9614.67
11003.30 11018.40
12058.50 12080.60
12/31/06 11389.30 11411.30
12244.60 12274.00
12538.50 12572.30
13308.30 13353.00
14455.50 14509.40
15374.90 15438.00
14569.20 14630.60
13826.20 13887.30
13454.30 13512.40
14849.50 14915.00
15986.90 16063.40
15569.70 15642.60
12/31/07 16239.20 16317.30
</Table>
59
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Metals & Mining ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION COEUR 'D UNITED STATES STEEL AK STEEL
ALENE MINES CORP. STEEL CORP. DYNAMICS, INC. ARCH COAL, INC. HOLDING CORP.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $12,750,016 12,271,881 12,197,672 12,044,610 11,992,483
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.5% 4.4 4.3 4.3 4.3
---------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Steel 41.6%
Coal & Consumable Fuels 24.9
Precious Metals & Minerals 12.8
Diversified Metals & Mining 12.2
Aluminum 4.2
Gold 4.2
Short Term Investments 0.3
Other Assets and Liabilities (0.2)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
60
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P OIL & GAS EQUIPMENT & SERVICES
ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER
31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EQUIPMENT &
VALUE VALUE SERVICES SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 10.34% 10.71% 10.44%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 38.79% 39.51% 39.27%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 45.83% 46.46% 46.61%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EQUIPMENT &
VALUE VALUE SERVICES SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 38.79% 39.51% 39.27%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 27.82% 28.18% 27.33%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
61
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
S&P
SPDR OIL & OIL
OIL & GAS EQUIPMENT &
EQUIPMENT & SERVICES SELECT
SERVICES ETF INDUSTRY INDEX
(A) (B)
--------------- ---------------
6/19/06 10000.00 10000.00
11098.00 11099.00
10866.00 10870.40
10200.00 10207.30
9604.28 9614.23
10049.90 10062.30
11014.70 11032.30
12/31/06 10506.90 10525.90
10415.50 10443.80
10530.10 10560.70
11257.70 11295.80
11968.10 12013.00
12884.80 12938.00
13214.70 13273.20
13292.70 13359.40
13400.30 13458.30
14266.00 14334.40
14110.50 14182.50
13568.70 13635.00
12/31/07 14583.20 14661.40
</Table>
62
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Oil & Gas Equipment & Services ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION PRIDE HELMERICH &
INTERNATIONAL, INC. SCHLUMBERGER, LTD. NOBLE CORP. PAYNE, INC. ROWAN COS., INC.
------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,063,267 8,831,757 8,778,659 8,727,166 8,651,526
------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.6% 4.5 4.5 4.4 4.4
------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------
Oil & Gas Equipment & Services 56.3%
Oil & Gas Drilling 39.3
Oil & Gas Exploration &
Production 4.3
Short Term Investments 0.4
Other Assets and Liabilities (0.3)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
63
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P OIL & GAS EXPLORATION &
PRODUCTION ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS
DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
S&P OIL & GAS
NET EXPLORATION &
ASSET MARKET PRODUCTION SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 13.56% 14.04% 13.77%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 36.90% 37.49% 37.36%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 54.67% 55.14% 55.39%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
S&P OIL & GAS
NET EXPLORATION &
ASSET MARKET PRODUCTION SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 36.90% 37.49% 37.36%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 32.81% 33.07% 32.10%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
64
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P OIL & GAS
OIL & GAS EXPLORATION &
EXPLORATION & PRODUCTION SELECT
PRODUCTION ETF INDUSTRY INDEX
(A) (B)
---------------- ------------------
6/19/06 10000.00 10000.00
11574.00 11575.00
11894.60 11900.30
11430.70 11436.20
10534.50 10538.40
11110.80 11119.10
12183.00 12197.60
12/31/06 11299.70 11313.30
11608.20 11622.20
11468.90 11486.20
12065.30 12089.20
12837.80 12869.00
13801.90 13840.60
13622.50 13659.20
13077.60 13117.00
12796.40 12838.90
13960.90 14012.40
15708.80 15770.90
14397.10 14457.20
12/31/07 15471.20 15540.00
</Table>
65
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Oil & Gas Exploration & Production ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------
DESCRIPTION ULTRA DENBURY CABOT OIL & GAS NEWFIELD
PETROLEUM CORP. RESOURCES, INC. CORP. EXPLORATION CO. CONOCO PHILLIPS
------------------------------------------------------------------------------------------------------------
MARKET VALUE $2,558,913 2,541,305 2,514,486 2,503,197 2,501,892
------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.0% 3.0 2.9 2.9 2.9
------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------
Oil & Gas Exploration &
Production 74.2%
Oil & Gas Refining & Marketing 14.2
Integrated Oil & Gas 11.5
Short Term Investments 0.2
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.
66
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P PHARMACEUTICALS ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P PHARMACEUTICALS
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -4.99% -4.65% -4.84%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -1.38% -1.10% -1.08%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.10% 9.36% 9.65%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P PHARMACEUTICALS
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -1.38% -1.10% -1.08%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.83% 6.00% 5.99%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
67
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P S&P PHARMACEUTICALS
PHARMACEUTICALS ETF SELECT INDUSTRY
(A) INDEX (B)
------------------- -------------------
6/19/06 10000.00 10000.00
10146.00 10147.00
10340.80 10344.90
10658.30 10666.60
10951.40 10963.10
11057.60 11072.80
10931.50 10949.80
12/31/06 11062.70 11084.50
11521.80 11550.10
11231.50 11261.30
11114.70 11147.60
11788.20 11828.70
11910.80 11951.70
11482.00 11521.50
10690.90 10728.80
10723.00 10764.20
10940.70 10987.00
11124.50 11174.90
11054.40 11109.00
12/31/07 10910.50 10965.50
</Table>
68
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Pharmaceuticals ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
---------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION VALEANT FOREST
MYLAN PHARMACEUTICALS KV PHARMACEUTICALS CO. MGI LABORATORIES,
LABORATORIES, INC. INTERNATIONAL (CLASS A) PHARMA, INC. INC.
---------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $404,127 400,408 391,597 390,263 387,281
---------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.8% 4.8 4.7 4.6 4.6
---------------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Pharmaceuticals 100.0%
Short Term Investments 0.2
Other Assets and Liabilities (0.2)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
69
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P RETAIL ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P RETAIL
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -21.70% -21.36% -21.61%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -16.13% -15.78% -15.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -6.88% -6.55% -6.33%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P RETAIL
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -16.13% -15.78% -15.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -4.53% -4.31% -4.05%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
70
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P S&P RETAIL
RETAIL ETF SELECT INDUSTRY
(A) INDEX (B)
---------- ---------------
6/19/06 10000.00 10000.00
10242.00 10243.00
9698.15 9702.17
9911.51 9919.50
10699.50 10709.10
11253.70 11267.00
11124.30 11139.70
12/31/06 11103.20 11124.10
11459.60 11485.70
11459.60 11489.10
11752.90 11795.90
11807.00 11853.70
12259.20 12311.20
11891.40 11948.00
10835.50 10885.80
10848.50 10902.20
10691.20 10749.50
10550.00 10609.80
9730.30 9788.61
12/31/07 9312.93 9367.74
</Table>
71
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Retail ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION SPORT SUPPLY OFFICE DEPOT,
GENESCO, INC. GROUP, INC. INC. SYSTEMAX, INC. LIMITED BRANDS, INC.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $2,228,537 2,228,329 2,084,956 2,029,033 2,022,973
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.0% 2.0 1.9 1.8 1.8
-----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Apparel Retail 36.0%
Specialty Stores 20.6
Catalog Retail 8.7
Department Stores 8.7
Food Retail 8.5
Computer & Electronics Retail 5.2
Drug Retail 3.5
Hypermarkets & Super Centers 3.5
General Merchandise Stores 3.4
Footwear 1.6
Short Term Investment 1.0
Other Assets & Liabilities (0.7)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
72
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR S&P SEMICONDUCTOR ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P SEMICONDUCTOR
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -12.38% -12.14% -12.29%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -5.04% -4.83% -4.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -12.22% -12.00% -11.66%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P SEMICONDUCTOR
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -5.04% -4.83% -4.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -6.57% -6.45% -6.26%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2007.
73
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR S&P S&P SEMICONDUCTOR
SEMICONDUCTOR ETF SELECT INDUSTRY
(A) INDEX (B)
----------------- -----------------
1/31/06 10000.00 10000.00
9981.00 9984.00
10135.70 10141.80
10406.30 10414.60
9305.34 9314.78
8874.50 8885.37
8247.96 8260.73
9032.43 9049.63
9080.93 9101.21
9196.17 9219.53
9502.95 9530.23
12/31/06 9243.62 9271.00
9230.58 9260.81
9569.07 9603.46
9155.40 9194.35
9752.97 9799.34
9830.12 9879.69
10018.20 10071.40
9891.94 9946.47
10083.80 10142.40
10400.20 10462.90
9856.97 9918.85
8765.11 8820.83
12/31/07 8778.00 8834.06
</Table>
74
(streetTRACKS (R) semi-annual report LOGO)
SPDR S&P Semiconductor ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-----------------------------------------------------------------------------------------------------------
DESCRIPTION INTERNATIONAL SILICON
CREE, INC. RECTIFIER CORP. LABORATORIES, INC. ON SEMICONDUCTOR CORP.
-----------------------------------------------------------------------------------------------------------
MARKET VALUE $8,420,104 7,298,386 7,240,085 7,177,935
-----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.2% 4.5 4.4 4.4
-----------------------------------------------------------------------------------------------------------
--------------------------------------------------
DESCRIPTION CYPRESS
SEMICONDUCTOR CORP.
--------------------------------------------------
MARKET VALUE 7,167,412
--------------------------------------------------
% OF NET ASSETS 4.4
--------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Semiconductors 99.8%
Short Term Investments 0.3
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.
75
(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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR KBW REGIONAL BANKING ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW REGIONAL
VALUE VALUE BANKING INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 -16.11% -16.49% -16.30%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -22.01% -21.88% -21.96%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -17.38% -17.20% -16.56%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW REGIONAL
VALUE VALUE BANKING INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/07 -22.01% -21.88% -21.96%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -11.68% -11.55% -10.81%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2007.
76
(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)
(PERFORMANCE GRAPH)
<Table>
<Caption>
KBW REGIONAL KBW REGIONAL
BANKING ETF BANK INDEX
(A) (B)
------------ ------------
6/19/06 10000.00 10000.00
10066.00 10066.00
10127.40 10132.40
10189.20 10199.30
10256.40 10268.70
10246.20 10262.50
10440.80 10463.70
12/31/06 10593.30 10691.80
10455.60 10553.80
10316.50 10421.90
10183.40 10291.60
9915.61 10025.10
10110.00 10228.60
9848.10 9967.76
8928.29 9038.77
9600.59 9724.81
9532.43 9657.71
9111.09 9227.94
8677.41 8790.54
12/31/07 8262.00 8344.00
</Table>
77
(streetTRACKS (R) semi-annual report LOGO)
KBW Regional Banking ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION HUDSON CITY COMMERCE SVB FINANCIAL BANK OF
BANCORP, INC. BANCSHARES, INC. GROUP HAWAII CORP. BANCORPSOUTH, INC.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $4,283,013 4,204,564 4,173,019 3,955,116 3,879,241
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.8% 2.8 2.7 2.6 2.6
---------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2007*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Regional Banks 88.1%
Thrifts & Mortgage Finance 11.4
Short Term Investments 2.1
Other Assets and Liabilities (1.6)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
78
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. ................. 5,719 $ 500,184 0.39%
United Technologies Corp. .. 7,262 555,833 0.44
Other Securities(1)......... 1,817,008 1.44
------------ ------
2,873,025 2.27
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities(1)......... 795,860 0.63
------------ ------
AIRLINES
Other Securities(1)......... 209,477 0.17
------------ ------
AUTO COMPONENTS
Other Securities(1)......... 414,825 0.33
------------ ------
AUTOMOBILES
Other Securities(1)......... 339,594 0.27
------------ ------
BEVERAGES
PepsiCo, Inc. .............. 12,141 921,502 0.73
The Coca-Cola Co. .......... 16,114 988,916 0.78
Other Securities(1)......... 521,520 0.41
------------ ------
2,431,938 1.92
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (a)............. 9,688 449,911 0.36
Other Securities(1)......... 1,645,838 1.29
------------ ------
2,095,749 1.65
------------ ------
BUILDING PRODUCTS
Other Securities(1)......... 181,358 0.14
------------ ------
CAPITAL MARKETS
State Street Corp. (b)...... 2,945 239,134 0.19
The Bank of New York Mellon
Corp. .................... 9,165 446,885 0.35
The Goldman Sachs Group,
Inc. ..................... 3,263 701,708 0.55
Other Securities(1)......... 2,415,402 1.91
------------ ------
3,803,129 3.00
------------ ------
CHEMICALS
Monsanto Co. ............... 4,542 507,296 0.40
Other Securities(1)......... 1,662,049 1.31
------------ ------
2,169,345 1.71
------------ ------
COMMERCIAL BANKS
Wachovia Corp. ............. 14,746 560,790 0.44
Wells Fargo & Co. .......... 23,423 707,140 0.56
Other Securities(1)......... 2,733,081 2.16
------------ ------
4,001,011 3.16
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)......... 1,067,615 0.84
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (a)..... 48,111 1,302,365 1.03
QUALCOMM, Inc. ............. 13,071 514,344 0.41
Other Securities(1)......... 1,164,275 0.91
------------ ------
2,980,984 2.35
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (a)............. 7,095 1,405,378 1.11
Hewlett-Packard Co. ........ 22,477 1,134,639 0.89
International Business
Machines Corp. ........... 12,152 1,313,631 1.04
Other Securities(1)......... 1,509,074 1.19
------------ ------
5,362,722 4.23
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)......... 520,765 0.41
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)......... 165,043 0.13
------------ ------
CONSUMER FINANCE
Other Securities(1)......... 738,716 0.58
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)......... 363,465 0.29
------------ ------
DISTRIBUTORS
Other Securities(1)......... 24,169 0.02
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)......... 353,699 0.28
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ...... 33,419 1,378,868 1.09
Citigroup, Inc. ............ 38,013 1,119,103 0.88
JPMorgan Chase & Co. ....... 25,892 1,130,186 0.89
Other Securities(1)......... 758,338 0.60
------------ ------
4,386,495 3.46
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ................. 46,408 1,928,717 1.52
Verizon Communications,
Inc. ..................... 22,599 987,350 0.78
Other Securities(1)......... 419,779 0.33
------------ ------
3,335,846 2.63
------------ ------
ELECTRIC UTILITIES
Exelon Corp. ............... 5,362 437,754 0.35
Other Securities(1)......... 1,994,321 1.57
------------ ------
2,432,075 1.92
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)......... 792,544 0.63
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)......... 827,112 0.65
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ......... 9,368 921,530 0.73
Transocean, Inc. ........... 3,038 434,890 0.34
Other Securities(1)......... 2,117,876 1.67
------------ ------
3,474,296 2.74
------------ ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ......... 12,752 506,892 0.40
Wal-Mart Stores, Inc. ...... 18,555 881,919 0.70
Other Securities(1)......... 1,181,556 0.93
------------ ------
2,570,367 2.03
------------ ------
FOOD PRODUCTS
Other Securities(1)......... 1,846,707 1.46
------------ ------
GAS UTILITIES
Other Securities(1)......... 261,355 0.21
------------ ------
</Table>
See accompanying notes to financial statements
79
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. ............ 8,756 $ 440,164 0.35%
Other Securities(1)......... 1,695,610 1.33
------------ ------
2,135,774 1.68
------------ ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. ... 10,863 632,227 0.50
Other Securities(1)......... 2,681,973 2.11
------------ ------
3,314,200 2.61
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1)......... 91,441 0.07
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ........... 9,510 560,234 0.44
Other Securities(1)......... 1,757,647 1.39
------------ ------
2,317,881 1.83
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)......... 862,995 0.68
------------ ------
HOUSEHOLD PRODUCTS
Procter & Gamble Co. ....... 24,008 1,762,667 1.39
Other Securities(1)......... 803,356 0.63
------------ ------
2,566,023 2.02
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)......... 499,892 0.39
------------ ------
INDUSTRIAL CONGLOMERATES
General Electric Co. ....... 78,195 2,898,689 2.29
Other Securities(1)......... 885,854 0.69
------------ ------
3,784,543 2.98
------------ ------
INSURANCE
American International
Group, Inc. .............. 17,592 1,025,614 0.81
Berkshire Hathaway, Inc.
(Class A) (a)............. 7 991,200 0.78
Other Securities(1)......... 3,834,892 3.03
------------ ------
5,851,706 4.62
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1)......... 508,945 0.40
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (a).. 1,843 1,274,398 1.00
Other Securities(1)......... 847,744 0.67
------------ ------
2,122,142 1.67
------------ ------
IT SERVICES
Other Securities(1)......... 1,464,303 1.15
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 268,775 0.21
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)......... 878,094 0.69
------------ ------
MACHINERY
Other Securities(1)......... 2,935,303 2.31
------------ ------
MEDIA
Comcast Corp. (Class A)
(a)....................... 24,833 453,451 0.36
The Walt Disney Co. ........ 15,216 491,172 0.39
Time Warner, Inc. .......... 33,897 559,639 0.44
Other Securities(1)......... 2,324,325 1.83
------------ ------
3,828,587 3.02
------------ ------
METALS & MINING
Other Securities(1)......... 1,511,292 1.19
------------ ------
MULTI-UTILITIES
Other Securities(1)......... 1,322,211 1.04
------------ ------
MULTILINE RETAIL
Other Securities(1)......... 955,342 0.75
------------ ------
OFFICE ELECTRONICS
Other Securities(1)......... 176,441 0.14
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. .............. 16,632 1,552,265 1.22
ConocoPhillips.............. 11,758 1,038,231 0.82
Exxon Mobil Corp. .......... 44,058 4,127,794 3.25
Occidental Petroleum
Corp. .................... 6,434 495,354 0.39
Other Securities(1)......... 4,899,498 3.87
------------ ------
12,113,142 9.55
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)......... 363,800 0.29
------------ ------
PERSONAL PRODUCTS
Other Securities(1)......... 222,231 0.18
------------ ------
PHARMACEUTICALS
Abbott Laboratories......... 11,691 656,450 0.52
Johnson & Johnson........... 21,737 1,449,858 1.14
Merck & Co., Inc. .......... 17,032 989,730 0.78
Pfizer, Inc. ............... 56,571 1,285,859 1.02
Wyeth....................... 10,371 458,294 0.36
Other Securities(1)......... 1,624,327 1.28
------------ ------
6,464,518 5.10
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)......... 2,301,286 1.82
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 124,275 0.10
------------ ------
ROAD & RAIL
Other Securities(1)......... 1,092,054 0.86
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ................ 47,220 1,258,885 0.99
Other Securities(1)......... 2,311,097 1.83
------------ ------
3,569,982 2.82
------------ ------
SOFTWARE
Microsoft Corp. ............ 69,084 2,459,390 1.94
Oracle Corp. (a)............ 34,095 769,865 0.61
Other Securities(1)......... 1,905,736 1.50
------------ ------
5,134,991 4.05
------------ ------
SPECIALTY RETAIL
The Home Depot, Inc. ....... 16,585 446,800 0.35
Other Securities(1)......... 1,801,093 1.42
------------ ------
2,247,893 1.77
------------ ------
</Table>
See accompanying notes to financial statements
80
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... $ 520,285 0.41%
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)......... 1,024,251 0.81
------------ ------
TOBACCO
Altria Group, Inc. ......... 16,416 1,240,721 0.98
Other Securities(1)......... 232,021 0.18
------------ ------
1,472,742 1.16
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 197,412 0.16
------------ ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)......... 9,443 0.01
------------ ------
WATER UTILITIES
Other Securities(1)......... 81,172 0.06
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)......... 800,376 0.63
------------ ------
TOTAL COMMON STOCKS --
(Cost $104,381,707)....... 125,955,029 99.34
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $1,215,555)......... 1,215,555 1,215,555 0.96
------------ ------
TOTAL INVESTMENTS
(Cost $105,597,262)....... 127,170,584 100.30
OTHER ASSETS AND
LIABILITIES............... (380,881) (0.30)
------------ ------
NET ASSETS.................. $126,789,703 100.00
============ ======
</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, 2007.
(a) Non-income producing security.
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements
81
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. ................... 496 $ 43,380 0.43%
United Technologies Corp. .... 663 50,746 0.50
Other Securities(1)........... 158,699 1.56
----------- ------
252,825 2.49
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)........... 66,826 0.66
----------- ------
AIRLINES
Other Securities(1)........... 16,422 0.16
----------- ------
AUTO COMPONENTS
Other Securities(1)........... 25,608 0.25
----------- ------
AUTOMOBILES
Other Securities(1)........... 26,338 0.26
----------- ------
BEVERAGES
PepsiCo, Inc. ................ 1,154 87,589 0.87
The Coca-Cola Co. ............ 1,520 93,282 0.92
Other Securities(1)........... 50,034 0.49
----------- ------
230,905 2.28
----------- ------
BIOTECHNOLOGY
Other Securities(1)........... 142,066 1.40
----------- ------
BUILDING PRODUCTS
Other Securities(1)........... 13,520 0.13
----------- ------
CAPITAL MARKETS
State Street Corp. (a)........ 275 22,330 0.22
The Bank of New York Mellon
Corp. ...................... 827 40,325 0.40
The Goldman Sachs Group,
Inc. ....................... 258 55,483 0.55
Other Securities(1)........... 208,142 2.05
----------- ------
326,280 3.22
----------- ------
CHEMICALS
Monsanto Co. ................. 389 43,447 0.43
Other Securities(1)........... 141,987 1.40
----------- ------
185,434 1.83
----------- ------
COMMERCIAL BANKS
U.S. Bancorp.................. 1,240 39,358 0.39
Wachovia Corp. ............... 1,418 53,927 0.53
Wells Fargo & Co. ............ 2,280 68,833 0.68
Other Securities(1)........... 126,226 1.24
----------- ------
288,344 2.84
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)........... 59,486 0.59
----------- ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b)....... 4,347 117,673 1.16
QUALCOMM, Inc. ............... 1,173 46,158 0.45
Other Securities(1)........... 76,237 0.76
----------- ------
240,068 2.37
----------- ------
COMPUTERS & PERIPHERALS
Apple, Inc. (b)............... 630 124,790 1.23
Hewlett-Packard Co. .......... 1,853 93,539 0.92
International Business
Machines Corp. ............. 975 105,398 1.04
Other Securities(1)........... 110,423 1.09
----------- ------
434,150 4.28
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)........... 29,828 0.29
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)........... 9,568 0.09
----------- ------
CONSUMER FINANCE
American Express Co. ......... 742 38,599 0.38
Other Securities(1)........... 26,073 0.26
----------- ------
64,672 0.64
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)........... 22,464 0.22
----------- ------
DISTRIBUTORS
Other Securities(1)........... 5,417 0.05
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)........... 14,262 0.14
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ........ 3,212 132,527 1.31
Citigroup, Inc. .............. 3,550 104,512 1.03
JPMorgan Chase & Co. ......... 2,416 105,458 1.04
Other Securities(1)........... 69,127 0.68
----------- ------
411,624 4.06
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ................... 4,388 182,365 1.80
Verizon Communications,
Inc. ....................... 2,070 90,438 0.89
Other Securities(1)........... 27,080 0.27
----------- ------
299,883 2.96
----------- ------
ELECTRIC UTILITIES
Exelon Corp. ................. 481 39,269 0.39
Other Securities(1)........... 164,148 1.62
----------- ------
203,417 2.01
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)........... 66,069 0.65
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)........... 45,123 0.45
----------- ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ........... 851 83,713 0.83
Other Securities(1)........... 183,157 1.80
----------- ------
266,870 2.63
----------- ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ........... 1,070 42,532 0.42
Wal-Mart Stores, Inc. ........ 1,818 86,410 0.85
Other Securities(1)........... 95,267 0.94
----------- ------
224,209 2.21
----------- ------
FOOD PRODUCTS
Other Securities(1)........... 149,194 1.47
----------- ------
GAS UTILITIES
Other Securities(1)........... 14,186 0.14
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Medtronic, Inc. .............. 823 41,372 0.41
Other Securities(1)........... 141,943 1.40
----------- ------
183,315 1.81
----------- ------
</Table>
See accompanying notes to financial statements.
82
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. ..... 927 $ 53,951 0.53%
Other Securities(1)........... 183,019 1.81
----------- ------
236,970 2.34
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)........... 5,950 0.06
----------- ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ............. 859 50,604 0.50
Other Securities(1)........... 111,850 1.10
----------- ------
162,454 1.60
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)........... 54,567 0.54
----------- ------
HOUSEHOLD PRODUCTS
Procter & Gamble Co. ......... 2,229 163,653 1.61
Other Securities(1)........... 61,488 0.61
----------- ------
225,141 2.22
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)........... 39,962 0.39
----------- ------
INDUSTRIAL CONGLOMERATES
3M Co. ....................... 478 40,305 0.40
General Electric Co. ......... 7,275 269,684 2.66
Other Securities(1)........... 36,751 0.36
----------- ------
346,740 3.42
----------- ------
INSURANCE
American International Group,
Inc. ....................... 1,609 93,805 0.93
Berkshire Hathaway, Inc.
(Class A) (b)............... 1 141,600 1.40
Other Securities(1)........... 321,883 3.17
----------- ------
557,288 5.50
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)........... 37,668 0.37
----------- ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A) (b).... 162 112,020 1.11
Other Securities(1)........... 59,132 0.58
----------- ------
171,152 1.69
----------- ------
IT SERVICES
Other Securities(1)........... 117,579 1.16
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)........... 12,357 0.12
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)........... 44,379 0.44
----------- ------
MACHINERY
Other Securities(1)........... 200,009 1.97
----------- ------
MEDIA
Comcast Corp. (Class A) (b)... 2,088 38,127 0.38
The Walt Disney Co. .......... 1,278 41,254 0.41
Time Warner, Inc. ............ 2,687 44,362 0.44
Other Securities(1)........... 180,164 1.77
----------- ------
303,907 3.00
----------- ------
METALS & MINING
Other Securities(1)........... 99,367 0.98
----------- ------
MULTI-UTILITIES
Other Securities(1)........... 119,754 1.18
----------- ------
MULTILINE RETAIL
Other Securities(1)........... 66,547 0.66
----------- ------
OFFICE ELECTRONICS
Other Securities(1)........... 10,896 0.11
----------- ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ................ 1,522 142,048 1.40
ConocoPhillips................ 1,064 93,951 0.93
Exxon Mobil Corp. ............ 3,934 368,576 3.63
Occidental Petroleum Corp. ... 602 46,348 0.46
Other Securities(1)........... 360,010 3.55
----------- ------
1,010,933 9.97
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)........... 28,258 0.28
----------- ------
PERSONAL PRODUCTS
Other Securities(1)........... 15,303 0.15
----------- ------
PHARMACEUTICALS
Abbott Laboratories........... 1,108 62,214 0.61
Johnson & Johnson............. 2,058 137,269 1.35
Merck & Co., Inc. ............ 1,554 90,303 0.89
Pfizer, Inc. ................. 4,911 111,627 1.10
Wyeth......................... 964 42,599 0.42
Other Securities(1)........... 141,432 1.40
----------- ------
585,444 5.77
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)........... 141,611 1.40
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)........... 8,256 0.08
----------- ------
ROAD & RAIL
Other Securities(1)........... 72,760 0.72
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. .................. 4,154 110,746 1.09
Other Securities(1)........... 152,839 1.51
----------- ------
263,585 2.60
----------- ------
SOFTWARE
Microsoft Corp. .............. 6,001 213,636 2.11
Oracle Corp. (b).............. 2,827 63,834 0.63
Other Securities(1)........... 107,973 1.06
----------- ------
385,443 3.80
----------- ------
SPECIALTY RETAIL
Other Securities(1)........... 163,363 1.61
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)........... 34,682 0.34
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)........... 71,178 0.70
----------- ------
TOBACCO
Altria Group, Inc. ........... 1,499 113,294 1.12
Other Securities(1)........... 20,451 0.20
----------- ------
133,745 1.32
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)........... 7,738 0.08
----------- ------
</Table>
See accompanying notes to financial statements.
83
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)........... $ 63,210 0.62%
----------- ------
TOTAL COMMON STOCKS --
(Cost $10,036,027).......... 10,116,569 99.77
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $71,763).............. 71,763 71,763 0.71
----------- ------
TOTAL INVESTMENTS
(Cost $10,107,790).......... 10,188,332 100.48
OTHER ASSETS AND LIABILITIES.. (48,371) (0.48)
----------- ------
NET ASSETS.................... $10,139,961 100.00
=========== ======
</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, 2007.
(a) Affiliated issuer. (Note 3)
(b) Non-income producing security.
See accompanying notes to financial statements.
84
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
United Technologies Corp. .. 40,138 $ 3,072,163 0.95%
Other Securities(1)......... 6,226,144 1.93
------------ ------
9,298,307 2.88
------------ ------
AIR FREIGHT & LOGISTICS
United Parcel Service, Inc.
(Class B)................. 29,883 2,113,326 0.65
Other Securities(1)......... 1,930,365 0.60
------------ ------
4,043,691 1.25
------------ ------
AIRLINES
Other Securities(1)......... 1,049,321 0.33
------------ ------
AUTO COMPONENTS
Other Securities(1)......... 499,987 0.15
------------ ------
AUTOMOBILES
Other Securities(1)......... 495,453 0.15
------------ ------
BEVERAGES
Anheuser-Busch Cos., Inc. .. 32,165 1,683,516 0.52
PepsiCo, Inc. .............. 70,682 5,364,764 1.66
Other Securities(1)......... 825,261 0.26
------------ ------
7,873,541 2.44
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (a)............. 47,463 2,204,182 0.68
Gilead Sciences, Inc. (a)... 40,740 1,874,448 0.58
Other Securities(1)......... 4,509,190 1.40
------------ ------
8,587,820 2.66
------------ ------
BUILDING PRODUCTS
Other Securities(1)......... 359,106 0.11
------------ ------
CAPITAL MARKETS
State Street Corp. (b)...... 16,981 1,378,857 0.43
Other Securities(1)......... 4,714,359 1.46
------------ ------
6,093,216 1.89
------------ ------
CHEMICALS
Monsanto Co. ............... 23,753 2,652,973 0.82
Other Securities(1)......... 2,869,532 0.89
------------ ------
5,522,505 1.71
------------ ------
COMMERCIAL BANKS
Other Securities(1)......... 324,457 0.10
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)......... 2,425,906 0.75
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (a)..... 266,128 7,204,085 2.23
Corning, Inc. .............. 68,619 1,646,170 0.51
Motorola, Inc. ............. 101,519 1,628,365 0.50
QUALCOMM, Inc. ............. 71,688 2,820,923 0.87
Other Securities(1)......... 1,265,130 0.40
------------ ------
14,564,673 4.51
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (a)............. 38,303 7,587,058 2.35
Dell, Inc. (a).............. 86,343 2,116,267 0.66
EMC Corp. (a)............... 92,057 1,705,816 0.53
Hewlett-Packard Co. ........ 112,881 5,698,233 1.76
Other Securities(1)......... 1,242,501 0.38
------------ ------
18,349,875 5.68
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)......... 1,818,335 0.56
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)......... 241,067 0.07
------------ ------
CONSUMER FINANCE
American Express Co. ....... 45,385 2,360,927 0.73
Other Securities(1)......... 401,402 0.13
------------ ------
2,762,329 0.86
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)......... 686,363 0.21
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)......... 918,827 0.28
------------ ------
DIVERSIFIED FINANCIAL SERVICES
CME Group, Inc. ............ 2,330 1,598,380 0.49
Other Securities(1)......... 2,334,907 0.73
------------ ------
3,933,287 1.22
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)......... 466,079 0.14
------------ ------
ELECTRIC UTILITIES
Other Securities(1)......... 453,603 0.14
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)......... 1,058,380 0.33
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)......... 2,267,584 0.70
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ......... 52,162 5,131,176 1.59
Transocean, Inc. ........... 13,565 1,941,830 0.60
Other Securities(1)......... 9,146,156 2.83
------------ ------
16,219,162 5.02
------------ ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ......... 64,721 2,572,660 0.80
Wal-Mart Stores, Inc. ...... 110,024 5,229,441 1.62
Walgreen Co. ............... 43,480 1,655,718 0.51
Other Securities(1)......... 2,410,569 0.75
------------ ------
11,868,388 3.68
------------ ------
FOOD PRODUCTS
Other Securities(1)......... 2,808,738 0.87
------------ ------
GAS UTILITIES
Other Securities(1)......... 865,286 0.27
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Baxter International,
Inc. ..................... 27,837 1,615,938 0.50
Medtronic, Inc. ............ 49,753 2,501,083 0.77
Other Securities(1)......... 6,945,801 2.16
------------ ------
11,062,822 3.43
------------ ------
</Table>
See accompanying notes to financial statements.
85
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HEALTH CARE PROVIDERS & SERVICES
UnitedHealth Group, Inc. ... 56,648 $ 3,296,914 1.02%
WellPoint, Inc. (a)......... 25,014 2,194,478 0.68
Other Securities(1)......... 8,013,717 2.48
------------ ------
13,505,109 4.18
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1)......... 343,664 0.11
------------ ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)......... 5,764,985 1.79
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)......... 1,213,765 0.38
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. ...... 22,591 1,761,195 0.55
Procter & Gamble Co. ....... 136,441 10,017,498 3.10
Other Securities(1)......... 668,052 0.21
------------ ------
12,446,745 3.86
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)......... 2,469,339 0.77
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. ..................... 28,813 2,429,512 0.75
Other Securities(1)......... 579,970 0.18
------------ ------
3,009,482 0.93
------------ ------
INSURANCE
Berkshire Hathaway, Inc.
(Class A) (a)............. 45 6,372,000 1.97
Prudential Financial,
Inc. ..................... 19,925 1,853,822 0.57
Other Securities(1)......... 2,889,831 0.90
------------ ------
11,115,653 3.44
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1)......... 2,261,452 0.70
------------ ------
INTERNET SOFTWARE & SERVICES
eBay, Inc. (a).............. 51,370 1,704,970 0.53
Google, Inc. (Class A) (a).. 9,931 6,867,088 2.13
Other Securities(1)......... 1,900,741 0.58
------------ ------
10,472,799 3.24
------------ ------
IT SERVICES
Other Securities(1)......... 6,433,929 1.99
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)......... 2,640,027 0.82
------------ ------
MACHINERY
Caterpillar, Inc. .......... 28,287 2,052,505 0.64
Other Securities(1)......... 5,593,729 1.73
------------ ------
7,646,234 2.37
------------ ------
MEDIA
Comcast Corp. (Class A)
(a)....................... 127,843 2,334,413 0.72
News Corp. (Class A)........ 101,389 2,077,461 0.64
The Walt Disney Co. ........ 78,137 2,522,262 0.78
Time Warner, Inc. .......... 163,638 2,701,663 0.84
Other Securities(1)......... 7,425,694 2.31
------------ ------
17,061,493 5.29
------------ ------
METALS & MINING
Freeport-McMoRan Copper &
Gold, Inc. ............... 16,679 1,708,597 0.53
Other Securities(1)......... 2,068,175 0.64
------------ ------
3,776,772 1.17
------------ ------
MULTI-UTILITIES
Other Securities(1)......... 1,078,380 0.33
------------ ------
MULTILINE RETAIL
Target Corp. ............... 32,974 1,648,700 0.51
Other Securities(1)......... 2,001,474 0.62
------------ ------
3,650,174 1.13
------------ ------
OFFICE ELECTRONICS
Other Securities(1)......... 656,084 0.20
------------ ------
OIL, GAS & CONSUMABLE FUELS
Apache Corp. ............... 14,322 1,540,188 0.48
Devon Energy Corp. ......... 18,284 1,625,630 0.50
Valero Energy Corp. ........ 23,943 1,676,728 0.52
Other Securities(1)......... 11,226,367 3.48
------------ ------
16,068,913 4.98
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)......... 152,985 0.05
------------ ------
PERSONAL PRODUCTS
Other Securities(1)......... 936,386 0.29
------------ ------
PHARMACEUTICALS
Schering-Plough Corp. ...... 71,051 1,892,799 0.59
Other Securities(1)......... 2,146,736 0.66
------------ ------
4,039,535 1.25
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)......... 2,165,715 0.67
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 358,317 0.11
------------ ------
ROAD & RAIL
Other Securities(1)......... 1,060,470 0.33
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. ................ 254,652 6,789,022 2.10
Texas Instruments, Inc. .... 61,324 2,048,222 0.63
Other Securities(1)......... 7,226,833 2.25
------------ ------
16,064,077 4.98
------------ ------
SOFTWARE
Microsoft Corp. ............ 364,546 12,977,838 4.02
Oracle Corp. (a)............ 171,917 3,881,886 1.20
Other Securities(1)......... 6,497,701 2.02
------------ ------
23,357,425 7.24
------------ ------
SPECIALTY RETAIL
The Home Depot, Inc. ....... 73,371 1,976,615 0.61
Other Securities(1)......... 7,279,936 2.26
------------ ------
9,256,551 2.87
------------ ------
</Table>
See accompanying notes to financial statements.
86
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... $ 1,871,413 0.58%
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)......... 545,528 0.17
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 243,894 0.08
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Sprint Nextel Corp. ........ 124,713 1,637,482 0.51
Other Securities(1)......... 2,258,919 0.70
------------ ------
3,896,401 1.21
------------ ------
TOTAL COMMON STOCKS --
(Cost $294,037,161)....... 322,481,804 99.90
------------ ------
SHORT TERM INVESTMENTS MONEY
MARKET FUND
STIC Prime Portfolio
(Cost $823,116)........... 823,116 823,116 0.26
------------ ------
TOTAL INVESTMENTS
(Cost $294,860,277)....... 323,304,920 100.16
OTHER ASSETS AND
LIABILITIES............... (510,338) (0.16)
------------ ------
NET ASSETS.................. $322,794,582 100.00
============ ======
</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, 2007.
(a) Non-income producing security.
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
87
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. ................. 13,261 $ 1,159,807 0.91%
Honeywell International,
Inc. ..................... 13,070 804,720 0.63
Other Securities(1)......... 645,811 0.50
------------ ------
2,610,338 2.04
------------ ------
AUTO COMPONENTS
Other Securities(1)......... 454,194 0.35
------------ ------
AUTOMOBILES
Other Securities(1)......... 496,826 0.39
------------ ------
BEVERAGES
The Coca-Cola Co. .......... 40,608 2,492,113 1.95
Other Securities(1)......... 283,740 0.22
------------ ------
2,775,853 2.17
------------ ------
BUILDING PRODUCTS
Other Securities(1)......... 207,963 0.16
------------ ------
CAPITAL MARKETS
Lehman Brothers Holdings,
Inc. ..................... 10,136 663,300 0.52
Merrill Lynch & Co., Inc. .. 15,410 827,209 0.65
Morgan Stanley.............. 18,398 977,118 0.76
The Bank of New York Mellon
Corp. .................... 21,725 1,059,311 0.83
The Goldman Sachs Group,
Inc. ..................... 6,917 1,487,501 1.16
Other Securities(1)......... 1,004,918 0.78
------------ ------
6,019,357 4.70
------------ ------
CHEMICALS
E. I. du Pont de Nemours &
Co. ...................... 17,117 754,688 0.59
The Dow Chemical Co. ....... 17,969 708,338 0.55
Other Securities(1)......... 1,050,313 0.82
------------ ------
2,513,339 1.96
------------ ------
COMMERCIAL BANKS
U.S. Bancorp................ 32,934 1,045,325 0.82
Wachovia Corp. ............. 37,836 1,438,903 1.12
Wells Fargo & Co. .......... 60,978 1,840,926 1.44
Other Securities(1)......... 3,195,972 2.50
------------ ------
7,521,126 5.88
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)......... 517,146 0.40
------------ ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)......... 49,109 0.04
------------ ------
COMPUTERS & PERIPHERALS
International Business
Machines Corp. ........... 26,096 2,820,978 2.20
Other Securities(1)......... 725,485 0.57
------------ ------
3,546,463 2.77
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)......... 147,107 0.11
------------ ------
CONSUMER FINANCE
Other Securities(1)......... 509,810 0.40
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)......... 291,533 0.23
------------ ------
DISTRIBUTORS
Other Securities(1)......... 147,465 0.12
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ...... 85,824 3,541,098 2.77
Citigroup, Inc. ............ 94,895 2,793,709 2.18
JPMorgan Chase & Co. ....... 64,595 2,819,572 2.20
Other Securities(1)......... 108,543 0.09
------------ ------
9,262,922 7.24
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ................. 116,592 4,845,563 3.79
Verizon Communications,
Inc. ..................... 55,445 2,422,392 1.89
Other Securities(1)......... 512,579 0.40
------------ ------
7,780,534 6.08
------------ ------
ELECTRIC UTILITIES
Exelon Corp. ............... 12,606 1,029,154 0.80
The Southern Co. ........... 14,444 559,705 0.44
Other Securities(1)......... 3,605,886 2.82
------------ ------
5,194,745 4.06
------------ ------
ELECTRICAL EQUIPMENT
Emerson Electric Co. ....... 15,133 857,436 0.67
Other Securities(1)......... 432,884 0.34
------------ ------
1,290,320 1.01
------------ ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)......... 220,506 0.17
------------ ------
FOOD & STAPLES RETAILING
Other Securities(1)......... 761,769 0.60
------------ ------
FOOD PRODUCTS
Kraft Foods, Inc. .......... 29,497 962,487 0.75
Other Securities(1)......... 1,785,730 1.40
------------ ------
2,748,217 2.15
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)......... 60,913 0.05
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)......... 462,509 0.36
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ........... 23,005 1,355,225 1.06
Other Securities(1)......... 467,381 0.36
------------ ------
1,822,606 1.42
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)......... 942,826 0.74
------------ ------
HOUSEHOLD PRODUCTS
Kimberly-Clark Corp. ....... 8,138 564,289 0.44
------------ ------
INDUSTRIAL CONGLOMERATES
General Electric Co. ....... 193,154 7,160,219 5.59
Other Securities(1)......... 712,643 0.56
------------ ------
7,872,862 6.15
------------ ------
</Table>
See accompanying notes to financial statements.
88
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INSURANCE
American International
Group, Inc. .............. 42,484 $ 2,476,817 1.94%
Hartford Financial Services
Group, Inc. .............. 6,009 523,925 0.41
MetLife, Inc. .............. 8,585 529,008 0.41
The Allstate Corp. ......... 10,902 569,411 0.45
The Travelers Cos., Inc. ... 12,321 662,870 0.52
Other Securities(1)......... 4,236,503 3.30
------------ ------
8,998,534 7.03
------------ ------
IT SERVICES
Other Securities(1)......... 411,927 0.32
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 316,987 0.25
------------ ------
MACHINERY
Deere & Co. ................ 8,390 781,277 0.61
Other Securities(1)......... 1,204,382 0.94
------------ ------
1,985,659 1.55
------------ ------
MEDIA
Other Securities(1)......... 654,795 0.51
------------ ------
METALS & MINING
Alcoa, Inc. ................ 16,113 588,930 0.46
Other Securities(1)......... 427,562 0.33
------------ ------
1,016,492 0.79
------------ ------
MULTI-UTILITIES
Dominion Resources, Inc. ... 10,958 519,957 0.41
Other Securities(1)......... 2,195,656 1.71
------------ ------
2,715,613 2.12
------------ ------
MULTILINE RETAIL
Other Securities(1)......... 150,728 0.12
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. .............. 40,768 3,804,877 2.97
ConocoPhillips.............. 28,275 2,496,682 1.95
Exxon Mobil Corp. .......... 104,441 9,785,077 7.65
Hess Corp. ................. 5,499 554,629 0.43
Marathon Oil Corp. ......... 13,531 823,497 0.64
Occidental Petroleum
Corp. .................... 15,927 1,226,220 0.96
Other Securities(1)......... 1,152,912 0.91
------------ ------
19,843,894 15.51
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)......... 679,061 0.53
------------ ------
PHARMACEUTICALS
Abbott Laboratories......... 29,343 1,647,609 1.29
Bristol-Myers Squibb Co. ... 37,547 995,746 0.78
Eli Lilly & Co. ............ 18,399 982,323 0.77
Johnson & Johnson........... 54,745 3,651,492 2.85
Merck & Co., Inc. .......... 41,494 2,411,216 1.88
Pfizer, Inc. ............... 130,639 2,969,425 2.32
Wyeth....................... 25,427 1,123,619 0.88
Other Securities(1)......... 45,169 0.04
------------ ------
13,826,599 10.81
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)......... 2,873,384 2.25
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 87,387 0.07
------------ ------
ROAD & RAIL
Union Pacific Corp. ........ 4,988 626,593 0.49
Other Securities(1)......... 840,718 0.66
------------ ------
1,467,311 1.15
------------ ------
SOFTWARE
Other Securities(1)......... 88,282 0.07
------------ ------
SPECIALTY RETAIL
Other Securities(1)......... 278,484 0.22
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... 112,877 0.09
------------ ------
THRIFTS & MORTGAGE FINANCE
Fannie Mae.................. 18,758 749,945 0.59
Other Securities(1)......... 946,839 0.74
------------ ------
1,696,784 1.33
------------ ------
TOBACCO
Altria Group, Inc. ......... 40,043 3,026,450 2.36
Other Securities(1)......... 556,538 0.44
------------ ------
3,582,988 2.80
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 107,912 0.08
------------ ------
TOTAL COMMON STOCKS --
(Cost $122,474,805)....... 127,688,345 99.79
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $1,174,577)......... 1,174,577 1,174,577 0.92
------------ ------
TOTAL INVESTMENTS (Cost
$123,649,382)............. 128,862,922 100.71
OTHER ASSETS AND
LIABILITIES............... (912,222) (0.71)
------------ ------
NET ASSETS.................. $127,950,700 100.00
============ ======
</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, 2007.
See accompanying notes to financial statements.
89
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)......... $ 175,071 0.78%
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)......... 24,539 0.11
----------- ------
AIRLINES
Other Securities(1)......... 262,675 1.17
----------- ------
AUTO COMPONENTS
BorgWarner, Inc. ........... 1,679 81,280 0.36
The Goodyear Tire & Rubber
Co. (a)................... 3,047 85,986 0.38
Other Securities(1)......... 94,618 0.43
----------- ------
261,884 1.17
----------- ------
AUTOMOBILES
Other Securities(1)......... 21,514 0.10
----------- ------
BEVERAGES
Other Securities(1)......... 143,843 0.64
----------- ------
BIOTECHNOLOGY
Other Securities(1)......... 258,293 1.15
----------- ------
BUILDING PRODUCTS
Other Securities(1)......... 100,454 0.45
----------- ------
CAPITAL MARKETS
Eaton Vance Corp. .......... 1,788 81,193 0.36
Janus Capital Group, Inc. .. 2,466 81,008 0.36
Other Securities(1)......... 392,786 1.75
----------- ------
554,987 2.47
----------- ------
CHEMICALS
Celanese Corp. ............. 2,189 92,639 0.41
CF Industries Holdings,
Inc. ..................... 718 79,023 0.35
Other Securities(1)......... 666,423 2.97
----------- ------
838,085 3.73
----------- ------
COMMERCIAL BANKS
Other Securities(1)......... 482,215 2.15
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)......... 674,633 3.01
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)......... 293,145 1.31
----------- ------
COMPUTERS & PERIPHERALS
Western Digital Corp. (a)... 3,195 96,521 0.43
Other Securities(1)......... 117,533 0.52
----------- ------
214,054 0.95
----------- ------
CONSTRUCTION & ENGINEERING
KBR, Inc. (a)............... 2,426 94,129 0.42
Other Securities(1)......... 241,067 1.07
----------- ------
335,196 1.49
----------- ------
CONSTRUCTION MATERIALS
Martin Marietta Materials,
Inc. ..................... 605 80,223 0.36
Other Securities(1)......... 80 0.00(b)
----------- ------
80,303 0.36
----------- ------
CONSUMER FINANCE
Other Securities(1)......... 20,594 0.09
----------- ------
CONTAINERS & PACKAGING
Owens-Illinois, Inc. (a).... 2,116 104,742 0.47
Other Securities(1)......... 460,039 2.05
----------- ------
564,781 2.52
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)......... 284,036 1.27
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)......... 83,851 0.37
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)......... 168,972 0.75
----------- ------
ELECTRIC UTILITIES
Pepco Holdings, Inc. ....... 2,898 84,998 0.38
Other Securities(1)......... 269,272 1.20
----------- ------
354,270 1.58
----------- ------
ELECTRICAL EQUIPMENT
Roper Industries, Inc. ..... 1,277 79,864 0.35
Other Securities(1)......... 305,046 1.36
----------- ------
384,910 1.71
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)......... 544,989 2.43
----------- ------
ENERGY EQUIPMENT & SERVICES
Exterran Holdings, Inc.
(a)....................... 954 78,037 0.35
FMC Technologies, Inc. (a).. 1,880 106,596 0.48
Pride International, Inc.
(a)....................... 2,397 81,258 0.36
Other Securities(1)......... 488,519 2.17
----------- ------
754,410 3.36
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)......... 22,418 0.10
----------- ------
FOOD PRODUCTS
Other Securities(1)......... 315,140 1.40
----------- ------
GAS UTILITIES
Other Securities(1)......... 332,793 1.48
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Dentsply International,
Inc. ..................... 2,058 92,651 0.41
Hologic, Inc. (a)........... 1,815 124,582 0.56
Varian Medical Systems,
Inc. (a).................. 1,823 95,088 0.42
Other Securities(1)......... 483,754 2.16
----------- ------
796,075 3.55
----------- ------
HEALTH CARE PROVIDERS & SERVICES
DaVita, Inc. (a)............ 1,544 87,004 0.39
Henry Schein, Inc. (a)...... 1,277 78,408 0.35
Other Securities(1)......... 406,987 1.81
----------- ------
572,399 2.55
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)......... 152,166 0.68
----------- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)......... 463,862 2.07
----------- ------
</Table>
See accompanying notes to financial statements.
90
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD DURABLES
Other Securities(1)......... $ 432,346 1.93%
----------- ------
HOUSEHOLD PRODUCTS
Energizer Holdings,
Inc. (a).................. 824 92,395 0.41
Other Securities(1)......... 51,313 0.23
----------- ------
143,708 0.64
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)......... 68,702 0.31
----------- ------
INSURANCE
Axis Capital Holdings,
Ltd. ..................... 2,025 78,914 0.35
Other Securities(1)......... 1,047,175 4.67
----------- ------
1,126,089 5.02
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)......... 56,856 0.25
----------- ------
INTERNET SOFTWARE & SERVICES
Akamai Technologies,
Inc. (a).................. 2,405 83,213 0.37
Other Securities(1)......... 50,691 0.23
----------- ------
133,904 0.60
----------- ------
IT SERVICES
Iron Mountain, Inc. (a)..... 2,636 97,585 0.43
Total System Services,
Inc. ..................... 2,848 79,744 0.36
Other Securities(1)......... 376,618 1.68
----------- ------
553,947 2.47
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 71,671 0.32
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Applera Corp. -- Applied
Biosystems Group.......... 2,433 82,527 0.37
Covance, Inc. (a)........... 922 79,864 0.35
Other Securities(1)......... 448,117 2.00
----------- ------
610,508 2.72
----------- ------
MACHINERY
AGCO Corp. (a).............. 1,324 90,006 0.40
Flowserve Corp. ............ 825 79,365 0.35
Joy Global, Inc. ........... 1,564 102,942 0.46
SPX Corp. .................. 758 77,960 0.35
The Manitowoc Co., Inc. .... 1,903 92,924 0.41
Other Securities(1)......... 610,216 2.72
----------- ------
1,053,413 4.69
----------- ------
MEDIA
Other Securities(1)......... 488,643 2.18
----------- ------
METALS & MINING
Steel Dynamics, Inc. ....... 1,391 82,862 0.37
Other Securities(1)......... 322,808 1.44
----------- ------
405,670 1.81
----------- ------
MULTI-UTILITIES
Wisconsin Energy Corp. ..... 1,693 82,466 0.37
Other Securities(1)......... 714,094 3.18
----------- ------
796,560 3.55
----------- ------
MULTILINE RETAIL
Other Securities(1)......... 133,280 0.59
----------- ------
OFFICE ELECTRONICS
Other Securities(1)......... 34,006 0.15
----------- ------
OIL, GAS & CONSUMABLE FUELS
Arch Coal, Inc. ............ 2,072 93,095 0.41
Denbury Resources,
Inc. (a).................. 3,497 104,036 0.46
Pioneer Natural Resources
Co. ...................... 1,729 84,444 0.38
Plains Exploration &
Production Co. (a)........ 1,620 87,480 0.39
Range Resources Corp. ...... 2,150 110,424 0.49
Other Securities(1)......... 751,928 3.36
----------- ------
1,231,407 5.49
----------- ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. ......... 2,653 83,039 0.37
Other Securities(1)......... 51,538 0.23
----------- ------
134,577 0.60
----------- ------
PERSONAL PRODUCTS
Other Securities(1)......... 54,543 0.24
----------- ------
PHARMACEUTICALS
Other Securities(1)......... 257,016 1.15
----------- ------
REAL ESTATE INVESTMENT TRUSTS
AMB Property Corp. ......... 1,431 82,368 0.37
Annaly Capital Management,
Inc. ..................... 5,842 106,208 0.47
Ventas, Inc. ............... 1,930 87,333 0.39
Other Securities(1)......... 918,071 4.09
----------- ------
1,193,980 5.32
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 76,173 0.34
----------- ------
ROAD & RAIL
Other Securities(1)......... 143,848 0.64
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Cypress Semiconductor
Corp. (a)................. 2,209 79,590 0.35
Other Securities(1)......... 344,380 1.54
----------- ------
423,970 1.89
----------- ------
SOFTWARE
Activision, Inc. (a)........ 4,218 125,275 0.56
BEA Systems, Inc. (a)....... 5,764 90,956 0.41
McAfee, Inc. (a)............ 2,304 86,400 0.38
NAVTEQ Corp. (a)............ 1,414 106,898 0.48
Salesforce.com, Inc. (a).... 1,429 89,584 0.40
Other Securities(1)......... 443,823 1.97
----------- ------
942,936 4.20
----------- ------
SPECIALTY RETAIL
Other Securities(1)......... 684,653 3.05
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... 157,747 0.70
----------- ------
THRIFTS & MORTGAGE FINANCE
New York Community
Bancorp, Inc. ............ 4,682 82,310 0.37
Other Securities(1)......... 168,893 0.75
----------- ------
251,203 1.12
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 70,686 0.31
----------- ------
</Table>
See accompanying notes to financial statements.
91
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WATER UTILITIES
Other Securities(1)......... $ 40,344 0.18%
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)......... 98,396 0.44
----------- ------
TOTAL COMMON STOCKS --
(Cost $21,098,741)........ 22,407,339 99.85
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $1,210,492)......... 1,210,492 1,210,492 5.40
----------- ------
TOTAL INVESTMENTS
(Cost $22,309,233)........ 23,617,831 105.25
OTHER ASSETS AND
LIABILITIES............... (1,177,440) (5.25)
----------- ------
NET ASSETS.................. $22,440,391 100.00
=========== ======
</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, 2007.
(a) Non-income producing security.
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
92
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
BE Aerospace, Inc. (a)....... 4,633 $ 245,086 0.53%
Other Securities(1).......... 364,154 0.79
----------- ------
609,240 1.32
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1).......... 87,534 0.19
----------- ------
AIRLINES
Other Securities(1).......... 910,838 1.97
----------- ------
AUTO COMPONENTS
BorgWarner, Inc. ............ 5,842 282,811 0.61
The Goodyear Tire & Rubber
Co. (a).................... 10,601 299,160 0.65
Other Securities(1).......... 127,891 0.28
----------- ------
709,862 1.54
----------- ------
AUTOMOBILES
Other Securities(1).......... 74,044 0.16
----------- ------
BEVERAGES
Other Securities(1).......... 391,329 0.85
----------- ------
BIOTECHNOLOGY
Cephalon, Inc. (a)........... 3,365 241,472 0.52
Millennium Pharmaceuticals,
Inc. (a)................... 16,110 241,328 0.52
Other Securities(1).......... 412,479 0.90
----------- ------
895,279 1.94
----------- ------
CAPITAL MARKETS
Eaton Vance Corp. ........... 6,222 282,541 0.61
Other Securities(1).......... 569,052 1.23
----------- ------
851,593 1.84
----------- ------
CHEMICALS
Celanese Corp. .............. 7,614 322,225 0.70
Other Securities(1).......... 349,306 0.75
----------- ------
671,531 1.45
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Dun & Bradstreet Corp. ...... 2,918 258,622 0.56
Stericycle, Inc. (a)......... 4,442 263,855 0.57
Other Securities(1).......... 1,698,748 3.67
----------- ------
2,221,225 4.80
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1).......... 890,653 1.93
----------- ------
COMPUTERS & PERIPHERALS
Western Digital Corp. (a).... 11,113 335,724 0.73
Other Securities(1).......... 403,727 0.87
----------- ------
739,451 1.60
----------- ------
CONSTRUCTION & ENGINEERING
KBR, Inc. (a)................ 8,441 327,511 0.71
Other Securities(1).......... 330,897 0.71
----------- ------
658,408 1.42
----------- ------
CONSTRUCTION MATERIALS
Martin Marietta Materials,
Inc. ...................... 2,104 278,990 0.60
----------- ------
CONSUMER FINANCE
Other Securities(1).......... 47,246 0.10
----------- ------
CONTAINERS & PACKAGING
Other Securities(1).......... 897,021 1.94
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1).......... 782,287 1.69
----------- ------
DIVERSIFIED FINANCIAL SERVICES
The Nasdaq Stock Market,
Inc. (a)................... 5,370 265,761 0.57
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1).......... 146,818 0.32
----------- ------
ELECTRICAL EQUIPMENT
AMETEK, Inc. ................ 5,336 249,938 0.54
Roper Industries, Inc. ...... 4,445 277,991 0.60
Other Securities(1).......... 525,649 1.14
----------- ------
1,053,578 2.28
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Arrow Electronics, Inc. (a).. 6,233 244,832 0.53
Other Securities(1).......... 1,092,399 2.36
----------- ------
1,337,231 2.89
----------- ------
ENERGY EQUIPMENT & SERVICES
FMC Technologies, Inc. (a)... 6,540 370,818 0.80
Pride International, Inc.
(a)........................ 8,341 282,760 0.61
Other Securities(1).......... 1,536,295 3.33
----------- ------
2,189,873 4.74
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1).......... 77,752 0.17
----------- ------
FOOD PRODUCTS
Other Securities(1).......... 198,761 0.43
----------- ------
GAS UTILITIES
Other Securities(1).......... 218,612 0.47
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Dentsply International,
Inc. ...................... 7,161 322,388 0.70
Hologic, Inc. (a)............ 6,265 430,029 0.93
Respironics, Inc. (a)........ 3,672 240,442 0.52
Varian Medical Systems, Inc.
(a)........................ 6,343 330,851 0.71
Other Securities(1).......... 1,180,274 2.55
----------- ------
2,503,984 5.41
----------- ------
HEALTH CARE PROVIDERS & SERVICES
DaVita, Inc. (a)............. 5,372 302,712 0.65
Henry Schein, Inc. (a)....... 4,443 272,800 0.59
Other Securities(1).......... 1,416,400 3.07
----------- ------
1,991,912 4.31
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1).......... 532,275 1.15
----------- ------
HOTELS, RESTAURANTS & LEISURE
Chipotle Mexican Grill, Inc.
(a)........................ 1,635 240,459 0.52
Other Securities(1).......... 1,294,829 2.80
----------- ------
1,535,288 3.32
----------- ------
HOUSEHOLD DURABLES
Other Securities(1).......... 647,481 1.40
----------- ------
HOUSEHOLD PRODUCTS
Energizer Holdings, Inc.
(a)........................ 2,868 321,589 0.69
Other Securities(1).......... 178,755 0.39
----------- ------
500,344 1.08
----------- ------
</Table>
See accompanying notes to financial statements.
93
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INSURANCE
Axis Capital Holdings,
Ltd. ...................... 7,047 $ 274,622 0.59%
WR Berkley Corp. ............ 8,053 240,060 0.52
Other Securities(1).......... 575,337 1.25
----------- ------
1,090,019 2.36
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1).......... 198,019 0.43
----------- ------
INTERNET SOFTWARE & SERVICES
Akamai Technologies, Inc.
(a)........................ 8,366 289,464 0.62
Other Securities(1).......... 173,696 0.38
----------- ------
463,160 1.00
----------- ------
IT SERVICES
Iron Mountain, Inc. (a)...... 9,170 339,473 0.73
Total System Services,
Inc. ...................... 9,832 275,296 0.59
Other Securities(1).......... 1,113,305 2.42
----------- ------
1,728,074 3.74
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Applera Corp. -- Applied
Biosystems Group........... 8,467 287,201 0.62
Covance, Inc. (a)............ 3,210 278,050 0.60
Other Securities(1).......... 1,401,086 3.03
----------- ------
1,966,337 4.25
----------- ------
MACHINERY
Flowserve Corp. ............. 2,872 276,286 0.60
Harsco Corp. ................ 4,231 271,080 0.59
Joy Global, Inc. ............ 5,441 358,127 0.77
The Manitowoc Co., Inc. ..... 6,537 319,202 0.69
Other Securities(1).......... 636,896 1.38
----------- ------
1,861,591 4.03
----------- ------
MEDIA
Other Securities(1).......... 969,539 2.10
----------- ------
METALS & MINING
AK Steel Holding Corp. (a)... 5,612 259,499 0.56
Other Securities(1).......... 116,406 0.25
----------- ------
375,905 0.81
----------- ------
MULTILINE RETAIL
Other Securities(1).......... 251,983 0.55
----------- ------
OFFICE ELECTRONICS
Other Securities(1).......... 117,633 0.25
----------- ------
OIL, GAS & CONSUMABLE FUELS
Arch Coal, Inc. ............. 7,208 323,855 0.70
Denbury Resources, Inc. (a).. 12,165 361,909 0.78
Pioneer Natural Resources
Co. ....................... 6,015 293,773 0.63
Plains Exploration &
Production Co. (a)......... 5,635 304,290 0.66
Range Resources Corp. ....... 7,478 384,070 0.83
Other Securities(1).......... 1,436,679 3.11
----------- ------
3,104,576 6.71
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1).......... 178,031 0.39
----------- ------
PERSONAL PRODUCTS
Other Securities(1).......... 188,093 0.41
----------- ------
PHARMACEUTICALS
Other Securities(1).......... 623,748 1.35
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Ventas, Inc. ................ 6,715 303,854 0.66
Other Securities(1).......... 401,014 0.86
----------- ------
704,868 1.52
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1).......... 265,449 0.57
----------- ------
ROAD & RAIL
Other Securities(1).......... 231,719 0.50
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Cypress Semiconductor Corp.
(a)........................ 7,686 276,927 0.60
Other Securities(1).......... 1,193,524 2.58
----------- ------
1,470,451 3.18
----------- ------
SOFTWARE
Activision, Inc. (a)......... 14,559 432,402 0.94
BEA Systems, Inc. (a)........ 19,897 313,975 0.68
McAfee, Inc. (a)............. 8,017 300,637 0.65
NAVTEQ Corp. (a)............. 4,918 371,801 0.80
Salesforce.com, Inc. (a)..... 4,933 309,250 0.67
Other Securities(1).......... 1,062,740 2.29
----------- ------
2,790,805 6.03
----------- ------
SPECIALTY RETAIL
Other Securities(1).......... 1,972,346 4.26
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1).......... 310,690 0.67
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1).......... 93,526 0.20
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1).......... 329,532 0.71
----------- ------
TOTAL COMMON STOCKS --
(Cost $46,619,280)......... 46,202,295 99.90
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $883,540)............ 883,540 883,540 1.91
----------- ------
TOTAL INVESTMENTS
(Cost $47,502,820)......... 47,085,835 101.81
OTHER ASSETS AND
LIABILITIES................ (836,199) (1.81)
----------- ------
NET ASSETS................... $46,249,636 100.00
=========== ======
</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, 2007.
(a) Non-income producing security.
See accompanying notes to financial statements.
94
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AUTO COMPONENTS
Other Securities(1)......... $ 71,047 0.63%
----------- ------
BEVERAGES
Other Securities(1)......... 38,851 0.34
----------- ------
BUILDING PRODUCTS
Other Securities(1)......... 123,660 1.10
----------- ------
CAPITAL MARKETS
Federated Investors, Inc. .. 1,721 70,836 0.63
Janus Capital Group, Inc. .. 3,061 100,554 0.89
Other Securities(1)......... 213,313 1.89
----------- ------
384,703 3.41
----------- ------
CHEMICALS
CF Industries Holdings,
Inc. ..................... 887 97,623 0.87
Eastman Chemical Co. ....... 1,455 88,886 0.79
FMC Corp. .................. 1,303 71,078 0.63
Lubrizol Corp. ............. 1,231 66,671 0.59
Other Securities(1)......... 473,468 4.20
----------- ------
797,726 7.08
----------- ------
COMMERCIAL BANKS
Other Securities(1)......... 589,964 5.23
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)......... 44,088 0.39
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)......... 47,252 0.42
----------- ------
CONSTRUCTION & ENGINEERING
The Shaw Group, Inc. (a).... 1,359 82,138 0.73
URS Corp. (a)............... 1,433 77,855 0.69
Other Securities(1)......... 22,576 0.20
----------- ------
182,569 1.62
----------- ------
CONSUMER FINANCE
Other Securities(1)......... 7,590 0.07
----------- ------
CONTAINERS & PACKAGING
Owens-Illinois, Inc. (a).... 2,625 129,938 1.15
Other Securities(1)......... 249,281 2.21
----------- ------
379,219 3.36
----------- ------
DIVERSIFIED CONSUMER SERVICES
Service Corp.
International............. 5,127 72,034 0.64
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)......... 9,523 0.08
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
CenturyTel, Inc. ........... 1,981 82,132 0.73
Citizens Communications
Co. ...................... 5,883 74,891 0.66
----------- ------
157,023 1.39
----------- ------
ELECTRIC UTILITIES
Northeast Utilities......... 2,761 86,447 0.77
Pepco Holdings, Inc. ....... 3,596 105,471 0.94
Pinnacle West Capital
Corp. .................... 1,779 75,447 0.67
Sierra Pacific Resources.... 3,963 67,292 0.60
Other Securities(1)......... 105,546 0.93
----------- ------
440,203 3.91
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)......... 101,941 0.90
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Molex, Inc. ................ 2,466 67,322 0.60
Other Securities(1)......... 130,955 1.16
----------- ------
198,277 1.76
----------- ------
ENERGY EQUIPMENT & SERVICES
Exterran Holdings, Inc.
(a)....................... 1,185 96,933 0.86
Other Securities(1)......... 54,860 0.49
----------- ------
151,793 1.35
----------- ------
FOOD PRODUCTS
McCormick & Co., Inc. ...... 2,047 77,602 0.69
Other Securities(1)......... 242,159 2.15
----------- ------
319,761 2.84
----------- ------
GAS UTILITIES
Energen Corp. .............. 1,164 74,764 0.66
Other Securities(1)......... 260,279 2.31
----------- ------
335,043 2.97
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)......... 88,884 0.79
----------- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)......... 24,914 0.22
----------- ------
HOUSEHOLD DURABLES
The Stanley Works........... 1,486 72,041 0.64
Other Securities(1)......... 232,449 2.06
----------- ------
304,490 2.70
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)......... 84,895 0.75
----------- ------
INSURANCE
Markel Corp. (a)............ 179 87,907 0.78
PartnerRe, Ltd. ............ 998 82,365 0.73
RenaissanceRe Holdings,
Ltd. ..................... 1,184 71,324 0.63
White Mountains Insurance
Group, Ltd. .............. 140 71,967 0.64
Other Securities(1)......... 685,298 6.08
----------- ------
998,861 8.86
----------- ------
IT SERVICES
Other Securities(1)......... 68,117 0.60
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 87,956 0.78
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)......... 55,267 0.49
----------- ------
MACHINERY
AGCO Corp. (a).............. 1,644 111,759 0.99
Pall Corp. ................. 2,197 88,583 0.79
SPX Corp. .................. 941 96,782 0.86
Other Securities(1)......... 342,824 3.04
----------- ------
639,948 5.68
----------- ------
</Table>
See accompanying notes to financial statements.
95
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
MEDIA
The Interpublic Group of
Cos., Inc. (a)............ 8,441 $ 68,457 0.61%
Other Securities(1)......... 188,461 1.67
----------- ------
256,918 2.28
----------- ------
METALS & MINING
Cleveland-Cliffs, Inc. ..... 736 74,189 0.66
Steel Dynamics, Inc. ....... 1,733 103,235 0.91
Other Securities(1)......... 193,314 1.72
----------- ------
370,738 3.29
----------- ------
MULTI-UTILITIES
Alliant Energy Corp. ....... 1,980 80,566 0.72
CenterPoint Energy, Inc. ... 5,084 87,089 0.77
CMS Energy Corp. ........... 4,038 70,181 0.62
Energy East Corp. .......... 2,823 76,814 0.68
Integrys Energy Group,
Inc. ..................... 1,362 70,402 0.62
MDU Resources Group, Inc. .. 3,005 82,968 0.74
NiSource, Inc. ............. 4,924 93,014 0.83
SCANA Corp. ................ 1,889 79,621 0.71
Wisconsin Energy Corp. ..... 2,102 102,389 0.91
Other Securities(1)......... 246,631 2.18
----------- ------
989,675 8.78
----------- ------
MULTILINE RETAIL
Other Securities(1)......... 76,134 0.68
----------- ------
OIL, GAS & CONSUMABLE FUELS
Forest Oil Corp. (a)........ 1,398 71,074 0.63
Other Securities(1)......... 345,896 3.07
----------- ------
416,970 3.70
----------- ------
PAPER & FOREST PRODUCTS
MeadWestvaco Corp. ......... 3,296 103,165 0.92
----------- ------
PHARMACEUTICALS
Other Securities(1)......... 93,769 0.83
----------- ------
REAL ESTATE INVESTMENT TRUSTS
AMB Property Corp. ......... 1,776 102,227 0.91
Annaly Capital Management,
Inc. ..................... 7,216 131,187 1.16
Duke Realty Corp. .......... 2,613 68,147 0.61
Federal Realty Investment
Trust..................... 1,013 83,218 0.74
Health Care REIT, Inc. ..... 1,523 68,063 0.60
Regency Centers Corp. ...... 1,245 80,290 0.71
Other Securities(1)......... 698,869 6.20
----------- ------
1,232,001 10.93
----------- ------
ROAD & RAIL
Other Securities(1)......... 96,484 0.86
----------- ------
SOFTWARE
Cadence Design Systems, Inc.
(a)....................... 4,825 82,073 0.73
Other Securities(1)......... 88,269 0.78
----------- ------
170,342 1.51
----------- ------
SPECIALTY RETAIL
Other Securities(1)......... 139,201 1.24
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... 84,089 0.75
----------- ------
THRIFTS & MORTGAGE FINANCE
New York Community
Bancorp, Inc. .............. 5,810 102,140 0.91
Other Securities(1)......... 210,044 1.86
----------- ------
312,184 2.77
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 53,379 0.47
----------- ------
WATER UTILITIES
Other Securities(1)......... 50,159 0.45
----------- ------
TOTAL COMMON STOCKS --
(Cost $12,779,523)........ 11,250,807 99.82
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $73,697)............ 73,697 73,697 0.65
----------- ------
TOTAL INVESTMENTS
(Cost $12,853,220)........ 11,324,504 100.47
OTHER ASSETS AND
LIABILITIES............... (53,233) (0.47)
----------- ------
NET ASSETS.................. $11,271,271 100.00
=========== ======
</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, 2007.
(a) Non-income producing security.
See accompanying notes to financial statements.
96
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
BE Aerospace, Inc. (a)...... 465 $ 24,598 0.27%
Other Securities(1)......... 120,034 1.30
---------- ------
144,632 1.57
---------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)......... 26,235 0.28
---------- ------
AIRLINES
Other Securities(1)......... 44,918 0.49
---------- ------
AUTO COMPONENTS
Other Securities(1)......... 61,209 0.66
---------- ------
AUTOMOBILES
Other Securities(1)......... 13,703 0.15
---------- ------
BEVERAGES
Other Securities(1)......... 23,841 0.26
---------- ------
BIOTECHNOLOGY
BioMarin Pharmaceuticals,
Inc. (a).................. 478 16,921 0.18
Other Securities(1)......... 225,541 2.45
---------- ------
242,462 2.63
---------- ------
BUILDING PRODUCTS
Other Securities(1)......... 52,486 0.57
---------- ------
CAPITAL MARKETS
Affiliated Managers Group,
Inc. (a).................. 151 17,736 0.19
Other Securities(1)......... 145,232 1.58
---------- ------
162,968 1.77
---------- ------
CHEMICALS
Airgas, Inc. ............... 357 18,603 0.20
CF Industries Holdings,
Inc. ..................... 250 27,515 0.30
FMC Corp. .................. 366 19,965 0.22
Nalco Holding Co. .......... 728 17,603 0.19
Terra Industries, Inc. (a).. 448 21,396 0.23
Other Securities(1)......... 187,405 2.04
---------- ------
292,487 3.18
---------- ------
COMMERCIAL BANKS
Other Securities(1)......... 412,767 4.48
---------- ------
COMMERCIAL SERVICES & SUPPLIES
Corrections Corp. of America
(a)....................... 617 18,208 0.20
Other Securities(1)......... 321,370 3.49
---------- ------
339,578 3.69
---------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)......... 212,203 2.30
---------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)......... 78,639 0.85
---------- ------
CONSTRUCTION & ENGINEERING
Quanta Services, Inc. (a)... 858 22,514 0.24
The Shaw Group, Inc. (a).... 383 23,149 0.25
URS Corp. (a)............... 400 21,732 0.24
Other Securities(1)......... 31,088 0.34
---------- ------
98,483 1.07
---------- ------
CONSTRUCTION MATERIALS
Other Securities(1)......... 19,827 0.22
---------- ------
CONSUMER FINANCE
Other Securities(1)......... 30,598 0.33
---------- ------
CONTAINERS & PACKAGING
Other Securities(1)......... 64,486 0.70
---------- ------
DISTRIBUTORS
Other Securities(1)......... 14,821 0.16
---------- ------
DIVERSIFIED CONSUMER SERVICES
Service Corp.
International............. 1,436 20,176 0.22
Other Securities(1)......... 106,616 1.16
---------- ------
126,792 1.38
---------- ------
DIVERSIFIED FINANCIAL SERVICES
The Nasdaq Stock Market,
Inc. (a).................. 534 26,428 0.29
Other Securities(1)......... 31,376 0.34
---------- ------
57,804 0.63
---------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)......... 66,405 0.72
---------- ------
ELECTRIC UTILITIES
Sierra Pacific Resources.... 1,117 18,967 0.21
Other Securities(1)......... 105,060 1.14
---------- ------
124,027 1.35
---------- ------
ELECTRICAL EQUIPMENT
General Cable Corp. (a)..... 264 19,346 0.21
Other Securities(1)......... 139,008 1.51
---------- ------
158,354 1.72
---------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
FLIR Systems, Inc. (a)...... 663 20,752 0.23
Mettler Toledo
International, Inc. (a)... 180 20,484 0.22
Other Securities(1)......... 183,920 2.00
---------- ------
225,156 2.45
---------- ------
ENERGY EQUIPMENT & SERVICES
Exterran Holdings, Inc.
(a)....................... 330 26,994 0.29
Helix Energy Solutions
Group, Inc. (a)........... 421 17,471 0.19
Helmerich & Payne, Inc. .... 484 19,394 0.21
Oceaneering International,
Inc. (a).................. 275 18,521 0.20
Other Securities(1)......... 208,791 2.27
---------- ------
291,171 3.16
---------- ------
FOOD & STAPLES RETAILING
Other Securities(1)......... 74,476 0.81
---------- ------
FOOD PRODUCTS
Other Securities(1)......... 116,774 1.27
---------- ------
GAS UTILITIES
Energen Corp. .............. 329 21,132 0.23
Other Securities(1)......... 146,835 1.59
---------- ------
167,967 1.82
---------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Gen-Probe, Inc. (a)......... 269 16,928 0.18
Hologic, Inc. (a)........... 629 43,174 0.47
IDEXX Laboratories, Inc.
(a)....................... 306 17,941 0.20
</Table>
See accompanying notes to financial statements.
97
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Inverness Medical
Innovations, Inc. (a)..... 369 $ 20,730 0.23%
ResMed, Inc. (a)............ 385 20,224 0.22
Respironics, Inc. (a)....... 369 24,162 0.26
Other Securities(1)......... 178,925 1.94
---------- ------
322,084 3.50
---------- ------
HEALTH CARE PROVIDERS & SERVICES
VCA Antech, Inc. (a)........ 421 18,621 0.20
Other Securities(1)......... 234,893 2.55
---------- ------
253,514 2.75
---------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)......... 38,636 0.42
---------- ------
HOTELS, RESTAURANTS & LEISURE
Chipotle Mexican Grill, Inc.
(a)....................... 164 24,120 0.26
Other Securities(1)......... 205,109 2.23
---------- ------
229,229 2.49
---------- ------
HOUSEHOLD DURABLES
Other Securities(1)......... 94,789 1.03
---------- ------
HOUSEHOLD PRODUCTS
Church & Dwight Co., Inc. .. 332 17,951 0.20
Other Securities(1)......... 5,879 0.06
---------- ------
23,830 0.26
---------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)......... 4,621 0.05
---------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)......... 40,241 0.44
---------- ------
INSURANCE
Other Securities(1)......... 358,455 3.89
---------- ------
INTERNET & CATALOG RETAIL
Priceline.com, Inc. (a)..... 173 19,871 0.22
Other Securities(1)......... 27,387 0.29
---------- ------
47,258 0.51
---------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)......... 135,776 1.47
---------- ------
IT SERVICES
Hewitt Associates, Inc.
(Class A) (a)............. 492 18,839 0.20
Other Securities(1)......... 164,955 1.80
---------- ------
183,794 2.00
---------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 36,455 0.40
---------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)......... 130,064 1.41
---------- ------
MACHINERY
AGCO Corp. (a).............. 458 31,135 0.34
Bucyrus International, Inc.
(Class A)................. 186 18,487 0.20
Other Securities(1)......... 265,806 2.89
---------- ------
315,428 3.43
---------- ------
MARINE
Other Securities(1)......... 47,897 0.52
---------- ------
MEDIA
Other Securities(1)......... 167,448 1.82
---------- ------
METALS & MINING
AK Steel Holding Corp. (a).. 560 25,894 0.28
Carpenter Technology
Corp. .................... 246 18,492 0.20
Cleveland-Cliffs, Inc. ..... 208 20,966 0.23
Commercial Metals Co. ...... 598 17,611 0.19
Reliance Steel & Aluminum
Co. ...................... 330 17,886 0.19
Steel Dynamics, Inc. ....... 483 28,772 0.31
Other Securities(1)......... 97,149 1.06
---------- ------
226,770 2.46
---------- ------
MULTI-UTILITIES
CMS Energy Corp. ........... 1,133 19,691 0.21
Other Securities(1)......... 81,743 0.89
---------- ------
101,434 1.10
---------- ------
MULTILINE RETAIL
Other Securities(1)......... 33,476 0.36
---------- ------
OFFICE ELECTRONICS
Other Securities(1)......... 11,763 0.13
---------- ------
OIL, GAS & CONSUMABLE FUELS
Cabot Oil & Gas Corp. ...... 491 19,822 0.22
Cimarex Energy Co. ......... 419 17,820 0.19
Forest Oil Corp. (a)........ 393 19,980 0.22
Plains Exploration &
Production Co. (a)........ 561 30,294 0.33
Other Securities(1)......... 571,245 6.20
---------- ------
659,161 7.16
---------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)......... 28,162 0.31
---------- ------
PERSONAL PRODUCTS
Other Securities(1)......... 52,586 0.57
---------- ------
PHARMACEUTICALS
Other Securities(1)......... 109,126 1.18
---------- ------
REAL ESTATE INVESTMENT TRUSTS
Health Care REIT, Inc. ..... 424 18,949 0.21
Rayonier, Inc. ............. 391 18,471 0.20
Other Securities(1)......... 459,941 4.99
---------- ------
497,361 5.40
---------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 29,894 0.32
---------- ------
ROAD & RAIL
Other Securities(1)......... 86,508 0.94
---------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Cypress Semiconductor Corp.
(a)....................... 765 27,563 0.30
Other Securities(1)......... 277,474 3.01
---------- ------
305,037 3.31
---------- ------
SOFTWARE
Other Securities(1)......... 281,766 3.06
---------- ------
SPECIALTY RETAIL
Other Securities(1)......... 206,222 2.24
---------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... 117,147 1.27
---------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)......... 108,478 1.18
---------- ------
</Table>
See accompanying notes to financial statements.
98
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TOBACCO
Other Securities(1)......... $ 12,708 0.14%
---------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 78,517 0.85
---------- ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)......... 8,957 0.10
---------- ------
WATER UTILITIES
Other Securities(1)......... 23,288 0.25
---------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)......... 35,401 0.38
---------- ------
TOTAL COMMON STOCKS --
(Cost $10,412,240)........ 9,188,550 99.77
---------- ------
WARRANTS
COMMUNICATIONS EQUIPMENT
Pegasus Wireless Corp. (a)
(Cost $0)................. 97 0 0.00
---------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $53,866)............ 53,866 53,866 0.59
---------- ------
TOTAL INVESTMENTS
(Cost $10,466,106)........ 9,242,416 100.36
OTHER ASSETS AND
LIABILITIES............... (32,991) (0.36)
---------- ------
NET ASSETS.................. $9,209,425 100.00
========== ======
</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, 2007.
(a) Non-income producing security.
See accompanying notes to financial statements.
99
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
BE Aerospace, Inc. (a)...... 8,393 $ 443,990 0.50%
Other Securities(1)......... 1,272,773 1.44
----------- ------
1,716,763 1.94
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)......... 353,187 0.40
----------- ------
AIRLINES
Other Securities(1)......... 748,237 0.85
----------- ------
AUTO COMPONENTS
Other Securities(1)......... 394,738 0.45
----------- ------
AUTOMOBILES
Other Securities(1)......... 232,416 0.26
----------- ------
BEVERAGES
Other Securities(1)......... 224,776 0.25
----------- ------
BIOTECHNOLOGY
BioMarin Pharmaceuticals,
Inc. (a).................. 8,746 309,608 0.35
Onyx Pharmaceuticals, Inc.
(a)....................... 5,023 279,379 0.32
Other Securities(1)......... 3,741,156 4.23
----------- ------
4,330,143 4.90
----------- ------
BUILDING PRODUCTS
Other Securities(1)......... 218,312 0.25
----------- ------
CAPITAL MARKETS
Affiliated Managers Group,
Inc. (a).................. 2,694 316,437 0.36
Other Securities(1)......... 545,482 0.61
----------- ------
861,919 0.97
----------- ------
CHEMICALS
Nalco Holding Co. .......... 13,167 318,378 0.36
Terra Industries, Inc. (a).. 8,141 388,814 0.44
Other Securities(1)......... 378,048 0.43
----------- ------
1,085,240 1.23
----------- ------
COMMERCIAL BANKS
Other Securities(1)......... 843,362 0.95
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Corrections Corp. of America
(a)....................... 11,132 328,505 0.37
Covanta Holding Corp. (a)... 10,050 277,983 0.31
FTI Consulting, Inc. (a).... 4,359 268,689 0.30
Other Securities(1)......... 3,465,836 3.93
----------- ------
4,341,013 4.91
----------- ------
COMMUNICATIONS EQUIPMENT
CommScope, Inc. (a)......... 6,076 299,000 0.34
Other Securities(1)......... 3,122,626 3.53
----------- ------
3,421,626 3.87
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)......... 984,785 1.11
----------- ------
CONSTRUCTION & ENGINEERING
Quanta Services, Inc. (a)... 15,618 409,816 0.46
Other Securities(1)......... 288,274 0.33
----------- ------
698,090 0.79
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)......... 185,945 0.21
----------- ------
CONSUMER FINANCE
Other Securities(1)......... 338,680 0.38
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)......... 366,335 0.41
----------- ------
DISTRIBUTORS
Other Securities(1)......... 232,187 0.26
----------- ------
DIVERSIFIED CONSUMER SERVICES
DeVry, Inc. ................ 5,617 291,859 0.33
Other Securities(1)......... 1,480,644 1.67
----------- ------
1,772,503 2.00
----------- ------
DIVERSIFIED FINANCIAL SERVICES
The Nasdaq Stock Market,
Inc. (a).................. 9,757 482,874 0.55
Other Securities(1)......... 142,076 0.16
----------- ------
624,950 0.71
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Time Warner Telecom, Inc.
(Class A) (a)............. 13,263 269,106 0.30
Other Securities(1)......... 674,706 0.77
----------- ------
943,812 1.07
----------- ------
ELECTRIC UTILITIES
Other Securities(1)......... 226,075 0.26
----------- ------
ELECTRICAL EQUIPMENT
General Cable Corp. (a)..... 4,806 352,184 0.40
Other Securities(1)......... 980,937 1.11
----------- ------
1,333,121 1.51
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
FLIR Systems, Inc. (a)...... 12,148 380,233 0.43
Mettler Toledo
International, Inc. (a)... 3,335 379,523 0.43
Other Securities(1)......... 2,067,592 2.34
----------- ------
2,827,348 3.20
----------- ------
ENERGY EQUIPMENT & SERVICES
Dresser-Rand Group, Inc.
(a)....................... 7,773 303,536 0.34
Helix Energy Solutions
Group, Inc. (a)........... 7,597 315,275 0.36
Helmerich & Payne, Inc. .... 8,709 348,970 0.39
Oceaneering
International, Inc. (a)... 5,008 337,289 0.38
Other Securities(1)......... 2,747,882 3.11
----------- ------
4,052,952 4.58
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)......... 412,974 0.47
----------- ------
FOOD PRODUCTS
Other Securities(1)......... 460,734 0.52
----------- ------
GAS UTILITIES
Other Securities(1)......... 23,864 0.03
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Gen-Probe, Inc. (a)......... 4,959 312,070 0.35
Hologic, Inc. (a)........... 11,486 788,399 0.89
IDEXX Laboratories, Inc.
(a)....................... 5,623 329,677 0.37
Inverness Medical
Innovations, Inc. (a)..... 6,741 378,709 0.43
ResMed, Inc. (a)............ 7,163 376,272 0.43
</Table>
See accompanying notes to financial statements
100
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Respironics, Inc. (a)....... 6,656 $ 435,835 0.49%
Other Securities(1)......... 2,471,103 2.80
----------- ------
5,092,065 5.76
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Pediatrix Medical Group,
Inc. (a).................. 4,458 303,813 0.34
VCA Antech, Inc. (a)........ 7,579 335,219 0.38
Other Securities(1)......... 3,008,591 3.40
----------- ------
3,647,623 4.12
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)......... 720,190 0.81
----------- ------
HOTELS, RESTAURANTS & LEISURE
Chipotle Mexican Grill, Inc.
(a)....................... 2,968 436,504 0.49
Other Securities(1)......... 2,701,910 3.06
----------- ------
3,138,414 3.55
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)......... 501,369 0.57
----------- ------
HOUSEHOLD PRODUCTS
Church & Dwight Co., Inc. .. 6,019 325,448 0.37
Other Securities(1)......... 18,676 0.02
----------- ------
344,124 0.39
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)......... 84,935 0.10
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)......... 235,572 0.27
----------- ------
INSURANCE
HCC Insurance Holdings,
Inc. ..................... 10,195 292,392 0.33
Other Securities(1)......... 564,540 0.64
----------- ------
856,932 0.97
----------- ------
INTERNET & CATALOG RETAIL
Priceline.com, Inc. (a)..... 3,136 360,201 0.41
Other Securities(1)......... 514,884 0.58
----------- ------
875,085 0.99
----------- ------
INTERNET SOFTWARE & SERVICES
Equinix, Inc. (a)........... 2,867 289,768 0.33
Other Securities(1)......... 2,155,442 2.43
----------- ------
2,445,210 2.76
----------- ------
IT SERVICES
Broadridge Financial
Solutions, Inc. .......... 12,578 282,125 0.32
Hewitt Associates, Inc.
(Class A) (a)............. 8,983 343,959 0.39
Other Securities(1)......... 1,927,831 2.18
----------- ------
2,553,915 2.89
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)......... 153,602 0.17
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Illumina, Inc. (a).......... 5,115 303,115 0.34
Ventana Medical Systems,
Inc. (a).................. 3,384 295,186 0.33
Other Securities(1)......... 1,300,348 1.48
----------- ------
1,898,649 2.15
----------- ------
MACHINERY
Bucyrus International, Inc.
(Class A)................. 3,405 338,423 0.38
Other Securities(1)......... 1,846,702 2.09
----------- ------
2,185,125 2.47
----------- ------
MARINE
Other Securities(1)......... 375,065 0.42
----------- ------
MEDIA
Other Securities(1)......... 1,628,122 1.84
----------- ------
METALS & MINING
AK Steel Holding Corp. (a).. 10,202 471,741 0.53
Other Securities(1)......... 628,110 0.71
----------- ------
1,099,851 1.24
----------- ------
MULTILINE RETAIL
Other Securities(1)......... 82,667 0.09
----------- ------
OFFICE ELECTRONICS
Other Securities(1)......... 216,112 0.24
----------- ------
OIL, GAS & CONSUMABLE FUELS
Cabot Oil & Gas Corp. ...... 8,937 360,787 0.41
Cimarex Energy Co. ......... 7,548 321,016 0.36
Kinder Morgan Management LLC
(a)....................... 5,637 298,423 0.34
Plains Exploration &
Production Co. (a)........ 10,294 555,876 0.63
Quicksilver Resources, Inc.
(a)....................... 5,034 299,976 0.34
Other Securities(1)......... 5,788,417 6.54
----------- ------
7,624,495 8.62
----------- ------
PERSONAL PRODUCTS
Other Securities(1)......... 867,145 0.98
----------- ------
PHARMACEUTICALS
MGI Pharma, Inc. (a)........ 7,289 295,423 0.33
Other Securities(1)......... 1,012,856 1.15
----------- ------
1,308,279 1.48
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)......... 965,139 1.09
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)......... 499,332 0.56
----------- ------
ROAD & RAIL
Other Securities(1)......... 497,895 0.56
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Cypress Semiconductor Corp.
(a)....................... 13,957 502,871 0.57
Other Securities(1)......... 4,508,377 5.09
----------- ------
5,011,248 5.66
----------- ------
SOFTWARE
Ansys, Inc. (a)............. 7,126 295,444 0.33
MICROS Systems, Inc. (a).... 3,856 270,537 0.31
Other Securities(1)......... 3,878,930 4.38
----------- ------
4,444,911 5.02
----------- ------
SPECIALTY RETAIL
Other Securities(1)......... 2,210,844 2.50
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)......... 1,186,014 1.34
----------- ------
</Table>
See accompanying notes to financial statements
101
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)......... $ 208,133 0.24%
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)......... 522,881 0.59
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
SBA Communications Corp.
(a)....................... 9,043 306,015 0.35
Other Securities(1)......... 291,845 0.33
----------- ------
597,860 0.68
----------- ------
TOTAL COMMON STOCKS --
(Cost $94,914,072)........ 88,334,890 99.86
----------- ------
WARRANTS
COMMUNICATIONS EQUIPMENT
Pegasus Wireless Corp. (a)
(Cost $0)................. 569 0 0.00
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $1,674,837)......... 1,674,837 1,674,837 1.89
----------- ------
TOTAL INVESTMENTS
(Cost $96,588,909)........ 90,009,727 101.75
OTHER ASSETS AND
LIABILITIES............... (1,549,062) (1.75)
----------- ------
NET ASSETS.................. $88,460,665 100.00
=========== ======
</Table>
(1) Other securities are those securities, which individually, are not one of
the 50 largest unaffiliated issuers and which represents less than one
percent of the net assets of the Fund as of December 31, 2007.
(a) Non-income producing security.
See accompanying notes to financial statements
102
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)....... $ 1,120,642 1.17%
----------- ------
AIR FREIGHT & LOGISTICS
Other Securities(1)....... 147,654 0.15
----------- ------
AIRLINES
Other Securities(1)....... 111,870 0.12
----------- ------
AUTO COMPONENTS
Other Securities(1)....... 869,690 0.91
----------- ------
AUTOMOBILES
Other Securities(1)....... 26,445 0.03
----------- ------
BEVERAGES
Other Securities(1)....... 236,539 0.25
----------- ------
BIOTECHNOLOGY
Other Securities(1)....... 136,318 0.14
----------- ------
BUILDING PRODUCTS
Other Securities(1)....... 879,694 0.92
----------- ------
CAPITAL MARKETS
MF Global, Ltd. (a)....... 10,743 338,082 0.35
Raymond James Financial,
Inc. ................... 10,516 343,453 0.36
Waddell & Reed Financial,
Inc. (Class A).......... 9,219 332,714 0.35
Other Securities(1)....... 1,511,413 1.58
----------- ------
2,525,662 2.64
----------- ------
CHEMICALS
Airgas, Inc. ............. 7,755 404,113 0.42
Albemarle Corp. .......... 8,461 349,016 0.36
CF Industries Holdings,
Inc. ................... 5,461 601,038 0.63
FMC Corp. ................ 8,014 437,164 0.46
Other Securities(1)....... 3,299,557 3.44
----------- ------
5,090,888 5.31
----------- ------
COMMERCIAL BANKS
Cullen/Frost Bankers,
Inc. ................... 6,420 325,237 0.34
Other Securities(1)....... 7,711,895 8.05
----------- ------
8,037,132 8.39
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)....... 2,257,052 2.36
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)....... 551,260 0.58
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)....... 542,338 0.57
----------- ------
CONSTRUCTION & ENGINEERING
The Shaw Group, Inc. (a).. 8,371 505,943 0.53
URS Corp. (a)............. 8,796 477,887 0.50
Other Securities(1)....... 346,437 0.36
----------- ------
1,330,267 1.39
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)....... 211,141 0.22
----------- ------
CONSUMER FINANCE
Other Securities(1)....... 262,550 0.27
----------- ------
CONTAINERS & PACKAGING
Smurfit-Stone Container
Corp. (a)............... 27,827 293,853 0.31
Other Securities(1)....... 678,834 0.71
----------- ------
972,687 1.02
----------- ------
DISTRIBUTORS
Other Securities(1)....... 42,446 0.04
----------- ------
DIVERSIFIED CONSUMER SERVICES
Service Corp.
International........... 31,671 444,977 0.46
Other Securities(1)....... 228,421 0.24
----------- ------
673,398 0.70
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)....... 525,666 0.55
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)....... 324,495 0.34
----------- ------
ELECTRIC UTILITIES
Sierra Pacific Resources.. 24,371 413,820 0.43
Other Securities(1)....... 2,033,499 2.13
----------- ------
2,447,319 2.56
----------- ------
ELECTRICAL EQUIPMENT
Thomas & Betts Corp. (a).. 6,478 317,681 0.33
Other Securities(1)....... 1,570,087 1.64
----------- ------
1,887,768 1.97
----------- ------
ELECTRONIC EQUIPMENT & INSTRUMENTS
Other Securities(1)....... 1,560,472 1.63
----------- ------
ENERGY EQUIPMENT & SERVICES
Exterran Holdings, Inc.
(a)..................... 7,282 595,668 0.62
Tidewater, Inc. .......... 6,163 338,102 0.35
Other Securities(1)....... 588,777 0.62
----------- ------
1,522,547 1.59
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)....... 1,114,734 1.16
----------- ------
FOOD PRODUCTS
Corn Products
International, Inc. .... 8,165 300,064 0.31
The J.M. Smucker Co. ..... 6,316 324,895 0.34
Other Securities(1)....... 1,371,824 1.43
----------- ------
1,996,783 2.08
----------- ------
GAS UTILITIES
AGL Resources, Inc. ...... 8,599 323,666 0.34
Energen Corp. ............ 7,206 462,841 0.48
National Fuel Gas Co. .... 7,752 361,863 0.38
Southern Union Co. ....... 11,036 324,017 0.34
UGI Corp. ................ 11,510 313,648 0.33
Other Securities(1)....... 1,855,962 1.93
----------- ------
3,641,997 3.80
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)....... 958,867 1.00
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)....... 1,179,313 1.23
----------- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)....... 1,256,302 1.31
----------- ------
</Table>
See accompanying notes to financial statements
103
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD DURABLES
Snap-on, Inc. ............ 6,364 $ 306,999 0.32%
Other Securities(1)....... 1,152,441 1.20
----------- ------
1,459,440 1.52
----------- ------
HOUSEHOLD PRODUCTS
Other Securities(1)....... 103,917 0.11
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)....... 596,764 0.62
----------- ------
INSURANCE
Other Securities(1)....... 6,856,450 7.16
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)....... 86,097 0.09
----------- ------
IT SERVICES
Other Securities(1)....... 951,838 0.99
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)....... 616,703 0.64
----------- ------
LIFE SCIENCES TOOLS & SERVICES
PerkinElmer, Inc. ........ 12,990 338,000 0.35
Other Securities(1)....... 248,199 0.26
----------- ------
586,199 0.61
----------- ------
MACHINERY
AGCO Corp. (a)............ 10,090 685,918 0.72
IDEX Corp. ............... 8,879 320,798 0.33
Kennametal, Inc. ......... 8,530 322,946 0.34
Lincoln Electric Holdings,
Inc. ................... 4,456 317,178 0.33
Other Securities(1)....... 2,677,728 2.79
----------- ------
4,324,568 4.51
----------- ------
MARINE
Other Securities(1)....... 602,851 0.63
----------- ------
MEDIA
Other Securities(1)....... 1,713,331 1.79
----------- ------
METALS & MINING
Carpenter Technology
Corp. .................. 5,424 407,722 0.42
Cleveland-Cliffs, Inc. ... 4,523 455,918 0.48
Commercial Metals Co. .... 13,016 383,321 0.40
Reliance Steel & Aluminum
Co. .................... 7,249 392,896 0.41
Steel Dynamics, Inc. ..... 10,659 634,957 0.66
Other Securities(1)....... 1,385,961 1.45
----------- ------
3,660,775 3.82
----------- ------
MULTI-UTILITIES
CMS Energy Corp. ......... 24,730 429,807 0.45
OGE Energy Corp. ......... 10,040 364,352 0.38
Puget Energy, Inc. ....... 12,797 351,022 0.37
Other Securities(1)....... 1,064,413 1.11
----------- ------
2,209,594 2.31
----------- ------
MULTILINE RETAIL
Other Securities(1)....... 627,175 0.65
----------- ------
OIL, GAS & CONSUMABLE FUELS
Forest Oil Corp. (a)...... 8,597 437,072 0.46
Linn Energy LLC........... 12,544 313,976 0.33
Magellan Midstream
Partners LP............. 7,321 317,439 0.33
TEPPCO Partners LP........ 8,065 309,131 0.32
Other Securities(1)....... 3,878,907 4.05
----------- ------
5,256,525 5.49
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)....... 623,325 0.65
----------- ------
PERSONAL PRODUCTS
Other Securities(1)....... 94,062 0.10
----------- ------
PHARMACEUTICALS
Perrigo Co. .............. 8,564 299,826 0.31
Watson Pharmaceuticals,
Inc. (a)................ 11,200 303,968 0.32
Other Securities(1)....... 228,108 0.24
----------- ------
831,902 0.87
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Alexandria Real Estate
Equities, Inc. ......... 3,510 356,862 0.37
Health Care REIT, Inc. ... 9,333 417,092 0.44
Nationwide Health
Properties, Inc. ....... 10,221 320,633 0.34
Rayonier, Inc. ........... 8,486 400,879 0.42
Realty Income Corp. ...... 11,143 301,084 0.31
Other Securities(1)....... 7,931,908 8.28
----------- ------
9,728,458 10.16
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)....... 55,964 0.06
----------- ------
ROAD & RAIL
Ryder Systems, Inc. ...... 6,425 302,039 0.32
Other Securities(1)....... 1,006,795 1.05
----------- ------
1,308,834 1.37
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)....... 678,395 0.71
----------- ------
SOFTWARE
Other Securities(1)....... 883,914 0.92
----------- ------
SPECIALTY RETAIL
Other Securities(1)....... 1,900,092 1.98
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... 1,170,801 1.22
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 2,135,816 2.23
----------- ------
TOBACCO
Other Securities(1)....... 275,827 0.29
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 1,081,524 1.13
----------- ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)....... 201,961 0.21
----------- ------
WATER UTILITIES
Aqua America, Inc. ....... 14,469 306,743 0.32
Other Securities(1)....... 200,740 0.21
----------- ------
507,483 0.53
----------- ------
</Table>
See accompanying notes to financial statements
104
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)....... $ 58,109 0.06%
----------- ------
TOTAL COMMON STOCKS --
(Cost $100,340,273)..... 95,630,630 99.83
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUND
STIC Prime Portfolio
(Cost $1,111,334)....... 1,111,334 1,111,334 1.16
----------- ------
TOTAL INVESTMENTS
(Cost $101,451,607)..... 96,741,964 100.99
OTHER ASSETS AND
LIABILITIES............. (948,285) (0.99)
----------- ------
NET ASSETS................ $95,793,679 100.00
=========== ======
</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, 2007.
(a) Non-income producing security.
See accompanying notes to financial statements
105
SPDR DJ GLOBAL TITANS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
FINLAND -- 2.0%
Nokia Oyj ADR................. 98,340 $ 3,775,273
------------
FRANCE -- 3.5%
BNP Paribas SA................ 21,400 2,322,186
Total SA ADR.................. 53,104 4,386,391
------------
6,708,577
------------
GERMANY -- 3.1%
Allianz SE, ADR............... 112,767 2,396,299
Siemens AG ADR................ 21,659 3,408,260
------------
5,804,559
------------
ITALY -- 1.2%
Eni SpA ADR................... 30,676 2,221,863
------------
JAPAN -- 3.4%
Mitsubishi UFJ Financial
Group, Inc. ADR............. 262,650 2,450,524
Toyota Motor Corp. ADR........ 37,912 4,025,117
------------
6,475,641
------------
NETHERLANDS -- 1.2%
ING Groep N.V. ADR............ 55,757 2,169,505
------------
SOUTH KOREA -- 0.9%
Samsung Electronics Co., Ltd.
GDR*........................ 6,083 1,780,798
------------
SPAIN -- 1.8%
Telefonica SA ADR............. 34,939 3,409,697
------------
SWITZERLAND -- 7.0%
Nestle SA..................... 9,895 4,544,804
Novartis AG ADR............... 61,682 3,349,949
Roche Holding AG.............. 17,596 3,040,037
UBS AG........................ 48,512 2,231,552
------------
13,166,342
------------
UNITED KINGDOM -- 15.8%
AstraZeneca PLC ADR........... 37,190 1,592,476
Barclays PLC ADR.............. 42,415 1,712,293
BP PLC ADR.................... 79,033 5,782,845
GlaxoSmithKline PLC ADR....... 69,228 3,488,399
HBOS PLC...................... 93,050 1,361,406
HSBC Holdings PLC ADR......... 58,871 4,928,091
Royal Bank of Scotland Group
PLC......................... 250,762 2,216,301
Royal Dutch Shell PLC ADR..... 45,544 3,834,805
Vodafone Group PLC ADR........ 132,540 4,946,393
------------
29,863,009
------------
UNITED STATES -- 59.9%
Abbott Laboratories........... 38,307 2,150,938
Altria Group, Inc. ........... 52,600 3,975,508
American International Group,
Inc. ....................... 55,786 3,252,324
AT&T, Inc. ................... 152,431 6,335,032
Bank of America Corp. ........ 112,469 4,640,471
Chevron Corp. ................ 53,321 4,976,449
Cisco Systems, Inc. (a)....... 152,127 4,118,078
Citigroup, Inc. .............. 124,248 3,657,861
ConocoPhillips................ 37,063 3,272,663
Exxon Mobil Corp. ............ 136,852 12,821,665
General Electric Co. ......... 253,218 9,386,791
Hewlett-Packard Co. .......... 64,614 3,261,715
Intel Corp. .................. 145,434 3,877,270
International Business
Machines Corp. ............. 34,243 3,701,668
Johnson & Johnson............. 71,676 4,780,789
JPMorgan Chase & Co. ......... 84,570 3,691,480
Merck & Co., Inc. ............ 54,515 3,167,867
Microsoft Corp. .............. 208,924 7,437,694
Morgan Stanley................ 23,955 1,272,250
PepsiCo, Inc. ................ 40,424 3,068,182
Pfizer, Inc. ................. 171,141 3,890,035
Procter & Gamble Co. ......... 77,980 5,725,292
The Coca-Cola Co. ............ 53,373 3,275,501
Time Warner, Inc. ............ 90,613 1,496,021
Verizon Communications,
Inc. ....................... 72,678 3,175,302
Wal-Mart Stores, Inc. ........ 62,940 2,991,538
------------
113,400,384
------------
TOTAL COMMON STOCKS --
(Cost $171,042,485)......... 188,775,648
------------
SHORT TERM INVESTMENTS -- 0.5%
MONEY MARKET FUND -- 0.5%
STIC Prime Portfolio
(Cost $1,016,551)........... 1,016,551 1,016,551
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $172,059,036)......... 189,792,199
OTHER ASSETS AND
LIABILITIES -- (0.3)%....... (547,468)
------------
NET ASSETS -- 100.0%.......... $189,244,731
============
</Table>
(a) Non-income producing security.
ADR = American Depositary Receipt
GDR = Global Depositary Receipt
* Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 0.9% of net assets as of December 31, 2007, is
considered liquid and may be resold in transactions exempt from
registration, normally to qualifed institutional buyers.
See accompanying notes to financial statements.
106
DJ WILSHIRE REIT ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
DIVERSIFIED REIT'S -- 7.3%
Colonial Properties Trust.... 227,155 $ 5,140,518
Liberty Property Trust....... 449,426 12,947,963
PS Business Parks, Inc. ..... 79,792 4,193,070
Vornado Realty Trust......... 697,402 61,336,506
Washington Real Estate
Investment Trust........... 228,762 7,185,414
--------------
90,803,471
--------------
INDUSTRIAL REIT'S -- 10.8%
AMB Property Corp. .......... 485,723 27,958,216
DCT Industrial Trust, Inc. .. 825,798 7,688,179
DuPont Fabros Technology,
Inc. ...................... 151,390 2,967,244
EastGroup Properties, Inc. .. 117,056 4,898,794
First Industrial Realty
Trust, Inc. ............... 219,136 7,582,106
First Potomac Realty Trust... 119,237 2,061,608
ProLogis..................... 1,258,851 79,785,976
--------------
132,942,123
--------------
OFFICE REIT'S -- 17.3%
Alexandria Real Estate
Equities, Inc. ............ 156,509 15,912,270
American Financial Realty
Trust...................... 634,422 5,088,064
BioMed Realty Trust, Inc. ... 321,222 7,442,714
Boston Properties, Inc. ..... 584,359 53,650,000
Brandywine Realty Trust...... 428,279 7,679,042
Corporate Office Properties
Trust...................... 231,199 7,282,769
Cousins Properties, Inc. .... 204,324 4,515,560
Digital Realty Trust, Inc. .. 290,894 11,161,603
Douglas Emmett, Inc. ........ 483,550 10,933,066
Duke Realty Corp. ........... 714,875 18,643,940
Highwoods Properties, Inc. .. 278,297 8,176,366
HRPT Properties Trust........ 1,105,884 8,548,483
Kilroy Realty Corp. ......... 158,901 8,733,199
Mack-Cali Realty Corp. ...... 331,864 11,283,376
Maguire Properties, Inc. .... 179,002 5,275,189
Parkway Properties, Inc. .... 75,588 2,795,244
SL Green Realty Corp. ....... 290,608 27,160,224
--------------
214,281,109
--------------
RESIDENTIAL REIT'S -- 14.9%
American Campus Communities,
Inc. ...................... 133,536 3,585,442
Apartment Investment &
Management Co. (Class A).. 469,227 16,296,254
Associated Estates Realty
Corp. ..................... 79,093 746,638
Avalonbay Communities,
Inc. ...................... 389,332 36,651,714
BRE Properties, Inc. (Class
A)......................... 250,878 10,168,085
Camden Property Trust........ 272,640 13,127,616
Education Realty Trust,
Inc. ...................... 141,088 1,585,829
Equity Lifestyle Properties,
Inc. ...................... 110,690 5,055,212
Equity Residential........... 1,331,335 48,553,787
Essex Property Trust, Inc. .. 123,480 12,038,065
GMH Communities Trust........ 193,280 1,066,906
Home Properties, Inc. ....... 163,276 7,322,929
Mid-America Apartment
Communities, Inc. ......... 125,356 5,358,969
Post Properties, Inc. ....... 212,034 7,446,634
Sun Communities, Inc. ....... 83,184 1,752,687
UDR, Inc. ................... 658,612 13,073,448
--------------
183,830,215
--------------
RETAIL REIT'S -- 28.0%
Acadia Realty Trust.......... 149,268 3,822,754
Alexander's, Inc. (a)........ 9,880 3,490,110
CBL & Associates Properties,
Inc. ...................... 320,630 7,666,263
Cedar Shopping Centers,
Inc. ...................... 218,802 2,238,344
Developers Diversified Realty
Corp. ..................... 603,313 23,100,855
Equity One, Inc. ............ 185,043 4,261,540
Federal Realty Investment
Trust...................... 276,564 22,719,733
General Growth Properties,
Inc. ...................... 1,131,607 46,599,576
Glimcher Realty Trust........ 183,329 2,619,771
Inland Real Estate Corp. .... 291,334 4,125,289
Kimco Realty Corp. .......... 1,077,367 39,216,159
Kite Realty Group Trust...... 142,886 2,181,869
Pennsylvania Real Estate
Investment Trust........... 191,478 5,683,067
Ramco-Gershenson Properties
Trust...................... 91,354 1,952,235
Regency Centers Corp. ....... 339,869 21,918,152
Saul Centers, Inc. .......... 57,224 3,057,478
Simon Property Group, Inc. .. 1,097,361 95,316,777
Tanger Factory Outlet
Centers, Inc. ............. 154,572 5,828,910
Taubman Centers, Inc. ....... 258,199 12,700,809
The Macerich Co. ............ 356,142 25,307,451
Weingarten Realty Investors.. 387,551 12,184,603
--------------
345,991,745
--------------
SPECIALIZED REIT'S -- 21.7%
Ashford Hospitality Trust,
Inc. ...................... 605,995 4,357,104
DiamondRock Hospitality
Co. ....................... 468,957 7,024,976
Extra Space Storage, Inc. ... 317,223 4,533,117
FelCor Lodging Trust, Inc. .. 306,530 4,778,803
HCP, Inc. ................... 1,062,129 36,940,847
Health Care REIT, Inc. ...... 416,734 18,623,842
Healthcare Realty Trust,
Inc. ...................... 248,541 6,310,456
Hersha Hospitality Trust..... 201,746 1,916,587
Hospitality Properties
Trust...................... 460,599 14,840,500
Host Hotels & Resorts,
Inc. ...................... 2,558,308 43,593,568
LaSalle Hotel Properties..... 197,602 6,303,504
Nationwide Health Properties,
Inc. ...................... 456,239 14,312,217
Public Storage............... 631,349 46,347,330
Senior Housing Properties
Trust...................... 410,206 9,303,472
Sovran Self Storage, Inc. ... 106,709 4,279,031
Strategic Hotels & Resorts,
Inc. ...................... 367,674 6,151,186
Sunstone Hotel Investors,
Inc. ...................... 295,687 5,408,115
U-Store-It Trust............. 233,847 2,142,039
Universal Health Realty
Income Trust............... 54,290 1,924,038
Ventas, Inc. ................ 655,066 29,641,736
--------------
268,732,468
--------------
TOTAL COMMON STOCKS --
(Cost $1,380,092,241)...... 1,236,581,131
--------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
STIC Prime Portfolio
(Cost $1,434,194).......... 1,434,194 1,434,194
--------------
TOTAL INVESTMENTS -- 100.1%
(Cost $1,381,526,435)...... 1,238,015,325
OTHER ASSETS AND
LIABILITIES -- (0.1)%...... (1,765,557)
--------------
NET ASSETS -- 100.0%......... $1,236,249,768
==============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
107
KBW BANK ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
ASSET MANAGEMENT & CUSTODY BANKS -- 12.4%
Northern Trust Corp........... 191,304 $ 14,650,060
State Street Corp. (a)........ 185,897 15,094,837
The Bank of New York Mellon
Corp........................ 300,080 14,631,901
------------
44,376,798
------------
CONSUMER FINANCE -- 3.4%
Capital One Financial Corp.... 261,882 12,376,543
------------
DIVERSIFIED BANKS -- 22.6%
Comerica, Inc................. 235,616 10,256,365
U.S. Bancorp.................. 441,593 14,016,162
Wachovia Corp................. 675,770 25,699,533
Wells Fargo & Co.............. 1,035,664 31,266,696
------------
81,238,756
------------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 23.9%
Bank of America Corp. ........ 738,094 30,453,758
Citigroup, Inc................ 940,173 27,678,693
JPMorgan Chase & Co. ......... 638,706 27,879,517
------------
86,011,968
------------
REGIONAL BANKS -- 33.0%
BB&T Corp. ................... 439,846 13,490,077
Fifth Third Bancorp........... 457,112 11,487,224
Huntington Bancshares, Inc. .. 381,154 5,625,833
Keycorp....................... 449,944 10,551,187
M&T Bank Corp. ............... 136,512 11,135,284
Marshall & Ilsley Corp. ...... 218,247 5,779,181
National City Corp. .......... 591,504 9,736,156
PNC Financial Services Group,
Inc. ....................... 222,627 14,615,462
Regions Financial Corp. ...... 563,377 13,323,866
SunTrust Banks, Inc. ......... 228,693 14,291,026
Zions Bancorp................. 183,747 8,579,147
------------
118,614,443
------------
THRIFTS & MORTGAGE FINANCE -- 4.3%
People's United Financial,
Inc. ....................... 457,465 8,142,877
Washington Mutual, Inc. ...... 527,036 7,172,960
------------
15,315,837
------------
TOTAL COMMON STOCKS --
(Cost $404,620,531)......... 357,934,345
------------
SHORT TERM INVESTMENTS -- 1.4%
MONEY MARKET FUND -- 1.4%
STIC Prime Portfolio
(Cost $4,878,757)........... 4,878,757 4,878,757
------------
TOTAL INVESTMENTS -- 101.0%
(Cost $409,499,288)......... 362,813,102
OTHER ASSETS AND
LIABILITIES -- (1.0)%....... (3,451,961)
------------
NET ASSETS -- 100.0%.......... $359,361,141
============
</Table>
(a) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
108
KBW CAPITAL MARKETS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
ASSET MANAGEMENT & CUSTODY BANKS -- 22.3%
Franklin Resources, Inc. ...... 43,980 $ 5,032,631
Janus Capital Group, Inc. ..... 182,415 5,992,333
Legg Mason, Inc. .............. 59,282 4,336,478
SEI Investments Co. ........... 198,571 6,388,029
State Street Corp. (a)......... 85,963 6,980,196
T. Rowe Price Group, Inc. ..... 106,296 6,471,301
------------
35,200,968
------------
INVESTMENT BANKING & BROKERAGE -- 52.9%
E*TRADE Financial Corp. (b).... 228,930 812,702
Investment Technology Group,
Inc. (b)..................... 71,250 3,390,787
Jefferies Group, Inc. ......... 116,408 2,683,204
Knight Capital Group, Inc.
(b).......................... 167,669 2,414,434
Lehman Brothers Holdings,
Inc. ........................ 155,832 10,197,646
Merrill Lynch & Co., Inc. ..... 219,039 11,758,014
Morgan Stanley................. 247,681 13,154,338
optionsXpress Holdings, Inc. .. 90,244 3,052,052
Raymond James Financial,
Inc. ........................ 165,964 5,420,384
TD Ameritrade Holding Corp.
(b).......................... 337,606 6,772,376
The Bear Stearns Cos., Inc. ... 45,601 4,024,288
The Charles Schwab Corp. ...... 275,257 7,032,816
The Goldman Sachs Group,
Inc. ........................ 58,496 12,579,565
------------
83,292,606
------------
SPECIALIZED FINANCE -- 24.7%
CME Group, Inc. ............... 19,733 13,536,838
IntercontinentalExchange, Inc.
(b).......................... 32,035 6,166,737
Nymex Holdings, Inc. .......... 52,560 7,022,542
NYSE Euronext.................. 57,855 5,077,933
The Nasdaq Stock Market, Inc.
(b).......................... 145,314 7,191,591
------------
38,995,641
------------
TOTAL COMMON STOCKS --
(Cost $167,859,205).......... 157,489,215
------------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
STIC Prime Portfolio
(Cost $400,245).............. 400,245 400,245
------------
TOTAL INVESTMENTS -- 100.2%
(Cost $168,259,450).......... 157,889,460
OTHER ASSETS AND
LIABILITIES -- (0.2)%........ (253,971)
------------
NET ASSETS -- 100.0%........... $157,635,489
============
</Table>
(a) Affiliated issuer. (Note 3)
(b) Non-income producing security.
See accompanying notes to financial statements.
109
KBW INSURANCE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
INSURANCE BROKERS -- 8.8%
AON Corp. ...................... 80,767 $ 3,851,778
Marsh & McLennan Cos., Inc. .... 133,638 3,537,398
-----------
7,389,176
-----------
LIFE & HEALTH INSURANCE -- 34.3%
AFLAC, Inc. .................... 65,342 4,092,369
Lincoln National Corp. ......... 56,217 3,272,954
MetLife, Inc. .................. 116,131 7,155,992
Principal Financial Group,
Inc. ......................... 49,580 3,413,087
Prudential Financial, Inc. ..... 79,648 7,410,450
Unum Group...................... 151,297 3,599,356
-----------
28,944,208
-----------
MULTI-LINE INSURANCE -- 14.7%
American International Group,
Inc. ......................... 113,475 6,615,593
Genworth Financial, Inc. (Class
A)............................ 89,458 2,276,706
Hartford Financial Services
Group, Inc. .................. 40,049 3,491,872
-----------
12,384,171
-----------
PROPERTY & CASUALTY INSURANCE -- 38.3%
ACE, Ltd. ...................... 59,839 3,696,854
Axis Capital Holdings, Ltd. .... 47,021 1,832,408
Chubb Corp. .................... 63,405 3,460,645
Cincinnati Financial Corp. ..... 60,756 2,402,292
Fidelity National Financial,
Inc. ......................... 53,495 781,562
MBIA, Inc. ..................... 50,500 940,815
SAFECO Corp. ................... 47,781 2,660,446
The Allstate Corp. ............. 110,411 5,766,767
The Progressive Corp. .......... 153,383 2,938,818
The Travelers Cos., Inc. ....... 106,826 5,747,239
XL Capital, Ltd. (Class A)...... 41,503 2,088,016
-----------
32,315,862
-----------
REINSURANCE -- 2.6%
Everest Re Group, Ltd. ......... 22,081 2,216,932
-----------
THRIFTS & MORTGAGE FINANCE -- 1.1%
MGIC Investment Corp. .......... 43,215 969,312
-----------
TOTAL COMMON STOCKS --
(Cost $97,876,481)............ 84,219,661
-----------
SHORT TERM INVESTMENTS-- 0.7%
MONEY MARKET FUND-- 0.7%
STIC Prime Portfolio
(Cost $618,038)............... 618,038 618,038
-----------
TOTAL INVESTMENTS -- 100.5%
(Cost $98,494,519)............ 84,837,699
OTHER ASSETS AND
LIABILITIES -- (0.5)%......... (395,754)
-----------
NET ASSETS -- 100.0%............ $84,441,945
===========
</Table>
See accompanying notes to financial statements.
110
MORGAN STANLEY TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT -- 19.8%
Alcatel-Lucent ADR............ 1,046,698 $ 7,661,829
Cisco Systems, Inc. (a)....... 270,098 7,311,553
Juniper Networks, Inc. (a).... 222,625 7,391,150
Motorola, Inc. ............... 474,078 7,604,211
QUALCOMM, Inc. ............... 193,320 7,607,142
Research In Motion, Ltd. (a).. 65,100 7,382,340
Telefonaktiebolaget LM
Ericsson (Class B) ADR...... 331,611 7,743,117
------------
52,701,342
------------
COMPUTERS & PERIPHERALS -- 17.1%
Apple, Inc. (a)............... 39,799 7,883,386
Dell, Inc. (a)................ 310,485 7,609,987
EMC Corp. (a)................. 406,037 7,523,866
Hewlett-Packard Co. .......... 148,420 7,492,242
International Business
Machines Corp. ............. 69,594 7,523,111
Network Appliance, Inc. (a)... 301,277 7,519,874
------------
45,552,466
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.9%
Flextronics International,
Ltd. (a).................... 635,300 7,661,718
------------
INTERNET & CATALOG RETAIL -- 2.9%
Amazon.com, Inc. (a).......... 84,610 7,838,270
------------
INTERNET SOFTWARE & SERVICES -- 8.5%
eBay, Inc. (a)................ 225,198 7,474,322
Google, Inc. (Class A) (a).... 11,109 7,681,651
Yahoo!, Inc. (a).............. 321,708 7,482,928
------------
22,638,901
------------
IT SERVICES -- 11.4%
Accenture, Ltd. (Class A)..... 203,309 7,325,224
Automatic Data Processing,
Inc. ....................... 171,898 7,654,618
Electronic Data Systems
Corp. ...................... 364,933 7,565,061
Infosys Technologies, Ltd.
ADR......................... 171,192 7,765,269
------------
30,310,172
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.2%
Analog Devices, Inc. ......... 242,469 7,686,267
Applied Materials, Inc. ...... 430,603 7,647,509
Broadcom Corp. (Class A) (a).. 291,905 7,630,397
Intel Corp. .................. 287,162 7,655,739
NVIDIA Corp. (a).............. 219,663 7,472,935
Texas Instruments, Inc. ...... 228,596 7,635,107
------------
45,727,954
------------
SOFTWARE -- 20.2%
Adobe Systems, Inc. (a)....... 183,129 7,825,102
Electronic Arts, Inc. (a)..... 131,118 7,658,602
Intuit, Inc. (a).............. 243,806 7,706,708
Microsoft Corp. .............. 214,269 7,627,977
Oracle Corp. (a).............. 339,873 7,674,332
Salesforce.com, Inc. (a)...... 121,200 7,598,028
SAP AG ADR.................... 150,281 7,671,845
------------
53,762,594
------------
TOTAL COMMON STOCKS --
(Cost $257,625,729)......... 266,193,417
------------
SHORT TERM INVESTMENTS -- 0.0% (B)
MONEY MARKET FUND -- 0.0% (B)
STIC Prime Portfolio
(Cost $96,048).............. 96,048 96,048
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $257,721,777)......... 266,289,465
OTHER ASSETS AND
LIABILITIES -- 0.0% (B)..... (34,187)
------------
NET ASSETS -- 100.0%.......... $266,255,278
============
</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.
111
SPDR S&P DIVIDEND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
BEVERAGES -- 2.7%
Anheuser-Busch Cos., Inc. .... 66,524 $ 3,481,866
The Coca-Cola Co. ............ 46,794 2,871,748
------------
6,353,614
------------
CHEMICALS -- 6.9%
PPG Industries, Inc. ......... 60,053 4,217,522
Rohm & Haas Co. .............. 67,112 3,561,634
RPM International, Inc. ...... 274,931 5,581,099
Valspar Corp. ................ 136,387 3,074,163
------------
16,434,418
------------
COMMERCIAL BANKS -- 28.6%
Associated Bancorp............ 226,240 6,128,842
BB&T Corp. ................... 195,202 5,986,845
Comerica, Inc. ............... 169,516 7,379,032
Fifth Third Bancorp........... 264,351 6,643,141
FirstMerit Corp. ............. 377,531 7,554,395
Keycorp....................... 305,812 7,171,291
M&T Bank Corp. ............... 47,483 3,873,188
Regions Financial Corp. ...... 303,045 7,167,014
Synovus Financial Corp. ...... 177,404 4,271,888
U.S. Bancorp.................. 205,386 6,518,952
Wilmington Trust Corp. ....... 144,759 5,095,517
------------
67,790,105
------------
COMMERCIAL SERVICES & SUPPLIES -- 5.3%
ABM Industries, Inc. ......... 151,545 3,090,003
Avery Dennison Corp. ......... 82,273 4,371,987
Pitney Bowes, Inc. ........... 131,042 4,984,838
------------
12,446,828
------------
COMPUTERS & PERIPHERALS -- 1.4%
Diebold, Inc. ................ 111,847 3,241,326
------------
CONTAINERS & PACKAGING -- 2.0%
Sonoco Products Co. .......... 144,995 4,738,437
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.0%
Bank of America Corp. ........ 170,455 7,032,973
------------
ELECTRICAL EQUIPMENT -- 1.2%
Emerson Electric Co. ......... 50,644 2,869,489
------------
GAS UTILITIES -- 7.9%
National Fuel Gas Co. ........ 74,636 3,484,008
Northwest Natural Gas Co. .... 90,026 4,380,665
Piedmont Natural Gas Co.,
Inc. ....................... 199,160 5,210,026
WGL Holdings, Inc. ........... 171,887 5,631,018
------------
18,705,717
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3%
Hillenbrand Industries,
Inc. ....................... 53,841 3,000,559
------------
HOTELS, RESTAURANTS & LEISURE -- 1.5%
McDonald's Corp. ............. 58,440 3,442,700
------------
HOUSEHOLD DURABLES -- 3.7%
Leggett & Platt, Inc. ........ 331,561 5,782,424
The Stanley Works............. 63,222 3,065,003
------------
8,847,427
------------
HOUSEHOLD PRODUCTS -- 3.2%
Kimberly-Clark Corp. ......... 60,816 4,216,981
The Clorox Co. ............... 51,687 3,368,442
------------
7,585,423
------------
INDUSTRIAL CONGLOMERATES -- 3.0%
3M Co. ....................... 37,547 3,165,963
General Electric Co. ......... 109,472 4,058,127
------------
7,224,090
------------
INSURANCE -- 3.3%
Chubb Corp. .................. 54,272 2,962,166
Cincinnati Financial Corp. ... 122,450 4,841,673
------------
7,803,839
------------
IT SERVICES -- 1.4%
Automatic Data Processing,
Inc. ....................... 77,183 3,436,959
------------
MEDIA -- 2.8%
Gannett Co., Inc. ............ 168,677 6,578,403
------------
MULTI-UTILITIES -- 10.3%
Black Hills Corp. ............ 107,207 4,727,829
Consolidated Edison, Inc. .... 133,520 6,522,452
Integrys Energy Group, Inc. .. 138,175 7,142,266
Vectren Corp. ................ 205,723 5,968,024
------------
24,360,571
------------
PHARMACEUTICALS -- 7.2%
Abbott Laboratories........... 53,157 2,984,766
Eli Lilly & Co. .............. 82,875 4,424,696
Johnson & Johnson............. 49,899 3,328,263
Pfizer, Inc. ................. 276,585 6,286,777
------------
17,024,502
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.7%
V. F. Corp. .................. 60,326 4,141,983
------------
WATER UTILITIES -- 1.3%
American States Water Co. .... 81,248 3,061,425
------------
TOTAL COMMON STOCKS --
(Cost $250,206,709)......... 236,120,788
------------
SHORT TERM INVESTMENTS -- 2.4%
MONEY MARKET FUND -- 2.5%
STIC Prime Portfolio
(Cost $5,782,662)........... 5,782,662 5,782,662
------------
TOTAL INVESTMENTS -- 102.1%
(Cost $255,989,371)......... 241,903,450
OTHER ASSETS AND
LIABILITIES -- (2.1)%....... (4,868,786)
------------
NET ASSETS -- 100.0%.......... $237,034,664
============
</Table>
See accompanying notes to financial statements.
112
SPDR S&P BIOTECH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 100.0%
Alexion Pharmaceuticals, Inc.
(a).......................... 128,622 $ 9,650,509
Alkermes, Inc. (a)............. 612,839 9,554,160
Alnylam Pharmaceuticals, Inc.
(a).......................... 325,340 9,460,887
Amgen, Inc. (a)................ 202,408 9,399,827
Amylin Pharmaceuticals, Inc.
(a).......................... 254,290 9,408,730
Biogen Idec, Inc. (a).......... 168,538 9,593,183
BioMarin Pharmaceuticals, Inc.
(a).......................... 267,685 9,476,049
Celgene Corp. (a).............. 202,795 9,371,157
Cephalon, Inc. (a)............. 132,872 9,534,895
Cepheid, Inc. (a).............. 354,613 9,344,052
Cubist Pharmaceuticals, Inc.
(a).......................... 443,266 9,091,386
Genentech, Inc. (a)............ 143,361 9,615,222
Genzyme Corp. (a).............. 127,327 9,478,222
Gilead Sciences, Inc. (a)...... 209,204 9,625,476
Human Genome Sciences, Inc.
(a).......................... 881,198 9,199,707
ImClone Systems, Inc. (a)...... 218,503 9,395,629
Isis Pharmaceuticals, Inc.
(a).......................... 598,653 9,428,785
Life Cell Corp. (a)............ 213,290 9,194,932
Medarex, Inc. (a).............. 881,198 9,182,083
Millennium Pharmaceuticals,
Inc. (a)..................... 631,554 9,460,679
Myriad Genetics, Inc. (a)...... 200,735 9,318,119
Onyx Pharmaceuticals, Inc.
(a).......................... 169,764 9,442,274
OSI Pharmaceuticals, Inc. (a).. 193,349 9,379,360
PDL BioPharma, Inc. (a)........ 548,715 9,613,487
Pharmion Corp. (a)............. 155,200 9,755,872
Regeneron Pharmaceuticals, Inc.
(a).......................... 405,153 9,784,445
Theravance, Inc. (a)........... 454,440 8,861,580
United Therapeutics Corp. (a).. 97,488 9,519,703
Vertex Pharmaceuticals, Inc.
(a).......................... 390,618 9,074,056
------------
TOTAL COMMON STOCKS --
(Cost $277,079,677).......... 273,214,466
------------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
STIC Prime Portfolio
(Cost $187,648).............. 187,648 187,648
------------
TOTAL INVESTMENTS -- 100.1%
(Cost $277,267,325).......... 273,402,114
OTHER ASSETS AND
LIABILITIES -- (0.1)%........ (163,403)
------------
NET ASSETS -- 100.0%........... $273,238,711
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
113
SPDR S&P HOMEBUILDERS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
HOME FURNISHINGS -- 4.8%
Mohawk Industries, Inc. (a)... 201,833 $ 15,016,375
------------
HOME IMPROVEMENT RETAIL -- 14.3%
Lowe's Cos., Inc. ............ 650,517 14,714,695
The Home Depot, Inc. ......... 569,751 15,349,092
The Sherwin-Williams Co. ..... 258,710 15,015,528
------------
45,079,315
------------
HOMEBUILDING -- 80.7%
Avatar Holdings, Inc. (a)..... 388,389 16,242,428
Beazer Homes USA, Inc. ....... 1,765,626 13,118,601
Cavco Industries, Inc. (a).... 530,455 17,950,597
Centex Corp. ................. 600,377 15,165,523
Champion Enterprises, Inc.
(a)......................... 1,588,030 14,959,242
D.R. Horton, Inc. ............ 1,132,713 14,917,830
Hovnanian Enterprises, Inc.
(a)......................... 2,154,570 15,448,267
KB HOME....................... 664,463 14,352,401
Lennar Corp. (Class A)........ 882,676 15,791,074
M.D.C. Holdings, Inc. ........ 398,476 14,795,414
Meritage Homes Corp. (a)...... 858,804 12,512,774
NVR, Inc. (a)................. 29,009 15,200,716
Pulte Homes, Inc. ............ 1,480,479 15,604,249
Ryland Group, Inc. ........... 554,109 15,265,703
Skyline Corp. ................ 533,350 15,653,822
Standard Pacific Corp. ....... 3,819,571 12,795,563
Toll Brothers, Inc. (a)....... 719,878 14,440,753
WCI Communities, Inc. (a)..... 20 76
------------
254,215,033
------------
TOTAL COMMON STOCKS --
(Cost $349,700,496)......... 314,310,723
------------
SHORT TERM INVESTMENTS -- 2.1%
MONEY MARKET FUND -- 2.1%
STIC Prime Portfolio
(Cost $6,453,909)........... 6,453,909 6,453,909
------------
TOTAL INVESTMENTS -- 101.9%
(Cost $356,154,405)......... 320,764,632
OTHER ASSETS AND
LIABILITIES -- (1.9)%....... (5,908,011)
------------
NET ASSETS -- 100.0%.......... $314,856,621
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
114
SPDR S&P METALS & MINING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
ALUMINUM -- 4.2%
Alcoa, Inc. .................. 321,714 $ 11,758,647
------------
COAL & CONSUMABLE FUELS -- 24.9%
Alpha Natural Resources, Inc.
(a)......................... 345,896 11,234,702
Arch Coal, Inc. .............. 268,075 12,044,610
CONSOL Energy, Inc. .......... 163,712 11,708,682
Foundation Coal Holdings,
Inc. ....................... 225,719 11,850,247
Massey Energy Co. ............ 315,120 11,265,540
Peabody Energy Corp. ......... 193,600 11,933,504
------------
70,037,285
------------
DIVERSIFIED METALS & MINING -- 12.2%
Freeport-McMoRan Copper &
Gold, Inc. ................. 113,612 11,638,413
RTI International Metals, Inc.
(a)......................... 162,870 11,226,629
Titanium Metals Corp. ........ 434,489 11,492,234
------------
34,357,276
------------
GOLD -- 4.2%
Newmont Mining Corp. ......... 240,230 11,730,431
------------
PRECIOUS METALS & MINERALS -- 12.8%
Coeur d' Alene Mines Corp.
(a)......................... 2,580,975 12,750,016
Hecla Mining Co. (a).......... 1,251,816 11,704,480
Stillwater Mining Co. (a)..... 1,206,523 11,655,012
------------
36,109,508
------------
STEEL -- 41.6%
AK Steel Holding Corp. (a).... 259,353 11,992,483
Allegheny Technologies,
Inc. ....................... 134,206 11,595,399
Carpenter Technology Corp. ... 155,742 11,707,126
Cleveland-Cliffs, Inc. ....... 115,263 11,618,511
Commercial Metals Co. ........ 389,346 11,466,240
Nucor Corp. .................. 193,469 11,457,234
Quanex Corp. ................. 220,628 11,450,593
Reliance Steel & Aluminum
Co. ........................ 212,626 11,524,329
Steel Dynamics, Inc. ......... 204,762 12,197,672
United States Steel Corp. .... 101,496 12,271,881
------------
117,281,468
------------
TOTAL COMMON STOCKS --
(Cost $278,215,981)......... 281,274,615
------------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
STIC Prime Portfolio
(Cost $808,938)............. 808,938 808,938
------------
TOTAL INVESTMENTS -- 100.2%
(Cost $279,024,919)......... 282,083,553
OTHER ASSETS AND
LIABILITIES -- (0.2)%....... (458,552)
------------
NET ASSETS -- 100.0%.......... $281,625,001
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
115
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
OIL & GAS DRILLING -- 39.3%
Diamond Offshore Drilling,
Inc. ........................ 60,768 $ 8,629,056
ENSCO International, Inc. ..... 141,971 8,464,311
Helmerich & Payne, Inc. ....... 217,798 8,727,166
Nabors Industries, Ltd. (a).... 301,104 8,247,238
Noble Corp. ................... 155,347 8,778,659
Patterson-UTI Energy, Inc. .... 428,650 8,367,248
Pride International, Inc. (a).. 267,353 9,063,267
Rowan Cos., Inc. .............. 219,248 8,651,526
Transocean, Inc. (a)........... 59,031 8,450,288
------------
77,378,759
------------
OIL & GAS EQUIPMENT & SERVICES -- 56.3%
Baker Hughes, Inc. ............ 103,568 8,399,365
BJ Services Co. ............... 352,537 8,552,548
Cameron International Corp.
(a).......................... 178,880 8,609,494
Dresser-Rand Group, Inc. (a)... 215,400 8,411,370
Exterran Holdings, Inc. (a).... 104,587 8,555,217
FMC Technologies, Inc. (a)..... 151,328 8,580,298
Grant Prideco, Inc. (a)........ 151,767 8,424,586
Halliburton Co. ............... 227,887 8,639,196
National-Oilwell Varco, Inc.
(a).......................... 116,726 8,574,692
Oceaneering International, Inc.
(a).......................... 124,093 8,357,663
Schlumberger, Ltd. ............ 89,781 8,831,757
Smith International, Inc. ..... 114,403 8,448,661
Weatherford International, Ltd.
(a).......................... 124,155 8,517,033
------------
110,901,880
------------
OIL & GAS EXPLORATION & PRODUCTION -- 4.3%
Helix Energy Solutions Group,
Inc. (a)..................... 204,800 8,499,200
------------
TOTAL COMMON STOCKS --
(Cost $179,262,720).......... 196,779,839
------------
SHORT TERM INVESTMENTS -- 0.4%
MONEY MARKET FUND -- 0.4%
STIC Prime Portfolio
(Cost $730,507).............. 730,507 730,507
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $179,993,227).......... 197,510,346
OTHER ASSETS AND
LIABILITIES -- (0.3)%........ (618,871)
------------
NET ASSETS -- 100.0%........... $196,891,475
============
</Table>
(a) Non-income producing security.
116
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
INTEGRATED OIL & GAS -- 11.5%
Chevron Corp. .................. 26,127 $ 2,438,433
ConocoPhillips.................. 28,334 2,501,892
Exxon Mobil Corp. .............. 26,296 2,463,672
Occidental Petroleum Corp. ..... 32,394 2,494,014
-----------
9,898,011
-----------
OIL & GAS EXPLORATION & PRODUCTION -- 74.2%
Anadarko Petroleum Corp. ....... 37,116 2,438,150
Apache Corp. ................... 22,723 2,443,631
Berry Petroleum Co. (Class A)... 55,053 2,447,106
Cabot Oil & Gas Corp. .......... 62,286 2,514,486
Chesapeake Energy Corp. ........ 62,854 2,463,877
Cimarex Energy Co. ............. 58,181 2,474,438
Comstock Resources, Inc. (a).... 70,304 2,390,336
Denbury Resources, Inc. (a)..... 85,422 2,541,305
Devon Energy Corp. ............. 26,938 2,395,058
Encore Acquisition Co. (a)...... 73,586 2,455,565
EOG Resources, Inc. ............ 27,170 2,424,923
Forest Oil Corp. (a)............ 48,085 2,444,641
Mariner Energy, Inc. (a)........ 107,541 2,460,538
Newfield Exploration Co. (a).... 47,499 2,503,197
Noble Energy, Inc. ............. 30,095 2,393,154
Penn Virginia Corp. ............ 54,974 2,398,516
Petrohawk Energy Corp. (a)...... 140,066 2,424,542
Pioneer Natural Resources Co. .. 51,070 2,494,259
Plains Exploration & Production
Co. (a)....................... 44,591 2,407,914
Quicksilver Resources, Inc.
(a)........................... 41,404 2,467,264
Range Resources Corp. .......... 48,682 2,500,308
Southwestern Energy Co. (a)..... 43,462 2,421,703
St. Mary Land & Exploration
Co. .......................... 64,405 2,486,677
Ultra Petroleum Corp. (a)....... 35,789 2,558,913
Whiting Petroleum Corp. (a)..... 43,028 2,480,994
XTO Energy, Inc. ............... 46,114 2,368,389
-----------
63,799,884
-----------
OIL & GAS REFINING & MARKETING -- 14.2%
Frontier Oil Corp. ............. 59,928 2,431,878
Holly Corp. .................... 47,077 2,395,749
Sunoco, Inc. ................... 34,384 2,490,777
Tesoro Corp. ................... 51,354 2,449,586
Valero Energy Corp. ............ 34,742 2,432,982
-----------
12,200,972
-----------
TOTAL COMMON STOCKS --
(Cost $84,223,321)............ 85,898,867
-----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
STIC Prime Portfolio
(Cost $120,604)............... 120,604 120,604
-----------
TOTAL INVESTMENTS -- 100.1%
(Cost $84,343,925)............ 86,019,471
OTHER ASSETS AND
LIABILITIES -- (0.1)%......... (51,471)
-----------
NET ASSETS -- 100.0%............ $85,968,000
===========
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements
117
SPDR S&P PHARMACEUTICALS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
PHARMACEUTICALS -- 100.0%
Abbott Laboratories............. 6,660 $ 373,959
Adams Respiratory Therapeutics,
Inc. (a)...................... 6,476 386,876
Allergan, Inc. ................. 5,974 383,770
Barr Pharmaceuticals, Inc. (a).. 7,143 379,293
Bristol-Myers Squibb Co. ....... 13,868 367,779
Eli Lilly & Co. ................ 7,155 382,005
Endo Pharmaceuticals Holdings,
Inc. (a)...................... 14,372 383,301
Forest Laboratories, Inc. (a)... 10,625 387,281
Johnson & Johnson............... 5,704 380,457
King Pharmaceuticals, Inc. (a).. 36,711 375,921
KV Pharmaceutical Co. (Class A)
(a)........................... 13,721 391,597
Medicis Pharmaceutical Corp.
(Class A)..................... 14,682 381,292
Merck & Co., Inc. .............. 6,560 381,202
MGI Pharma, Inc. (a)............ 9,629 390,263
Mylan Laboratories, Inc. ....... 28,743 404,127
Perrigo Co. .................... 11,061 387,246
Pfizer, Inc. ................... 16,697 379,523
Schering-Plough Corp. .......... 14,209 378,528
Sepracor, Inc. (a).............. 14,319 375,874
Valeant Pharmaceuticals
International (a)............. 33,451 400,408
Watson Pharmaceuticals, Inc.
(a)........................... 14,054 381,426
Wyeth........................... 8,281 365,936
TOTAL COMMON STOCKS --
(Cost $9,029,361)............. 8,418,064
----------
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
STIC Prime Portfolio
(Cost $15,543)................ 15,543 15,543
----------
TOTAL INVESTMENTS -- 100.2%
(Cost $9,044,904)............. 8,433,607
OTHER ASSETS AND
LIABILITIES -- (0.2)%......... (15,847)
----------
NET ASSETS -- 100.0%............ $8,417,760
==========
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements
118
SPDR S&P RETAIL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
APPAREL RETAIL -- 36.0%
Abercrombie & Fitch Co. ...... 23,669 $ 1,892,810
Aeropostale, Inc. (a)......... 71,740 1,901,110
American Eagle Outfitters,
Inc. ....................... 92,636 1,924,050
AnnTaylor Stores Corp. (a).... 74,576 1,906,163
Charming Shoppes, Inc. (a).... 370,201 2,002,787
Chico's FAS, Inc. (a)......... 204,381 1,845,560
Collective Brands, Inc. (a)... 108,881 1,893,441
Foot Locker, Inc. ............ 145,984 1,994,141
Genesco, Inc. (a)............. 58,956 2,228,537
Guess ?, Inc. ................ 46,540 1,763,401
Gymboree Corp. (a)............ 60,767 1,850,963
J. Crew Group, Inc. (a)....... 38,900 1,875,369
Limited Brands, Inc. ......... 106,866 2,022,973
Mens Wearhouse, Inc. ......... 67,378 1,817,858
Pacific Sunwear of California,
Inc. (a).................... 130,631 1,843,203
Ross Stores, Inc. ............ 75,814 1,938,564
Stage Stores, Inc. ........... 126,175 1,867,390
The Gap, Inc. ................ 90,170 1,918,818
The TJX Cos., Inc. ........... 66,826 1,919,911
Tween Brands, Inc. (a)........ 75,032 1,986,847
Urban Outfitters, Inc. (a).... 72,402 1,973,679
------------
40,367,575
------------
CATALOG RETAIL -- 8.7%
Gaiam, Inc. (a)............... 67,195 1,994,348
PC Mall, Inc. (a)............. 184,230 1,715,181
Sport Supply Group, Inc. ..... 280,293 2,228,329
Systemax, Inc. ............... 99,854 2,029,033
ValueVision Media, Inc. (Class
A) (a)...................... 285,184 1,793,808
------------
9,760,699
------------
COMPUTER & ELECTRONICS RETAIL -- 5.2%
Best Buy Co., Inc. ........... 37,388 1,968,478
GameStop Corp. (Class A) (a).. 31,931 1,983,235
RadioShack Corp. ............. 108,941 1,836,745
------------
5,788,458
------------
DEPARTMENT STORES -- 8.7%
J. C. Penney Co., Inc. ....... 44,745 1,968,332
Kohl's Corp. (a).............. 42,505 1,946,729
Macy's, Inc. ................. 73,926 1,912,466
Nordstrom, Inc. .............. 54,080 1,986,358
Sears Holdings Corp. (a)...... 19,238 1,963,238
------------
9,777,123
------------
DRUG RETAIL -- 3.5%
CVS Caremark Corp. ........... 49,485 1,967,029
Walgreen Co. ................. 51,003 1,942,194
------------
3,909,223
------------
FOOD RETAIL -- 8.5%
Casey's General Stores,
Inc. ....................... 63,890 1,891,783
Safeway, Inc. ................ 55,439 1,896,568
SUPERVALU, Inc. .............. 51,646 1,937,758
The Kroger Co. ............... 73,209 1,955,412
Whole Foods Market, Inc. ..... 46,081 1,880,105
------------
9,561,626
------------
FOOTWEAR -- 1.6%
Brown Shoe Co., Inc. ......... 115,347 1,749,814
------------
GENERAL MERCHANDISE STORES -- 3.4%
Family Dollar Stores, Inc. ... 100,720 1,936,846
Target Corp. ................. 38,716 1,935,800
------------
3,872,646
------------
HYPERMARKETS & SUPER CENTERS -- 3.5%
Costco Wholesale Corp. ....... 28,001 1,953,350
Wal-Mart Stores, Inc. ........ 40,696 1,934,281
------------
3,887,631
------------
SPECIALTY STORES -- 20.6%
Barnes & Noble, Inc. ......... 54,531 1,878,593
Blockbuster, Inc. (Class A)
(a)......................... 512,290 1,997,931
Borders Group, Inc. .......... 178,368 1,899,619
Dick's Sporting Goods, Inc.
(a)......................... 68,845 1,911,137
Office Depot, Inc. (a)........ 149,889 2,084,956
OfficeMax, Inc. .............. 93,388 1,929,396
PetSmart, Inc. ............... 79,595 1,872,871
Sally Beauty Holdings, Inc.
(a)......................... 197,987 1,791,782
Staples, Inc. ................ 84,789 1,956,082
Tiffany & Co. ................ 42,367 1,950,153
Tractor Supply Co. (a)........ 52,168 1,874,918
Zale Corp. (a)................ 124,182 1,994,363
------------
23,141,801
------------
TOTAL COMMON STOCKS --
(Cost $116,028,932)......... 111,816,596
------------
SHORT TERM INVESTMENTS -- 1.0%
MONEY MARKET FUND -- 1.0%
STIC Prime Portfolio
(Cost $1,116,931)........... 1,116,931 1,116,931
------------
TOTAL INVESTMENTS -- 100.7%
(Cost $117,145,863)......... 112,933,527
OTHER ASSETS AND
LIABILITIES -- (0.7)%....... (766,585)
------------
NET ASSETS -- 100.0%.......... $112,166,942
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
119
SPDR S&P SEMICONDUCTOR ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
SEMICONDUCTORS -- 99.8%
Advanced Micro Devices, Inc.
(a)......................... 918,364 $ 6,887,730
Altera Corp. ................. 368,976 7,128,616
Analog Devices, Inc. ......... 224,522 7,117,347
Atmel Corp. (a)............... 1,575,693 6,806,994
Broadcom Corp. (Class A) (a).. 270,278 7,065,067
Cree, Inc. (a)................ 306,520 8,420,104
Cypress Semiconductor Corp.
(a)......................... 198,929 7,167,412
Fairchild Semiconductor
International, Inc. (a)..... 476,937 6,882,201
Integrated Device Technology,
Inc. (a).................... 622,103 7,035,985
Intel Corp. .................. 265,354 7,074,338
International Rectifier Corp.
(a)......................... 214,848 7,298,386
Intersil Corp. (Class A)...... 285,030 6,977,534
Linear Technology Corp. ...... 223,676 7,119,607
LSI Logic Corp. (a)........... 1,303,051 6,919,201
Microchip Technology, Inc. ... 218,842 6,876,016
Micron Technology, Inc. (a)... 950,032 6,887,732
National Semiconductor
Corp. ...................... 305,998 6,927,795
NVIDIA Corp. (a).............. 203,428 6,920,620
ON Semiconductor Corp. (a).... 808,326 7,177,935
Sigma Designs, Inc. (a)....... 118,408 6,536,122
Silicon Laboratories, Inc.
(a)......................... 193,430 7,240,085
Texas Instruments, Inc. ...... 211,689 7,070,413
Xilinx, Inc. ................. 320,207 7,002,927
------------
TOTAL COMMON STOCKS --
(Cost $189,933,644)......... 162,540,167
------------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
STIC Prime Portfolio
(Cost $538,159)............. 538,159 538,159
------------
TOTAL INVESTMENTS -- 100.1%
(Cost $190,471,803)......... 163,078,326
OTHER ASSETS AND
LIABILITIES -- (0.1)%....... (212,434)
------------
NET ASSETS -- 100.0%.......... $162,865,892
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
120
KBW REGIONAL BANKING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
REGIONAL BANKS -- 88.1%
Associated Bancorp............ 118,079 $ 3,198,760
BancorpSouth, Inc. ........... 164,305 3,879,241
Bank of Hawaii Corp. ......... 77,339 3,955,116
Boston Private Financial
Holdings, Inc. ............. 130,295 3,528,389
Cathay General Bancorp........ 115,433 3,057,820
Central Pacific Financial
Corp. ...................... 110,012 2,030,822
Citizens Republic Bancorp,
Inc. ....................... 210,474 3,053,978
City National Corp. .......... 55,645 3,313,660
Commerce Bancshares, Inc. .... 93,726 4,204,564
Cullen/Frost Bankers, Inc. ... 69,194 3,505,368
CVB Financial Corp. .......... 297,291 3,073,989
East West Bancorp, Inc. ...... 111,280 2,696,314
F N B Corp. .................. 204,968 3,013,030
First Commonwealth Financial
Corp. ...................... 312,268 3,325,654
First Community Bancorp,
Inc. ....................... 74,683 3,079,927
First Horizon National
Corp. ...................... 90,967 1,651,051
First Midwest Bancorp, Inc. .. 113,995 3,488,247
FirstMerit Corp. ............. 150,668 3,014,867
Frontier Financial Corp. ..... 152,044 2,823,457
Fulton Financial Corp. ....... 222,513 2,496,596
National Penn Bancshares,
Inc. ....................... 225,418 3,412,824
Old National Bancorp.......... 184,627 2,762,020
Pacific Capital Bancorp....... 128,941 2,595,582
Prosperity Bancshares, Inc. .. 108,630 3,192,636
Provident Bankshares Corp. ... 118,079 2,525,710
Signature Bank (a)............ 100,415 3,389,006
South Financial Group, Inc. .. 138,463 2,164,177
Sterling Bancshares, Inc. .... 290,521 3,242,214
Sterling Financial
Corp. -- Washington......... 118,079 1,982,546
Susquehanna Bancshares,
Inc. ....................... 169,726 3,129,747
SVB Financial Group (a)....... 82,798 4,173,019
Synovus Financial Corp. ...... 139,874 3,368,166
TCF Financial Corp. .......... 150,668 2,701,477
The Colonial BancGroup,
Inc. ....................... 173,688 2,351,736
Trustmark Corp. .............. 135,739 3,442,341
UCBH Holdings, Inc. .......... 218,585 3,095,164
Umpqua Holdings Corp. ........ 149,352 2,291,060
UnionBanCal Corp. ............ 59,714 2,920,612
United Bankshares, Inc. ...... 112,673 3,157,097
Valley National Bancorp....... 175,136 3,338,092
Westamerica Bancorp........... 76,002 3,385,889
Whitney Holding Corp. ........ 122,141 3,193,987
Wilmington Trust Corp. ....... 89,641 3,155,363
Wintrust Financial Corp. ..... 76,002 2,517,946
------------
133,879,261
------------
THRIFTS & MORTGAGE FINANCE -- 11.4%
Brookline Bancorp, Inc. ...... 252,498 2,565,380
Corus Bankshares, Inc. ....... 256,594 2,737,858
Hudson City Bancorp, Inc. .... 285,154 4,283,013
Provident Financial Services,
Inc. ....................... 214,547 3,093,768
Sovereign Bancorp, Inc. ...... 167,026 1,904,096
Webster Financial Corp. ...... 86,924 2,778,960
------------
17,363,075
------------
TOTAL COMMON STOCKS --
(Cost $159,270,493)......... 151,242,336
------------
SHORT TERM INVESTMENTS -- 2.1%
MONEY MARKET FUND -- 2.1%
STIC Prime Portfolio.......... 3,211,597 3,211,597
Federated Prime Obligations
Fund........................ 104 104
--------- ------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $3,211,701)........... 3,211,701 3,211,701
--------- ------------
TOTAL INVESTMENTS -- 101.6%
(Cost $162,482,194)......... 154,454,037
OTHER ASSETS AND
LIABILITIES -- (1.6)%....... (2,476,910)
------------
NET ASSETS -- 100.0%.......... $151,977,127
============
</Table>
(a) Non-income producing security.
See accompanying notes to financial statements.
121
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2007 (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).............................. $126,931,450 $10,166,002 $321,926,063
Investments in securities of affiliated issuers,
at value (Note 3).............................. 239,134 22,330 1,378,857
------------ ----------- ------------
Total Investments.............................. 127,170,584 10,188,332 323,304,920
Cash.............................................. -- 99 --
Foreign currency, at value........................ -- -- --
Receivable for investments sold................... -- -- 186,552
Receivable for Fund Shares sold in-kind........... -- -- 115,224
Dividends receivable (Note 2)..................... 174,447 13,941 246,836
------------ ----------- ------------
TOTAL ASSETS................................. 127,345,031 10,202,372 323,853,532
------------ ----------- ------------
LIABILITIES
Payable for investments purchased................. -- -- 333,500
Distributions payable............................. 533,234 60,756 669,700
Accrued advisory fee (Note 3)..................... 21,706 1,625 53,740
Accrued trustees fee (Note 3)..................... 388 30 2,010
------------ ----------- ------------
TOTAL LIABILITIES............................ 555,328 62,411 1,058,950
------------ ----------- ------------
NET ASSETS................................... $126,789,703 $10,139,961 $322,794,582
============ =========== ============
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).......................... $114,047,750 $10,009,070 $312,094,733
Undistributed (distribution in excess of) net
investment income.............................. 8,573 525 (89,032)
Accumulated net realized gain (loss) on
investments and foreign currency transactions.. (8,839,942) 49,824 (17,655,762)
Net unrealized appreciation (depreciation) on:
Investments.................................... 21,573,322 80,542 28,444,643
Foreign currency............................... -- -- --
------------ ----------- ------------
NET ASSETS................................... $126,789,703 $10,139,961 $322,794,582
============ =========== ============
NET ASSET VALUE PER SHARE
Net asset value per share......................... $ 105.65 $ 67.60 $ 58.69
============ =========== ============
Shares outstanding (unlimited amount authorized,
$0.01 par value)............................... 1,200,117 150,000 5,500,112
============ =========== ============
Investments in securities, at cost................ $105,597,262 $10,107,790 $294,860,277
============ =========== ============
Foreign currency, at cost......................... $ -- $ -- $ --
============ =========== ============
</Table>
122
- --------------------------------------------------------------------------------
<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
--------------- ----------- -------------- ------------- ----------- ----------------
$128,862,922 $23,617,831 $47,085,835 $11,324,504 $ 9,242,416 $90,009,727
-- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- -----------
128,862,922 23,617,831 47,085,835 11,324,504 9,242,416 90,009,727
-- 4,758 12,058 311 -- --
-- -- -- -- -- --
-- -- -- -- -- --
1,155 27,401 147,629 5,025 1,089 27,262
244,467 25,991 22,046 23,030 11,932 42,528
------------ ----------- ----------- ----------- ----------- -----------
129,108,544 23,675,981 47,267,568 11,352,870 9,255,437 90,079,517
------------ ----------- ----------- ----------- ----------- -----------
241,109 79,438 237,833 13,812 13,550 52,719
895,904 1,151,130 769,866 65,241 30,471 1,544,484
20,454 4,962 9,959 2,423 1,970 20,783
377 60 274 123 21 866
------------ ----------- ----------- ----------- ----------- -----------
1,157,844 1,235,590 1,017,932 81,599 46,012 1,618,852
------------ ----------- ----------- ----------- ----------- -----------
$127,950,700 $22,440,391 $46,249,636 $11,271,271 $ 9,209,425 $88,460,665
============ =========== =========== =========== =========== ===========
$123,827,303 $21,088,942 $46,250,471 $13,269,826 $10,276,118 $94,300,000
54,110 7,404 3,712 31,588 5,361 (6,291)
(1,144,253) 35,447 412,438 (501,427) 151,636 746,138
5,213,540 1,308,598 (416,985) (1,528,716) (1,223,690) (6,579,182)
-- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- -----------
$127,950,700 $22,440,391 $46,249,636 $11,271,271 $ 9,209,425 $88,460,665
============ =========== =========== =========== =========== ===========
$ 82.53 $ 56.10 $ 66.07 $ 56.36 $ 61.40 $ 98.28
============ =========== =========== =========== =========== ===========
1,550,421 400,000 700,000 200,000 150,000 900,100
============ =========== =========== =========== =========== ===========
$123,649,382 $22,309,233 $47,502,820 $12,853,220 $10,466,106 $96,588,909
============ =========== =========== =========== =========== ===========
$ -- $ -- $ -- $ -- $ -- $ --
============ =========== =========== =========== =========== ===========
</Table>
See accompanying notes to financial statements.
123
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2007 (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).................... $ 96,741,964 $189,792,199 $1,238,015,325
Investments in securities of affiliated issuers,
at value (Note 3)............................. -- -- --
------------ ------------ --------------
Total Investments............................. 96,741,964 189,792,199 1,238,015,325
Cash............................................. -- -- --
Foreign currency, at value....................... -- 58,199 --
Receivable for investments sold.................. 258,713 -- --
Receivable for Fund Shares sold in-kind.......... -- -- 1,339,006
Receivable for foreign taxes recoverable......... -- 1,700 --
Dividends receivable (Note 2).................... 213,845 368,756 11,191,785
------------ ------------ --------------
TOTAL ASSETS................................ 97,214,522 190,220,854 1,250,546,116
------------ ------------ --------------
LIABILITIES
Payable for Fund Shares repurchased in-kind...... -- -- --
Payable for investments purchased................ 385,717 -- 1,213,667
Distributions payable............................ 1,013,952 894,908 12,816,915
Accrued advisory fee (Note 3).................... 20,695 80,561 259,343
Accrued trustees fee (Note 3).................... 479 654 6,423
------------ ------------ --------------
TOTAL LIABILITIES........................... 1,420,843 976,123 14,296,348
------------ ------------ --------------
NET ASSETS.................................. $ 95,793,679 $189,244,731 $1,236,249,768
============ ============ ==============
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4)......................... $ 98,265,136 $175,927,986 $1,393,468,025
Undistributed (distribution in excess of) net
investment income............................. 30,737 (69,495) 2,763,070
Accumulated net realized gain (loss) on
investments and foreign currency
transactions.................................. 2,207,449 (4,348,576) (16,470,217)
Net unrealized appreciation (depreciation) on:
Investments................................... (4,709,643) 17,734,863 (143,511,110)
Foreign currency.............................. -- (47) --
------------ ------------ --------------
NET ASSETS.................................. $ 95,793,679 $189,244,731 $1,236,249,768
============ ============ ==============
NET ASSET VALUE PER SHARE
Net asset value per share........................ $ 66.01 $ 78.84 $ 69.37
============ ============ ==============
Shares outstanding (unlimited amount authorized,
$0.01 par value).............................. 1,451,131 2,400,253 17,820,536
============ ============ ==============
Investments in securities, at cost............... $101,451,607 $172,059,036 $1,381,526,435
============ ============ ==============
Foreign currency, at cost........................ $ -- $ 58,246 $ --
============ ============ ==============
</Table>
124
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
KBW KBW KBW MORGAN STANLEY SPDR S&P
BANK CAPITAL MARKETS INSURANCE TECHNOLOGY S&P DIVIDEND BIOTECH
ETF ETF ETF ETF ETF ETF
------------ --------------- ------------ -------------- ------------ ------------
$347,718,265 $150,909,264 $ 84,837,699 $266,289,465 $241,903,450 $273,402,114
15,094,837 6,980,196 -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
362,813,102 157,889,460 84,837,699 266,289,465 241,903,450 273,402,114
-- -- -- -- -- --
-- -- -- -- -- --
2,088,283 -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- 11
956,036 115,412 190,615 101,590 839,161 895
------------ ------------ ------------ ------------ ------------ ------------
365,857,421 158,004,872 85,028,314 266,391,055 242,742,611 273,403,020
------------ ------------ ------------ ------------ ------------ ------------
21,571 -- -- -- -- --
2,128,689 -- -- -- 327 --
4,224,888 318,710 554,307 20,873 5,637,353 88,751
119,505 49,876 31,386 112,973 68,501 74,154
1,627 797 676 1,931 1,766 1,404
------------ ------------ ------------ ------------ ------------ ------------
6,496,280 369,383 586,369 135,777 5,707,947 164,309
------------ ------------ ------------ ------------ ------------ ------------
$359,361,141 $157,635,489 $ 84,441,945 $266,255,278 $237,034,664 $273,238,711
============ ============ ============ ============ ============ ============
$412,101,421 $184,248,654 $ 98,895,019 $309,288,664 $257,025,896 $282,706,970
(1,608,725) (376,363) (292,968) (645) (358,295) (299,424)
(4,445,369) (15,866,812) (503,286) (51,600,429) (5,547,016) (5,303,624)
(46,686,186) (10,369,990) (13,656,820) 8,567,688 (14,085,921) (3,865,211)
-- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
$359,361,141 $157,635,489 $ 84,441,945 $266,255,278 $237,034,664 $273,238,711
============ ============ ============ ============ ============ ============
$ 43.56 $ 67.08 $ 52.78 $ 61.92 $ 55.12 $ 59.40
============ ============ ============ ============ ============ ============
8,250,003 2,350,000 1,600,000 4,300,104 4,300,054 4,600,000
============ ============ ============ ============ ============ ============
$409,499,288 $168,259,450 $ 98,494,519 $257,721,777 $255,989,371 $277,267,325
============ ============ ============ ============ ============ ============
$ -- $ -- $ -- $ -- $ -- $ --
============ ============ ============ ============ ============ ============
</Table>
See accompanying notes to financial statements.
125
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR SPDR S&P OIL & GAS
S&P S&P METALS & EQUIPMENT &
HOMEBUILDERS MINING SERVICES
ETF ETF ETF
------------ ------------ -------------
ASSETS
Investments in securities of unaffiliated issuers,
at value (Note 2).............................. $320,764,632 $282,083,553 $197,510,346
Investments in securities of affiliated issuers,
at value (Note 3).............................. -- -- --
------------ ------------ ------------
Total Investments.............................. 320,764,632 282,083,553 197,510,346
Cash.............................................. -- -- --
Foreign currency, at value........................ -- -- --
Receivable for investments sold................... 1,320,451 894,398 --
Dividends receivable (Note 2)..................... 377,829 164,365 46,474
------------ ------------ ------------
TOTAL ASSETS................................. 322,462,912 283,142,316 197,556,820
------------ ------------ ------------
LIABILITIES
Payable for Fund Shares repurchased in-kind....... 1,355 -- --
Payable for investments purchased................. 6,327,999 886,825 --
Distributions payable............................. 1,181,227 554,206 605,702
Accrued advisory fee (Note 3)..................... 93,454 74,299 58,636
Accrued trustees fee (Note 3)..................... 2,256 1,985 1,007
------------ ------------ ------------
TOTAL LIABILITIES............................ 7,606,291 1,517,315 665,345
------------ ------------ ------------
NET ASSETS................................... $314,856,621 $281,625,001 $196,891,475
============ ============ ============
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).......................... $376,860,362 $286,071,726 $177,751,647
Undistributed (distribution in excess of) net
investment income.............................. 148,012 (39,985) (1,789)
Accumulated net realized gain (loss) on
investments and foreign currency transactions.. (26,761,980) (7,465,374) 1,624,498
Net unrealized appreciation (depreciation) on:
Investments.................................... (35,389,773) 3,058,634 17,517,119
Foreign currency............................... -- -- --
------------ ------------ ------------
NET ASSETS................................... $314,856,621 $281,625,001 $196,891,475
============ ============ ============
NET ASSET VALUE PER SHARE
Net asset value per share......................... $ 19.32 $ 69.54 $ 40.60
============ ============ ============
Shares outstanding (unlimited amount authorized,
$0.01 par value)............................... 16,300,000 4,050,001 4,850,000
============ ============ ============
Investments in securities, at cost................ $356,154,405 $279,024,919 $179,993,227
============ ============ ============
Foreign currency, at cost......................... $ -- $ -- $ --
============ ============ ============
</Table>
126
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
S&P OIL & GAS SPDR SPDR
EXPLORATION & S&P SPDR S&P KBW REGIONAL
PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING
ETF ETF ETF ETF ETF
------------- --------------- ------------ ------------- ------------
$86,019,471 $8,433,607 $112,933,527 $163,078,326 $154,454,037
-- -- -- -- --
----------- ---------- ------------ ------------ ------------
86,019,471 8,433,607 112,933,527 163,078,326 154,454,037
-- 100 -- -- --
-- -- -- -- --
-- -- -- -- 6,403
21,457 3,451 98,201 21,886 805,079
----------- ---------- ------------ ------------ ------------
86,040,928 8,437,158 113,031,728 163,100,212 155,265,519
----------- ---------- ------------ ------------ ------------
309 -- 3,417 -- 34,089
-- -- 702,800 -- --
50,522 16,800 116,493 186,160 3,177,030
21,402 2,523 41,115 46,851 75,885
695 75 961 1,309 1,388
----------- ---------- ------------ ------------ ------------
72,928 19,398 864,786 234,320 3,288,392
----------- ---------- ------------ ------------ ------------
$85,968,000 $8,417,760 $112,166,942 $162,865,892 $151,977,127
=========== ========== ============ ============ ============
$84,394,350 $8,874,059 $118,501,420 $194,879,106 $161,650,813
(8,928) (66) 56,423 (21,924) (164,041)
(92,968) 155,064 (2,178,565) (4,597,813) (1,481,488)
1,675,546 (611,297) (4,212,336) (27,393,477) (8,028,157)
-- -- -- -- --
----------- ---------- ------------ ------------ ------------
$85,968,000 $8,417,760 $112,166,942 $162,865,892 $151,977,127
=========== ========== ============ ============ ============
$ 52.10 $ 33.65 $ 33.99 $ 46.53 $ 37.07
=========== ========== ============ ============ ============
1,650,000 250,132 3,300,000 3,500,000 4,100,005
=========== ========== ============ ============ ============
$84,343,925 $9,044,904 $117,145,863 $190,471,803 $162,482,194
=========== ========== ============ ============ ============
-- -- -- -- --
=========== ========== ============ ============ ============
</Table>
See accompanying notes to financial statements.
127
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2007 (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)............................... $ 1,199,584 $ 99,448 $1,367,279
Dividend income on securities of affiliated
issuers (Note 3)............................... 1,221 112 5,327
Foreign taxes withheld............................ (30) (9) (320)
----------- --------- ----------
TOTAL INVESTMENT INCOME........................... 1,200,775 99,551 1,372,286
----------- --------- ----------
EXPENSES
Advisory fee (Note 3)............................. 129,663 10,245 274,560
Trustees fee (Note 3)............................. 3,203 253 6,783
----------- --------- ----------
TOTAL EXPENSES.................................... 132,866 10,498 281,343
----------- --------- ----------
NET INVESTMENT INCOME (LOSS)...................... 1,067,909 89,053 1,090,943
----------- --------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers...................................... 2,934,297 778,550 3,824,431
Investments in securities of affiliated
issuers...................................... 2,802 3,104 16,369
Foreign currency transactions.................. -- -- --
Net change in unrealized appreciation
(depreciation) on:
Investments.................................... (6,326,052) (969,153) 2,535,665
Foreign currency............................... -- -- --
----------- --------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY.......... (3,388,953) (187,499) 6,376,465
----------- --------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $(2,321,044) $ (98,446) $7,467,408
=========== ========= ==========
</Table>
See accompanying notes to financial statements.
128
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE SPDR DJ WILSHIRE
LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE DJ WILSHIRE SMALL CAP GROWTH
ETF ETF ETF ETF SMALL CAP ETF ETF
--------------- ----------- -------------- ------------- ------------- ----------------
$ 1,942,335 $ 169,349 $ 114,078 $ 211,362 $ 85,557 $ 293,736
-- -- -- -- -- --
(74) (59) -- (101) (17) (43)
------------ ----------- ----------- ----------- ----------- ------------
1,942,261 169,290 114,078 211,261 85,540 293,693
------------ ----------- ----------- ----------- ----------- ------------
134,037 30,395 50,754 21,028 14,758 131,070
3,311 600 1,003 415 292 2,590
------------ ----------- ----------- ----------- ----------- ------------
137,348 30,995 51,757 21,443 15,050 133,660
------------ ----------- ----------- ----------- ----------- ------------
1,804,913 138,295 62,321 189,818 70,490 160,033
------------ ----------- ----------- ----------- ----------- ------------
7,647,562 673,976 2,142,970 (1,041,389) 650,436 13,216,371
-- -- -- -- -- --
-- -- -- -- -- --
(16,139,634) (2,213,574) (4,467,070) (970,013) (1,576,785) (18,746,105)
-- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- ------------
(8,492,072) (1,539,598) (2,324,100) (2,011,402) (926,349) (5,529,734)
------------ ----------- ----------- ----------- ----------- ------------
$ (6,687,159) $(1,401,303) $(2,261,779) $(1,821,584) $ (855,859) $ (5,369,701)
============ =========== =========== =========== =========== ============
</Table>
129
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2007 (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).............................. $ 1,288,591 $ 2,264,279 $ 31,341,343
Dividend income on securities of affiliated
issuers (Note 3).............................. -- -- --
Foreign taxes withheld........................... (171) (59,016) --
------------ ----------- -------------
TOTAL INVESTMENT INCOME.......................... 1,288,420 2,205,263 31,341,343
------------ ----------- -------------
EXPENSES
Advisory fee (Note 3)............................ 133,341 458,098 1,536,122
Trustees fee (Note 3)............................ 2,635 4,527 30,359
------------ ----------- -------------
TOTAL EXPENSES................................... 135,976 462,625 1,566,481
------------ ----------- -------------
NET INVESTMENT INCOME (LOSS)..................... 1,152,444 1,742,638 29,774,862
------------ ----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers..................................... 4,289,752 723,582 25,700,376
Investments in securities of affiliated
issuers..................................... -- -- --
Foreign currency transactions................. -- 7,107 --
Net change in unrealized appreciation
(depreciation) on:
Investments................................... (17,794,582) (1,220,950) (208,384,354)
Foreign currency.............................. -- (806) --
------------ ----------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY......... (13,504,830) (491,067) (182,683,978)
------------ ----------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $(12,352,386) $ 1,251,571 $(152,909,116)
============ =========== =============
</Table>
See accompanying notes to financial statements.
130
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW KBW KBW MORGAN STANLEY SPDR SPDR
BANK CAPITAL MARKETS INSURANCE TECHNOLOGY S&P DIVIDEND S&P BIOTECH
ETF ETF ETF ETF ETF ETF
------------ --------------- ------------ -------------- ------------ -----------
$ 4,160,528 $ 1,008,560 $ 1,492,401 $ 592,118 $ 4,761,976 $ 3,815
55,899 35,077 -- -- -- --
-- -- -- (4,447) -- --
------------ ------------ ------------ ----------- ------------ -----------
4,216,427 1,043,637 1,492,401 587,671 4,761,976 3,815
------------ ------------ ------------ ----------- ------------ -----------
356,404 313,784 199,346 562,022 442,816 299,921
3,443 4,430 2,814 5,422 6,251 3,319
------------ ------------ ------------ ----------- ------------ -----------
359,847 318,214 202,160 567,444 449,067 303,240
------------ ------------ ------------ ----------- ------------ -----------
3,856,580 725,423 1,290,241 20,227 4,312,909 (299,425)
------------ ------------ ------------ ----------- ------------ -----------
(23,592,872) (15,294,707) (1,930,297) (3,704,839) (3,226,787) 17,175,506
34,161 1,041,487 -- -- -- --
-- -- -- -- -- --
(43,956,188) (5,193,335) (12,649,396) 1,337,133 (24,470,130) 2,724,153
-- -- -- -- -- --
------------ ------------ ------------ ----------- ------------ -----------
(67,514,899) (19,446,555) (14,579,693) (2,367,706) (27,696,917) 19,899,659
------------ ------------ ------------ ----------- ------------ -----------
$(63,658,319) $(18,721,132) $(13,289,452) $(2,347,479) $(23,384,008) $19,600,234
============ ============ ============ =========== ============ ===========
</Table>
131
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR SPDR S&P OIL & GAS
S&P S&P METALS & EQUIPMENT &
HOMEBUILDERS MINING SERVICES
ETF ETF ETF
------------- ------------ -------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated
issuers (Note 2)............................... $ 2,115,796 $ 1,032,912 $ 469,509
Dividend income on securities of affiliated
issuers (Note 3)............................... -- -- --
Foreign taxes withheld............................ -- -- --
------------- ----------- -----------
TOTAL INVESTMENT INCOME........................... 2,115,796 1,032,912 469,509
------------- ----------- -----------
EXPENSES
Advisory fee (Note 3)............................. 462,763 399,604 331,303
Trustees fee (Note 3)............................. 6,494 5,244 3,875
------------- ----------- -----------
TOTAL EXPENSES.................................... 469,257 404,848 335,178
------------- ----------- -----------
NET INVESTMENT INCOME (LOSS)...................... 1,646,539 628,064 134,331
------------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers...................................... (170,740,167) 10,672,988 12,389,134
Investments in securities of affiliated
issuers...................................... -- -- --
Foreign currency transactions.................. -- -- --
Net change in unrealized appreciation
(depreciation) on:
Investments.................................... 9,702,440 11,470,225 4,267,501
Foreign currency............................... -- -- --
------------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY.......... (161,037,727) 22,143,213 16,656,635
------------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $(159,391,188) $22,771,277 $16,790,966
============= =========== ===========
</Table>
See accompanying notes to financial statements.
132
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
S&P OIL & GAS SPDR SPDR KBW
EXPLORATION & S&P SPDR S&P REGIONAL
PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING
ETF ETF ETF ETF ETF
------------- --------------- ------------ ------------- ------------
$ 223,932 $ 50,099 $ 419,958 $ 566,163 $ 2,921,833
-- -- -- -- --
-- -- -- -- --
---------- --------- ------------ ------------ ------------
223,932 50,099 419,958 566,163 2,921,833
---------- --------- ------------ ------------ ------------
138,397 14,916 184,719 262,287 285,060
1,507 210 2,568 3,683 2,974
---------- --------- ------------ ------------ ------------
139,904 15,126 187,287 265,970 288,034
---------- --------- ------------ ------------ ------------
84,028 34,973 232,671 300,193 2,633,799
---------- --------- ------------ ------------ ------------
6,785,614 192,381 (17,748,985) 6,523,911 (24,214,251)
-- -- -- -- --
-- -- -- -- --
3,077,952 (670,925) (2,660,246) (26,307,097) (4,975,393)
-- -- -- -- --
---------- --------- ------------ ------------ ------------
9,863,566 (478,544) (20,409,231) (19,783,186) (29,189,644)
---------- --------- ------------ ------------ ------------
$9,947,594 $(443,571) $(20,176,560) $(19,482,993) $(26,555,845)
========== ========= ============ ============ ============
</Table>
133
SPDR 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
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------ ------------ -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)............... $ 1,067,909 $ 1,842,838 $ 89,053 $ 169,116
Net realized gain (loss) on investments and
foreign currency transactions........... 2,937,099 793,275 781,654 708,918
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions........... (6,326,052) 18,004,133 (969,153) 1,023,788
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............... (2,321,044) 20,640,246 (98,446) 1,901,822
------------ ------------ ----------- -----------
Net equalization credits and charges....... 501 -- 203 --
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (1,066,712) (1,845,167) (88,607) (168,614)
Net realized gains......................... -- -- (15,041) --
------------ ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS........ (1,066,712) (1,845,167) (103,648) (168,614)
------------ ------------ ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares....... 5,536,101 15,006,446 6,883,341 9,163,407
Net proceeds from reinvestment of shares
issued.................................. -- 307 -- --
Cost of shares redeemed.................... (5,576,845) -- (6,878,146) (6,376,567)
Net income equalization.................... (501) -- (203) --
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS........... (41,245) 15,006,753 4,992 2,786,840
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
during year............................. (3,428,500) 33,801,832 (196,899) 4,520,048
Net assets at beginning of year............ 130,218,203 96,416,371 10,336,860 5,816,812
------------ ------------ ----------- -----------
NET ASSETS END OF YEAR(1).................... $126,789,703 $130,218,203 $10,139,961 $10,336,860
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold................................ 50,000 150,000 100,000 150,000
Shares issued to shareholders from
reinvestment of distributions........... -- 3 -- --
Shares redeemed............................ (50,000) -- (100,000) (100,000)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE)...................... -- 150,003 -- 50,000
============ ============ =========== ===========
(1) Including undistributed (distribution in
excess of) net investment income......... $ 8,573 $ 7,376 $ 525 $ 79
============ ============ =========== ===========
</Table>
See accompanying notes to financial statements.
134
- --------------------------------------------------------------------------------
<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
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------ ------------ ------------ ------------ -----------
$ 1,090,943 $ 1,821,075 $ 1,804,913 $ 3,334,890 $ 138,295 $ 267,321
3,840,800 10,459,156 7,647,562 7,429,989 673,976 687,830
2,535,665 21,326,489 (16,139,634) 15,568,632 (2,213,574) 2,901,700
------------ ------------ ------------ ------------ ----------- -----------
7,467,408 33,606,720 (6,687,159) 26,333,511 (1,401,303) 3,856,851
------------ ------------ ------------ ------------ ----------- -----------
80,481 (28,078) (97,411) 41,072 -- --
------------ ------------ ------------ ------------ ----------- -----------
(1,201,869) (1,814,493) (1,755,555) (3,347,062) (130,891) (275,283)
-- -- -- -- (1,081,382) (236,356)
------------ ------------ ------------ ------------ ----------- -----------
(1,201,869) (1,814,493) (1,755,555) (3,347,062) (1,212,273) (511,639)
------------ ------------ ------------ ------------ ----------- -----------
104,597,578 109,089,093 21,267,951 44,322,926 -- 5,759,274
-- -- 2,309 13,689 -- --
(11,776,123) (54,526,527) (34,124,211) (20,508,195) -- --
(80,481) 28,078 97,411 (41,072) -- --
------------ ------------ ------------ ------------ ----------- -----------
92,740,974 54,590,644 (12,756,540) 23,787,348 -- 5,759,274
------------ ------------ ------------ ------------ ----------- -----------
99,086,994 86,354,793 (21,296,665) 46,814,869 (2,613,576) 9,104,486
223,707,588 137,352,795 149,247,365 102,432,496 25,053,967 15,949,481
------------ ------------ ------------ ------------ ----------- -----------
$322,794,582 $223,707,588 $127,950,700 $149,247,365 $22,440,391 $25,053,967
============ ============ ============ ============ =========== ===========
1,800,000 2,100,000 250,000 550,000 -- 100,000
-- -- 26 159 -- --
(200,000) (1,000,000) (400,000) (250,000) -- --
------------ ------------ ------------ ------------ ----------- -----------
1,600,000 1,100,000 (149,974) 300,159 -- 100,000
============ ============ ============ ============ =========== ===========
$ (89,032) $ 21,894 $ 54,110 $ 4,752 $ 7,404 $ --
============ ============ ============ ============ =========== ===========
</Table>
135
SPDR 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 MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ----------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................. $ 62,321 $ 179,606 $ 189,818 $ 221,134
Net realized gain (loss) on investments and
foreign currency transactions............. 2,142,970 985,011 (1,041,389) 1,494,953
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions..................... (4,467,070) 3,275,313 (970,013) (651,846)
----------- ----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. (2,261,779) 4,439,930 (1,821,584) 1,064,241
----------- ----------- ----------- ------------
Net equalization credits and charges......... 1,762 -- (25,215) (2,861)
----------- ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (58,609) (182,525) (158,230) (221,484)
Net realized gains........................... (726,522) (526,548) -- (124,635)
----------- ----------- ----------- ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS.......... (785,131) (709,073) (158,230) (346,119)
----------- ----------- ----------- ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares......... 35,084,459 -- -- 47,988,467
Net proceeds from reinvestment of shares
issued.................................... -- -- -- --
Cost of shares redeemed...................... (9,894,254) -- (5,678,054) (37,971,705)
Net income equalization...................... (1,762) -- 25,215 2,861
----------- ----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............. 25,188,443 -- (5,652,839) 10,019,623
----------- ----------- ----------- ------------
Net increase (decrease) in net assets during
year...................................... 22,143,295 3,730,857 (7,657,868) 10,734,884
Net assets at beginning of year.............. 24,106,341 20,375,484 18,929,139 8,194,255
----------- ----------- ----------- ------------
NET ASSETS END OF YEAR(1)...................... $46,249,636 $24,106,341 $11,271,271 $ 18,929,139
=========== =========== =========== ============
SHARES OF BENEFICIAL INTEREST:
Shares sold.................................. 500,000 -- -- 750,000
Shares issued to shareholders from
reinvestment of distributions............. -- -- -- --
Shares redeemed.............................. (150,000) -- (100,000) (600,000)
----------- ----------- ----------- ------------
NET INCREASE (DECREASE)........................ 350,000 -- (100,000) 150,000
=========== =========== =========== ============
(1) Including undistributed (distribution in
excess of) net investment income........... $ 3,712 $ -- $ 31,588 $ --
=========== =========== =========== ============
</Table>
See accompanying notes to financial statements.
136
- --------------------------------------------------------------------------------
<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 MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------ ------------ ------------ ------------ ------------
$ 70,490 $ 175,297 $ 160,033 $ 175,060 $ 1,152,444 $ 2,294,976
650,436 2,496,075 13,216,371 6,353,129 4,289,752 9,865,477
(1,576,785) (613,589) (18,746,105) 6,534,574 (17,794,582) 3,341,811
----------- ------------ ------------ ------------ ------------ ------------
(855,859) 2,057,783 (5,369,701) 13,062,763 (12,352,386) 15,502,264
----------- ------------ ------------ ------------ ------------ ------------
(3,351) -- (2,988) -- (48,781) 24,919
----------- ------------ ------------ ------------ ------------ ------------
(65,620) (197,754) (166,324) (166,913) (1,121,707) (2,478,791)
-- (285,598) (1,492,119) -- (424,791) (20,105)
----------- ------------ ------------ ------------ ------------ ------------
(65,620) (483,352) (1,658,443) (166,913) (1,546,498) (2,498,896)
----------- ------------ ------------ ------------ ------------ ------------
6,281,116 6,174,414 52,578,380 19,029,520 -- 39,825,267
-- -- -- -- 2,976 15,128
(6,134,985) (23,876,795) (45,497,502) (21,922,543) (10,400,258) (34,097,726)
3,351 -- 2,988 -- 48,781 (24,919)
----------- ------------ ------------ ------------ ------------ ------------
149,482 (17,702,381) 7,083,866 (2,893,023) (10,348,501) 5,717,750
----------- ------------ ------------ ------------ ------------ ------------
(775,348) (16,127,950) 52,734 10,002,827 (24,296,166) 18,746,037
9,984,773 26,112,723 88,407,931 78,405,104 120,089,845 101,343,808
----------- ------------ ------------ ------------ ------------ ------------
$ 9,209,425 $ 9,984,773 $ 88,460,665 $ 88,407,931 $ 95,793,679 $120,089,845
=========== ============ ============ ============ ============ ============
100,000 100,000 500,000 200,000 -- 550,000
-- -- -- -- 41 213
(100,000) (400,000) (450,000) (250,000) (150,000) (500,000)
----------- ------------ ------------ ------------ ------------ ------------
-- (300,000) 50,000 (50,000) (149,959) 50,213
=========== ============ ============ ============ ============ ============
$ 5,361 $ 491 $ (6,291) $ -- $ 30,737 $ --
=========== ============ ============ ============ ============ ============
</Table>
137
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ GLOBAL TITANS DJ WILSHIRE REIT
ETF ETF
--------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------ -------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)............. $ 1,742,638 $ 3,518,711 $ 29,774,862 $ 38,563,171
Net realized gain (loss) on investments
and foreign currency transactions..... 730,689 6,772,091 25,700,376 163,455,318
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions......... (1,221,756) 15,508,943 (208,384,354) (85,400,955)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. 1,251,571 25,799,745 (152,909,116) 116,617,534
------------ ------------ -------------- --------------
Net equalization credits and charges..... 76,512 -- 1,466,910 (250,807)
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................... (1,890,014) (3,479,335) (27,011,792) (49,596,076)
Net realized gains....................... -- -- -- (7,909,615)
------------ ------------ -------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS...... (1,890,014) (3,479,335) (27,011,792) (57,505,691)
------------ ------------ -------------- --------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares..... 23,623,580 104,749,936 332,230,910 555,039,289
Net proceeds from reinvestment of shares
issued................................ 1,304 5,193 123,914 905,073
Cost of shares redeemed.................. (3,849,946) (34,011,281) (164,077,251) (416,374,903)
Net income equalization.................. (76,512) -- (1,466,910) 250,807
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS......... 19,698,426 70,743,848 166,810,663 139,820,266
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
during year........................... 19,136,495 93,064,258 (11,643,335) 198,681,302
Net assets at beginning of year.......... 170,108,236 77,043,978 1,247,893,103 1,049,211,801
------------ ------------ -------------- --------------
NET ASSETS END OF YEAR (1)................. $189,244,731 $170,108,236 $1,236,249,768 $1,247,893,103
============ ============ ============== ==============
SHARES OF BENEFICIAL INTEREST:
Shares sold.............................. 300,000 1,450,000 4,400,000 6,300,000
Shares issued to shareholders from
reinvestment of distributions......... 16 69 1,482 10,657
Shares redeemed.......................... (50,000) (450,000) (2,000,000) (4,700,000)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE).................... 250,016 1,000,069 2,401,482 1,610,657
============ ============ ============== ==============
(1) Including undistributed (distribution
in excess of) net investment income... $ (69,495) $ 77,881 $ 2,763,070 $ --
============ ============ ============== ==============
</Table>
See accompanying notes to financial statements.
138
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW BANK KBW CAPITAL MARKETS KBW INSURANCE
ETF ETF ETF
-------------------------------- ---------------------------------- ------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
--------------- ------------- --------------- --------------- ------------- -------------
$ 3,856,580 $ 2,487,148 $ 725,423 $ 552,905 $ 1,290,241 $ 831,334
(23,558,711) 785,917 (14,253,220) 17,603,929 (1,930,297) 9,669,310
(43,956,188) (2,767,709) (5,193,335) (1,139,961) (12,649,396) (296,738)
--------------- ------------- --------------- --------------- ------------- -------------
(63,658,319) 505,356 (18,721,132) 17,016,873 (13,289,452) 10,203,906
--------------- ------------- --------------- --------------- ------------- -------------
1,564,820 302,006 371,924 (68,452) 286,068 (24,776)
--------------- ------------- --------------- --------------- ------------- -------------
(5,465,305) (2,854,256) (1,178,563) (471,679) (1,649,858) (784,052)
-- -- -- -- -- --
--------------- ------------- --------------- --------------- ------------- -------------
(5,465,305) (2,854,256) (1,178,563) (471,679) (1,649,858) (784,052)
--------------- ------------- --------------- --------------- ------------- -------------
1,835,736,315 803,785,739 1,751,685,391 1,537,015,227 288,498,864 254,207,057
-- 174 -- -- -- --
(1,479,319,962) (877,124,620) (1,660,153,339) (1,518,116,253) (248,530,500) (240,069,219)
(1,564,820) (302,006) (371,924) 68,452 (286,068) 24,776
--------------- ------------- --------------- --------------- ------------- -------------
354,851,533 (73,640,713) 91,160,128 18,967,426 39,682,296 14,162,614
--------------- ------------- --------------- --------------- ------------- -------------
287,292,729 (75,687,607) 71,632,357 35,444,168 25,029,054 23,557,692
72,068,412 147,756,019 86,003,132 50,558,964 59,412,891 35,855,199
--------------- ------------- --------------- --------------- ------------- -------------
$ 359,361,141 $ 72,068,412 $ 157,635,489 $ 86,003,132 $ 84,441,945 $ 59,412,891
=============== ============= =============== =============== ============= =============
36,450,000 14,000,000 26,500,000 22,550,000 5,150,000 4,600,000
-- 3 -- -- -- --
(29,500,000) (15,450,000) (25,400,000) (22,200,000) (4,550,000) (4,300,000)
--------------- ------------- --------------- --------------- ------------- -------------
6,950,000 (1,449,997) 1,100,000 350,000 600,000 300,000
=============== ============= =============== =============== ============= =============
$ (1,608,725) $ -- $ (376,363) $ 76,777 $ (292,968) $ 66,649
=============== ============= =============== =============== ============= =============
</Table>
139
SPDR 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
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)............. $ 20,227 $ 158,374 $ 4,312,909 $ 6,209,467
Net realized gain (loss) on investments
and foreign currency transactions..... (3,704,839) 5,471,921 (3,226,787) 8,530,407
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions......... 1,337,133 29,817,119 (24,470,130) 8,802,514
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. (2,347,479) 35,447,414 (23,384,008) 23,542,388
------------ ------------- ------------ ------------
Net equalization credits and charges..... (17,267) 4,169 (25,679) 388,687
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................... (20,872) (158,374) (4,671,204) (6,448,421)
Net realized gains....................... -- -- (3,272,942) --
Return of capital........................ -- (38,806) -- --
------------ ------------- ------------ ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS...... (20,872) (197,180) (7,944,146) (6,448,421)
------------ ------------- ------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares..... 79,812,757 117,844,970 20,029,709 207,904,033
Net proceeds from reinvestment of shares
issued................................ -- 124 492 2,730
Cost of shares redeemed.................. -- (109,157,488) (26,986,453) (49,944,274)
Net income equalization.................. 17,267 (4,169) 25,679 (388,687)
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS......... 79,830,024 8,683,437 (6,930,573) 157,573,802
------------ ------------- ------------ ------------
Net increase (decrease) in net assets
during year........................... 77,444,406 43,937,840 (38,284,406) 175,056,456
Net assets at beginning of year.......... 188,810,872 144,873,032 275,319,070 100,262,614
------------ ------------- ------------ ------------
NET ASSETS END OF YEAR (1)................. $266,255,278 $ 188,810,872 $237,034,664 $275,319,070
============ ============= ============ ============
SHARES OF BENEFICIAL INTEREST:
Shares sold.............................. 1,250,000 2,100,000 350,000 3,450,000
Shares issued to shareholders from
reinvestment of distributions......... -- 2 8 44
Shares redeemed.......................... -- (2,000,000) (450,000) (850,000)
------------ ------------- ------------ ------------
NET INCREASE (DECREASE).................... 1,250,000 100,002 (99,992) 2,600,044
============ ============= ============ ============
(1) Including undistributed (distribution
in excess of) net investment income... $ (645) $ -- $ (358,295) $ --
============ ============= ============ ============
</Table>
See accompanying notes to financial statements.
140
- --------------------------------------------------------------------------------
<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 MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------- ------------ --------------- --------------- ------------- -------------
$ (299,425) $ 327,760 $ 1,646,539 $ 1,558,884 $ 628,064 $ 533,224
17,175,506 9,270,993 (170,740,167) (25,611,868) 10,672,988 27,883,688
2,724,153 (4,805,604) 9,702,440 (29,785,794) 11,470,225 (11,797,707)
------------- ------------ --------------- --------------- ------------- -------------
19,600,234 4,793,149 (159,391,188) (53,838,778) 22,771,277 16,619,205
------------- ------------ --------------- --------------- ------------- -------------
(159,772) (105,066) (467,452) 84,633 (62,373) (81,653)
------------- ------------ --------------- --------------- ------------- -------------
(88,751) (239,008) (1,498,527) (1,687,070) (834,585) (378,042)
-- -- -- -- -- --
-- -- -- -- -- --
------------- ------------ --------------- --------------- ------------- -------------
(88,751) (239,008) (1,498,527) (1,687,070) (834,585) (378,042)
------------- ------------ --------------- --------------- ------------- -------------
312,996,469 154,300,757 2,794,055,529 3,940,261,605 509,858,179 609,603,348
-- -- -- -- 63 --
(166,226,091) (81,732,654) (2,649,376,260) (3,719,576,217) (453,709,849) (452,354,936)
159,772 105,066 467,452 (84,633) 62,373 81,653
------------- ------------ --------------- --------------- ------------- -------------
146,930,150 72,673,169 145,146,721 220,600,755 56,210,766 157,330,065
------------- ------------ --------------- --------------- ------------- -------------
166,281,861 77,122,244 (16,210,446) 165,159,540 78,085,085 173,489,575
106,956,850 29,834,606 331,067,067 165,907,527 203,539,916 30,050,341
------------- ------------ --------------- --------------- ------------- -------------
$ 273,238,711 $106,956,850 $ 314,856,621 $ 331,067,067 $ 281,625,001 $ 203,539,916
============= ============ =============== =============== ============= =============
5,400,000 3,000,000 124,500,000 114,450,000 8,150,000 10,150,000
-- -- -- -- 1 --
(2,900,000) (1,550,000) (119,100,000) (108,450,000) (7,350,000) (7,500,000)
------------- ------------ --------------- --------------- ------------- -------------
2,500,000 1,450,000 5,400,000 6,000,000 800,001 2,650,000
============= ============ =============== =============== ============= =============
$ (299,424) $ 88,752 $ 148,012 $ -- $ (39,985) $ 166,536
============= ============ =============== =============== ============= =============
</Table>
141
SPDR 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 MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007
------------ ------------ ------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................ $ 134,331 $ 158,311 $ 84,028 $ 72,231
Net realized gain (loss) on investments and
foreign currency transactions............ 12,389,134 2,850,258 6,785,614 12,601,614
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.................... 4,267,501 11,712,793 3,077,952 (4,061,422)
------------ ------------ ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................ 16,790,966 14,721,362 9,947,594 8,612,423
------------ ------------ ------------- -------------
Net equalization credits and charges........ (18,839) (60) 3,356 (3,351)
------------ ------------ ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (136,120) (164,678) (95,649) (70,073)
Net realized gains.......................... (476,105) -- -- --
------------ ------------ ------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS......... (612,225) (164,678) (95,649) (70,073)
------------ ------------ ------------- -------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares........ 79,496,323 187,135,116 235,232,572 301,564,305
Net proceeds from reinvestment of shares
issued................................... -- -- -- --
Cost of shares redeemed..................... (42,711,031) (73,298,949) (198,157,220) (290,625,936)
Net income equalization..................... 18,839 60 (3,356) 3,351
------------ ------------ ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............ 36,804,131 113,836,227 37,071,996 10,941,720
------------ ------------ ------------- -------------
Net increase (decrease) in net assets during
year..................................... 52,964,033 128,392,851 46,927,297 19,480,719
Net assets at beginning of year............. 143,927,442 15,534,591 39,040,703 19,559,984
------------ ------------ ------------- -------------
NET ASSETS END OF YEAR (1).................... $196,891,475 $143,927,442 $ 85,968,000 $ 39,040,703
============ ============ ============= =============
SHARES OF BENEFICIAL INTEREST:
Shares sold................................. 2,050,000 6,000,000 4,950,000 7,850,000
Shares issued to shareholders from
reinvestment of distributions............ -- -- -- --
Shares redeemed............................. (1,100,000) (2,600,000) (4,150,000) (7,500,000)
------------ ------------ ------------- -------------
NET INCREASE (DECREASE)..................... 950,000 3,400,000 800,000 350,000
============ ============ ============= =============
(1) Including undistributed (distribution in
excess of) net investment income......... $ (1,789) $ -- $ (8,928) $ 2,693
============ ============ ============= =============
</Table>
See accompanying notes to financial statements.
142
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW
SPDR SPDR SPDR REGIONAL
S&P 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 MONTHS ENDED MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007 YEAR ENDED 12/31/2007
(UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED) 6/30/2007 (UNAUDITED)
------------ ------------ --------------- --------------- ------------ ------------- ---------------
$ 34,973 $ 175,604 $ 232,671 $ 188,827 $ 300,193 $ 250,039 $ 2,633,799
192,381 1,621,359 (17,748,985) 6,925,991 6,523,911 4,516,130 (24,214,251)
(670,925) (168,896) (2,660,246) (2,041,538) (26,307,097) 4,203,587 (4,975,393)
---------- ------------ --------------- --------------- ------------ ------------- ---------------
(443,571) 1,628,067 (20,176,560) 5,073,280 (19,482,993) 8,969,756 (26,555,845)
---------- ------------ --------------- --------------- ------------ ------------- ---------------
-- -- (148,844) 45,503 24,085 (2,196) (581,686)
---------- ------------ --------------- --------------- ------------ ------------- ---------------
(35,738) (176,255) (176,248) (233,921) (322,117) (264,533) (3,971,832)
-- (118,361) -- -- -- -- --
---------- ------------ --------------- --------------- ------------ ------------- ---------------
(35,738) (294,616) (176,248) (233,921) (322,117) (264,533) (3,971,832)
---------- ------------ --------------- --------------- ------------ ------------- ---------------
-- 28,195,413 2,888,822,228 1,797,262,601 153,045,049 288,207,580 2,669,772,530
-- 4,580 -- -- -- -- 181
-- (36,575,049) (2,891,280,341) (1,687,811,577) (76,812,923) (237,764,151) (2,615,791,082)
-- -- 148,844 (45,503) (24,085) 2,196 581,686
---------- ------------ --------------- --------------- ------------ ------------- ---------------
-- (8,375,056) (2,309,269) 109,405,521 76,208,041 50,445,625 54,563,315
---------- ------------ --------------- --------------- ------------ ------------- ---------------
(479,309) (7,041,605) (22,810,921) 114,290,383 56,427,016 59,148,652 23,453,952
8,897,069 15,938,674 134,977,863 20,687,480 106,438,876 47,290,224 128,523,175
---------- ------------ --------------- --------------- ------------ ------------- ---------------
$8,417,760 $ 8,897,069 $ 112,166,942 $ 134,977,863 $162,865,892 $ 106,438,876 $ 151,977,127
========== ============ =============== =============== ============ ============= ===============
-- 800,000 77,450,000 42,450,000 2,900,000 5,750,000 63,400,000
-- 132 -- -- -- -- 4
-- (1,050,000) (77,250,000) (39,900,000) (1,400,000) (4,750,000) (62,100,000)
---------- ------------ --------------- --------------- ------------ ------------- ---------------
-- (249,868) 200,000 2,550,000 1,500,000 1,000,000 1,300,004
========== ============ =============== =============== ============ ============= ===============
$ (66) $ 699 $ 56,423 $ -- $ (21,924) $ -- $ (164,041)
========== ============ =============== =============== ============ ============= ===============
<Caption>
KBW
REGIONAL
BANKING
ETF
---------------
YEAR ENDED
6/30/2007
---------------
$ 1,897,766
(5,145,925)
(4,304,341)
---------------
(7,552,500)
---------------
(1,026,639)
---------------
(765,835)
--
---------------
(765,835)
---------------
2,459,866,273
43
(2,422,101,042)
1,026,639
---------------
38,791,913
---------------
29,446,939
99,076,236
---------------
$ 128,523,175
===============
50,750,000
1
(50,000,000)
---------------
750,001
===============
$ 1,173,992
===============
</Table>
143
SPDR 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 YEAR YEAR YEAR YEAR YEAR
12/31/2007 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/2007 6/30/2006 6/30/2005 6/30/2004 6/30/2003
------------ --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 108.50 $ 91.82 $ 85.26 $ 80.87 $ 69.97 $ 71.67
-------- -------- ------- -------- -------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)........ 0.89 1.61 1.50 1.69 1.17 1.05
Net realized and unrealized gain
(loss) (5)........................ (2.85) 16.69 6.54 4.38 10.89 (1.68)
-------- -------- ------- -------- -------- -------
Total from investment operations.... (1.96) 18.30 8.04 6.07 12.06 (0.63)
-------- -------- ------- -------- -------- -------
Net equalization credits and charges
(4)............................... 0.00+ -- -- -- -- --
-------- -------- ------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............... (0.89) (1.62) (1.48) (1.68) (1.16) (1.07)
Net realized gains.................. -- -- -- -- -- --
-------- -------- ------- -------- -------- -------
Total distributions................. (0.89) (1.62) (1.48) (1.68) (1.16) (1.07)
-------- -------- ------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD...... $ 105.65 $ 108.50 $ 91.82 $ 85.26 $ 80.87 $ 69.97
======== ======== ======= ======== ======== =======
TOTAL RETURN (1).................... (1.81)% 20.06% 9.47% 7.55% 17.31% (0.77)%
Net assets, end of period (in
000s)............................. $126,790 $130,218 $96,416 $106,580 $113,229 $80,474
Ratio of expenses to average net
assets............................ 0.20%(2) 0.20% 0.21% 0.21% 0.22% 0.24%
Ratio of net investment income
(loss) to average net assets...... 1.65%(2) 1.62% 1.62% 2.05% 1.59% 1.65%
Portfolio turnover rate (3)......... 0% 2% 2% 32% 5% 6%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
144
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
LARGE CAP ETF LARGE CAP GROWTH ETF
----------------------------------------- ---------------------------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED YEAR FOR THE PERIOD MONTHS ENDED YEAR YEAR YEAR YEAR YEAR
12/31/2007 ENDED 11/8/2005*- 12/31/2007 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006 6/30/2005 6/30/2004 6/30/2003
------------ --------- -------------- ------------ --------- --------- --------- --------- ---------
$ 68.91 58.17 $56.03 $ 57.36 49.05 $ 46.27 $ 47.56 $ 40.98 41.07
------- ------- ------ -------- -------- -------- ------- ------- -------
0.59 1.11 0.94 0.22 0.47 0.34 0.71 0.23 0.24(4)
(1.21) 10.74 2.11 1.33 8.32 2.78 (1.29) 6.60 (0.10)
------- ------- ------ -------- -------- -------- ------- ------- -------
(0.62) 11.85 3.05 1.55 8.79 3.12 (0.58) 6.83 0.14
------- ------- ------ -------- -------- -------- ------- ------- -------
0.00+ -- -- 0.02 (0.01) -- -- -- --
------- ------- ------ -------- -------- -------- ------- ------- -------
(0.59) (1.11) (0.91) (0.24) (0.47) (0.34) (0.71) (0.25) (0.23)
(0.10) -- -- -- -- -- -- -- --
------- ------- ------ -------- -------- -------- ------- ------- -------
(0.69) (1.11) (0.91) (0.24) (0.47) (0.34) (0.71) (0.25) (0.23)
------- ------- ------ -------- -------- -------- ------- ------- -------
$ 67.60 $ 68.91 $58.17 $ 58.69 $ 57.36 $ 49.05 $ 46.27 $ 47.56 $ 40.98
======= ======= ====== ======== ======== ======== ======= ======= =======
(0.90)% 20.50% 5.47% 2.74% 17.96% 6.75% (1.25)% 16.70% 0.38%
$10,140 $10,337 $5,817 $322,795 $223,708 $137,353 $80,981 $68,973 $22,542
0.20%(2) 0.20% 0.21%(2) 0.20%(2) 0.20% 0.21% 0.21% 0.21% 0.23%
1.74%(2) 1.69% 1.68%(2) 0.79%(2) 0.92% 0.74% 1.57% 0.59% 0.64%
4% 4% 4% 8% 15% 43% 21% 20% 37%
</Table>
145
SPDR 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 YEAR YEAR YEAR YEAR YEAR
12/31/2007 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/2007 6/30/2006(6) 6/30/2005(6) 6/30/2004(6) 6/30/2003(6)
------------ --------- ------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 87.77 $ 73.15 $ 67.72 $ 62.91 $ 55.76 $ 55.69
-------- -------- -------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss).... 1.22 1.99 1.80 1.70 1.51 1.34
Net realized and unrealized gain
(loss) (5).................... (5.21) 14.61 5.44 4.81 7.10 0.09
-------- -------- -------- -------- ------- -------
Total from investment
operations.................... (3.99) 16.60 7.24 6.51 8.61 1.43
-------- -------- -------- -------- ------- -------
Net equalization credits and
charges (4)................... (0.06) 0.02 -- -- -- --
-------- -------- -------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........... (1.19) (2.00) (1.81) (1.70) (1.46) (1.36)
Net realized gains.............. -- -- -- -- -- --
-------- -------- -------- -------- ------- -------
Total distributions............. (1.19) (2.00) (1.81) (1.70) (1.46) (1.36)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.. $ 82.53 $ 87.77 $ 73.15 $ 67.72 $ 62.91 $ 55.76
======== ======== ======== ======== ======= =======
TOTAL RETURN (1)................ (4.64)% 22.90% 10.80% 10.43% 15.54% 2.87%
Net assets, end of period (in
000s)......................... $127,950 $149,247 $102,432 $135,456 $94,370 $44,616
Ratio of expenses to average net
assets........................ 0.20%(2) 0.20% 0.21% 0.21% 0.21% 0.23%
Ratio of net investment income
(loss) to average net assets.. 2.69%(2) 2.44% 2.52% 2.51% 2.72% 2.54%
Portfolio turnover rate (3)..... 8% 13% 42% 19% 28% 33%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
146
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE SPDR DJ WILSHIRE
MID CAP ETF MID CAP GROWTH ETF MID CAP VALUE ETF
-------------------------------------------- -------------------------------------------- --------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED
12/31/2007 YEAR ENDED 11/8/2005*- 12/31/2007 YEAR ENDED 11/8/2005*- 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007
------------ ---------- -------------- ------------ ---------- -------------- ------------ ----------
$ 62.63 $ 53.16 $ 49.18 $ 68.88 $ 58.22 $ 53.95 $ 63.10 $ 54.63
------- ------- ------- ------- ------- ------- ------- -------
0.35 0.78 0.41 0.10 0.51 0.11 0.79 1.28
(3.85) 10.28 3.96 (1.78) 12.17 4.26 (6.80) 9.32
------- ------- ------- ------- ------- ------- ------- -------
(3.50) 11.06 4.37 (1.68) 12.68 4.37 (6.01) 10.60
------- ------- ------- ------- ------- ------- ------- -------
-- -- -- 0.00+ -- -- (0.09) (0.01)
------- ------- ------- ------- ------- ------- ------- -------
(0.33) (0.80) (0.39) (0.09) (0.52) (0.10) (0.64) (1.29)
(2.70) (0.79) -- (1.04) (1.50) -- -- (0.83)
------- ------- ------- ------- ------- ------- ------- -------
(3.03) (1.59) (0.39) (1.13) (2.02) (0.10) (0.64) (2.12)
------- ------- ------- ------- ------- ------- ------- -------
$ 56.10 $ 62.63 $ 53.16 $ 66.07 $ 68.88 $ 58.22 $ 56.36 $ 63.10
======= ======= ======= ======= ======= ======= ======= =======
(5.37)% 21.11% 8.92% (2.35)% 22.22% 8.10% (9.68)% 19.68%
$22,440 $25,054 $15,949 $46,250 $24,106 $20,375 $11,271 $18,929
0.25%(2) 0.25% 0.26%(2) 0.25%(2) 0.25% 0.26%(2) 0.25%(2) 0.25%
1.14%(2) 1.41% 1.24%(2) 0.31%(2) 0.83% 0.30%(2) 2.26%(2) 2.10%
22% 40% 25% 27% 55% 34% 25% 45%
<Caption>
SPDR DJ
WILSHIRE
MID CAP VALUE
ETF
--------------
FOR THE PERIOD
11/8/2005*-
6/30/2006
--------------
$50.42
------
0.73
4.18
------
4.91
------
--
------
(0.70)
--
------
(0.70)
------
$54.63
======
9.76%
$8,194
0.26%(2)
2.20%(2)
29%
</Table>
147
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE
SMALL CAP ETF SMALL CAP GROWTH ETF
------------------------------------------ ------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED YEAR YEAR
12/31/2007 YEAR ENDED 11/8/2005*- 12/31/2007 ENDED ENDED
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006
------------ ---------- -------------- ------------ --------- ---------
NET ASSET VALUE, BEGINNING OF
PERIOD....................... $66.57 $58.03 $ 52.42 $104.00 $ 87.11 $ 75.96
------ ------ ------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)... 0.41 0.89 0.46 0.16 0.20 0.23
Net realized and unrealized
gain (loss) (5).............. (5.18) 9.78 5.56 (4.22) 16.88 11.17
------ ------ ------- ------- ------- -------
Total from investment
operations................... (4.77) 10.67 6.02 (4.06) 17.08 11.40
------ ------ ------- ------- ------- -------
Net equalization credits and
charges (4).................. (0.02) -- -- (0.00)+ -- --
------ ------ ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income.......... (0.38) (0.99) (0.41) (0.17) (0.19) (0.25)
Net realized gains............. -- (1.14) -- (1.49) -- --
------ ------ ------- ------- ------- -------
Total distributions............ (0.38) (2.13) (0.41) (1.66) (0.19) (0.25)
------ ------ ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD....................... $61.40 $66.57 $ 58.03 $ 98.28 $104.00 $ 87.11
====== ====== ======= ======= ======= =======
TOTAL RETURN (1)............... (7.20)% 18.70% 11.49% (3.83)% 19.63% 15.02%
Net assets, end of period (in
000s)........................ $9,209 $9,985 $26,113 $88,461 $88,408 $78,405
Ratio of expenses to average
net assets................... 0.25%(2) 0.25% 0.26%(2) 0.25%(2) 0.25% 0.26%
Ratio of net investment income
(loss) to average net
assets....................... 1.19%(2) 1.18% 1.35%(2) 0.31%(2) 0.22% 0.26%
Portfolio turnover rate (3).... 9% 16% 10% 19% 25% 84%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
148
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE
SMALL CAP GROWTH ETF (CONTINUED) SMALL CAP VALUE ETF
----------------------------------- -------------------------------------------------------------------------
FOR THE SIX
YEAR YEAR YEAR MONTHS ENDED YEAR YEAR YEAR YEAR
ENDED ENDED ENDED 12/31/2007 ENDED ENDED ENDED ENDED
6/30/2005 6/30/2004 6/30/2003 (UNAUDITED) 6/30/2007 6/30/2006(6) 6/30/2005(6) 6/30/2004(6)
--------- --------- --------- ------------ --------- ------------ ------------ ------------
$ 69.92 $ 53.55 $ 54.10 $ 75.01 $ 65.35 $ 59.03 $ 56.97 $ 45.07
------- ------- ------- ------- -------- -------- ------- -------
0.33 0.39(4) (0.02) 0.79 1.62 1.40(4) 1.14(4) 0.91
6.03 16.30 (0.53) (8.70) 9.76 8.21 4.55 12.92
------- ------- ------- ------- -------- -------- ------- -------
6.36 16.69 (0.55) (7.91) 11.38 9.61 5.69 13.83
------- ------- ------- ------- -------- -------- ------- -------
-- -- -- (0.03) 0.02 -- -- --
------- ------- ------- ------- -------- -------- ------- -------
(0.32) (0.32) -- (0.77) (1.73) (1.30) (1.14) (0.75)
-- -- -- (0.29) (0.01) (1.99) (2.49) (1.18)
------- ------- ------- ------- -------- -------- ------- -------
(0.32) (0.32) -- (1.06) (1.74) (3.29) (3.63) (1.93)
------- ------- ------- ------- -------- -------- ------- -------
$ 75.96 $ 69.92 $ 53.55 $ 66.01 $ 75.01 $ 65.35 $ 59.03 $ 56.97
======= ======= ======= ======= ======== ======== ======= =======
9.13% 31.19% (1.02)% (10.55)% 17.64% 16.66% 10.07% 30.92%
$53,183 $55,944 $18,747 $95,794 $120,090 $101,344 $88,583 $76,928
0.26% 0.27% 0.29% 0.25%(2) 0.25% 0.26% 0.26% 0.27%
0.46% 0.59% (0.04)% 2.16%(2) 2.27% 2.21% 2.00% 1.88%
36% 63% 60% 14% 23% 97% 33% 54%
<Caption>
SPDR DJ
WILSHIRE
SMALL CAP
VALUE ETF
------------
YEAR
ENDED
6/30/2003(6)
------------
$ 45.17
-------
1.26
0.14
-------
1.40
-------
--
-------
(1.20)
(0.30)
-------
(1.50)
-------
$ 45.07
=======
3.57%
$33,813
0.29%
2.76%
43%
</Table>
149
SPDR 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 YEAR YEAR YEAR YEAR YEAR
12/31/2007 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/2007 6/30/2006 6/30/2005 6/30/2004 6/30/2003
----------- --------- --------- --------- --------- ---------
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 54.04 $ 56.00
-------- -------- ------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)...... 0.73 1.67 1.46 1.47 0.72 0.90(4)
Net realized and unrealized gain
(loss)(5)....................... (0.23) 12.11 4.08 1.44 7.60 (1.67)
-------- -------- ------- -------- ------- -------
Total from investment operations.. 0.50 13.78 5.54 2.91 8.32 (0.77)
-------- -------- ------- -------- ------- -------
Net equalization credits and
charges(4)...................... 0.03 -- -- -- -- --
-------- -------- ------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income............. (0.80) (1.65) (1.44) (1.46) (0.93) (1.19)
Net realized gains................ -- -- -- -- -- --
-------- -------- ------- -------- ------- -------
Total distributions............... (0.80) (1.65) (1.44) (1.46) (0.93) (1.19)
-------- -------- ------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.... $ 78.84 $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 54.04
======== ======== ======= ======== ======= =======
TOTAL RETURN(1)................... 0.67% 20.72% 8.88% 4.75% 15.47% (1.21)%
Net assets, end of period (in
000s)........................... $189,245 $170,108 $77,044 $106,904 $67,581 $10,814
Ratio of expenses to average net
assets.......................... 0.50%(2) 0.51% 0.51% 0.51% 0.51% 0.54%
Ratio of net investment income
(loss) to average net assets.... 1.90%(2) 2.33% 2.11% 2.47% 1.84% 1.77%
Portfolio turnover rate (3)....... 2% 9% 9% 36% 15% 13%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
150
- --------------------------------------------------------------------------------
<Table>
<Caption>
DJ WILSHIRE REIT ETF KBW BANK ETF
----------------------------------------------------------------------------------------- ------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR ENDED YEAR
12/31/2007 ENDED ENDED ENDED ENDED ENDED 12/31/2007 ENDED
(UNAUDITED) 6/30/2007 6/30/2006(6) 6/30/2005(6) 6/30/2004(6) 6/30/2003(6) (UNAUDITED) 6/30/2007
----------- ---------- ------------ ------------ ------------ ------------ ----------- ---------
$ 80.93 $ 75.98 $ 65.56 $ 51.38 $ 42.59 $ 43.48 $ 55.44 $ 53.73
---------- ---------- ---------- -------- -------- -------- -------- -------
1.77 2.57 2.99 2.98(4) 2.59(4) 2.09 0.74 2.54
(11.81) 6.27 10.88 14.00 8.69 (0.79) (12.06) 1.64
---------- ---------- ---------- -------- -------- -------- -------- -------
(10.04) 8.84 13.87 16.98 11.28 1.30 (11.32) 4.18
---------- ---------- ---------- -------- -------- -------- -------- -------
0.09 (0.02) -- -- -- -- 0.38 0.30
---------- ---------- ---------- -------- -------- -------- -------- -------
(1.61) (3.33) (3.00) (2.80) (2.33) (2.05) (0.94) (2.77)
-- (0.54) (0.45) -- (0.16) (0.14) -- --
---------- ---------- ---------- -------- -------- -------- -------- -------
(1.61) (3.87) (3.45) (2.80) (2.49) (2.19) (0.94) (2.77)
---------- ---------- ---------- -------- -------- -------- -------- -------
$ 69.37 $ 80.93 $ 75.98 $ 65.56 $ 51.38 $ 42.59 $ 43.56 $ 55.44
========== ========== ========== ======== ======== ======== ======== =======
(12.39)% 11.43% 21.73% 33.64% 26.70% 3.41% (19.82)% 8.28%
$1,236,250 $1,247,893 $1,049,212 $659,223 $447,114 $121,398 $359,361 $72,068
0.25%(2) 0.25% 0.26% 0.26% 0.26% 0.28% 0.35%(2) 0.35%
4.85%(2) 2.95% 3.57% 5.06% 5.23% 6.95% 3.79%(2) 2.93%
9% 16% 11% 12% 15% 10% 25% 8%
<Caption>
KBW BANK ETF
--------------
FOR THE PERIOD
11/8/2005*-
6/30/2006
--------------
$ 50.17
--------
0.93
3.52
--------
4.45
--------
--
--------
(0.89)
--
--------
(0.89)
--------
$ 53.73
========
8.90%
$147,756
0.36%(2)
3.06%(2)
22%
</Table>
151
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
KBW CAPITAL MARKETS KBW INSURANCE
ETF ETF
------------------------------------------ ------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2007 YEAR ENDED 11/8/2005*- 12/31/2007 YEAR ENDED 11/8/2005*-
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006
------------ ---------- -------------- ------------ ---------- --------------
NET ASSET VALUE, BEGINNING
OF PERIOD................. $ 68.80 $ 56.18 $ 53.07 $ 59.41 $ 51.22 $ 52.12
-------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss).................... 0.15 0.41 2.63 0.58(4) 0.76 0.44
Net realized and unrealized
gain (loss)(5)............ (1.63) 12.60 3.09 (6.63) 8.17 (0.93)
-------- ------- ------- ------- ------- -------
Total from investment
operations................ (1.48) 13.01 5.72 (6.05) 8.93 (0.49)
-------- ------- ------- ------- ------- -------
Net equalization credits and
charges(4)................ 0.14 (0.04) -- 0.14 (0.02) --
-------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income....... (0.38) (0.35) (2.61) (0.72) (0.72) (0.41)
Net realized gains.......... -- -- -- -- -- --
Return of capital........... -- -- -- -- -- --
-------- ------- ------- ------- ------- -------
Total distributions......... (0.38) (0.35) (2.61) (0.72) (0.72) (0.41)
-------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD.................... $ 67.08 $ 68.80 $ 56.18 $ 52.78 $ 59.41 $ 51.22
======== ======= ======= ======= ======= =======
TOTAL RETURN(1)............. (1.95)% 23.14% 10.55% (9.99)% 17.46% (0.93)%
Net assets, end of period
(in 000s)................. $157,635 $86,003 $50,559 $84,442 $59,413 $35,855
Ratio of expenses to average
net assets................ 0.35%(2) 0.35% 0.36%(2) 0.35%(2) 0.35% 0.36%(2)
Ratio of expense to average
net assets before
waivers................... -- -- -- -- -- --
Ratio of net investment
income (loss) to average
net assets................ 0.81%(2) 0.52% 2.42%(2) 2.27%(2) 1.32% 1.27%(2)
Portfolio turnover rate(3).. 43% 96% 11% 11% 6% 16%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
152
- --------------------------------------------------------------------------------
<Table>
<Caption>
MORGAN STANLEY TECHNOLOGY SPDR S&P DIVIDEND
ETF ETF
---------------------------------------------------------------------------------- --------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
12/31/2007 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 6/30/2006 6/30/2005 6/30/2004 6/30/2003 (UNAUDITED) 6/30/2007
------------ ---------- ---------- ---------- ---------- ---------- ------------ ----------
$ 61.90 $ 49.11 $ 46.99 $ 49.18 $ 36.67 $ 33.30 $ 62.57 $ 55.70
-------- -------- -------- ------- ------- ------- -------- --------
0.00+ 0.05 0.03 0.11 (0.09)(4) (0.08) 1.04 1.75
0.02 12.80 2.13 (2.19) 12.60 3.45 (6.56) 6.87
-------- -------- -------- ------- ------- ------- -------- --------
0.02 12.85 2.16 (2.08) 12.51 3.37 (5.52) 8.62
-------- -------- -------- ------- ------- ------- -------- --------
(0.00)+ 0.00+ -- -- -- -- (0.01) 0.12
-------- -------- -------- ------- ------- ------- -------- --------
0.00+ (0.05) (0.03) (0.11) -- -- (1.12) (1.87)
-- -- -- -- -- -- (0.80) --
-- (0.01) (0.01) -- -- -- -- --
-------- -------- -------- ------- ------- ------- -------- --------
0.00+ (0.06) (0.04) (0.11) -- -- (1.92) (1.87)
-------- -------- -------- ------- ------- ------- -------- --------
$ 61.92 $ 61.90 $ 49.11 $ 46.99 $ 49.18 $ 36.67 $ 55.12 $ 62.57
======== ======== ======== ======= ======= ======= ======== ========
0.03% 26.19% 4.60% (4.25)% 34.11% 10.14% (8.80)% 15.78%
$266,255 $188,811 $144,873 $30,546 $24,595 $34,842 $237,035 $275,319
0.50%(2) 0.50% 0.51% 0.51% 0.52% 0.53% 0.35%(2) 0.34%
-- -- -- -- -- -- -- 0.35%
0.02%(2) 0.09% 0.07% 0.24% (0.20)% (0.21)% 3.41%(2) 3.11%
24% 22% 23% 46% 17% 23% 29% 41%
<Caption>
SPDR S&P
DIVIDEND
ETF
--------------
FOR THE PERIOD
11/8/2005*-
6/30/2006
--------------
$ 53.49
--------
1.12
2.15
--------
3.27
--------
0.00+
--------
(1.06)
--
--
--------
(1.06)
--------
$ 55.70
========
6.16%
$100,263
0.30%(2)
0.36%(2)
3.45%(2)
25%
</Table>
153
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P BIOTECH SPDR S&P HOMEBUILDERS
ETF ETF
------------------------------------------ -----------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED YEAR FOR THE PERIOD
12/31/2007 YEAR ENDED 1/31/2006*- 12/31/2007 ENDED 1/31/2006*-
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006
------------ ---------- -------------- ------------ --------- --------------
NET ASSET VALUE, BEGINNING OF
PERIOD..................... $ 50.93 $ 45.90 $ 49.67 $ 30.37 $ 33.86 $ 46.92
-------- -------- ------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income
(loss)..................... (0.09) 0.18 (0.07) 0.15 0.28 0.07
Net realized and unrealized
gain (loss) (5)............ 8.63 5.04 (3.70) (11.02) (3.49) (13.06)
-------- -------- ------- -------- -------- --------
Total from investment
operations................. 8.54 5.22 (3.77) (10.87) (3.21) (12.99)
-------- -------- ------- -------- -------- --------
Net equalization credits and
charges (4)................ (0.05) (0.05) -- (0.04) 0.01 --
-------- -------- ------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........ (0.02) (0.14) -- (0.14) (0.29) (0.07)
Net realized gains........... -- -- -- -- -- --
-------- -------- ------- -------- -------- --------
Total distributions.......... (0.02) (0.14) -- (0.14) (0.29) (0.07)
-------- -------- ------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD..................... $ 59.40 $ 50.93 $ 45.90 $ 19.32 $ 30.37 $ 33.86
======== ======== ======= ======== ======== ========
TOTAL RETURN (1)............. 16.67% 11.26% (7.59)% (35.93)% (9.51)% (27.70)%
Net assets, end of period
(in 000s).................. $273,239 $106,957 $29,835 $314,857 $331,067 $165,908
Ratio of expenses to average
net assets................. 0.35%(2) 0.35% 0.36%(2) 0.35(2) 0.35% 0.36%(2)
Ratio of net investment
income (loss) to average
net assets................. (0.35)%(2) 0.51% (0.33)%(2) 1.25%(2) 0.64% 0.34%(2)
Portfolio turnover rate (3).. 40% 74% 38% 34% 16% 19%
</Table>
See accompanying notes to Financial Highlights on page 156 and notes to
financial statements.
154
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P SPDR S&P
SPDR S&P OIL & GAS OIL & GAS
METALS & MINING EQUIPMENT & SERVICES EXPLORATION & PRODUCTION
ETF ETF ETF
-------------------------------------------- -------------------------------------------- --------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED
12/31/2007 YEAR ENDED 6/19/2006*- 12/31/2007 YEAR ENDED 6/19/2006*- 12/31/2007 YEAR ENDED
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007
------------ ---------- -------------- ------------ ---------- -------------- ------------ ----------
$ 62.63 $ 50.08 $ 43.29 $ 36.90 $ 31.07 $ 27.99 $ 45.93 $ 39.12
-------- -------- ------- -------- -------- ------- ------- -------
0.19 0.39 0.02 0.03 0.08 0.00+ 0.05 0.10
6.99 12.55 6.77 3.80 5.83 3.08 6.17 6.81
-------- -------- ------- -------- -------- ------- ------- -------
7.18 12.94 6.79 3.83 5.91 3.08 6.22 6.91
-------- -------- ------- -------- -------- ------- ------- -------
(0.02) (0.03) -- (0.00)+ (0.00)+ -- 0.00+ (0.00)+
-------- -------- ------- -------- -------- ------- ------- -------
(0.25) (0.36) -- (0.03) (0.08) -- (0.05) (0.10)
-- -- -- (0.10) -- -- -- --
-------- -------- ------- -------- -------- ------- ------- -------
(0.25) (0.36) -- (0.13) (0.08) -- (0.05) (0.10)
-------- -------- ------- -------- -------- ------- ------- -------
$ 69.54 $ 62.63 $ 50.08 $ 40.60 $ 36.90 $ 31.07 $ 52.10 $ 45.93
======== ======== ======= ======== ======== ======= ======= =======
11.46% 25.93% 15.70% 10.34% 19.08% 10.98% 13.56% 17.68%
$281,625 $203,540 $30,050 $196,891 $143,927 $15,535 $85,968 $39,041
0.35%(2) 0.35% 0.36%(2) 0.35(2) 0.35% 0.36%(2) 0.35%(2) 0.35%
0.55%(2) 0.70% 1.65%(2) 0.14(2) 0.36% 0.17%(2) 0.21%(2) 0.23%
23% 31% 0% 35% 43% 0% 21% 48%
<Caption>
SPDR S&P
OIL & GAS
EXPLORATION &
PRODUCTION
ETF
--------------
FOR THE PERIOD
6/19/2006*-
6/30/2006
--------------
$ 33.80
-------
0.00+
5.32
-------
5.32
-------
--
-------
--
--
-------
--
-------
$ 39.12
=======
15.74%
$19,560
0.36%(2)
0.10%(2)
0%
</Table>
155
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P SPDR S&P
PHARMACEUTICALS ETF RETAIL ETF
---------------------------------------- ----------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2007 YEAR ENDED 6/19/2006*- 12/31/2007 YEAR ENDED 6/19/2006*-
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006
------------ ---------- -------------- ------------ ---------- --------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $35.57 $31.88 $ 31.42 $ 43.54 $ 37.61 $ 36.72
------ ------ ------- -------- -------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)....... 0.14 0.38 0.00+ 0.12 0.11 0.01
Net realized and unrealized gain
(loss)(5)........................ (1.92) 3.80 0.46 (9.52) 5.93 0.88
------ ------ ------- -------- -------- -------
Total from investment operations... (1.78) 4.18 0.46 (9.40) 6.04 0.89
------ ------ ------- -------- -------- -------
Net equalization credits and
charges(4)....................... -- -- -- (0.05) 0.02 --
------ ------ ------- -------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............. (0.14) (0.38) -- (0.10) (0.13) --
Net realized gains................. -- (0.11) -- -- -- --
------ ------ ------- -------- -------- -------
Total distributions................ (0.14) (0.49) -- (0.10) (0.13) --
------ ------ ------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD..... $33.65 $35.57 $ 31.88 $ 33.99 $ 43.54 $ 37.61
====== ====== ======= ======== ======== =======
TOTAL RETURN (1)................... (4.99)% 13.17% 1.46% (21.70)% 16.12% 2.42%
Net assets, end of period (in
000s)............................ $8,418 $8,897 $15,939 $112,167 $134,978 $20,687
Ratio of expenses to average net
assets........................... 0.35%(2) 0.35% 0.36%(2) 0.35%(2) 0.35% 0.36%(2)
Ratio of net investment income
(loss) to average net assets..... 0.82%(2) 0.95% 0.29%(2) 0.44%(2) 0.35% 0.82%(2)
Portfolio turnover rate (3)........ 20% 23% 0% 16% 71% 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 shares.
(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: SPDR DJ Wilshire Large Cap Value ETF: 2 for 1; SPDR DJ Wilshire Small
Cap Value ETF and DJ Wilshire REIT ETF: 3 for 1.
</Table>
See accompanying notes to financial statements.
156
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P KBW REGIONAL
SEMICONDUCTOR ETF BANKING ETF
-------------------------------------------- --------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/2007 YEAR ENDED 1/31/2006*- 12/31/2007 YEAR ENDED 6/19/2006*-
(UNAUDITED) 6/30/2007 6/30/2006 (UNAUDITED) 6/30/2007 6/30/2006
------------ ---------- -------------- ------------ ---------- --------------
$ 53.22 $ 47.29 $ 53.32 $ 45.90 $ 48.33 $ 48.02
-------- -------- ------- -------- -------- -------
0.09 0.16 0.02 0.97 1.84 0.02
(6.69) 5.93 (6.03) (8.22) (2.40) 0.29
-------- -------- ------- -------- -------- -------
(6.60) 6.09 (6.01) (7.25) (0.56) 0.31
-------- -------- ------- -------- -------- -------
0.01 (0.00)+ -- (0.15) (0.43) --
-------- -------- ------- -------- -------- -------
(0.10) (0.16) (0.02) (1.43) (1.44) --
-- -- -- -- -- --
-------- -------- ------- -------- -------- -------
(0.10) (0.16) (0.02) (1.43) (1.44) --
-------- -------- ------- -------- -------- -------
$ 46.53 $ 53.22 $ 47.29 $ 37.07 $ 45.90 $ 48.33
======== ======== ======= ======== ======== =======
(12.38)% 12.89% (11.26)% (16.11)% (2.16)% 0.66%
$162,866 $106,439 $47,290 $151,977 $128,523 $99,076
0.35%(2) 0.35% 0.36%(2) 0.35%(2) 0.36% 0.36%(2)
0.40%(2) 0.35% 0.10%(2) 3.23%(2) 2.16% 4.01%(2)
35% 52% 40% 9% 39% 0%
</Table>
157
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR 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.
As of December 31, 2007, the Trust offered thirty-seven (37) 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 financial statements
herein relate to the following twenty-six (26) Funds: 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 Global Titans ETF, DJ Wilshire REIT ETF, KBW Bank
ETF, KBW Capital Markets ETF, KBW Insurance ETF, Morgan Stanley Technology ETF,
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 and KBW Regional Banking ETF. Each Fund operates
as a non-diversified investment company. The investment objective of each Fund
is to replicate as closely as possible, before expenses and fees, the price and
yield performance or total return of a specified market index. The other eleven
(11) Funds are included in a separate semi-annual report.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities 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.
The Trust invests in various investments which are exposed to risks, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect the
amounts reported in the financial statements.
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. Investments in
open-end investment companies are valued at their net asset value each business
day. 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 determined in good faith by the Trust's Pricing and Investment
Committee in accordance with procedures approved by the Board of Trustees.
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.
158
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPENSES
Advisory fees, which are directly identifiable to a specific Fund, are applied
to that Fund. Trustees fees and other expenses which cannot be attributed to a
Fund are allocated in such a manner as deemed equitable, taking into
consideration the relative net assets of the Funds.
EQUALIZATION
The Funds follow 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.
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 misappropriation. 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.
FEDERAL INCOME TAX
The Funds have qualified and intend to continue to qualify for and elect
treatment as "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 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 U.S. generally
accepted accounting principles. These book-tax differences are primarily due to
differing treatments for tax equalization, in-kind transactions, foreign
currencies, Real Estate Investment Trusts (REITs) and losses deferred due to
wash sales.
Additionally, based on the Funds' understanding of the tax rules and rates
related to income, gains and transactions for the foreign jurisdictions in which
the Funds invest, the Funds will provide for foreign taxes, and where
appropriate, deferred foreign taxes.
159
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
For the six months ended December 31, 2007, 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)
RECLASSIFIED TO
PAID IN CAPITAL
- -----------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 1,971,254
SPDR DJ Wilshire Large Cap ETF 716,093
SPDR DJ Wilshire Large Cap Growth ETF 3,078,946
SPDR DJ Wilshire Large Cap Value ETF 7,390,126
SPDR DJ Wilshire Mid Cap ETF --
SPDR DJ Wilshire Mid Cap Growth ETF 1,711,688
SPDR DJ Wilshire Mid Cap Value ETF (531,403)
SPDR DJ Wilshire Small Cap ETF 502,643
SPDR DJ Wilshire Small Cap Growth ETF 10,791,570
SPDR DJ Wilshire Small Cap Value ETF 1,809,402
SPDR DJ Global Titans ETF 748,858
DJ Wilshire REIT ETF 36,645,241
KBW Bank ETF (19,134,878)
KBW Capital Markets ETF (2,965,318)
KBW Insurance ETF (1,433,928)
Morgan Stanley Technology ETF --
SPDR S&P Dividend ETF 1,907,509
SPDR S&P Biotech ETF 19,439,991
SPDR S&P Homebuilders ETF (152,695,085)
SPDR S&P Metals & Mining ETF 17,888,370
SPDR S&P Oil & Gas Equipment & Services ETF 10,286,030
SPDR S&P Oil & Gas Exploration & Production ETF 6,878,558
SPDR S&P Pharmaceuticals ETF --
SPDR S&P Retail ETF (16,320,213)
SPDR S&P Semiconductor ETF 7,461,246
KBW Regional Banking ETF (22,733,509)
</Table>
160
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
At December 31, 2007, 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 2015
- ------------------------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market
ETF $ -- $ -- $ (3,219,488) $ (1,348,494) $ (153,659) $ (4,842,998) $ --
SPDR DJ Wilshire Large Cap ETF -- -- -- -- -- -- --
SPDR DJ Wilshire Large Cap
Growth ETF -- (5,842,342) (4,738,409) (2,821,107) (309,686) (3,652,975) --
SPDR DJ Wilshire Large Cap
Value ETF -- -- -- -- (1,350,511) -- --
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 -- (476,156) (1,493,437) (984,760) -- -- (282,717)
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) (2,360,832)
SPDR S&P Dividend ETF -- -- -- -- -- -- --
SPDR S&P Biotech ETF -- -- -- -- -- -- (2,145,212)
SPDR S&P Homebuilders ETF -- -- -- -- -- -- (4,745,039)
SPDR S&P Metals & Mining ETF -- -- -- -- -- -- (176,518)
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 -- -- -- -- -- -- (2,798,526)
KBW Regional Banking ETF -- -- -- -- -- -- --
</Table>
161
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
The Funds incurred the following losses during the period November 1, 2006
through June 30, 2007 that are deferred for tax purposes until fiscal 2008:
<Table>
<Caption>
DEFERRED LOSSES
- --------------------------------------------------------------------------------
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 Global Titans ETF (8,994)
DJ Wilshire REIT ETF --
KBW Bank ETF (9,878)
KBW Capital Markets ETF (4,488,918)
KBW Insurance ETF (3,199)
Morgan Stanley Technology ETF (1,187,918)
SPDR S&P Dividend ETF --
SPDR S&P Biotech ETF (137,176)
SPDR S&P Homebuilders ETF (3,901,513)
SPDR S&P Metals & Mining ETF (10,936)
SPDR S&P Oil & Gas Equipment & Services ETF --
SPDR S&P Oil & Gas Exploration & Production ETF --
SPDR S&P Pharmaceuticals ETF (34,856)
SPDR S&P Retail ETF (677,746)
SPDR S&P Semiconductor ETF (723,905)
KBW S&P Regional Banking ETF --
</Table>
DISTRIBUTIONS
Each Fund 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 U.S. generally accepted accounting
principles.
NEW ACCOUNTING PRONOUNCEMENTS
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Funds' tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet a more-likely-than-not threshold would be recorded
as a tax expense in the current year. Adoption of FIN 48 is required for fiscal
years beginning after December 15, 2006 and is to be applied to all open tax
years as of the effective date. Management evaluated the implications of FIN 48
and determined that all tax positions met the "more-likely-than-not" threshold.
As a result, the financial statements have not been impacted by the adoption of
FIN 48. However, management's conclusions regarding FIN 48 are subject to review
and adjustment at a later date based on factors
162
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
including, but not limited to, further implementation guidance expected from
FASB and on-going analysis of tax laws, regulation, and interpretations thereof.
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. As a result, the Funds will adopt SFAS 157 on July 1, 2008. At
this time, management is evaluating the impact, if any, the adoption of SFAS 157
will have on the Funds' financial statements.
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 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 Biotech ETF 0.35
SPDR S&P Homebuilders 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
SPDR S&P Semiconductor ETF 0.35
KBW Regional Banking ETF 0.35
</Table>
The Adviser pays all operating 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 Trustees' counsel fees), litigation expenses and other
extraordinary expenses.
State Street Bank and Trust Company ("State Street"), an affiliate of the
Adviser, receives fees for its services as Custodian, Administrator and Transfer
Agent. State Street has also been approved to act as the securities lending
agent for the Funds and will receive a portion of any lending income. In
addition, cash collateral from lending activities will be invested in an
investment fund managed by the Adviser. See Note 8 for additional information
regarding securities lending.
163
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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 SPDR 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 of Trustees has
determined that no such payments will be made through at least October 31, 2008
and therefore no such payments have been made to the Distributor.
TRUSTEES' FEES
Commencing August 11, 2007, the Trust and SPDR Index Shares Funds ("SIS Trust")
pay, in the aggregate, each Independent Trustee an annual fee of $60,000 plus
$3,000 per in-person meeting attended. An Independent Trustee will receive
$1,000 for each telephonic or video conference meeting attended. The Chair of
the Board receives an additional annual fee of $25,000 and the Chair of the
Audit Committee receives an additional annual fee of $9,000. The Trust also
reimburses each Independent Trustee for travel and other out-of-pocket expenses
incurred by him/her in connection with attending such meetings. Trustee fees are
allocated between the Trust and SIS Trust and each of their respective series in
such a manner as deemed equitable, taking into consideration the relative net
assets of the series. Previously, the Trust paid each Independent Trustee an
annual fee of $12,000 plus $4,500 per in person meeting attended and $500 for
each meeting attended via telephone or video conference.
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 0.19%, 0.22%,
0.43%, 4.20% and 4.43%, respectively, of net assets at December 31, 2007.
Amounts relating to these investments at December 31, 2007 and for the period
ended are:
SPDR DJ WILSHIRE TOTAL MARKET ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD NUMBER OF
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS FOR THE SIX MONTHS SHARES HELD
DESCRIPTION HELD AT 6/30/07 ENDED 12/31/07 ENDED 12/31/07 AT 12/31/07
- --------------------------------------------------------------------------------------------------------------
State Street Corp. 2,474 595 124 2,945
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
SECURITY FOR THE SIX MONTHS SOLD DURING THE SIX MARKET VALUE
DESCRIPTION ENDED 12/31/07 MONTHS ENDED 12/31/07 AT 12/31/07
- ---------------------------------------------------------------------------------------------------------
State Street Corp. $1,221 $2,802 $239,134
</Table>
SPDR DJ WILSHIRE LARGE CAP ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD NUMBER OF
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS FOR THE SIX MONTHS SHARES HELD
DESCRIPTION HELD AT 6/30/07 ENDED 12/31/07 ENDED 12/31/07 AT 12/31/07
- --------------------------------------------------------------------------------------------------------------
State Street Corp. 276 205 206 275
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
SECURITY FOR THE SIX MONTHS SOLD DURING THE SIX MARKET VALUE
DESCRIPTION ENDED 12/31/07 MONTHS ENDED 12/31/07 AT 12/31/07
- ---------------------------------------------------------------------------------------------------------
State Street Corp. $112 $3,104 $22,330
</Table>
164
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD NUMBER OF
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS FOR THE SIX MONTHS SHARES HELD
DESCRIPTION HELD AT 6/30/07 ENDED 12/31/07 ENDED 12/31/07 AT 12/31/07
- --------------------------------------------------------------------------------------------------------------
State Street Corp. 11,842 6,171 1,032 16,981
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
SECURITY FOR THE SIX MONTHS SOLD DURING THE SIX MARKET VALUE
DESCRIPTION ENDED 12/31/07 MONTHS ENDED 12/31/07 AT 12/31/07
- ---------------------------------------------------------------------------------------------------------
State Street Corp. $5,327 $16,369 $1,378,857
</Table>
KBW BANK ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
DESCRIPTION HELD AT 6/30/07 ENDED 12/31/07 ENDED 12/31/07 AT 12/31/07
- -------------------------------------------------------------------------------------------------------------
State Street Corp. 45,580 1,121,694 981,377 185,897
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
SECURITY FOR THE SIX MONTHS SOLD DURING THE SIX MARKET VALUE
DESCRIPTION ENDED 12/31/07 MONTHS ENDED 12/31/07 AT 12/31/07
- ---------------------------------------------------------------------------------------------------------
State Street Corp. $55,899 $34,161 $15,094,837
</Table>
KBW CAPITAL MARKETS ETF:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD FOR NUMBER OF
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS SHARES HELD
DESCRIPTION HELD AT 6/30/07 ENDED 12/31/07 ENDED 12/31/07 AT 12/31/07
- -------------------------------------------------------------------------------------------------------------
State Street Corp. 59,409 866,492 839,938 85,963
</Table>
<Table>
<Caption>
INCOME EARNED REALIZED GAIN ON SHARES
SECURITY FOR THE SIX MONTHS SOLD DURING THE SIX MARKET VALUE
DESCRIPTION ENDED 12/31/07 MONTHS ENDED 12/31/07 AT 12/31/07
- ---------------------------------------------------------------------------------------------------------
State Street Corp. $35,077 $1,041,487 $6,980,196
</Table>
4. SHAREHOLDER TRANSACTIONS
With the exception of 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 regardless of
the number of Creation Units that are created or redeemed on the same day, are
charged to those persons creating or redeeming Creation Units. An additional fee
up to three times these amounts may be charged for certain transactions.
Transaction fees are received by the Trust and/or Custodian and used to offset
the expense of processing orders of portfolio transactions.
165
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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, 2007 were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 105,597,262 $ 31,791,827 $ 10,218,505 $ 21,573,322
SPDR DJ Wilshire Large Cap ETF 10,107,790 451,556 371,014 80,542
SPDR DJ Wilshire Large Cap Growth ETF 294,860,277 45,924,388 17,479,745 28,444,643
SPDR DJ Wilshire Large Cap Value ETF 123,649,382 15,549,732 10,336,192 5,213,540
SPDR DJ Wilshire Mid Cap ETF 22,309,233 3,375,286 2,066,688 1,308,598
SPDR DJ Wilshire Mid Cap Growth ETF 47,502,820 3,752,323 4,169,308 (416,985)
SPDR DJ Wilshire Mid Cap Value ETF 12,853,220 388,393 1,917,109 (1,528,716)
SPDR DJ Wilshire Small Cap ETF 10,466,106 661,675 1,885,365 (1,223,690)
SPDR DJ Wilshire Small Cap Growth ETF 96,588,909 7,236,392 13,815,574 (6,579,182)
SPDR DJ Wilshire Small Cap Value ETF 101,451,607 9,967,338 14,676,981 (4,709,643)
SPDR DJ Global Titans ETF 172,059,036 26,897,653 9,162,790 17,734,863
DJ Wilshire REIT ETF 1,381,526,435 22,138,098 165,649,208 (143,511,110)
KBW Bank ETF 409,499,288 1,164,338 47,850,524 (46,686,186)
KBW Capital Markets ETF 168,259,450 2,450,306 12,820,296 (10,369,990)
KBW Insurance ETF 98,494,519 362,341 14,019,161 (13,656,820)
Morgan Stanley Technology ETF 257,721,777 27,110,914 18,543,226 8,567,688
SPDR S&P Dividend ETF 255,989,371 9,776,996 23,862,917 (14,085,921)
SPDR S&P Biotech ETF 277,267,325 17,252,117 21,117,328 (3,865,211)
SPDR S&P Homebuilders ETF 356,154,405 3,148,189 38,537,962 (35,389,773)
SPDR S&P Metals & Mining ETF 279,024,919 16,790,089 13,731,455 3,058,634
SPDR S&P Oil & Gas Equipment & Services
ETF 179,993,227 22,872,092 5,354,973 17,517,119
SPDR S&P Oil & Gas Exploration &
Production ETF 84,343,925 3,117,364 1,441,818 1,675,546
SPDR S&P Pharmaceuticals ETF 9,044,904 615,563 1,226,860 (611,297)
SPDR S&P Retail ETF 117,145,863 506,935 4,719,271 (4,212,336)
SPDR S&P Semiconductor ETF 190,471,803 4,503,536 31,897,013 (27,393,477)
KBW S&P Regional Banking ETF 162,482,194 -- 8,028,157 (8,028,157)
</Table>
166
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2007, the Trust had in-kind contributions
and in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
- ----------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 5,502,674 $ 5,540,067
SPDR DJ Wilshire Large Cap ETF 6,814,488 6,806,899
SPDR DJ Wilshire Large Cap Growth ETF 102,728,708 11,548,314
SPDR DJ Wilshire Large Cap Value ETF 21,265,834 34,105,859
SPDR DJ Wilshire Mid Cap ETF -- --
SPDR DJ Wilshire Mid Cap Growth ETF 34,949,735 9,853,583
SPDR DJ Wilshire Mid Cap Value ETF -- 5,677,650
SPDR DJ Wilshire Small Cap ETF 6,253,503 6,115,307
SPDR DJ Wilshire Small Cap Growth ETF 52,368,653 45,404,022
SPDR DJ Wilshire Small Cap Value ETF -- 10,358,210
SPDR DJ Global Titans ETF 21,621,666 3,523,456
DJ Wilshire REIT ETF 320,029,245 155,914,542
KBW Bank ETF 1,536,321,388 1,183,679,189
KBW Capital Markets ETF 1,167,783,051 1,064,270,679
KBW Insurance ETF 274,110,202 234,154,041
Morgan Stanley Technology ETF 79,805,083 --
SPDR S&P Dividend ETF 20,094,476 26,909,833
SPDR S&P Biotech ETF 307,110,403 159,391,404
SPDR S&P Homebuilders ETF 2,120,616,884 1,975,101,098
SPDR S&P Metals & Mining ETF 446,127,856 385,419,394
SPDR S&P Oil & Gas Equipment & Services ETF 79,496,757 42,710,945
SPDR S&P Oil & Gas Exploration & Production ETF 202,461,689 165,309,342
SPDR S&P Pharmaceuticals ETF -- --
SPDR S&P Retail ETF 1,753,906,062 1,756,237,955
SPDR S&P Semiconductor ETF 153,041,646 76,813,979
KBW Regional Banking ETF 1,692,229,343 1,634,352,529
</Table>
The in-kind contributions and in-kind redemptions in this table may not accord
with the beneficial interest transactions on the Statements of Changes. The
table represents the accumulation of the Funds' daily net shareholder
transactions while the Statement of Changes reflect gross shareholder
transactions including any cash component of the transactions.
167
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
For the six months ended December 31, 2007, the Trust had purchases and sales of
investment securities as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 3,922,557 $ 4,184,863
SPDR DJ Wilshire Large Cap ETF 560,928 583,082
SPDR DJ Wilshire Large Cap Growth ETF 28,864,930 27,463,671
SPDR DJ Wilshire Large Cap Value ETF 12,370,922 12,068,667
SPDR DJ Wilshire Mid Cap ETF 5,472,594 6,529,896
SPDR DJ Wilshire Mid Cap Growth ETF 11,924,962 12,575,706
SPDR DJ Wilshire Mid Cap Value ETF 4,592,963 4,522,922
SPDR DJ Wilshire Small Cap ETF 1,661,439 1,645,881
SPDR DJ Wilshire Small Cap Growth ETF 21,866,130 23,132,582
SPDR DJ Wilshire Small Cap Value ETF 18,226,206 18,389,136
SPDR DJ Global Titans ETF 4,285,934 2,775,514
DJ Wilshire REIT ETF 207,997,756 196,326,518
KBW Bank ETF 57,748,574 56,754,066
KBW Capital Markets ETF 65,635,607 79,164,882
KBW Insurance ETF 10,722,316 11,132,233
Morgan Stanley Technology ETF 63,524,216 63,234,305
SPDR S&P Dividend ETF 72,041,412 75,568,478
SPDR S&P Biotech ETF 69,265,681 70,506,269
SPDR S&P Homebuilders ETF 88,261,894 89,040,887
SPDR S&P Metals & Mining ETF 57,629,505 62,375,434
SPDR S&P Oil & Gas Equipment & Services ETF 72,367,510 72,781,408
SPDR S&P Oil & Gas Exploration & Production ETF 14,929,751 15,055,318
SPDR S&P Pharmaceuticals ETF 1,746,129 1,703,949
SPDR S&P Retail ETF 23,323,746 23,706,340
SPDR S&P Semiconductor ETF 53,179,899 53,320,925
KBW S&P Regional Banking ETF 16,129,953 21,857,092
</Table>
7. CONCENTRATION OF RISK
The Funds' assets may be concentrated in a particular industry, group of
industries or sector. Because each Fund will generally concentrate its
investments to approximately the same extent that its index is so concentrated,
a Fund may be adversely affected by the performance of a particular industry,
group of industries or sector, and its shares may be subject to increased price
volatility. In addition, if a Fund concentrates in a single industry or group of
industries, it may be more susceptible to any single economic, market, political
or regulatory occurrence affecting that industry or group of industries.
8. SECURITIES LENDING
Each Fund may lend securities up to 33 1/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, cash equivalents or U.S. government securities in an amount at least equal
to the market value of the securities loaned, plus accrued interest and
dividends, determined on a daily basis and adjusted accordingly. The Funds will
regain record ownership of loaned securities to exercise certain beneficial
rights; however, the Funds may bear the risk of delay in recovery of, or even
loss of rights in the securities loaned should the borrower fail financially. In
addition, a Fund will bear the risk of loss of any cash collateral that it may
invest. Each Fund receives compensation for lending its securities from interest
or dividends earned on the cash, cash equivalents or U.S. government securities
held as collateral, net of fee rebates paid to the borrower and net of fees paid
to State Street as lending agent. At December 31, 2007, none of the Funds had
transacted in securities lending.
9. OTHER INFORMATION
On August 22, 2005, the Board of Trustees approved stock splits for the
following Funds. The stock splits occurred on September 21, 2005.
<Table>
<Caption>
FUND RATIO OF SPLIT
- ---------------------------------------------------------------
SPDR DJ Wilshire Large Cap Value ETF 2:1
SPDR DJ Wilshire Small Cap Value ETF 3:1
DJ Wilshire REIT ETF 3:1
</Table>
168
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2007 (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, 2007
and held for the six months ended December 31, 2007.
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 the Funds' 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.
169
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL 7/1/2007 12/31/2007 7/1/07-12/31/07
- -------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $981.90 $1.00
SPDR DJ Wilshire Large Cap ETF 1,000 991.00 1.00
SPDR DJ Wilshire Large Cap Growth ETF 1,000 1,027.40 1.02
SPDR DJ Wilshire Large Cap Value ETF 1,000 953.60 0.98
SPDR DJ Wilshire Mid Cap ETF 1,000 946.30 1.22
SPDR DJ Wilshire Mid Cap Growth ETF 1,000 976.50 1.24
SPDR DJ Wilshire Mid Cap Value ETF 1,000 903.20 1.20
SPDR DJ Wilshire Small Cap ETF 1,000 928.00 1.21
SPDR DJ Wilshire Small Cap Growth ETF 1,000 961.70 1.23
SPDR DJ Wilshire Small Cap Value ETF 1,000 894.50 1.19
SPDR DJ Global Titans ETF 1,000 1,006.70 2.52
DJ Wilshire REIT ETF 1,000 876.10 1.18
KBW Bank ETF 1,000 801.80 1.59
KBW Capital Markets ETF 1,000 980.50 1.74
KBW Insurance ETF 1,000 900.10 1.67
Morgan Stanley Technology ETF 1,000 1,000.30 2.51
SPDR S&P Dividend ETF 1,000 912.00 1.68
SPDR S&P Biotech ETF 1,000 1,166.70 1.91
SPDR S&P Homebuilders ETF 1,000 640.70 1.44
SPDR S&P Metals & Mining ETF 1,000 1,114.60 1.86
SPDR S&P Oil & Gas Equipment & Services ETF 1,000 1,103.40 1.85
SPDR S&P Oil & Gas Exploration & Production ETF 1,000 1,135.60 1.88
SPDR S&P Pharmaceuticals ETF 1,000 950.10 1.72
SPDR S&P Retail ETF 1,000 783.00 1.57
SPDR S&P Semiconductor ETF 1,000 876.20 1.65
KBW Regional Banking ETF 1,000 838.90 1.62
</Table>
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL 7/1/2007 12/31/2007 7/1/07-12/31/07
- -------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $1,024.13 $1.02
SPDR DJ Wilshire Large Cap ETF 1,000 1,024.13 1.02
SPDR DJ Wilshire Large Cap Growth ETF 1,000 1,024.13 1.02
SPDR DJ Wilshire Large Cap Value ETF 1,000 1,024.13 1.02
SPDR DJ Wilshire Mid Cap ETF 1,000 1,023.88 1.27
SPDR DJ Wilshire Mid Cap Growth ETF 1,000 1,023.88 1.27
SPDR DJ Wilshire Mid Cap Value ETF 1,000 1,023.88 1.27
SPDR DJ Wilshire Small Cap ETF 1,000 1,023.88 1.27
SPDR DJ Wilshire Small Cap Growth ETF 1,000 1,023.88 1.27
SPDR DJ Wilshire Small Cap Value ETF 1,000 1,023.88 1.27
SPDR DJ Global Titans ETF 1,000 1,022.62 2.54
DJ Wilshire REIT ETF 1,000 1,023.88 1.27
KBW Bank ETF 1,000 1,023.38 1.78
KBW Capital Markets ETF 1,000 1,023.38 1.78
KBW Insurance ETF 1,000 1,023.38 1.78
Morgan Stanley Technology ETF 1,000 1,022.62 2.54
SPDR S&P Dividend ETF 1,000 1,023.38 1.78
SPDR S&P Biotech ETF 1,000 1,023.38 1.78
SPDR S&P Homebuilders ETF 1,000 1,023.38 1.78
</Table>
170
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL (CONTINUED) 7/1/2007 12/31/2007 7/1/07-12/31/07
- -------------------------------------------------------------------------------------------------------
SPDR S&P Metals & Mining ETF $1,000 $1,023.38 $1.78
SPDR S&P Oil & Gas Equipment & Services ETF 1,000 1,023.38 1.78
SPDR S&P Oil & Gas Exploration & Production ETF 1,000 1,023.38 1.78
SPDR S&P Pharmaceuticals ETF 1,000 1,023.38 1.78
SPDR S&P Retail ETF 1,000 1,023.38 1.78
SPDR S&P Semiconductor ETF 1,000 1,023.38 1.78
KBW Regional Banking ETF 1,000 1,023.38 1.78
</Table>
*Expenses are equal to the Funds' annualized expense ratio of 0.20%, 0.20%,
0.20%, 0.20%, 0.25%, 0.25%, 0.25%, 0.25%, 0.25%, 0.25%, 0.50%, 0.25%, 0.35%,
0.35%, 0.35%, 0.50%, 0.35%, 0.35, 0.35%, 0.35%, 0.35%, 0.35%, 0.35%, 0.35%,
0.35% and 0.35%, respectively. Expenses are equal to the Funds' annualized
expense ratio, multiplied by the value of the average account over the period,
multiplied by the number of days in the most recent six month period (or since
commencement of operations), then divided by 366.
PROXY VOTING POLICIES AND PROCEDURE AND RECORD
A description of the Trust's proxy voting policies and procedures that are used
by the Funds' investment adviser to vote proxies relating to the Funds'
portfolio securities are available (i) without charge, upon request, by calling
1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted any proxies for the prior
12 month ended June 30 is available by August 31 of each year by calling the
same number and on the SEC's website, at www.sec.gov, and on the Funds' website
at www.spdretfs.com.
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 are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the Securities and Exchange Commission's Public Reference Room in
Washington, DC. Information on the form N-Q is 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 schedule of portfolio holdings for the following Funds is available
on the Funds' website at www.spdretfs.com, without charge, upon request, by
calling 1-800-787-2257 (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 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
171
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
At an in-person meeting held on August 22, 2007, the Board of Trustees of the
Trust (the "Board") evaluated the proposals to continue the Investment Advisory
Agreement (the "Agreement") between the Trust and SSgA Funds Management, Inc.
(the "Adviser") with respect to the operational equity series of the Trust (each
a "Current ETF", collectively, the "Current ETFs") and to continue the Agreement
with respect to the previously approved non-operational equity series of the
Trust (collectively, the "New ETFs" and together with the Current ETFs, the
"ETFs"). 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 approve the Agreement, the Board considered various factors,
including (i) the nature, extent and quality of services provided by the Adviser
with respect to the Current ETFs and to be provided by the Adviser with respect
to the New ETFs under the Agreement, (ii) investment performance of the Current
ETFs, (iii) 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 ETFs grow and whether the fee
levels in the Agreement reflect these economies of scale.
The Board considered the nature, extent and quality of the services provided by,
or to be 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
investment operations of each of the Current ETFs and anticipated
responsibilities for managing investment operations of the New ETFs, in
accordance with each ETF's investment objective and policies, and applicable
legal and regulatory requirements. The Board appreciated the relatively unique
nature of the ETFs, as exchange-traded funds, and the experience and expertise
of the Adviser with exchange-traded funds. The Board considered the background
and experience of the Adviser's senior management, including those individuals
responsible for portfolio management and compliance of the ETFs. The Board also
considered the portfolio management resources, structures and practices of the
Adviser, including those associated with monitoring and securing each ETF'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 affiliates which make up 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 also considered the Adviser's experience in managing equity ETFs. The
Board then determined that the nature, extent and quality of services provided
by the Adviser to the Trust were necessary and appropriate.
The Board reviewed the Current ETFs' performance. The Board noted that the
distinctive indexed investment objective of each of the Current ETFs made
analysis of investment performance, in absolute terms, less of a priority than
that which normally attaches to performance of actively-managed funds. The Board
was more concerned with the extent to which each Current ETF achieved its
objective and the Board reviewed each Current ETFs index tracking and tracking
error. The Board considered that each Current ETF closely tracked its benchmark
index and the Board also reviewed the tax efficiency of each Current ETF. The
Board then determined that the performance of each Current ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the
Current ETFs to the Adviser, including data on the Current ETFs' historical
profitability to the Adviser. The Independent Trustees, through their counsel,
had the opportunity to discuss, with representatives of the Adviser and State
Street, methodologies used in computing costs that formed the bases of
profitability calculations and determined that these methodologies were
reasonable. The Board concluded that, to the extent that the Adviser's
relationship with the Current ETFs had been profitable, profitability was not
excessive.
The Board considered whether the Adviser benefited in other ways from its
relationship with the Trust, noting that the Adviser does not maintain soft-
dollar arrangements in connection with the Trust's brokerage transactions. The
Board
172
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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 fees with respect to the ETFs to be excessive.
The Board determined that the Adviser is likely to realize economies of scale in
managing the ETFs as assets grow in size. The Board further determined that such
economies of scale are currently shared with the ETFs by way of the relatively
low advisory fee and unitary fee structure of the Trust, although the Board
intends to continue to monitor fees as ETFs grow in size and assess whether fee
breakpoints may be warranted.
The Board evaluated the ETFs' unitary fee through the review of comparative
information with respect to fees paid by similar funds -- i.e., exchange-traded
funds tracking equity indexes. The Board reviewed the universe of similar
exchange-traded funds for the ETFs based upon data from Lipper Analytical
Services and related comparative information for similar exchange-traded funds.
The Board also reviewed the historical expense ratios of the Current ETFs,
estimated expense ratios of the New ETFs, and the unitary fee structure. The
Board used a fund by fund analysis of the data. The Board concluded, based on
the information presented, that each ETF's fees were fair and reasonable in
light of those of their direct competitors.
The Board's conclusions in approving the Agreement, including the Independent
Trustees voting separately, were as follows: (a) the nature and extent of the
services provided by the Adviser with respect to the Current ETFs and expected
to be provided by the Adviser with respect to the New ETFs were appropriate; (b)
the performance and, more importantly, the index tracking, of each Current ETF
had been satisfactory; (c) the Adviser's fees for each ETF and the unitary fee,
considered in relation to services provided or expected to be provided, were
fair and reasonable; (d) profitability of the Trust's relationships 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) fees paid
to the Adviser adequately shared the economies of scale with the Current ETFs
and fees expected to be paid to the Adviser were expected to share economies of
scale with respect to the New ETFs by way of the low fee structure of the Trust.
At the meeting, the Board also evaluated the proposal to continue 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 one of the Current ETFs, the DJ Wilshire REIT ETF (the "REIT ETF").
The Independent Trustees also met separately with their counsel to consider the
Sub-Advisory Agreement.
In evaluating the Sub-Advisory Agreement, the Board reviewed materials provided
to them at their request by the Sub-Adviser and State Street. In deciding
whether to approve the Sub-Advisory Agreement, the Board considered various
factors, including (i) the nature, extent and quality of the services provided
by the Sub-Adviser with respect to the REIT ETF under the Sub-Advisory
Agreement, (ii) the investment performance of the REIT ETF, (iii) the fees
charged by the Sub-Adviser and any additional benefits received by the Sub-
Adviser due to its relationship with the Adviser and the Trust, and (iv) the
extent to which economies of scale would be realized if and as the REIT ETF
grows and whether fee levels in the Sub-Advisory Agreement reflect these
economies of scale.
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 REITs.
The Board considered that the REIT ETF satisfactorily tracked its benchmark
index and considered its tax efficiency. In light of the Board's determination
that the unitary fee paid to the Adviser by the REIT ETF was fair and reasonable
and that the Sub-Adviser's fees are paid by the Adviser, the Board did not
believe it necessary to evaluate the Sub-Adviser's profitability or any
additional benefits that the Sub-Adviser may receive.
The Board's conclusions in approving the Sub-Advisory Agreement, including the
Independent Trustees voting separately, were as follows: (a) the nature and
extent of the services provided by the Sub-Adviser to the REIT ETF were
appropriate; (b) the performance and, more importantly, the index tracking, of
the REIT ETF had been satisfactory; and (c) the Sub-Adviser's fees for the REIT
ETF 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 ETF.
173
THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS
The following is a list of SPDR ETF's being offered, along with their respective
exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR
ANY SPDR ETF. 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 SERIES TRUST
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 ETF (EMV)
SPDR DJ Wilshire Small Cap ETF (DSC)
SPDR DJ Wilshire Small Cap Growth ETF (DSG)
SPDR DJ Wilshire Small Cap Value ETF (DSV)
SPDR DJ Global Titans ETF (DGT)
DJ Wilshire REIT ETF (RWR)
KBW Bank ETF (KBE)
KBW Capital Markets ETF (KCE)
KBW Insurance ETF (KIE)
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 (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
KBW Regional Banking ETF (KRE)
SPDR Lehman 1-3 Month T-Bill ETF (BIL)
SPDR Lehman Short Term Municipal Bond ETF (SHM)
SPDR Lehman Intermediate Term Treasury ETF (ITE)
SPDR Lehman Long Term Treasury ETF (TLO)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Lehman California Municipal Bond ETF (CXA)
SPDR Lehman New York Municipal Bond ETF (INY)
SPDR Lehman Municipal Bond ETF (TFI)
SPDR Lehman Aggregate Bond ETF (LAG)
SPDR Lehman International Treasury Bond ETF (BWX)
SPDR Lehman High Yield Bond ETF (JNK)
THE SELECT SECTOR SPDR TRUST
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)
174
DIAMONDS TRUST, SERIES 1 (DIA)
SPDR TRUST, SERIES 1 (SPY)
SPDR INDEX SHARES FUNDS
DJ STOXX 50 ETF (FEU)
DJ EURO STOXX 50 ETF (FEZ)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P China ETF (GXC)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR S&P International Dividend ETF (DWX)
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 of FINRA and SIPC, is a distributor for
all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS
Distributors, Inc., a registered broker-dealer, is distributor for SPDR Trust
and Diamonds Trust, both unit investment trusts; and all investment portfolios
of The Select Sector SPDR Trust.
175
SPDR 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
Mark E. Tuttle, Assistant Secretary
Ryan M. Louvar, Assistant Secretary
Chad C. Hallett, Assistant Treasurer
Laura F. Healy, Assistant Treasurer
Matthew W. Flaherty, Assistant Treasurer
Julie B. Piatelli, 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 FINRA, 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 DJ Global Titans ETF: 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) 2008 State Street Corporation STSAR
For more complete information, please call 866.787.2257 or visit spdretfs.com
today
SEMI-ANNUAL December 31, 2007
(SPDRs LOGO) Precise in a world that isn't.(SM)
State Street Global Advisors
TABLE OF CONTENTS
<Table>
PERFORMANCE &
PORTFOLIO SUMMARY
SPDR(R) LEHMAN 1-3
MONTH T-BILL
ETF (BIL)...... 1
SPDR(R) LEHMAN
SHORT TERM
MUNICIPAL BOND
ETF (SHM)...... 4
SPDR(R) LEHMAN
INTERMEDIATE
TERM TREASURY
ETF (ITE)...... 5
SPDR(R) LEHMAN
LONG TERM
TREASURY ETF
(TLO).......... 8
SPDR(R) BARCLAYS
CAPITAL TIPS
ETF (IPE)...... 11
SPDR(R) LEHMAN
CALIFORNIA
MUNICIPAL BOND
ETF (CXA)...... 14
SPDR(R) LEHMAN NEW
YORK MUNICIPAL
BOND ETF
(INY).......... 15
SPDR(R) LEHMAN
MUNICIPAL BOND
ETF (TFI)...... 16
SPDR(R) LEHMAN
AGGREGATE BOND
ETF (LAG)...... 17
SPDR(R) LEHMAN
INTERNATIONAL
TREASURY BOND
ETF (BWX)...... 20
SPDR(R) LEHMAN
HIGH YIELD BOND
ETF (JNK)...... 21
SCHEDULES OF
INVESTMENTS
SPDR(R) LEHMAN 1-3
MONTH T-BILL
ETF (BIL)...... 22
SPDR(R) LEHMAN
SHORT TERM
MUNICIPAL BOND
ETF (SHM)...... 23
SPDR(R) LEHMAN
INTERMEDIATE
TERM TREASURY
ETF (ITE)...... 25
SPDR(R) LEHMAN
LONG TERM
TREASURY ETF
(TLO).......... 27
SPDR(R) BARCLAYS
CAPITAL TIPS
ETF (IPE)...... 28
SPDR(R) LEHMAN
CALIFORNIA
MUNICIPAL BOND
ETF (CXA)...... 29
SPDR(R) LEHMAN NEW
YORK MUNICIPAL
BOND ETF
(INY).......... 30
SPDR(R) LEHMAN
MUNICIPAL BOND
ETF (TFI)...... 31
SPDR(R) LEHMAN
AGGREGATE BOND
ETF (LAG)...... 34
SPDR(R) LEHMAN
INTERNATIONAL
TREASURY BOND
ETF (BWX)...... 37
SPDR(R) LEHMAN
HIGH YIELD BOND
ETF (JNK)...... 39
FINANCIAL
STATEMENTS........ 42
FINANCIAL
HIGHLIGHTS........ 48
NOTES TO FINANCIAL
STATEMENTS........ 50
OTHER INFORMATION... 57
</Table>
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman 1-3 Month T-Bill 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
(5/25/07, 5/30/07, 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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR LEHMAN 1-3 MONTH T-BILL ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS
0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET Lehman Brothers 1-3 Month
VALUE VALUE U.S. Treasury Bill Index
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 2.12% 2.15% 2.21%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.61% 2.68% 2.71%
----------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2007.
1
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman 1-3 Month T-Bill ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR LEHMAN 1-3 MONTH T-BILL ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DOW JONES
EURO STOXX
DJ EURO 50 INDEX
STOXX 50 - US
ETF DOLLAR DENOMINATED
-------- ------------------
10/15/02 10000 10000
12/31/02 10343 10283
3/31/03 9148 9156
6/30/03 11657 11641
9/30/03 11746 11732
12/31/03 14658 14657
3/31/04 14443 14452
6/30/04 14685 14664
9/30/04 14590 14562
12/31/04 17299 17325
3/31/05 17161 17147
6/30/05 16958 16927
9/30/05 18211 18212
12/31/05 18626 18636
3/31/06 20603 20633
6/30/06 21028 21004
9/30/06 22306 22297
12/31/06 24591 24595
3/31/07 25241 25236
</Table>
2
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman 1-3 Month T-Bill ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
---------------------------------------------------------------------------------------------------------------------
UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
DESCRIPTION TREASURY BILL, TREASURY BILL, TREASURY BILL, TREASURY BILL, TREASURY BILL,
3.04%, 2.92%, 2.92%, 3.01%, 3.74%,
02/28/2008 02/07/2008 02/14/2008 02/21/2008 01/31/2008
---------------------------------------------------------------------------------------------------------------------
MARKET VALUE $29,969,420 27,827,960 27,079,345 27,061,046 24,800,996
---------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 13.1% 12.2 11.8 11.8 10.8
---------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 100.2%
Short Term Investments 0.1
Other Assets & Liabilities (0.3)
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
3
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Short Term Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION LOUDOUN COUNTY, VA, CALIFORNIA STATE OHIO STATE WATER NEW YORK, NY, GENERAL
GENERAL OBLIGATION, ECONOMIC RECOVERY, DEVELOPMENT OBLIGATION, SERIES B,
5.00%, 6/01/2012 SERIES A (MBIA), AUTHORITY, WATER 5.25%, 8/01/2011
5.00%, 7/01/2012 QUALITY - LOAN FUND,
5.00%, 12/01/2011
----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,073,430 1,070,860 1,065,990 1,063,140
----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.7% 4.7 4.7 4.7
----------------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------
DESCRIPTION MASSACHUSETTS STATE
GENERAL OBLIGATION, SERIES A,
5.25%, 1/01/2017
---------------------------------------------------------
MARKET VALUE 1,057,160
---------------------------------------------------------
% OF NET ASSETS 4.7
---------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Municipal Bonds & Notes 95.0%
Short Term Investments 4.0
Other Assets & Liabilities 1.0
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
4
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Intermediate Term Treasury 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
(5/23/07, 5/30/07, 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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR LEHMAN INTERMEDIATE TERM TREASURY ETF
AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2007 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET Lehman Brothers
ASSET MARKET Intermediate
VALUE VALUE U.S. Treasury Index
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 7.13% 7.23% 7.21%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 7.11% 7.23% 7.28%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2007.
5
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Intermediate Term Treasury ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR LEHMAN INTERMEDIATE TERM TREASURY ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR LEHMAN LEHMAN BROTHERS
INTERMEDIATE TERM INTERMEDIATE U.S.
TREASURY ETF TREASURY INDEX
----------------- -----------------
5/23/07 10000.00 10000.00
5/30/06 9983.00 9991.00
6/30/06 9998.97 10007.00
7/31/07 10129.00 10147.10
8/31/07 10288.00 10298.30
9/30/07 10349.70 10360.10
10/31/07 10413.90 10425.30
11/30/07 10690.90 10704.70
12/31/07 10711.20 10728.00
</Table>
6
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Intermediate Term Treasury ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF December 31, 2007
------------------------------------------------------------------------------------------------------------------
DESCRIPTION UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE,
4.25%, 8/15/2013 4.25%, 11/15/2013 4.75%, 5/15/2014 4.00%, 2/15/2014 4.88%, 8/15/2016
------------------------------------------------------------------------------------------------------------------
MARKET VALUE $196,870 176,168 171,167 160,327 150,138
------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.8% 1.6 1.6 1.5 1.4
------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular company.)
ASSET ALLOCATIONS AS OF December 31, 2007*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
U.S. Treasury Obligations 99.0%
Short Term Investments 0.2
Other Assets & Liabilities 0.8
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
7
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Long Term Treasury 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
(5/23/07, 5/30/07, 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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR LEHMAN LONG TERM TREASURY ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007
IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET Lehman Brothers Long Term
VALUE VALUE U.S. Treasury Index
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 10.71% 10.47% 10.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.71% 9.39% 9.90%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2007.
8
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Long Term Treasury ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR LEHMAN LONG TERM TREASURY ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
LEHMAN BROTHERS
SPDR LEHMAN LONG TERM
LONG TERM U.S. TREASURY
TREASURY ETF INDEX
------------ ---------------
5/23/07 10000.00 10000.00
5/30/06 9996.00 10003.00
6/30/06 9910.03 9918.97
7/31/07 10131.00 10184.80
8/31/07 10364.00 10374.20
9/30/07 10391.00 10403.30
10/31/07 10536.50 10550.00
11/30/07 11016.90 11035.30
12/31/07 10970.70 10990.00
</Table>
9
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Long Term Treasury ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-------------------------------------------------------------------------------------------------------------------
DESCRIPTION UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY BOND, TREASURY BOND, TREASURY BOND, TREASURY BOND, TREASURY BOND,
8.00%, 11/15/2021 4.50%, 2/15/2036 6.25%, 8/15/2023 6.13%, 11/15/2027 8.13%, 8/15/2019
-------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,609,862 1,090,870 1,089,561 1,030,433 984,055
-------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 7.5% 5.1 5.1 4.8 4.6
-------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 98.5%
Short Term Investments 0.0**
Other Assets & Liabilities 1.5
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's assets allocation is expressed as a percentage of net assets and
may change over time.
** Amount represents less than 0.5% of net assets.
10
(streetTRACKS (R) semi-annual report LOGO)
SPDR Barclays Capital Tips 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
(5/25/07, 5/30/07, 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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR BARCLAYS CAPITAL TIPS ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS
0.1845%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET Barclays U.S. Government
VALUE VALUE Inflation-linked Bond Index
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 9.71% 9.99% 9.89%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.41% 9.65% 9.66%
----------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2007.
11
(streetTRACKS (R) semi-annual report LOGO)
SPDR Barclays Capital TIPS ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL TIPS ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS U.S.
CAPITAL TIPS GOVERNMENT INFLATION-LINKED
ETF BOND INDEX
------------- ---------------------------
5/25/07 10000.00 10000.00
5/30/06 9990.00 9995.00
6/30/06 9973.02 9979.01
7/31/07 10169.50 10206.50
8/31/07 10294.60 10300.40
9/30/07 10429.40 10430.20
10/31/07 10548.30 10551.20
11/30/07 10962.90 10974.30
12/31/07 10941.00 10966.00
</Table>
12
(streetTRACKS (R) semi-annual report LOGO)
SPDR Barclays Capital TIPS ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
--------------------------------------------------------------------------------------------------------------------------
DESCRIPTION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION TREASURY INFLATION
PROTECTED PROTECTED PROTECTED PROTECTED PROTECTED
INDEXED BOND, INDEXED BOND, INDEXED NOTE, INDEXED NOTE, INDEXED BOND,
3.88%, 04/15/2029 2.38%, 01/15/2025 0.88%, 04/15/2010 3.00%, 07/15/2012 3.63%, 04/15/2028
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $2,108,150 2,061,488 1,939,443 1,828,229 1,746,648
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.9% 6.8 6.4 6.0 5.7
--------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 99.9%
Short Term Investments 0.0**
Other Assets & Liabilities 0.1
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation 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 Lehman California Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------------------------
DESCRIPTION CALIFORNIA STATE NORTH ORANGE CALIFORNIA STATE SAN DIEGO, CA, LOS ANGELES, CA,
DEPARTMENT OF WATER COUNTY, CA, ECONOMIC RECOVERY, COMMUNITY COLLEGE WATER & POWER
RESOURCES POWER COMMUNITY SERIES A (MBIA), DISTRICT (FSA), REVENUE,
SUPPLY REVENUE, COLLEGE (MBIA), 5.00%, 7/01/2015 5.00%, 8/01/2032 SERIES A-1 (AMBAC),
SERIES A (AMBAC), 5.00%, 8/01/2015 5.00%, 7/01/23
5.50%, 5/01/2013
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,097,900 1,094,850 1,087,640 1,047,230 962,424
----------------------------------------------------------------------------------------------------------------------
% OF NET 8.2% 8.2 8.1 7.8 7.2
ASSETS..........
----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Municipal Bonds & Notes 97.5%
Short Term Investments 1.3
Other Assets & Liabilities 1.2
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
14
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman New York Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION NEW YORK, NY, NEW YORK STATE NEW YORK STATE NEW YORK STATE PUERTO RICO
GENERAL GENERAL DORM AUTHORITY ENVIRONMENTAL COMMONWEALTH,
OBLIGATION, OBLIGATION, REVENUE, SERIES C, FACSCORP, SERIES A, GENERAL
SERIES J, 5.50%, 5.00%, 04/15/2015 5.00%, 12/15/2020 4.50%, 6/15/2036 OBLIGATION,
06/01/2020 SERIES A (MBIA),
5.50%, 07/01/2019
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,109,170 1,093,600 1,077,690 872,398 809,513
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.4% 8.3 8.2 6.6 6.1
------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Municipal Bonds & Notes 94.9%
Short Term Investments 4.7
Other Assets & Liabilities 0.4
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
15
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------------------------
DESCRIPTION MASSACHUSETTS WILLAMSON CHARLESTON GEORGIA STATE CENTRAL PUGET
STATE WATER COUNTY, TX, COUNTY, SC, GENERAL OBLIGATION, SOUND, WA,
POLLUTION (MBIA), SALES TAX SERIES B, REGIONAL TRANSIT
ABATEMENT TRUST, 5.25%, 02/15/2018 REVENUE, 5.00%, 04/01/2012 AUTHORITY,
5.25%, 08/01/2033 5.00%, 11/01/2018 SALES & USE TAX
REVENUE, SERIES A,
5.00%, 11/01/2036
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $2,289,560 2,208,580 2,198,600 2,140,820 2,081,800
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.2% 3.1 3.1 3.0 2.9
----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Municipal Bonds & Notes 97.9%
Short Term Investments 1.2
Other Assets & Liabilities 0.9
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
16
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Aggregate Bond 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
(5/23/07, 5/30/07, 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, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SPDRETFS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. THE RETURNS DO NOT REFLECT THE DEDUCTION OF TAXES THAT
A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND
SHARES. THE TOTAL EXPENSE RATIO FOR SPDR LEHMAN AGGREGATE BOND ETF AS STATED
IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2007 IS
0.1845%.
PERFORMANCE AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET Lehman Brothers U.S.
VALUE VALUE Aggregate Index
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/07 5.95% 6.05% 5.93%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.41% 5.58% 5.54%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2007.
17
(streetTRACKS (R) semi-annual report LOGO)
SPDR Lehman Aggregate Bond ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR LEHMAN AGGREGATE BOND ETF (Based on Net Asset Value)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR LEHMAN SPDR LEHMAN
AGGREGATE BOND AGGREGATE BOND
ETF INDEX
-------------- --------------
5/25/07 10000.00 10000.00
5/30/06 9983.00 9993.00
6/30/06 9949.06 9963.02
7/31/07 10017.70 10045.70
8/31/07 10159.00 10169.30
9/30/07 10241.20 10246.60
10/31/07 10285.30 10338.80
11/30/07 10475.60 10524.90
12/31/07 10541.00 10554.30
</Table>
18
[streetTRACKS (R) semi-annual report LOGO]
SPDR Lehman Aggregate Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
------------------------------------------------------------------------------------------------------
DESCRIPTION FANNIE MAE, FREDDIE MAC, TREASURY NOTES, FREDDIE MAC, TREASURY NOTES,
5.50% TBA 6.00% TBA 4.50%, 04/30/2012 5.00% TBA 4.00%, 04/15/2010
------------------------------------------------------------------------------------------------------
MARKET VALUE $5,591,687 4,617,539 3,957,589 3,414,961 2,528,601
------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.7% 7.2 6.2 5.3 3.9
------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION OF DECEMBER 31, 2007*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
Corporate Bonds & Notes 29.4%
Foreign Government Obligations 1.7
U.S. Government Agency
Obligations 47.5
U.S. Treasury Obligations 20.7
Short Term Investments 39.3
Other Assets & Liabilities (38.6)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
19
[streetTRACKS (R) semi-annual report LOGO]
SPDR Lehman International Treasury Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
-------------------------------------------------------------------------------------------------------------------------
DESCRIPTION FEDERAL REPUBLIC GOVERNMENT GOVERNMENT GOVERNMENT REPUBLIC OF GREECE,
OF GERMANY, OF JAPAN OF JAPAN OF JAPAN 3.70%, 07/20/2015
3.50%, 10/09/2009 10 YEAR ISSUE, 10 YEAR ISSUE, 20 YEAR BOND,
1.80%, 09/21/2009 1.30%, 06/20/2012 2.60%, 03/20/2019
-------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $12,052,129 11,530,903 9,632,208 7,575,962 7,098,591
-------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.7% 6.4 5.3 4.2 3.9
-------------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Foreign Government Obligations 96.6%
Short Term Investments 0.3
Other Assets & Liabilities 3.1
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
20
[streetTRACKS (R) semi-annual report LOGO]
SPDR Lehman High Yield Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2007
----------------------------------------------------------------------------------------------------------------------
DESCRIPTION FREEPORT-MCMORAN HCA INC. COMMUNITY HEALTH TEXAS COMPETITIVE CCH I LLC,
COOPER & GOLD, INC. 9.25%, 11/15/2016 SYSTEMS, INC. ELECTRIC HOLDINGS 11.00%, 10/01/2015
8.38%, 04/01/2017 8.88%, 07/15/2015 CO. LLC,
10.25%, 11/01/2015
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $348,563 315,000 305,625 247,500 244,500
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.7% 3.3 3.3 2.6 2.6
----------------------------------------------------------------------------------------------------------------------
(The five largest holdings are subject to change, and there are no guarantees
the Fund will continue to remain invested in any particular issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2007*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Corporate Bonds & Notes 96.9%
Short Term Investments 1.6
Other Assets & Liabilities 1.5
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's assets allocation is expressed as a percentage of net assets and
may change over time.
21
SPDR LEHMAN 1-3 MONTH T-BILL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 100.2%
Treasury Bills*
2.92%, 02/07/2008......... $ 27,910,000 $ 27,827,960
2.92%, 02/14/2008......... 27,175,000 27,079,345
3.01%, 02/21/2008......... 27,175,000 27,061,046
3.04%, 02/28/2008......... 30,114,000 29,969,420
3.08%, 03/06/2008......... 2,380,000 2,366,979
3.12%, 03/13/2008......... 2,254,000 2,240,138
3.18%, 03/20/2008......... 2,130,000 2,115,323
3.20%, 03/27/2008......... 2,066,000 2,050,404
3.70%, 01/17/2008......... 20,827,000 20,802,795
3.70%, 01/24/2008......... 22,843,000 22,804,690
3.71%, 01/03/2008......... 20,155,000 20,153,321
3.71%, 01/10/2008......... 20,155,000 20,142,479
3.74%, 01/31/2008......... 24,859,000 24,800,996
------------
TOTAL U.S. TREASURY
OBLIGATIONS -- (Cost
$229,373,450)............. 229,414,896
------------
<Caption>
SHARES
------
SHORT TERM
INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
State Street Institutional
Liquid Reserves Fund
4.86%(a)
(Cost $140,757)........... 140,757 140,757
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $229,514,207)....... 229,555,653
OTHER ASSETS AND
LIABILITIES -- (0.3)%..... (619,965)
------------
NET ASSETS -- 100.0%........ $228,935,688
============
</Table>
* Rate shown is the discount rate at time of purchase, not a coupon rate.
(a) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
22
SPDR LEHMAN SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 95.0%
ALASKA -- 4.6%
Alaska State General
Obligation,
Series A (FSA)
5.25%, 08/01/2010........... $1,000,000 $ 1,051,780
-----------
ARIZONA -- 3.4%
Arizona State Transportation
Board, Excise Tax Revenue
4.50%, 07/01/2009........... 755,000 771,180
-----------
CALIFORNIA -- 4.7%
California State Economic
Recovery, Series A (MBIA)
5.00%, 07/01/2012........... 1,000,000 1,070,860
-----------
DELAWARE -- 3.4%
Delaware State General
Obligation
4.00%, 08/01/2011........... 750,000 771,637
-----------
GEORGIA -- 4.6%
Georgia State General
Obligation, Series G
5.00%, 10/01/2010........... 1,000,000 1,050,060
-----------
KENTUCKY -- 3.5%
Kentucky State Turnpike
Authority, Economic
Development Road Revenue
(AMBAC)
5.00%, 07/01/2011........... 750,000 793,245
-----------
MARYLAND -- 3.6%
Maryland State General
Obligation
5.00%, 08/01/2012........... 750,000 806,355
-----------
MASSACHUSETTS -- 9.3%
Massachusetts General
Obligation: Series A
5.25%, 01/01/2017........... 1,000,000 1,057,160
Series C
5.00%, 09/01/2010........... 1,000,000 1,046,260
-----------
2,103,420
-----------
MICHIGAN -- 2.4%
Michigan Municipal Bond
Authority Revenue
5.00%, 10/01/2012........... 500,000 537,455
-----------
MINNESOTA -- 4.6%
Minnesota State General
Obligation
5.00%, 08/01/2010........... 1,000,000 1,047,410
-----------
MISSOURI -- 3.4%
Missouri State Highways &
Transportation Commission,
State Road Revenue, Series A
5.00%, 05/01/2010........... 750,000 781,695
-----------
NEW JERSEY -- 2.7%
New Jersey State
Transportation Trust Fund
Authority, Series C
5.00%, 06/15/2009........... 600,000 616,950
-----------
NEW YORK -- 13.7%
New York State General
Obligation, Series C
4.00%, 04/15/2012........... 1,000,000 1,028,500
New York State Thruway
Authority, General Revenue,
Series H (MBIA)
4.00%, 01/01/2012........... 1,000,000 1,025,980
New York, NY, General
Obligation, Series B
5.25%, 08/01/2011........... 1,000,000 1,063,140
-----------
3,117,620
-----------
NORTH CAROLINA -- 4.6%
North Carolina State General
Obligation, Series A
5.00%, 03/01/2011........... 1,000,000 1,056,090
-----------
OHIO -- 4.7%
Ohio State Water Development
Authority, Water
Quality -- Loan Fund
5.00%, 12/01/2011........... 1,000,000 1,065,990
-----------
PENNSYLVANIA -- 4.6%
Pennsylvania State General
Obligation (MBIA)
5.25%, 02/01/2010........... 1,000,000 1,043,070
-----------
TEXAS -- 7.9%
Austin,TX, Electric Utility
System Revenue, Series A
(AMBAC)
5.00%, 11/15/2010........... 1,000,000 1,048,850
Dallas, TX, General Obligation
5.00%, 02/15/2011........... 710,000 746,920
-----------
1,795,770
-----------
VIRGINIA -- 9.3%
Loudoun County, VA, General
Obligation
5.00%, 06/01/2012........... 1,000,000 1,073,430
Virginia State Public Building
Authority, Building Revenue
Bonds, Series A
5.00%, 08/01/2010........... 1,000,000 1,045,890
-----------
2,119,320
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $21,467,750)............ 21,599,907
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 4.0%
MONEY MARKET FUND -- 4.0%
State Street Institutional Tax
Free Money Market Fund
3.25%(a)
(Cost $894,345)............. 894,345 894,345
-----------
TOTAL INVESTMENTS -- 99.0%
(Cost $22,362,095).......... 22,494,252
OTHER ASSETS AND
LIABILITIES -- 1.0%......... 236,235
-----------
NET ASSETS -- 100.0%.......... $22,730,487
===========
</Table>
(a) State Street Institutional Tax Free Money Market Fund, an affiliated Fund,
is managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
23
SPDR LEHMAN SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
AS A % OF TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ---------------
Ambac Financial Group (AMBAC) 8.1%
Financial Security Assurance, Inc.
(FSA) 4.6%
Municipal Bond Investors Assurance
Corp. (MBIA) 13.8%
</Table>
See accompanying notes to financial statements.
24
SPDR LEHMAN INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.0%
Treasury Bonds
7.25%, 05/15/2016............ $100,000 $ 122,947
7.50%, 11/15/2016............ 96,000 120,506
8.75%, 05/15/2017............ 85,000 115,612
8.88%, 08/15/2017............ 50,000 68,799
9.25%, 02/15/2016............ 26,000 35,498
9.88%, 11/15/2015............ 28,000 39,224
10.63%, 08/15/2015........... 17,000 24,542
11.25%, 02/15/2015........... 52,000 75,988
11.75%, 11/15/2014........... 23,000 26,560
12.00%, 08/15/2013........... 58,000 61,042
12.50%, 08/15/2014........... 20,000 22,940
13.25%, 05/15/2014........... 21,000 23,780
Treasury Notes
2.63%, 03/15/2009............ 90,000 89,455
3.00%, 02/15/2009............ 94,000 93,864
3.13%, 04/15/2009............ 91,000 91,032
3.13%, 11/30/2009............ 125,000 125,110
3.25%, 01/15/2009............ 88,000 88,137
3.25%, 12/31/2009............ 100,000 100,348
3.38%, 09/15/2009............ 89,000 89,463
3.38%, 10/15/2009............ 102,000 102,624
3.38%, 11/30/2012............ 80,000 79,747
3.50%, 08/15/2009............ 89,000 89,591
3.50%, 11/15/2009............ 88,000 88,768
3.50%, 12/15/2009............ 88,000 88,739
3.50%, 02/15/2010............ 84,000 84,753
3.63%, 07/15/2009............ 105,000 105,824
3.63%, 10/31/2009............ 120,000 121,193
3.63%, 01/15/2010............ 82,000 82,954
3.63%, 06/15/2010............ 82,000 83,123
3.63%, 12/31/2012............ 50,000 50,381
3.63%, 05/15/2013............ 108,000 108,673
3.88%, 05/15/2009............ 83,000 83,837
3.88%, 05/15/2010............ 90,000 91,703
3.88%, 07/15/2010............ 78,000 79,594
3.88%, 09/15/2010............ 76,000 77,639
3.88%, 10/31/2012............ 75,000 76,453
3.88%, 02/15/2013............ 107,000 109,132
4.00%, 06/15/2009............ 86,000 87,126
4.00%, 08/31/2009............ 110,000 111,585
4.00%, 09/30/2009............ 100,000 101,573
4.00%, 03/15/2010............ 85,000 86,736
4.00%, 04/15/2010............ 97,000 98,981
4.00%, 11/15/2012............ 108,000 110,922
4.00%, 02/15/2014............ 157,000 160,327
4.00%, 02/15/2015............ 148,000 150,116
4.13%, 08/15/2010............ 76,000 78,047
4.13%, 08/31/2012............ 80,000 82,374
4.13%, 05/15/2015............ 132,000 134,561
4.25%, 10/15/2010............ 75,000 77,391
4.25%, 01/15/2011............ 78,000 80,650
4.25%, 09/30/2012............ 80,000 82,794
4.25%, 08/15/2013............ 190,000 196,870
4.25%, 11/15/2013............ 170,000 176,168
4.25%, 08/15/2014............ 140,000 144,725
4.25%, 11/15/2014............ 137,000 141,324
4.25%, 08/15/2015............ 136,000 139,581
4.25%, 11/15/2017............ 125,000 127,187
4.38%, 12/15/2010............ 75,000 77,780
4.38%, 08/15/2012............ 108,000 112,684
4.50%, 02/15/2009............ 130,000 131,915
4.50%, 03/31/2009............ 123,000 125,032
4.50%, 04/30/2009............ 108,000 109,928
4.50%, 05/15/2010............ 85,000 87,842
4.50%, 11/15/2010............ 77,000 80,082
4.50%, 02/28/2011............ 84,000 87,489
4.50%, 09/30/2011............ 83,000 86,580
4.50%, 11/30/2011............ 84,000 87,662
4.50%, 03/31/2012............ 78,000 81,517
4.50%, 04/30/2012............ 78,000 81,492
4.50%, 11/15/2015............ 136,000 141,647
4.50%, 02/15/2016............ 126,000 131,134
4.50%, 05/15/2017............ 125,000 129,521
4.63%, 07/31/2009............ 110,000 112,565
4.63%, 11/15/2009............ 114,000 117,283
4.63%, 08/31/2011............ 84,000 87,915
4.63%, 10/31/2011............ 84,000 88,009
4.63%, 12/31/2011............ 78,000 81,827
4.63%, 02/29/2012............ 78,000 81,867
4.63%, 07/31/2012............ 80,000 83,996
4.63%, 11/15/2016............ 116,000 121,468
4.63%, 02/15/2017............ 126,000 131,689
4.75%, 02/28/2009............ 108,000 109,966
4.75%, 02/15/2010............ 96,000 99,305
4.75%, 03/31/2011............ 83,000 87,068
4.75%, 01/31/2012............ 78,000 82,211
4.75%, 05/31/2012............ 80,000 84,398
4.75%, 05/15/2014............ 161,000 171,167
4.75%, 08/15/2017............ 130,000 137,292
4.88%, 01/31/2009............ 120,000 122,110
4.88%, 05/15/2009............ 139,000 142,307
4.88%, 05/31/2009............ 110,000 112,694
4.88%, 06/30/2009............ 110,000 112,836
4.88%, 08/15/2009............ 126,000 129,475
4.88%, 04/30/2011............ 84,000 88,444
4.88%, 05/31/2011............ 90,000 94,817
4.88%, 07/31/2011............ 81,000 85,481
4.88%, 02/15/2012............ 122,000 129,437
4.88%, 06/30/2012............ 90,000 95,446
4.88%, 08/15/2016............ 141,000 150,138
5.00%, 02/15/2011............ 120,000 126,757
5.00%, 08/15/2011............ 141,000 149,542
5.13%, 06/30/2011............ 90,000 95,608
5.13%, 05/15/2016............ 126,000 136,361
5.50%, 05/15/2009............ 73,000 75,350
5.75%, 08/15/2010............ 118,000 125,934
6.00%, 08/15/2009............ 125,000 130,689
6.50%, 02/15/2010............ 112,000 119,778
-----------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $10,412,958)........... 10,842,148
-----------
</Table>
See accompanying notes to financial statements.
25
SPDR LEHMAN INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.2%
MONEY MARKET FUND -- 0.2%
State Street Institutional
Liquid Reserves Fund 4.86% (a)
(Cost $26,424)................ 26,424 $ 26,424
-----------
TOTAL INVESTMENTS -- 99.2%
(Cost $10,439,382)............ 10,868,572
OTHER ASSETS AND
LIABILITIES -- 0.8%........... 89,327
-----------
NET ASSETS -- 100.0%............ $10,957,899
===========
</Table>
(a) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
26
SPDR LEHMAN LONG TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 98.5%
Treasury Bonds
4.50%, 02/15/2036........... $1,085,000 $ 1,090,870
4.75%, 02/15/2037........... 648,000 678,197
5.00%, 05/15/2037........... 633,000 688,786
5.25%, 11/15/2028........... 423,000 465,347
5.25%, 02/15/2029........... 442,000 486,253
5.38%, 02/15/2031........... 679,000 764,900
5.50%, 08/15/2028........... 441,000 499,472
6.00%, 02/15/2026........... 497,000 588,219
6.13%, 11/15/2027........... 851,000 1,030,433
6.13%, 08/15/2029........... 412,000 504,066
6.25%, 08/15/2023........... 910,000 1,089,561
6.25%, 05/15/2030........... 676,000 843,614
6.38%, 08/15/2027........... 340,000 421,889
6.50%, 11/15/2026........... 428,000 535,569
6.63%, 02/15/2027........... 364,000 461,938
6.75%, 08/15/2026........... 315,000 403,213
6.88%, 08/15/2025........... 420,000 540,044
7.13%, 02/15/2023........... 591,000 762,644
7.25%, 08/15/2022........... 395,000 512,955
7.50%, 11/15/2024........... 362,000 490,340
7.63%, 11/15/2022........... 264,000 354,520
7.63%, 02/15/2025........... 353,000 483,935
7.88%, 02/15/2021........... 392,000 527,275
8.00%, 11/15/2021........... 1,176,000 1,609,862
8.13%, 08/15/2019........... 730,000 984,055
8.13%, 05/15/2021........... 383,000 526,246
8.13%, 08/15/2021........... 341,000 469,826
8.50%, 02/15/2020........... 362,000 503,441
8.75%, 05/15/2020........... 276,000 391,826
8.75%, 08/15/2020........... 659,000 938,403
8.88%, 02/15/2019........... 503,000 707,469
9.00%, 11/15/2018........... 257,000 363,408
9.13%, 05/15/2018........... 247,000 349,209
-----------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $20,233,382).......... 21,067,785
-----------
</Table>
<Table>
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.0%(A)
MONEY MARKET FUND -- 0.0%(A)
State Street Institutional Liquid
Reserves Fund 4.86% (b)
(Cost $3,049).................. 3,049 3,049
-----------
TOTAL INVESTMENTS -- 98.5%
(Cost $20,236,431)............. 21,070,834
OTHER ASSETS
AND LIABILITIES -- 1.5%........ 328,557
-----------
NET ASSETS -- 100.0%............. $21,399,391
===========
</Table>
(a) Amount represents less than 0.05% of net assets.
(b) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
27
SPDR BARCLAYS CAPITAL TIPS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.9%
Treasury Inflation Protected
Indexed Bonds
2.00%, 01/15/2026........... $1,327,354 $ 1,323,783
2.38%, 01/15/2025........... 1,960,689 2,061,488
2.38%, 01/15/2027........... 1,081,574 1,145,365
3.38%, 04/15/2032........... 363,699 466,684
3.63%, 04/15/2028........... 1,375,671 1,746,648
3.88%, 04/15/2029........... 1,591,117 2,108,150
Treasury Inflation Protected
Indexed Notes
0.88%, 04/15/2010........... 1,945,357 1,939,443
1.63%, 01/15/2015........... 1,312,968 1,318,469
1.88%, 07/15/2013........... 1,434,413 1,479,181
1.88%, 07/15/2015........... 1,148,202 1,170,661
2.00%, 04/15/2012........... 1,120,172 1,161,439
2.00%, 01/15/2014........... 1,493,641 1,543,768
2.00%, 07/15/2014........... 1,330,032 1,374,189
2.00%, 01/15/2016........... 1,125,251 1,155,464
2.38%, 04/15/2011........... 1,338,869 1,395,918
2.38%, 01/15/2017........... 1,124,049 1,187,356
2.50%, 07/15/2016........... 1,304,517 1,392,142
3.00%, 07/15/2012........... 1,687,180 1,828,229
3.38%, 01/15/2012........... 445,931 486,663
3.50%, 01/15/2011........... 828,269 890,919
3.88%, 01/15/2009........... 1,276,458 1,314,790
4.25%, 01/15/2010........... 889,107 949,015
2.63%, 07/15/2017........... 885,050 955,784
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $29,454,378).......... 30,395,548
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.0%(A)
MONET MARKET FUND -- 0.0%(A)
State Street Institutional
Liquid Reserves Fund
4.86%(b)
(Cost $4,518)............... 4,518 4,518
-----------
TOTAL INVESTMENTS -- 99.9%
(Cost $29,458,896).......... 30,400,066
OTHER ASSETS AND
LIABILITIES -- 0.1%......... 19,669
-----------
NET ASSETS -- 100.0%.......... $30,419,735
===========
</Table>
(a) Amount shown represents less than 0.05% of net assets.
(b) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
28
SPDR LEHMAN CALIFORNIA MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 97.5%
CALIFORNIA -- 95.8%
Bakersfield, CA, Wastewater
Revenue, Series A (FSA)
5.00%, 09/15/2032........... $ 500,000 $ 523,845
California State Department of
Water Resources & Power
Supply Revenue, Series A
(AMBAC)
5.50%, 05/01/2013........... 1,000,000 1,097,900
California State Economic
Recovery, Series A (MBIA)
5.00%, 07/01/2015........... 1,000,000 1,087,640
California State University
Revenue, Series A (AMBAC)
5.00%, 11/01/2025........... 500,000 523,045
Chabot-Las Positas Community
College District (AMBAC)
4.87%*, 08/01/2024.......... 1,400,000 617,498
Contra Costa County, CA,
Public Financing Lease
Revenue, Series B (MBIA)
5.00%, 06/01/2017........... 315,000 345,177
Los Angeles, CA, Unified
School District, Series B
(AMBAC)
5.00%, 07/01/2022........... 500,000 535,495
Los Angeles, CA, Water & Power
Revenue, Series A-1 (AMBAC)
5.00%, 07/01/2023........... 900,000 962,424
North Orange County, CA,
Community College District
(MBIA)
5.00%, 08/01/2015........... 1,000,000 1,094,850
Port of Oakland, CA, Revenue,
Series B (MBIA)
5.00%, 11/01/2026........... 600,000 633,330
San Diego, CA, Community
College District (FSA)
5.00%, 08/01/2032........... 1,000,000 1,047,230
San Francisco, CA, Bay Area
Rapid Transit District,
Series B
5.00%, 08/01/2022........... 500,000 544,000
San Francisco, CA, City &
County Public Utilities
Commission, Water Revenue,
Series A (FSA)
4.50%, 11/01/2031........... 500,000 492,070
San Francisco, CA, Community
College District, Series B
(AMBAC)
5.25%, 06/15/2012........... 800,000 866,088
San Jose, CA, Redevelopment
Agency Tax Allocation,
Project A (MBIA)
5.25%, 08/01/2013........... 500,000 546,070
San Mateo County, CA,
Community College District,
Series B
5.00%, 09/01/2031........... 315,000 328,929
Santa Clara Valley
Transportation Authority,
Sales Tax Revenue, Series A
(AMBAC)
5.00%, 04/01/2036........... 500,000 517,550
University of California,
Revenue, Series A (AMBAC)
5.13%, 05/15/2018........... 500,000 536,620
Vista, CA, Certificates of
Participation, Community
Projects (MBIA)
5.00%, 05/01/2031........... 500,000 508,165
-----------
12,807,926
-----------
PUERTO RICO -- 1.7%
Puerto Rico Commonwealth
Infrastructure Financing
Authority, Series A (AMBAC)
5.03%*, 07/01/2029.......... 655,000 227,095
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $12,966,784).......... 13,035,021
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 1.3%
MONEY MARKET FUND -- 1.3%
State Street Institutional Tax
Free Money Market Fund
3.25%(a)
(Cost $172,140)............. 172,140 172,140
-----------
TOTAL INVESTMENTS -- 98.8%
(Cost $13,138,924).......... 13,207,161
OTHER ASSETS
AND LIABILITIES -- 1.2%..... 155,038
-----------
NET ASSETS -- 100.0%.......... $13,362,199
===========
</Table>
* Zero coupon bond -- Rate shown represents current yield to maturity.
(a) State Street Institutional Tax Free Money Market Fund, an affiliated
Fund, is managed by SSgA Funds Management, Inc. The rate shown is the
annualized seven-day yield at period end.
<Table>
<Caption>
AS A % OF TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ---------------
Ambac Financial Group (AMBAC)...... 44.0%
Financial Security Assurance, Inc.
(FSA)............................ 15.4%
Municipal Bond Investors Assurance
Corp. (MBIA)..................... 31.6%
</Table>
See accompanying notes to financial statements.
29
SPDR LEHMAN NEW YORK MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 94.9%
NEW YORK -- 84.6%
Erie County, NY, Industrial
Development Agency, Series A
(FSA)
5.75%, 05/01/2024........... $ 500,000 $ 566,270
Liberty, NY, Development
Corporation Revenue
5.25%, 10/01/2035........... 500,000 524,790
Long Island Power Authority,
NY Electric System Revenue,
Series F (MBIA)
5.00%, 05/01/2018........... 500,000 540,705
Metropolitan Transportation
Authority, Series B (MBIA)
5.00%, 11/15/2025........... 500,000 526,675
New York State Dorm Authority
Revenue, Series C
5.00%, 12/15/2020........... 1,000,000 1,077,690
New York State Environmental
Facscorp, Series A
4.50%, 06/15/2036........... 885,000 872,398
New York State General
Obligation
5.00%, 04/15/2015........... 1,000,000 1,093,600
New York State Thruway Authority, General Revenue:
Series B
5.00%, 04/01/2027........... 500,000 316,794
Series H (FGIC)
5.00%, 01/01/2032........... 300,000 519,940
New York State Urban
Development Corporation
Revenue, Series A-1 (AMBAC)
5.00%, 12/15/2022........... 520,000 553,634
New York, NY, General
Obligation Series G
5.00%, 08/01/2025........... 385,000 398,163
Series J
5.50%, 06/01/2020........... 1,000,000 1,109,170
New York, NY, Industrial
Development Agency Revenue,
Yankee Stadium -- Pilot
(MBIA)
5.00%, 03/01/2011........... 500,000 524,660
New York, NY, Municipal
Finance Authority, Water and
Sewer System Revenue
5.00%, 06/15/2037........... 500,000 519,445
New York, NY, Transitional
Finance Authority
5.00%, 11/01/2009........... 450,000 466,335
Port Authority of New York &
New Jersey, Revenue
5.00%, 12/01/2029........... 500,000 518,985
Sales Tax Asset Receivables
Corporation, NY, Series A
(MBIA)
5.00%, 10/15/2020........... 500,000 535,230
Westchester County, NY,
General Obligation, Series A
3.75%, 11/15/2012........... 500,000 511,600
-----------
11,176,084
-----------
PUERTO RICO -- 10.3%
Puerto Rico Commonwealth,
General Obligation, Series A
(MBIA)
5.50%, 07/01/2019........... 725,000 809,513
Puerto Rico Electric Power
Authority Revenue, Series UU
(FSA)
5.00%, 07/01/2016........... 500,000 546,235
-----------
1,355,748
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $12,489,913).......... 12,531,832
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 4.7%
MONEY MARKET FUND -- 4.7%
State Street Institutional Tax
Free Money Market Fund
3.25%(a)
(Cost $613,913)............. 613,913 613,913
-----------
TOTAL INVESTMENTS -- 99.6%
(Cost $13,103,826).......... 13,145,745
OTHER ASSETS AND
LIABILITIES -- 0.4%......... 54,699
-----------
NET ASSETS -- 100.0%.......... $13,200,444
===========
</Table>
(a) State Street Institutional Tax Free Money Market Fund, an affiliated Fund,
is managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
<Table>
<Caption>
AS A % OF TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ---------------
Ambac Financial Group (AMBAC)...... 4.2%
Financial Guaranty Insurance
Company (FGIC)................... 3.9%
Financial Security Assurance, Inc.
(FSA)............................ 8.4%
Municipal Bond Investors Assurance
Corp. (MBIA)..................... 22.2%
</Table>
See accompanying notes to financial statements.
30
SPDR LEHMAN MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 97.9%
ALABAMA -- 1.4%
Birmingham, AL, Capital
Investment, Series A
4.50%, 12/01/2027........... $1,000,000 $ 996,050
-----------
ARIZONA -- 1.6%
Phoenix, AZ, General
Obligation, Series A
5.00%, 07/01/2017........... 1,000,000 1,103,250
-----------
CALIFORNIA -- 12.5%
Bay Area Infrastructure
Financing Authority Revenue
(FGIC)
5.00%, 08/01/2017........... 900,000 966,078
Bay Area Toll Authority, CA,
Toll Bridge Revenue, San
Francisco Bay Area, Series F
5.00%, 04/01/2031........... 1,500,000 1,568,940
Los Angeles County, CA, Public
Work Financing Authority
Lease Revenue, Series A
(MBIA)
5.00%, 12/01/2027........... 300,000 310,281
Los Angeles, CA, Unified
School District, Series A
5.00%, 07/01/2018........... 900,000 977,076
San Francisco California, Bay
Area Rapid Transit District,
Series B
5.00%, 08/01/2022........... 1,500,000 1,632,000
San Francisco City & County
Public Utilities Commission
Water Revenue, Series A
4.50%, 11/01/2031........... 1,000,000 984,140
San Jose Evergreen California,
Community College District,
Series A (AMBAC)
4.56%*, 09/01/2020.......... 2,500,000 1,437,475
Yuba, CA, Community College
District, Series B (AMBAC)
4.75%, 08/01/2037........... 1,000,000 1,009,160
-----------
8,885,150
-----------
CONNECTICUT -- 1.4%
Connecticut State General
Obligation, Series A
4.50%, 05/01/2026........... 1,000,000 1,015,180
-----------
FLORIDA -- 5.7%
Florida State Board Of Public
Education, General
Obligation
5.00%, 06/01/2016........... 900,000 986,580
Florida State Department of
Environmental Protection
Revenue, Series A
5.00%, 07/01/2009........... 1,000,000 1,027,630
Gainesville, FL, Utility
System Revenue, Series A
(FSA)
5.00%, 10/01/2035........... 900,000 990,171
Palm Beach County, FL, Public
Improvement Revenue,
Biomedical Research Park
Project, Series A (AMBAC)
5.00%, 06/01/2025........... 1,000,000 1,042,040
-----------
4,046,421
-----------
GEORGIA -- 4.5%
Georgia State General
Obligation:
Series B
5.00%, 04/01/2012........... 2,000,000 2,140,820
Series D
5.00%, 07/01/2009........... 1,000,000 1,029,400
-----------
3,170,220
-----------
HAWAII -- 1.3%
Hawaii State General
Obligation, Series DJ
(AMBAC)
5.00%, 04/01/2023........... 900,000 956,745
-----------
ILLINOIS -- 3.8%
Chicago, IL, General
Obligation, Series A
5.00%, 01/01/2015........... 900,000 980,172
Chicago, IL, Metropolitan
Water Reclamation District,
Series A
5.00%, 12/01/2020........... 1,000,000 1,100,020
Southwestern, IL, Development
Authority Revenue (FSA)
4.57%*, 12/01/2021.......... 1,125,000 599,276
-----------
2,679,468
-----------
KENTUCKY -- 3.7%
Kentucky Asset Liability
Commission Agency Revenue
(MBIA)
5.00%, 09/01/2013........... 1,000,000 1,075,820
Kentucky State Turnpike
Authority, Economic
Development Road Revenue
(AMBAC)
5.00%, 07/01/2025........... 1,500,000 1,572,510
-----------
2,648,330
-----------
MARYLAND -- 1.9%
Maryland State General
Obligation,
First Series
5.00%, 08/01/2012........... 1,250,000 1,343,925
-----------
MASSACHUSETTS -- 6.2%
Massachusetts Bay
Transportation Authority,
Massachusetts Sales Tax
Revenue, Series A
5.00%, 07/01/2021........... 1,000,000 1,100,190
Massachusetts State General
Obligation, Series A
5.25%, 08/01/2019........... 900,000 1,011,393
Massachusetts State Water
Pollution Abatement Trust
5.25%, 08/01/2033........... 2,000,000 2,289,560
-----------
4,401,143
-----------
MICHIGAN -- 2.6%
Michigan Municipal Bond
Authority Revenue
5.00%, 10/01/2022........... 1,700,000 1,817,793
-----------
MINNESOTA -- 2.8%
Minnesota State, General
Obligation
5.00%, 06/01/2015........... 1,820,000 2,000,490
-----------
</Table>
See accompanying notes to financial statements.
31
SPDR LEHMAN MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MISSOURI -- 2.8%
Missouri State Regional
Convention & Sports Complex
Authority (AMBAC)
5.25%, 08/15/2016........... $1,800,000 $ 1,951,578
-----------
NEVADA -- 2.9%
Clark County, NV, School
District, Series A
5.00%, 06/15/2014........... 900,000 980,550
Nevada State Highway
Improvement Revenue (FSA)
5.00%, 12/01/2017........... 1,000,000 1,092,310
-----------
2,072,860
-----------
NEW JERSEY -- 3.1%
New Jersey State Educational
Facilities Authority
Revenue, Higher Education,
Capital Improvement, Series
A
5.00%, 09/01/2018........... 735,000 795,630
New Jersey State
Transportation Trust Fund
Authority, Series A
5.25%, 06/15/2012........... 1,305,000 1,412,806
-----------
2,208,436
-----------
NEW YORK -- 11.8%
Long Island Power Authority,
NY, Electric System Revenue,
Series F (MBIA)
5.00%, 05/01/2018........... 1,500,000 1,622,115
New York State Thruway
Authority, General Revenue,
Series G (FSA)
4.75%, 01/01/2030........... 920,000 933,322
New York State Urban
Development Corp. Revenue:
Series A-1 (AMBAC)
5.00%, 12/15/2022........... 1,000,000 1,064,680
Series B
3.63%, 03/15/2012........... 710,000 718,953
New York, NY, City
Transitional Finance
Authority Revenue, Sub
Series C-1
5.00%, 11/01/2020........... 900,000 973,998
New York, NY, General
Obligation, Series C-1
5.00%, 10/01/2012........... 1,400,000 1,489,054
Port Authority of New York &
New Jersey, Revenue
5.00%, 12/01/2029........... 1,500,000 1,556,955
-----------
8,359,077
-----------
NORTH CAROLINA -- 1.5%
North Carolina State, General
Obligation, Series B
5.00%, 04/01/2014........... 1,000,000 1,091,010
-----------
OHIO -- 1.4%
Hamilton County, OH, Sales Tax
Revenue, Series A (AMBAC)
5.00%, 12/01/2022........... 955,000 1,016,368
-----------
PENNSYLVANIA -- 4.4%
Commonwealth Financing
Authority Revenue, Series A
(FSA)
5.00%, 06/01/2025........... 1,925,000 2,027,506
Pennsylvania State General
Obligation, Series A
5.00%, 11/01/2013........... 1,000,000 1,086,060
-----------
3,113,566
-----------
SOUTH CAROLINA -- 4.2%
Charleston County, SC, Sales
Tax Revenue
5.00%, 11/01/2018........... 2,000,000 2,198,600
South Carolina Transportation
Infrastructure Bank Revenue,
Series A (AMBAC)
5.50%, 10/01/2019........... 650,000 743,886
-----------
2,942,486
-----------
TEXAS -- 7.4%
Houston TX, Utility System
Revenue, Series A
5.25%, 11/15/2017........... 900,000 1,005,687
Texas State General Obligation
4.75%, 04/01/2036........... 1,000,000 1,003,990
Wichita Falls, TX, Water and
Sewer Revenue (FGIC)
4.50%, 08/01/2023........... 1,000,000 1,004,210
Williamson County, TX, General
Obligation (MBIA)
5.25%, 02/15/2018........... 2,000,000 2,208,580
-----------
5,222,467
-----------
VIRGINIA -- 2.9%
Fairfax County, VA, General
Obligation, Series A
4.00%, 04/01/2020........... 1,000,000 998,990
Virginia College Building
Authority, Educational
Facilities Revenue, Series B
5.00%, 02/01/2009........... 1,000,000 1,021,830
-----------
2,020,820
-----------
WASHINGTON -- 6.1%
Central Puget Sound, WA,
Regional Transit Authority,
Sales & Use Tax Revenue,
Series A
5.00%, 11/01/2036........... 2,000,000 2,081,800
Energy Northwest Washington
Electric Revenue, Series A
(MBIA)
5.50%, 07/01/2012........... 1,200,000 1,305,192
Washington State General
Obligation, Series A
5.00%, 07/01/2023........... 900,000 957,330
-----------
4,344,322
-----------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $69,098,714).......... 69,407,155
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 1.2%
MONEY MARKET -- 1.2%
State Street Institutional Tax
Free Money Market Fund
3.25%(a)
(Cost $868,549)............. 868,549 868,549
-----------
</Table>
See accompanying notes to financial statements.
32
SPDR LEHMAN MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
VALUE
-----
TOTAL INVESTMENTS -- 99.1%
(Cost $69,967,263).......... 70,275,704
OTHER ASSETS AND
LIABILITIES -- 0.9%......... 625,768
-----------
NET ASSETS -- 100.0%.......... $70,901,472
===========
</Table>
* Zero coupon bond -- Rate shown represents current yield to maturity.
(a) State Street Institutional Tax Free Money Market Fund, an affiliated Fund,
is managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
<Table>
<Caption>
AS A % OF TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ---------------
Ambac Financial Group (AMBAC)...... 15.22%
Municipal Bond Investors Assurance
Corp. (MBIA)..................... 9.20%
Financial Security Assurance, Inc,
(FSA)............................ 7.96%
Financial Guaranty Insurance Co.
(FGIC)........................... 2.78%
</Table>
See accompanying notes to financial statements.
33
SPDR LEHMAN AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 29.4%
AEROSPACE & DEFENSE -- 0.6%
Boeing Co.
6.13%, 02/15/2033........... $ 60,000 $ 62,458
Honeywell International, Inc.
6.13%, 11/01/2011........... 330,000 348,129
------------
410,587
------------
AUTOMOBILES -- 0.5%
DaimlerChrysler NA Holding
Corp.
7.20%, 09/01/2009........... 330,000 340,234
------------
BUILDING PRODUCTS -- 0.2%
Masco Corp.
6.13%, 10/03/2016........... 150,000 145,951
------------
CAPITAL MARKETS -- 2.5%
Morgan Stanley
4.00%, 01/15/2010........... 900,000 883,999
Svensk Exportkredit AB
5.13%, 03/01/2017........... 150,000 154,653
The Goldman Sachs Group, Inc.
5.35%, 01/15/2016........... 480,000 475,887
5.95%, 01/15/2027........... 120,000 108,458
------------
1,622,997
------------
CHEMICALS -- 0.2%
E.I. du Pont de Nemours & Co.
5.25%, 12/15/2016........... 150,000 148,071
------------
COMMERCIAL BANKS -- 6.9%
Bank of New York Mellon Corp.
4.95%, 11/01/2012........... 100,000 100,491
Deutsche Bank AG London
5.38%, 10/12/2012........... 150,000 153,344
6.00%, 09/01/2017........... 180,000 185,534
European Investment Bank
5.00%, 02/08/2010........... 900,000 927,810
HSBC Bank USA NA
4.63%, 04/01/2014........... 300,000 284,231
International Bank for
Reconstruction & Development
4.75%, 02/15/2035........... 35,000 34,204
Key Bank NA
5.80%, 07/01/2014........... 180,000 176,828
KfW
3.25%, 03/30/2009........... 1,500,000 1,493,400
Royal Bank of Scotland Group
PLC
5.00%, 11/12/2013........... 150,000 145,305
US Bank NA
6.38%, 08/01/2011........... 100,000 105,140
Wachovia Bank NA
5.85%, 02/01/2037........... 270,000 243,550
Wells Fargo & Co.
4.88%, 01/12/2011........... 150,000 150,123
5.63%, 12/11/2017........... 100,000 100,694
Wells Fargo Bank NA
4.75%, 02/09/2015........... 330,000 315,908
------------
4,416,562
------------
COMMUNICATIONS EQUIPMENT -- 0.2%
Cisco Systems, Inc.
5.50%, 02/22/2016........... 90,000 91,571
------------
COMPUTERS & PERIPHERALS -- 0.3%
International Business
Machines Corp.
5.88%, 11/29/2032........... 60,000 60,726
Oracle Corp.
5.00%, 01/15/2011........... 150,000 151,702
------------
212,428
------------
DIVERSIFIED FINANCIAL SERVICES -- 7.2%
Bank of America Corp.
7.80%, 02/15/2010........... 100,000 106,442
Bank of America NA
5.30%, 03/15/2017........... 150,000 145,914
CIT Group, Inc.
4.25%, 02/01/2010........... 630,000 599,523
Citigroup, Inc.
5.63%, 08/27/2012........... 750,000 756,958
Credit Suisse USA, Inc.
6.50%, 01/15/2012........... 630,000 664,276
General Electric Capital Corp.
6.75%, 03/15/2032........... 240,000 254,530
HSBC Finance Corp.
5.25%, 01/14/2011........... 630,000 630,947
JPMorgan Chase & Co.
6.63%, 03/15/2012........... 1,260,000 1,334,471
Lehman Brothers Holdings, Inc.
6.75%, 12/28/2017........... 100,000 103,412
------------
4,596,473
------------
ELECTRIC UTILITIES -- 0.9%
Consolidated Edison Co. NY,
Inc.
Ser 07 A
6.30%, 08/15/2037........... 60,000 61,115
Pacific Gas & Electric Co.
4.80%, 03/01/2014........... 330,000 321,684
Progress Energy, Inc.
7.75%, 03/01/2031........... 150,000 176,048
------------
558,847
------------
FOOD & STAPLES RETAILING -- 0.2%
Wal-Mart Stores, Inc.
5.88%, 04/05/2027........... 120,000 118,123
------------
FOOD PRODUCTS -- 0.6%
Archer-Daniels-Midland Co.
5.38%, 09/15/2035........... 90,000 77,966
General Mills, Inc.
5.70%, 02/15/2017........... 150,000 147,039
Kraft Foods, Inc.
5.63%, 11/01/2011........... 150,000 152,725
------------
377,730
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1%
Baxter International, Inc.
6.25%, 12/01/2037........... 50,000 52,169
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.5%
UnitedHealth Group, Inc.
5.25%, 03/15/2011........... 330,000 330,503
------------
</Table>
See accompanying notes to financial statements.
34
SPDR LEHMAN AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
HOUSEHOLD PRODUCTS -- 0.1%
Procter & Gamble Co.
5.55%, 03/05/2037........... $ 90,000 $ 90,482
------------
INSURANCE -- 1.2%
American International Group,
Inc.
5.45%, 05/18/2017........... 300,000 292,827
MetLife, Inc.
5.70%, 06/15/2035........... 150,000 135,387
The Allstate Corp.
5.95%, 04/01/2036........... 60,000 56,395
The Travelers Cos., Inc.
6.25%, 03/15/2037........... 150,000 140,673
XL Capital, Ltd.
6.50%, 12/31/2049........... 150,000 128,533
------------
753,815
------------
MACHINERY -- 0.1%
Caterpillar, Inc.
6.05%, 08/15/2036........... 60,000 60,714
------------
MEDIA -- 0.7%
Comcast Corp.
6.50%, 01/15/2017........... 120,000 125,387
News America, Inc.
6.15%, 03/01/2037........... 90,000 87,704
Time Warner Cable, Inc.
5.85%, 05/01/2017........... 120,000 119,965
Time Warner, Inc.
7.70%, 05/01/2032........... 90,000 100,926
------------
433,982
------------
METALS & MINING -- 0.2%
Vale Overseas, Ltd.
6.88%, 11/21/2036........... 120,000 119,282
------------
MULTI-UTILITIES -- 0.2%
Midamerican Energy Holdings
Co.
6.13%, 04/01/2036........... 150,000 150,238
------------
MULTILINE RETAIL -- 0.2%
Macy's Retail Holdings, Inc.
5.35%, 03/15/2012........... 150,000 146,436
------------
OIL, GAS & CONSUMABLE FUELS -- 1.5%
Anadarko Petroleum Corp.
5.95%, 09/15/2016........... 120,000 121,754
Canadian Natural Resources,
Ltd.
6.25%, 03/15/2038........... 150,000 147,735
ConocoPhillips Canada Funding
Co.
5.63%, 10/15/2016........... 330,000 338,996
Southern Natural Gas Co.
5.90%, 04/01/2017(a)........ 330,000 329,202
Transocean, Inc.
6.00%, 03/15/2018........... 50,000 50,711
------------
988,398
------------
PHARMACEUTICALS -- 0.9%
Abbott Laboratories
5.60%, 05/15/2011........... 150,000 155,362
AstraZeneca PLC
6.45%, 09/15/2037........... 30,000 32,553
Eli Lilly & Co.
5.20%, 03/15/2017........... 120,000 120,140
Schering-Plough Corp.
6.00%, 09/15/2017........... 150,000 154,966
Wyeth
5.95%, 04/01/2037........... 90,000 89,838
------------
552,859
------------
REAL ESTATE INVESTMENT TRUST -- 0.8%
Simon Property Group LP
5.60%, 09/01/2011........... 480,000 480,824
------------
ROAD & RAIL -- 0.3%
CSX Corp.
6.15%, 05/01/2037........... 60,000 55,692
Norfolk Southern Corp.
7.70%, 05/15/2017........... 120,000 136,455
------------
192,147
------------
SPECIALTY RETAIL -- 0.2%
Home Depot, Inc.
5.40%, 03/01/2016........... 150,000 142,085
------------
WIRELESS TELECOMMUNICATION SERVICES -- 2.1%
AT&T Corp.
8.00%, 11/15/2031........... 180,000 222,364
Deutsche Telekom International
Finance BV
8.00%, 06/15/2010........... 330,000 352,393
Embarq Corp.
7.08%, 06/01/2016........... 60,000 61,907
New Cingular Wireless
Services, Inc.
8.13%, 05/01/2012........... 150,000 165,924
Sprint Capital Corp.
6.88%, 11/15/2028........... 90,000 85,810
Telecom Italia Capital SA
5.25%, 10/01/2015........... 210,000 204,346
Verizon Global Funding Corp.
6.88%, 06/15/2012........... 150,000 161,445
Vodafone Group PLC
5.63%, 02/27/2017........... 90,000 89,943
------------
1,344,132
------------
TOTAL CORPORATE BONDS & NOTES --
(Cost $18,919,548).......... 18,877,640
------------
FOREIGN GOVERNMENT AGENCY OBLIGATIONS -- 1.7%
Province of Ontario
4.95%, 06/01/2012........... 180,000 187,039
Province of Quebec
7.50%, 09/15/2029........... 180,000 233,125
Republic of Italy
5.63%, 06/15/2012........... 300,000 319,590
United Mexican States
5.63%, 01/15/2017........... 330,000 333,300
------------
TOTAL FOREIGN GOVERNMENT
AGENCY OBLIGATIONS --
(Cost $1,067,775)........... 1,073,054
------------
</Table>
See accompanying notes to financial statements.
35
SPDR LEHMAN AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. AGENCY MBS TBA-- 38.3%
Fannie Mae
4.50%, 30YR TBA............. $ 500,000 $ 473,047
5.00%, 15YR TBA............. 1,400,000 1,401,094
5.50%, 30YR TBA............. 5,600,000 5,591,687
6.50%, 30YR TBA............. 1,925,000 1,978,840
6.00%, 15YR TBA............. 1,250,000 1,279,102
7.00%, 30YR TBA............. 750,000 779,766
Federal Home Loan Bank
5.50%, 15YR TBA............. 650,000 657,922
Freddie Mac
4.50%, 15YR TBA............. 1,350,000 1,327,430
5.00%, 30YR TBA............. 3,500,000 3,414,961
6.00%, 30YR TBA............. 4,550,000 4,617,539
6.50%, 15YR TBA............. 450,000 462,867
Ginnie Mae
5.00%, 30YR TBA............. 300,000 295,617
5.50%, 30YR TBA............. 800,000 805,687
6.00%, 30YR TBA............. 800,000 818,750
6.50%, 30YR TBA............. 700,000 722,750
------------
TOTAL U.S. AGENCY MBS TBAS --
(Cost $24,531,500).......... 24,627,059
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.2%
Fannie Mae
4.88%, 04/15/2009........... 300,000 304,553
5.00%, 02/16/2012........... 628,000 654,407
5.00%, 05/11/2017........... 300,000 311,389
7.13%, 01/15/2030........... 330,000 428,880
Federal Home Loan Bank
5.13%, 08/14/2013........... 630,000 664,175
5.38%, 08/19/2011........... 1,110,000 1,168,521
Freddie Mac
4.50%, 01/15/2013........... 120,000 122,793
5.00%, 01/16/2009........... 1,585,000 1,604,170
5.00%, 04/18/2017........... 628,000 652,428
------------
TOTAL GOVERNMENT AGENCY
OBLIGATIONS --
(Cost $5,843,246)........... 5,911,316
------------
U.S. TREASURY OBLIGATIONS -- 20.7%
Treasury Bonds
4.50%, 02/15/2036........... 452,000 454,445
6.00%, 02/15/2026........... 1,419,000 1,679,443
8.88%, 08/15/2017........... 1,198,000 1,648,436
Treasury Notes
4.00%, 04/15/2010........... 2,478,000 2,528,601
4.13%, 05/15/2015........... 600,000 611,640
4.50%, 03/31/2009........... 734,000 746,126
4.50%, 04/30/2012........... 3,788,000 3,957,589
4.88%, 08/15/2016........... 1,598,000 1,701,566
------------
TOTAL U.S. TREASURY OBLIGATIONS --
(Cost $13,214,562).......... 13,327,846
------------
SHORT TERM INVESTMENTS -- 39.3%
COMMERCIAL PAPER -- 38.0%(D)
Lexington Parker Capital Co.
5.20%, 01/17/2008(c)........ 1,000,000 997,833
5.75%, 01/07/2008(c)........ 4,500,000 4,496,406
6.25%, 01/14/2008(c)........ 4,500,000 4,490,625
Surrey Funding Corp.
5.17%, 01/31/2008(c)........ 3,000,000 2,987,506
5.40%, 01/14/2008(c)........ 3,000,000 2,994,600
5.80%, 01/17/2008(c)........ 4,500,000 4,489,125
6.00%, 01/10/2008(c)........ 4,000,000 3,994,667
------------
24,450,762
------------
<Caption>
SHARES
------
MONEY MARKET FUND -- 1.3%
State Street Institutional Liquid Reserves
Fund 4.91%,(b)(c)........... 844,763 844,763
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $25,295,525).......... 25,295,525
------------
TOTAL INVESTMENTS -- 138.6%
(Cost $88,872,156).......... 89,112,440
OTHER ASSETS AND
LIABILITIES -- (38.6)%...... (24,837,425)
------------
NET ASSETS -- 100.0%.......... $ 64,275,015
============
</Table>
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 0.51% of net assets as of December 31, 2007, is
considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
(c) Security or a portion of the security has been designated as collateral for
TBA securities.
(d) Rate shown is annualized yield at time of purchase; not coupon rate.
TBA = To Be Announced
See accompanying notes to financial statements.
36
SPDR LEHMAN INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 96.6%
AUSTRALIA -- 2.1%
Commonwealth of Australia
6.00%, 02/15/2017......... 1,360,000 $ 1,167,042
6.50%, 05/15/2013......... 1,700,000 1,489,536
7.50%, 09/15/2009......... 1,275,000 1,131,143
------------
3,787,721
------------
AUSTRIA -- 3.5%
Republic of Austria
3.80%, 10/20/2013(b)...... 1,530,000 2,189,230
4.65%, 01/15/2018......... 1,530,000 2,277,844
6.25%, 07/15/2027......... 1,020,000 1,788,404
------------
6,255,478
------------
BELGIUM -- 4.6%
Kingdom of Belgium
5.00%, 09/28/2012......... 3,400,000 5,133,293
5.00%, 03/28/2035......... 850,000 1,287,483
5.50%, 09/28/2017......... 1,190,000 1,881,261
------------
8,302,037
------------
CANADA -- 4.1%
Government of Canada
4.00%, 06/01/2016......... 1,700,000 1,725,768
4.25%, 09/01/2009......... 1,700,000 1,734,760
5.25%, 06/01/2012......... 1,700,000 1,817,921
5.75%, 06/01/2029......... 1,700,000 2,117,701
------------
7,396,150
------------
DENMARK -- 2.3%
Kingdom of Denmark
4.00%, 11/15/2017......... 1,500,000 283,558
5.00%, 11/15/2013......... 17,400,000 3,537,078
6.00%, 11/15/2009......... 1,500,000 303,063
------------
4,123,699
------------
FRANCE -- 4.5%
Republic of France, Treasury
Note
3.50%, 01/12/2009......... 2,040,000 2,964,633
Republic of France
4.00%, 04/25/2013......... 2,125,000 3,077,283
5.75%, 10/25/2032......... 1,190,000 2,012,175
------------
8,054,091
------------
GERMANY -- 12.7%
Federal Republic of Germany
3.50%, 10/09/2009......... 8,325,000 12,052,129
4.00%, 01/04/2037......... 1,190,000 1,574,478
4.25%, 07/04/2017......... 2,125,000 3,091,574
4.50%, 01/04/2013......... 2,550,000 3,789,435
5.63%, 01/04/2028......... 1,530,000 2,523,245
------------
23,030,861
------------
GREECE -- 3.9%
Republic of Greece
3.70%, 07/20/2015......... 5,100,000 7,098,591
------------
ITALY -- 11.8%
Republic of Italy
3.00%, 01/15/2010......... 4,240,000 6,068,522
4.00%, 02/01/2037......... 2,500,000 3,127,772
4.75%, 02/01/2013......... 2,125,000 3,179,899
5.25%, 08/01/2017......... 3,400,000 5,242,475
6.50%, 11/01/2027......... 2,125,000 3,745,900
------------
21,364,568
------------
JAPAN -- 23.0%
Government of Japan 5 Year
Bond
0.50%, 12/20/2008......... 150,000,000 1,341,677
1.50%, 03/20/2011......... 50,000,000 456,523
Government of Japan 10 Year
Issue
1.30%, 06/20/2012......... 1,060,000,000 9,632,208
1.50%, 09/20/2014......... 731,000,000 6,682,602
1.80%, 09/21/2009......... 1,265,000,000 11,530,903
Government of Japan 20 Year
Bond
2.30%, 06/20/2027......... 360,000,000 3,336,768
2.60%, 03/20/2019......... 766,500,000 7,575,962
Government of Japan 30 Year
Bond
2.40%, 03/20/2037......... 104,000,000 942,093
------------
41,498,736
------------
MEXICO -- 2.4%
United Mexican States
9.00%, 12/24/2009......... 14,790,000 1,383,154
9.00%, 12/20/2012......... 20,400,000 1,944,432
10.00%, 12/05/2024........ 8,925,000 950,371
------------
4,277,957
------------
NETHERLANDS -- 4.5%
Kingdom of the Netherlands
3.75%, 07/15/2009......... 2,125,000 3,092,127
3.75%, 07/15/2014......... 2,975,000 4,231,765
5.50%, 01/15/2028......... 510,000 827,080
------------
8,150,972
------------
POLAND -- 2.7%
Republic of Poland
6.00%, 05/24/2009......... 5,000,000 2,026,366
6.25%, 10/24/2015......... 6,800,000 2,805,349
------------
4,831,715
------------
SOUTH AFRICA -- 2.1%
Republic of South Africa
13.50%, 09/15/2015........ 20,400,000 3,806,969
------------
SPAIN -- 4.6%
Kingdom of Spain
3.15%, 01/31/2016......... 2,125,000 2,855,323
4.20%, 01/31/2037......... 340,000 455,892
6.15%, 01/31/2013......... 850,000 1,352,569
8.20%, 02/28/2009......... 2,380,000 3,635,538
------------
8,299,322
------------
SWEDEN -- 2.5%
Kingdom of Sweden
3.75%, 08/12/2017......... 5,300,000 783,125
5.50%, 10/08/2012......... 22,700,000 3,703,424
------------
4,486,549
------------
TAIWAN -- 0.8%
Government of Taiwan
2.38%, 09/21/2017......... 50,000,000 1,512,498
------------
</Table>
See accompanying notes to financial statements.
37
SPDR LEHMAN INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
UNITED KINGDOM -- 4.5%
United Kingdom Treasury Bond
4.75%, 09/07/2015......... 1,105,000 $ 2,234,213
4.75%, 12/07/2038......... 850,000 1,819,926
5.00%, 03/07/2012......... 340,000 692,405
5.00%, 03/07/2025......... 1,050,000 2,218,548
5.75%, 12/07/2009......... 595,000 1,214,847
------------
8,179,939
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS --
(Cost $174,961,456)....... 174,457,853
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
State Street Institutional
Liquid Reserves Fund
4.86%(a)
(Cost $544,017)........... 544,017 544,017
------------
<Caption>
VALUE
-----
TOTAL INVESTMENTS -- 96.9%
(Cost $175,505,473)....... 175,001,870
OTHER ASSETS AND
LIABILITIES -- 3.1%....... 5,674,398
------------
NET ASSETS -- 100.0%........ $180,676,268
============
</Table>
(a) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
(b) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 1.21% of net assets as of December 31, 2007, is
considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
See accompanying notes to financial statements.
38
SPDR LEHMAN HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 96.9%
AEROSPACE & DEFENSE -- 1.6%
L-3 Communications Corp.
6.38%, 10/15/2015............ $150,000 $ 147,750
-----------
CHEMICALS -- 2.4%
Ineos Group Holdings Plc
8.50%, 02/15/2016(a)......... 150,000 133,500
Momentive Performance
Materials, Inc.
9.75%, 12/01/2014(a)......... 100,000 92,000
-----------
225,500
-----------
COMMERCIAL SERVICES & SUPPLIES -- 4.8%
Allied Waste North America,
Inc.
6.88%, 06/01/2017............ 100,000 97,500
ARAMARK Corp.
8.50%, 02/01/2015............ 150,000 151,875
Hertz Corp.
8.88%, 01/01/2014............ 200,000 202,750
-----------
452,125
-----------
COMPUTERS & PERIPHERALS -- 3.1%
Ceridian Corp.
11.25%, 11/15/2015(a)........ 100,000 92,750
Sungard Data Systems, Inc.
9.13%, 08/15/2013............ 200,000 203,500
-----------
296,250
-----------
DIVERSIFIED FINANCIAL SERVICES -- 6.7%
Ford Motor Credit Co. LLC
9.75%, 09/15/2010............ 175,000 166,985
GMAC LLC
6.63%, 05/15/2012............ 100,000 83,132
LVB Acquisition Merger Sub,
Inc.
11.63%, 10/15/2017(a)........ 100,000 98,500
Nuveen Investments, Inc.
10.50%, 11/15/2015(a)........ 125,000 124,531
Residential Capital LLC
6.38%, 06/30/2010............ 250,000 160,000
-----------
633,148
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 7.0%
Cricket Communications, Inc.
9.38%, 11/01/2014............ 100,000 93,750
Intelsat Bermuda, Ltd.
11.25%, 06/15/2016........... 125,000 129,062
Level 3 Financing, Inc.
9.25%, 11/01/2014............ 150,000 135,750
MetroPCS Wireless, Inc.
9.25%, 11/01/2014............ 100,000 94,000
Windstream Corp.
8.63%, 08/01/2016............ 200,000 210,000
-----------
662,562
-----------
ELECTRIC UTILITIES -- 10.8%
Aes Corp.
8.00%, 10/15/2017(a)......... 150,000 153,375
Edison Mission Energy
7.00%, 05/15/2017............ 150,000 147,375
Mirant North America LLC
7.38%, 12/31/2013............ 125,000 125,312
NRG Energy, Inc.
7.38%, 02/01/2016............ 250,000 243,750
Reliant Energy, Inc.
6.75%, 12/15/2014............ 100,000 100,250
Texas Competitive Electric
Holdings Co. LLC
10.25%, 11/01/2015(a)........ 250,000 247,500
-----------
1,017,562
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.5%
NXP BV / NXP Funding LLC
9.50%, 10/15/2015............ 150,000 137,438
RBS Global, Inc. and Rexnord
Corp.
9.50%, 08/01/2014............ 100,000 99,000
-----------
236,438
-----------
HEALTH CARE PROVIDERS & SERVICES -- 10.6%
Community Health Systems, Inc.
8.88%, 07/15/2015............ 300,000 305,625
DaVita, Inc.
6.63%, 03/15/2013............ 125,000 124,375
HCA Inc.
9.25%, 11/15/2016............ 300,000 315,000
Healthsouth Corp.
10.75%, 06/15/2016........... 150,000 156,750
Tenet Healthcare Corp.
9.25%, 02/01/2015............ 100,000 92,500
-----------
994,250
-----------
HOTELS, RESTAURANTS & LEISURE -- 5.0%
Harrah's Operating Co., Inc.
5.63%, 06/01/2015............ 125,000 91,250
MGM Mirage, Inc.
6.63%, 07/15/2015............ 125,000 117,187
Trump Entertainment Resorts,
Inc.
8.50%, 06/01/2015............ 150,000 114,188
Wynn Las Vegas Capital Corp.
6.63%, 12/01/2014............ 150,000 147,375
-----------
470,000
-----------
MACHINERY -- 1.6%
Terex Corp.
8.00%, 11/15/2017............ 150,000 151,875
-----------
MEDIA -- 11.9%
CCH I LLC
11.00%, 10/01/2015........... 300,000 244,500
DIRECTV Holdings LLC
6.38%, 06/15/2015............ 125,000 120,000
Echostar DBS Corp.
7.13%, 02/01/2016............ 175,000 178,500
Idearc, Inc.
8.00%, 11/15/2016............ 150,000 137,625
RH Donnelley Corp.
8.88%, 10/15/2017(a)......... 150,000 138,750
TL Acquisitions, Inc.
10.50%, 01/15/2015(a)........ 150,000 144,187
Univision Communications, Inc.
9.75%, 03/15/2015(a)......... 175,000 159,469
-----------
1,123,031
-----------
</Table>
See accompanying notes to financial statements.
39
SPDR LEHMAN HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
METALS & MINING -- 6.1%
FMG Finance Property Ltd.
10.63%, 09/01/2016(a)........ $200,000 $ 229,000
Freeport-McMoRan Copper & Gold,
Inc.
8.38%, 04/01/2017............ 325,000 348,563
-----------
577,563
-----------
OIL, GAS & CONSUMABLE FUELS -- 10.6%
Chesapeake Energy Corp.
6.50%, 08/15/2017............ 150,000 144,750
El Paso Corp.
7.00%, 06/15/2017............ 125,000 125,130
Forest Oil Corp.
7.25%, 06/15/2019(a)......... 100,000 100,500
Kinder Morgan Finance Co. ULC
5.70%, 01/05/2016............ 100,000 90,520
Massey Energy Co.
6.88%, 12/15/2013............ 150,000 141,375
OPTI Canada, Inc.
8.25%, 12/15/2014(a)......... 150,000 148,500
PetroHawk Energy Corp.
9.13%, 07/15/2013............ 100,000 105,250
Sabine Pass LNG LP
7.50%, 11/30/2016............ 150,000 143,250
-----------
999,275
-----------
PAPER & FOREST PRODUCTS -- 1.6%
Georgia-Pacific LLC
7.13%, 01/15/2017(a)......... 150,000 145,875
-----------
PHARMACEUTICALS -- 1.3%
Elan Finance PLC/Elan Finance
Corp.
7.75%, 11/15/2011............ 125,000 117,500
-----------
REAL ESTATE INVESTMENT TRUST -- 1.0%
Host Hotels & Resorts LP
6.75%, 06/01/2016............ 100,000 98,500
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.6%
Realogy Corp.
10.50%, 04/15/2014(a)........ 200,000 149,500
-----------
RETAIL -- 2.3%
Dollar General Corp.
10.63%, 07/15/2015(a)........ 150,000 137,625
Rite Aid Corp.
9.50%, 06/15/2017............ 100,000 82,750
-----------
220,375
-----------
SEMICONDUCTORS -- 2.4%
Freescale Semiconductor, Inc.
8.88%, 12/15/2014............ 250,000 223,125
-----------
SOFTWARE -- 2.0%
First Data Corp.
9.88%, 09/24/2015(a)......... 200,000 186,000
-----------
TOTAL CORPORATE BONDS & NOTES --
(Cost $9,170,606)............ 9,128,204
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 1.6%
MONEY MARKET FUND -- 1.6%
State Street Institutional
Liquid Reserves Fund 4.86%(b)
(Cost $151,898).............. 151,898 151,898
-----------
TOTAL INVESTMENTS -- 98.5%
(Cost $9,322,504)............ 9,280,102
OTHER ASSETS AND
LIABILITIES -- 1.5%.......... 137,733
-----------
NET ASSETS -- 100.0%........... $9,417,835
===========
</Table>
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933.
These securities, which represent 26.35% of net assets as of December 31,
2007, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) State Street Institutional Liquid Reserves Fund, an affiliated Fund, is
managed by SSgA Funds Management, Inc. The rate shown is the annualized
seven-day yield at period end.
See accompanying notes to financial statements.
40
(This page is intentionally left blank)
41
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
1-3 MONTH SHORT TERM INTERMEDIATE TERM LONG TERM
T-BILL ETF MUNICIPAL BOND ETF TREASURY ETF TREASURY ETF
------------ ------------------ ----------------- ------------
ASSETS
Investments in securities of
unaffiliated issuers, at value
(Note 2)........................... $229,414,896 $21,599,907 $10,842,148 $21,067,785
Investments in securities of
affiliated issuers, at value (Note
3)................................. 140,757 894,345 26,424 3,049
------------ ----------- ----------- -----------
Total Investments.................. 229,555,653 22,494,252 10,868,572 21,070,834
Foreign currency, at value............ -- -- -- --
Cash.................................. -- -- -- --
Receivable for dollar rolls........... -- -- -- --
Receivable for investments sold....... -- -- 209,981 87,260
Interest receivable................... 1,240 316,878 121,694 329,220
------------ ----------- ----------- -----------
TOTAL ASSETS..................... 229,556,893 22,811,130 11,200,247 21,487,314
------------ ----------- ----------- -----------
LIABILITIES
Payable for investments purchased..... 2,647 -- 191,666 --
Payable for when issued / delayed
delivery securities................ -- -- -- --
Distributions payable................. 593,281 77,330 49,337 85,388
Accrued advisory fee (Note 3)......... 24,036 3,185 1,250 2,428
Accrued trustees fee (Note 3)......... 1,241 128 95 107
------------ ----------- ----------- -----------
TOTAL LIABILITIES................ 621,205 80,643 242,348 87,923
------------ ----------- ----------- -----------
NET ASSETS....................... $228,935,688 $22,730,487 $10,957,899 $21,399,391
============ =========== =========== ===========
NET ASSETS REPRESENTED BY:
Paid in capital (Note 4).............. 229,169,477 22,625,065 10,516,733 20,573,391
Undistributed (distributions in excess
of) net investment income.......... (314,695) (26,735) 1,362 (15,799)
Accumulated net realized gain (loss)
on investments, foreign currency
transactions and futures........... 39,460 -- 10,614 7,396
Net unrealized appreciation
(depreciation) on:
Investments........................ 41,446 132,157 429,190 834,403
Foreign currency................... -- -- -- --
------------ ----------- ----------- -----------
NET ASSETS....................... $228,935,688 $22,730,487 $10,957,899 $21,399,391
============ =========== =========== ===========
NET ASSET VALUE PER SHARE
Net asset value per share............. $ 45.79 $ 22.73 $ 54.77 $ 53.50
============ =========== =========== ===========
Shares outstanding (unlimited amount
authorized, $0.01 par value)....... 5,000,073 1,000,000 200,065 400,000
============ =========== =========== ===========
Investments in securities, at cost.... $229,514,207 $22,362,095 $10,439,382 $20,236,431
============ =========== =========== ===========
Foreign currency, at cost............. $ -- $ -- $ -- $ --
============ =========== =========== ===========
</Table>
See accompanying notes to financial statements.
42
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
CAPITAL CALIFORNIA NEW YORK MUNICIPAL AGGREGATE INTERNATIONAL HIGH YIELD
TIPS ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF BOND ETF BOND ETF TREASURY BOND ETF BOND ETF
------------- ------------------ ------------------ ----------- ----------- ----------------- -----------
$30,395,548 $13,035,021 $12,531,832 $69,407,155 $88,267,677 $174,457,853 $9,128,204
4,518 172,140 613,913 868,549 844,763 544,017 151,898
----------- ----------- ----------- ----------- ----------- ------------ ----------
30,400,066 13,207,161 13,145,745 70,275,704 89,112,440 175,001,870 9,280,102
-- -- -- -- -- 3,503,656 --
-- -- -- -- -- -- 4,609
-- -- -- -- 3,522 -- --
-- 42,360 -- -- -- -- --
280,049 161,271 111,809 902,327 666,064 2,847,719 206,766
----------- ----------- ----------- ----------- ----------- ------------ ----------
30,680,115 13,410,792 13,257,554 71,178,031 89,782,026 181,353,245 9,491,477
----------- ----------- ----------- ----------- ----------- ------------ ----------
-- -- -- -- 626,716 -- --
-- -- -- -- 24,615,683 -- --
255,336 46,211 54,752 265,536 257,996 603,643 70,397
4,757 2,264 2,241 10,681 6,485 72,623 3,206
287 118 117 342 131 711 39
----------- ----------- ----------- ----------- ----------- ------------ ----------
260,380 48,593 57,110 276,559 25,507,011 676,977 73,642
----------- ----------- ----------- ----------- ----------- ------------ ----------
$30,419,735 $13,362,199 $13,200,444 $70,901,472 $64,275,015 $180,676,268 $9,417,835
=========== =========== =========== =========== =========== ============ ==========
29,482,825 13,307,148 13,177,140 70,686,486 64,139,155 181,380,915 9,458,400
1,828 83 (9,165) (93,455) (148,635) (144,837) 138
(6,088) (13,269) (9,450) -- 44,211 (64,764) 1,699
941,170 68,237 41,919 308,441 240,284 (501,879) (42,402)
-- -- -- -- -- 6,833 --
----------- ----------- ----------- ----------- ----------- ------------ ----------
$30,419,735 $13,362,199 $13,200,444 $70,901,472 $64,275,015 $180,676,268 $9,417,835
=========== =========== =========== =========== =========== ============ ==========
$ 50.70 $ 22.27 $ 22.00 $ 22.16 $ 53.56 $ 53.14 $ 47.09
=========== =========== =========== =========== =========== ============ ==========
600,000 600,000 600,000 3,200,000 1,200,000 3,400,000 200,000
=========== =========== =========== =========== =========== ============ ==========
$29,458,896 $13,138,924 $13,103,826 $69,967,263 $88,872,156 $175,505,473 $9,322,504
=========== =========== =========== =========== =========== ============ ==========
$ -- $ -- $ -- $ -- $ -- $ 3,496,823 $ --
=========== =========== =========== =========== =========== ============ ==========
</Table>
43
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
1-3 MONTH SHORT TERM INTERMEDIATE TERM LONG TERM
T-BILL ETF MUNICIPAL BOND ETF(1) TREASURY ETF TREASURY ETF
----------- --------------------- ----------------- ------------
INVESTMENT INCOME
Interest income on securities of
unaffiliated issuers (Note 2).... 3,021,836 108,384 255,933 309,376
Interest income on securities of
affiliated issuers (Note 3)...... 4,649 10,942 984 1,224
Foreign taxes withheld.............. -- -- -- --
---------- -------- -------- ----------
TOTAL INVESTMENT INCOME.......... 3,026,485 119,326 256,917 310,600
---------- -------- -------- ----------
EXPENSES
Advisory fee (Note 3)............... 99,817 6,878 7,268 8,792
Trustee fee (Note 3)................ 1,673 128 372 370
---------- -------- -------- ----------
TOTAL EXPENSES BEFORE WAIVERS....... 101,490 7,006 7,640 9,162
---------- -------- -------- ----------
Expenses waived by Adviser (Note
3)............................... -- -- -- --
---------- -------- -------- ----------
NET EXPENSES........................ 101,490 7,006 7,640 9,162
---------- -------- -------- ----------
NET INVESTMENT INCOME............... 2,924,995 112,320 249,277 301,438
---------- -------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers........... 66,658 -- 19,452 13,657
Foreign currency transactions ... -- -- -- --
Net change in unrealized
appreciation (depreciation) on:
Investments and foreign currency
transactions..................... 25,891 132,157 474,323 967,861
---------- -------- -------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS............ 92,549 132,157 493,775 981,518
---------- -------- -------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS..................... $3,017,544 $244,477 $743,052 $1,282,956
========== ======== ======== ==========
</Table>
(1) For the period October 10, 2007 (commencement of operations) to December
31, 2007.
(2) For the period October 11, 2007 (commencement of operations) to December
31, 2007.
(3) For the period September 11, 2007 (commencement of operations) to
December 31, 2007.
(4) For the period October 2, 2007 (commencement of operations) to December
31, 2007.
(5) For the period November 28, 2007 (commencement of operations) to
December 31, 2007.
See accompanying notes to financial statements.
44
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
CAPITAL CALIFORNIA NEW YORK MUNICIPAL AGGREGATE INTERNATIONAL HIGH YIELD
TIPS ETF MUNICIPAL BOND ETF(1) MUNICIPAL BOND ETF(2) BOND ETF(3) BOND ETF TREASURY BOND ETF(4) BOND ETF(5)
------------- --------------------- --------------------- ----------- ----------- -------------------- -----------
959,113 120,855 118,710 535,645 494,185 885,661 73,096
2,103 3,680 5,249 30,583 9,806 6,730 891
-- -- -- -- -- (10,396) --
---------- -------- -------- -------- -------- --------- --------
961,216 124,535 123,959 566,228 503,991 881,995 73,987
---------- -------- -------- -------- -------- --------- --------
29,931 5,946 5,811 39,692 17,994 124,509 3,413
1,429 118 117 780 404 711 39
---------- -------- -------- -------- -------- --------- --------
31,360 6,064 5,928 40,472 18,398 125,220 3,452
---------- -------- -------- -------- -------- --------- --------
-- -- -- (14,199) (5,078) -- --
---------- -------- -------- -------- -------- --------- --------
31,360 6,064 5,928 26,273 13,320 125,220 3,452
---------- -------- -------- -------- -------- --------- --------
929,856 118,471 118,031 539,955 490,671 756,775 70,535
---------- -------- -------- -------- -------- --------- --------
549,968 (13,269) (9,450) -- 47,670 -- 1,699
-- -- -- -- -- (64,764) --
1,504,699 68,237 41,919 308,441 338,107 (495,046) (42,402)
---------- -------- -------- -------- -------- --------- --------
2,054,667 54,968 32,469 308,441 385,777 (559,810) (40,703)
---------- -------- -------- -------- -------- --------- --------
$2,984,523 $173,439 $150,500 $848,396 $876,448 $ 196,965 $ 29,832
========== ======== ======== ======== ======== ========= ========
</Table>
45
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR LEHMAN
SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN LONG TERM
1-3 MONTH SHORT TERM INTERMEDIATE TERM TREASURY
T-BILL ETF MUNICIPAL BOND ETF TREASURY ETF ETF
--------------------------- ------------------ -------------------------- -----------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE SIX MONTHS
ENDED PERIOD 10/10/2007* - ENDED PERIOD ENDED
12/31/2007 5/25/2007* - 12/31/2007 12/31/2007 5/23/2007* - 12/31/2007
(UNAUDITED) 6/30/2007 (UNAUDITED) (UNAUDITED) 6/30/2007 (UNAUDITED)
------------ ------------ ------------------ ----------- ------------ -----------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............. $ 2,924,995 $ 162,482 $ 112,320 $ 249,277 $ 44,979 $ 301,438
Net realized gain (loss) on
investments and foreign
currency transactions.......... 66,658 259 -- 19,452 (268) 13,657
Net change in unrealized
appreciation (depreciation) on
investments and foreign
currency transactions.......... 25,891 15,555 132,157 474,323 (45,133) 967,861
------------ ----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... 3,017,544 178,296 244,477 743,052 (422) 1,282,956
------------ ----------- ----------- ----------- ----------- -----------
NET EQUALIZATION CREDITS AND
CHARGES........................ 334,443 -- 26,441 -- -- 18,469
------------ ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. (3,402,172) -- (139,055) (292,894) -- (361,251)
Net realized gains................ -- -- (8,570) -- (5,106)
------------ ----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS................... (3,402,172) -- (139,055) (301,464) -- (366,357)
------------ ----------- ----------- ----------- ----------- -----------
FROM BENEFICIAL INTEREST
TRANSACTIONS:
Net proceeds from the sale of
shares......................... 229,235,742 36,588,000 22,623,565 -- 10,513,200 10,548,934
Net proceeds from the reinvestment
of shares issued............... 3,342 -- -- 3,533 -- --
Cost of shares redeemed........... (36,685,064) -- -- -- -- --
Net income equalization........... (334,443) -- (26,441) -- -- (18,469)
Other capital (Note 4)............ -- -- 1,500 -- -- --
------------ ----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS FROM BENEFICIAL INTEREST
TRANSACTIONS................... 192,219,577 36,588,000 22,598,624 3,533 10,513,200 10,530,465
------------ ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in net
assets during the period....... 192,169,392 36,766,296 22,730,487 445,121 10,512,778 11,465,533
Net assets at beginning of
period......................... 36,766,296 -- -- 10,512,778 -- 9,933,858
------------ ----------- ----------- ----------- ----------- -----------
NET ASSETS END OF PERIOD (1)........ $228,935,688 $36,766,296 $22,730,487 $10,957,899 $10,512,778 $21,399,391
============ =========== =========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold....................... 5,000,000 800,000 1,000,000 -- 200,000 200,000
Shares issued to shareholders from
reinvestment of distributions.. 73 -- -- 65 -- --
Shares redeemed................... (800,000) -- -- -- -- --
------------ ----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE)........... 4,200,073 800,000 1,000,000 65 200,000 200,000
============ =========== =========== =========== =========== ===========
(1) Including undistributed
(distribution in excess of) net
investment income................. $ (314,695) $ 162,482 $ (26,735) $ 1,362 $ 44,979 $ (15,799)
============ =========== =========== =========== =========== ===========
<Caption>
SPDR LEHMAN
LONG TERM
TREASURY ETF
------------
FOR THE
PERIOD
5/23/2007* -
6/30/2007
------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income............. $ 44,014
Net realized gain (loss) on
investments and foreign
currency transactions.......... (1,155)
Net change in unrealized
appreciation (depreciation) on
investments and foreign
currency transactions.......... (133,458)
-----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS..................... (90,599)
-----------
NET EQUALIZATION CREDITS AND
CHARGES........................ --
-----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............. --
Net realized gains................ --
-----------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS................... --
-----------
FROM BENEFICIAL INTEREST
TRANSACTIONS:
Net proceeds from the sale of
shares......................... 10,024,457
Net proceeds from the reinvestment
of shares issued............... --
Cost of shares redeemed........... --
Net income equalization........... --
Other capital (Note 4)............ --
-----------
NET INCREASE (DECREASE) IN NET
ASSETS FROM BENEFICIAL INTEREST
TRANSACTIONS................... 10,024,457
-----------
Net increase (decrease) in net
assets during the period....... 9,933,858
Net assets at beginning of
period......................... --
-----------
NET ASSETS END OF PERIOD (1)........ $ 9,933,858
===========
SHARES OF BENEFICIAL INTEREST:
Shares sold....................... 200,000
Shares issued to shareholders from
reinvestment of distributions.. --
Shares redeemed................... --
-----------
NET INCREASE (DECREASE)........... 200,000
===========
(1) Including undistributed
(distribution in excess of) net
investment income................. $ 44,014
===========
</Table>
* Commencement of operations
See accompanying notes to financial statements.
46
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
CAPITAL CALIFORNIA NEW YORK MUNICIPAL AGGREGATE
TIPS ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF BOND ETF BOND ETF
--------------------------- ------------------ ------------------ ------------ --------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS FOR THE PERIOD PERIOD PERIOD SIX MONTHS FOR THE
ENDED PERIOD 10/10/2007* - 10/11/2007* - 9/11/2007* - ENDED PERIOD
12/31/2007 5/25/2007* - 12/31/2007 12/31/2007 12/31/2007 12/31/2007 5/23/2007* -
(UNAUDITED) 6/30/2007 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) 6/30/2007
------------ ------------ ------------------ ------------------ ------------ ----------- ------------
$ 929,856 $ 495,784 $ 118,471 $ 118,031 $ 539,955 $ 490,671 $ 47,815
549,968 -- (13,269) (9,450) -- 47,670 (3,459)
1,504,699 (563,529) 68,237 41,919 308,441 338,107 (97,823)
------------ ----------- ----------- ----------- ----------- ----------- -----------
2,984,523 (67,745) 173,439 150,500 848,396 876,448 (53,467)
------------ ----------- ----------- ----------- ----------- ----------- -----------
(174,153) 26,241 -- -- 92,837 154,314 --
------------ ----------- ----------- ----------- ----------- ----------- -----------
(1,423,812) -- (118,388) (127,196) (633,410) (687,121) --
-- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------- -----------
(1,423,812) -- (118,388) (127,196) (633,410) (687,121) --
------------ ----------- ----------- ----------- ----------- ----------- -----------
20,046,731 57,524,471 13,307,148 13,177,140 70,683,486 53,665,415 10,472,240
-- -- -- -- -- -- --
(48,644,433) -- -- -- -- -- --
174,153 (26,241) -- -- (92,837) (154,314) --
-- -- -- -- 3,000 1,500 --
------------ ----------- ----------- ----------- ----------- ----------- -----------
(28,423,549) 57,498,230 13,307,148 13,177,140 70,593,649 53,512,601 10,472,240
------------ ----------- ----------- ----------- ----------- ----------- -----------
(27,036,991) 57,456,726 13,362,199 13,200,444 70,901,472 53,856,242 10,418,773
57,456,726 -- -- -- -- 10,418,773 --
------------ ----------- ----------- ----------- ----------- ----------- -----------
$ 30,419,735 $57,456,726 $13,362,199 $13,200,444 $70,901,472 $64,275,015 $10,418,773
============ =========== =========== =========== =========== =========== ===========
400,000 1,200,000 600,000 600,000 3,200,000 1,000,000 200,000
(1,000,000) -- -- -- -- -- --
-- -- -- -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------- -----------
(600,000) 1,200,000 600,000 600,000 3,200,000 1,000,000 200,000
============ =========== =========== =========== =========== =========== ===========
$ 1,828 $ 495,784 $ 83 $ (9,165) $ (93,455) $ (148,635) $ 47,815
============ =========== =========== =========== =========== =========== ===========
<Caption>
SPDR LEHMAN SPDR LEHMAN
INTERNATIONAL HIGH YIELD
TREASURY BOND ETF BOND ETF
----------------- -------------
FOR THE FOR THE
PERIOD PERIOD
10/2/2007* - 11/28/2007* -
12/31/2007 12/31/2007
(UNAUDITED) (UNAUDITED)
----------------- -------------
$ 756,775 $ 70,535
(64,764) 1,699
(495,046) (42,402)
------------ ----------
196,965 29,832
------------ ----------
161,193 --
------------ ----------
(901,612) (70,397)
-- --
------------ ----------
(901,612) (70,397)
------------ ----------
181,358,415 9,456,900
-- --
-- --
(161,193) --
22,500 1,500
------------ ----------
181,219,722 9,458,400
------------ ----------
180,676,268 9,417,835
-- --
------------ ----------
$180,676,268 $9,417,835
============ ==========
3,400,000 200,000
-- --
-- --
------------ ----------
3,400,000 200,000
============ ==========
$ (144,837) $ 138
============ ==========
</Table>
47
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
1-3 MONTH SHORT TERM INTERMEDIATE TERM
T-BILL ETF MUNICIPAL BOND ETF TREASURY ETF
----------------------------- ------------------ -----------------------------
FOR THE FOR THE FOR THE
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE
ENDED PERIOD 10/10/2007* - ENDED PERIOD
12/31/2007 5/25/2007* - 12/31/2007 12/31/2007 5/23/2007* -
(UNAUDITED) 6/30/2007 (UNAUDITED) (UNAUDITED) 6/30/2007
----------- ------------ ------------------ ----------- ------------
NET ASSET VALUE, BEGINNING OF
PERIOD..................... $ 45.96 $ 45.74 $ 22.53 $ 52.56 $ 52.57
-------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income........ 0.88 0.20 0.14 1.29 0.22
Net realized and unrealized
gain (loss) (1)............ (0.01) 0.02 0.18 2.43 (0.23)
-------- ------- ------- ------- -------
Total from investment
operations................. 0.87 0.22 0.32 3.72 (0.01)
-------- ------- ------- ------- -------
Net equalization credits and
charges.................... 0.10 -- 0.04 -- --
-------- ------- ------- ------- -------
Other capital................ -- -- 0.00(5) -- --
-------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........ (1.14) -- (0.16) (1.47) --
Net realized gains........... -- -- -- (0.04) --
-------- ------- ------- ------- -------
Total distributions.......... (1.14) -- (0.16) (1.51) --
-------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD..................... $ 45.79 $ 45.96 $ 22.73 $ 54.77 $ 52.56
======== ======= ======= ======= =======
TOTAL RETURN (2)............. 2.12% 0.48% 1.61% 7.13% (0.02)%
Net assets, end of period (in
000's)..................... $228,936 $36,766 $22,730 $10,958 $10,513
Ratio of expenses to average
net assets................. 0.14%(3) 0.14%(3) 0.20%(3) 0.14%(3) 0.14%(3)
Ratio of expenses to average
net assets before waivers.. -- -- -- -- --
Ratio of net investment
income (loss) to average
net assets................. 3.94%(3) 4.49%(3) 3.22%(3) 4.61%(3) 4.13%(3)
Portfolio turnover rate (4).. 278% 2% 0% 20% 7%
<Caption>
SPDR LEHMAN
LONG TERM
TREASURY ETF
-----------------------------
FOR THE
SIX MONTHS FOR THE
ENDED PERIOD
12/31/2007 5/23/2007* -
(UNAUDITED) 6/30/2007
----------- ------------
NET ASSET VALUE, BEGINNING OF
PERIOD..................... $ 49.67 $50.12
------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income........ 1.18 0.22
Net realized and unrealized
gain (loss) (1)............ 4.01 (0.67)
------- ------
Total from investment
operations................. 5.19 (0.45)
------- ------
Net equalization credits and
charges.................... 0.07 --
------- ------
Other capital................ -- --
------- ------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........ (1.42) --
Net realized gains........... (0.01) --
------- ------
Total distributions.......... (1.43) --
------- ------
NET ASSET VALUE, END OF
PERIOD..................... $ 53.50 $49.67
======= ======
TOTAL RETURN (2)............. 10.71% (0.90)%
Net assets, end of period (in
000's)..................... $21,399 $9,934
Ratio of expenses to average
net assets................. 0.14%(3) 0.14%(3)
Ratio of expenses to average
net assets before waivers.. -- --
Ratio of net investment
income (loss) to average
net assets................. 4.61%(3) 4.29%(3)
Portfolio turnover rate (4).. 5% 4%
</Table>
* Commencement of operations
(1) 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.
(2) 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.
(3) Annualized.
(4) Portfolio Turnover rate excludes securities received or delivered from
processing of creations or redemptions.
(5) Amount is less than $0.005 per share.
(6) Portfolio turnover rate includes to-be-announced (TBA) transactions. See
Note 2.
See accompanying notes to financial statements.
48
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN SPDR LEHMAN
CAPITAL CALIFORNIA NEW YORK MUNICIPAL AGGREGATE
TIPS ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF BOND ETF BOND ETF
--------------------------- ------------------ ------------------ ----------- ----------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS FOR THE PERIOD PERIOD PERIOD SIX MONTHS FOR THE
ENDED PERIOD 10/10/2007*- 10/11/2007*- 9/11/2007*- ENDED PERIOD
12/31/2007 5/25/2007*- 12/31/2007 12/31/2007 12/31/2007 12/31/2007 5/23/2007*-
(UNAUDITED) 6/30/2007 (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) 6/30/2007
----------- ----------- ------------------ ------------------ ----------- ----------- -----------
$ 47.88 $ 48.01 $ 22.18 $ 21.96 $ 22.16 $ 52.09 $ 52.36
------- ------- ------- ------- ------- ------- -------
1.34 0.41 0.20 0.20 0.23 1.23 0.24
3.49 (0.57) 0.09 0.05 (0.02) 1.42 (0.51)
------- ------- ------- ------- ------- ------- -------
4.83 (0.16) 0.29 0.25 0.21 2.65 (0.27)
------- ------- ------- ------- ------- ------- -------
(0.26) 0.03 -- -- 0.05 0.41 --
------- ------- ------- ------- ------- ------- -------
-- -- -- -- 0.00(5) 0.00(5) --
------- ------- ------- ------- ------- ------- -------
(1.75) -- (0.20) (0.21) (0.26) (1.59) --
-- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
(1.75) -- (0.20) (0.21) (0.26) (1.59) --
------- ------- ------- ------- ------- ------- -------
$ 50.70 $ 47.88 $ 22.27 $ 22.00 $ 22.16 $ 53.56 $ 52.09
======= ======= ======= ======= ======= ======= =======
9.71% (0.27)% 1.30% 1.15% 1.20% 5.95% (0.52)%
$30,420 $57,457 $13,362 $13,200 $70,901 $64,275 $10,419
0.19%(3) 0.19%(3) 0.20%(3) 0.20%(3) 0.20%(3) 0.14%(3) 0.13%(3)
-- -- -- -- 0.30%(3) 0.19%(3) 0.19%(3)
5.73%(3) 10.23%(3) 3.97%(3) 4.04%(3) 4.08%(3) 5.03%(3) 4.42%(3)
10% 0% 20% 27% 0% 193%(6) 17%
<Caption>
SPDR LEHMAN SPDR LEHMAN
INTERNATIONAL HIGH YIELD
TREASURY BOND ETF BOND ETF
----------------- ------------
FOR THE FOR THE
PERIOD PERIOD
10/2/2007*- 11/28/2007*-
12/31/2007 12/31/2007
(UNAUDITED) (UNAUDITED)
----------------- ------------
$ 51.55 $47.29
-------- ------
0.27 0.35
1.55 (0.21)
-------- ------
1.82 0.14
-------- ------
0.08 --
-------- ------
0.01 0.01
-------- ------
(0.32) (0.35)
-- --
-------- ------
(0.32) (0.35)
-------- ------
$ 53.14 $47.09
======== ======
3.67% 0.33%
$180,676 $9,418
0.50%(3) 0.40%(3)
-- --
3.04%(3) 8.27%(3)
30% 33%
</Table>
49
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR 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.
As of December 31, 2007, the Trust offered thirty-seven (37) 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 financial statements
herein relate to the following eleven (11) Funds: SPDR Lehman 1-3 Month T-Bill
ETF, SPDR Lehman Short Term Municipal Bond ETF, SPDR Lehman Intermediate Term
Treasury ETF, SPDR Lehman Long Term Treasury ETF, SPDR Barclays Capital TIPS
ETF, SPDR Lehman California Municipal Bond ETF, SPDR Lehman New York Municipal
Bond ETF, SPDR Lehman Municipal Bond ETF, SPDR Lehman Aggregate Bond ETF, SPDR
Lehman International Treasury Bond ETF, and SPDR Lehman High Yield Bond ETF.
Each Fund operates as a non-diversified investment company. The investment
objective of each Fund is to replicate as closely as possible, before expenses
and fees, the price and yield performance or total return of a specified market
index. The other twenty-six (26) Funds are included in a separate semi-annual
report.
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities 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.
The Trust invests in various investments which are exposed to risks, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect the
amounts reported in the financial statements.
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 generally valued using market valuations. A market
valuation generally means a valuation (i) obtained from an exchange, a pricing
service, or a major market maker (or dealer), (ii) based on a price quotation or
other equivalent indication of value supplied by an exchange, a pricing service,
or a major market maker (or dealer) or (iii) based on amortized cost. In the
case of shares of other funds that are not traded on an exchange, a market
valuation means such fund's published net asset value per share. The Adviser may
use various pricing services, or discontinue the use of any pricing service, as
approved by the Board of Trustees from time to time. A price obtained from a
pricing service based on such pricing service's valuation matrix may be
considered a market valuation. Other portfolio securities and assets for which
market quotations are not readily available are valued based on fair value as
determined in good faith based by the Trust's Pricing and Investment Committee
in accordance with procedures approved by the Board of Trustees.
INVESTMENT INCOME
Interest income is recorded on the accrual basis. All premiums and discounts are
amortized/accreted for financial reporting purposes.
50
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPENSES
Advisory fees, which are directly identifiable to a specific Fund, are applied
to that Fund. Trustees fees and other expenses which cannot be attributed to a
Fund are allocated in such a manner as deemed equitable, taking into
consideration the relative net assets of the Funds.
EQUALIZATION
The Trust 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.
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.
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 misappropriation. 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 U.S. government securities.
MORTGAGE DOLLAR ROLLS
The Funds may enter into mortgage dollar roll transactions with respect to
mortgage-backed securities for delivery in the current month and simultaneously
contract to repurchase similar, but not identical, securities on a fixed date.
The counterparty receives all principal and interest payments, including
prepayments, made on the security while it is the holder. The Fund receives
compensation as consideration for entering into the commitment to repurchase.
The compensation is paid in the form of a lower price for the security upon its
repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a
new sale and repurchase price and a cash settlement made at each renewal without
physical delivery of the securities subject to the contract. Certain risks may
arise upon entering into mortgage dollar rolls from the potential inability of
counterparties to meet the terms of their commitments. Additionally, the value
of such securities may change adversely before the Fund is able to repurchase
them. There can be no assurance that the Fund's use of the cash that it receives
from a mortgage dollar roll will provide a return that exceeds its costs. The
Fund's use of TBA mortgage dollar rolls may cause the Fund to experience higher
portfolio turnover and higher transaction costs.
WHEN ISSUED/DELAYED DELIVERY SECURITIES
The Funds may purchase securities with delivery or payment to occur at a later
date beyond the normal settlement period. At the time the Fund enters into a
commitment to purchase a security, the transaction is recorded and the value of
the security is reflected in the net asset value. The price of such security and
the date when the security will
51
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
be delivered and paid for are fixed at the time the transaction is negotiated.
The value of the security may vary with market fluctuations. At the time the
Fund enters into this type of transaction it is required to segregate cash or
other liquid assets at least equal to the amount of the commitment. Certain
risks may arise upon entering into when-issued or delayed delivery securities
from the potential inability of counterparties to meet the terms of their
contracts or if the issuer does not issue the securities due to political,
economic, or other factors. Additionally, losses may arise due to changes in the
value of the underlying securities.
INFLATION-INDEXED INSTRUMENTS
Inflation-indexed instruments are fixed income securities whose principal value
is periodically adjusted to the rate of inflation. The interest rate on these
instruments is generally fixed at issuance at a rate lower than typical bonds or
notes. Over the life of an inflation-indexed instrument, however, interest will
be paid based on a principal value, which is adjusted for any inflation or
deflation. Any increase or decrease in the principal amount of an inflation-
indexed instrument will result in an adjustment of interest income which is
distributed to shareholders monthly. Investors will receive their inflation-
adjusted principal at maturity.
FEDERAL INCOME TAX
The Funds have qualified and intend to qualify for and elect treatment as
"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 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 U.S. generally accepted
accounting principles. These book-tax differences are primarily due to differing
treatments for tax equalization, in-kind transactions, foreign currencies and
losses deferred due to wash sales.
Additionally, based on the Funds' understanding of the tax rules and rates
related to income, gains and transactions for foreign jurisdictions in which it
invests, the Funds will provide for foreign taxes, and where appropriate,
deferred foreign taxes.
For the six months ended December 31, 2007, the Funds reclassified non-taxable
security gains realized on the in-kind redemption of Creation Units (Note 4) as
an increase to paid in capital in the Statements of Assets and Liabilities as
follows:
<Table>
<Caption>
NET GAIN
RECLASSIFIED TO PAID IN CAPITAL
-------------------------------
SPDR Lehman 1-3 Month T-Bill ETF....................... $ 27,457
SPDR Lehman Short Term Municipal Bond ETF.............. --
SPDR Lehman Intermediate Term Treasury ETF............. --
SPDR Lehman Long Term Treasury ETF..................... --
SPDR Barclays Capital TIPS ETF......................... 556,056
SPDR Lehman California Municipal Bond ETF.............. --
SPDR Lehman New York Municipal Bond ETF................ --
SPDR Lehman Municipal Bond ETF......................... --
SPDR Lehman Aggregate Bond ETF......................... --
SPDR Lehman International Treasury Bond ETF............ --
SPDR Lehman High Yield Bond ETF........................ --
</Table>
52
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
The Funds incurred the following losses during the period November 1, 2006
through June 30, 2007 that are deferred for tax purposes until fiscal 2008:
<Table>
<Caption>
DEFERRED LOSSES
---------------
SPDR Lehman 1-3 Month T-Bill ETF............................... $ --
SPDR Lehman Short Term Municipal Bond ETF...................... --
SPDR Lehman Intermediate Term Treasury ETF..................... (267)
SPDR Lehman Long Term Treasury ETF............................. (1,144)
SPDR Barclays Capital TIPS ETF................................. --
SPDR Lehman California Municipal Bond ETF...................... --
SPDR Lehman New York Municipal Bond ETF........................ --
SPDR Lehman Municipal Bond ETF................................. --
SPDR Lehman Aggregate Bond ETF................................. (3,459)
SPDR Lehman International Treasury Bond ETF.................... --
SPDR Lehman High Yield Bond ETF................................ --
</Table>
DISTRIBUTIONS
Each Fund declares and distributes dividends from net investment income, if any,
to its shareholders monthly. 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 U.S. generally accepted accounting
principles.
NEW ACCOUNTING PRONOUNCEMENTS
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty In Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Funds' tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet a more-likely-than-not threshold would be recorded
as a tax expense in the current year. Adoption of FIN 48 is required for fiscal
years beginning after December 15, 2006 and is to be applied to all open tax
years as of the effective date. Management evaluated the implications of FIN 48
and determined that all tax positions met the "more-likely than not" threshold.
As a result, the financial statements have not been impacted by the adoption of
FIN 48. However, management's conclusions regarding FIN 48 are subject to review
and adjustment at a later date based on factors including, but not limited to,
further guidance expected from FASB, and on-going analysis of tax laws,
regulation, and interpretations thereof.
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. As a result, the Funds will adopt SFAS 157 on July 1, 2008. At
this time, management is evaluating the impact, if any, the adoption of SFAS 157
will have on the Fund's financial statements.
53
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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 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 Lehman 1-3 Month T-Bill ETF 0.1345%
SPDR Lehman Short Term Municipal Bond ETF 0.2000
SPDR Lehman Intermediate Term Treasury ETF 0.1345
SPDR Lehman Long Term Treasury ETF 0.1345
SPDR Barclays Capital TIPS ETF 0.1845
SPDR Lehman California Municipal Bond ETF 0.2000
SPDR Lehman New York Municipal Bond ETF 0.2000
SPDR Lehman Municipal Bond ETF 0.3000*
SPDR Lehman Aggregate Bond ETF 0.1845*
SPDR Lehman International Treasury Bond ETF 0.5000
SPDR Lehman High Yield Bond ETF 0.4000
</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 has contractually agreed to limit its management fee to the extent
necessary to limit annual operating expenses to 0.2000% and 0.1345% until
October 31, 2008 for the SPDR Lehman Municipal Bond ETF and the SPDR Lehman
Aggregate Bond ETF, respectively.
State Street Bank and Trust Company ("State Street"), an affiliate of the
Adviser, receives fees for its services as Custodian, Administrator, and
Transfer Agent from the Adviser. State Street has also been approved to act as
the securities lending agent for the Funds and will receive a portion of any
lending income. In addition, cash collateral from lending activities will be
invested in an investment fund managed by the Adviser. See Note 8 for additional
information regarding securities lending.
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 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
of Trustees has determined that no such payments will be made through at least
October 31, 2008 and therefore no such payments have been made to the
Distributor.
TRUSTEES' FEES
Commencing August 11, 2007, the Trust and SPDR Index Shares Funds ("SIS Funds")
pay, in the aggregate, each Independent Trustee an annual fee of $60,000 plus
$3,000 per in-person meeting attended. An Independent Trustee will receive
$1,000 for each telephonic or video conference meeting attended. The Chair of
the Board receives an additional annual fee of $25,000 and the Chair of the
Audit Committee receives an additional annual fee of $9,000. The Trust also
reimburses each Independent Trustee for travel and other out-of-pocket expenses
incurred by him/her in connection with attending such meetings. Trustee fees are
allocated between the Trust and the SIS Funds and each of their respective
series in such a manner as deemed equitable, taking into consideration the
relative net assets of the series. Previously, the Trust paid each Independent
Trustee an annual fee of $12,000 plus $4,500 per in person meeting attended and
$500 for each meeting attended via telephone or video conference.
54
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSACTIONS WITH AFFILIATES
Each Fund may invest in the shares of certain money market funds managed by the
Adviser, including the State Street Institutional Liquid Reserves Fund ("Liquid
Reserves Fund") and State Street Institutional Tax Free Money Market Fund ("Tax
Free Money Market Fund"), both a series of State Street Institutional Investment
Trust. The Liquid Reserves Fund and Tax Free Money Market Fund are both feeder
funds in a master/feeder fund structure that invest substantially all of their
assets in the State Street Money Market Portfolio and State Street Tax Free
Money Market Portfolio, respectively, each a series of State Street Master Funds
("Master Portfolio"). The Liquid Reserves Fund and Tax Free Money Market Fund do
not pay an investment advisory fee to the Adviser, but the respective Master
Portfolio in which they invest pays an investment advisory fee to the Adviser.
The Liquid Reserves Fund and Tax Free Money Market Fund intend to declare
dividends on shares from net investment income daily and pay them as of the last
business day of each month. All income distributions earned by the Funds from
affiliated money market funds are recorded as interest from affiliated issuers
in the accompanying Statement of Operations.
4. SHAREHOLDER TRANSACTIONS
With the exception of the Trust's dividend reinvestment plan, shares are issued
and redeemed by a Fund only in Creation Unit size aggregations of 200,000
shares. Such transactions are generally 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
and in the case of SPDR Lehman Aggregate Bond ETF, cash in lieu of TBA
positions. A transaction fee of $250 for SPDR Lehman 1-3 Month T-Bill ETF, SPDR
Lehman Short Term Municipal Bond ETF, SPDR Lehman California Municipal Bond ETF,
SPDR Lehman New York Municipal Bond ETF, and SPDR Lehman Municipal Bond ETF,
$500 for SPDR Lehman Intermediate Term Treasury ETF, SPDR Lehman Long Term
Treasury ETF, SPDR Barclays Capital TIPS ETF, SPDR Lehman Aggregate Bond ETF,
and SPDR Lehman High Yield Bond ETF and $1,500 for SPDR Lehman International
Treasury Bond ETF regardless of the number of Creation Units that are created or
redeemed on the same day, is charged to persons creating or redeeming Creation
Units. An additional fee of up to three times these amounts may be charged for
certain transactions. Transaction fees are received by the Trust and/or
Custodian and are 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, 2007 were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
SPDR Lehman 1-3 Month T-Bill ETF............. $229,514,207 $ 43,184 $ 1,738 $ 41,446
SPDR Lehman Short Term Municipal Bond ETF.... 22,362,095 133,048 891 132,157
SPDR Lehman Intermediate Term Treasury ETF... 10,439,382 432,110 2,920 429,190
SPDR Lehman Long Term Treasury ETF........... 20,236,431 834,403 -- 834,403
SPDR Barclays Capital TIPS ETF............... 29,458,896 941,170 -- 941,170
SPDR Lehman California Municipal Bond ETF.... 13,138,924 85,679 17,442 68,237
SPDR Lehman New York Municipal Bond ETF...... 13,103,826 68,566 26,647 41,919
SPDR Lehman Municipal Bond ETF............... 69,967,263 365,690 57,249 308,441
SPDR Lehman Aggregate Bond ETF............... 88,872,156 337,176 96,892 240,284
SPDR Lehman International Treasury Bond ETF.. 175,505,473 446,876 950,479 (503,603)
SPDR Lehman High Yield Bond ETF.............. 9,322,504 48,560 90,962 (42,402)
</Table>
55
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2007, the Trust had in-kind contributions
and in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
------------- -----------
SPDR Lehman 1-3 Month T-Bill ETF................................ $228,878,644 $36,637,519
SPDR Lehman Short Term Municipal Bond ETF....................... -- --
SPDR Lehman Intermediate Term Treasury ETF...................... -- --
SPDR Lehman Long Term Treasury ETF.............................. 10,432,356 --
SPDR Barclays Capital TIPS ETF.................................. 19,895,351 48,212,000
SPDR Lehman California Municipal Bond ETF....................... -- --
SPDR Lehman New York Municipal Bond ETF......................... -- --
SPDR Lehman Municipal Bond ETF.................................. -- --
SPDR Lehman Aggregate Bond ETF.................................. 25,712,505 --
SPDR Lehman International Treasury Bond ETF..................... -- --
SPDR Lehman High Yield Bond ETF................................. -- --
</Table>
The in-kind contributions and in-kind redemptions in this table may not accord
with the beneficial interest transactions on the Statements of Changes. The
table represents the accumulation of the Funds' daily net shareholder
transactions while the Statements of Changes reflect gross shareholder
transactions including any cash component of the transactions.
For the six months ended December 31, 2007, the Trust had purchases and sales of
investment securities (excluding short-term securities -- with the exception of
short term U.S. Treasury Bills in the case of SPDR Lehman 1-3 Month T-Bill ETF),
as follows:
<Table>
<Caption>
U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES
--------------------------- --------------------------
PURCHASES SALES PURCHASES SALES
------------ ------------ ------------ -----------
SPDR Lehman 1-3 Month T-Bill ETF............... $412,626,755 $415,318,165 $ -- $ --
SPDR Lehman Short Term Municipal Bond ETF...... -- -- 21,501,821 --
SPDR Lehman Intermediate Term Treasury ETF..... 2,076,861 2,127,638 -- --
SPDR Lehman Long Term Treasury ETF............. 720,849 783,820 -- --
SPDR Barclays Capital TIPS ETF................. 2,940,654 3,768,805 -- --
SPDR Lehman California Municipal Bond ETF...... -- -- 15,601,251 2,616,215
SPDR Lehman New York Municipal Bond ETF........ -- -- 15,982,440 3,470,640
SPDR Lehman Municipal Bond ETF................. -- -- 69,160,958 --
SPDR Lehman Aggregate Bond ETF................. -- 46,020,362 74,096,717 614,860
SPDR Lehman International Treasury Bond ETF.... -- -- 213,033,357 37,969,768
SPDR Lehman High Yield Bond ETF................ -- -- 12,251,917 3,086,172
</Table>
7. CONCENTRATION OF RISK
The Funds' assets may be concentrated in a particular state or geographic area,
or in a particular industry, group of industries or sector. Because each Fund
will generally concentrate its investments to approximately the same extent that
its index is so concentrated, a Fund may be adversely affected by the
performance of bonds of a particular state or geographic area, or in a
particular industry, group of industries or sector, and its shares may be
subject to increased price volatility. In addition, if a Fund concentrates in a
single industry, group of industries or type of investment, it may be more
susceptible to any single economic, market, political or regulatory occurrence
affecting that industry, group of industries or type of investment.
8. SECURITIES LENDING
Each Fund may lend securities up to 33 1/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, cash equivalents or U.S. government securities in an amount at least equal
to the market value of the securities loaned, plus accrued interest and
dividends, determined on a daily basis and adjusted accordingly. The Funds will
regain record ownership of loaned securities to exercise certain beneficial
rights; however, the Funds may bear the risk of delay in recovery of, or even
loss of rights in, the securities loaned should the borrower fail financially.
In addition, a Fund will bear the risk of loss of any cash collateral that it
may invest. Each Fund receives compensation for lending its securities from
interest or dividends earned on the cash, cash equivalents or U.S. government
securities held as collateral, net of fee rebates paid to the borrower and net
of fees paid to State Street as lending agent. At December 31, 2007, none of the
Funds had transacted in securities lending.
56
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2007 (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, 2007
and held for the six months ended December 31, 2007.
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 $1,500 per Creation Unit to those persons creating or
redeeming Creation Units. If you buy or sell 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>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 7/1/07-
ACTUAL 7/1/07 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman 1-3 Month T-Bill ETF................. $1,000 $1,021.20 $0.71
SPDR Lehman Intermediate Term Treasury ETF....... 1,000 1,071.30 0.73
SPDR Lehman Long Term Treasury ETF............... 1,000 1,107.10 0.74
SPDR Barclays Capital TIPS ETF................... 1,000 1,097.10 1.00
SPDR Lehman Aggregate Bond ETF................... 1,000 1,059.50 0.72
</Table>
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 9/11/07*-
ACTUAL 9/11/07* 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman Municipal Bond ETF................... $1,000 $1,012.00 $0.61
</Table>
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 10/2/07*-
ACTUAL 10/2/07* 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman International Treasury Bond ETF...... $1,000 $1,036.70 $1.25
</Table>
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 10/10/07*-
ACTUAL 10/10/07* 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman Short Term Municipal Bond ETF........ $1,000 $1,016.10 $0.45
SPDR Lehman California Municipal Bond ETF........ 1,000 1,013.00 0.45
</Table>
57
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 10/11/07*-
ACTUAL 10/11/07* 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman New York Municipal Bond ETF.......... $1,000 $1,011.50 $0.45
</Table>
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD**
ACCOUNT VALUE ACCOUNT VALUE 11/28/07*-
ACTUAL 11/28/07* 12/31/07 12/31/07
- ------ ------------- ------------- ------------
SPDR Lehman High Yield Bond ETF.................. $1,000 $1,003.30 $0.36
</Table>
* Commencement of operations.
** Expenses are equal to the Funds' annualized expense net ratios of 0.14%,
0.14%, 0.14%, 0.19%, 0.14%, 0.20%, 0.50%, 0.20%, 0.20%, 0.20%, and 0.40%,
respectively. Expenses are equal to the Funds' 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 366.
<Table>
<Caption>
EXPENSES
PAID
DURING
BEGINNING ENDING PERIOD***
ACCOUNT VALUE ACCOUNT VALUE 7/1/07-
HYPOTHETICAL 7/1/07 12/31/07 12/31/07
- ------------ ------------- ------------- ------------
SPDR Lehman 1-3 Month T-Bill ETF................. $1,000 $1,024.43 $0.71
SPDR Lehman Short Term Municipal Bond ETF........ 1,000 1,024.13 1.02
SPDR Lehman Intermediate Term Treasury ETF....... 1,000 1,024.43 0.71
SPDR Lehman Long Term Treasury ETF............... 1,000 1,024.43 0.71
SPDR Barclays Capital TIPS ETF................... 1,000 1,024.18 0.97
SPDR Lehman California Municipal Bond ETF........ 1,000 1,024.13 1.02
SPDR Lehman New York Municipal Bond ETF.......... 1,000 1,024.13 1.02
SPDR Lehman Municipal Bond ETF................... 1,000 1,024.13 1.02
SPDR Lehman Aggregate Bond ETF................... 1,000 1,024.43 0.71
SPDR Lehman International Treasury Bond ETF...... 1,000 1,022.62 2.54
SPDR Lehman High Yield Bond ETF.................. 1,000 1,023.13 2.03
</Table>
*** Expenses (hypothetical expenses if the Fund had been in existence from
7/1/07) are equal to the Funds' annualized net expense ratios of 0.14%, 0.20%,
0.14%, 0.14%, 0.19%, 0.20%, 0.20%, 0.20%, 0.14%, 0.50%, and 0.40%, respectively.
Expenses are equal to the Funds' annualized net 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 366.
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
A description of the Trust's policies and procedures that are used by the Funds'
investment adviser to vote proxies relating to the Funds' portfolio securities
are available (i) without charge, upon request, by calling 1-866-787-2257 (toll
free) or (ii) on the SEC's website at www.sec.gov. Information regarding how the
investment adviser voted proxies for the prior 12 months ended June 30 is
available by August 31 of each year by calling the same number and on the
website of the U.S. Securities and Exchange Commission at www.sec.gov, and on
the Funds' website at www.spdretfs.com.
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 Form N-Q. The Funds' Forms N-Q
are 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 Form N-Q is
available upon request without charge, by calling 1-866-787-2257 (toll free),
and on the Funds' website at www.spdretfs.com.
58
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
APPROVAL OF ADVISORY INVESTMENT AGREEMENTS
At in-person meetings held on August 22, 2007 and November 28, 2007, the Board
of Trustees of the Trust (the "Board") evaluated the proposals to continue the
Investment Advisory Agreement (the "Agreement") between the Trust and SSgA Funds
Management, Inc. (the "Adviser") with respect to the operational fixed income
series of the Trust (each a "Current ETF", collectively, the "Current ETFs") and
to continue and/or approve, as the case may be, the Agreement with respect to
the previously approved non-operational fixed income series of the Trust and new
fixed income series of the Trust (collectively, the "New ETFs" and together with
the Current ETFs, the "ETFs"). 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 approve the Agreement, the Board considered various factors,
including (i) the nature, extent and quality of services provided by the Adviser
with respect to the Current ETFs and to be provided by the Adviser with respect
to the New ETFs under the Agreement, (ii) investment performance of the Current
ETFs, (iii) 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 ETFs grow and whether the fee
levels in the Agreement reflect these economies of scale.
The Board considered the nature, extent and quality of the services provided by,
or to be 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 of the Current ETFs and anticipated
responsibilities for managing investment operations of the New ETFs, in
accordance with each ETF's investment objective and policies, and applicable
legal and regulatory requirements. The Board appreciated the relatively unique
nature of the ETFs, as exchange-traded funds, and the experience and expertise
of the Adviser with exchange-traded funds. The Board considered the background
and experience of the Adviser's senior management, including those individuals
responsible for portfolio management and compliance of the ETFs. The Board also
considered the portfolio management resources, structures and practices of the
Adviser, including those associated with monitoring and securing each ETF'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 affiliates which make up 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 also considered the Adviser's experience in managing fixed income
ETFs. The Board then determined that the nature, extent and quality of services
provided by the Adviser to the Trust were necessary and appropriate.
The Board reviewed the Current ETFs' performance. The Board noted that the
distinctive indexed investment objective of each of the Current ETFs made
analysis of investment performance, in absolute terms, less of a priority than
that which normally attaches to performance of actively-managed funds. The Board
was more concerned with the extent to which each Current ETF achieved its
objective and the Board reviewed each Current ETF's index tracking and tracking
error. The Board considered that each Current ETF closely tracked its benchmark
index and the Board also reviewed the tax efficiency of each Current ETF. The
Board then determined that the performance of each Current ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the
Trust to the Adviser. The Independent Trustees, through their counsel, had the
opportunity to discuss, with representatives of the Adviser and State Street,
methodologies used in computing costs that formed the bases of profitability
calculations and determined that these methodologies were reasonable. The Board
concluded that, to the extent that the Adviser's relationship with the Trust had
been profitable, profitability was not excessive.
The Board considered whether the Adviser benefited in other ways from its
relationship with the Trust, noting that the Adviser does not maintain soft-
dollar arrangements in connection with the Trust's brokerage transactions. The
Board
59
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
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 fees with respect to the ETFs to be excessive.
The Board determined that the Adviser is likely to realize economies of scale in
managing the ETFs as assets grow in size. The Board further determined that such
economies of scale are currently shared with the ETFs by way of the relatively
low advisory fee and unitary fee structure of the Trust, although the Board
intends to continue to monitor fees as ETFs grow in size and assess whether fee
breakpoints may be warranted.
The Board evaluated the ETFs' unitary fee through the review of comparative
information with respect to fees paid by similar funds -- i.e., exchange-traded
funds tracking fixed income indexes. The Board reviewed the universe of similar
exchange-traded funds for the ETFs based upon data from Lipper Analytical
Services and related comparative information for similar exchange-traded funds.
The Board also reviewed the historical expense ratios of the Current ETFs,
estimated expense ratios of the New ETFs, and the unitary fee structure. The
Board used a fund by fund analysis of the data. The Board concluded, based on
the information presented, that each ETF's fees were fair and reasonable in
light of those of their direct competitors.
The Board's conclusions in approving the Agreement, including the Independent
Trustees voting separately, were as follows: (a) the nature and extent of the
services provided by the Adviser with respect to the Current ETFs and expected
to be provided by the Adviser with respect to the New ETFs were appropriate; (b)
the performance and, more importantly, the index tracking, of each Current ETF
had been satisfactory; (c) the Adviser's fees for each ETF and the unitary fee,
considered in relation to services provided or expected to be provided, were
fair and reasonable; (d) profitability of the Trust's relationships 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) fees paid
to the Adviser adequately shared the economies of scale with the Current ETFs
and fees expected to be paid to the Adviser were expected to share economies of
scale with respect to the New ETFs by way of the low fee structure of the Trust.
60
THE SPDR(R) FAMILY OF EXCHANGE TRADED FUNDS
The following is a list of SPDR ETFs being offered, along with their respective
exchange trading symbols. PLEASE CALL 1-866-787-2257 TO OBTAIN A PROSPECTUS FOR
ANY SPDR ETF. 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 SERIES TRUST
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 ETF (EMV)
SPDR DJ Wilshire Small Cap ETF (DSC)
SPDR DJ Wilshire Small Cap Growth ETF (DSG)
SPDR DJ Wilshire Small Cap Value ETF (DSV)
SPDR DJ Global Titans ETF (DGT)
DJ Wilshire REIT ETF (RWR)
KBW Bank ETF (KBE)
KBW Capital Markets ETF (KCE)
KBW Insurance ETF (KIE)
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 (XPH)
SPDR S&P Retail ETF (XRT)
SPDR S&P Semiconductor ETF (XSD)
KBW Regional Banking ETF (KRE)
SPDR Lehman 1-3 Month T-Bill ETF (BIL)
SPDR Lehman Short Term Municipal Bond ETF (SHM)
SPDR Lehman Intermediate Term Treasury ETF (ITE)
SPDR Lehman Long Term Treasury ETF (TLO)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Lehman California Municipal Bond ETF (CXA)
SPDR Lehman New York Municipal Bond ETF (INY)
SPDR Lehman Municipal Bond ETF (TFI)
SPDR Lehman Aggregate Bond ETF (LAG)
SPDR Lehman International Treasury Bond ETF (BWX)
SPDR Lehman High Yield Bond ETF (JNK)
61
THE SELECT SECTOR SPDR TRUST
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)
DIAMONDS TRUST, SERIES 1 (DIA)
SPDR TRUST, SERIES 1 (SPY)
SPDR INDEX SHARES FUNDS
DJ STOXX 50 ETF (FEU)
DJ EURO STOXX 50 ETF (FEZ)
SPDR S&P Emerging Asia Pacific ETF (GMF)
SPDR S&P China ETF (GXC)
SPDR S&P Emerging Markets ETF (GMM)
SPDR S&P BRIC 40 ETF (BIK)
SPDR S&P Emerging Europe ETF (GUR)
SPDR S&P Emerging Latin America ETF (GML)
SPDR S&P Emerging Middle East & Africa ETF (GAF)
SPDR S&P World ex-US ETF (GWL)
SPDR S&P International Small Cap ETF (GWX)
SPDR S&P International Dividend ETF (DWX)
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 of FINRA and SIPC is distributor for
all investment portfolios of SPDR Series Trust and SPDR Index Shares Funds. ALPS
Distributors, Inc., a registered broker-dealer, is distributor for SPDR Trust
and Diamonds Trust, both unit investment trusts; and all investment portfolios
of The Select Sector SPDR Trust.
62
SPDR 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
Mark E. Tuttle, Assistant Secretary
Chad C. Hallett, Assistant Treasurer
Laura F. Healy, Assistant Treasurer
Matthew W. Flaherty, Assistant Treasurer
Julie B. Piatelli, 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 FINRA, 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.
Bond funds contain interest rate risk (as interest rates rise bond prices
usually fall); the risk of issuer default; and inflation risk.
The "SPDR" trademark is used under license from The McGraw-Hill Companies, Inc.
("McGraw-Hill"). No financial product offered by State Street Corporation or its
affiliates is sponsored, endorsed, sold or promoted by McGraw Hill. Standard &
Poor's(R), S&P(R), SPDR(R), S&P 500(R) and Select Sector SPDRs(R) are trademarks
of The McGraw-Hill Companies, Inc., and have been licensed for use by State
Street Bank and Trust Company. The Citigroup Mark is a trademark of Citigroup
Global Markets Inc. and has been licensed for use by Standard & Poor's. The
products are not sponsored, endorsed, sold or promoted by Standard & Poor's, and
neither Standard & Poor's nor Citigroup Global Markets Inc. makes any
representation regarding the advisability of investing in the Fund.
In general, Fund shares can be expect 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.
"Barclays Capital" is a trademark of Barclays Capital, the investment banking
division of Barclays Bank PLC ("Barclays Capital") and is used by State Street
Global Advisors under license. Barclays Capital compiles, maintains and owns
rights in and to the Barclays U.S. Government Inflation-linked Bond Index. The
SPDR Barclays Capital TIPS ETF is not sponsored, endorsed, sold or promoted by
Barclays Capital. Barclays Capital or one of its affiliated entities may act as
an Authorized Participant and/or as an initial purchaser of shares of the SPDR
Barclays Capital TIPS ETF. Barclays Capital makes no representation regarding
the advisability of investing in the SPDR Barclays Capital TIPS ETF or use of
either the Barclays US Government Inflation-Linked All Maturities Index or any
data included therein.
Lehman Brothers, Lehman Brothers Inc. are trademarks of Lehman Brothers Inc. and
have been licensed for use in connection with the listing and trading of the
SPDR Lehman ETFs on the Amex. The products are not sponsored by, endorsed, sold
or promoted by Lehman Brothers Inc. and Lehman Brothers Inc. makes no
representation regarding the advisability of investing in them.
Please read the prospectus carefully before you invest or send money.
(C) 2008 State Street Corporation SPDR FISAR
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 Registrant, except for those
series set forth below, is included as a part of the semi-annual reports to
shareholders filed under Item 1 of this Form N-CSR.
The Schedule of Investments for the following series of the Registrant is set
forth below:
SPDR(R) DJ Wilshire Total Market ETF
SPDR(R) DJ Wilshire Large Cap ETF
SPDR(R) DJ Wilshire Large Cap Growth ETF
SPDR(R) DJ Wilshire Large Cap Value ETF
SPDR(R) DJ Wilshire Mid Cap ETF
SPDR(R) DJ Wilshire Mid Cap Growth ETF
SPDR(R) DJ Wilshire Mid Cap Value ETF
SPDR(R) DJ Wilshire Small Cap ETF
SPDR(R) DJ Wilshire Small Cap Growth ETF
SPDR(R) DJ Wilshire Small Cap Value ETF
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.3%
AEROSPACE & DEFENSE -- 2.3%
BE Aerospace, Inc. (a)........ 164 $ 8,675
Boeing Co..................... 5,719 500,184
Ceradyne, Inc. (a)............ 272 12,765
DRS Technologies, Inc......... 173 9,389
General Dynamics Corp......... 2,507 223,098
Goodrich Corp................. 1,561 110,222
Honeywell International,
Inc......................... 5,877 361,847
L-3 Communications Holdings,
Inc......................... 1,141 120,877
Lockheed Martin Corp.......... 2,580 271,571
Northrop Grumman Corp......... 2,422 190,466
Precision Castparts Corp...... 927 128,575
Raytheon Co................... 3,971 241,040
Rockwell Collins, Inc......... 1,811 130,338
Taser International, Inc.
(a)......................... 566 8,145
United Technologies Corp...... 7,262 555,833
------------
2,873,025
------------
AIR FREIGHT & LOGISTICS -- 0.6%
C.H. Robinson Worldwide,
Inc......................... 1,086 58,774
Expeditors International of
Washington, Inc............. 2,862 127,874
FedEx Corp.................... 2,179 194,302
Forward Air Corp.............. 1,883 58,693
United Parcel Service, Inc.
(Class B)................... 5,037 356,217
------------
795,860
------------
AIRLINES -- 0.2%
AMR Corp. (a)................. 2,661 37,334
Continental Airlines, Inc.
(Class B) (a)............... 529 11,770
JetBlue Airways Corp. (a)..... 2,769 16,337
Midwest Air Group, Inc. (a)... 1,688 24,982
Pinnacle Airlines Corp. (a)... 198 3,020
Southwest Airlines Co......... 6,588 80,374
UAL Corp. (a)................. 1,000 35,660
------------
209,477
------------
AUTO COMPONENTS -- 0.3%
American Axle & Manufacturing
Holdings, Inc............... 300 5,586
Gentex Corp................... 2,936 52,173
Johnson Controls, Inc......... 5,217 188,021
Lear Corp. (a)................ 1,174 32,473
Modine Manufacturing Co....... 1,735 28,645
Proliance International, Inc.
(a)......................... 2,532 4,557
The Goodyear Tire & Rubber Co.
(a)......................... 2,614 73,767
WABCO Holdings, Inc........... 591 29,603
------------
414,825
------------
AUTOMOBILES -- 0.3%
Ford Motor Co. (a)............ 15,405 103,676
General Motors Corp........... 4,437 110,437
Harley-Davidson, Inc.......... 2,426 113,318
Thor Industries, Inc.......... 320 12,163
------------
339,594
------------
BEVERAGES -- 1.9%
Anheuser-Busch Cos., Inc...... 5,243 274,419
Coca-Cola Enterprises, Inc.... 3,146 81,890
Constellation Brands, Inc.
(Class A) (a)............... 2,244 53,048
Hansen Natural Corp. (a)...... 600 26,574
PepsiCo, Inc.................. 12,141 921,502
The Coca-Cola Co.............. 16,114 988,916
The Pepsi Bottling Group,
Inc......................... 2,169 85,589
------------
2,431,938
------------
BIOTECHNOLOGY -- 1.7%
Acadia Pharmaceuticals, Inc.
(a)......................... 209 2,314
Alfacell Corp. (a)............ 3,442 5,920
Amgen, Inc. (a)............... 9,688 449,911
Amylin Pharmaceuticals, Inc.
(a)......................... 1,013 37,481
AVI BioPharma, Inc. (a)....... 2,712 3,824
BioCryst Pharmaceuticals, Inc.
(a)......................... 522 3,226
Biogen Idec, Inc. (a)......... 3,306 188,178
Celgene Corp. (a)............. 3,791 175,182
Cephalon, Inc. (a)............ 1,228 88,121
Chelsea Therapeutics
International, Inc. (a)..... 3,756 27,794
Cubist Pharmaceuticals, Inc.
(a)......................... 500 10,255
CV Therapeutics, Inc. (a)..... 124 1,122
Dynavax Technologies Corp.
(a)......................... 1,461 7,422
Genentech, Inc. (a)........... 3,678 246,683
Genzyme Corp. (a)............. 2,123 158,036
Gilead Sciences, Inc. (a)..... 8,016 368,816
Human Genome Sciences, Inc.
(a)......................... 3,391 35,402
ImClone Systems, Inc. (a)..... 1,101 47,343
InterMune, Inc. (a)........... 258 3,439
Isolagen, Inc. (a)............ 6,366 15,979
Martek Biosciences Corp. (a).. 200 5,916
Medarex, Inc. (a)............. 228 2,376
Millennium Pharmaceuticals,
Inc. (a).................... 5,144 77,057
Neurocrine Biosciences, Inc.
(a)......................... 1,078 4,894
Novavax, Inc. (a)............. 1,983 6,603
Onyx Pharmaceuticals, Inc.
(a)......................... 400 22,248
OSI Pharmaceuticals, Inc.
(a)......................... 617 29,931
PDL BioPharma, Inc. (a)....... 389 6,815
Pharmion Corp. (a)............ 326 20,492
SIGA Technologies, Inc. (a)... 4,382 13,497
StemCells, Inc. (a)........... 3,234 4,851
Threshold Pharmaceuticals,
Inc. (a).................... 416 221
Vanda Pharmaceuticals, Inc.
(a)......................... 170 1,170
Vertex Pharmaceuticals, Inc.
(a)......................... 1,000 23,230
------------
2,095,749
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp.................... 3,285 70,989
Simpson Manufacturing Co.,
Inc......................... 313 8,323
Trane, Inc.................... 1,774 82,863
USG Corp. (a)................. 536 19,183
------------
181,358
------------
CAPITAL MARKETS -- 3.0%
Ameriprise Financial, Inc..... 1,605 88,452
E*TRADE Financial Corp. (a)... 4,745 16,845
Franklin Resources, Inc....... 1,288 147,386
International Assets Holding
Corp. (a)................... 1,461 39,432
Janus Capital Group, Inc...... 3,429 112,643
Legg Mason, Inc............... 1,058 77,393
Lehman Brothers Holdings,
Inc......................... 4,609 301,613
Merrill Lynch & Co., Inc...... 6,828 366,527
Morgan Stanley................ 7,758 412,027
Northern Trust Corp........... 1,956 149,790
SEI Investments Co............ 3,106 99,920
State Street Corp. (b)........ 2,945 239,134
</Table>
See accompanying notes to financial statements.
1
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
T. Rowe Price Group, Inc...... 1,853 $ 112,811
TD Ameritrade Holding Corp.
(a)......................... 1,950 39,117
The Bank of New York Mellon
Corp........................ 9,165 446,885
The Bear Stearns Cos., Inc.... 1,042 91,957
The Charles Schwab Corp....... 10,300 263,165
The Goldman Sachs Group,
Inc......................... 3,263 701,708
Waddell & Reed Financial, Inc.
(Class A)................... 2,669 96,324
------------
3,803,129
------------
CHEMICALS -- 1.7%
Air Products & Chemicals,
Inc......................... 1,895 186,904
Ashland, Inc.................. 885 41,976
Cabot Corp.................... 416 13,869
Chemtura Corp................. 2,646 20,639
E. I. du Pont de Nemours &
Co.......................... 7,395 326,046
Eastman Chemical Co........... 1,102 67,321
Ecolab, Inc................... 2,254 115,427
Monsanto Co................... 4,542 507,296
Nalco Holding Co.............. 626 15,137
PPG Industries, Inc........... 1,596 112,087
Praxair, Inc.................. 2,889 256,283
Rohm & Haas Co................ 1,631 86,557
Sigma-Aldrich Corp............ 835 45,591
Terra Industries, Inc. (a).... 700 33,432
The Dow Chemical Co........... 7,387 291,196
The Mosaic Co. (a)............ 492 46,415
Xethanol Corp. (a)............ 5,112 3,169
------------
2,169,345
------------
COMMERCIAL BANKS -- 3.2%
Arrow Financial Corp.......... 2,247 48,288
Bank of Granite Corp.......... 4,383 46,328
Bank of Hawaii Corp........... 416 21,274
BB&T Corp..................... 3,945 120,993
Capitol Bancorp, Ltd.......... 1,604 32,272
Cathay General Bancorp........ 313 8,291
Citizens Republic Bancorp,
Inc......................... 2,348 34,070
Columbia Banking System,
Inc......................... 2,286 67,963
Comerica, Inc................. 522 22,723
Commerce Bancorp, Inc......... 1,909 72,809
CVB Financial Corp............ 4,467 46,189
Farmers Capital Bank Corp..... 1,882 50,814
Fifth Third Bancorp........... 3,585 90,091
First Bancorp- North
Carolina.................... 1,343 25,369
First Commonwealth Financial
Corp........................ 5,438 57,915
First Community Bancorp,
Inc......................... 956 39,425
First Merchants Corp.......... 2,569 56,107
FNB Corp...................... 2,296 53,336
Horizon Financial Corp........ 1,864 32,508
Huntington Bancshares, Inc.... 731 10,790
Independent Bank Corp.-
Massachusetts............... 1,775 48,316
Integra Bank Corp............. 1,676 23,648
International Bancshares
Corp........................ 458 9,591
Keycorp....................... 2,966 69,553
Lakeland Financial Corp....... 3,111 65,020
M&T Bank Corp................. 626 51,063
Marshall & Ilsley Corp........ 835 22,111
National City Corp............ 4,190 68,967
National Penn Bancshares,
Inc......................... 3,495 52,914
Old National Bancorp.......... 522 7,809
Omega Financial Corp.......... 2,123 62,119
PNC Financial Services Group,
Inc......................... 1,861 122,175
Popular, Inc.................. 1,879 19,917
Regions Financial Corp........ 4,823 114,064
Renasant Corp................. 2,991 64,516
Sandy Spring Bancorp, Inc..... 1,798 50,020
Simmons First National Corp... 2,135 56,578
Sterling Financial
Corp. -- Pennsylvania....... 3,028 49,720
SunTrust Banks, Inc........... 2,282 142,602
Susquehanna Bancshares, Inc... 3,449 63,600
Synovus Financial Corp........ 835 20,107
The Colonial BancGroup, Inc... 1,002 13,567
Trustmark Corp................ 416 10,550
U.S. Bancorp.................. 13,326 422,967
UCBH Holdings, Inc............ 2,911 41,220
Umpqua Holdings Corp.......... 2,999 46,005
UnionBanCal Corp.............. 416 20,347
United Bankshares, Inc........ 313 8,770
United Community Banks, Inc... 2,123 33,543
Wachovia Corp................. 14,746 560,790
Wells Fargo & Co.............. 23,423 707,140
Zions Bancorp................. 303 14,147
------------
4,001,011
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.8%
ACCO Brands Corp. (a)......... 315 5,053
Avery Dennison Corp........... 1,281 68,072
ChoicePoint, Inc. (a)......... 1,292 47,055
Cintas Corp................... 1,754 58,969
Courier Corp.................. 1,517 50,076
Covanta Holding Corp. (a)..... 800 22,128
Dun & Bradstreet Corp......... 950 84,198
Ennis, Inc.................... 3,021 54,378
Equifax, Inc.................. 1,707 62,067
Herman Miller, Inc............ 1,653 53,541
Hudson Highland Group, Inc.
(a)......................... 112 942
Kimball International, Inc.
(Class B)................... 3,015 41,305
Manpower, Inc................. 603 34,311
Monster Worldwide, Inc. (a)... 1,621 52,520
PHH Corp. (a)................. 565 9,967
Pitney Bowes, Inc............. 2,118 80,569
R.R. Donnelley & Sons Co...... 2,686 101,370
Robert Half International,
Inc......................... 2,309 62,435
Waste Connections, Inc. (a)... 469 14,492
Waste Management, Inc......... 5,025 164,167
------------
1,067,615
------------
COMMUNICATIONS EQUIPMENT -- 2.3%
3Com Corp. (a)................ 9,974 45,082
ADC Telecommunications, Inc.
(a)......................... 1,846 28,705
Arris Group, Inc. (a)......... 257 2,565
Avici Systems, Inc............ 1,985 15,741
Avocent Corp. (a)............. 416 9,697
Carrier Access Corp. (a)...... 2,400 5,760
CIENA Corp. (a)............... 723 24,662
Cisco Systems, Inc. (a)....... 48,111 1,302,365
CommScope, Inc. (a)........... 95 4,691
Comtech Telecommunications
Corp. (a)................... 51 2,754
Corning, Inc.................. 12,450 298,675
Finisar Corp. (a)............. 3,131 4,540
Foundry Networks, Inc. (a).... 939 16,451
</Table>
See accompanying notes to financial statements.
2
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Harris Corp................... 1,799 $ 112,761
InterDigital, Inc. (a)........ 200 4,666
JDS Uniphase Corp. (a)........ 2,639 35,099
Juniper Networks, Inc. (a).... 5,422 180,010
Motorola, Inc................. 18,748 300,718
MRV Communications, Inc. (a).. 3,651 8,470
Occam Networks, Inc. (a)...... 728 2,592
Plantronics, Inc.............. 416 10,816
Polycom, Inc. (a)............. 200 5,556
Proxim Wireless Corp. (a)..... 5,635 5,579
QUALCOMM, Inc................. 13,071 514,344
Relm Wireless Corp............ 104 328
Tellabs, Inc. (a)............. 5,865 38,357
------------
2,980,984
------------
COMPUTERS & PERIPHERALS -- 4.2%
Apple, Inc. (a)............... 7,095 1,405,378
Avid Technology, Inc. (a)..... 698 19,781
Brocade Communications
Systems, Inc. (a)........... 1,879 13,792
Dell, Inc. (a)................ 16,679 408,802
EMC Corp. (a)................. 19,477 360,909
Hewlett-Packard Co............ 22,477 1,134,639
Icad, Inc. (a)................ 3,757 7,589
International Business
Machines Corp............... 12,152 1,313,631
Interphase Corp. (a).......... 835 8,617
Lexmark International, Inc.
(a)......................... 884 30,816
NCR Corp. (a)................. 1,954 49,046
Network Appliance, Inc. (a)... 3,417 85,288
Novatel Wireless, Inc. (a).... 610 9,882
Palm, Inc..................... 626 3,969
QLogic Corp. (a).............. 2,493 35,401
SanDisk Corp. (a)............. 2,743 90,985
Seagate Technology............ 4,251 108,401
Sun Microsystems, Inc. (a).... 7,709 139,764
Teradata Corp. (a)............ 1,954 53,559
Western Digital Corp. (a)..... 2,730 82,473
------------
5,362,722
------------
CONSTRUCTION & ENGINEERING -- 0.4%
EMCOR Group, Inc. (a)......... 417 9,854
Fluor Corp.................... 967 140,911
Foster Wheeler, Ltd. (a)...... 457 70,844
Jacobs Engineering Group, Inc.
(a)......................... 1,936 185,101
KBR, Inc. (a)................. 1,200 46,560
Quanta Services, Inc. (a)..... 1,303 34,191
URS Corp. (a)................. 613 33,304
------------
520,765
------------
CONSTRUCTION MATERIALS -- 0.1%
Eagle Materials, Inc.......... 313 11,105
Headwaters, Inc. (a).......... 313 3,675
Martin Marietta Materials,
Inc......................... 495 65,637
Vulcan Materials Co........... 1,070 84,626
------------
165,043
------------
CONSUMER FINANCE -- 0.6%
American Express Co........... 8,028 417,616
AmeriCredit Corp. (a)......... 1,964 25,120
Capital One Financial Corp.... 3,507 165,741
Discover Financial Services... 3,830 57,756
SLM Corp...................... 3,447 69,423
The First Marblehead Corp..... 200 3,060
------------
738,716
------------
CONTAINERS & PACKAGING -- 0.3%
Crown Holdings, Inc. (a)...... 2,565 65,792
Myers Industries, Inc......... 286 4,138
Owens-Illinois, Inc. (a)...... 2,017 99,842
Pactiv Corp. (a).............. 2,469 65,749
Sealed Air Corp............... 2,441 56,485
Smurfit-Stone Container Corp.
(a)......................... 4,139 43,708
Temple-Inland, Inc............ 1,331 27,751
------------
363,465
------------
DISTRIBUTORS -- 0.0% (C)
Genuine Parts Co.............. 522 24,169
------------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Apollo Group, Inc. (a)........ 1,407 98,701
Career Education Corp. (a).... 1,366 34,341
H&R Block, Inc................ 2,663 49,452
ITT Educational Services, Inc.
(a)......................... 865 73,759
Service Corp. International... 5,673 79,706
Strayer Education, Inc........ 104 17,740
------------
353,699
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.5%
Bank of America Corp.......... 33,419 1,378,868
CIT Group, Inc................ 2,100 50,463
Citigroup, Inc................ 38,013 1,119,103
CME Group, Inc................ 289 198,254
Guaranty Financial Group,
Inc......................... 443 7,088
Intercontinental Exchange,
Inc. (a).................... 687 132,248
JPMorgan Chase & Co........... 25,892 1,130,186
Leucadia National Corp........ 2,480 116,808
Moody's Corp.................. 2,382 85,037
NYSE Euronext................. 1,459 128,056
The Nasdaq Stock Market, Inc.
(a)......................... 816 40,384
------------
4,386,495
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.6%
AT&T, Inc..................... 46,408 1,928,717
Cbeyond, Inc. (a)............. 21 819
CenturyTel, Inc............... 939 38,931
Citizens Communications Co.... 5,028 64,007
Cogent Communications Group,
Inc. (a).................... 1,461 34,640
Covad Communications Group,
Inc. (a).................... 5,115 4,399
Embarq Corp................... 1,030 51,016
Fibernet Telecom Group, Inc.
(a)......................... 2,295 18,291
Level 3 Communications, Inc.
(a)......................... 7,308 22,216
Qwest Communications
International, Inc. (a)..... 16,448 115,301
SureWest Communications....... 1,632 27,907
Time Warner Telecom, Inc.
(Class A) (a)............... 432 8,765
Verizon Communications, Inc... 22,599 987,350
Windstream Corp............... 2,572 33,487
------------
3,335,846
------------
ELECTRIC UTILITIES -- 1.9%
Allegheny Energy, Inc......... 2,052 130,528
American Electric Power Co.,
Inc......................... 3,347 155,836
Central Vermont Public Service
Corp........................ 2,840 87,586
</Table>
See accompanying notes to financial statements.
3
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Duke Energy Corp.............. 7,805 $ 157,427
Edison International.......... 2,811 150,023
Entergy Corp.................. 1,677 200,435
Exelon Corp................... 5,362 437,754
FirstEnergy Corp.............. 2,609 188,735
FPL Group, Inc................ 2,997 203,137
MGE Energy, Inc............... 1,757 62,321
Northeast Utilities........... 774 24,234
Pepco Holdings, Inc........... 3,489 102,332
Pinnacle West Capital Corp.... 173 7,337
PPL Corp...................... 3,671 191,222
Progress Energy, Inc.......... 626 30,317
Reliant Energy, Inc. (a)...... 4,115 107,977
The Southern Co............... 5,029 194,874
------------
2,432,075
------------
ELECTRICAL EQUIPMENT -- 0.6%
BTU International, Inc. (a)... 209 2,784
Capstone Turbine Corp. (a).... 4,382 7,143
Cooper Industries, Ltd........ 2,155 113,956
Emerson Electric Co........... 6,317 357,921
First Solar, Inc. (a)......... 100 26,714
Hubbell, Inc. (Class B)....... 1,169 60,320
Phazar Corp. (a).............. 730 4,730
PowerSecure International,
Inc. (a).................... 1,671 22,559
Rockwell Automation, Inc...... 1,604 110,612
Roper Industries, Inc......... 1,372 85,805
------------
792,544
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.6%
Aetrium, Inc. (a)............. 4,069 24,414
Agilent Technologies, Inc.
(a)......................... 3,464 127,267
American Technology Corp.
(a)......................... 2,192 5,546
Amphenol Corp. (Class A)...... 2,421 112,262
Arrow Electronics, Inc. (a)... 1,906 74,868
Avnet, Inc. (a)............... 2,192 76,654
Benchmark Electronics, Inc.
(a)......................... 184 3,262
Itron, Inc. (a)............... 100 9,597
Jabil Circuit, Inc............ 1,947 29,731
Lightpath Technologies, Inc.
(a)......................... 4,278 8,385
Lumera Corp. (a).............. 1,670 4,359
Mechanical Technology, Inc.
(a)......................... 3,338 2,504
Molex, Inc.................... 2,046 55,856
National Instruments Corp..... 416 13,865
RAE Systems, Inc. (a)......... 2,399 6,477
Sanmina-SCI Corp. (a)......... 7,822 14,236
Security With Advanced
Technology, Inc. (a)........ 419 721
Superconductor Technologies,
Inc. (a).................... 104 577
Tech Data Corp. (a)........... 200 7,544
Trimble Navigation, Ltd. (a).. 2,202 66,588
Tyco Electronics, Ltd......... 3,883 144,176
Vishay Intertechnology, Inc.
(a)......................... 3,350 38,223
------------
827,112
------------
ENERGY EQUIPMENT & SERVICES -- 2.7%
Baker Hughes, Inc............. 2,399 194,559
BJ Services Co................ 2,981 72,319
Bronco Drilling Co., Inc.
(a)......................... 245 3,638
Cal Dive International, Inc.
(a)......................... 188 2,483
Cameron International Corp.
(a)......................... 1,670 80,377
Diamond Offshore Drilling,
Inc......................... 416 59,072
ENSCO International, Inc...... 1,803 107,495
Exterran Holdings, Inc. (a)... 209 17,096
FMC Technologies, Inc. (a).... 1,100 62,370
Global Industries, Ltd. (a)... 211 4,520
Grant Prideco, Inc. (a)....... 2,151 119,402
Grey Wolf, Inc. (a)........... 6,215 33,126
Halliburton Co................ 8,130 308,208
Helmerich & Payne, Inc........ 626 25,084
Matrix Service Co. (a)........ 154 3,360
Nabors Industries, Ltd. (a)... 2,852 78,116
National-Oilwell Varco, Inc.
(a)......................... 3,386 248,736
Noble Corp.................... 2,680 151,447
Omni Energy Services Corp.
(a)......................... 4,172 20,359
Patterson-UTI Energy, Inc..... 2,242 43,764
Pride International, Inc.
(a)......................... 1,148 38,917
Rowan Cos., Inc............... 1,870 73,790
Schlumberger, Ltd............. 9,368 921,530
Smith International, Inc...... 731 53,984
Superior Energy Services, Inc.
(a)......................... 2,620 90,180
TGC Industries, Inc. (a)...... 2,958 28,545
Tidewater, Inc................ 416 22,822
Transocean, Inc............... 3,038 434,890
Weatherford International,
Ltd. (a).................... 2,538 174,107
------------
3,474,296
------------
FOOD & STAPLES RETAILING -- 2.0%
Costco Wholesale Corp......... 3,843 268,088
CVS Caremark Corp............. 12,752 506,892
Performance Food Group Co.
(a)......................... 1,299 34,904
Safeway, Inc.................. 3,991 136,532
SUPERVALU, Inc................ 2,196 82,394
Sysco Corp.................... 5,277 164,695
The Kroger Co................. 5,739 153,289
Wal-Mart Stores, Inc.......... 18,555 881,919
Walgreen Co................... 7,742 294,815
Whole Foods Market, Inc....... 1,148 46,839
------------
2,570,367
------------
FOOD PRODUCTS -- 1.5%
Archer-Daniels-Midland Co..... 5,567 258,476
Bunge, Ltd.................... 1,258 146,444
Campbell Soup Co.............. 2,695 96,292
ConAgra Foods, Inc............ 4,867 115,786
Dean Foods Co................. 1,915 49,522
Del Monte Foods Co............ 5,072 47,981
Flowers Foods, Inc............ 3,316 77,628
General Mills, Inc............ 2,893 164,901
H.J. Heinz Co................. 3,138 146,482
Kellogg Co.................... 700 36,701
Kraft Foods, Inc.............. 11,498 375,180
McCormick & Co., Inc.......... 939 35,597
Pilgrim's Pride Corp.......... 313 9,061
Sanderson Farms, Inc.......... 100 3,378
Sara Lee Corp................. 6,951 111,633
The Hershey Co................ 1,472 57,997
The J.M. Smucker Co........... 416 21,399
TreeHouse Foods, Inc. (a)..... 382 8,782
Tyson Foods, Inc. (Class A)... 3,451 52,904
Wm. Wrigley Jr., Co........... 522 30,563
------------
1,846,707
------------
</Table>
See accompanying notes to financial statements.
4
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
GAS UTILITIES -- 0.2%
Chesapeake Utilities Corp..... 2,008 $ 63,955
EnergySouth, Inc.............. 2,286 132,588
Questar Corp.................. 1,198 64,812
------------
261,355
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.7%
Advanced Medical Optics, Inc.
(a)......................... 1,157 28,381
Align Technology, Inc. (a).... 176 2,936
American Medical Systems
Holdings, Inc. (a).......... 100 1,446
Angeion Corp. (a)............. 1,773 16,755
Baxter International, Inc..... 4,751 275,795
Becton, Dickinson & Co........ 2,058 172,008
Boston Scientific Corp. (a)... 9,201 107,007
C.R. Bard, Inc................ 1,075 101,910
Cambridge Heart, Inc. (a)..... 6,780 6,848
Covidien, Ltd................. 3,783 167,549
Edwards Lifesciences Corp.
(a)......................... 1,122 51,601
Hologic, Inc. (a)............. 1,656 113,668
Hospira, Inc. (a)............. 1,803 76,880
Insite Vision, Inc. (a)....... 2,503 1,877
Intuitive Surgical, Inc. (a).. 15 4,867
Kinetic Concepts, Inc. (a).... 746 39,956
Medtronic, Inc................ 8,756 440,164
St. Jude Medical, Inc. (a).... 3,137 127,488
Stryker Corp.................. 2,408 179,926
Varian Medical Systems, Inc.
(a)......................... 1,644 85,751
Zimmer Holdings, Inc. (a)..... 2,010 132,961
------------
2,135,774
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.6%
Aetna, Inc.................... 4,791 276,584
AmerisourceBergen Corp........ 2,282 102,393
Cardinal Health, Inc.......... 3,579 206,687
CIGNA Corp.................... 3,092 166,133
Coventry Health Care, Inc.
(a)......................... 1,570 93,023
DaVita, Inc. (a).............. 1,182 66,606
Express Scripts, Inc. (Class
A) (a)...................... 2,746 200,458
Health Management Associates,
Inc......................... 2,427 14,513
Health Net, Inc. (a).......... 1,580 76,314
Healthsouth Corp. (a)......... 200 4,200
Healthways, Inc. (a).......... 209 12,214
Henry Schein, Inc. (a)........ 1,397 85,776
Humana, Inc. (a).............. 1,649 124,186
Laboratory Corp. of America
Holdings (a)................ 1,400 105,742
Lincare Holdings, Inc. (a).... 1,296 45,567
McKesson Corp................. 2,589 169,605
Medco Health Solutions, Inc.
(a)......................... 2,387 242,042
Omnicare, Inc................. 1,356 30,930
Patterson Cos., Inc. (a)...... 1,358 46,104
PharMerica Corp. (a).......... 190 2,637
Psychiatric Solutions, Inc.
(a)......................... 313 10,173
Quest Diagnostics, Inc........ 1,108 58,613
Sierra Health Services, Inc.
(a)......................... 211 8,854
Tenet Healthcare Corp. (a).... 5,438 27,625
UnitedHealth Group, Inc....... 10,863 632,227
VCA Antech, Inc. (a).......... 1,572 69,530
WellCare Health Plans, Inc.
(a)......................... 200 8,482
WellPoint, Inc. (a)........... 4,867 426,982
------------
3,314,200
------------
HEALTH CARE TECHNOLOGY -- 0.1%
HLTH Corp. (a)................ 1,848 24,763
IMS Health, Inc............... 2,894 66,678
------------
91,441
------------
HOTELS, RESTAURANTS & LEISURE -- 1.8%
Bob Evans Farms, Inc.......... 2,370 63,824
Brinker International, Inc.... 860 16,822
Carnival Corp................. 3,449 153,446
Darden Restaurants, Inc....... 1,785 49,462
Gaylord Entertainment Co.
(a)......................... 313 12,667
Harrah's Entertainment, Inc... 2,588 229,685
International Game
Technology.................. 3,232 141,982
Las Vegas Sands Corp. (a)..... 893 92,024
Marriott International, Inc.
(Class A)................... 3,188 108,966
McDonald's Corp............... 9,510 560,234
MGM Mirage, Inc. (a).......... 1,385 116,368
Orient-Express Hotels, Ltd.
(Class A)................... 225 12,942
Panera Bread Co. (Class A)
(a)......................... 209 7,486
Penn National Gaming, Inc.
(a)......................... 597 35,551
Ruby Tuesday, Inc............. 522 5,090
Scientific Games Corp. (Class
A) (a)...................... 1,654 54,995
Starbucks Corp. (a)........... 6,628 135,675
Starwood Hotels & Resorts
Worldwide, Inc.............. 1,920 84,538
The Cheesecake Factory, Inc.
(a)......................... 1,771 41,990
The Steak n Shake Co. (a)..... 2,395 26,105
Wendy's International, Inc.... 1,253 32,378
Wyndham Worldwide Corp........ 1,774 41,795
Wynn Resorts, Ltd............. 864 96,880
Yum! Brands, Inc.............. 5,147 196,976
------------
2,317,881
------------
HOUSEHOLD DURABLES -- 0.7%
American Greetings Corp.
(Class A)................... 1,731 35,139
Bassett Furniture Industries,
Inc......................... 2,781 25,975
Beazer Homes USA, Inc......... 763 5,669
Black & Decker Corp........... 833 58,018
Centex Corp................... 1,697 42,866
D.R. Horton, Inc.............. 2,807 36,968
Fortune Brands, Inc........... 1,239 89,654
Garmin, Ltd................... 1,045 101,365
Handheld Entertainment, Inc.
(a)......................... 313 529
Harman International
Industries, Inc............. 746 54,988
Hovnanian Enterprises, Inc.
(a)......................... 323 2,316
Jarden Corp. (a).............. 42 992
KB HOME....................... 1,512 32,659
Leggett & Platt, Inc.......... 2,372 41,368
Lennar Corp. (Class A)........ 1,739 31,111
Mohawk Industries, Inc. (a)... 416 30,950
National Presto Industries,
Inc......................... 369 19,432
Newell Rubbermaid, Inc........ 3,248 84,058
NVR, Inc. (a)................. 70 36,680
Pulte Homes, Inc.............. 2,256 23,778
Ryland Group, Inc............. 675 18,596
</Table>
See accompanying notes to financial statements.
5
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Toll Brothers, Inc. (a)....... 1,148 $ 23,029
Whirlpool Corp................ 819 66,855
------------
862,995
------------
HOUSEHOLD PRODUCTS -- 2.0%
Church & Dwight Co., Inc...... 1,469 79,429
Colgate-Palmolive Co.......... 4,006 312,308
Energizer Holdings, Inc. (a).. 982 110,111
Kimberly-Clark Corp........... 3,305 229,169
Procter & Gamble Co........... 24,008 1,762,667
The Clorox Co................. 1,110 72,339
------------
2,566,023
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Constellation Energy Group,
Inc......................... 1,679 172,148
Mirant Corp. (a).............. 2,079 81,040
NRG Energy, Inc. (a).......... 2,698 116,931
The AES Corp. (a)............. 6,067 129,773
------------
499,892
------------
INDUSTRIAL CONGLOMERATES -- 3.0%
3M Co......................... 5,071 427,587
General Electric Co........... 78,195 2,898,689
McDermott International, Inc.
(a)......................... 2,278 134,470
Textron, Inc.................. 2,382 169,836
Tyco International, Ltd....... 3,883 153,961
------------
3,784,543
------------
INSURANCE -- 4.6%
ACE, Ltd...................... 2,104 129,985
AFLAC, Inc.................... 4,129 258,599
Alfa Corp..................... 4,315 93,506
AMBAC Financial Group, Inc.... 1,141 29,404
American International Group,
Inc......................... 17,592 1,025,614
AON Corp...................... 2,877 137,204
Assurant, Inc................. 1,888 126,307
Berkshire Hathaway, Inc.
(Class A) (a)............... 7 991,200
Chubb Corp.................... 3,113 169,908
Cincinnati Financial Corp..... 1,081 42,743
Everest Re Group, Ltd......... 503 50,501
Fidelity National Financial,
Inc......................... 2,337 34,144
Genworth Financial, Inc.
(Class A)................... 2,845 72,405
Hartford Financial Services
Group, Inc.................. 2,291 199,752
IPC Holdings, Ltd............. 906 26,156
Lincoln National Corp......... 2,234 130,063
Loews Corp.................... 4,041 203,424
Marsh & McLennan Cos., Inc.... 3,892 103,021
MBIA, Inc..................... 1,441 26,846
MetLife, Inc.................. 3,522 217,026
PartnerRe, Ltd................ 168 13,865
Philadelphia Consolidated
Holding Co. (a)............. 313 12,317
Principal Financial Group,
Inc......................... 2,618 180,223
ProAssurance Corp. (a)........ 1,144 62,828
Prudential Financial, Inc..... 4,013 373,370
Reinsurance Group America,
Inc......................... 313 16,426
RenaissanceRe Holdings, Ltd... 575 34,638
SAFECO Corp................... 1,441 80,235
Selective Insurance Group,
Inc......................... 2,551 58,648
The Allstate Corp............. 5,081 265,381
The Hanover Insurance Group,
Inc......................... 934 42,777
The Phoenix Cos., Inc......... 3,790 44,987
The Progressive Corp.......... 5,300 101,548
The Travelers Cos., Inc....... 5,504 296,115
Torchmark Corp................ 416 25,180
Transatlantic Holdings, Inc... 209 15,188
Unum Group.................... 3,966 94,351
WR Berkley Corp............... 522 15,561
XL Capital, Ltd. (Class A).... 999 50,260
------------
5,851,706
------------
INTERNET & CATALOG RETAIL -- 0.4%
Amazon.com, Inc. (a).......... 2,927 271,157
Expedia, Inc. (a)............. 2,329 73,643
IAC/InterActiveCorp (a)....... 2,329 62,697
Liberty Media Holding Corp. -
Interactive (Series A) (a).. 5,317 101,448
------------
508,945
------------
INTERNET SOFTWARE & SERVICES -- 1.7%
Akamai Technologies, Inc.
(a)......................... 2,233 77,262
Art Technology Group, Inc.
(a)......................... 3,027 13,077
EarthLink, Inc. (a)........... 4,110 29,058
eBay, Inc. (a)................ 9,064 300,834
EDGAR Online, Inc. (a)........ 315 1,071
Equinix, Inc. (a)............. 100 10,107
Google, Inc. (Class A) (a).... 1,843 1,274,398
Internap Network Services
Corp. (a)................... 2,436 20,292
Local.com Corp. (a)........... 2,608 12,544
Looksmart (a)................. 1,983 6,326
Move, Inc. (a)................ 939 2,300
NaviSite, Inc. (a)............ 3,548 17,953
Quepasa Corp. (a)............. 3,236 7,896
Terremark Worldwide, Inc.
(a)......................... 1,878 12,207
VeriSign, Inc. (a)............ 2,637 99,177
Websense, Inc. (a)............ 416 7,064
Yahoo!, Inc. (a).............. 9,913 230,576
------------
2,122,142
------------
IT SERVICES -- 1.2%
Accenture, Ltd. (Class A)..... 3,414 123,006
Affiliated Computer Services,
Inc. (a).................... 1,241 55,969
Alliance Data Systems Corp.
(a)......................... 547 41,019
Applied Digital Solutions,
Inc......................... 6,720 2,889
Automatic Data Processing,
Inc......................... 4,449 198,114
Broadridge Financial
Solutions, Inc.............. 1,111 24,920
Cognizant Technology Solutions
Corp. (a)................... 2,804 95,168
Computer Sciences Corp. (a)... 1,823 90,184
Electronic Data Systems
Corp........................ 4,956 102,738
Fidelity National Information
Services, Inc............... 2,393 99,525
Fiserv, Inc. (a).............. 1,946 107,984
Iron Mountain, Inc. (a)....... 2,575 95,326
Mastercard, Inc............... 655 140,956
Metavante Technologies, Inc.
(a)......................... 278 6,483
Paychex, Inc.................. 3,104 112,427
The Western Union Co.......... 5,806 140,970
Unisys Corp. (a).............. 5,629 26,625
------------
1,464,303
------------
</Table>
See accompanying notes to financial statements.
6
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Brunswick Corp................ 1,384 $ 23,597
Eastman Kodak Co.............. 2,900 63,423
Hasbro, Inc................... 2,794 71,471
Mattel, Inc................... 4,406 83,890
Pool Corp..................... 1,331 26,394
------------
268,775
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
Affymetrix, Inc. (a).......... 905 20,942
AMAG Pharmaceuticals, Inc.
(a)......................... 167 10,042
Applera Corp. -- Applied
Biosystems Group............ 3,001 101,794
Charles River Laboratories
International, Inc. (a)..... 522 34,348
Covance, Inc. (a)............. 416 36,034
Invitrogen Corp. (a).......... 864 80,706
Medivation, Inc. (a).......... 2,086 30,038
Millipore Corp. (a)........... 914 66,887
Nektar Therapeutics (a)....... 626 4,200
PerkinElmer, Inc.............. 2,376 61,824
Pure Bioscience (a)........... 7,302 51,041
Sequenom, Inc. (a)............ 2,297 21,936
Techne Corp. (a).............. 908 59,973
Thermo Fisher Scientific, Inc.
(a)......................... 3,327 191,901
Waters Corp. (a).............. 1,346 106,428
------------
878,094
------------
MACHINERY -- 2.3%
AGCO Corp. (a)................ 200 13,596
Caterpillar, Inc.............. 5,197 377,094
CLARCOR, Inc.................. 416 15,795
Crane Co...................... 416 17,846
Cummins, Inc.................. 618 78,715
Danaher Corp.................. 1,884 165,302
Deere & Co.................... 4,038 376,018
Donaldson Co., Inc............ 377 17,485
Dover Corp.................... 1,486 68,490
Eaton Corp.................... 1,417 137,378
Federal Signal Corp........... 2,968 33,301
Harsco Corp................... 1,823 116,800
IDEX Corp..................... 2,420 87,435
Illinois Tool Works, Inc...... 3,770 201,846
Ingersoll-Rand Co., Ltd.
(Class A)................... 3,012 139,968
ITT Corp...................... 1,853 122,372
Joy Global, Inc............... 1,962 129,139
Lincoln Electric Holdings,
Inc......................... 313 22,279
Oshkosh Truck Corp............ 522 24,670
PACCAR, Inc................... 3,622 197,327
Pall Corp..................... 2,348 94,671
Parker-Hannifin Corp.......... 1,887 142,110
Pentair, Inc.................. 1,370 47,690
SPX Corp...................... 836 85,983
Terex Corp. (a)............... 818 53,636
The Manitowoc Co., Inc........ 1,032 50,393
The Timken Co................. 2,184 71,744
Watts Water Technologies,
Inc......................... 1,551 46,220
------------
2,935,303
------------
MEDIA -- 3.0%
Cablevision Systems Corp.
(Class A) (a)............... 2,317 56,766
CBS Corp...................... 5,690 155,052
Charter Communications, Inc.
(a)......................... 5,008 5,859
Citadel Broadcasting Corp..... 1,168 2,406
Clear Channel Communications,
Inc......................... 4,453 153,718
Comcast Corp. (Class A) (a)... 24,833 453,451
Discovery Holding Co. (Class
A) (a)...................... 2,314 58,174
EchoStar Communications Corp.
(Class A) (a)............... 2,608 98,374
EW Scripps Co................. 626 28,176
Gannett Co., Inc.............. 1,786 69,654
Getty Images, Inc. (a)........ 653 18,937
Idearc, Inc................... 1,018 17,876
Journal Communications, Inc... 3,036 27,142
Knology, Inc. (a)............. 2,086 26,659
Lamar Advertising Co.......... 1,046 50,281
Liberty Global, Inc. (Class A)
(a)......................... 3,468 135,911
Liberty Media Corp. -- Capital
(Series A) (a).............. 1,065 124,062
Live Nation, Inc. (a)......... 580 8,422
Lodgenet Entertainment Corp.
(a)......................... 145 2,529
McClatchy Co. (Class A)....... 200 2,504
News Corp. (Class A).......... 18,388 376,770
Omnicom Group, Inc............ 3,067 145,775
R.H. Donnelley Corp. (a)...... 338 12,330
Sirius Satellite Radio, Inc.
(a)......................... 11,638 35,263
The DIRECTV Group, Inc. (a)... 8,394 194,069
The Interpublic Group of Cos.,
Inc. (a).................... 4,853 39,358
The McGraw-Hill Cos., Inc..... 3,206 140,455
The New York Times Co. (Class
A).......................... 967 16,952
The Walt Disney Co............ 15,216 491,172
Time Warner, Inc.............. 33,897 559,639
Viacom, Inc. (a).............. 5,690 249,905
Virgin Media, Inc............. 2,561 43,896
XM Satellite Radio Holdings,
Inc. (Class A) (a).......... 2,210 27,050
------------
3,828,587
------------
METALS & MINING -- 1.2%
AK Steel Holding Corp. (a).... 772 35,697
Alcoa, Inc.................... 7,091 259,176
Allegheny Technologies, Inc... 829 71,626
Cleveland-Cliffs, Inc......... 181 18,245
Commercial Metals Co.......... 200 5,890
Esmark, Inc. (a).............. 8 111
Freeport-McMoRan Copper &
Gold, Inc................... 3,596 368,374
Metalline Mining, Inc. (a).... 6,365 15,149
Newmont Mining Corp........... 4,813 235,019
Nucor Corp.................... 2,845 168,481
Quanex Corp................... 313 16,245
Southern Copper Corp.......... 626 65,811
Steel Dynamics, Inc........... 726 43,248
Titanium Metals Corp.......... 1,147 30,338
United States Steel Corp...... 1,394 168,549
Worthington Industries, Inc... 522 9,333
------------
1,511,292
------------
MULTI-UTILITIES -- 1.0%
Ameren Corp................... 1,669 90,476
CMS Energy Corp............... 3,292 57,215
Consolidated Edison, Inc...... 2,126 103,855
Dominion Resources, Inc....... 4,960 235,352
</Table>
See accompanying notes to financial statements.
7
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DTE Energy Co................. 835 $ 36,707
Energy East Corp.............. 2,699 73,440
NiSource, Inc................. 1,044 19,721
PG&E Corp..................... 3,594 154,865
PNM Resources, Inc............ 416 8,923
Public Service Enterprise
Group, Inc.................. 1,808 177,618
Puget Energy, Inc............. 900 24,687
Sempra Energy................. 1,932 119,552
TECO Energy, Inc.............. 3,813 65,622
Wisconsin Energy Corp......... 835 40,673
Xcel Energy, Inc.............. 5,029 113,505
------------
1,322,211
------------
MULTILINE RETAIL -- 0.8%
Big Lots, Inc. (a)............ 2,813 44,980
Dillard's, Inc. (Class A)..... 522 9,803
Dollar Tree Stores, Inc. (a).. 1,851 47,978
Family Dollar Stores, Inc..... 2,003 38,518
J. C. Penney Co., Inc......... 2,242 98,626
Kohl's Corp. (a).............. 2,533 116,011
Macy's, Inc................... 4,706 121,744
Nordstrom, Inc................ 2,250 82,642
Sears Holdings Corp. (a)...... 751 76,640
Target Corp................... 6,368 318,400
------------
955,342
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp.................... 8,637 139,833
Zebra Technologies Corp.
(Class A) (a)............... 1,055 36,608
------------
176,441
------------
OIL, GAS & CONSUMABLE FUELS -- 9.6%
Abraxas Petroleum Corp. (a)... 3,129 12,078
Anadarko Petroleum Corp....... 3,994 262,366
Apache Corp................... 2,576 277,023
Arch Coal, Inc................ 1,672 75,123
ATP Oil & Gas Corp. (a)....... 175 8,845
Blue Dolphin Energy Co. (a)... 8,242 12,775
Cano Petroleum, Inc. (a)...... 3,129 21,559
Cheniere Energy, Inc. (a)..... 500 16,320
Chesapeake Energy Corp........ 3,546 139,003
Chevron Corp.................. 16,632 1,552,265
ConocoPhillips................ 11,758 1,038,231
CONSOL Energy, Inc............ 2,239 160,133
Cross Timbers Royalty Trust... 1,308 53,955
Crosstex Energy LP............ 1,217 37,751
Denbury Resources, Inc. (a)... 5,394 160,472
Devon Energy Corp............. 4,008 356,351
Dune Energy, Inc. (a)......... 2,399 4,918
El Paso Corp.................. 6,750 116,370
Encore Aquisition Co. (a)..... 313 10,445
Energy Transfer Partners LP... 455 24,515
Enterprise Products Partners
LP.......................... 2,759 87,957
EOG Resources, Inc............ 2,132 190,281
Exxon Mobil Corp.............. 44,058 4,127,794
Forest Oil Corp. (a).......... 416 21,149
Frontier Oil Corp............. 200 8,116
Gasco Energy, Inc. (a)........ 5,323 10,540
Hess Corp..................... 1,875 189,112
Holly Corp.................... 416 21,170
Houston Amern Energy Corp..... 4,280 13,054
Hugoton Royalty Trust......... 196 4,396
Kinder Morgan Energy Partners
LP.......................... 908 49,023
Marathon Oil Corp............. 6,197 377,149
Massey Energy Co.............. 1,197 42,793
Murphy Oil Corp............... 1,649 139,901
Newfield Exploration Co. (a).. 889 46,850
Noble Energy, Inc............. 1,768 140,591
Occidental Petroleum Corp..... 6,434 495,354
ONEOK Partners LP............. 386 23,643
Patriot Coal Corp. (a)........ 197 8,223
Peabody Energy Corp........... 1,978 121,924
Pioneer Natural Resources
Co.......................... 1,562 76,288
Plains All American Pipeline
LP.......................... 1,395 72,540
Plains Exploration &
Production Co. (a).......... 1,424 76,896
Range Resources Corp.......... 2,548 130,865
Southwestern Energy Co. (a)... 1,055 58,785
Spectra Energy Corp........... 3,902 100,750
St. Mary Land & Exploration
Co.......................... 1,807 69,768
Stone Energy Corp. (a)........ 14 657
Sunoco, Inc................... 1,488 107,791
Tesoro Corp................... 1,897 90,487
The Williams Cos., Inc........ 5,472 195,788
Transmeridian Exploration,
Inc. (a).................... 4,697 9,347
Ultra Petroleum Corp. (a)..... 1,122 80,223
Valero Energy Corp............ 5,306 371,579
XTO Energy, Inc............... 4,125 211,860
------------
12,113,142
------------
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co........ 4,215 136,482
MeadWestvaco Corp............. 2,751 86,106
Weyerhaeuser Co............... 1,915 141,212
------------
363,800
------------
PERSONAL PRODUCTS -- 0.2%
Avon Products, Inc............ 3,892 153,851
The Estee Lauder Cos., Inc.
(Class A)................... 1,568 68,380
------------
222,231
------------
PHARMACEUTICALS -- 5.1%
Abbott Laboratories........... 11,691 656,450
Allergan, Inc................. 2,445 157,067
Barr Pharmaceuticals, Inc.
(a)......................... 1,055 56,020
Bristol-Myers Squibb Co....... 14,907 395,334
Cortex Pharmaceuticals, Inc.
(a)......................... 1,879 939
Eli Lilly & Co................ 7,420 396,154
Emisphere Technologies, Inc.
(a)......................... 419 1,144
Endo Pharmaceuticals Holdings,
Inc. (a).................... 206 5,494
Forest Laboratories, Inc.
(a)......................... 3,303 120,394
Johnson & Johnson............. 21,737 1,449,858
King Pharmaceuticals, Inc.
(a)......................... 1,588 16,261
Merck & Co., Inc.............. 17,032 989,730
MGI Pharma, Inc. (a).......... 182 7,376
Middlebrook Pharmaceuticals,
Inc. (a).................... 5,320 6,384
Mylan Laboratories, Inc....... 3,177 44,669
Penwest Pharmaceuticals Co.
(a)......................... 278 1,626
Pfizer, Inc................... 56,571 1,285,859
Replidyne, Inc. (a)........... 1,251 3,878
Repros Therapeutics, Inc.
(a)......................... 1,878 17,503
Schering-Plough Corp.......... 11,760 313,286
Sciele Pharma, Inc. (a)....... 177 3,620
Sepracor, Inc. (a)............ 1,120 29,400
Spectrum Pharmaceuticals, Inc.
(a)......................... 1,880 5,114
</Table>
See accompanying notes to financial statements.
8
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Watson Pharmaceuticals, Inc.
(a)......................... 1,572 $ 42,664
Wyeth......................... 10,371 458,294
------------
6,464,518
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.8%
Agree Realty Corp............. 2,059 61,976
AMB Property Corp............. 626 36,032
American Financial Realty
Trust....................... 4,109 32,954
American Land Lease, Inc...... 1,807 35,833
Annaly Capital Management,
Inc......................... 2,739 49,795
Anthracite Capital, Inc....... 5,215 37,757
Apartment Investment &
Management Co. (Class A).... 400 13,892
Ashford Hospitality Trust,
Inc......................... 4,596 33,045
Avalonbay Communities, Inc.... 509 47,917
BioMed Realty Trust, Inc...... 827 19,162
Boston Properties, Inc........ 722 66,287
BRE Properties, Inc. (Class
A).......................... 500 20,265
CBL & Associates Properties,
Inc......................... 623 14,896
Corporate Office Properties
Trust....................... 1,708 53,802
Developers Diversified Realty
Corp........................ 1,058 40,511
Digital Realty Trust, Inc..... 400 15,348
Duke Realty Corp.............. 1,200 31,296
Equity Residential............ 2,691 98,141
Extra Space Storage, Inc...... 1,200 17,148
Friedman, Billings, Ramsey
Group, Inc.................. 3,455 10,849
General Growth Properties,
Inc......................... 2,829 116,498
Glimcher Realty Trust......... 2,471 35,311
GMH Communities Trust......... 3,474 19,176
HCP, Inc...................... 1,144 39,788
Home Properties, Inc.......... 200 8,970
Hospitality Properties Trust.. 704 22,683
Host Hotels & Resorts, Inc.... 5,735 97,724
Investors Real Estate Trust... 6,303 56,538
iStar Financial, Inc.......... 414 10,785
Kimco Realty Corp............. 1,035 37,674
Kite Realty Group Trust....... 300 4,581
LaSalle Hotel Properties...... 1,927 61,471
Lexington Realty Trust........ 1,100 15,994
Liberty Property Trust........ 164 4,725
National Retail Properties,
Inc......................... 4,180 97,728
Nationwide Health Properties,
Inc......................... 722 22,649
Pennsylvania Real Estate
Investment Trust............ 1,647 48,883
Plum Creek Timber Co., Inc.... 2,597 119,566
Post Properties, Inc.......... 313 10,993
ProLogis...................... 2,639 167,260
Public Storage................ 512 37,586
Ramco-Gershenson Properties
Trust....................... 2,346 50,134
Simon Property Group, Inc..... 1,916 166,424
Tanger Factory Outlet Centers,
Inc......................... 2,467 93,031
The Macerich Co............... 478 33,967
UDR, Inc...................... 300 5,955
Urstadt Biddle Properties
(Class A)................... 3,466 53,723
Ventas, Inc................... 1,042 47,150
Vornado Realty Trust.......... 512 45,030
Weingarten Realty Investors... 1,030 32,383
------------
2,301,286
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
CB Richard Ellis Group, Inc.
(Class A) (a)............... 3,201 68,982
Forestar Real Estate Group,
Inc......................... 443 10,450
Jones Lang LaSalle, Inc....... 209 14,872
The St. Joe Co................ 844 29,971
------------
124,275
------------
ROAD & RAIL -- 0.9%
Avis Budget Group, Inc. (a)... 1,238 16,094
Burlington Northern Santa Fe
Corp........................ 3,093 257,430
CSX Corp...................... 4,315 189,774
J.B. Hunt Transport Services,
Inc......................... 2,578 71,024
Kansas City Southern (a)...... 522 17,920
Landstar Systems, Inc......... 1,884 79,411
Norfolk Southern Corp......... 3,709 187,082
Union Pacific Corp............ 2,054 258,023
YRC Worldwide, Inc. (a)....... 895 15,296
------------
1,092,054
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.8%
Advanced Micro Devices, Inc.
(a)......................... 4,657 34,927
Altera Corp................... 2,733 52,802
Amkor Technology, Inc. (a).... 417 3,557
Anadigics, Inc. (a)........... 1,357 15,700
Analog Devices, Inc........... 3,147 99,760
Applied Materials, Inc........ 13,549 240,630
Atheros Communications, Inc.
(a)......................... 159 4,856
AXT, Inc. (a)................. 4,488 27,826
Broadcom Corp. (Class A) (a).. 4,043 105,684
Conexant Systems, Inc. (a).... 1,670 1,386
Cypress Semiconductor Corp.
(a)......................... 1,167 42,047
FEI Co. (a)................... 208 5,165
Ibis Technology Corp. (a)..... 2,712 1,166
Intel Corp.................... 47,220 1,258,885
International Rectifier Corp.
(a)......................... 965 32,781
Intersil Corp. (Class A)...... 2,541 62,204
KLA-Tencor Corp............... 1,821 87,699
Lam Research Corp. (a)........ 1,714 74,096
Linear Technology Corp........ 2,558 81,421
LSI Logic Corp. (a)........... 5,403 28,690
Marvell Technology Group, Ltd.
(a)......................... 3,823 53,446
MEMC Electronic Materials,
Inc. (a).................... 2,420 214,146
Microchip Technology, Inc..... 2,115 66,453
Micron Technology, Inc. (a)... 6,574 47,661
Microsemi Corp. (a)........... 522 11,557
MKS Instruments, Inc. (a)..... 171 3,273
National Semiconductor Corp... 3,417 77,361
Neomagic Corp. (a)............ 3,027 9,414
Novellus Systems, Inc. (a).... 1,955 53,899
NVIDIA Corp. (a).............. 5,433 184,831
OmniVision Technologies, Inc.
(a)......................... 220 3,443
ON Semiconductor Corp. (a).... 2,497 22,173
Rambus, Inc. (a).............. 1,031 21,589
Sigma Designs, Inc. (a)....... 313 17,278
Sirf Technology Holdings, Inc.
(a)......................... 400 10,052
Teradyne, Inc. (a)............ 3,092 31,971
Texas Instruments, Inc........ 12,712 424,581
Xilinx, Inc................... 2,541 55,572
------------
3,569,982
------------
</Table>
See accompanying notes to financial statements.
9
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SOFTWARE -- 4.0%
Activision, Inc. (a).......... 3,437 $ 102,079
Adobe Systems, Inc. (a)....... 5,717 244,287
Authentidate Holding Corp.
(a)......................... 4,382 2,585
Autodesk, Inc. (a)............ 2,232 111,064
BEA Systems, Inc. (a)......... 5,915 93,339
BMC Software, Inc. (a)........ 2,892 103,071
CA, Inc....................... 3,875 96,681
Cadence Design Systems, Inc.
(a)......................... 3,975 67,615
Citrix Systems, Inc. (a)...... 2,489 94,607
Compuware Corp. (a)........... 4,798 42,606
Electronic Arts, Inc. (a)..... 2,491 145,499
Intuit, Inc. (a).............. 3,746 118,411
Jack Henry & Associates,
Inc......................... 626 15,237
McAfee, Inc. (a).............. 1,914 71,775
Microsoft Corp................ 69,084 2,459,390
Napster, Inc. (a)............. 311 613
NAVTEQ Corp. (a).............. 1,329 100,472
Novell, Inc. (a).............. 5,871 40,334
Oracle Corp. (a).............. 34,095 769,865
Parametric Technology Corp.
(a)......................... 2,683 47,892
Red Hat, Inc. (a)............. 2,886 60,144
Salesforce.com, Inc. (a)...... 800 50,152
Smith Micro Software, Inc.
(a)......................... 1,148 9,724
Symantec Corp. (a)............ 10,620 171,407
Synopsys, Inc. (a)............ 2,840 73,641
Versant Corp. (a)............. 1,461 42,501
------------
5,134,991
------------
SPECIALTY RETAIL -- 1.8%
Abercrombie & Fitch Co........ 913 73,013
Advance Auto Parts, Inc....... 1,296 49,235
American Eagle Outfitters,
Inc......................... 2,279 47,335
AutoNation, Inc. (a).......... 2,734 42,814
AutoZone, Inc. (a)............ 642 76,982
Bed Bath & Beyond, Inc. (a)... 2,699 79,324
Best Buy Co., Inc............. 3,398 178,905
Borders Group, Inc............ 522 5,559
Chico's FAS, Inc. (a)......... 1,785 16,118
Circuit City Stores, Inc...... 2,655 11,151
Dick's Sporting Goods, Inc.
(a)......................... 400 11,104
Foot Locker, Inc.............. 1,862 25,435
GameStop Corp. (Class A) (a).. 1,181 73,352
Genesco, Inc. (a)............. 201 7,598
Limited Brands, Inc........... 3,163 59,876
Lowe's Cos., Inc.............. 10,859 245,630
Mens Wearhouse, Inc........... 416 11,224
O'Reilly Automotive, Inc.
(a)......................... 1,803 58,471
Office Depot, Inc. (a)........ 3,203 44,554
PetSmart, Inc................. 1,883 44,307
RadioShack Corp............... 1,841 31,039
Rent-A-Center, Inc. (a)....... 626 9,089
Ross Stores, Inc.............. 1,812 46,333
Staples, Inc.................. 6,646 153,323
The Gap, Inc.................. 5,157 109,741
The Home Depot, Inc........... 16,585 446,800
The Sherwin-Williams Co....... 416 24,145
The TJX Cos., Inc............. 3,607 103,629
Tiffany & Co.................. 1,711 78,757
Urban Outfitters, Inc. (a).... 1,611 43,916
Williams-Sonoma, Inc.......... 1,253 32,453
Zale Corp. (a)................ 416 6,681
------------
2,247,893
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Coach, Inc. (a)............... 3,513 107,427
CROCS, Inc. (a)............... 742 27,313
Hanesbrands, Inc. (a)......... 868 23,584
Iconix Brand Group, Inc. (a).. 372 7,313
Jones Apparel Group, Inc...... 1,921 30,717
Liz Claiborne, Inc............ 1,611 32,784
NIKE, Inc. (Class B).......... 2,988 191,949
Quiksilver, Inc. (a).......... 2,781 23,861
V. F. Corp.................... 313 21,491
Wolverine World Wide, Inc..... 2,196 53,846
------------
520,285
------------
THRIFTS & MORTGAGE FINANCE -- 0.8%
Astoria Financial Corp........ 731 17,010
Berkshire Hills Bancorp,
Inc......................... 1,397 36,322
Countrywide Financial Corp.... 4,550 40,677
Fannie Mae.................... 7,410 296,252
Freddie Mac................... 5,213 177,607
Hudson City Bancorp, Inc...... 1,774 26,645
KNBT Bancorp, Inc............. 1,942 29,946
MGIC Investment Corp.......... 1,116 25,032
NewAlliance Bancshares, Inc... 4,806 55,365
OceanFirst Financial Corp..... 2,627 41,533
People's United Financial,
Inc......................... 4,068 72,410
Radian Group, Inc............. 1,314 15,348
Sovereign Bancorp, Inc........ 3,588 40,903
TrustCo Bank Corp. NY......... 5,287 52,447
Washington Mutual, Inc........ 7,109 96,754
------------
1,024,251
------------
TOBACCO -- 1.2%
Altria Group, Inc............. 16,416 1,240,721
Loews Corp.-Carolina Group.... 313 26,699
Reynolds American, Inc........ 1,683 111,011
UST, Inc...................... 1,721 94,311
------------
1,472,742
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.2%
Fastenal Co................... 1,966 79,466
Kaman Corp. (Class A)......... 2,460 90,552
W.W. Grainger, Inc............ 313 27,394
------------
197,412
------------
TRANSPORTATION INFRASTRUCTURE -- 0.0% (C)
Macquarie Infrastructure Co.
LLC......................... 233 9,443
------------
WATER UTILITIES -- 0.1%
Aqua America, Inc............. 939 19,907
Middlesex Water Co............ 3,233 61,265
------------
81,172
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.6%
American Tower Corp. (Class A)
(a)......................... 3,588 152,849
Crown Castle International
Corp. (a)................... 2,846 118,394
FiberTower Corp. (a).......... 2,398 5,468
Goamerica, Inc. (a)........... 1,772 9,746
Leap Wireless International,
Inc. (a).................... 313 14,598
MetroPCS Communications, Inc.
(a)......................... 1,300 25,285
NII Holdings, Inc. (a)........ 1,476 71,320
</Table>
See accompanying notes to financial statements.
10
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Rural Cellular Corp. (Class A)
(a)......................... 193 $ 8,509
SBA Communications Corp. (a).. 1,183 40,033
Sprint Nextel Corp............ 20,600 270,478
Telephone & Data Systems,
Inc......................... 1,337 83,696
------------
800,376
------------
TOTAL COMMON STOCKS -- (Cost
$104,381,707)............... 125,955,029
------------
SHORT TERM INVESTMENTS -- 1.0%
MONEY MARKET FUND -- 1.0%
STIC Prime Portfolio
(Cost $1,215,555)........... 1,215,555 1,215,555
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $105,597,262)......... 127,170,584
------------
OTHER ASSETS AND
LIABILITIES -- (0.3)%....... (380,881)
------------
NET ASSETS -- 100.0%.......... $126,789,703
============
</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, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.5%
Alliant Techsystems, Inc. (a)... 26 $ 2,958
Boeing Co....................... 496 43,380
General Dynamics Corp........... 244 21,714
Goodrich Corp................... 94 6,637
Honeywell International, Inc.... 495 30,477
L-3 Communications Holdings,
Inc........................... 92 9,746
Lockheed Martin Corp............ 238 25,052
Northrop Grumman Corp........... 231 18,166
Precision Castparts Corp........ 101 14,009
Raytheon Co..................... 310 18,817
Rockwell Collins, Inc........... 121 8,708
Spirit Aerosystems Holdings,
Inc. (a)...................... 70 2,415
United Technologies Corp........ 663 50,746
-----------
252,825
-----------
AIR FREIGHT & LOGISTICS -- 0.7%
C.H. Robinson Worldwide, Inc.... 126 6,819
Expeditors International
Washington, Inc............... 148 6,613
FedEx Corp...................... 207 18,458
United Parcel Service, Inc.
(Class B)..................... 494 34,936
-----------
66,826
-----------
AIRLINES -- 0.2%
AMR Corp. (a)................... 156 2,189
Delta Air Lines, Inc. (a)....... 150 2,234
Northwest Airlines Corp. (a).... 140 2,031
Southwest Airlines Co........... 554 6,759
UAL Corp. (a)................... 90 3,209
-----------
16,422
-----------
AUTO COMPONENTS -- 0.3%
BorgWarner, Inc................. 78 3,776
Johnson Controls, Inc........... 429 15,461
The Goodyear Tire & Rubber Co.
(a)........................... 153 4,317
WABCO Holdings, Inc............. 41 2,054
-----------
25,608
-----------
AUTOMOBILES -- 0.3%
Ford Motor Co. (a).............. 1,472 9,907
General Motors Corp............. 343 8,537
Harley-Davidson, Inc............ 169 7,894
-----------
26,338
-----------
BEVERAGES -- 2.3%
Anheuser-Busch Cos., Inc........ 524 27,426
Brown-Forman Corp............... 42 3,113
Coca-Cola Enterprises, Inc...... 213 5,544
Constellation Brands, Inc.
(Class A) (a)................. 133 3,144
Hansen Natural Corp. (a)........ 45 1,993
Molson Coors Brewing Co......... 105 5,420
PepsiCo, Inc.................... 1,154 87,589
The Coca-Cola Co................ 1,520 93,282
The Pepsi Bottling Group, Inc... 86 3,394
-----------
230,905
-----------
BIOTECHNOLOGY -- 1.4%
Abraxis Bioscience, Inc. (a).... 3 206
Amgen, Inc. (a)................. 785 36,455
Amylin Pharmaceuticals, Inc.
(a)........................... 100 3,700
Biogen Idec, Inc. (a)........... 202 11,498
Celgene Corp. (a)............... 277 12,800
Cephalon, Inc. (a).............. 53 3,803
Genentech, Inc. (a)............. 336 22,536
Genzyme Corp. (a)............... 194 14,441
Gilead Sciences, Inc. (a)....... 673 30,965
Millennium Pharmaceuticals, Inc.
(a)........................... 212 3,176
Vertex Pharmaceuticals, Inc.
(a)........................... 107 2,486
-----------
142,066
-----------
BUILDING PRODUCTS -- 0.1%
Masco Corp...................... 272 5,878
Trane, Inc...................... 123 5,745
USG Corp. (a)................... 53 1,897
-----------
13,520
-----------
CAPITAL MARKETS -- 3.2%
AllianceBernstein Holding LP.... 19 1,430
Ameriprise Financial, Inc....... 168 9,259
BlackRock, Inc.................. 14 3,035
E*TRADE Financial Corp. (a)..... 292 1,037
Eaton Vance Corp................ 95 4,314
Federated Investors, Inc........ 67 2,758
Fortress Investment Group LLC
(Class A)..................... 28 436
Franklin Resources, Inc......... 122 13,961
GLG Partners, Inc. (a).......... 172 2,339
Invesco, Ltd.................... 293 9,194
Janus Capital Group, Inc........ 125 4,106
Legg Mason, Inc................. 96 7,022
Lehman Brothers Holdings, Inc... 385 25,194
Merrill Lynch & Co., Inc........ 583 31,295
Morgan Stanley.................. 689 36,593
Northern Trust Corp............. 141 10,798
Och-Ziff Capital Management
Group LLC..................... 43 1,130
SEI Investments Co.............. 98 3,153
State Street Corp. (b).......... 275 22,330
T. Rowe Price Group, Inc........ 190 11,567
TD Ameritrade Holding Corp.
(a)........................... 174 3,490
The Bank of New York Mellon
Corp.......................... 827 40,325
The Bear Stearns Cos., Inc...... 78 6,884
The Blackstone Group LP......... 94 2,080
The Charles Schwab Corp......... 668 17,067
The Goldman Sachs Group, Inc.... 258 55,483
-----------
326,280
-----------
CHEMICALS -- 1.8%
Air Products & Chemicals, Inc... 147 14,499
Ashland, Inc.................... 40 1,897
Celanese Corp................... 108 4,570
E. I. du Pont de Nemours & Co... 642 28,306
Eastman Chemical Co............. 60 3,665
Ecolab, Inc..................... 127 6,504
Huntsman Corp................... 63 1,619
International Flavors &
Fragrances, Inc............... 59 2,840
Lubrizol Corp................... 45 2,437
Monsanto Co..................... 389 43,447
PPG Industries, Inc............. 117 8,217
Praxair, Inc.................... 232 20,581
Rohm & Haas Co.................. 105 5,572
Sigma-Aldrich Corp.............. 88 4,805
</Table>
See accompanying notes to financial statements.
12
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Dow Chemical Co............. 674 $ 26,569
The Mosaic Co. (a).............. 105 9,906
-----------
185,434
-----------
COMMERCIAL BANKS -- 2.8%
Associated Bancorp.............. 79 2,140
BB&T Corp....................... 401 12,299
City National Corp.............. 31 1,846
Comerica, Inc................... 111 4,832
Commerce Bancorp, Inc........... 139 5,301
Commerce Bancshares, Inc........ 58 2,602
Fifth Third Bancorp............. 359 9,022
First Horizon National Corp..... 82 1,488
Huntington Bancshares, Inc...... 242 3,572
Keycorp......................... 282 6,613
M&T Bank Corp................... 57 4,649
Marshall & Ilsley Corp.......... 172 4,555
National City Corp.............. 425 6,995
PNC Financial Services Group,
Inc........................... 246 16,150
Popular, Inc.................... 167 1,770
Regions Financial Corp.......... 514 12,156
SunTrust Banks, Inc............. 248 15,497
Synovus Financial Corp.......... 201 4,840
TCF Financial Corp.............. 89 1,596
The Colonial BancGroup, Inc..... 103 1,395
U.S. Bancorp.................... 1,240 39,358
UnionBanCal Corp................ 39 1,907
Valley National Bancorp......... 86 1,639
Wachovia Corp................... 1,418 53,927
Wells Fargo & Co................ 2,280 68,833
Zions Bancorp................... 72 3,362
-----------
288,344
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.6%
Allied Waste Industries, Inc.
(a)........................... 199 2,193
Avery Dennison Corp............. 64 3,401
ChoicePoint, Inc. (a)........... 58 2,112
Cintas Corp..................... 101 3,396
Dun & Bradstreet Corp........... 43 3,811
Equifax, Inc.................... 107 3,891
Manpower, Inc................... 65 3,698
Monster Worldwide, Inc. (a)..... 77 2,495
Pitney Bowes, Inc............... 156 5,934
R.R. Donnelley & Sons Co........ 150 5,661
Republic Services, Inc.......... 124 3,887
Robert Half International,
Inc........................... 121 3,272
Stericycle, Inc. (a)............ 57 3,386
Waste Management, Inc........... 378 12,349
-----------
59,486
-----------
COMMUNICATIONS EQUIPMENT -- 2.4%
Cisco Systems, Inc. (a)......... 4,347 117,673
Corning, Inc.................... 1,138 27,301
Harris Corp..................... 93 5,829
JDS Uniphase Corp. (a).......... 132 1,756
Juniper Networks, Inc. (a)...... 372 12,350
Motorola, Inc................... 1,687 27,059
QUALCOMM, Inc................... 1,173 46,158
Tellabs, Inc. (a)............... 297 1,942
-----------
240,068
-----------
COMPUTERS & PERIPHERALS -- 4.3%
Apple, Inc. (a)................. 630 124,790
Dell, Inc. (a).................. 1,410 34,559
Diebold, Inc.................... 46 1,333
EMC Corp. (a)................... 1,499 27,776
Hewlett-Packard Co.............. 1,853 93,539
International Business Machines
Corp.......................... 975 105,398
Lexmark International, Inc.
(a)........................... 73 2,545
NCR Corp. (a)................... 128 3,213
Network Appliance, Inc. (a)..... 251 6,265
SanDisk Corp. (a)............... 165 5,473
Seagate Technology.............. 383 9,767
Sun Microsystems, Inc. (a)...... 630 11,422
Teradata Corp. (a).............. 128 3,508
Western Digital Corp. (a)....... 151 4,562
-----------
434,150
-----------
CONSTRUCTION & ENGINEERING -- 0.3%
Fluor Corp...................... 63 9,181
Foster Wheeler, Ltd. (a)........ 51 7,906
Jacobs Engineering Group, Inc.
(a)........................... 87 8,318
KBR, Inc. (a)................... 114 4,423
-----------
29,828
-----------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials,
Inc........................... 31 4,111
Vulcan Materials Co............. 69 5,457
-----------
9,568
-----------
CONSUMER FINANCE -- 0.6%
American Express Co............. 742 38,599
Capital One Financial Corp...... 300 14,178
Discover Financial Services..... 340 5,127
SLM Corp........................ 287 5,780
The First Marblehead Corp....... 43 658
The Student Loan Corp........... 3 330
-----------
64,672
-----------
CONTAINERS & PACKAGING -- 0.2%
Ball Corp....................... 75 3,375
Bemis Co., Inc.................. 76 2,081
Crown Holdings, Inc. (a)........ 113 2,898
Owens-Illinois, Inc. (a)........ 105 5,197
Pactiv Corp. (a)................ 93 2,477
Sealed Air Corp................. 114 2,638
Sonoco Products Co.............. 69 2,255
Temple-Inland, Inc.............. 74 1,543
-----------
22,464
-----------
DISTRIBUTORS -- 0.1%
Genuine Parts Co................ 117 5,417
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
Apollo Group, Inc. (a).......... 96 6,734
H&R Block, Inc.................. 213 3,956
ITT Educational Services, Inc.
(a)........................... 26 2,217
Weight Watchers International,
Inc........................... 30 1,355
-----------
14,262
-----------
DIVERSIFIED FINANCIAL SERVICES -- 4.1%
Bank of America Corp............ 3,212 132,527
CIT Group, Inc.................. 137 3,292
Citigroup, Inc.................. 3,550 104,512
CME Group, Inc.................. 39 26,754
</Table>
See accompanying notes to financial statements.
13
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Guaranty Financial Group, Inc.
(a)........................... 24 $ 384
IntercontinentalExchange, Inc.
(a)........................... 49 9,433
JPMorgan Chase & Co............. 2,416 105,458
Leucadia National Corp.......... 112 5,275
Moody's Corp.................... 168 5,998
Nymex Holdings, Inc............. 44 5,879
NYSE Euronext................... 138 12,112
-----------
411,624
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.0%
AT&T, Inc....................... 4,388 182,365
CenturyTel, Inc................. 83 3,441
Citizens Communications Co...... 224 2,852
Embarq Corp..................... 111 5,498
Level 3 Communications, Inc.
(a)........................... 1,161 3,529
Qwest Communications
International, Inc. (a)....... 1,072 7,515
Verizon Communications, Inc..... 2,070 90,438
Windstream Corp................. 326 4,245
-----------
299,883
-----------
ELECTRIC UTILITIES -- 2.0%
Allegheny Energy, Inc........... 125 7,951
American Electric Power Co.,
Inc........................... 285 13,270
DPL, Inc........................ 79 2,342
Duke Energy Corp................ 905 18,254
Edison International............ 216 11,528
Entergy Corp.................... 140 16,733
Exelon Corp..................... 481 39,269
FirstEnergy Corp................ 218 15,770
FPL Group, Inc.................. 268 18,165
Northeast Utilities............. 107 3,350
Pepco Holdings, Inc............. 127 3,725
Pinnacle West Capital Corp...... 64 2,714
PPL Corp........................ 263 13,700
Progress Energy, Inc............ 193 9,347
Reliant Energy, Inc. (a)........ 237 6,219
The Southern Co................. 544 21,080
-----------
203,417
-----------
ELECTRICAL EQUIPMENT -- 0.6%
AMETEK, Inc..................... 71 3,326
Cooper Industries, Ltd.......... 151 7,985
Emerson Electric Co............. 568 32,183
First Solar, Inc. (a)........... 26 6,946
Hubbell, Inc. (Class B)......... 39 2,012
Rockwell Automation, Inc........ 92 6,344
Roper Industries, Inc........... 60 3,752
Sunpower Corp. (Class A) (a).... 27 3,521
-----------
66,069
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.4%
Agilent Technologies, Inc. (a).. 286 10,508
Amphenol Corp. (Class A)........ 124 5,750
Arrow Electronics, Inc. (a)..... 90 3,535
Avnet, Inc. (a)................. 102 3,567
Ingram Micro, Inc. (Class A)
(a)........................... 99 1,786
Jabil Circuit, Inc.............. 125 1,909
Molex, Inc...................... 91 2,484
Trimble Navigation, Ltd. (a).... 77 2,329
Tyco Electronics, Ltd........... 357 13,255
-----------
45,123
-----------
ENERGY EQUIPMENT & SERVICES -- 2.6%
Baker Hughes, Inc............... 232 18,815
BJ Services Co.................. 213 5,167
Cameron International Corp.
(a)........................... 156 7,508
Diamond Offshore Drilling,
Inc........................... 48 6,816
ENSCO International, Inc........ 106 6,320
FMC Technologies, Inc. (a)...... 96 5,443
Grant Prideco, Inc. (a)......... 91 5,051
Halliburton Co.................. 645 24,452
Nabors Industries, Ltd. (a)..... 209 5,725
National-Oilwell Varco, Inc.
(a)........................... 256 18,806
Noble Corp...................... 192 10,850
Patterson-UTI Energy, Inc....... 109 2,128
Pride International, Inc. (a)... 120 4,068
Rowan Cos., Inc................. 74 2,920
Schlumberger, Ltd............... 851 83,713
Smith International, Inc........ 146 10,782
Transocean, Inc................. 221 31,636
Weatherford International, Ltd.
(a)........................... 243 16,670
-----------
266,870
-----------
FOOD & STAPLES RETAILING -- 2.2%
Costco Wholesale Corp........... 313 21,835
CVS Caremark Corp............... 1,070 42,532
Safeway, Inc.................... 319 10,913
SUPERVALU, Inc.................. 148 5,553
Sysco Corp...................... 434 13,545
The Kroger Co................... 468 12,500
Wal-Mart Stores, Inc............ 1,818 86,410
Walgreen Co..................... 707 26,923
Whole Foods Market, Inc......... 98 3,998
-----------
224,209
-----------
FOOD PRODUCTS -- 1.5%
Archer-Daniels-Midland Co....... 424 19,686
Bunge, Ltd...................... 85 9,895
Campbell Soup Co................ 169 6,038
ConAgra Foods, Inc.............. 371 8,826
Dean Foods Co................... 86 2,224
General Mills, Inc.............. 233 13,281
H.J. Heinz Co................... 220 10,270
Hormel Foods Corp............... 51 2,065
Kellogg Co...................... 180 9,437
Kraft Foods, Inc................ 1,107 36,121
McCormick & Co., Inc............ 92 3,488
Sara Lee Corp................... 538 8,640
Smithfield Foods, Inc. (a)...... 77 2,227
The Hershey Co.................. 120 4,728
Tyson Foods, Inc. (Class A)..... 193 2,959
Wm. Wrigley Jr., Co............. 159 9,309
-----------
149,194
-----------
GAS UTILITIES -- 0.1%
Equitable Resources, Inc........ 79 4,209
ONEOK, Inc...................... 73 3,268
Questar Corp.................... 124 6,709
-----------
14,186
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8%
Baxter International, Inc....... 464 26,935
Beckman Coulter, Inc............ 42 3,058
Becton, Dickinson & Co.......... 162 13,540
</Table>
See accompanying notes to financial statements.
14
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Boston Scientific Corp. (a)..... 994 $ 11,560
C.R. Bard, Inc.................. 72 6,826
Covidien, Ltd................... 357 15,811
Dentsply International, Inc..... 97 4,367
Hillenbrand Industries, Inc..... 35 1,951
Hospira, Inc. (a)............... 114 4,861
Intuitive Surgical, Inc. (a).... 26 8,437
Kinetic Concepts, Inc. (a)...... 32 1,714
Medtronic, Inc.................. 823 41,372
St. Jude Medical, Inc. (a)...... 252 10,241
Stryker Corp.................... 222 16,588
Varian Medical Systems, Inc.
(a)........................... 96 5,007
Zimmer Holdings, Inc. (a)....... 167 11,047
-----------
183,315
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.3%
Aetna, Inc...................... 356 20,552
AmerisourceBergen Corp.......... 115 5,160
Brookdale Senior Living, Inc.... 36 1,023
Cardinal Health, Inc............ 264 15,246
CIGNA Corp...................... 202 10,853
Community Health Systems, Inc.
(a)........................... 62 2,285
Coventry Health Care, Inc. (a).. 108 6,399
DaVita, Inc. (a)................ 70 3,945
Express Scripts, Inc. (Class A)
(a)........................... 156 11,388
Health Net, Inc. (a)............ 74 3,574
Henry Schein, Inc. (a).......... 59 3,623
Humana, Inc. (a)................ 116 8,736
Laboratory Corp. of America
Holdings (a).................. 80 6,042
Lincare Holdings, Inc. (a)...... 68 2,391
McKesson Corp................... 211 13,823
Medco Health Solutions, Inc.
(a)........................... 193 19,570
Omnicare, Inc................... 84 1,916
Patterson Cos., Inc. (a)........ 84 2,852
Quest Diagnostics, Inc.......... 107 5,660
UnitedHealth Group, Inc......... 927 53,951
Universal Health Services, Inc.
(Class B)..................... 41 2,099
WellPoint, Inc. (a)............. 409 35,882
-----------
236,970
-----------
HEALTH CARE TECHNOLOGY -- 0.1%
Cerner Corp. (a)................ 43 2,425
IMS Health, Inc................. 153 3,525
-----------
5,950
-----------
HOTELS, RESTAURANTS & LEISURE -- 1.6%
Boyd Gaming Corp................ 35 1,192
Brinker International, Inc...... 88 1,721
Carnival Corp................... 304 13,525
Darden Restaurants, Inc......... 85 2,355
Harrah's Entertainment, Inc..... 135 11,981
International Game Technology... 222 9,753
Las Vegas Sands Corp. (a)....... 72 7,420
Marriott International, Inc.
(Class A)..................... 241 8,237
McDonald's Corp................. 859 50,604
MGM Mirage, Inc. (a)............ 84 7,058
Penn National Gaming, Inc. (a).. 54 3,216
Royal Caribbean Cruises, Ltd.... 102 4,329
Starbucks Corp. (a)............. 529 10,829
Starwood Hotels & Resorts
Worldwide, Inc................ 147 6,472
Wendy's International, Inc...... 61 1,576
Wyndham Worldwide Corp.......... 136 3,204
Wynn Resorts, Ltd............... 43 4,822
Yum! Brands, Inc................ 370 14,160
-----------
162,454
-----------
HOUSEHOLD DURABLES -- 0.5%
Black & Decker Corp............. 47 3,273
Centex Corp..................... 78 1,970
D.R. Horton, Inc................ 188 2,476
Fortune Brands, Inc............. 111 8,032
Garmin, Ltd..................... 90 8,730
Harman International Industries,
Inc........................... 46 3,391
Icahn Enterprises LP............ 11 1,427
KB HOME......................... 53 1,145
Leggett & Platt, Inc............ 130 2,267
Lennar Corp. (Class A).......... 94 1,682
Mohawk Industries, Inc. (a)..... 38 2,827
Newell Rubbermaid, Inc.......... 187 4,840
NVR, Inc. (a)................... 4 2,096
Pulte Homes, Inc................ 144 1,518
The Stanley Works............... 59 2,860
Toll Brothers, Inc. (a)......... 81 1,625
Whirlpool Corp.................. 54 4,408
-----------
54,567
-----------
HOUSEHOLD PRODUCTS -- 2.2%
Colgate-Palmolive Co............ 375 29,235
Energizer Holdings, Inc. (a).... 42 4,710
Kimberly-Clark Corp............. 307 21,287
Procter & Gamble Co............. 2,229 163,653
The Clorox Co................... 96 6,256
-----------
225,141
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.4%
Constellation Energy Group,
Inc........................... 132 13,534
Dynegy, Inc. (Class A) (a)...... 280 1,999
Mirant Corp. (a)................ 177 6,899
NRG Energy, Inc. (a)............ 172 7,455
The AES Corp. (a)............... 471 10,075
-----------
39,962
-----------
INDUSTRIAL CONGLOMERATES -- 3.4%
3M Co........................... 478 40,305
General Electric Co............. 7,275 269,684
McDermott International, Inc.
(a)........................... 169 9,976
Textron, Inc.................... 177 12,620
Tyco International, Ltd......... 357 14,155
-----------
346,740
-----------
INSURANCE -- 5.5%
ACE, Ltd........................ 235 14,518
AFLAC, Inc...................... 351 21,983
AMBAC Financial Group, Inc...... 76 1,958
American International Group,
Inc........................... 1,609 93,805
AON Corp........................ 195 9,300
Arch Capital Group, Ltd. (a).... 29 2,040
Arthur J. Gallagher & Co........ 60 1,451
Assurant, Inc................... 71 4,750
Axis Capital Holdings, Ltd...... 98 3,819
Berkshire Hathaway, Inc. (Class
A) (a)........................ 1 141,600
Brown & Brown, Inc.............. 77 1,809
Chubb Corp...................... 272 14,846
Cincinnati Financial Corp....... 105 4,152
</Table>
See accompanying notes to financial statements.
15
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CNA Financial Corp.............. 15 $ 506
Everest Re Group, Ltd........... 45 4,518
Fidelity National Financial,
Inc........................... 157 2,294
First American Corp............. 58 1,979
Genworth Financial, Inc. (Class
A)............................ 312 7,940
Hartford Financial Services
Group, Inc.................... 228 19,879
Lincoln National Corp........... 194 11,295
Loews Corp...................... 326 16,411
Markel Corp. (a)................ 6 2,947
Marsh & McLennan Cos., Inc...... 380 10,059
MBIA, Inc....................... 93 1,733
MetLife, Inc.................... 321 19,780
Nationwide Financial Services,
Inc. (Class A)................ 39 1,755
Old Republic International
Corp.......................... 146 2,250
PartnerRe, Ltd.................. 42 3,466
Principal Financial Group,
Inc........................... 190 13,080
Protective Life Corp............ 45 1,846
Prudential Financial, Inc....... 324 30,145
RenaissanceRe Holdings, Ltd..... 42 2,530
SAFECO Corp..................... 74 4,120
The Allstate Corp............... 418 21,832
The Progressive Corp............ 489 9,369
The Travelers Cos., Inc......... 469 25,232
Torchmark Corp.................. 73 4,419
Transatlantic Holdings, Inc..... 18 1,308
Unitrin, Inc.................... 30 1,440
Unum Group...................... 261 6,209
White Mountains Insurance Group,
Ltd........................... 6 3,084
WR Berkley Corp................. 107 3,190
XL Capital, Ltd. (Class A)...... 132 6,641
-----------
557,288
-----------
INTERNET & CATALOG RETAIL -- 0.4%
Amazon.com, Inc. (a)............ 218 20,196
Expedia, Inc. (a)............... 153 4,838
IAC / InterActiveCorp (a)....... 144 3,876
Liberty Media Holding
Corp. -- Interactive (Series
A) (a)....................... 459 8,758
-----------
37,668
-----------
INTERNET SOFTWARE & SERVICES -- 1.7%
Akamai Technologies, Inc. (a)... 118 4,083
eBay, Inc. (a).................. 837 27,780
Google, Inc. (Class A) (a)...... 162 112,020
VeriSign, Inc. (a).............. 153 5,754
Yahoo!, Inc. (a)................ 925 21,515
-----------
171,152
-----------
IT SERVICES -- 1.2%
Accenture, Ltd. (Class A)....... 406 14,628
Affiliated Computer Services,
Inc. (a)...................... 66 2,977
Alliance Data Systems Corp.
(a)........................... 53 3,975
Automatic Data Processing,
Inc........................... 385 17,144
Cognizant Technology Solutions
Corp. (a)..................... 207 7,026
Computer Sciences Corp. (a)..... 126 6,233
DST Systems, Inc. (a)........... 39 3,219
Electronic Data Systems Corp.... 362 7,504
Fidelity National Information
Services, Inc................. 136 5,656
Fiserv, Inc. (a)................ 118 6,548
Global Payments, Inc............ 63 2,931
Iron Mountain, Inc. (a)......... 126 4,665
Mastercard, Inc................. 50 10,760
Metavante Technologies, Inc.
(a)........................... 57 1,329
Paychex, Inc.................... 243 8,801
The Western Union Co............ 553 13,427
Total System Services, Inc...... 27 756
-----------
117,579
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.1%
Eastman Kodak Co................ 197 4,309
Hasbro, Inc..................... 104 2,660
Mattel, Inc..................... 283 5,388
-----------
12,357
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.4%
Applera Corp. -- Applied
Biosystems Group.............. 132 4,478
Charles River Laboratories
International, Inc. (a)....... 50 3,290
Covance, Inc. (a)............... 44 3,811
Invitrogen Corp. (a)............ 37 3,456
Millipore Corp. (a)............. 41 3,000
Pharmaceutical Product
Development, Inc.............. 72 2,907
Thermo Fisher Scientific, Inc.
(a)........................... 309 17,823
Waters Corp. (a)................ 71 5,614
-----------
44,379
-----------
MACHINERY -- 2.0%
Caterpillar, Inc................ 468 33,958
Cummins, Inc.................... 66 8,406
Danaher Corp.................... 171 15,004
Deere & Co...................... 314 29,240
Donaldson Co., Inc.............. 51 2,365
Dover Corp...................... 140 6,453
Eaton Corp...................... 108 10,471
Flowserve Corp.................. 42 4,040
Harsco Corp..................... 54 3,460
Illinois Tool Works, Inc........ 344 18,418
Ingersoll-Rand Co., Ltd. (Class
A)............................ 191 8,876
ITT Corp........................ 132 8,717
Joy Global, Inc................. 79 5,200
Oshkosh Truck Corp.............. 51 2,410
PACCAR, Inc..................... 271 14,764
Pall Corp....................... 87 3,508
Parker-Hannifin Corp............ 126 9,489
Pentair, Inc.................... 66 2,297
SPX Corp........................ 39 4,011
Terex Corp. (a)................. 75 4,918
The Manitowoc Co., Inc.......... 82 4,004
-----------
200,009
-----------
MEDIA -- 3.0%
Cablevision Systems Corp. (Class
A) (a)........................ 157 3,846
CBS Corp........................ 439 11,963
Clear Channel Communications,
Inc........................... 321 11,081
Clear Channel Outdoor Holdings,
Inc. (a)...................... 25 692
Comcast Corp. (Class A) (a)..... 2,088 38,127
Discovery Holding Co. (Class A)
(a)........................... 191 4,802
EchoStar Communications Corp.
(Class A) (a)................. 150 5,658
EW Scripps Co................... 57 2,566
Gannett Co., Inc................ 166 6,474
Idearc, Inc..................... 100 1,756
Lamar Advertising Co............ 52 2,500
</Table>
See accompanying notes to financial statements.
16
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Liberty Global, Inc. (Class A)
(a)........................... 260 $ 10,189
Liberty Media Corp. -- Capital
(Series A) (a)................ 95 11,067
News Corp. (Class A)............ 1,676 34,341
Omnicom Group, Inc.............. 244 11,597
R.H. Donnelley Corp. (a)........ 54 1,970
Sirius Satellite Radio, Inc.
(a)........................... 837 2,536
The DIRECTV Group, Inc. (a)..... 520 12,022
The Interpublic Group of Cos.,
Inc. (a)...................... 292 2,368
The McGraw-Hill Cos., Inc....... 231 10,120
The New York Times Co. (Class
A)............................ 102 1,788
The Walt Disney Co.............. 1,278 41,254
The Washington Post Co.......... 4 3,166
Time Warner Cable, Inc. (a)..... 109 3,008
Time Warner, Inc................ 2,687 44,362
Viacom, Inc. (a)................ 413 18,139
Virgin Media, Inc............... 223 3,822
XM Satellite Radio Holdings,
Inc. (Class A) (a)............ 220 2,693
-----------
303,907
-----------
METALS & MINING -- 1.0%
Alcoa, Inc...................... 604 22,076
Allegheny Technologies, Inc..... 71 6,134
Freeport-McMoRan Copper & Gold,
Inc........................... 275 28,171
Newmont Mining Corp............. 307 14,991
Nucor Corp...................... 184 10,896
Southern Copper Corp............ 55 5,782
Titanium Metals Corp............ 53 1,402
United States Steel Corp........ 82 9,915
-----------
99,367
-----------
MULTI-UTILITIES -- 1.2%
Alliant Energy Corp............. 81 3,296
Ameren Corp..................... 150 8,131
CenterPoint Energy, Inc......... 190 3,255
Consolidated Edison, Inc........ 202 9,868
Dominion Resources, Inc......... 416 19,739
DTE Energy Co................... 117 5,143
Energy East Corp................ 102 2,775
Integrys Energy Group, Inc...... 52 2,688
MDU Resources Group, Inc........ 107 2,954
NiSource, Inc................... 184 3,476
NSTAR........................... 75 2,717
PG&E Corp....................... 258 11,117
Public Service Enterprise Group,
Inc........................... 181 17,781
SCANA Corp...................... 71 2,993
Sempra Energy................... 168 10,396
TECO Energy, Inc................ 139 2,392
Wisconsin Energy Corp........... 81 3,946
Xcel Energy, Inc................ 314 7,087
-----------
119,754
-----------
MULTILINE RETAIL -- 0.7%
Dollar Tree Stores, Inc. (a).... 74 1,918
Family Dollar Stores, Inc....... 111 2,134
J. C. Penney Co., Inc........... 143 6,291
Kohl's Corp. (a)................ 209 9,572
Macy's, Inc..................... 324 8,382
Nordstrom, Inc.................. 152 5,583
Sears Holdings Corp. (a)........ 57 5,817
Target Corp..................... 537 26,850
-----------
66,547
-----------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp...................... 673 10,896
-----------
OIL, GAS & CONSUMABLE FUELS -- 10.0%
Anadarko Petroleum Corp......... 339 22,269
Apache Corp..................... 237 25,487
Arch Coal, Inc.................. 100 4,493
Chesapeake Energy Corp.......... 324 12,701
Chevron Corp.................... 1,522 142,048
CNX Gas Corp. (a)............... 17 543
ConocoPhillips.................. 1,064 93,951
CONSOL Energy, Inc.............. 132 9,441
Denbury Resources, Inc. (a)..... 174 5,176
Devon Energy Corp............... 305 27,118
El Paso Corp.................... 510 8,792
Enbridge Energy Partners LP..... 35 1,769
Energy Transfer Equity LP....... 88 3,100
Energy Transfer Partners LP..... 53 2,856
Enterprise Products Partners
LP............................ 211 6,727
EOG Resources, Inc.............. 177 15,797
Exxon Mobil Corp................ 3,934 368,576
Frontier Oil Corp............... 69 2,800
Hess Corp....................... 207 20,878
Kinder Morgan Energy Partners
LP............................ 108 5,831
Marathon Oil Corp............... 508 30,917
Murphy Oil Corp................. 131 11,114
Newfield Exploration Co. (a).... 88 4,638
Noble Energy, Inc............... 118 9,383
Occidental Petroleum Corp....... 602 46,348
ONEOK Partners LP............... 33 2,021
Patriot Coal Corp. (a).......... 17 710
Peabody Energy Corp............. 195 12,020
Pioneer Natural Resources Co.... 88 4,298
Plains All American Pipeline
LP............................ 76 3,952
Range Resources Corp............ 108 5,547
SandRidge Energy, Inc. (a)...... 21 753
Southwestern Energy Co. (a)..... 123 6,854
Spectra Energy Corp............. 454 11,722
Sunoco, Inc..................... 86 6,230
Teekay Corp..................... 25 1,330
Tesoro Corp..................... 96 4,579
The Williams Cos., Inc.......... 430 15,385
Ultra Petroleum Corp. (a)....... 106 7,579
Valero Energy Corp.............. 397 27,802
XTO Energy, Inc................. 339 17,398
-----------
1,010,933
-----------
PAPER & FOREST PRODUCTS -- 0.3%
Domtar Corp. (a)................ 331 2,545
International Paper Co.......... 318 10,297
MeadWestvaco Corp............... 125 3,913
Weyerhaeuser Co................. 156 11,503
-----------
28,258
-----------
PERSONAL PRODUCTS -- 0.1%
Avon Products, Inc.............. 311 12,294
The Estee Lauder Cos., Inc.
(Class A)..................... 69 3,009
-----------
15,303
-----------
</Table>
See accompanying notes to financial statements.
17
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PHARMACEUTICALS -- 5.8%
Abbott Laboratories............. 1,108 $ 62,214
Allergan, Inc................... 214 13,747
APP Pharmaceuticals, Inc. (a)... 15 154
Barr Pharmaceuticals, Inc. (a).. 78 4,142
Bristol-Myers Squibb Co......... 1,413 37,473
Eli Lilly & Co.................. 699 37,320
Endo Pharmaceuticals Holdings,
Inc. (a)...................... 90 2,400
Forest Laboratories, Inc. (a)... 223 8,128
Johnson & Johnson............... 2,058 137,269
King Pharmaceuticals, Inc. (a).. 167 1,710
Merck & Co., Inc................ 1,554 90,303
Mylan Laboratories, Inc......... 195 2,742
Pfizer, Inc..................... 4,911 111,627
Schering-Plough Corp............ 1,158 30,849
Sepracor, Inc. (a).............. 73 1,916
Warner Chilcott, Ltd. (a)....... 48 851
Wyeth........................... 964 42,599
-----------
585,444
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
AMB Property Corp............... 69 3,972
Annaly Capital Management,
Inc........................... 274 4,981
Apartment Investment &
Management Co. (Class A)...... 65 2,257
Avalonbay Communities, Inc...... 60 5,648
Boston Properties, Inc.......... 87 7,988
Camden Property Trust........... 39 1,878
CapitalSource, Inc.............. 86 1,513
Developers Diversified Realty
Corp.......................... 88 3,370
Duke Realty Corp................ 96 2,504
Equity Residential.............. 201 7,330
Federal Realty Investment
Trust......................... 42 3,450
General Growth Properties,
Inc........................... 166 6,836
HCP, Inc........................ 139 4,834
Hospitality Properties Trust.... 66 2,127
Host Hotels & Resorts, Inc...... 360 6,134
iStar Financial, Inc............ 88 2,292
Kimco Realty Corp............... 159 5,788
Liberty Property Trust.......... 58 1,671
Mack-Cali Realty Corp........... 41 1,394
Plum Creek Timber Co., Inc...... 122 5,617
ProLogis........................ 190 12,042
Public Storage.................. 93 6,827
Regency Centers Corp............ 48 3,096
Simon Property Group, Inc....... 162 14,071
SL Green Realty Corp............ 45 4,206
The Macerich Co................. 50 3,553
UDR, Inc........................ 87 1,727
Ventas, Inc..................... 92 4,163
Vornado Realty Trust............ 99 8,707
Weingarten Realty Investors..... 52 1,635
-----------
141,611
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp...... 142 2,734
CB Richard Ellis Group, Inc.
(Class A) (a)................. 131 2,823
Forest City Enterprises, Inc.... 48 2,133
Forestar Real Estate Group, Inc.
(a)........................... 24 566
-----------
8,256
-----------
ROAD & RAIL -- 0.7%
Burlington Northern Santa Fe
Corp.......................... 228 18,976
CSX Corp........................ 308 13,546
Hertz Global Holdings, Inc.
(a)........................... 94 1,494
J.B. Hunt Transport Services,
Inc........................... 52 1,433
Norfolk Southern Corp........... 274 13,820
Union Pacific Corp.............. 187 23,491
-----------
72,760
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6%
Advanced Micro Devices, Inc.
(a)........................... 406 3,045
Altera Corp..................... 261 5,042
Analog Devices, Inc............. 216 6,847
Applied Materials, Inc.......... 1,013 17,991
Broadcom Corp. (Class A) (a).... 340 8,888
Intel Corp...................... 4,154 110,746
International Rectifier Corp.
(a)........................... 44 1,495
Intersil Corp. (Class A)........ 99 2,423
KLA-Tencor Corp................. 132 6,357
Lam Research Corp. (a).......... 97 4,193
Linear Technology Corp.......... 159 5,061
LSI Logic Corp. (a)............. 535 2,841
Marvell Technology Group, Ltd.
(a)........................... 320 4,474
MEMC Electronic Materials, Inc.
(a)........................... 162 14,335
Microchip Technology, Inc....... 147 4,619
Micron Technology, Inc. (a)..... 544 3,944
National Semiconductor Corp..... 188 4,256
Novellus Systems, Inc. (a)...... 96 2,647
NVIDIA Corp. (a)................ 394 13,404
Teradyne, Inc. (a).............. 138 1,427
Texas Instruments, Inc.......... 1,000 33,400
Varian Semiconductor Equipment
Associates, Inc. (a).......... 48 1,776
Xilinx, Inc..................... 200 4,374
-----------
263,585
-----------
SOFTWARE -- 3.8%
Activision, Inc. (a)............ 207 6,148
Adobe Systems, Inc. (a)......... 424 18,117
Autodesk, Inc. (a).............. 168 8,360
BEA Systems, Inc. (a)........... 270 4,261
BMC Software, Inc. (a).......... 151 5,382
CA, Inc......................... 294 7,335
Cadence Design Systems, Inc.
(a)........................... 184 3,130
Citrix Systems, Inc. (a)........ 126 4,789
Electronic Arts, Inc. (a)....... 225 13,142
Intuit, Inc. (a)................ 215 6,796
McAfee, Inc. (a)................ 114 4,275
Microsoft Corp.................. 6,001 213,636
NAVTEQ Corp. (a)................ 65 4,914
Oracle Corp. (a)................ 2,827 63,834
Red Hat, Inc. (a)............... 126 2,626
Salesforce.com, Inc. (a)........ 66 4,137
Symantec Corp. (a).............. 609 9,829
Synopsys, Inc. (a).............. 94 2,437
VMware, Inc. (Class A) (a)...... 27 2,295
-----------
385,443
-----------
SPECIALTY RETAIL -- 1.6%
Abercrombie & Fitch Co.......... 60 4,798
Advance Auto Parts, Inc......... 80 3,039
</Table>
See accompanying notes to financial statements.
18
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
American Eagle Outfitters,
Inc........................... 135 $ 2,804
AutoNation, Inc. (a)............ 121 1,895
AutoZone, Inc. (a).............. 32 3,837
Bed Bath & Beyond, Inc. (a)..... 202 5,937
Best Buy Co., Inc............... 240 12,636
CarMax, Inc. (a)................ 146 2,884
Chico's FAS, Inc. (a)........... 123 1,111
GameStop Corp. (Class A) (a).... 106 6,584
Guess ?, Inc.................... 32 1,212
Limited Brands, Inc............. 235 4,449
Lowe's Cos., Inc................ 1,079 24,407
O'Reilly Automotive, Inc. (a)... 77 2,497
Office Depot, Inc. (a).......... 188 2,615
PetSmart, Inc................... 97 2,282
RadioShack Corp................. 93 1,568
Ross Stores, Inc................ 101 2,583
Staples, Inc.................... 512 11,812
The Gap, Inc.................... 433 9,214
The Home Depot, Inc............. 1,214 32,705
The Sherwin-Williams Co......... 81 4,701
The TJX Cos., Inc............... 326 9,366
Tiffany & Co.................... 102 4,695
Urban Outfitters, Inc. (a)...... 78 2,126
Williams-Sonoma, Inc............ 62 1,606
-----------
163,363
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.3%
Coach, Inc. (a)................. 257 7,859
CROCS, Inc. (a)................. 48 1,767
Liz Claiborne, Inc.............. 74 1,506
NIKE, Inc. (Class B)............ 261 16,767
Polo Ralph Lauren Corp.......... 42 2,595
V. F. Corp...................... 61 4,188
-----------
34,682
-----------
THRIFTS & MORTGAGE FINANCE -- 0.7%
Countrywide Financial Corp...... 413 3,692
Fannie Mae...................... 700 27,986
Freddie Mac..................... 481 16,388
Hudson City Bancorp, Inc........ 361 5,422
MGIC Investment Corp............ 65 1,458
New York Community Bancorp,
Inc........................... 185 3,252
People's United Financial,
Inc........................... 88 1,566
Sovereign Bancorp, Inc.......... 211 2,406
TFS Financial Corp. (a)......... 50 597
Washington Mutual, Inc.......... 618 8,411
-----------
71,178
-----------
TOBACCO -- 1.3%
Altria Group, Inc............... 1,499 113,294
Loews Corp.- Carolina Group..... 75 6,398
Reynolds American, Inc.......... 120 7,915
UST, Inc........................ 112 6,138
-----------
133,745
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co..................... 94 3,800
W.W. Grainger, Inc.............. 45 3,938
-----------
7,738
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.6%
American Tower Corp. (Class A)
(a)........................... 292 12,439
Clearwire Corp. (Class A) (a)... 37 507
Crown Castle International Corp.
(a)........................... 194 8,071
Leap Wireless International,
Inc. (a)...................... 34 1,586
MetroPCS Communications, Inc.
(a)........................... 130 2,529
NII Holdings, Inc. (a).......... 122 5,895
Sprint Nextel Corp.............. 2,031 26,667
Telephone & Data Systems, Inc... 72 4,507
US Cellular Corp. (a)........... 12 1,009
-----------
63,210
-----------
TOTAL COMMON STOCKS --
(Cost $10,036,027)............ 10,116,569
-----------
SHORT TERM INVESTMENTS -- 0.7%
MONEY MARKET FUND -- 0.7%
STIC Prime Portfolio
(Cost $71,763)................ 71,763 71,763
-----------
TOTAL INVESTMENTS -- 100.5%
(Cost $10,107,790)............ 10,188,332
-----------
OTHER ASSETS AND
LIABILITIES -- (0.5)%......... (48,371)
-----------
NET ASSETS -- 100.0%............ $10,139,961
===========
</Table>
(a) Non-income producing security
(b) Affiliated issuer. (Note 3)
See accompanying notes to financial statements.
19
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.9%
Alliant Techsystems, Inc. (a).. 1,510 $ 171,778
General Dynamics Corp. ........ 14,662 1,304,771
L-3 Communications Holdings,
Inc. ........................ 5,430 575,254
Lockheed Martin Corp. ......... 14,363 1,511,849
Precision Castparts Corp. ..... 6,038 837,471
Raytheon Co. .................. 18,851 1,144,256
Rockwell Collins, Inc. ........ 7,264 522,790
Spirit Aerosystems Holdings,
Inc. (a)..................... 4,579 157,975
United Technologies Corp. ..... 40,138 3,072,163
------------
9,298,307
------------
AIR FREIGHT & LOGISTICS -- 1.2%
C.H. Robinson Worldwide,
Inc. ........................ 7,606 411,637
Expeditors International of
Washington, Inc. ............ 9,226 412,218
FedEx Corp. ................... 12,409 1,106,510
United Parcel Service, Inc.
(Class B).................... 29,883 2,113,326
------------
4,043,691
------------
AIRLINES -- 0.3%
AMR Corp. (a).................. 9,933 139,360
Delta Air Lines, Inc. (a)...... 11,953 177,980
Northwest Airlines Corp. (a)... 10,424 151,252
Southwest Airlines Co. ........ 32,945 401,929
UAL Corp. (a).................. 5,014 178,800
------------
1,049,321
------------
AUTO COMPONENTS -- 0.2%
BorgWarner, Inc. .............. 5,080 245,923
The Goodyear Tire & Rubber Co.
(a).......................... 9,003 254,064
------------
499,987
------------
AUTOMOBILES -- 0.2%
Harley-Davidson, Inc. ......... 10,607 495,453
------------
BEVERAGES -- 2.4%
Anheuser-Busch Cos., Inc. ..... 32,165 1,683,516
Brown-Forman Corp. ............ 3,247 240,635
Constellation Brands, Inc.
(Class A) (a)................ 8,245 194,912
Hansen Natural Corp. (a)....... 3,106 137,565
PepsiCo, Inc. ................. 70,682 5,364,764
The Pepsi Bottling Group,
Inc. ........................ 6,390 252,149
------------
7,873,541
------------
BIOTECHNOLOGY -- 2.7%
Abraxis Bioscience, Inc. (a)... 252 17,330
Amgen, Inc. (a)................ 47,463 2,204,182
Amylin Pharmaceuticals, Inc.
(a).......................... 5,937 219,669
Biogen Idec, Inc. (a).......... 12,860 731,991
Celgene Corp. (a).............. 16,930 782,335
Cephalon, Inc. (a)............. 2,915 209,180
Genentech, Inc. (a)............ 20,187 1,353,942
Genzyme Corp. (a).............. 11,488 855,167
Gilead Sciences, Inc. (a)...... 40,740 1,874,448
Millennium Pharmaceuticals,
Inc. (a)..................... 13,983 209,465
Vertex Pharmaceuticals, Inc.
(a).......................... 5,601 130,111
------------
8,587,820
------------
BUILDING PRODUCTS -- 0.1%
Trane, Inc. ................... 7,688 359,106
------------
CAPITAL MARKETS -- 1.9%
BlackRock, Inc. ............... 872 189,050
E*TRADE Financial Corp. (a).... 18,205 64,628
Eaton Vance Corp. ............. 5,584 253,570
Fortress Investment Group LLC
(Class A).................... 1,681 26,190
Franklin Resources, Inc. ...... 7,209 824,926
GLG Partners, Inc. (a)......... 10,482 142,555
Invesco, Ltd. ................. 18,434 578,459
Legg Mason, Inc. .............. 5,641 412,639
Och-Ziff Capital Management
Group LLC.................... 1,728 45,412
SEI Investments Co. ........... 6,278 201,963
State Street Corp. (b)......... 16,981 1,378,857
T. Rowe Price Group, Inc. ..... 11,577 704,808
TD Ameritrade Holding Corp.
(a).......................... 10,724 215,123
The Charles Schwab Corp. ...... 41,293 1,055,036
------------
6,093,216
------------
CHEMICALS -- 1.7%
Celanese Corp. ................ 6,415 271,483
Ecolab, Inc. .................. 7,627 390,579
Huntsman Corp. ................ 3,942 101,309
Monsanto Co. .................. 23,753 2,652,973
Praxair, Inc. ................. 13,929 1,235,642
Sigma-Aldrich Corp. ........... 5,015 273,819
The Mosaic Co. (a)............. 6,325 596,700
------------
5,522,505
------------
COMMERCIAL BANKS -- 0.1%
Commerce Bancorp, Inc. ........ 8,507 324,457
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.7%
Allied Waste Industries, Inc.
(a).......................... 12,614 139,006
ChoicePoint, Inc. (a).......... 3,255 118,547
Cintas Corp. .................. 5,854 196,812
Dun & Bradstreet Corp. ........ 2,595 229,995
Equifax, Inc. ................. 6,014 218,669
Manpower, Inc. ................ 3,673 208,994
Monster Worldwide, Inc. (a).... 5,078 164,527
Robert Half International,
Inc. ........................ 7,154 193,444
Stericycle, Inc. (a)........... 3,830 227,502
Waste Management, Inc. ........ 22,296 728,410
------------
2,425,906
------------
COMMUNICATIONS EQUIPMENT -- 4.5%
Cisco Systems, Inc. (a)........ 266,128 7,204,085
Corning, Inc. ................. 68,619 1,646,170
Harris Corp. .................. 6,075 380,781
JDS Uniphase Corp. (a)......... 9,346 124,302
Juniper Networks, Inc. (a)..... 22,893 760,047
Motorola, Inc. ................ 101,519 1,628,365
QUALCOMM, Inc. ................ 71,688 2,820,923
------------
14,564,673
------------
COMPUTERS & PERIPHERALS -- 5.7%
Apple, Inc. (a)................ 38,303 7,587,058
Dell, Inc. (a)................. 86,343 2,116,267
Diebold, Inc. ................. 2,880 83,463
EMC Corp. (a).................. 92,057 1,705,816
Hewlett-Packard Co. ........... 112,881 5,698,233
Lexmark International, Inc.
(a).......................... 4,131 144,007
Network Appliance, Inc. (a).... 15,746 393,020
</Table>
See accompanying notes to financial statements.
20
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SanDisk Corp. (a).............. 9,865 $ 327,222
Western Digital Corp. (a)...... 9,758 294,789
------------
18,349,875
------------
CONSTRUCTION & ENGINEERING -- 0.6%
Fluor Corp. ................... 3,811 555,339
Foster Wheeler, Ltd. (a)....... 3,099 480,407
Jacobs Engineering Group, Inc.
(a).......................... 5,239 500,901
KBR, Inc. (a).................. 7,260 281,688
------------
1,818,335
------------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials,
Inc. ........................ 1,818 241,067
------------
CONSUMER FINANCE -- 0.9%
American Express Co. .......... 45,385 2,360,927
SLM Corp. ..................... 17,963 361,775
The First Marblehead Corp. .... 2,590 39,627
------------
2,762,329
------------
CONTAINERS & PACKAGING -- 0.2%
Ball Corp. .................... 4,380 197,100
Crown Holdings, Inc. (a)....... 6,942 178,062
Pactiv Corp. (a)............... 5,653 150,540
Sealed Air Corp. .............. 6,943 160,661
------------
686,363
------------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Apollo Group, Inc. (a)......... 6,091 427,284
H&R Block, Inc. ............... 14,452 268,373
ITT Educational Services, Inc.
(a).......................... 1,788 152,463
Weight Watchers International,
Inc. ........................ 1,565 70,707
------------
918,827
------------
DIVERSIFIED FINANCIAL SERVICES -- 1.2%
CME Group, Inc. ............... 2,330 1,598,380
Intercontinental Exchange, Inc.
(a).......................... 2,974 572,495
Leucadia National Corp. ....... 7,069 332,950
Moody's Corp. ................. 9,706 346,504
Nymex Holdings, Inc. .......... 2,653 354,467
NYSE Euronext.................. 8,300 728,491
------------
3,933,287
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1%
Level 3 Communications, Inc.
(a).......................... 65,576 199,351
Windstream Corp. .............. 20,486 266,728
------------
466,079
------------
ELECTRIC UTILITIES -- 0.1%
Allegheny Energy, Inc. ........ 7,131 453,603
------------
ELECTRICAL EQUIPMENT -- 0.3%
AMETEK, Inc. .................. 4,667 218,602
First Solar, Inc. (a).......... 1,495 399,375
Roper Industries, Inc. ........ 3,802 237,777
Sunpower Corp. (Class A) (a)... 1,554 202,626
------------
1,058,380
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.7%
Agilent Technologies, Inc.
(a).......................... 17,051 626,454
Amphenol Corp. (Class A)....... 7,691 356,631
Arrow Electronics, Inc. (a).... 5,282 207,477
Jabil Circuit, Inc. ........... 7,781 118,816
Trimble Navigation, Ltd. (a)... 5,153 155,827
Tyco Electronics, Ltd. ........ 21,610 802,379
------------
2,267,584
------------
ENERGY EQUIPMENT & SERVICES -- 5.0%
Baker Hughes, Inc. ............ 14,000 1,135,400
BJ Services Co. ............... 12,657 307,059
Cameron International Corp.
(a).......................... 9,522 458,294
Diamond Offshore Drilling,
Inc. ........................ 2,843 403,706
ENSCO International, Inc. ..... 6,424 382,999
FMC Technologies, Inc. (a)..... 5,740 325,458
Grant Prideco, Inc. (a)........ 5,464 303,307
Halliburton Co. ............... 38,565 1,461,999
Nabors Industries, Ltd. (a).... 12,435 340,595
National-Oilwell Varco, Inc.
(a).......................... 15,559 1,142,964
Noble Corp. ................... 11,721 662,354
Patterson-UTI Energy, Inc. .... 6,645 129,710
Pride International, Inc. (a).. 7,268 246,385
Rowan Cos., Inc. .............. 4,816 190,039
Schlumberger, Ltd. ............ 52,162 5,131,176
Smith International, Inc. ..... 8,641 638,138
Transocean, Inc. (a)........... 13,565 1,941,830
Weatherford International, Ltd.
(a).......................... 14,836 1,017,749
------------
16,219,162
------------
FOOD & STAPLES RETAILING -- 3.7%
Costco Wholesale Corp. ........ 19,112 1,333,253
CVS Caremark Corp. ............ 64,721 2,572,660
Sysco Corp. ................... 26,774 835,617
Wal-Mart Stores, Inc. ......... 110,024 5,229,441
Walgreen Co. .................. 43,480 1,655,718
Whole Foods Market, Inc. ...... 5,924 241,699
------------
11,868,388
------------
FOOD PRODUCTS -- 0.9%
Archer-Daniels-Midland Co. .... 25,649 1,190,883
Bunge, Ltd. ................... 5,254 611,618
Dean Foods Co. ................ 5,790 149,730
The Hershey Co. ............... 6,810 268,314
Wm. Wrigley Jr., Co. .......... 10,046 588,193
------------
2,808,738
------------
GAS UTILITIES -- 0.3%
Equitable Resources, Inc. ..... 5,000 266,400
ONEOK, Inc. ................... 4,262 190,810
Questar Corp. ................. 7,543 408,076
------------
865,286
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4%
Baxter International, Inc. .... 27,837 1,615,938
Beckman Coulter, Inc. ......... 2,720 198,016
Becton, Dickinson & Co. ....... 10,041 839,227
Boston Scientific Corp. (a).... 60,257 700,789
C.R. Bard, Inc. ............... 4,487 425,367
Covidien, Ltd. ................ 21,410 948,249
Dentsply International, Inc. .. 6,278 282,635
Hospira, Inc. (a).............. 6,842 291,743
Intuitive Surgical, Inc. (a)... 1,644 533,478
Kinetic Concepts, Inc. (a)..... 2,278 122,010
Medtronic, Inc. ............... 49,753 2,501,083
St. Jude Medical, Inc. (a)..... 14,762 599,928
Stryker Corp. ................. 13,719 1,025,083
</Table>
See accompanying notes to financial statements.
21
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Varian Medical Systems, Inc.
(a).......................... 5,443 $ 283,907
Zimmer Holdings, Inc. (a)...... 10,512 695,369
------------
11,062,822
------------
HEALTH CARE PROVIDERS & SERVICES -- 4.2%
Aetna, Inc. ................... 21,975 1,268,617
AmerisourceBergen Corp. ....... 7,436 333,653
Brookdale Senior Living,
Inc. ........................ 1,835 52,132
Cardinal Health, Inc. ......... 15,883 917,243
Community Health Systems, Inc.
(a).......................... 4,236 156,139
Coventry Health Care, Inc.
(a).......................... 6,871 407,107
DaVita, Inc. (a)............... 4,558 256,843
Express Scripts, Inc. (Class A)
(a).......................... 9,383 684,959
Health Net, Inc. (a)........... 4,791 231,405
Henry Schein, Inc. (a)......... 3,911 240,135
Humana, Inc. (a)............... 7,225 544,115
Lincare Holdings, Inc. (a)..... 3,690 129,740
McKesson Corp. ................ 12,664 829,619
Medco Health Solutions, Inc.
(a).......................... 11,799 1,196,419
Omnicare, Inc. ................ 5,103 116,399
Patterson Cos., Inc. (a)....... 5,719 194,160
Quest Diagnostics, Inc. ....... 6,455 341,470
UnitedHealth Group, Inc. ...... 56,648 3,296,914
Universal Health Services, Inc.
(Class B).................... 2,218 113,562
WellPoint, Inc. (a)............ 25,014 2,194,478
------------
13,505,109
------------
HEALTH CARE TECHNOLOGY -- 0.1%
Cerner Corp. (a)............... 2,708 152,731
IMS Health, Inc. .............. 8,287 190,933
------------
343,664
------------
HOTELS, RESTAURANTS & LEISURE -- 1.8%
Boyd Gaming Corp. ............. 2,453 83,574
Brinker International, Inc. ... 4,486 87,746
Darden Restaurants, Inc. ...... 5,601 155,204
Harrah's Entertainment, Inc. .. 8,054 714,792
International Game Technology.. 13,826 607,376
Las Vegas Sands Corp. (a)...... 4,523 466,095
Marriott International, Inc.
(Class A).................... 14,356 490,688
MGM Mirage, Inc. (a)........... 5,673 476,645
Penn National Gaming, Inc.
(a).......................... 3,244 193,180
Starbucks Corp. (a)............ 32,295 661,079
Starwood Hotels & Resorts
Worldwide, Inc. ............. 8,786 386,848
Wendy's International, Inc. ... 3,729 96,357
Wyndham Worldwide Corp. ....... 7,764 182,920
Wynn Resorts, Ltd. ............ 2,745 307,797
Yum! Brands, Inc. ............. 22,333 854,684
------------
5,764,985
------------
HOUSEHOLD DURABLES -- 0.4%
D.R. Horton, Inc. ............. 11,954 157,434
Garmin, Ltd. .................. 5,587 541,939
Harman International
Industries, Inc. ............ 2,633 194,079
Lennar Corp. (Class A)......... 6,002 107,376
Pulte Homes, Inc. ............. 9,284 97,853
Toll Brothers, Inc. (a)........ 5,737 115,084
------------
1,213,765
------------
HOUSEHOLD PRODUCTS -- 3.9%
Colgate-Palmolive Co. ......... 22,591 1,761,195
Energizer Holdings, Inc. (a)... 2,484 278,531
Procter & Gamble Co. .......... 136,441 10,017,498
The Clorox Co. ................ 5,977 389,521
------------
12,446,745
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.8%
Constellation Energy Group,
Inc. ........................ 7,972 817,369
Dynegy, Inc. (Class A) (a)..... 17,237 123,072
Mirant Corp. (a)............... 11,350 442,423
NRG Energy, Inc. (a)........... 10,603 459,534
The AES Corp. (a).............. 29,310 626,941
------------
2,469,339
------------
INDUSTRIAL CONGLOMERATES -- 0.9%
3M Co. ........................ 28,813 2,429,512
McDermott International, Inc.
(a).......................... 9,825 579,970
------------
3,009,482
------------
INSURANCE -- 3.4%
AFLAC, Inc. ................... 21,374 1,338,654
Arch Capital Group, Ltd. (a)... 2,070 145,624
Assurant, Inc. ................ 4,316 288,740
Axis Capital Holdings, Ltd. ... 6,117 238,379
Berkshire Hathaway, Inc. (Class
A) (a)....................... 45 6,372,000
Brown & Brown, Inc. ........... 5,021 117,994
Prudential Financial, Inc. .... 19,925 1,853,822
The Progressive Corp. ......... 28,770 551,233
WR Berkley Corp. .............. 7,018 209,207
------------
11,115,653
------------
INTERNET & CATALOG RETAIL -- 0.7%
Amazon.com, Inc. (a)........... 13,012 1,205,432
Expedia, Inc. (a).............. 9,886 312,595
IAC / InterActiveCorp (a)...... 8,619 232,024
Liberty Media Holding Corp. -
Interactive (Series A) (a)... 26,803 511,401
------------
2,261,452
------------
INTERNET SOFTWARE & SERVICES -- 3.2%
Akamai Technologies, Inc. (a).. 7,056 244,138
eBay, Inc. (a)................. 51,370 1,704,970
Google, Inc. (Class A) (a)..... 9,931 6,867,088
VeriSign, Inc. (a)............. 9,737 366,208
Yahoo!, Inc. (a)............... 55,477 1,290,395
------------
10,472,799
------------
IT SERVICES -- 2.0%
Accenture, Ltd. (Class A)...... 25,198 907,884
Affiliated Computer Services,
Inc. (a)..................... 4,048 182,565
Alliance Data Systems Corp.
(a).......................... 3,407 255,491
Automatic Data Processing,
Inc. ........................ 23,293 1,037,237
Cognizant Technology Solutions
Corp. (a).................... 12,632 428,730
DST Systems, Inc. (a).......... 2,229 184,004
Fidelity National Information
Services, Inc. .............. 8,525 354,555
Fiserv, Inc. (a)............... 7,092 393,535
Global Payments, Inc. ......... 3,589 166,960
Iron Mountain, Inc. (a)........ 7,875 291,532
Mastercard, Inc. .............. 3,063 659,158
Paychex, Inc. ................. 14,754 534,390
The Western Union Co. ......... 32,844 797,452
Total System Services, Inc. ... 8,587 240,436
------------
6,433,929
------------
</Table>
See accompanying notes to financial statements.
22
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
LIFE SCIENCES TOOLS & SERVICES -- 0.8%
Applera Corp. -- Applied
Biosystems Group............. 7,406 $ 251,211
Charles River Laboratories
International, Inc. (a)...... 2,979 196,018
Covance, Inc. (a).............. 2,814 243,749
Invitrogen Corp. (a)........... 2,020 188,688
Millipore Corp. (a)............ 2,305 168,680
Pharmaceutical Product
Development, Inc. ........... 4,484 181,019
Thermo Fisher Scientific, Inc.
(a).......................... 18,547 1,069,791
Waters Corp. (a)............... 4,311 340,871
------------
2,640,027
------------
MACHINERY -- 2.4%
Caterpillar, Inc. ............. 28,287 2,052,505
Cummins, Inc. ................. 4,028 513,046
Danaher Corp. ................. 10,816 948,996
Donaldson Co., Inc. ........... 2,939 136,311
Flowserve Corp. ............... 2,503 240,789
Harsco Corp. .................. 3,594 230,268
Illinois Tool Works, Inc. ..... 20,443 1,094,518
ITT Corp. ..................... 7,850 518,414
Joy Global, Inc. .............. 4,683 308,235
Oshkosh Truck Corp. ........... 3,146 148,680
PACCAR, Inc. .................. 16,183 881,650
Terex Corp. (a)................ 4,422 289,950
The Manitowoc Co., Inc. ....... 5,793 282,872
------------
7,646,234
------------
MEDIA -- 5.3%
Cablevision Systems Corp.
(Class A) (a)................ 9,858 241,521
Clear Channel Communications,
Inc. ........................ 19,644 678,111
Clear Channel Outdoor Holdings,
Inc. (a)..................... 1,654 45,750
Comcast Corp. (Class A) (a).... 127,843 2,334,413
Discovery Holding Co. (Class A)
(a).......................... 12,115 304,571
EchoStar Communications Corp.
(Class A) (a)................ 9,135 344,572
EW Scripps Co. ................ 3,683 165,772
Lamar Advertising Co. ......... 3,092 148,632
Liberty Global, Inc. (Class A)
(a).......................... 16,275 637,817
Liberty Media Corp. -- Capital
(Series A) (a)............... 5,649 658,052
News Corp. (Class A)........... 101,389 2,077,461
Omnicom Group, Inc. ........... 14,334 681,295
R.H. Donnelley Corp. (a)....... 3,122 113,891
Sirius Satellite Radio, Inc.
(a).......................... 59,002 178,776
The DIRECTV Group, Inc. (a).... 30,765 711,287
The McGraw-Hill Cos., Inc. .... 14,472 634,018
The Walt Disney Co. ........... 78,137 2,522,262
The Washington Post Co. ....... 251 198,649
Time Warner Cable, Inc. (a).... 6,705 185,058
Time Warner, Inc. ............. 163,638 2,701,663
Viacom, Inc. (a)............... 25,524 1,121,014
Virgin Media, Inc. ............ 12,525 214,679
XM Satellite Radio Holdings,
Inc. (Class A) (a)........... 13,254 162,229
------------
17,061,493
------------
METALS & MINING -- 1.2%
Allegheny Technologies, Inc. .. 4,150 358,560
Freeport-McMoRan Copper & Gold,
Inc. ........................ 16,679 1,708,597
Newmont Mining Corp. .......... 18,993 927,428
Nucor Corp. ................... 11,527 682,629
Titanium Metals Corp. ......... 3,764 99,558
------------
3,776,772
------------
MULTI-UTILITIES -- 0.3%
Public Service Enterprise
Group, Inc. ................. 10,977 1,078,380
------------
MULTILINE RETAIL -- 1.1%
Dollar Tree Stores, Inc. (a)... 4,164 107,931
Family Dollar Stores, Inc. .... 5,855 112,592
J. C. Penney Co., Inc. ........ 8,535 375,455
Kohl's Corp. (a)............... 12,499 572,454
Macy's, Inc. .................. 19,166 495,824
Nordstrom, Inc. ............... 9,181 337,218
Target Corp. .................. 32,974 1,648,700
------------
3,650,174
------------
OFFICE ELECTRONICS -- 0.2%
Xerox Corp. ................... 40,524 656,084
------------
OIL, GAS & CONSUMABLE FUELS -- 5.0%
Anadarko Petroleum Corp. ...... 20,392 1,339,550
Apache Corp. .................. 14,322 1,540,188
Arch Coal, Inc. ............... 6,354 285,485
Chesapeake Energy Corp. ....... 19,502 764,478
CNX Gas Corp. (a).............. 1,233 39,394
CONSOL Energy, Inc. ........... 8,073 577,381
Denbury Resources, Inc. (a).... 10,710 318,623
Devon Energy Corp. ............ 18,284 1,625,630
Energy Transfer Equity LP...... 5,401 190,277
EOG Resources, Inc. ........... 10,635 949,174
Frontier Oil Corp. ............ 4,558 184,964
Kinder Morgan Energy Partners
LP........................... 6,956 375,554
Murphy Oil Corp. .............. 7,664 650,214
Newfield Exploration Co. (a)... 5,590 294,593
Noble Energy, Inc. ............ 7,513 597,434
Patriot Coal Corp. (a)......... 1,138 47,500
Peabody Energy Corp. .......... 11,584 714,038
Pioneer Natural Resources
Co. ......................... 5,399 263,687
Range Resources Corp. ......... 6,363 326,804
SandRidge Energy, Inc. (a)..... 1,246 44,682
Southwestern Energy Co. (a).... 7,337 408,818
Sunoco, Inc. .................. 5,266 381,469
The Williams Cos., Inc. ....... 25,917 927,310
Ultra Petroleum Corp. (a)...... 6,577 470,256
Valero Energy Corp. ........... 23,943 1,676,728
XTO Energy, Inc. .............. 20,925 1,074,682
------------
16,068,913
------------
PAPER & FOREST PRODUCT -- 0.0% (C)
Domtar Corp. (a)............... 19,894 152,985
------------
PERSONAL PRODUCTS -- 0.3%
Avon Products, Inc. ........... 18,718 739,923
The Estee Lauder Cos., Inc.
(Class A).................... 4,505 196,463
------------
936,386
------------
PHARMACEUTICALS -- 1.2%
Allergan, Inc. ................ 13,234 850,152
APP Pharmaceuticals, Inc. (a).. 1,014 10,414
Barr Pharmaceuticals, Inc.
(a).......................... 4,597 244,101
Endo Pharmaceuticals Holdings,
Inc. (a)..................... 5,863 156,366
Forest Laboratories, Inc. (a).. 13,907 506,910
Mylan Laboratories, Inc. ...... 13,485 189,599
</Table>
See accompanying notes to financial statements.
23
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Schering-Plough Corp. ......... 71,051 $ 1,892,799
Sepracor, Inc. (a)............. 4,761 124,976
Warner Chilcott, Ltd. (a)...... 3,622 64,218
------------
4,039,535
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Camden Property Trust.......... 2,396 115,368
CapitalSource, Inc. ........... 6,970 122,602
General Growth Properties,
Inc. ........................ 9,946 409,576
Public Storage................. 5,609 411,757
Simon Property Group, Inc. .... 9,745 846,451
Ventas, Inc. .................. 5,745 259,961
------------
2,165,715
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp. ... 8,777 168,957
CB Richard Ellis Group, Inc.
(Class A) (a)................ 8,787 189,360
------------
358,317
------------
ROAD & RAIL -- 0.3%
Hertz Global Holdings, Inc.
(a).......................... 5,693 90,462
J.B. Hunt Transport Services,
Inc. ........................ 3,841 105,820
Norfolk Southern Corp. ........ 17,133 864,188
------------
1,060,470
------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.0%
Advanced Micro Devices, Inc.
(a).......................... 23,840 178,800
Altera Corp. .................. 14,790 285,743
Analog Devices, Inc. .......... 13,768 436,446
Applied Materials, Inc. ....... 60,162 1,068,477
Broadcom Corp. (Class A) (a)... 20,559 537,412
Intel Corp. ................... 254,652 6,789,022
International Rectifier Corp.
(a).......................... 3,117 105,884
Intersil Corp. (Class A)....... 5,723 140,099
KLA-Tencor Corp. .............. 8,069 388,603
Lam Research Corp. (a)......... 5,282 228,341
Linear Technology Corp. ....... 9,109 289,939
LSI Logic Corp. (a)............ 30,758 163,325
Marvell Technology Group, Ltd.
(a).......................... 20,142 281,585
MEMC Electronic Materials, Inc.
(a).......................... 10,056 889,855
Microchip Technology, Inc. .... 9,386 294,908
Micron Technology, Inc. (a).... 32,506 235,669
National Semiconductor Corp. .. 11,309 256,036
Novellus Systems, Inc. (a)..... 5,036 138,843
NVIDIA Corp. (a)............... 24,355 828,557
Teradyne, Inc. (a)............. 7,750 80,135
Texas Instruments, Inc. ....... 61,324 2,048,222
Varian Semiconductor Equipment
Associates, Inc. (a)......... 3,240 119,880
Xilinx, Inc. .................. 12,725 278,296
------------
16,064,077
------------
SOFTWARE -- 7.2%
Activision, Inc. (a)........... 12,858 381,883
Adobe Systems, Inc. (a)........ 25,183 1,076,070
Autodesk, Inc. (a)............. 10,122 503,671
BEA Systems, Inc. (a).......... 17,230 271,889
BMC Software, Inc. (a)......... 8,776 312,777
CA, Inc. ...................... 18,145 452,718
Citrix Systems, Inc. (a)....... 8,418 319,968
Electronic Arts, Inc. (a)...... 13,862 809,679
Intuit, Inc. (a)............... 13,366 422,499
McAfee, Inc. (a)............... 6,968 261,300
Microsoft Corp. ............... 364,546 12,977,838
NAVTEQ Corp. (a)............... 4,193 316,991
Oracle Corp. (a)............... 171,917 3,881,886
Red Hat, Inc. (a).............. 8,304 173,055
Salesforce.com, Inc. (a)....... 4,364 273,579
Symantec Corp. (a)............. 38,450 620,583
Synopsys, Inc. (a)............. 6,136 159,106
VMware, Inc. (Class A) (a)..... 1,670 141,933
------------
23,357,425
------------
SPECIALTY RETAIL -- 2.9%
Abercrombie & Fitch Co. ....... 3,743 299,328
Advance Auto Parts, Inc. ...... 4,404 167,308
American Eagle Outfitters,
Inc. ........................ 8,361 173,658
AutoNation, Inc. (a)........... 6,335 99,206
AutoZone, Inc. (a)............. 1,909 228,908
Bed Bath & Beyond, Inc. (a).... 11,959 351,475
Best Buy Co., Inc. ............ 14,995 789,487
CarMax, Inc. (a)............... 9,289 183,458
Chico's FAS, Inc. (a).......... 7,281 65,747
GameStop Corp. (Class A) (a)... 6,546 406,572
Guess ?, Inc. ................. 2,387 90,443
Lowe's Cos., Inc. ............. 64,592 1,461,071
O'Reilly Automotive, Inc. (a).. 5,018 162,734
Office Depot, Inc. (a)......... 11,714 162,942
PetSmart, Inc. ................ 5,800 136,474
Ross Stores, Inc. ............. 6,226 159,199
Staples, Inc. ................. 31,386 724,075
The Gap, Inc. ................. 25,861 550,322
The Home Depot, Inc. .......... 73,371 1,976,615
The TJX Cos., Inc. ............ 19,463 559,172
Tiffany & Co. ................. 5,789 266,468
Urban Outfitters, Inc. (a)..... 5,244 142,951
Williams-Sonoma, Inc. ......... 3,820 98,938
------------
9,256,551
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.6%
Coach, Inc. (a)................ 16,243 496,711
CROCS, Inc. (a)................ 3,242 119,338
Liz Claiborne, Inc. ........... 4,522 92,022
NIKE, Inc. (Class B)........... 15,595 1,001,823
Polo Ralph Lauren Corp. ....... 2,614 161,519
------------
1,871,413
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Countrywide Financial Corp. ... 24,921 222,794
Hudson City Bancorp, Inc. ..... 21,487 322,734
------------
545,528
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. .................. 6,034 243,894
------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.2%
American Tower Corp. (Class A)
(a).......................... 17,690 753,593
Clearwire Corp. (Class A) (a).. 3,080 42,227
Crown Castle International
Corp. (a).................... 12,415 516,464
Leap Wireless International,
Inc. (a)..................... 2,115 98,643
MetroPCS Communications, Inc.
(a).......................... 7,922 154,083
NII Holdings, Inc. (a)......... 7,462 360,564
Sprint Nextel Corp. ........... 124,713 1,637,482
</Table>
See accompanying notes to financial statements.
24
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Telephone & Data Systems,
Inc. ........................ 4,484 $ 280,698
US Cellular Corp. (a).......... 626 52,647
------------
3,896,401
------------
TOTAL COMMON STOCKS --
(Cost $294,037,161).......... 322,481,804
------------
SHORT TERM INVESTMENTS -- 0.3%
MONEY MARKET FUND -- 0.3%
STIC Prime Portfolio
(Cost $823,116).............. 823,116 823,116
------------
TOTAL INVESTMENTS -- 100.2%
(Cost $294,860,277).......... 323,304,920
OTHER ASSETS AND
LIABILITIES -- (0.2)%........ (510,338)
------------
NET ASSETS -- 100.0%........... $322,794,582
============
</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.
25
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 2.0%
Boeing Co. ................... 13,261 $ 1,159,807
Goodrich Corp. ............... 2,397 169,252
Honeywell International,
Inc. ....................... 13,070 804,720
Northrop Grumman Corp. ....... 6,060 476,559
------------
2,610,338
------------
AUTO COMPONENTS -- 0.4%
Johnson Controls, Inc. ....... 11,164 402,351
WABCO Holdings, Inc. ......... 1,035 51,843
------------
454,194
------------
AUTOMOBILES -- 0.4%
Ford Motor Co. (a)............ 39,487 265,747
General Motors Corp. ......... 9,284 231,079
------------
496,826
------------
BEVERAGES -- 2.2%
Coca-Cola Enterprises, Inc. .. 5,328 138,688
Molson Coors Brewing Co. ..... 2,810 145,052
The Coca-Cola Co. ............ 40,608 2,492,113
------------
2,775,853
------------
BUILDING PRODUCTS -- 0.2%
Masco Corp. .................. 7,116 153,777
USG Corp. (a)................. 1,514 54,186
------------
207,963
------------
CAPITAL MARKETS -- 4.7%
AllianceBernstein Holding LP.. 583 43,871
Ameriprise Financial, Inc. ... 4,487 247,278
Federated Investors, Inc. .... 1,855 76,352
Janus Capital Group, Inc. .... 3,282 107,813
Lehman Brothers Holdings,
Inc. ....................... 10,136 663,300
Merrill Lynch & Co., Inc. .... 15,410 827,209
Morgan Stanley................ 18,398 977,118
Northern Trust Corp. ......... 3,724 285,184
The Bank of New York Mellon
Corp. ...................... 21,725 1,059,311
The Bear Stearns Cos., Inc. .. 2,070 182,677
The Blackstone Group LP....... 2,790 61,743
The Goldman Sachs Group,
Inc. ....................... 6,917 1,487,501
------------
6,019,357
------------
CHEMICALS -- 2.0%
Air Products & Chemicals,
Inc. ....................... 3,912 385,841
Ashland, Inc. ................ 1,069 50,703
E. I. du Pont de Nemours &
Co. ........................ 17,117 754,688
Eastman Chemical Co. ......... 1,622 99,088
International Flavors &
Fragrances, Inc. ........... 1,527 73,494
Lubrizol Corp. ............... 1,307 70,787
PPG Industries, Inc. ......... 3,125 219,469
Rohm & Haas Co. .............. 2,844 150,931
The Dow Chemical Co. ......... 17,969 708,338
------------
2,513,339
------------
COMMERCIAL BANKS -- 5.9%
Associated Bancorp............ 2,215 60,004
BB&T Corp. ................... 10,465 320,962
City National Corp. .......... 753 44,841
Comerica, Inc. ............... 2,910 126,672
Commerce Bancshares, Inc. .... 1,377 61,752
Fifth Third Bancorp........... 9,231 231,975
First Horizon National
Corp. ...................... 2,303 41,799
Huntington Bancshares, Inc. .. 7,048 104,029
Keycorp....................... 7,003 164,220
M&T Bank Corp. ............... 1,529 124,721
Marshall & Ilsley Corp........ 4,847 128,349
National City Corp. .......... 10,908 179,546
PNC Financial Services Group,
Inc. ....................... 6,499 426,659
Popular, Inc. ................ 4,762 50,477
Regions Financial Corp. ...... 13,338 315,444
SunTrust Banks, Inc. ......... 6,662 416,308
Synovus Financial Corp. ...... 5,245 126,300
TCF Financial Corp. .......... 2,404 43,104
The Colonial BancGroup,
Inc. ....................... 2,957 40,038
U.S. Bancorp.................. 32,934 1,045,325
UnionBanCal Corp. ............ 995 48,665
Valley National Bancorp....... 2,285 43,552
Wachovia Corp. ............... 37,836 1,438,903
Wells Fargo & Co. ............ 60,978 1,840,926
Zions Bancorp................. 2,068 96,555
------------
7,521,126
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.4%
Avery Dennison Corp. ......... 1,867 99,212
Pitney Bowes, Inc. ........... 4,162 158,323
R.R. Donnelley & Sons Co. .... 4,141 156,281
Republic Services, Inc. ...... 3,296 103,330
------------
517,146
------------
COMMUNICATIONS EQUIPMENT -- 0.0% (B)
Tellabs, Inc. (a)............. 7,509 49,109
------------
COMPUTERS & PERIPHERALS -- 2.8%
International Business
Machines Corp. ............. 26,096 2,820,978
NCR Corp. (a)................. 3,312 83,131
Seagate Technology............ 10,106 257,703
Sun Microsystems, Inc. (a).... 16,209 293,869
Teradata Corp. (a)............ 3,312 90,782
------------
3,546,463
------------
CONSTRUCTION MATERIALS -- 0.1%
Vulcan Materials Co. ......... 1,860 147,107
------------
CONSUMER FINANCE -- 0.4%
Capital One Financial Corp. .. 7,937 375,103
Discover Financial Services... 8,218 123,927
The Student Loan Corp. ....... 98 10,780
------------
509,810
------------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. .............. 2,077 56,868
Owens-Illinois, Inc. (a)...... 2,691 133,205
Sonoco Products Co. .......... 1,962 64,118
Temple-Inland, Inc. .......... 1,791 37,342
------------
291,533
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. ............ 3,185 147,465
------------
DIVERSIFIED FINANCIAL SERVICES -- 7.2%
Bank of America Corp. ........ 85,824 3,541,098
CIT Group, Inc. .............. 3,720 89,391
Citigroup, Inc. .............. 94,895 2,793,709
Guaranty Financial Group, Inc.
(a)......................... 1,197 19,152
JPMorgan Chase & Co. ......... 64,595 2,819,572
------------
9,262,922
------------
</Table>
See accompanying notes to financial statements.
26
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED TELECOMMUNICATION SERVICES -- 6.1%
AT&T, Inc. ................... 116,592 $ 4,845,563
CenturyTel, Inc. ............. 2,097 86,942
Citizens Communications Co. .. 6,474 82,414
Embarq Corp. ................. 2,864 141,854
Qwest Communications
International, Inc. (a)..... 28,726 201,369
Verizon Communications,
Inc. ....................... 55,445 2,422,392
------------
7,780,534
------------
ELECTRIC UTILITIES -- 4.1%
American Electric Power Co.,
Inc. ....................... 7,438 346,313
DPL, Inc. .................... 2,115 62,710
Duke Energy Corp. ............ 23,942 482,910
Edison International.......... 5,699 304,156
Entergy Corp. ................ 3,719 444,495
Exelon Corp. ................. 12,606 1,029,154
FirstEnergy Corp. ............ 5,831 421,814
FPL Group, Inc. .............. 7,130 483,271
Northeast Utilities........... 2,952 92,427
Pepco Holdings, Inc. ......... 3,912 114,739
Pinnacle West Capital Corp. .. 1,861 78,925
PPL Corp. .................... 7,067 368,120
Progress Energy, Inc. ........ 4,932 238,857
Reliant Energy, Inc. (a)...... 6,370 167,149
The Southern Co. ............. 14,444 559,705
------------
5,194,745
------------
ELECTRICAL EQUIPMENT -- 1.0%
Cooper Industries, Ltd. ...... 3,758 198,723
Emerson Electric Co. ......... 15,133 857,436
Hubbell, Inc. (Class B)....... 1,090 56,244
Rockwell Automation, Inc. .... 2,580 177,917
------------
1,290,320
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.2%
Avnet, Inc. (a)............... 2,804 98,056
Ingram Micro, Inc. (Class A)
(a)......................... 2,726 49,177
Molex, Inc. .................. 2,684 73,273
------------
220,506
------------
FOOD & STAPLES RETAILING -- 0.6%
Safeway, Inc. ................ 8,362 286,064
SUPERVALU, Inc. .............. 4,151 155,746
The Kroger Co. ............... 11,979 319,959
------------
761,769
------------
FOOD PRODUCTS -- 2.2%
Campbell Soup Co. ............ 4,606 164,572
ConAgra Foods, Inc. .......... 9,323 221,794
General Mills, Inc. .......... 6,454 367,878
H.J. Heinz Co. ............... 5,861 273,591
Hormel Foods Corp. ........... 1,418 57,401
Kellogg Co. .................. 4,725 247,732
Kraft Foods, Inc. ............ 29,497 962,487
McCormick & Co., Inc. ........ 2,193 83,137
Sara Lee Corp. ............... 13,845 222,351
Smithfield Foods, Inc. (a).... 2,353 68,049
Tyson Foods, Inc. (Class A)... 5,168 79,225
------------
2,748,217
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1%
Hillenbrand Industries,
Inc. ....................... 1,093 60,913
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.4%
CIGNA Corp. .................. 5,417 291,056
Laboratory Corp. of America
Holdings (a)................ 2,270 171,453
------------
462,509
------------
HOTELS, RESTAURANTS & LEISURE -- 1.4%
Carnival Corp. ............... 8,007 356,231
McDonald's Corp. ............. 23,005 1,355,225
Royal Caribbean Cruises,
Ltd. ....................... 2,619 111,150
------------
1,822,606
------------
HOUSEHOLD DURABLES -- 0.7%
Black & Decker Corp. ......... 1,187 82,675
Centex Corp. ................. 2,176 54,966
Fortune Brands, Inc. ......... 2,894 209,410
Icahn Enterprises LP.......... 306 39,694
KB HOME....................... 1,439 31,082
Leggett & Platt, Inc. ........ 3,407 59,418
Mohawk Industries, Inc. (a)... 1,068 79,459
Newell Rubbermaid, Inc. ...... 5,246 135,767
NVR, Inc. (a)................. 97 50,828
The Stanley Works............. 1,526 73,980
Whirlpool Corp. .............. 1,538 125,547
------------
942,826
------------
HOUSEHOLD PRODUCTS -- 0.4%
Kimberly-Clark Corp. ......... 8,138 564,289
------------
INDUSTRIAL CONGLOMERATES -- 6.2%
General Electric Co. ......... 193,154 7,160,219
Textron, Inc. ................ 4,786 341,242
Tyco International, Ltd. ..... 9,367 371,401
------------
7,872,862
------------
INSURANCE -- 7.0%
ACE, Ltd. .................... 6,195 382,727
AMBAC Financial Group, Inc. .. 1,986 51,179
American International Group,
Inc. ....................... 42,484 2,476,817
AON Corp. .................... 4,962 236,638
Arthur J. Gallagher & Co. .... 1,846 44,655
Chubb Corp. .................. 7,282 397,452
Cincinnati Financial Corp. ... 3,050 120,597
CNA Financial Corp. .......... 491 16,557
Everest Re Group, Ltd. ....... 1,206 121,082
Fidelity National Financial,
Inc. ....................... 4,028 58,849
First American Corp. ......... 1,548 52,818
Genworth Financial, Inc.
(Class A)................... 8,431 214,569
Hartford Financial Services
Group, Inc. ................ 6,009 523,925
Lincoln National Corp. ....... 5,150 299,833
Loews Corp. .................. 8,639 434,887
Markel Corp. (a).............. 206 101,167
Marsh & McLennan Cos., Inc. .. 10,387 274,944
MBIA, Inc. ................... 2,319 43,203
MetLife, Inc. ................ 8,585 529,008
Nationwide Financial Services,
Inc. (Class A).............. 996 44,830
Old Republic International
Corp. ...................... 4,509 69,484
PartnerRe, Ltd. .............. 1,133 93,506
Principal Financial Group,
Inc. ....................... 4,958 341,309
Protective Life Corp. ........ 1,365 55,992
</Table>
See accompanying notes to financial statements.
27
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
RenaissanceRe Holdings,
Ltd. ....................... 1,241 $ 74,758
SAFECO Corp. ................. 1,793 99,834
The Allstate Corp. ........... 10,902 569,411
The Travelers Cos., Inc. ..... 12,321 662,870
Torchmark Corp. .............. 1,770 107,138
Transatlantic Holdings,
Inc. ....................... 514 37,352
Unitrin, Inc. ................ 980 47,030
Unum Group.................... 6,928 164,817
White Mountains Insurance
Group, Ltd. ................ 148 76,079
XL Capital, Ltd. (Class A).... 3,443 173,217
------------
8,998,534
------------
IT SERVICES -- 0.3%
Computer Sciences Corp. (a)... 3,305 163,498
Electronic Data Systems
Corp. ...................... 9,679 200,646
Metavante Technologies, Inc.
(a)......................... 2,049 47,783
------------
411,927
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Eastman Kodak Co. ............ 5,408 118,273
Hasbro, Inc. ................. 2,657 67,966
Mattel, Inc. ................. 6,867 130,748
------------
316,987
------------
MACHINERY -- 1.6%
Deere & Co. .................. 8,390 781,277
Dover Corp. .................. 3,831 176,571
Eaton Corp. .................. 2,852 276,501
Ingersoll-Rand Co., Ltd.
(Class A)................... 5,118 237,834
Pall Corp. ................... 2,275 91,728
Parker-Hannifin Corp. ........ 3,297 248,297
Pentair, Inc. ................ 1,975 68,750
SPX Corp. .................... 1,018 104,701
------------
1,985,659
------------
MEDIA -- 0.5%
CBS Corp. .................... 11,521 313,947
Gannett Co., Inc. ............ 4,376 170,664
Idearc, Inc. ................. 2,833 49,748
The Interpublic Group of Cos.,
Inc. (a).................... 8,703 70,581
The New York Times Co. (Class
A).......................... 2,844 49,855
------------
654,795
------------
METALS & MINING -- 0.8%
Alcoa, Inc. .................. 16,113 588,930
Southern Copper Corp. ........ 1,416 148,864
United States Steel Corp. .... 2,305 278,698
------------
1,016,492
------------
MULTI-UTILITIES -- 2.1%
Alliant Energy Corp. ......... 2,203 89,640
Ameren Corp. ................. 3,951 214,184
CenterPoint Energy, Inc. ..... 5,335 91,388
Consolidated Edison, Inc. .... 5,109 249,575
Dominion Resources, Inc. ..... 10,958 519,957
DTE Energy Co. ............... 3,179 139,749
Energy East Corp. ............ 2,926 79,616
Integrys Energy Group, Inc. .. 1,453 75,106
MDU Resources Group, Inc. .... 3,230 89,180
NiSource, Inc. ............... 5,140 97,095
NSTAR......................... 1,972 71,426
PG&E Corp. ................... 6,616 285,083
SCANA Corp. .................. 1,967 82,909
Sempra Energy................. 4,463 276,170
TECO Energy, Inc. ............ 3,841 66,104
Wisconsin Energy Corp. ....... 2,190 106,675
Xcel Energy, Inc. ............ 8,053 181,756
------------
2,715,613
------------
MULTILINE RETAIL -- 0.1%
Sears Holdings Corp. (a)...... 1,477 150,728
------------
OIL, GAS & CONSUMABLE FUELS -- 15.5%
Chevron Corp. ................ 40,768 3,804,877
ConocoPhillips................ 28,275 2,496,682
El Paso Corp. ................ 13,413 231,240
Enbridge Energy Partners LP... 1,179 59,587
Energy Transfer Partners LP... 1,436 77,372
Enterprise Products Partners
LP.......................... 5,177 165,043
Exxon Mobil Corp. ............ 104,441 9,785,077
Hess Corp. ................... 5,499 554,629
Marathon Oil Corp. ........... 13,531 823,497
Occidental Petroleum Corp. ... 15,927 1,226,220
ONEOK Partners LP............. 891 54,574
Plains All American Pipeline
LP.......................... 1,751 91,052
Spectra Energy Corp. ......... 11,819 305,167
Teekay Corp. ................. 826 43,951
Tesoro Corp. ................. 2,619 124,926
------------
19,843,894
------------
PAPER & FOREST PRODUCTS -- 0.5%
International Paper Co. ...... 8,208 265,775
MeadWestvaco Corp. ........... 3,394 106,232
Weyerhaeuser Co. ............. 4,164 307,054
------------
679,061
------------
PHARMACEUTICALS -- 10.8%
Abbott Laboratories........... 29,343 1,647,609
Bristol-Myers Squibb Co. ..... 37,547 995,746
Eli Lilly & Co. .............. 18,399 982,323
Johnson & Johnson............. 54,745 3,651,492
King Pharmaceuticals, Inc.
(a)......................... 4,411 45,169
Merck & Co., Inc. ............ 41,494 2,411,216
Pfizer, Inc. ................. 130,639 2,969,425
Wyeth......................... 25,427 1,123,619
------------
13,826,599
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.2%
AMB Property Corp. ........... 1,833 105,507
Annaly Capital Management,
Inc. ....................... 7,859 142,877
Apartment Investment &
Management Co. (Class A).... 1,859 64,563
Avalonbay Communities, Inc. .. 1,517 142,810
Boston Properties, Inc. ...... 2,273 208,684
Developers Diversified Realty
Corp. ...................... 2,349 89,943
Duke Realty Corp. ............ 2,831 73,832
Equity Residential............ 5,063 184,648
Federal Realty Investment
Trust....................... 1,115 91,597
HCP, Inc. .................... 4,180 145,380
Hospitality Properties Trust.. 1,759 56,675
Host Hotels & Resorts, Inc. .. 9,903 168,747
iStar Financial, Inc. ........ 2,434 63,406
</Table>
See accompanying notes to financial statements.
28
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Kimco Realty Corp. ........... 4,158 $ 151,351
Liberty Property Trust........ 1,743 50,216
Mack-Cali Realty Corp. ....... 1,298 44,132
Plum Creek Timber Co., Inc. .. 3,405 156,766
ProLogis...................... 4,858 307,900
Regency Centers Corp. ........ 1,326 85,514
SL Green Realty Corp. ........ 1,138 106,357
The Macerich Co. ............. 1,325 94,155
UDR, Inc. .................... 2,510 49,824
Vornado Realty Trust.......... 2,763 243,006
Weingarten Realty Investors... 1,447 45,494
------------
2,873,384
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Forest City Enterprises,
Inc. ....................... 1,331 59,150
Forestar Real Estate Group,
Inc. (a).................... 1,197 28,237
------------
87,387
------------
ROAD & RAIL -- 1.1%
Burlington Northern Santa Fe
Corp. ...................... 5,905 491,473
CSX Corp. .................... 7,941 349,245
Union Pacific Corp. .......... 4,988 626,593
------------
1,467,311
------------
SOFTWARE -- 0.1%
Cadence Design Systems, Inc.
(a)......................... 5,190 88,282
------------
SPECIALTY RETAIL -- 0.2%
Limited Brands, Inc. ......... 5,995 113,485
RadioShack Corp. ............. 2,477 41,762
The Sherwin-Williams Co. ..... 2,091 121,362
TravelCenters of America LLC
(a)......................... 150 1,875
------------
278,484
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.1%
V. F. Corp. .................. 1,644 112,877
------------
THRIFTS & MORTGAGE FINANCE -- 1.3%
Fannie Mae.................... 18,758 749,945
Freddie Mac................... 12,699 432,655
MGIC Investment Corp. ........ 1,513 33,936
New York Community Bancorp,
Inc. ....................... 6,062 106,570
People's United Financial,
Inc. ....................... 3,210 57,138
Sovereign Bancorp, Inc. ...... 6,210 70,794
TFS Financial Corp. (a)....... 1,840 21,970
Washington Mutual, Inc. ...... 16,442 223,776
------------
1,696,784
------------
TOBACCO -- 2.8%
Altria Group, Inc. ........... 40,043 3,026,450
Loews Corp.-Carolina Group.... 2,046 174,524
Reynolds American, Inc. ...... 3,251 214,436
UST, Inc. .................... 3,058 167,578
------------
3,582,988
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
W.W. Grainger, Inc. .......... 1,233 107,912
------------
TOTAL COMMON STOCKS --
(Cost $122,474,805)......... 127,688,345
------------
SHORT TERM INVESTMENTS -- 0.9%
MONEY MARKET FUND -- 0.9%
STIC Prime Portfolio
(Cost $1,174,577)........... 1,174,577 1,174,577
------------
TOTAL INVESTMENTS -- 100.7%
(Cost $123,649,382)......... 128,862,922
OTHER ASSETS AND
LIABILITIES -- (0.7)%....... (912,222)
------------
NET ASSETS -- 100.0%.......... $127,950,700
============
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
29
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 0.8%
Alliant Techsystems, Inc. (a).. 473 $ 53,808
BE Aerospace, Inc. (a)......... 1,331 70,410
Spirit Aerosystems Holdings,
Inc. (a)..................... 1,474 50,853
-----------
175,071
-----------
AIR FREIGHT & LOGISTICS -- 0.1%
UTI Worldwide, Inc. ........... 1,252 24,539
-----------
AIRLINES -- 1.2%
AMR Corp. (a).................. 3,334 46,776
Continental Airlines, Inc.
(Class B) (a)................ 1,390 30,928
Delta Air Lines, Inc. (a)...... 3,889 57,907
Northwest Airlines Corp. (a)... 3,376 48,986
UAL Corp. (a).................. 1,671 59,588
US Airways Group, Inc. (a)..... 1,257 18,490
-----------
262,675
-----------
AUTO COMPONENTS -- 1.2%
BorgWarner, Inc. .............. 1,679 81,280
Gentex Corp. .................. 2,072 36,819
The Goodyear Tire & Rubber Co.
(a).......................... 3,047 85,986
TRW Automotive Holdings Corp.
(a).......................... 805 16,825
WABCO Holdings, Inc. .......... 818 40,974
-----------
261,884
-----------
AUTOMOBILES -- 0.1%
Thor Industries, Inc. ......... 566 21,514
-----------
BEVERAGES -- 0.6%
Constellation Brands, Inc.
(Class A) (a)................ 2,780 65,719
Hansen Natural Corp. (a)....... 1,062 47,036
PepsiAmericas, Inc. ........... 933 31,088
-----------
143,843
-----------
BIOTECHNOLOGY -- 1.2%
Abraxis BioScience, Inc. (a)... 87 5,983
Cephalon, Inc. (a)............. 967 69,392
ImClone Systems, Inc. (a)...... 902 38,786
Millennium Pharmaceuticals,
Inc. (a)..................... 4,629 69,342
PDL BioPharma, Inc. (a)........ 1,735 30,397
Vertex Pharmaceuticals, Inc.
(a).......................... 1,911 44,393
-----------
258,293
-----------
BUILDING PRODUCTS -- 0.4%
Lennox International, Inc. .... 870 36,035
Owens Corning, Inc. (a)........ 1,338 27,054
USG Corp. (a).................. 1,044 37,365
-----------
100,454
-----------
CAPITAL MARKETS -- 2.5%
Affiliated Managers Group, Inc.
(a).......................... 430 50,508
Eaton Vance Corp. ............. 1,788 81,193
Federated Investors, Inc. ..... 1,386 57,048
GLG Partners, Inc. (a)......... 3,480 47,328
Janus Capital Group, Inc. ..... 2,466 81,008
Jefferies Group, Inc. ......... 1,557 35,889
MF Global, Ltd. (a)............ 1,405 44,215
Raymond James Financial,
Inc. ........................ 1,385 45,234
SEI Investments Co. ........... 2,051 65,981
The Blackstone Group LP........ 2,105 46,583
-----------
554,987
-----------
CHEMICALS -- 3.7%
Airgas, Inc. .................. 1,020 53,152
Albemarle Corp. ............... 1,114 45,953
Ashland, Inc. ................. 808 38,323
Cabot Corp. ................... 907 30,239
Celanese Corp. ................ 2,189 92,639
CF Industries Holdings, Inc. .. 718 79,023
Cytec Industries, Inc. ........ 603 37,133
Eastman Chemical Co. .......... 1,172 71,597
FMC Corp. ..................... 1,046 57,059
Hercules, Inc. ................ 1,676 32,431
Huntsman Corp. ................ 1,307 33,590
International Flavors &
Fragrances, Inc. ............ 1,077 51,836
Lubrizol Corp. ................ 991 53,673
Nalco Holding Co. ............. 2,084 50,391
Rockwood Holdings, Inc. (a).... 361 11,992
RPM International, Inc. ....... 1,749 35,505
The Scotts Miracle-Gro Co.
(Class A).................... 651 24,360
Valhi, Inc. ................... 168 2,678
Valspar Corp. ................. 1,426 32,142
Zep, Inc. (a).................. 315 4,369
-----------
838,085
-----------
COMMERCIAL BANKS -- 2.1%
Associated Bancorp............. 1,720 46,595
Bank of Hawaii Corp. .......... 719 36,770
BOK Financial Corp. ........... 344 17,785
City National Corp. ........... 571 34,003
Commerce Bancshares, Inc. ..... 980 43,974
Cullen/Frost Bankers, Inc. .... 844 42,757
First Horizon National Corp. .. 1,810 32,851
Fulton Financial Corp. ........ 2,621 29,408
PNC Financial Services Group,
Inc. ........................ 1 66
Popular, Inc. ................. 3,818 40,471
TCF Financial Corp. ........... 1,793 32,148
The Colonial BancGroup, Inc. .. 2,304 31,196
Valley National Bancorp........ 1,752 33,393
Webster Financial Corp. ....... 815 26,056
Wilmington Trust Corp. ........ 987 34,742
-----------
482,215
-----------
COMMERCIAL SERVICES & SUPPLIES -- 3.0%
Allied Waste Industries, Inc.
(a).......................... 4,129 45,502
ChoicePoint, Inc. (a).......... 1,032 37,585
Cintas Corp. .................. 1,980 66,568
Copart, Inc. (a)............... 955 40,635
Corrections Corp. of America
(a).......................... 1,764 52,056
Covanta Holding Corp. (a)...... 1,547 42,790
Dun & Bradstreet Corp. ........ 839 74,360
EnergySolutions, Inc. (a)...... 426 11,498
IHS, Inc. (a).................. 445 26,949
Monster Worldwide, Inc. (a).... 1,718 55,663
Robert Half International,
Inc. ........................ 2,328 62,949
Steelcase, Inc. (Class A)...... 900 14,283
Stericycle, Inc. (a)........... 1,277 75,854
The Brink's Co. ............... 590 35,247
The Corporate Executive Board
Co. ......................... 544 32,694
-----------
674,633
-----------
</Table>
See accompanying notes to financial statements.
30
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMUNICATIONS EQUIPMENT -- 1.3%
CIENA Corp. (a)................ 1,228 $ 41,887
CommScope, Inc. (a)............ 976 48,029
F5 Networks, Inc. (a).......... 1,214 34,623
Foundry Networks, Inc. (a)..... 1,862 32,622
JDS Uniphase Corp. (a)......... 3,085 41,031
Polycom, Inc. (a).............. 1,326 36,836
Riverbed Technology, Inc. (a).. 760 20,322
Tellabs, Inc. (a).............. 5,779 37,795
-----------
293,145
-----------
COMPUTERS & PERIPHERALS -- 1.0%
Brocade Communications Systems,
Inc. (a)..................... 5,625 41,288
Diebold, Inc. ................. 989 28,661
Lexmark International, Inc.
(a).......................... 1,365 47,584
Western Digital Corp. (a)...... 3,195 96,521
-----------
214,054
-----------
CONSTRUCTION & ENGINEERING -- 1.5%
Aecom Technology Corp. (a)..... 1,047 29,912
Granite Construction, Inc. .... 494 17,873
KBR, Inc. (a).................. 2,426 94,129
Quanta Services, Inc. (a)...... 2,459 64,524
The Shaw Group, Inc. (a)....... 1,093 66,061
URS Corp. (a).................. 1,154 62,697
-----------
335,196
-----------
CONSTRUCTION MATERIALS -- 0.4%
Martin Marietta Materials,
Inc. ........................ 605 80,223
Vulcan Materials Co. .......... 1 80
-----------
80,303
-----------
CONSUMER FINANCE -- 0.1%
The First Marblehead Corp. .... 929 14,214
The Student Loan Corp. ........ 58 6,380
-----------
20,594
-----------
CONTAINERS & PACKAGING -- 2.5%
Aptargroup, Inc. .............. 923 37,760
Ball Corp. .................... 1,453 65,385
Bemis Co., Inc. ............... 1,450 39,701
Crown Holdings, Inc. (a)....... 2,310 59,252
Greif, Inc. (Class A).......... 464 30,332
Owens-Illinois, Inc. (a)....... 2,116 104,742
Packaging Corp. of America..... 1,342 37,844
Pactiv Corp. (a)............... 1,883 50,144
Sealed Air Corp. .............. 2,330 53,916
Smurfit-Stone Container Corp.
(a).......................... 3,672 38,776
Sonoco Products Co. ........... 1,436 46,929
-----------
564,781
-----------
DIVERSIFIED CONSUMER SERVICES -- 1.3%
Career Education Corp. (a)..... 1,372 34,492
DeVry, Inc. ................... 894 46,452
ITT Educational Services, Inc.
(a).......................... 574 48,945
Service Corp. International.... 4,149 58,293
Sotheby's Holdings, Inc. ...... 959 36,538
Strayer Education, Inc. ....... 210 35,822
Weight Watchers International,
Inc. ........................ 520 23,494
-----------
284,036
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
MSCI, Inc. (Class A) (a)....... 195 7,488
The Nasdaq Stock Market, Inc.
(a).......................... 1,543 76,363
-----------
83,851
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8%
CenturyTel, Inc. .............. 1,596 66,170
Citizens Communications Co. ... 4,738 60,315
Time Warner Telecom, Inc.
(Class A) (a)................ 2,094 42,487
-----------
168,972
-----------
ELECTRIC UTILITIES -- 1.6%
DPL, Inc. ..................... 1,632 48,389
Great Plains Energy, Inc. ..... 1,239 36,327
Northeast Utilities............ 2,221 69,540
Pepco Holdings, Inc. .......... 2,898 84,998
Pinnacle West Capital Corp. ... 1,434 60,816
Sierra Pacific Resources....... 3,192 54,200
-----------
354,270
-----------
ELECTRICAL EQUIPMENT -- 1.7%
Acuity Brands, Inc. ........... 608 27,360
AMETEK, Inc. .................. 1,533 71,806
General Cable Corp. (a)........ 755 55,326
Hubbell, Inc. (Class B)........ 782 40,351
Roper Industries, Inc. ........ 1,277 79,864
Sunpower Corp. (Class A) (a)... 527 68,715
Thomas & Betts Corp. (a)....... 846 41,488
-----------
384,910
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.4%
Anixter International, Inc.
(a).......................... 462 28,769
Arrow Electronics, Inc. (a).... 1,791 70,350
AVX Corp. ..................... 755 10,132
Dolby Laboratories, Inc. (a)... 642 31,920
FLIR Systems, Inc. (a)......... 1,916 59,971
Ingram Micro, Inc. (Class A)
(a).......................... 2,151 38,804
Itron, Inc. (a)................ 441 42,323
Jabil Circuit, Inc. ........... 2,601 39,717
Mettler Toledo International,
Inc. (a)..................... 521 59,290
Molex, Inc. ................... 1,986 54,218
National Instruments Corp. .... 869 28,964
Trimble Navigation, Ltd. (a)... 1,736 52,497
Vishay Intertechnology, Inc.
(a).......................... 2,457 28,034
-----------
544,989
-----------
ENERGY EQUIPMENT & SERVICES -- 3.4%
Dresser-Rand Group, Inc. (a)... 1,234 48,188
Exterran Holdings, Inc. (a).... 954 78,037
FMC Technologies, Inc. (a)..... 1,880 106,596
Global Industries, Ltd. (a).... 1,303 27,910
Helix Energy Solutions Group,
Inc. (a)..................... 1,205 50,008
Helmerich & Payne, Inc. ....... 1,381 55,337
Hercules Offshore, Inc. (a).... 1,316 31,295
Oceaneering International, Inc.
(a).......................... 787 53,004
Patterson-UTI Energy, Inc. .... 2,237 43,666
Pride International, Inc. (a).. 2,397 81,258
Rowan Cos., Inc. .............. 1,597 63,018
Superior Energy Services, Inc.
(a).......................... 1,164 40,065
</Table>
See accompanying notes to financial statements.
31
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Tidewater, Inc. ............... 805 $ 44,162
Unit Corp. (a)................. 689 31,866
-----------
754,410
-----------
FOOD & STAPLES RETAILING -- 0.1%
Rite Aid Corp. (a)............. 8,035 22,418
-----------
FOOD PRODUCTS -- 1.4%
Corn Products International,
Inc. ........................ 1,068 39,249
Dean Foods Co. ................ 1,901 49,160
Hormel Foods Corp. ............ 1,059 42,868
McCormick & Co., Inc. ......... 1,649 62,514
Pilgrim's Pride Corp. ......... 614 17,775
Seaboard Corp. ................ 6 8,820
Smithfield Foods, Inc. (a)..... 1,809 52,316
The J.M. Smucker Co. .......... 825 42,438
-----------
315,140
-----------
GAS UTILITIES -- 1.5%
AGL Resources, Inc. ........... 1,125 42,345
Atmos Energy Corp. ............ 1,277 35,807
Energen Corp. ................. 942 60,505
National Fuel Gas Co. ......... 1,015 47,380
ONEOK, Inc. ................... 1,403 62,812
Southern Union Co. ............ 1,453 42,660
UGI Corp. ..................... 1,515 41,284
-----------
332,793
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5%
Beckman Coulter, Inc. ......... 906 65,957
Dentsply International, Inc. .. 2,058 92,651
Edwards Lifesciences Corp.
(a).......................... 843 38,769
Gen-Probe, Inc. (a)............ 793 49,903
Hillenbrand Industries, Inc. .. 842 46,925
Hologic, Inc. (a).............. 1,815 124,582
IDEXX Laboratories, Inc. (a)... 884 51,829
Immucor, Inc. (a).............. 1,025 34,840
Kinetic Concepts, Inc. (a)..... 795 42,580
ResMed, Inc. (a)............... 1,117 58,676
Respironics, Inc. (a).......... 1,055 69,081
The Cooper Cos., Inc. ......... 663 25,194
Varian Medical Systems, Inc.
(a).......................... 1,823 95,088
-----------
796,075
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.5%
Brookdale Senior Living,
Inc. ........................ 578 16,421
Community Health Systems, Inc.
(a).......................... 1,383 50,977
DaVita, Inc. (a)............... 1,544 87,004
Henry Schein, Inc. (a)......... 1,277 78,408
Lincare Holdings, Inc. (a)..... 1,157 40,680
Omnicare, Inc. ................ 1,748 39,872
Patterson Cos., Inc. (a)....... 1,868 63,419
Pediatrix Medical Group, Inc.
(a).......................... 699 47,637
Sierra Health Services, Inc.
(a).......................... 759 31,848
Universal Health Services, Inc.
(Class B).................... 732 37,478
VCA Antech, Inc. (a)........... 1,203 53,209
WellCare Health Plans, Inc.
(a).......................... 600 25,446
-----------
572,399
-----------
HEALTH CARE TECHNOLOGY -- 0.7%
Cerner Corp. (a)............... 921 51,945
HLTH Corp. (a)................. 2,615 35,041
IMS Health, Inc. .............. 2,829 65,180
-----------
152,166
-----------
HOTELS, RESTAURANTS & LEISURE -- 2.1%
Boyd Gaming Corp. ............. 828 28,210
Brinker International, Inc. ... 1,514 29,614
Burger King Holdings, Inc. .... 773 22,038
Chipotle Mexican Grill, Inc.
(a).......................... 470 69,123
Choice Hotels International,
Inc. ........................ 490 16,268
Darden Restaurants, Inc. ...... 1,873 51,901
International Speedway Corp.
(Class A).................... 489 20,137
Orient-Express Hotels, Ltd.
(Class A).................... 600 34,512
Penn National Gaming, Inc.
(a).......................... 1,074 63,957
Scientific Games Corp. (Class
A) (a)....................... 1,002 33,316
Wendy's International, Inc. ... 1,314 33,954
Wyndham Worldwide Corp. ....... 2,582 60,832
-----------
463,862
-----------
HOUSEHOLD DURABLES -- 1.9%
Centex Corp. .................. 1,755 44,331
D.R. Horton, Inc. ............. 3,948 51,995
KB HOME........................ 1,172 25,315
Leggett & Platt, Inc. ......... 2,455 42,815
Lennar Corp. (Class A)......... 1,980 35,422
NVR, Inc. (a).................. 67 35,108
Pulte Homes, Inc. ............. 3,034 31,979
Snap-on, Inc. ................. 837 40,377
Tempur-Pedic International,
Inc. ........................ 1,017 26,412
The Stanley Works.............. 1,197 58,031
Toll Brothers, Inc. (a)........ 2,022 40,561
-----------
432,346
-----------
HOUSEHOLD PRODUCTS -- 0.6%
Church & Dwight Co., Inc. ..... 949 51,313
Energizer Holdings, Inc. (a)... 824 92,395
-----------
143,708
-----------
INDUSTRIAL CONGLOMERATES -- 0.3%
Carlisle Cos., Inc. ........... 899 33,290
Teleflex, Inc. ................ 562 35,412
-----------
68,702
-----------
INSURANCE -- 5.0%
Alleghany Corp. (a)............ 79 31,758
Allied World Assurance
Holdings, Ltd. .............. 526 26,389
American Financial Group,
Inc. ........................ 979 28,274
American National Insurance
Co. ......................... 238 28,855
Arch Capital Group, Ltd. (a)... 664 46,712
Arthur J. Gallagher & Co. ..... 1,353 32,729
Axis Capital Holdings, Ltd. ... 2,025 78,914
Brown & Brown, Inc. ........... 1,635 38,423
Endurance Specialty Holdings,
Ltd. ........................ 834 34,803
Erie Indemnity Co. (Class A)... 644 33,417
Fidelity National Financial,
Inc. ........................ 3,114 45,496
First American Corp. .......... 1,169 39,886
HCC Insurance Holdings, Inc. .. 1,618 46,404
Markel Corp. (a)............... 144 70,718
Mercury General Corp. ......... 406 20,223
Odyssey Re Holdings Corp. ..... 433 15,896
</Table>
See accompanying notes to financial statements.
32
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Old Republic International
Corp. ....................... 3,339 $ 51,454
PartnerRe, Ltd. ............... 804 66,354
Philadelphia Consolidated
Holding Co. (a).............. 863 33,959
Protective Life Corp. ......... 1,004 41,184
Reinsurance Group America,
Inc. ........................ 439 23,039
RenaissanceRe Holdings, Ltd. .. 954 57,469
StanCorp Financial Group,
Inc. ........................ 714 35,971
Transatlantic Holdings, Inc. .. 399 28,995
Unitrin, Inc. ................. 710 34,073
Wesco Financial Corp. ......... 20 8,140
White Mountains Insurance
Group, Ltd. ................. 112 57,574
WR Berkley Corp. .............. 2,314 68,980
-----------
1,126,089
-----------
INTERNET & CATALOG RETAIL -- 0.3%
Priceline.com, Inc. (a)........ 495 56,856
-----------
INTERNET SOFTWARE & SERVICES -- 0.6%
Akamai Technologies, Inc. (a).. 2,405 83,213
Equinix, Inc. (a).............. 454 45,886
WebMD Health Corp. (Class A)
(a).......................... 117 4,805
-----------
133,904
-----------
IT SERVICES -- 2.5%
Affiliated Computer Services,
Inc. (a)..................... 1,380 62,238
Broadridge Financial Solutions,
Inc. ........................ 1,994 44,726
Convergys Corp. (a)............ 1,876 30,879
DST Systems, Inc. (a).......... 708 58,445
Gartner, Inc. (a).............. 1,047 18,385
Genpact, Ltd. ................. 512 7,798
Global Payments, Inc. ......... 1,140 53,033
Hewitt Associates, Inc. (Class
A) (a)....................... 1,422 54,448
Iron Mountain, Inc. (a)........ 2,636 97,585
Total System Services, Inc. ... 2,848 79,744
Unisys Corp. (a)............... 4,985 23,579
VeriFone Holdings, Inc. (a).... 993 23,087
-----------
553,947
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Brunswick Corp. ............... 1,341 22,864
Hasbro, Inc. .................. 1,908 48,807
-----------
71,671
-----------
LIFE SCIENCES TOOLS & SERVICES -- 2.7%
Applera Corp. -- Applied
Biosystems Group............. 2,433 82,527
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 281 29,117
Charles River Laboratories
International, Inc. (a)...... 982 64,616
Covance, Inc. (a).............. 922 79,864
Illumina, Inc. (a)............. 793 46,993
Invitrogen Corp. (a)........... 669 62,491
Millipore Corp. (a)............ 789 57,739
PerkinElmer, Inc. ............. 1,709 44,468
Pharmaceutical Product
Development, Inc. ........... 1,507 60,837
Techne Corp. (a)............... 575 37,979
Ventana Medical Systems, Inc.
(a).......................... 503 43,877
-----------
610,508
-----------
MACHINERY -- 4.7%
AGCO Corp. (a)................. 1,324 90,006
Bucyrus International, Inc.
(Class A).................... 530 52,677
Crane Co. ..................... 752 32,261
Donaldson Co., Inc. ........... 1,008 46,751
Flowserve Corp. ............... 825 79,365
Graco, Inc. ................... 907 33,795
Harsco Corp. .................. 1,216 77,909
IDEX Corp. .................... 1,161 41,947
Joy Global, Inc. .............. 1,564 102,942
Kennametal, Inc. .............. 1,121 42,441
Lincoln Electric Holdings,
Inc. ........................ 585 41,640
Oshkosh Truck Corp. ........... 1,059 50,048
Pall Corp. .................... 1,768 71,286
Pentair, Inc. ................. 1,441 50,161
SPX Corp. ..................... 758 77,960
The Manitowoc Co., Inc. ....... 1,903 92,924
The Timken Co. ................ 1,093 35,905
Trinity Industries, Inc. ...... 1,203 33,395
-----------
1,053,413
-----------
MEDIA -- 2.2%
DreamWorks Animation SKG, Inc.
(Class A) (a)................ 1,093 27,915
Gemstar-TV Guide International,
Inc. (a)..................... 3,708 17,650
Idearc, Inc. .................. 2,090 36,701
Interactive Data Corp. ........ 529 17,462
John Wiley & Sons, Inc. (Class
A)........................... 730 31,273
Lamar Advertising Co. ......... 986 47,397
Meredith Corp. ................ 581 31,943
Morningstar, Inc. (a).......... 211 16,405
R.H. Donnelley Corp. (a)....... 1,015 37,027
Regal Entertainment Group...... 1,182 21,359
Sirius Satellite Radio, Inc.
(a).......................... 19,156 58,043
The Interpublic Group of Cos.,
Inc. (a)..................... 6,773 54,929
The New York Times Co. (Class
A)........................... 2,080 36,463
XM Satellite Radio Holdings,
Inc. (Class A) (a)........... 4,418 54,076
-----------
488,643
-----------
METALS & MINING -- 1.8%
AK Steel Holding Corp. (a)..... 1,613 74,585
Carpenter Technology Corp. .... 710 53,371
Cleveland-Cliffs, Inc. ........ 595 59,976
Commercial Metals Co. ......... 1,710 50,359
Reliance Steel & Aluminum
Co. ......................... 943 51,111
Steel Dynamics, Inc. .......... 1,391 82,862
Titanium Metals Corp. ......... 1,263 33,406
-----------
405,670
-----------
MULTI-UTILITIES -- 3.5%
Alliant Energy Corp. .......... 1,595 64,901
CenterPoint Energy, Inc. ...... 4,090 70,062
CMS Energy Corp. .............. 3,240 56,311
Energy East Corp. ............. 2,285 62,175
Integrys Energy Group, Inc. ... 1,093 56,497
MDU Resources Group, Inc. ..... 2,432 67,148
NiSource, Inc. ................ 3,962 74,842
NSTAR.......................... 1,434 51,940
OGE Energy Corp. .............. 1,322 47,975
Puget Energy, Inc. ............ 1,686 46,247
SCANA Corp. ................... 1,523 64,194
TECO Energy, Inc. ............. 3,010 51,802
Wisconsin Energy Corp. ........ 1,693 82,466
-----------
796,560
-----------
</Table>
See accompanying notes to financial statements.
33
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MULTILINE RETAIL -- 0.6%
Big Lots, Inc. (a)............. 1,463 $ 23,393
Dollar Tree Stores, Inc. (a)... 1,372 35,562
Family Dollar Stores, Inc. .... 1,911 36,749
Saks, Inc. (a)................. 1,810 37,576
-----------
133,280
-----------
OFFICE ELECTRONICS -- 0.2%
Zebra Technologies Corp. (Class
A) (a)....................... 980 34,006
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.5%
Arch Coal, Inc. ............... 2,072 93,095
Boardwalk Pipeline Partners
LP........................... 535 16,639
Cabot Oil & Gas Corp. ......... 1,405 56,720
Cheniere Energy Partners LP.... 201 3,228
Cimarex Energy Co. ............ 1,194 50,781
CNX Gas Corp. (a).............. 403 12,876
Continental Resources Inc.
(a).......................... 652 17,037
Denbury Resources, Inc. (a).... 3,497 104,036
Enbridge Energy Partners LP.... 843 42,605
Enterprise GP Holdings LP...... 514 19,028
Forest Oil Corp. (a)........... 1,126 57,246
Frontier Oil Corp. ............ 1,524 61,844
Holly Corp. ................... 662 33,689
Kinder Morgan Management LLC
(a).......................... 884 46,799
Magellan Midstream Partners
LP........................... 958 41,539
NuStar Energy LP............... 553 29,475
ONEOK Partners LP.............. 669 40,976
Overseas Shipholding Group,
Inc. ........................ 407 30,293
Petrohawk Energy Corp. (a)..... 2,448 42,375
Pioneer Natural Resources
Co. ......................... 1,729 84,444
Plains Exploration & Production
Co. (a)...................... 1,620 87,480
Quicksilver Resources, Inc.
(a).......................... 825 49,162
Range Resources Corp. ......... 2,150 110,424
SandRidge Energy, Inc. (a)..... 452 16,209
Teekay Corp. .................. 616 32,777
TEPPCO Partners LP............. 1,055 40,438
Western Refining, Inc. ........ 421 10,192
-----------
1,231,407
-----------
PAPER & FOREST PRODUCTS -- 0.6%
Domtar Corp. (a)............... 6,702 51,538
MeadWestvaco Corp. ............ 2,653 83,039
-----------
134,577
-----------
PERSONAL PRODUCTS -- 0.2%
Herbalife, Ltd. ............... 731 29,445
NBTY, Inc. (a)................. 916 25,098
-----------
54,543
-----------
PHARMACEUTICALS -- 1.1%
APP Pharmaceuticals, Inc. (a).. 351 3,605
Endo Pharmaceuticals Holdings,
Inc. (a)..................... 1,925 51,340
King Pharmaceuticals, Inc.
(a).......................... 3,485 35,686
Mylan Laboratories, Inc. ...... 4,371 61,456
Sepracor, Inc. (a)............. 1,603 42,079
Warner Chilcott, Ltd. (a)...... 1,287 22,819
Watson Pharmaceuticals, Inc.
(a).......................... 1,475 40,031
-----------
257,016
-----------
REAL ESTATE INVESTMENT TRUSTS -- 5.3%
Alexandria Real Estate
Equities, Inc. .............. 444 45,141
AMB Property Corp. ............ 1,431 82,368
Annaly Capital Management,
Inc. ........................ 5,842 106,208
Apartment Investment &
Management Co. (Class A)..... 1,381 47,962
BRE Properties, Inc. (Class
A)........................... 736 29,830
Camden Property Trust.......... 801 38,568
CapitalSource, Inc. ........... 2,164 38,065
Douglas Emmett, Inc. .......... 1,486 33,598
Duke Realty Corp. ............. 2,082 54,299
Essex Property Trust, Inc. .... 364 35,486
Federal Realty Investment
Trust........................ 814 66,870
Health Care REIT, Inc. ........ 1,237 55,282
Hospitality Properties Trust... 1,355 43,658
iStar Financial, Inc. ......... 1,824 47,515
Liberty Property Trust......... 1,321 38,058
Mack-Cali Realty Corp. ........ 978 33,252
Nationwide Health Properties,
Inc. ........................ 1,341 42,067
Rayonier, Inc. ................ 1,118 52,814
Realty Income Corp. ........... 1,461 39,476
Regency Centers Corp. ......... 1,001 64,555
Taubman Centers, Inc. ......... 759 37,335
UDR, Inc. ..................... 1,936 38,430
Ventas, Inc. .................. 1,930 87,333
Weingarten Realty Investors.... 1,139 35,810
-----------
1,193,980
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3%
Jones Lang LaSalle, Inc. ...... 534 38,000
The St. Joe Co. ............... 1,075 38,173
-----------
76,173
-----------
ROAD & RAIL -- 0.6%
J.B. Hunt Transport Services,
Inc. ........................ 1,228 33,832
Kansas City Southern (a)....... 1,107 38,003
Landstar Systems, Inc. ........ 775 32,666
Ryder Systems, Inc. ........... 837 39,347
-----------
143,848
-----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.9%
Atmel Corp. (a)................ 5,998 25,912
Cypress Semiconductor Corp.
(a).......................... 2,209 79,590
Integrated Device Technology,
Inc. (a)..................... 2,758 31,193
International Rectifier Corp.
(a).......................... 1,031 35,023
Intersil Corp. (Class A)....... 1,890 46,267
LSI Logic Corp. (a)............ 10,200 54,162
Novellus Systems, Inc. (a)..... 1,677 46,235
ON Semiconductor Corp. (a)..... 4,386 38,948
Teradyne, Inc. (a)............. 2,498 25,829
Varian Semiconductor Equipment
Associates, Inc. (a)......... 1,103 40,811
-----------
423,970
-----------
SOFTWARE -- 4.2%
Activision, Inc. (a)........... 4,218 125,275
Ansys, Inc. (a)................ 1,119 46,394
BEA Systems, Inc. (a).......... 5,764 90,956
Cadence Design Systems, Inc.
(a).......................... 3,887 66,118
Compuware Corp. (a)............ 4,127 36,648
Factset Research Systems,
Inc. ........................ 647 36,038
Jack Henry & Associates,
Inc. ........................ 1,190 28,965
McAfee, Inc. (a)............... 2,304 86,400
MICROS Systems, Inc. (a)....... 594 41,675
</Table>
See accompanying notes to financial statements.
34
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
NAVTEQ Corp. (a)............... 1,414 $ 106,898
Novell, Inc. (a)............... 5,036 34,597
Nuance Communications, Inc.
(a).......................... 2,209 41,264
Red Hat, Inc. (a).............. 2,791 58,164
Salesforce.com, Inc. (a)....... 1,429 89,584
Synopsys, Inc. (a)............. 2,081 53,960
-----------
942,936
-----------
SPECIALTY RETAIL -- 3.1%
Advance Auto Parts, Inc. ...... 1,459 55,427
American Eagle Outfitters,
Inc. ........................ 2,658 55,207
AutoNation, Inc. (a)........... 1,950 30,537
Barnes & Noble, Inc. .......... 805 27,732
CarMax, Inc. (a)............... 3,125 61,719
Chico's FAS, Inc. (a).......... 2,652 23,948
Dick's Sporting Goods, Inc.
(a).......................... 1,220 33,867
Foot Locker, Inc. ............. 2,364 32,292
Guess ?, Inc. ................. 787 29,819
J. Crew Group, Inc. (a)........ 631 30,421
Mens Wearhouse, Inc. .......... 726 19,588
O'Reilly Automotive, Inc. (a).. 1,642 53,250
OfficeMax, Inc. ............... 1,126 23,263
PetSmart, Inc. ................ 1,960 46,119
RadioShack Corp. .............. 1,890 31,865
Ross Stores, Inc. ............. 1,981 50,654
Urban Outfitters, Inc. (a)..... 1,696 46,233
Williams-Sonoma, Inc. ......... 1,263 32,712
-----------
684,653
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
CROCS, Inc. (a)................ 1,117 41,117
Hanesbrands, Inc. (a).......... 1,385 37,630
Liz Claiborne, Inc. ........... 1,433 29,162
Phillips-Van Heusen Corp. ..... 832 30,667
Under Armour, Inc. (Class A)
(a).......................... 439 19,171
-----------
157,747
-----------
THRIFTS & MORTGAGE FINANCE -- 1.1%
Astoria Financial Corp. ....... 1,278 29,739
Capitol Federal Financial...... 301 9,331
MGIC Investment Corp. ......... 1,177 26,400
New York Community Bancorp,
Inc. ........................ 4,682 82,310
People's United Financial,
Inc. ........................ 2,443 43,485
TFS Financial Corp. (a)........ 1,449 17,301
The PMI Group, Inc. ........... 1,160 15,405
Washington Federal, Inc. ...... 1,290 27,232
-----------
251,203
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
GATX Corp. .................... 606 22,228
MSC Industrial Direct Co., Inc.
(Class A).................... 692 28,005
United Rentals, Inc. (a)....... 1,114 20,453
-----------
70,686
-----------
WATER UTILITIES -- 0.2%
Aqua America, Inc. ............ 1,903 40,344
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
Clearwire Corp. (Class A) (a).. 1,055 14,464
Leap Wireless International,
Inc. (a)..................... 733 34,187
SBA Communications Corp. (a)... 1,470 49,745
-----------
98,396
-----------
TOTAL COMMON STOCKS --
(Cost $21,098,741)........... 22,407,339
-----------
SHORT TERM INVESTMENTS -- 5.4%
MONEY MARKET FUND -- 5.4%
STIC Prime Portfolio
(Cost $1,210,492)............ 1,210,492 1,210,492
-----------
TOTAL INVESTMENTS -- 105.2%
(Cost $22,309,233)........... 23,617,831
OTHER ASSETS AND
LIABILITIES -- (5.2)%........ (1,177,440)
-----------
NET ASSETS -- 100.0%........... $22,440,391
===========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
35
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.3%
Alliant Techsystems, Inc. (a)... 1,645 $ 187,135
BE Aerospace, Inc. (a).......... 4,633 245,086
Spirit Aerosystems Holdings,
Inc. (a)...................... 5,131 177,019
-----------
609,240
-----------
AIR FREIGHT & LOGISTICS -- 0.2%
UTI Worldwide, Inc. ............ 4,466 87,534
-----------
AIRLINES -- 2.0%
AMR Corp. (a)................... 11,514 161,541
Continental Airlines, Inc.
(Class B) (a)................. 4,845 107,801
Delta Air Lines, Inc. (a)....... 13,538 201,581
Northwest Airlines Corp. (a).... 11,756 170,580
UAL Corp. (a)................... 5,770 205,758
US Airways Group, Inc. (a)...... 4,322 63,577
-----------
910,838
-----------
AUTO COMPONENTS -- 1.5%
BorgWarner, Inc. ............... 5,842 282,811
Gentex Corp. ................... 7,197 127,891
The Goodyear Tire & Rubber Co.
(a)........................... 10,601 299,160
-----------
709,862
-----------
AUTOMOBILES -- 0.2%
Thor Industries, Inc. .......... 1,948 74,044
-----------
BEVERAGES -- 0.8%
Constellation Brands, Inc.
(Class A) (a)................. 9,676 228,741
Hansen Natural Corp. (a)........ 3,671 162,588
-----------
391,329
-----------
BIOTECHNOLOGY -- 1.9%
Abraxis BioScience, Inc. ....... 301 20,700
Cephalon, Inc. (a).............. 3,365 241,472
ImClone Systems, Inc. (a)....... 3,087 132,741
Millennium Pharmaceuticals, Inc.
(a)........................... 16,110 241,328
PDL BioPharma, Inc. (a)......... 5,964 104,489
Vertex Pharmaceuticals, Inc.
(a)........................... 6,653 154,549
-----------
895,279
-----------
CAPITAL MARKETS -- 1.8%
Affiliated Managers Group, Inc.
(a)........................... 1,487 174,663
Eaton Vance Corp. .............. 6,222 282,541
GLG Partners, Inc. (a).......... 12,117 164,791
SEI Investments Co. ............ 7,137 229,598
-----------
851,593
-----------
CHEMICALS -- 1.5%
Celanese Corp. ................. 7,614 322,225
Huntsman Corp. ................. 4,536 116,575
Nalco Holding Co. .............. 7,258 175,498
Rockwood Holdings, Inc. (a)..... 1,264 41,990
Zep, Inc. (a)................... 1,099 15,243
-----------
671,531
-----------
COMMERCIAL SERVICES & SUPPLIES -- 4.8%
Allied Waste Industries, Inc.
(a)........................... 14,267 157,222
ChoicePoint, Inc. (a)........... 3,595 130,930
Cintas Corp. ................... 6,889 231,608
Copart, Inc. (a)................ 3,325 141,479
Corrections Corp. of America
(a)........................... 6,141 181,221
Covanta Holding Corp. (a)....... 5,386 148,977
Dun & Bradstreet Corp. ......... 2,918 258,622
EnergySolutions, Inc. (a)....... 1,495 40,350
IHS, Inc. (a)................... 1,600 96,896
Monster Worldwide, Inc. (a)..... 5,933 192,229
Robert Half International,
Inc. ......................... 8,104 219,132
Steelcase, Inc. (Class A)....... 3,123 49,562
Stericycle, Inc. (a)............ 4,442 263,855
The Corporate Executive Board
Co. .......................... 1,816 109,142
-----------
2,221,225
-----------
COMMUNICATIONS EQUIPMENT -- 1.9%
CIENA Corp. (a)................. 4,334 147,833
CommScope, Inc. (a)............. 3,352 164,952
F5 Networks, Inc. (a)........... 4,274 121,894
Foundry Networks, Inc. (a)...... 6,490 113,705
JDS Uniphase Corp. (a).......... 10,780 143,374
Polycom, Inc. (a)............... 4,605 127,927
Riverbed Technology, Inc. (a)... 2,654 70,968
-----------
890,653
-----------
COMPUTERS & PERIPHERALS -- 1.6%
Brocade Communications Systems,
Inc. (a)...................... 19,591 143,798
Diebold, Inc. .................. 3,294 95,460
Lexmark International, Inc.
(a)........................... 4,718 164,469
Western Digital Corp. (a)....... 11,113 335,724
-----------
739,451
-----------
CONSTRUCTION & ENGINEERING -- 1.4%
Aecom Technology Corp. (a)...... 3,721 106,309
KBR, Inc. (a)................... 8,441 327,511
Quanta Services, Inc. (a)....... 8,559 224,588
-----------
658,408
-----------
CONSTRUCTION MATERIALS -- 0.6%
Martin Marietta Materials,
Inc. ......................... 2,104 278,990
-----------
CONSUMER FINANCE -- 0.1%
The First Marblehead Corp. ..... 3,088 47,246
-----------
CONTAINERS & PACKAGING -- 1.9%
Ball Corp. ..................... 5,057 227,565
Crown Holdings, Inc. (a)........ 8,039 206,200
Greif, Inc. (Class A)........... 1,567 102,435
Pactiv Corp. (a)................ 6,557 174,613
Sealed Air Corp. ............... 8,047 186,208
-----------
897,021
-----------
DIVERSIFIED CONSUMER SERVICES -- 1.7%
Career Education Corp. (a)...... 4,581 115,166
DeVry, Inc. .................... 3,120 162,115
ITT Educational Services, Inc.
(a)........................... 1,999 170,455
Sotheby's Holdings, Inc. ....... 3,343 127,368
Strayer Education, Inc. ........ 732 124,865
Weight Watchers International,
Inc. ......................... 1,822 82,318
-----------
782,287
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
The Nasdaq Stock Market, Inc.
(a)........................... 5,370 265,761
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
Time Warner Telecom, Inc. (Class
A) (a)........................ 7,236 146,818
-----------
</Table>
See accompanying notes to financial statements.
36
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ELECTRICAL EQUIPMENT -- 2.3%
Acuity Brands, Inc. ............ 2,120 $ 95,400
AMETEK, Inc. ................... 5,336 249,938
General Cable Corp. (a)......... 2,608 191,114
Roper Industries, Inc. ......... 4,445 277,991
Sunpower Corp. (Class A) (a).... 1,834 239,135
-----------
1,053,578
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.9%
Arrow Electronics, Inc. (a)..... 6,233 244,832
Dolby Laboratories, Inc. (a).... 2,229 110,826
FLIR Systems, Inc. (a).......... 6,619 207,175
Itron, Inc. (a)................. 1,530 146,834
Jabil Circuit, Inc. ............ 9,183 140,225
Mettler Toledo International,
Inc. (a)...................... 1,814 206,433
National Instruments Corp. ..... 2,987 99,557
Trimble Navigation, Ltd. (a).... 5,997 181,349
-----------
1,337,231
-----------
ENERGY EQUIPMENT & SERVICES -- 4.7%
Dresser-Rand Group, Inc. (a).... 4,263 166,470
FMC Technologies, Inc. (a)...... 6,540 370,818
Global Industries, Ltd. (a)..... 4,470 95,747
Helix Energy Solutions Group,
Inc. (a)...................... 4,163 172,765
Helmerich & Payne, Inc. ........ 4,808 192,657
Hercules Offshore, Inc. (a)..... 4,471 106,320
Oceaneering International, Inc.
(a)........................... 2,719 183,125
Patterson-UTI Energy, Inc. ..... 7,789 152,041
Pride International, Inc. (a)... 8,341 282,760
Rowan Cos., Inc. ............... 5,560 219,398
Superior Energy Services, Inc.
(a)........................... 4,022 138,437
Unit Corp. (a).................. 2,364 109,335
-----------
2,189,873
-----------
FOOD & STAPLES RETAILING -- 0.2%
Rite Aid Corp. (a).............. 27,868 77,752
-----------
FOOD PRODUCTS -- 0.4%
Dean Foods Co. ................. 6,606 170,831
Seaboard Corp. ................. 19 27,930
-----------
198,761
-----------
GAS UTILITIES -- 0.5%
ONEOK, Inc. .................... 4,883 218,612
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 5.4%
Beckman Coulter, Inc. .......... 3,152 229,466
Dentsply International, Inc. ... 7,161 322,388
Edwards Lifesciences Corp. (a).. 2,935 134,981
Gen-Probe, Inc. (a)............. 2,655 167,079
Hologic, Inc. (a)............... 6,265 430,029
IDEXX Laboratories, Inc. (a).... 3,079 180,522
Immucor, Inc. (a)............... 3,520 119,645
Kinetic Concepts, Inc. (a)...... 2,695 144,344
ResMed, Inc. (a)................ 3,888 204,237
Respironics, Inc. (a)........... 3,672 240,442
Varian Medical Systems, Inc.
(a)........................... 6,343 330,851
-----------
2,503,984
-----------
HEALTH CARE PROVIDERS & SERVICES -- 4.3%
Brookdale Senior Living, Inc. .. 2,020 57,388
Community Health Systems, Inc.
(a)........................... 4,815 177,481
DaVita, Inc. (a)................ 5,372 302,712
Henry Schein, Inc. (a).......... 4,443 272,800
Lincare Holdings, Inc. (a)...... 4,030 141,695
Omnicare, Inc. ................. 6,178 140,920
Patterson Cos., Inc. (a)........ 6,502 220,743
Pediatrix Medical Group, Inc.
(a)........................... 2,433 165,809
Sierra Health Services, Inc.
(a)........................... 2,605 109,306
Universal Health Services, Inc.
(Class B)..................... 2,550 130,560
VCA Antech, Inc. (a)............ 4,155 183,776
WellCare Health Plans, Inc.
(a)........................... 2,092 88,722
-----------
1,991,912
-----------
HEALTH CARE TECHNOLOGY -- 1.2%
Cerner Corp. (a)................ 3,215 181,326
HLTH Corp. (a).................. 9,261 124,097
IMS Health, Inc. ............... 9,846 226,852
-----------
532,275
-----------
HOTELS, RESTAURANTS & LEISURE -- 3.3%
Boyd Gaming Corp. .............. 2,888 98,394
Brinker International, Inc. .... 5,238 102,455
Burger King Holdings, Inc. ..... 2,713 77,348
Chipotle Mexican Grill, Inc.
(a)........................... 1,635 240,459
Choice Hotels International,
Inc. ......................... 1,713 56,872
Darden Restaurants, Inc. ....... 6,521 180,697
Orient-Express Hotels, Ltd.
(Class A)..................... 2,013 115,788
Penn National Gaming, Inc. (a).. 3,739 222,657
Scientific Games Corp. (Class A)
(a)........................... 3,479 115,677
Wendy's International, Inc. .... 4,382 113,231
Wyndham Worldwide Corp. ........ 8,986 211,710
-----------
1,535,288
-----------
HOUSEHOLD DURABLES -- 1.4%
D.R. Horton, Inc. .............. 13,638 179,612
Lennar Corp. (Class A).......... 6,900 123,441
Pulte Homes, Inc. .............. 10,753 113,337
Tempur-Pedic International,
Inc. ......................... 3,547 92,115
Toll Brothers, Inc. (a)......... 6,928 138,976
-----------
647,481
-----------
HOUSEHOLD PRODUCTS -- 1.1%
Church & Dwight Co., Inc. ...... 3,306 178,755
Energizer Holdings, Inc. (a).... 2,868 321,589
-----------
500,344
-----------
INSURANCE -- 2.4%
Arch Capital Group, Ltd. (a).... 2,314 162,790
Axis Capital Holdings, Ltd. .... 7,047 274,622
Brown & Brown, Inc. ............ 5,695 133,832
HCC Insurance Holdings, Inc. ... 5,591 160,350
Philadelphia Consolidated
Holding Co. (a)............... 3,008 118,365
WR Berkley Corp. ............... 8,053 240,060
-----------
1,090,019
-----------
INTERNET & CATALOG RETAIL -- 0.4%
Priceline.com, Inc. (a)......... 1,724 198,019
-----------
INTERNET SOFTWARE & SERVICES -- 1.0%
Akamai Technologies, Inc. (a)... 8,366 289,464
Equinix, Inc. (a)............... 1,554 157,063
WebMD Health Corp. (Class A)
(a)........................... 405 16,633
-----------
463,160
-----------
</Table>
See accompanying notes to financial statements.
37
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
IT SERVICES -- 3.7%
Affiliated Computer Services,
Inc. (a)...................... 4,784 $ 215,758
Broadridge Financial Solutions,
Inc. ......................... 6,943 155,732
DST Systems, Inc. (a)........... 2,466 203,568
Gartner, Inc. (a)............... 3,493 61,337
Genpact, Ltd. .................. 1,779 27,094
Global Payments, Inc. .......... 3,968 184,591
Hewitt Associates, Inc. (Class
A) (a)........................ 4,912 188,081
Iron Mountain, Inc. (a)......... 9,170 339,473
Total System Services, Inc. .... 9,832 275,296
VeriFone Holdings, Inc. (a)..... 3,318 77,144
-----------
1,728,074
-----------
LIFE SCIENCES TOOLS & SERVICES -- 4.3%
Applera Corp. -- Applied
Biosystems Group.............. 8,467 287,201
Bio-Rad Laboratories, Inc.
(Class A) (a)................. 966 100,097
Charles River Laboratories
International, Inc. (a)....... 3,417 224,839
Covance, Inc. (a)............... 3,210 278,050
Illumina, Inc. (a).............. 2,775 164,447
Invitrogen Corp. (a)............ 2,330 217,645
Millipore Corp. (a)............. 2,747 201,025
Pharmaceutical Product
Development, Inc. ............ 5,246 211,781
Techne Corp. (a)................ 1,947 128,599
Ventana Medical Systems, Inc.
(a)........................... 1,750 152,653
-----------
1,966,337
-----------
MACHINERY -- 4.0%
Bucyrus International, Inc.
(Class A)..................... 1,846 183,474
Donaldson Co., Inc. ............ 3,510 162,794
Flowserve Corp. ................ 2,872 276,286
Graco, Inc. .................... 3,159 117,704
Harsco Corp. ................... 4,231 271,080
Joy Global, Inc. ............... 5,441 358,127
Oshkosh Truck Corp. ............ 3,659 172,924
The Manitowoc Co., Inc. ........ 6,537 319,202
-----------
1,861,591
-----------
MEDIA -- 2.1%
Gemstar-TV Guide International,
Inc. (a)...................... 12,419 59,114
Interactive Data Corp. ......... 1,850 61,069
John Wiley & Sons, Inc. (Class
A)............................ 2,509 107,486
Lamar Advertising Co. .......... 3,433 165,024
Morningstar, Inc. (a)........... 736 57,224
R.H. Donnelley Corp. (a)........ 3,587 130,854
Sirius Satellite Radio, Inc.
(a)........................... 66,674 202,022
XM Satellite Radio Holdings,
Inc. (Class A) (a)............ 15,257 186,746
-----------
969,539
-----------
METALS & MINING -- 0.8%
AK Steel Holding Corp. (a)...... 5,612 259,499
Titanium Metals Corp. .......... 4,401 116,406
-----------
375,905
-----------
MULTILINE RETAIL -- 0.5%
Dollar Tree Stores, Inc. (a).... 4,782 123,950
Family Dollar Stores, Inc. ..... 6,658 128,033
-----------
251,983
-----------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp. (Class
A) (a)........................ 3,390 117,633
-----------
OIL, GAS & CONSUMABLE FUELS -- 6.7%
Arch Coal, Inc. ................ 7,208 323,855
Cabot Oil & Gas Corp. .......... 4,854 195,956
Cimarex Energy Co. ............. 4,124 175,394
CNX Gas Corp. (a)............... 1,412 45,113
Continental Resources Inc. (a).. 2,260 59,054
Denbury Resources, Inc. (a)..... 12,165 361,909
Enterprise GP Holdings LP....... 1,797 66,525
Frontier Oil Corp. ............. 5,305 215,277
Holly Corp. .................... 2,308 117,454
Kinder Morgan Management LLC
(a)........................... 3,079 163,002
Petrohawk Energy Corp. (a)...... 8,460 146,443
Pioneer Natural Resources Co. .. 6,015 293,773
Plains Exploration & Production
Co. (a)....................... 5,635 304,290
Quicksilver Resources, Inc.
(a)........................... 2,766 164,826
Range Resources Corp. .......... 7,478 384,070
SandRidge Energy, Inc. (a)...... 1,500 53,790
Western Refining, Inc. ......... 1,398 33,845
-----------
3,104,576
-----------
PAPER & FOREST PRODUCTS -- 0.4%
Domtar Corp. (a)................ 23,151 178,031
-----------
PERSONAL PRODUCTS -- 0.4%
Herbalife, Ltd. ................ 2,599 104,688
NBTY, Inc. (a).................. 3,044 83,405
-----------
188,093
-----------
PHARMACEUTICALS -- 1.4%
APP Pharmaceuticals, Inc. (a)... 1,207 12,396
Endo Pharmaceuticals Holdings,
Inc. (a)...................... 6,649 177,329
Mylan Laboratories, Inc. ....... 15,214 213,909
Sepracor, Inc. (a).............. 5,510 144,637
Warner Chilcott, Ltd. (a)....... 4,257 75,477
-----------
623,748
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.5%
Camden Property Trust........... 2,791 134,387
CapitalSource, Inc. ............ 7,764 136,569
Taubman Centers, Inc. .......... 2,644 130,058
Ventas, Inc. ................... 6,715 303,854
-----------
704,868
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6%
Jones Lang LaSalle, Inc. ....... 1,861 132,429
The St. Joe Co. ................ 3,746 133,020
-----------
265,449
-----------
ROAD & RAIL -- 0.5%
J.B. Hunt Transport Services,
Inc. ......................... 4,280 117,914
Landstar Systems, Inc. ......... 2,700 113,805
-----------
231,719
-----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.2%
Atmel Corp. (a)................. 20,917 90,361
Cypress Semiconductor Corp.
(a)........................... 7,686 276,927
Integrated Device Technology,
Inc. (a)...................... 9,613 108,723
International Rectifier Corp.
(a)........................... 3,610 122,632
Intersil Corp. (Class A)........ 6,583 161,152
LSI Logic Corp. (a)............. 35,509 188,553
Novellus Systems, Inc. (a)...... 5,839 160,981
ON Semiconductor Corp. (a)...... 14,632 129,932
</Table>
See accompanying notes to financial statements.
38
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Teradyne, Inc. (a).............. 8,711 $ 90,072
Varian Semiconductor Equipment
Associates, Inc. (a).......... 3,814 141,118
-----------
1,470,451
-----------
SOFTWARE -- 6.0%
Activision, Inc. (a)............ 14,559 432,402
Ansys, Inc. (a)................. 3,898 161,611
BEA Systems, Inc. (a)........... 19,897 313,975
Factset Research Systems,
Inc. ......................... 2,246 125,102
Jack Henry & Associates, Inc. .. 4,147 100,938
McAfee, Inc. (a)................ 8,017 300,637
MICROS Systems, Inc. (a)........ 2,052 143,968
NAVTEQ Corp. (a)................ 4,918 371,801
Nuance Communications, Inc.
(a)........................... 7,694 143,724
Red Hat, Inc. (a)............... 9,643 200,960
Salesforce.com, Inc. (a)........ 4,933 309,250
Synopsys, Inc. (a).............. 7,190 186,437
-----------
2,790,805
-----------
SPECIALTY RETAIL -- 4.3%
Advance Auto Parts, Inc. ....... 5,077 192,875
American Eagle Outfitters,
Inc. ......................... 9,252 192,164
AutoNation, Inc. (a)............ 6,799 106,472
CarMax, Inc. (a)................ 10,878 214,840
Chico's FAS, Inc. (a)........... 8,821 79,654
Dick's Sporting Goods, Inc.
(a)........................... 4,197 116,509
Guess ?, Inc. .................. 2,722 103,137
J. Crew Group, Inc. (a)......... 2,171 104,664
Mens Wearhouse, Inc. ........... 2,455 66,236
O'Reilly Automotive, Inc. (a)... 5,671 183,910
PetSmart, Inc. ................. 6,824 160,569
Ross Stores, Inc. .............. 6,896 176,331
Urban Outfitters, Inc. (a)...... 5,907 161,025
Williams-Sonoma, Inc. .......... 4,400 113,960
-----------
1,972,346
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
CROCS, Inc. (a)................. 3,865 142,271
Liz Claiborne, Inc. ............ 4,995 101,648
Under Armour, Inc. (Class A)
(a)........................... 1,529 66,771
-----------
310,690
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.2%
MSC Industrial Direct Co., Inc.
(Class A)..................... 2,311 93,526
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
Clearwire Corp. (Class A) (a)... 3,503 48,026
Leap Wireless International,
Inc. (a)...................... 2,466 115,014
SBA Communications Corp. (a).... 4,920 166,492
-----------
329,532
-----------
TOTAL COMMON STOCKS --
(Cost $46,619,280)............ 46,202,295
-----------
SHORT TERM INVESTMENTS -- 1.9%
MONEY MARKET FUND -- 1.9%
STIC Prime Portfolio
(Cost $883,540)............... 883,540 883,540
-----------
TOTAL INVESTMENTS -- 101.8%
(Cost $47,502,820)............ 47,085,835
OTHER ASSETS AND
LIABILITIES -- (1.8)%......... (836,199)
-----------
NET ASSETS -- 100.0%............ $46,249,636
===========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
39
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AUTO COMPONENTS -- 0.6%
TRW Automotive Holdings Corp.
(a)........................... 962 $ 20,106
WABCO Holdings, Inc. ........... 1,017 50,941
-----------
71,047
-----------
BEVERAGES -- 0.3%
PepsiAmericas, Inc. ............ 1,166 38,851
-----------
BUILDING PRODUCTS -- 1.1%
Lennox International, Inc. ..... 1,082 44,817
Owens Corning, Inc. (a)......... 1,600 32,352
USG Corp. (a)................... 1,299 46,491
-----------
123,660
-----------
CAPITAL MARKETS -- 3.4%
Federated Investors, Inc. ...... 1,721 70,836
Janus Capital Group, Inc. ...... 3,061 100,554
Jefferies Group, Inc. .......... 1,921 44,279
MF Global, Ltd.(a).............. 1,747 54,978
Raymond James Financial, Inc. .. 1,721 56,208
The Blackstone Group LP......... 2,614 57,848
-----------
384,703
-----------
CHEMICALS -- 7.1%
Airgas, Inc. ................... 1,266 65,971
Albemarle Corp. ................ 1,391 57,379
Ashland, Inc. .................. 1,011 47,952
Cabot Corp. .................... 1,101 36,707
CF Industries Holdings, Inc. ... 887 97,623
Cytec Industries, Inc. ......... 750 46,185
Eastman Chemical Co. ........... 1,455 88,886
FMC Corp. ...................... 1,303 71,078
Hercules, Inc. ................. 2,100 40,635
International Flavors &
Fragrances, Inc. ............. 1,337 64,350
Lubrizol Corp. ................. 1,231 66,671
RPM International, Inc. ........ 2,158 43,807
The Scotts Miracle-Gro Co.
(Class A)..................... 776 29,038
Valhi, Inc. .................... 189 3,013
Valspar Corp. .................. 1,705 38,431
-----------
797,726
-----------
COMMERCIAL BANKS -- 5.2%
Associated Bancorp.............. 2,148 58,189
Bank of Hawaii Corp. ........... 891 45,566
BOK Financial Corp. ............ 408 21,094
City National Corp. ............ 714 42,519
Commerce Bancshares, Inc. ...... 1,213 54,395
Cullen/Frost Bankers, Inc. ..... 1,043 52,838
First Horizon National Corp. ... 2,266 41,128
Fulton Financial Corp. ......... 3,133 35,152
PNC Financial Services Group,
Inc. ......................... 1 66
Popular, Inc. .................. 4,573 48,474
TCF Financial Corp. ............ 2,134 38,263
The Colonial BancGroup, Inc. ... 2,734 37,018
Valley National Bancorp......... 2,155 41,074
Webster Financial Corp. ........ 985 31,490
Wilmington Trust Corp. ......... 1,213 42,698
-----------
589,964
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.4%
The Brink's Co. ................ 738 44,088
-----------
COMMUNICATIONS EQUIPMENT -- 0.4%
Tellabs, Inc. (a)............... 7,225 47,252
-----------
CONSTRUCTION & ENGINEERING -- 1.6%
Granite Construction, Inc. ..... 624 22,576
The Shaw Group, Inc. (a)........ 1,359 82,138
URS Corp. (a)................... 1,433 77,855
-----------
182,569
-----------
CONSUMER FINANCE -- 0.1%
The Student Loan Corp. ......... 69 7,590
-----------
CONTAINERS & PACKAGING -- 3.4%
Aptargroup, Inc. ............... 1,154 47,210
Bemis Co., Inc. ................ 1,802 49,339
Owens-Illinois, Inc. (a)........ 2,625 129,938
Packaging Corp. of America...... 1,656 46,699
Smurfit-Stone Container Corp.
(a)........................... 4,551 48,059
Sonoco Products Co. ............ 1,774 57,974
-----------
379,219
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.6%
Service Corp. International..... 5,127 72,034
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.1%
MSCI, Inc. (Class A)(a)......... 248 9,523
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.4%
CenturyTel, Inc. ............... 1,981 82,132
Citizens Communications Co. .... 5,883 74,891
-----------
157,023
-----------
ELECTRIC UTILITIES -- 3.9%
DPL, Inc. ...................... 2,027 60,100
Great Plains Energy, Inc. ...... 1,550 45,446
Northeast Utilities............. 2,761 86,447
Pepco Holdings, Inc. ........... 3,596 105,471
Pinnacle West Capital Corp. .... 1,779 75,447
Sierra Pacific Resources........ 3,963 67,292
-----------
440,203
-----------
ELECTRICAL EQUIPMENT -- 0.9%
Hubbell, Inc. (Class B)......... 972 50,155
Thomas & Betts Corp. (a)........ 1,056 51,786
-----------
101,941
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.8%
Anixter International, Inc.
(a)........................... 571 35,556
AVX Corp. ...................... 928 12,454
Ingram Micro, Inc. (Class
A)(a)......................... 2,646 47,734
Molex, Inc. .................... 2,466 67,322
Vishay Intertechnology, Inc.
(a)........................... 3,086 35,211
-----------
198,277
-----------
ENERGY EQUIPMENT & SERVICES -- 1.3%
Exterran Holdings, Inc. (a)..... 1,185 96,933
Tidewater, Inc. ................ 1,000 54,860
-----------
151,793
-----------
FOOD PRODUCTS -- 2.8%
Corn Products International,
Inc. ......................... 1,335 49,061
Hormel Foods Corp. ............. 1,321 53,474
McCormick & Co., Inc. .......... 2,047 77,602
Pilgrim's Pride Corp. .......... 748 21,655
</Table>
See accompanying notes to financial statements.
40
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Smithfield Foods, Inc. (a)...... 2,256 $ 65,243
The J.M. Smucker Co. ........... 1,025 52,726
-----------
319,761
-----------
GAS UTILITIES -- 3.0%
AGL Resources, Inc. ............ 1,388 52,244
Atmos Energy Corp. ............. 1,599 44,836
Energen Corp. .................. 1,164 74,764
National Fuel Gas Co. .......... 1,261 58,863
Southern Union Co. ............. 1,806 53,024
UGI Corp. ...................... 1,883 51,312
-----------
335,043
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8%
Hillenbrand Industries, Inc. ... 1,046 58,294
The Cooper Cos., Inc. .......... 805 30,590
-----------
88,884
-----------
HOTELS, RESTAURANTS & LEISURE -- 0.2%
International Speedway Corp.
(Class A)..................... 605 24,914
-----------
HOUSEHOLD DURABLES -- 2.7%
Centex Corp. ................... 2,181 55,092
KB HOME......................... 1,389 30,003
Leggett & Platt, Inc. .......... 3,068 53,506
NVR, Inc. (a)................... 84 44,016
Snap-on, Inc. .................. 1,033 49,832
The Stanley Works............... 1,486 72,041
-----------
304,490
-----------
INDUSTRIAL CONGLOMERATES -- 0.8%
Carlisle Cos., Inc. ............ 1,110 41,103
Teleflex, Inc. ................. 695 43,792
-----------
84,895
-----------
INSURANCE -- 8.9%
Alleghany Corp. (a)............. 94 37,788
Allied World Assurance Holdings,
Ltd. ......................... 627 31,457
American Financial Group,
Inc. ......................... 1,219 35,205
American National Insurance
Co. .......................... 284 34,432
Arthur J. Gallagher & Co. ...... 1,696 41,026
Endurance Specialty Holdings,
Ltd. ......................... 1,038 43,316
Erie Indemnity Co. (Class A).... 801 41,564
Fidelity National Financial,
Inc. ......................... 3,869 56,526
First American Corp. ........... 1,453 49,576
Markel Corp. (a)................ 179 87,907
Mercury General Corp. .......... 477 23,759
Odyssey Re Holdings Corp. ...... 497 18,245
Old Republic International
Corp. ........................ 4,165 64,183
PartnerRe, Ltd. ................ 998 82,365
Protective Life Corp. .......... 1,248 51,193
Reinsurance Group America,
Inc. ......................... 525 27,552
RenaissanceRe Holdings, Ltd. ... 1,184 71,324
StanCorp Financial Group,
Inc. ......................... 888 44,737
Transatlantic Holdings, Inc. ... 472 34,300
Unitrin, Inc. .................. 839 40,264
Wesco Financial Corp. .......... 25 10,175
White Mountains Insurance Group,
Ltd. ......................... 140 71,967
-----------
998,861
-----------
IT SERVICES -- 0.6%
Convergys Corp. (a)............. 2,334 38,417
Unisys Corp. (a)................ 6,279 29,700
-----------
68,117
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.8%
Brunswick Corp. ................ 1,603 27,331
Hasbro, Inc. ................... 2,370 60,625
-----------
87,956
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.5%
PerkinElmer, Inc. .............. 2,124 55,267
-----------
MACHINERY -- 5.7%
AGCO Corp. (a).................. 1,644 111,759
Crane Co. ...................... 942 40,412
IDEX Corp. ..................... 1,443 52,135
Kennametal, Inc. ............... 1,380 52,247
Lincoln Electric Holdings,
Inc. ......................... 727 51,748
Pall Corp. ..................... 2,197 88,583
Pentair, Inc. .................. 1,789 62,275
SPX Corp. ...................... 941 96,782
The Timken Co. ................. 1,359 44,643
Trinity Industries, Inc. ....... 1,418 39,364
-----------
639,948
-----------
MEDIA -- 2.3%
DreamWorks Animation SKG, Inc.
(Class A)(a).................... 1,326 33,866
Idearc, Inc. ................... 2,615 45,919
Meredith Corp. ................. 696 38,266
Regal Entertainment Group....... 1,414 25,551
The Interpublic Group of Cos.,
Inc. (a)...................... 8,441 68,457
The New York Times Co. (Class
A)............................ 2,559 44,859
-----------
256,918
-----------
METALS & MINING -- 3.3%
Carpenter Technology Corp. ..... 882 66,300
Cleveland-Cliffs, Inc. ......... 736 74,189
Commercial Metals Co. .......... 2,132 62,787
Reliance Steel & Aluminum Co. .. 1,185 64,227
Steel Dynamics, Inc. ........... 1,733 103,235
-----------
370,738
-----------
MULTI-UTILITIES -- 8.8%
Alliant Energy Corp. ........... 1,980 80,566
CenterPoint Energy, Inc. ....... 5,084 87,089
CMS Energy Corp. ............... 4,038 70,181
Energy East Corp. .............. 2,823 76,814
Integrys Energy Group, Inc. .... 1,362 70,402
MDU Resources Group, Inc. ...... 3,005 82,968
NiSource, Inc. ................. 4,924 93,014
NSTAR........................... 1,787 64,725
OGE Energy Corp. ............... 1,650 59,879
Puget Energy, Inc. ............. 2,094 57,438
SCANA Corp. .................... 1,889 79,621
TECO Energy, Inc. .............. 3,753 64,589
Wisconsin Energy Corp. ......... 2,102 102,389
-----------
989,675
-----------
</Table>
See accompanying notes to financial statements.
41
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
MULTILINE RETAIL -- 0.7%
Big Lots, Inc. (a).............. 1,822 $ 29,134
Saks, Inc. (a).................. 2,264 47,000
-----------
76,134
-----------
OIL, GAS & CONSUMABLE FUELS -- 3.7%
Boardwalk Pipeline Partners LP.. 669 20,806
Cheniere Energy Partners LP..... 234 3,758
Enbridge Energy Partners LP..... 1,047 52,915
Forest Oil Corp. (a)............ 1,398 71,074
Magellan Midstream Partners LP.. 1,197 51,902
NuStar Energy LP................ 692 36,884
ONEOK Partners LP............... 832 50,960
Overseas Shipholding Group,
Inc. ......................... 506 37,661
Teekay Corp. ................... 766 40,759
TEPPCO Partners LP.............. 1,311 50,251
-----------
416,970
-----------
PAPER & FOREST PRODUCTS -- 0.9%
MeadWestvaco Corp. ............. 3,296 103,165
-----------
PHARMACEUTICALS -- 0.8%
King Pharmaceuticals, Inc. (a).. 4,299 44,022
Watson Pharmaceuticals, Inc.
(a)........................... 1,833 49,747
-----------
93,769
-----------
REAL ESTATE INVESTMENT TRUSTS -- 10.9%
Alexandria Real Estate Equities,
Inc. ......................... 572 58,155
AMB Property Corp. ............. 1,776 102,227
Annaly Capital Management,
Inc. ......................... 7,216 131,187
Apartment Investment &
Management Co. (Class A)...... 1,715 59,562
BRE Properties, Inc. (Class A).. 909 36,842
Douglas Emmett, Inc. ........... 1,754 39,658
Duke Realty Corp. .............. 2,613 68,147
Essex Property Trust, Inc. ..... 448 43,675
Federal Realty Investment
Trust......................... 1,013 83,218
Health Care REIT, Inc. ......... 1,523 68,063
Hospitality Properties Trust.... 1,691 54,484
iStar Financial, Inc. .......... 2,266 59,029
Liberty Property Trust.......... 1,651 47,565
Mack-Cali Realty Corp. ......... 1,203 40,902
Nationwide Health Properties,
Inc. ......................... 1,667 52,294
Rayonier, Inc. ................. 1,382 65,286
Realty Income Corp. ............ 1,812 48,960
Regency Centers Corp. .......... 1,245 80,290
UDR, Inc. ...................... 2,415 47,938
Weingarten Realty Investors..... 1,416 44,519
-----------
1,232,001
-----------
ROAD & RAIL -- 0.9%
Kansas City Southern(a)......... 1,385 47,547
Ryder Systems, Inc. ............ 1,041 48,937
-----------
96,484
-----------
SOFTWARE -- 1.5%
Cadence Design Systems, Inc.
(a)........................... 4,825 82,073
Compuware Corp. (a)............. 5,132 45,572
Novell, Inc. (a)................ 6,215 42,697
-----------
170,342
-----------
SPECIALTY RETAIL -- 1.2%
Barnes & Noble, Inc. ........... 961 33,107
Foot Locker, Inc. .............. 2,829 38,644
OfficeMax, Inc. ................ 1,347 27,829
RadioShack Corp. ............... 2,350 39,621
-----------
139,201
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.7%
Hanesbrands, Inc. (a)........... 1,722 46,787
Phillips-Van Heusen Corp. ...... 1,012 37,302
-----------
84,089
-----------
THRIFTS & MORTGAGE FINANCE -- 2.8%
Astoria Financial Corp. ........ 1,602 37,279
Capitol Federal Financial....... 385 11,935
MGIC Investment Corp. .......... 1,467 32,905
New York Community Bancorp,
Inc. ......................... 5,810 102,140
People's United Financial,
Inc. ......................... 3,029 53,916
TFS Financial Corp. (a)......... 1,817 21,695
The PMI Group, Inc. ............ 1,450 19,256
Washington Federal, Inc. ....... 1,566 33,058
-----------
312,184
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.5%
GATX Corp. ..................... 755 27,693
United Rentals, Inc. (a)........ 1,399 25,686
-----------
53,379
-----------
WATER UTILITIES -- 0.4%
Aqua America, Inc. ............. 2,366 50,159
-----------
TOTAL COMMON STOCKS --
(Cost $12,779,523)............ 11,250,807
-----------
SHORT TERM INVESTMENTS -- 0.7%
MONEY MARKET FUND -- 0.7%
STIC Prime Portfolio
(Cost $73,697)................ 73,697 73,697
-----------
TOTAL INVESTMENTS -- 100.5%
(Cost $12,853,220)............ 11,324,504
OTHER ASSETS AND
LIABILITIES -- (0.5)%......... (53,233)
-----------
NET ASSETS -- 100.0%............ $11,271,271
===========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
42
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
AAR Corp. (a).................... 194 $ 7,378
American Science & Engineering,
Inc. .......................... 45 2,554
Argon ST, Inc. (a)............... 66 1,225
BE Aerospace, Inc. (a)........... 465 24,598
Ceradyne, Inc. (a)............... 128 6,007
Cubic Corp. ..................... 83 3,254
Curtiss-Wright Corp. ............ 222 11,144
DRS Technologies, Inc. .......... 209 11,342
DynCorp International, Inc. (a).. 126 3,387
Esterline Technologies Corp.
(a)............................ 144 7,452
GenCorp, Inc. (a)................ 277 3,230
Heico Corp. ..................... 102 4,345
Hexcel Corp. (a)................. 473 11,484
Innovative Solutions & Support,
Inc. (a)....................... 50 485
Ionatron, Inc. (a)............... 223 638
Ladish Co., Inc. (a)............. 74 3,196
Moog, Inc. (a)................... 196 8,979
MTC Technologies, Inc. (a)....... 47 1,105
Orbital Sciences Corp. (a)....... 296 7,258
Taser International, Inc. (a).... 313 4,504
Teledyne Technologies, Inc. (a).. 162 8,639
TransDigm Group, Inc. (a)........ 122 5,511
Triumph Group, Inc. ............. 84 6,917
----------
144,632
----------
AIR FREIGHT & LOGISTICS -- 0.3%
ABX Air, Inc. (a)................ 280 1,170
Atlas Air Worldwide Holdings,
Inc. (a)....................... 77 4,175
Forward Air Corp. ............... 145 4,520
HUB Group, Inc. (Class A)(a)..... 192 5,103
Pacer International, Inc. ....... 177 2,584
UTI Worldwide, Inc. ............. 443 8,683
----------
26,235
----------
AIRLINES -- 0.5%
AirTran Holdings, Inc. (a)....... 441 3,157
Alaska Air Group, Inc. (a)....... 200 5,002
Allegiant Travel Co.(a).......... 67 2,153
Continental Airlines, Inc. (Class
B)(a).......................... 488 10,858
ExpressJet Holdings, Inc. (a).... 306 759
JetBlue Airways Corp. (a)........ 822 4,850
Republic Airways Holdings, Inc.
(a)............................ 181 3,546
SkyWest, Inc. ................... 309 8,297
US Airways Group, Inc. (a)....... 428 6,296
----------
44,918
----------
AUTO COMPONENTS -- 0.7%
Aftermarket Technology Corp.
(a)............................ 113 3,080
American Axle & Manufacturing
Holdings, Inc. ................ 233 4,339
ArvinMeritor, Inc. .............. 371 4,352
Cooper Tire & Rubber Co. ........ 304 5,040
Drew Industries, Inc. (a)........ 92 2,521
Gentex Corp. .................... 725 12,883
Lear Corp. (a)................... 325 8,990
Modine Manufacturing Co. ........ 144 2,377
Sauer-Danfoss, Inc. ............. 51 1,278
Superior Industries
International, Inc. ........... 107 1,944
Tenneco Automotive, Inc. (a)..... 228 5,944
TRW Automotive Holdings Corp.
(a)............................ 262 5,476
Visteon Corp. (a)................ 680 2,985
----------
61,209
----------
AUTOMOBILES -- 0.1%
Fleetwood Enterprises, Inc. (a).. 323 1,932
Monaco Coach Corp. .............. 133 1,181
Thor Industries, Inc. ........... 194 7,374
Winnebago Industries, Inc. ...... 153 3,216
----------
13,703
----------
BEVERAGES -- 0.3%
Boston Beer Co., Inc. (a)........ 54 2,033
Central European Distribution
Corp. (a)...................... 165 9,583
Coca-Cola Hellenic Bottling Co.
SA............................. 22 1,296
PepsiAmericas, Inc. ............. 328 10,929
----------
23,841
----------
BIOTECHNOLOGY -- 2.6%
Affymax, Inc. (a)................ 32 716
Alexion Pharmaceuticals, Inc.
(a)............................ 188 14,106
Alkermes, Inc. (a)............... 516 8,044
Alnylam Pharmaceuticals, Inc.
(a)............................ 163 4,740
Altus Pharmaceuticals, Inc. (a).. 118 611
Applera Corp. -- Celera Genomics
Group(a)....................... 407 6,459
Arena Pharmaceuticals, Inc. (a).. 364 2,850
Ariad Pharmaceuticals, Inc. (a).. 325 1,381
BioMarin Pharmaceuticals, Inc.
(a)............................ 478 16,921
Cepheid, Inc. (a)................ 272 7,167
Cougar Biotechnology, Inc. (a)... 69 2,256
Cubist Pharmaceuticals, Inc.
(a)............................ 278 5,702
CV Therapeutics, Inc. (a)........ 265 2,398
Dendreon Corp. (a)............... 410 2,550
Enzon Pharmaceuticals, Inc. (a).. 206 1,963
Geron Corp. (a).................. 396 2,249
GTx, Inc. (a).................... 77 1,105
Halozyme Therapeutics, Inc. (a).. 331 2,353
Human Genome Sciences, Inc. (a).. 666 6,953
ImClone Systems, Inc. (a)........ 308 13,244
Incyte, Inc. (a)................. 383 3,849
InterMune, Inc. (a).............. 150 2,000
Isis Pharmaceuticals, Inc. (a)... 431 6,788
Keryx Biopharmaceuticals, Inc.
(a)............................ 219 1,840
Lexicon Genetics, Inc. (a)....... 504 1,527
Life Cell Corp. (a).............. 174 7,501
Ligand Pharmaceuticals, Inc.
(Class B)...................... 355 1,715
MannKind Corp. (a)............... 262 2,086
Martek Biosciences Corp. (a)..... 161 4,762
Maxygen, Inc. (a)................ 140 1,124
Medarex, Inc. (a)................ 623 6,492
Momenta Pharmaceuticals, Inc.
(a)............................ 137 978
Myriad Genetics, Inc. (a)........ 216 10,027
Neurocrine Biosciences, Inc.
(a)............................ 180 817
Onyx Pharmaceuticals, Inc. (a)... 275 15,296
Opko Health, Inc. (a)............ 472 1,345
OSI Pharmaceuticals, Inc. (a).... 291 14,116
PDL BioPharma, Inc. (a).......... 590 10,337
Pharmion Corp. (a)............... 151 9,492
Progenics Pharmaceuticals, Inc.
(a)............................ 118 2,132
Regeneron Pharmaceuticals, Inc.
(a)............................ 339 8,187
Savient Pharmaceuticals, Inc.
(a)............................ 266 6,110
</Table>
See accompanying notes to financial statements.
43
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Seattle Genetics, Inc. (a)....... 230 $ 2,622
Theravance, Inc. (a)............. 263 5,129
United Therapeutics Corp. (a).... 98 9,570
Vanda Pharmaceuticals, Inc. (a).. 104 716
Zymogenetics, Inc. (a)........... 183 2,136
----------
242,462
----------
BUILDING PRODUCTS -- 0.6%
American Woodmark Corp. ......... 51 927
Ameron International Corp. ...... 44 4,054
Apogee Enterprises, Inc. ........ 151 2,584
Armstrong World Industries, Inc.
(a)............................ 91 3,650
Builders FirstSource, Inc. (a)... 77 556
Gibraltar Industries, Inc. ...... 147 2,267
Goodman Global, Inc. (a)......... 165 4,049
Griffon Corp. (a)................ 130 1,618
Lennox International, Inc. ...... 301 12,467
NCI Building Systems, Inc. (a)... 97 2,793
Owens Corning, Inc. (a).......... 449 9,079
PGT, Inc. (a).................... 59 281
Simpson Manufacturing Co.,
Inc. .......................... 185 4,919
Trex Co., Inc. (a)............... 59 502
Universal Forest Products,
Inc. .......................... 93 2,740
----------
52,486
----------
CAPITAL MARKETS -- 1.8%
Affiliated Managers Group, Inc.
(a)............................ 151 17,736
Calamos Asset Management, Inc.
(Class B)...................... 109 3,246
Cohen & Steers, Inc. ............ 78 2,338
FBR Capital Markets Corp. (a).... 173 1,657
FCStone Group, Inc. (a).......... 92 4,235
GAMCO Investors, Inc. ........... 30 2,076
GFI Group, Inc. (a).............. 80 7,658
Greenhill & Co., Inc. ........... 45 2,992
Investment Technology Group, Inc.
(a)............................ 222 10,565
Jefferies Group, Inc. ........... 547 12,608
KBW, Inc. (a).................... 152 3,890
Knight Capital Group, Inc. (a)... 514 7,402
LaBranche & Co., Inc. (a)........ 266 1,341
Lazard, Ltd. .................... 259 10,536
MF Global, Ltd.(a)............... 494 15,546
optionsXpress Holdings, Inc. .... 243 8,218
Penson Worldwide, Inc. (a)....... 101 1,449
Piper Jaffray Cos., Inc. (a)..... 92 4,261
Pzena Investment Management,
Inc. .......................... 23 262
Raymond James Financial, Inc. ... 485 15,840
Stifel Financial Corp. (a)....... 60 3,154
SWS Group, Inc. ................. 129 1,634
Thomas Weisel Partners Group,
Inc. (a)....................... 120 1,648
TradeStation Group, Inc. (a)..... 166 2,359
W.P. Carey & Co. LLC............. 140 4,648
W.P. Stewart & Co., Ltd. ........ 107 547
Waddell & Reed Financial, Inc.
(Class A)...................... 419 15,122
----------
162,968
----------
CHEMICALS -- 3.2%
A. Schulman, Inc. ............... 125 2,694
Airgas, Inc. .................... 357 18,603
Albemarle Corp. ................. 390 16,088
American Vanguard Corp. ......... 96 1,666
Arch Chemicals, Inc. ............ 119 4,373
Cabot Corp. ..................... 309 10,302
CF Industries Holdings, Inc. .... 250 27,515
Chemtura Corp. .................. 1,221 9,524
Cytec Industries, Inc. .......... 211 12,993
Ferro Corp. ..................... 213 4,415
Flotek Industries, Inc. (a)...... 88 3,172
FMC Corp. ....................... 366 19,965
Georgia Gulf Corp. .............. 173 1,145
H.B. Fuller Co. ................. 301 6,757
Hercules, Inc. .................. 590 11,417
Koppers Holdings, Inc. .......... 81 3,502
Kronos Worldwide, Inc. .......... 14 244
Minerals Technologies, Inc. ..... 98 6,561
Nalco Holding Co. ............... 728 17,603
NewMarket Corp. ................. 69 3,843
NL Industries, Inc. ............. 35 400
Olin Corp. ...................... 326 6,302
OM Group, Inc. (a)............... 155 8,919
PolyOne Corp. (a)................ 418 2,750
Rockwood Holdings, Inc. (a)...... 125 4,153
RPM International, Inc. ......... 614 12,464
Sensient Technologies Corp. ..... 233 6,589
Spartech Corp. .................. 155 2,186
Symyx Technologies, Inc. (a)..... 153 1,175
Terra Industries, Inc. (a)....... 448 21,396
Terra Nitrogen Co. LP............ 36 5,383
The Scotts Miracle-Gro Co. (Class
A)............................. 213 7,970
Tronox, Inc. .................... 192 1,709
Valhi, Inc. ..................... 63 1,004
Valspar Corp. ................... 475 10,707
W.R. Grace & Co.(a).............. 299 7,828
Westlake Chemical Corp. ......... 91 1,728
Zep, Inc. (a).................... 110 1,526
Zoltek Cos., Inc. (a)............ 138 5,916
----------
292,487
----------
COMMERCIAL BANKS -- 4.5%
1st Source Corp. ................ 64 1,108
Alabama National Bancorp......... 96 7,470
AMCORE Financial, Inc. .......... 108 2,452
Bancfirst Corp. ................. 36 1,543
BancorpSouth, Inc. .............. 392 9,255
Bank of Hawaii Corp. ............ 252 12,887
Bank of the Ozarks, Inc. ........ 67 1,755
Banner Corp. .................... 76 2,183
BOK Financial Corp. ............. 115 5,945
Boston Private Financial
Holdings, Inc. ................ 179 4,847
Capital City Bank Group, Inc. ... 63 1,778
Capitol Bancorp, Ltd. ........... 84 1,690
Cascade Bancorp.................. 117 1,629
Cathay General Bancorp........... 248 6,570
Centennial Bank Holdings, Inc.
(a)............................ 284 1,642
Central Pacific Financial
Corp. ......................... 149 2,751
Chemical Financial Corp. ........ 109 2,593
Chittenden Corp. ................ 237 8,442
Citizens Republic Bancorp,
Inc. .......................... 379 5,499
City Bank........................ 67 1,502
City Holding Co. ................ 83 2,809
CoBiz, Inc. ..................... 92 1,368
Columbia Banking System, Inc. ... 94 2,795
</Table>
See accompanying notes to financial statements.
44
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Community Bank System, Inc. ..... 152 $ 3,020
Community Trust Bancorp, Inc. ... 71 1,955
Cullen/Frost Bankers, Inc. ...... 292 14,793
CVB Financial Corp. ............. 348 3,598
East West Bancorp, Inc. ......... 313 7,584
F N B Corp. ..................... 302 4,439
First Bancorp- North Carolina.... 65 1,228
First BanCorp- Puerto Rico....... 393 2,865
First Charter Corp. ............. 176 5,255
First Citizens Bancshares, Inc.
(Class A)...................... 29 4,230
First Commonwealth Financial
Corp. ......................... 337 3,589
First Community Bancorp, Inc. ... 134 5,526
First Financial Bancorp.......... 188 2,143
First Financial Bankshares,
Inc. .......................... 87 3,276
First Financial Corp. ........... 49 1,389
First Indiana Corp. ............. 59 1,888
First Merchants Corp. ........... 93 2,031
First Midwest Bancorp, Inc. ..... 241 7,375
First State Bancorp.............. 95 1,320
FirstMerit Corp. ................ 381 7,624
Frontier Financial Corp. ........ 229 4,253
Fulton Financial Corp. .......... 878 9,851
Glacier Bancorp, Inc. ........... 262 4,910
Great Southern Bancorp, Inc. .... 49 1,076
Hancock Holding Co. ............. 131 5,004
Hanmi Financial Corp. ........... 226 1,948
Harleysville National Corp. ..... 172 2,506
IBERIABANK Corp. ................ 59 2,758
Independent Bank Corp.-
Massachusetts.................. 71 1,933
Independent Bank Corp.-
Michigan....................... 111 1,055
Integra Bank Corp. .............. 106 1,496
International Bancshares Corp. .. 267 5,591
Irwin Financial Corp. ........... 118 867
MB Financial, Inc. .............. 176 5,426
Midwest Banc Holdings, Inc. ..... 117 1,453
Nara Bancorp, Inc. .............. 104 1,214
National Penn Bancshares, Inc. .. 234 3,543
NBT Bancorp, Inc. ............... 169 3,857
Northfield Bancorp, Inc. (a)..... 89 963
Old National Bancorp............. 341 5,101
Old Second Bancorp, Inc. ........ 53 1,420
Omega Financial Corp. ........... 56 1,639
Oriental Financial Group......... 122 1,636
Pacific Capital Bancorp.......... 244 4,912
Park National Corp. ............. 59 3,805
PrivateBancorp, Inc. ............ 112 3,657
Prosperity Bancshares, Inc. ..... 217 6,378
Provident Bankshares Corp. ...... 167 3,572
Republic Bancorp, Inc.-
Kentucky....................... 58 959
S&T Bancorp, Inc. ............... 127 3,510
S.Y. Bancorp, Inc. .............. 62 1,484
Sandy Spring Bancorp, Inc. ...... 83 2,309
Santander Bancorp................ 28 242
Seacoast Banking Corp. of
Florida........................ 74 761
Signature Bank(a)................ 144 4,860
Simmons First National Corp. .... 70 1,855
South Financial Group, Inc. ..... 362 5,658
Sterling Bancorp................. 89 1,214
Sterling Bancshares, Inc. ....... 380 4,241
Sterling Financial
Corp. -- Pennsylvania.......... 141 2,315
Sterling Financial
Corp. -- Washington............ 254 4,265
Suffolk Bancorp.................. 50 1,535
Sun Bancorp, Inc. (a)............ 87 1,373
Susquehanna Bancshares, Inc. .... 446 8,224
SVB Financial Group(a)........... 165 8,316
Texas Capital Bancshares, Inc.
(a)............................ 124 2,263
Tompkins Trustco, Inc. .......... 40 1,552
TowneBank........................ 121 1,948
Trico Bancshares................. 68 1,312
Trustmark Corp. ................. 259 6,568
UCBH Holdings, Inc. ............. 528 7,476
UMB Financial Corp. ............. 157 6,023
Umpqua Holdings Corp. ........... 304 4,663
United Bankshares, Inc. ......... 220 6,164
United Community Banks, Inc. .... 238 3,760
USB Holding Co., Inc. ........... 3 59
Virginia Commerce Bancorp, Inc.
(a)............................ 95 1,114
W Holding Co., Inc. ............. 641 776
Washington Trust Bancorp, Inc. .. 62 1,564
Webster Financial Corp. ......... 278 8,888
WesBanco, Inc. .................. 121 2,493
West Coast Bancorp............... 73 1,350
Westamerica Bancorp.............. 148 6,593
Western Alliance Bancorp(a)...... 126 2,365
Whitney Holding Corp. ........... 344 8,996
Wilmington Trust Corp. .......... 346 12,179
Wintrust Financial Corp. ........ 123 4,075
----------
412,767
----------
COMMERCIAL SERVICES & SUPPLIES -- 3.7%
ABM Industries, Inc. ............ 228 4,649
ACCO Brands Corp. (a)............ 269 4,315
Administaff, Inc. ............... 121 3,422
Advisory Board Co.(a)............ 89 5,713
American Reprographics Co.(a).... 186 3,065
Bowne & Co., Inc. ............... 129 2,270
CBIZ, Inc. (a)................... 259 2,541
CDI Corp. ....................... 70 1,698
Cenveo, Inc. (a)................. 250 4,368
Clean Harbors, Inc. (a).......... 83 4,291
Comfort Systems USA, Inc. ....... 212 2,709
Consolidated Graphics, Inc. (a).. 59 2,821
Copart, Inc. (a)................. 330 14,041
Corrections Corp. of America
(a)............................ 617 18,208
CoStar Group, Inc. (a)........... 97 4,583
Courier Corp. ................... 57 1,882
Covanta Holding Corp. (a)........ 543 15,019
CRA International, Inc. (a)...... 58 2,761
Deluxe Corp. .................... 260 8,551
Diamond Management & Technology
Consultants, Inc. ............. 150 1,091
Duff & Phelps Corp. (Class
A)(a).......................... 42 827
EnergySolutions, Inc. (a)........ 147 3,968
Ennis, Inc. ..................... 124 2,232
First Advantage Corp. (Class
A)(a).......................... 35 576
FTI Consulting, Inc. (a)......... 240 14,794
Fuel Tech, Inc. (a).............. 95 2,152
G & K Services, Inc. (Class A)... 110 4,127
Healthcare Services Group,
Inc. .......................... 197 4,172
Heidrick & Struggles
International, Inc. (a)........ 91 3,377
</Table>
See accompanying notes to financial statements.
45
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Herman Miller, Inc. ............. 307 $ 9,944
HNI Corp. ....................... 192 6,732
Hudson Highland Group, Inc. (a).. 119 1,001
Huron Consulting Group, Inc.
(a)............................ 90 7,257
IHS, Inc. (a).................... 159 9,629
IKON Office Solutions, Inc. ..... 527 6,862
Innerworkings, Inc. (a).......... 132 2,278
Interface, Inc. (Class A)........ 262 4,276
Kelly Services, Inc. (Class A)... 117 2,183
Kenexa Corp. (a)................. 127 2,466
Kforce, Inc. (a)................. 204 1,989
Kimball International, Inc.
(Class B)...................... 129 1,767
Knoll, Inc. ..................... 248 4,075
Korn/Ferry International(a)...... 238 4,479
Layne Christensen Co.(a)......... 94 4,626
LECG Corp. (a)................... 132 1,988
M&F Worldwide Corp. (a).......... 70 3,770
McGrath Rentcorp................. 115 2,961
Mine Safety Appliances Co. ...... 114 5,913
Mobile Mini, Inc. (a)............ 173 3,207
Navigant Consulting, Inc. (a).... 249 3,404
PHH Corp. (a).................... 272 4,798
Pike Electric Corp. (a).......... 80 1,341
Resources Connection, Inc. ...... 243 4,413
Rollins, Inc. ................... 263 5,040
RSC Holdings, Inc. (a)........... 244 3,062
Schawk, Inc. .................... 59 916
School Specialty, Inc. (a)....... 92 3,179
Spherion Corp. (a)............... 268 1,951
Steelcase, Inc. (Class A)........ 308 4,888
TeleTech Holdings, Inc. (a)...... 201 4,275
Tetra Tech, Inc. (a)............. 287 6,171
The Brink's Co. ................. 207 12,366
The Corporate Executive Board
Co. ........................... 183 10,998
The Geo Group, Inc. (a).......... 250 7,000
TrueBlue, Inc. (a)............... 228 3,301
United Stationers, Inc. (a)...... 124 5,730
Viad Corp. ...................... 95 3,000
Volt Information Sciences, Inc.
(a)............................ 76 1,388
Waste Connections, Inc. (a)...... 348 10,753
Watson Wyatt Worldwide, Inc.
(Class A)...................... 215 9,978
----------
339,578
----------
COMMUNICATIONS EQUIPMENT -- 2.3%
3Com Corp. (a)................... 1,979 8,945
Acme Packet, Inc. (a)............ 114 1,435
ADC Telecommunications, Inc.
(a)............................ 594 9,237
Adtran, Inc. .................... 294 6,286
Airvana, Inc. (a)................ 40 217
Arris Group, Inc. (a)............ 658 6,569
Aruba Networks, Inc. (a)......... 159 2,371
Avocent Corp. (a)................ 247 5,758
Bel Fuse, Inc. (Class B)......... 52 1,522
BigBand Networks, Inc. (a)....... 131 673
Black Box Corp. ................. 85 3,074
Blue Coat Systems, Inc. (a)...... 160 5,259
CIENA Corp. (a).................. 430 14,667
CommScope, Inc. (a).............. 332 16,343
Comtech Telecommunications Corp.
(a)............................ 118 6,373
Dycom Industries, Inc. (a)....... 207 5,517
Extreme Networks, Inc. (a)....... 573 2,028
F5 Networks, Inc. (a)............ 426 12,150
Finisar Corp. (a)................ 1,191 1,727
Foundry Networks, Inc. (a)....... 655 11,476
Harmonic, Inc. (a)............... 464 4,863
Harris Stratex Networks, Inc.
(a)............................ 111 1,854
Hughes Communications, Inc. (a).. 31 1,693
Infinera Corp. (a)............... 367 5,446
InterDigital, Inc. (a)........... 242 5,646
Ixia(a).......................... 173 1,640
Loral Space & Communications,
Ltd.(a)........................ 68 2,329
Mastec, Inc. (a)................. 233 2,370
Netgear, Inc. (a)................ 177 6,314
Neutral Tandem, Inc. (a)......... 27 514
Nextwave Wireless, Inc. (a)...... 267 1,436
OpNext, Inc. (a)................. 104 920
Packeteer, Inc. (a).............. 165 1,016
Plantronics, Inc. ............... 247 6,422
Polycom, Inc. (a)................ 464 12,890
Powerwave Technologies, Inc.
(a)............................ 573 2,309
Riverbed Technology, Inc. (a).... 263 7,033
ShoreTel, Inc. (a)............... 38 531
Sonus Networks, Inc. (a)......... 1,327 7,736
Starent Networks Corp. (a)....... 155 2,829
Sycamore Networks, Inc. (a)...... 961 3,690
Symmetricom, Inc. (a)............ 219 1,031
Tekelec(a)....................... 294 3,675
Utstarcom, Inc. (a).............. 508 1,397
Viasat, Inc. (a)................. 145 4,992
----------
212,203
----------
COMPUTERS & PERIPHERALS -- 0.9%
Adaptec, Inc. (a)................ 492 1,663
Avid Technology, Inc. (a)........ 206 5,838
Brocade Communications Systems,
Inc. (a)....................... 1,946 14,284
Data Domain, Inc. (a)............ 69 1,817
Electronics for Imaging, Inc.
(a)............................ 291 6,542
Emulex Corp. (a)................. 414 6,756
Hutchinson Technology, Inc. (a).. 131 3,448
Hypercom Corp. (a)............... 273 1,360
Imation Corp. ................... 170 3,570
Intermec, Inc. (a)............... 242 4,915
Isilon Systems, Inc. (a)......... 120 610
Novatel Wireless, Inc. (a)....... 168 2,722
Palm, Inc. ...................... 476 3,018
QLogic Corp. (a)................. 682 9,684
Quantum Corp. (a)................ 999 2,687
Rackable Systems, Inc. (a)....... 162 1,620
Stratasys, Inc. (a).............. 105 2,713
Synaptics, Inc. (a).............. 131 5,392
----------
78,639
----------
CONSTRUCTION & ENGINEERING -- 1.1%
Aecom Technology Corp. (a)....... 362 10,342
EMCOR Group, Inc. (a)............ 324 7,656
Granite Construction, Inc. ...... 171 6,187
Insituform Technologies, Inc.
(a)............................ 125 1,850
Perini Corp. (a)................. 122 5,053
Quanta Services, Inc. (a)........ 858 22,514
</Table>
See accompanying notes to financial statements.
46
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Shaw Group, Inc. (a)......... 383 $ 23,149
URS Corp. (a).................... 400 21,732
----------
98,483
----------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. ........... 219 7,770
Headwaters, Inc. (a)............. 209 2,453
Texas Industries, Inc. .......... 137 9,604
----------
19,827
----------
CONSUMER FINANCE -- 0.3%
Advance America Cash Advance
Centers, Inc. ................. 317 3,221
Advanta Corp. (Class B).......... 193 1,557
AmeriCredit Corp. (a)............ 567 7,252
Cardtronics, Inc. (a)............ 51 516
Cash America International,
Inc. .......................... 149 4,813
CompuCredit Corp. (a)............ 171 1,707
Credit Acceptance Corp. (a)...... 10 207
Dollar Financial Corp. (a)....... 124 3,805
Ezcorp, Inc. (a)................. 181 2,043
First Cash Financial Services,
Inc. (a)....................... 145 2,129
Nelnet, Inc. .................... 100 1,271
World Acceptance Corp. (a)....... 77 2,077
----------
30,598
----------
CONTAINERS & PACKAGING -- 0.7%
Aptargroup, Inc. ................ 325 13,296
Graphic Packaging Corp. (a)...... 329 1,214
Greif, Inc. (Class A)............ 152 9,936
Myers Industries, Inc. .......... 130 1,881
Packaging Corp. of America....... 472 13,310
Rock-Tenn Co. ................... 190 4,828
Silgan Holdings, Inc. ........... 124 6,441
Smurfit-Stone Container Corp.
(a)............................ 1,286 13,580
----------
64,486
----------
DISTRIBUTORS -- 0.2%
Audiovox Corp. (Class A)(a)...... 86 1,067
Building Material Holding
Corp. ......................... 142 785
LKQ Corp. (a).................... 617 12,969
----------
14,821
----------
DIVERSIFIED CONSUMER SERVICES -- 1.4%
American Public Education, Inc.
(a)............................ 20 836
Bright Horizons Family Solutions,
Inc. (a)....................... 128 4,421
Capella Education Co.(a)......... 52 3,404
Career Education Corp. (a)....... 461 11,590
Coinstar, Inc. (a)............... 129 3,631
Corinthian Colleges, Inc. (a).... 420 6,468
DeVry, Inc. ..................... 313 16,263
INVESTools, Inc. (a)............. 231 4,098
Jackson Hewitt Tax Service,
Inc. .......................... 135 4,286
Lincoln Educational Services
Corp. (a)...................... 12 177
Matthews International Corp.
(Class A)...................... 160 7,499
Pre-Paid Legal Services, Inc.
(a)............................ 44 2,435
Regis Corp. ..................... 228 6,375
Service Corp. International...... 1,436 20,176
Sotheby's Holdings, Inc. ........ 337 12,840
Steiner Leisure, Ltd.(a)......... 79 3,489
Stewart Enterprises, Inc. (Class
A)............................. 496 4,414
Strayer Education, Inc. ......... 73 12,452
Universal Technical Institute,
Inc. (a)....................... 114 1,938
----------
126,792
----------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
Asset Acceptance Capital Corp. .. 75 781
Financial Federal Corp. ......... 129 2,875
Interactive Brokers Group, Inc.
(Class A)(a)................... 206 6,658
KKR Financial Holdings LLC....... 572 8,037
MarketAxess Holdings, Inc. (a)... 156 2,001
MSCI, Inc. (Class A)(a).......... 67 2,573
NewStar Financial, Inc. (a)...... 173 1,432
Pico Holdings, Inc. (a).......... 85 2,858
Portfolio Recovery Associates,
Inc. .......................... 79 3,134
Resource America, Inc. .......... 70 1,027
The Nasdaq Stock Market, Inc.
(a)............................ 534 26,428
----------
57,804
----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7%
Alaska Communications Systems
Group, Inc. ................... 224 3,360
Cbeyond, Inc. (a)................ 108 4,211
Cincinnati Bell, Inc. (a)........ 1,256 5,966
Cogent Communications Group, Inc.
(a)............................ 245 5,809
Consolidated Communications
Holdings, Inc. ................ 96 1,910
Covad Communications Group, Inc.
(a)............................ 1,441 1,239
Fairpoint Communications, Inc. .. 131 1,706
General Communication, Inc.
(Class A)(a)................... 235 2,056
Global Crossing, Ltd.(a)......... 126 2,778
Globalstar, Inc. (a)............. 128 1,024
IDT Corp. (Class B).............. 311 2,628
Iowa Telecommunications Services,
Inc. .......................... 157 2,553
North Pittsburgh Systems, Inc. .. 88 1,997
NTELOS Holdings Corp. ........... 149 4,424
Paetec Holding Corp. (a)......... 416 4,056
Premiere Global Services, Inc.
(a)............................ 291 4,321
SureWest Communications.......... 61 1,043
Time Warner Telecom, Inc. (Class
A)(a).......................... 733 14,873
Vonage Holdings Corp. (a)........ 196 451
----------
66,405
----------
ELECTRIC UTILITIES -- 1.3%
ALLETE, Inc. .................... 124 4,908
Cleco Corp. ..................... 297 8,256
El Paso Electric Co.(a).......... 236 6,034
Empire District Electric Co. .... 165 3,759
Great Plains Energy, Inc. ....... 436 12,783
Hawaiian Electric Industries,
Inc. .......................... 405 9,222
IDACORP, Inc. ................... 221 7,784
ITC Holdings Corp. .............. 216 12,187
MGE Energy, Inc. ................ 107 3,795
Otter Tail Corp. ................ 135 4,671
Portland General Electric Co. ... 319 8,862
Sierra Pacific Resources......... 1,117 18,967
UIL Holdings Corp. .............. 119 4,397
Unisource Energy Corp. .......... 173 5,458
Westar Energy, Inc. ............. 499 12,944
----------
124,027
----------
ELECTRICAL EQUIPMENT -- 1.7%
A.O. Smith Corp. ................ 107 3,750
Acuity Brands, Inc. ............. 210 9,450
</Table>
See accompanying notes to financial statements.
47
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Advanced Battery Technologies,
Inc. (a)....................... 209 $ 982
American Superconductor Corp.
(a)............................ 187 5,113
Baldor Electric Co. ............. 209 7,035
Belden CDT, Inc. ................ 228 10,146
Brady Corp. ..................... 246 8,632
Encore Wire Corp. ............... 80 1,274
Energy Conversion Devices, Inc.
(a)............................ 196 6,595
EnerSys(a)....................... 189 4,717
Evergreen Solar, Inc. (a)........ 459 7,927
Franklin Electric Co., Inc. ..... 80 3,062
FuelCell Energy, Inc. (a)........ 331 3,284
General Cable Corp. (a).......... 264 19,346
Genlyte Group, Inc. (a).......... 127 12,090
GrafTech International, Ltd.(a).. 530 9,407
II-VI, Inc. (a).................. 128 3,910
Medis Technologies, Ltd.(a)...... 102 1,574
Plug Power, Inc. (a)............. 372 1,469
Polypore International, Inc.
(a)............................ 72 1,260
Power-One, Inc. (a).............. 414 1,652
Regal-Beloit Corp. .............. 159 7,147
Superior Essex, Inc. (a)......... 103 2,472
Thomas & Betts Corp. (a)......... 296 14,516
Vicor Corp. ..................... 91 1,419
Woodward Governor Co. ........... 149 10,125
----------
158,354
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 2.4%
Agilysys, Inc. .................. 134 2,026
Anixter International, Inc. (a).. 163 10,150
AVX Corp. ....................... 258 3,462
Benchmark Electronics, Inc. (a).. 357 6,330
Brightpoint, Inc. (a)............ 261 4,009
Checkpoint Systems, Inc. (a)..... 206 5,352
Cogent, Inc. (a)................. 194 2,163
Cognex Corp. .................... 194 3,909
CTS Corp. ....................... 183 1,817
Daktronics, Inc. ................ 191 4,311
Dolby Laboratories, Inc. (a)..... 221 10,988
Echelon Corp. (a)................ 164 3,385
Electro Scientific Industries,
Inc. (a)....................... 127 2,521
FARO Technologies, Inc. (a)...... 79 2,147
FLIR Systems, Inc. (a)........... 663 20,752
ICx Technologies, Inc. (a)....... 15 144
Insight Enterprises, Inc. (a).... 251 4,578
IPG Photonics Corp. (a).......... 91 1,819
Itron, Inc. (a).................. 154 14,779
KEMET Corp. (a).................. 414 2,745
L-1 Identity Solutions, Inc.
(a)............................ 356 6,390
Littelfuse, Inc. (a)............. 110 3,626
Measurement Specialties, Inc.
(a)............................ 63 1,392
Mercury Computer System, Inc.
(a)............................ 108 1,740
Methode Electronics, Inc. (Class
A)............................. 179 2,943
Mettler Toledo International,
Inc. (a)....................... 180 20,484
MTS Systems Corp. ............... 87 3,712
Multi-Fineline Electronix, Inc.
(a)............................ 52 902
National Instruments Corp. ...... 291 9,699
Newport Corp. (a)................ 183 2,341
Park Electrochemical Corp. ...... 93 2,626
Plexus Corp. (a)................. 237 6,224
Rofin-Sinar Technologies, Inc.
(a)............................ 154 7,409
Rogers Corp. (a)................. 91 3,947
Sanmina-SCI Corp. (a)............ 2,672 4,863
Scansource, Inc. (a)............. 126 4,076
Smart Modular Technologies (WWH),
Inc. (a)....................... 167 1,700
SYNNEX Corp. (a)................. 86 1,686
Tech Data Corp. (a).............. 279 10,524
Technitrol, Inc. ................ 208 5,945
TTM Technologies, Inc. (a)....... 199 2,320
Universal Display Corp. (a)...... 161 3,328
Vishay Intertechnology, Inc.
(a)............................ 867 9,892
----------
225,156
----------
ENERGY EQUIPMENT & SERVICES -- 3.2%
Allis-Chalmers Energy, Inc. (a).. 152 2,242
Atwood Oceanics, Inc. (a)........ 136 13,633
Basic Energy Services, Inc. (a).. 119 2,612
Bristow Group, Inc. (a).......... 115 6,515
Cal Dive International, Inc.
(a)............................ 195 2,583
CARBO Ceramics, Inc. ............ 104 3,869
Complete Production Services,
Inc. (a)....................... 215 3,864
Dresser-Rand Group, Inc. (a)..... 432 16,870
Dril-Quip, Inc. (a).............. 138 7,681
Exterran Holdings, Inc. (a)...... 330 26,994
Exterran Partners LP............. 56 1,797
Global Industries, Ltd.(a)....... 443 9,489
Grey Wolf, Inc. (a).............. 912 4,861
Gulfmark Offshore, Inc. (a)...... 103 4,819
Helix Energy Solutions Group,
Inc. (a)....................... 421 17,471
Helmerich & Payne, Inc. ......... 484 19,394
Hercules Offshore, Inc. (a)...... 443 10,535
Hornbeck Offshore Services, Inc.
(a)............................ 117 5,259
ION Geophysical Corp. (a)........ 362 5,712
Key Energy Services, Inc. (a).... 662 9,526
Lufkin Industries, Inc. ......... 75 4,297
NATCO Group, Inc. (a)............ 78 4,224
Newpark Resources, Inc. (a)...... 434 2,365
Oceaneering International, Inc.
(a)............................ 275 18,521
Oil States International, Inc.
(a)............................ 251 8,564
Parker Drilling Co.(a)........... 575 4,341
Pioneer Drilling Co.(a).......... 259 3,077
RPC, Inc. ....................... 201 2,354
SEACOR Holdings, Inc. (a)........ 120 11,129
Superior Energy Services, Inc.
(a)............................ 408 14,043
Superior Offshore International,
Inc. (a)....................... 88 442
Superior Well Services, Inc.
(a)............................ 70 1,485
Tetra Technologies, Inc. (a)..... 378 5,885
Tidewater, Inc. ................. 280 15,361
Unit Corp. (a)................... 235 10,869
W-H Energy Services, Inc. (a).... 151 8,488
----------
291,171
----------
FOOD & STAPLES RETAILING -- 0.8%
BJ'S Wholesale Club, Inc. (a).... 325 10,995
Casey's General Stores, Inc. .... 259 7,669
Great Atlantic & Pacific Tea
Co.(a)......................... 115 3,590
Ingles Markets, Inc. ............ 63 1,599
Longs Drug Stores Corp. ......... 162 7,614
Nash Finch Co. .................. 64 2,258
Pantry, Inc. (a)................. 112 2,926
Performance Food Group Co.(a).... 169 4,541
Pricesmart, Inc. ................ 66 1,984
</Table>
See accompanying notes to financial statements.
48
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Rite Aid Corp. (a)............... 2,732 $ 7,622
Ruddick Corp. ................... 183 6,345
The Andersons, Inc. ............. 88 3,942
United Natural Foods, Inc. (a)... 202 6,407
Weis Markets, Inc. .............. 57 2,277
Winn-Dixie Stores, Inc. (a)...... 279 4,707
----------
74,476
----------
FOOD PRODUCTS -- 1.3%
Alico, Inc. ..................... 18 657
B&G Foods, Inc. ................. 186 1,899
Chiquita Brands International,
Inc. (a)....................... 218 4,009
Corn Products International,
Inc. .......................... 374 13,744
Darling International, Inc. (a).. 405 4,682
Del Monte Foods Co. ............. 1,013 9,583
Farmer Brothers Co. ............. 29 667
Flowers Foods, Inc. ............. 429 10,043
Fresh Del Monte Produce, Inc.
(a)............................ 222 7,455
Green Mountain Coffee Roasters,
Inc. (a)....................... 85 3,459
Hain Celestial Group, Inc. (a)... 202 6,464
J&J Snack Foods Corp. ........... 76 2,377
Lancaster Colony Corp. .......... 106 4,208
Lance, Inc. ..................... 150 3,063
Pilgrim's Pride Corp. ........... 204 5,906
Ralcorp Holdings, Inc. (a)....... 133 8,085
Reddy Ice Holdings, Inc. ........ 105 2,658
Sanderson Farms, Inc. ........... 93 3,142
Seaboard Corp. .................. 2 2,940
The J.M. Smucker Co. ............ 289 14,866
Tootsie Roll Industries, Inc. ... 123 3,373
TreeHouse Foods, Inc. (a)........ 152 3,494
----------
116,774
----------
GAS UTILITIES -- 1.8%
AGL Resources, Inc. ............. 394 14,830
Amerigas Partners LP............. 162 5,838
Atmos Energy Corp. .............. 449 12,590
Energen Corp. ................... 329 21,132
Ferrellgas Partners LP........... 194 4,251
Laclede Group, Inc. ............. 102 3,492
National Fuel Gas Co. ........... 355 16,571
New Jersey Resources Corp. ...... 141 7,053
Nicor, Inc. ..................... 225 9,529
Northwest Natural Gas Co. ....... 132 6,423
Piedmont Natural Gas Co., Inc. .. 360 9,418
South Jersey Industries, Inc. ... 145 5,233
Southern Union Co. .............. 509 14,944
Southwest Gas Corp. ............. 210 6,252
Spectra Energy Partners LP....... 48 1,150
Suburban Propane Partners LP..... 162 6,574
UGI Corp. ....................... 532 14,497
WGL Holdings, Inc. .............. 250 8,190
----------
167,967
----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.5%
Accuray, Inc. (a)................ 206 3,135
Advanced Medical Optics, Inc.
(a)............................ 302 7,408
Align Technology, Inc. (a)....... 307 5,121
American Medical Systems
Holdings, Inc. (a)............. 372 5,379
Analogic Corp. .................. 65 4,402
Arthrocare Corp. (a)............. 136 6,535
Aspect Medical Systems, Inc.
(a)............................ 62 868
CONMED Corp. (a)................. 136 3,143
Cyberonics, Inc. (a)............. 113 1,487
Datascope Corp. ................. 67 2,439
Edwards Lifesciences Corp. (a)... 295 13,567
ev3, Inc. (a).................... 313 3,978
Gen-Probe, Inc. (a).............. 269 16,928
Greatbatch, Inc. (a)............. 118 2,359
Haemonetics Corp. (a)............ 126 7,940
Hologic, Inc. (a)................ 629 43,174
I-Flow Corp. (a)................. 133 2,099
ICU Medical, Inc. (a)............ 61 2,197
IDEXX Laboratories, Inc. (a)..... 306 17,941
Immucor, Inc. (a)................ 349 11,862
Integra LifeSciences Holdings
Corp. (a)...................... 91 3,816
Invacare Corp. .................. 157 3,956
Inverness Medical Innovations,
Inc. (a)....................... 369 20,730
Kensey Nash Corp. (a)............ 43 1,287
Masimo Corp. (a)................. 57 2,249
Mentor Corp. .................... 172 6,725
Meridian Bioscience, Inc. ....... 185 5,565
Merit Medical Systems, Inc. (a).. 131 1,821
NuVasive, Inc. (a)............... 177 6,995
OraSure Technologies, Inc. (a)... 225 2,000
Orthofix International NV(a)..... 80 4,638
Palomar Medical Technologies,
Inc. (a)....................... 81 1,241
ResMed, Inc. (a)................. 385 20,224
Respironics, Inc. (a)............ 369 24,162
Sirona Dental Systems, Inc. (a).. 92 3,080
SonoSite, Inc. (a)............... 79 2,660
STERIS Corp. .................... 316 9,113
SurModics, Inc. (a).............. 81 4,396
Symmetry Medical, Inc. (a)....... 162 2,824
The Cooper Cos., Inc. ........... 226 8,588
Thoratec Corp. (a)............... 273 4,966
TomoTherapy, Inc. (a)............ 121 2,367
Trans1, Inc. (a)................. 22 362
Vital Signs, Inc. ............... 43 2,198
Volcano Corp. (a)................ 160 2,002
West Pharmaceutical Services,
Inc. .......................... 168 6,819
Wright Medical Group, Inc. (a)... 183 5,338
----------
322,084
----------
HEALTH CARE PROVIDERS & SERVICES -- 2.7%
Alliance Imaging, Inc. (a)....... 141 1,356
Amedisys, Inc. (a)............... 133 6,453
AMERIGROUP Corp. (a)............. 267 9,732
AMN Healthcare Services, Inc.
(a)............................ 170 2,919
Amsurg Corp. (a)................. 151 4,086
Apria Healthcare Group, Inc.
(a)............................ 215 4,638
Assisted Living Concepts, Inc.
(a)............................ 302 2,265
athenahealth, Inc. (a)........... 31 1,116
Centene Corp. (a)................ 215 5,900
Chemed Corp. .................... 118 6,594
Cross Country Healthcare, Inc.
(a)............................ 150 2,136
Emeritus Corp. (a)............... 116 2,917
Genoptix, Inc. (a)............... 21 645
Gentiva Health Services, Inc.
(a)............................ 123 2,342
Health Management Associates,
Inc. .......................... 1,236 7,391
HealthExtras, Inc. (a)........... 168 4,381
</Table>
See accompanying notes to financial statements.
49
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Healthsouth Corp. (a)............ 402 $ 8,442
Healthspring, Inc. (a)........... 267 5,086
Healthways, Inc. (a)............. 176 10,285
HMS Holdings Corp. (a)........... 114 3,786
inVentiv Health, Inc. (a)........ 165 5,108
Kindred Healthcare, Inc. (a)..... 158 3,947
Landauer, Inc. .................. 47 2,437
LCA-Vision, Inc. ................ 94 1,877
LifePoint Hospitals, Inc. (a).... 286 8,506
Magellan Health Services, Inc.
(a)............................ 199 9,279
Matria Healthcare, Inc. (a)...... 102 2,425
Medcath Corp. (a)................ 69 1,695
Molina Healthcare, Inc. (a)...... 67 2,593
National Healthcare Corp. ....... 44 2,275
Nighthawk Radiology Holdings,
Inc. (a)....................... 103 2,168
Odyssey Healthcare, Inc. (a)..... 165 1,825
Owens & Minor, Inc. ............. 204 8,656
Pediatrix Medical Group, Inc.
(a)............................ 244 16,629
PSS World Medical, Inc. (a)...... 321 6,282
Psychiatric Solutions, Inc. (a).. 272 8,840
Radiation Therapy Services, Inc.
(a)............................ 63 1,947
RehabCare Group, Inc. (a)........ 90 2,030
Res-Care, Inc. (a)............... 131 3,296
Sierra Health Services, Inc.
(a)............................ 256 10,742
Skilled Healthcare Group, Inc.
(Class A)(a)................... 105 1,536
Sun Healthcare Group, Inc. (a)... 200 3,434
Sunrise Assisted Living, Inc.
(a)............................ 217 6,658
Tenet Healthcare Corp. (a)....... 2,411 12,248
Triple-S Management Corp. (Class
B)............................. 66 1,334
Universal American Financial
Corp. (a)...................... 217 5,553
VCA Antech, Inc. (a)............. 421 18,621
Virtual Radiologic Corp (a)...... 16 324
WellCare Health Plans, Inc. (a).. 207 8,779
----------
253,514
----------
HEALTH CARE TECHNOLOGY -- 0.4%
Allscripts Healthcare Solutions,
Inc. (a)....................... 283 5,496
Eclipsys Corp. (a)............... 248 6,277
HLTH Corp. (a)................... 919 12,315
MedAssets, Inc. (a).............. 63 1,508
Omnicell, Inc. (a)............... 170 4,578
Phase Forward, Inc. (a).......... 211 4,589
The TriZetto Group, Inc. (a)..... 223 3,873
----------
38,636
----------
HOTELS, RESTAURANTS & LEISURE -- 2.5%
AFC Enterprises, Inc. (a)........ 150 1,698
Ambassadors Group, Inc. ......... 90 1,648
Ameristar Casinos, Inc. ......... 119 3,277
Bally Technologies, Inc. (a)..... 249 12,380
BJ's Restaurants, Inc. (a)....... 93 1,512
Bob Evans Farms, Inc. ........... 179 4,820
Buffalo Wild Wings, Inc. (a)..... 81 1,881
Burger King Holdings, Inc. ...... 275 7,840
California Pizza Kitchen, Inc.
(a)............................ 150 2,336
CBRL Group, Inc. ................ 121 3,919
CEC Entertainment, Inc. (a)...... 144 3,738
Cedar Fair LP.................... 257 5,430
Chipotle Mexican Grill, Inc.
(a)............................ 164 24,120
Choice Hotels International,
Inc. .......................... 169 5,611
Churchill Downs, Inc. ........... 49 2,645
CKE Restaurants, Inc. ........... 258 3,406
Domino's Pizza, Inc. ............ 229 3,030
Gaylord Entertainment Co.(a)..... 205 8,296
Great Wolf Resorts, Inc. (a)..... 155 1,521
IHOP Corp. ...................... 86 3,146
International Speedway Corp.
(Class A)...................... 169 6,959
Isle of Capri Casinos, Inc. (a).. 110 1,515
Jack in the Box, Inc. (a)........ 310 7,989
Jamba, Inc. (a).................. 98 363
Krispy Kreme Doughnuts, Inc.
(a)............................ 276 872
Landry's Restaurants, Inc. ...... 52 1,024
Life Time Fitness, Inc. (a)...... 175 8,694
Marcus Corp. .................... 101 1,560
Morgans Hotel Group Co.(a)....... 156 3,008
Multimedia Games, Inc. (a)....... 122 1,017
O'Charleys, Inc. ................ 112 1,678
Orient-Express Hotels, Ltd.
(Class A)...................... 202 11,619
P F Chang's China Bistro, Inc.
(a)............................ 126 2,878
Panera Bread Co. (Class A)(a).... 163 5,839
Papa John's International, Inc.
(a)............................ 103 2,338
Peet's Coffee & Tea, Inc. (a).... 65 1,890
Pinnacle Entertainment, Inc.
(a)............................ 299 7,044
Red Robin Gourmet Burgers, Inc.
(a)............................ 80 2,559
Ruby Tuesday, Inc. .............. 253 2,467
Ruth's Chris Steak House, Inc.
(a)............................ 80 715
Scientific Games Corp. (Class
A)(a).......................... 351 11,671
Shuffle Master, Inc. (a)......... 166 1,990
Six Flags, Inc. (a).............. 347 704
Sonic Corp. (a).................. 301 6,592
Speedway Motorsports, Inc. ...... 67 2,082
Texas Roadhouse, Inc. (Class
A)(a).......................... 282 3,119
The Cheesecake Factory, Inc.
(a)............................ 339 8,038
The Steak n Shake Co.(a)......... 118 1,286
Triarc Cos., Inc. (Class B)...... 331 2,900
Vail Resorts, Inc. (a)........... 156 8,394
WMS Industries, Inc. (a)......... 223 8,171
----------
229,229
----------
HOUSEHOLD DURABLES -- 1.0%
American Greetings Corp. (Class
A)............................. 246 4,994
Avatar Holdings, Inc. (a)........ 25 1,046
Beazer Homes USA, Inc. .......... 192 1,427
Blyth, Inc. ..................... 149 3,269
Brookfield Homes Corp. .......... 57 901
Champion Enterprises, Inc. (a)... 381 3,589
CSS Industries, Inc. ............ 49 1,798
Ethan Allen Interiors, Inc. ..... 138 3,933
Furniture Brands International,
Inc. .......................... 257 2,585
Helen of Troy, Ltd.(a)........... 149 2,554
Hovnanian Enterprises, Inc. (a).. 213 1,527
iRobot Corp. (a)................. 74 1,338
Jarden Corp. (a)................. 353 8,334
La-Z-Boy, Inc. .................. 258 2,046
M.D.C. Holdings, Inc. ........... 182 6,758
M/I Homes, Inc. ................. 61 641
Meritage Homes Corp. (a)......... 120 1,748
Palm Harbor Homes, Inc. (a)...... 50 528
Russ Berrie & Co., Inc. (a)...... 67 1,096
Ryland Group, Inc. .............. 219 6,033
Sealy Corp. ..................... 213 2,383
</Table>
See accompanying notes to financial statements.
50
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Skyline Corp. ................... 32 $ 939
Snap-on, Inc. ................... 294 14,183
Standard Pacific Corp. .......... 315 1,055
Tempur-Pedic International,
Inc. .......................... 352 9,141
Tupperware Corp. ................ 309 10,206
WCI Communities, Inc. (a)........ 195 737
----------
94,789
----------
HOUSEHOLD PRODUCTS -- 0.3%
Central Garden & Pet Co. (Class
A)(a).......................... 345 1,849
Church & Dwight Co., Inc. ....... 332 17,951
Spectrum Brands, Inc. (a)........ 179 954
WD-40 Co. ....................... 81 3,076
----------
23,830
----------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. ........ 84 4,621
----------
INDUSTRIAL CONGLOMERATES -- 0.4%
Carlisle Cos., Inc. ............. 316 11,702
Raven Industries, Inc. .......... 93 3,570
Standex International Corp. ..... 53 925
Teleflex, Inc. .................. 197 12,413
Tredegar Corp. .................. 129 2,074
Walter Industries, Inc. ......... 266 9,557
----------
40,241
----------
INSURANCE -- 3.9%
Alfa Corp. ...................... 192 4,161
Alleghany Corp. (a).............. 26 10,452
Allied World Assurance Holdings,
Ltd. .......................... 177 8,880
American Equity Investment Life
Holding Co. ................... 267 2,213
American Financial Group, Inc. .. 339 9,790
American National Insurance
Co. ........................... 79 9,578
Amtrust Financial Services,
Inc. .......................... 121 1,666
Argo Group International
Holdings, Ltd.(a).............. 152 6,404
Aspen Insurance Holdings, Ltd. .. 381 10,988
Assured Guaranty, Ltd. .......... 303 8,042
Baldwin & Lyons, Inc. (Class B).. 44 1,208
Castlepoint Holdings, Ltd. ...... 169 2,028
CNA Surety Corp. (a)............. 74 1,464
Conseco, Inc. (a)................ 956 12,007
Darwin Professional Underwriters,
Inc. (a)....................... 35 846
Delphi Financial Group........... 212 7,479
eHealth, Inc. (a)................ 54 1,734
Employers Holdings, Inc. ........ 271 4,528
Endurance Specialty Holdings,
Ltd. .......................... 290 12,102
Enstar Group, Ltd.(a)............ 24 2,938
Erie Indemnity Co. (Class A)..... 223 11,572
FBL Financial Group, Inc. (Class
A)............................. 68 2,348
First Acceptance Corp. (a)....... 84 355
Flagstone Reinsurance Holdings,
Ltd. .......................... 228 3,169
Greenlight Capital Re, Ltd.(a)... 151 3,139
Harleysville Group, Inc. ........ 69 2,441
HCC Insurance Holdings, Inc. .... 567 16,262
Hilb Rogal and Hobbs Co. ........ 181 7,343
Hilltop Holdings, Inc. (a)....... 231 2,523
Horace Mann Educators Corp. ..... 210 3,977
Infinity Property & Casualty
Corp. ......................... 80 2,890
IPC Holdings, Ltd. .............. 301 8,690
Kansas City Life Insurance Co. .. 18 785
LandAmerica Financial Group,
Inc. .......................... 71 2,375
Max Re Capital, Ltd. ............ 252 7,054
Mercury General Corp. ........... 131 6,525
Montpelier Re Holdings, Ltd. .... 487 8,284
National Financial Partners
Corp. ......................... 195 8,894
National Interstate Corp. ....... 32 1,059
National Western Life Insurance
Co. (Class A).................. 12 2,488
Navigators Group, Inc. (a)....... 66 4,290
Odyssey Re Holdings Corp. ....... 142 5,213
OneBeacon Insurance Group,
Ltd. .......................... 115 2,473
Philadelphia Consolidated Holding
Co.(a)......................... 301 11,844
Platinum Underwriters Holdings,
Ltd. .......................... 285 10,135
Presidential Life Corp. ......... 105 1,839
ProAssurance Corp. (a)........... 150 8,238
Reinsurance Group America,
Inc. .......................... 147 7,715
RLI Corp. ....................... 103 5,849
Safety Insurance Group, Inc. .... 82 3,003
Security Capital Assurance,
Ltd. .......................... 175 681
Selective Insurance Group,
Inc. .......................... 265 6,092
StanCorp Financial Group, Inc. .. 247 12,444
State Auto Financial Corp. ...... 68 1,788
Stewart Information Services
Corp. ......................... 91 2,374
The Commerce Group, Inc. ........ 272 9,787
The Hanover Insurance Group,
Inc. .......................... 256 11,725
The Midland Co. ................. 54 3,493
The Phoenix Cos., Inc. .......... 536 6,362
Tower Group, Inc. ............... 105 3,507
United America Indemnity,
Ltd.(a)........................ 115 2,291
United Fire & Casualty Co. ...... 114 3,316
Validus Holdings, Ltd.(a)........ 74 1,923
Wesco Financial Corp. ........... 7 2,849
Zenith National Insurance
Corp. ......................... 191 8,543
----------
358,455
----------
INTERNET & CATALOG RETAIL -- 0.5%
1-800-FLOWERS.COM, Inc. (Class
A)(a).......................... 122 1,065
Blue Nile, Inc. (a).............. 73 4,969
FTD Group, Inc. ................. 98 1,262
GSI Commerce, Inc. (a)........... 90 1,755
Netflix, Inc. (a)................ 257 6,841
Nutri/System, Inc. (a)........... 161 4,344
Orbitz Worldwide, Inc. (a)....... 164 1,394
Overstock.com, Inc. (a).......... 70 1,087
Priceline.com, Inc. (a).......... 173 19,871
Shutterfly, Inc. (a)............. 68 1,742
Stamps.com, Inc. (a)............. 82 999
Systemax, Inc. .................. 51 1,036
ValueVision Media, Inc. (Class
A)(a).......................... 142 893
----------
47,258
----------
INTERNET SOFTWARE & SERVICES -- 1.5%
Ariba, Inc. (a).................. 409 4,560
Bankrate, Inc. (a)............... 65 3,126
CMGI, Inc. (a)................... 241 3,155
CNET Networks, Inc. (a).......... 711 6,499
comScore, Inc. (a)............... 26 848
Constant Contact, Inc. (a)....... 34 731
DealerTrack Holdings, Inc. (a)... 195 6,527
Dice Holdings, Inc. (a).......... 80 639
</Table>
See accompanying notes to financial statements.
51
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Digital River, Inc. (a).......... 201 $ 6,647
DivX, Inc. (a)................... 84 1,176
EarthLink, Inc. (a).............. 606 4,285
Equinix, Inc. (a)................ 157 15,868
Infospace, Inc. ................. 165 3,102
Internap Network Services Corp.
(a)............................ 254 2,116
Interwoven, Inc. (a)............. 201 2,858
Ipass, Inc. (a).................. 271 1,100
j2 Global Communications, Inc.
(a)............................ 249 5,271
Limelight Networks, Inc. (a)..... 194 1,337
LoopNet, Inc. (a)................ 144 2,023
Marchex, Inc. (Class B).......... 144 1,564
Move, Inc. (a)................... 774 1,896
NIC, Inc. ....................... 184 1,553
Omniture, Inc. (a)............... 208 6,924
Openwave Systems, Inc. .......... 415 1,079
Perficient, Inc. (a)............. 143 2,251
RealNetworks, Inc. (a)........... 507 3,088
S1 Corp. (a)..................... 264 1,927
SAVVIS, Inc. (a)................. 143 3,991
SonicWALL, Inc. (a).............. 312 3,345
Switch & Data Facilities Co.,
Inc. (a)....................... 104 1,666
TechTarget, Inc. (a)............. 35 517
The Knot, Inc. (a)............... 138 2,200
Travelzoo, Inc. (a).............. 35 479
United Online, Inc. ............. 349 4,125
Valueclick, Inc. (a)............. 507 11,103
Vignette Corp. (a)............... 128 1,870
VistaPrint, Ltd.(a).............. 205 8,784
WebMD Health Corp. (Class A)(a).. 42 1,725
Websense, Inc. (a)............... 225 3,821
----------
135,776
----------
IT SERVICES -- 2.0%
Acxiom Corp. .................... 354 4,152
BearingPoint, Inc. (a)........... 1,012 2,864
Broadridge Financial Solutions,
Inc. .......................... 700 15,701
CACI International, Inc. (Class
A)(a).......................... 153 6,850
CIBER, Inc. (a).................. 274 1,674
Convergys Corp. (a).............. 649 10,683
CSG Systems International, Inc.
(a)............................ 172 2,532
EnerNOC, Inc. (a)................ 50 2,455
Euronet Worldwide, Inc. (a)...... 229 6,870
ExlService Holdings, Inc. (a).... 56 1,292
Forrester Research, Inc. (a)..... 68 1,905
Gartner, Inc. (a)................ 348 6,111
Genpact, Ltd. ................... 170 2,589
Gevity HR, Inc. ................. 101 777
Global Cash Access, Inc. (a)..... 219 1,327
Heartland Payment Systems,
Inc. .......................... 128 3,430
Hewitt Associates, Inc. (Class
A)(a).......................... 492 18,839
infoUSA, Inc. ................... 175 1,563
Lionbridge Technologies, Inc.
(a)............................ 286 1,015
Mantech International Corp. (a).. 90 3,944
MAXIMUS, Inc. ................... 115 4,440
MoneyGram International, Inc. ... 430 6,609
MPS Group, Inc. (a).............. 498 5,448
NeuStar, Inc. (Class A)(a)....... 387 11,099
Perot Systems Corp. (Class
A)(a).......................... 455 6,143
SAIC, Inc. (a)................... 639 12,857
Sapient Corp. (a)................ 424 3,735
SRA International, Inc. (a)...... 217 6,391
SYKES Enterprises, Inc. (a)...... 160 2,880
Syntel, Inc. .................... 58 2,234
TNS, Inc. ....................... 130 2,308
Unisys Corp. (a)................. 1,759 8,320
VeriFone Holdings, Inc. (a)...... 334 7,765
Wright Express Corp. (a)......... 197 6,992
----------
183,794
----------
LEISURE EQUIPMENT & PRODUCTS -- 0.4%
Brunswick Corp. ................. 450 7,673
Callaway Golf Co. ............... 303 5,281
JAKKS Pacific, Inc. (a).......... 138 3,258
Leapfrog Enterprises, Inc. (a)... 154 1,036
Marine Products Corp. ........... 77 540
MarineMax, Inc. (a).............. 88 1,364
Nautilus Group, Inc. ............ 140 679
Polaris Industries, Inc. ........ 177 8,455
Pool Corp. ...................... 234 4,640
RC2 Corp. (a).................... 92 2,583
Smith & Wesson Holding Corp.
(a)............................ 155 946
----------
36,455
----------
LIFE SCIENCES TOOLS & SERVICES -- 1.4%
Affymetrix, Inc. (a)............. 341 7,891
Albany Molecular Research, Inc.
(a)............................ 120 1,726
AMAG Pharmaceuticals, Inc. (a)... 84 5,051
Bio-Rad Laboratories, Inc. (Class
A)(a).......................... 96 9,947
Bruker BioSciences Corp. (a)..... 270 3,591
Cambrex Corp. ................... 129 1,081
Dionex Corp. (a)................. 96 7,955
Enzo Biochem, Inc. (a)........... 188 2,395
eResearch Technology, Inc. (a)... 197 2,328
Exelixis, Inc. (a)............... 524 4,522
Illumina, Inc. (a)............... 272 16,119
Nektar Therapeutics(a)........... 474 3,180
PAREXEL International Corp. (a).. 142 6,859
PerkinElmer, Inc. ............... 592 15,404
PharmaNet Development Group, Inc.
(a)............................ 95 3,725
Techne Corp. (a)................. 197 13,012
Varian, Inc. (a)................. 152 9,926
Ventana Medical Systems, Inc.
(a)............................ 176 15,352
----------
130,064
----------
MACHINERY -- 3.4%
Accuride Corp. (a)............... 105 825
Actuant Corp. (Class A).......... 283 9,625
AGCO Corp. (a)................... 458 31,135
Albany International Corp. (Class
A)............................. 124 4,600
American Railcar Industries,
Inc. .......................... 42 809
Astec Industries, Inc. (a)....... 85 3,161
ASV, Inc. (a).................... 97 1,343
Barnes Group, Inc. .............. 211 7,045
Blount International, Inc. (a)... 181 2,228
Briggs & Stratton Corp. ......... 253 5,733
Bucyrus International, Inc.
(Class A)...................... 186 18,487
Cascade Corp. ................... 50 2,323
Chart Industries, Inc. (a)....... 142 4,388
CIRCOR International, Inc. ...... 80 3,709
CLARCOR, Inc. ................... 250 9,493
</Table>
See accompanying notes to financial statements.
52
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Crane Co. ....................... 265 $ 11,369
EnPro Industries, Inc. (a)....... 107 3,280
ESCO Technologies, Inc. (a)...... 128 5,112
Federal Signal Corp. ............ 242 2,715
Force Protection, Inc. (a)....... 336 1,572
Freightcar America, Inc. ........ 60 2,100
Gardner Denver, Inc. (a)......... 260 8,580
Graco, Inc. ..................... 314 11,700
IDEX Corp. (a)................... 407 14,705
Kaydon Corp. .................... 140 7,636
Kennametal, Inc. ................ 392 14,841
Lincoln Electric Holdings,
Inc. .......................... 206 14,663
Lindsay Manufacturing Co. ....... 52 3,676
Middleby Corp. (a)............... 85 6,513
Mueller Industries, Inc. ........ 191 5,537
Mueller Water Products, Inc.
(Class B)...................... 587 5,852
NACCO Industries, Inc. .......... 27 2,692
Nordson Corp. ................... 156 9,042
RBC Bearings, Inc. (a)........... 112 4,868
Robbins & Myers, Inc. ........... 67 5,067
Tecumseh Products Co. (Class
A)(a).......................... 74 1,732
Tennant Co. ..................... 87 3,853
The Greenbrier Cos., Inc. ....... 71 1,580
The Timken Co. .................. 384 12,614
The Toro Co. .................... 198 10,779
Titan International, Inc. ....... 140 4,376
Trinity Industries, Inc. ........ 403 11,187
Valmont Industries, Inc. ........ 93 8,288
Wabash National Corp. ........... 137 1,054
Wabtec Corp. .................... 247 8,507
Watts Water Technologies, Inc. .. 152 4,530
Xerium Technologies, Inc. ....... 97 504
----------
315,428
----------
MARINE -- 0.5%
Alexander & Baldwin, Inc. ....... 218 11,262
American Commercial Lines, Inc.
(a)............................ 190 3,086
Eagle Bulk Shipping, Inc. ....... 231 6,133
Excel Maritime Carriers, Ltd. ... 75 3,014
Genco Shipping & Trading, Ltd. .. 129 7,064
Horizon Lines, Inc. ............. 159 2,964
Kirby Corp. (a).................. 268 12,457
TBS International, Ltd.(a)....... 58 1,917
----------
47,897
----------
MEDIA -- 1.8%
Arbitron, Inc. .................. 140 5,820
Belo Corp. ...................... 463 8,075
Charter Communications, Inc.
(a)............................ 1,826 2,136
Cinemark Holdings, Inc. ......... 216 3,672
Citadel Broadcasting Corp. ...... 895 1,844
CKX, Inc. (a).................... 240 2,880
Cox Radio, Inc. (Class A)(a)..... 170 2,065
Crown Media Holdings, Inc. (Class
A)(a).......................... 45 292
Cumulus Media, Inc. (a).......... 191 1,536
Dolan Media Co.(a)............... 64 1,867
DreamWorks Animation SKG, Inc.
(Class A)(a)................... 372 9,501
Emmis Communications Corp. (a)... 163 628
Entercom Communications Corp. ... 154 2,108
Entravision Communications Corp.
(a)............................ 314 2,459
Fisher Communications, Inc. (a).. 33 1,253
GateHouse Media, Inc. ........... 172 1,510
Gemstar-TV Guide International,
Inc. (a)....................... 1,269 6,040
Getty Images, Inc. (a)........... 263 7,627
Gray Television, Inc. ........... 211 1,692
Harte-Hanks, Inc. ............... 238 4,117
Hearst-Argyle Television, Inc. .. 124 2,742
Interactive Data Corp. .......... 183 6,041
John Wiley & Sons, Inc. (Class
A)............................. 249 10,667
Journal Communications, Inc. .... 224 2,003
Lee Enterprises, Inc. ........... 201 2,945
Lin TV Corp. (Class A)(a)........ 127 1,546
Live Nation, Inc. (a)............ 362 5,256
Lodgenet Entertainment Corp.
(a)............................ 98 1,709
Martha Stewart Living Omnimedia,
Inc. (Class A)(a).............. 117 1,085
Marvel Entertainment, Inc. (a)... 248 6,624
McClatchy Co. (Class A).......... 273 3,418
Media General, Inc. (Class A).... 106 2,252
Mediacom Communications Corp.
(a)............................ 255 1,170
Meredith Corp. .................. 193 10,611
Morningstar, Inc. (a)............ 73 5,676
National CineMedia, Inc. ........ 216 5,445
Primedia, Inc. .................. 88 748
Radio One, Inc. (a).............. 441 1,045
RCN Corp. (a).................... 182 2,837
Regal Entertainment Group........ 397 7,174
Scholastic Corp. (a)............. 169 5,896
Sinclair Broadcast Group, Inc. .. 273 2,241
Sun-Times Media Group, Inc. (a).. 293 645
Tivo, Inc. (a)................... 518 4,320
Valassis Communications, Inc.
(a)............................ 249 2,911
Warner Music Group Corp. ........ 218 1,321
Westwood One, Inc. .............. 329 655
World Wrestling Entertainment,
Inc. (Class A)................. 91 1,343
----------
167,448
----------
METALS & MINING -- 2.5%
AK Steel Holding Corp. (a)....... 560 25,894
AM Castle & Co. ................. 92 2,502
AMCOL International Corp. ....... 125 4,504
Brush Engineered Materials, Inc.
(a)............................ 103 3,813
Carpenter Technology Corp. ...... 246 18,492
Century Aluminum Co.(a).......... 146 7,875
Cleveland-Cliffs, Inc. .......... 208 20,966
Coeur d' Alene Mines Corp. (a)... 2,688 13,279
Commercial Metals Co. ........... 598 17,611
Compass Minerals International,
Inc. .......................... 158 6,478
Haynes International, Inc. (a)... 53 3,684
Hecla Mining Co.(a).............. 616 5,760
Horsehead Holding Corp. (a)...... 24 407
Kaiser Aluminum Corp. ........... 71 5,643
Metal Management, Inc. .......... 131 5,964
Quanex Corp. .................... 189 9,809
Reliance Steel & Aluminum Co. ... 330 17,886
Royal Gold, Inc. ................ 141 4,303
RTI International Metals, Inc.
(a)............................ 114 7,858
Schnitzer Steel Industries, Inc.
(Class A)...................... 104 7,190
Steel Dynamics, Inc. ............ 483 28,772
</Table>
See accompanying notes to financial statements.
53
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Stillwater Mining Co.(a)......... 233 $ 2,251
Worthington Industries, Inc. .... 326 5,829
----------
226,770
----------
MULTI-UTILITIES -- 1.1%
Aquila, Inc. (a)................. 1,875 6,994
Avista Corp. .................... 271 5,837
Black Hills Corp. ............... 187 8,247
CH Energy Group, Inc. ........... 79 3,519
CMS Energy Corp. ................ 1,133 19,691
NorthWestern Corp. .............. 186 5,487
OGE Energy Corp. ................ 463 16,802
PNM Resources, Inc. ............. 354 7,593
Puget Energy, Inc. .............. 591 16,211
Vectren Corp. ................... 381 11,053
----------
101,434
----------
MULTILINE RETAIL -- 0.4%
99 Cents Only Stores(a).......... 267 2,125
Big Lots, Inc. (a)............... 506 8,091
Dillard's, Inc. (Class A)........ 334 6,272
Fred's, Inc. (Class A)........... 173 1,666
Retail Ventures, Inc. (a)........ 142 723
Saks, Inc. (a)................... 637 13,224
The Bon-Ton Stores, Inc. ........ 69 655
Tuesday Morning Corp. ........... 142 720
----------
33,476
----------
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp. (Class
A)(a).......................... 339 11,763
----------
OIL, GAS & CONSUMABLE FUELS -- 7.2%
Alliance Holdings GP LP.......... 62 1,471
Alliance Resource Partners LP.... 99 3,591
Alon USA Energy, Inc. ........... 62 1,685
Alpha Natural Resources, Inc.
(a)............................ 327 10,621
APCO Argentina, Inc. ............ 43 1,183
Arena Resources, Inc. (a)........ 175 7,299
Atlas America, Inc. ............. 121 7,161
Atlas Energy Resources LLC....... 41 1,275
Atlas Pipeline Holdings LP....... 17 463
Atlas Pipeline Partners LP....... 173 7,413
ATP Oil & Gas Corp. (a).......... 141 7,126
Aventine Renewable Energy
Holdings, Inc. (a)............. 142 1,812
Berry Petroleum Co. (Class A).... 176 7,823
Bill Barrett Corp. (a)........... 143 5,987
Boardwalk Pipeline Partners LP... 185 5,754
Bois d'Arc Energy, Inc. (a)...... 93 1,846
BP Prudhoe Bay Royalty Trust..... 109 8,742
BreitBurn Energy Partners LP..... 261 7,543
Buckeye GP Holdings LP........... 65 1,832
Buckeye Partners LP.............. 228 11,265
Cabot Oil & Gas Corp. ........... 491 19,822
Calumet Specialty Products
Partners LP.................... 70 2,592
Capital Product Partners LP...... 73 1,807
Carrizo Oil & Gas, Inc. (a)...... 126 6,899
Cheniere Energy Partners LP...... 74 1,188
Cheniere Energy, Inc. (a)........ 227 7,409
Cimarex Energy Co. .............. 419 17,820
Clean Energy Fuels Corp (a)...... 108 1,635
Comstock Resources, Inc. (a)..... 223 7,582
Concho Resources, Inc. (a)....... 101 2,082
Contango Oil & Gas Co.(a)........ 70 3,562
Continental Resources Inc. (a)... 228 5,958
Copano Energy LLC................ 212 7,706
Crosstex Energy LP............... 95 2,947
Crosstex Energy, Inc. ........... 228 8,491
CVR Energy, Inc. (a)............. 106 2,644
DCP Midstream Partners LP........ 79 3,630
Delek US Holdings, Inc. ......... 54 1,092
Delta Petroleum Corp. (a)........ 337 6,352
Dorchester Minerals LP........... 130 2,617
Double Hull Tankers, Inc. ....... 159 1,946
Duncan Energy Partners LP........ 81 1,768
Eagle Rock Energy Partners LP.... 193 3,528
El Paso Pipeline Partners LP(a).. 122 3,056
Enbridge Energy Management
LLC(a)......................... 54 2,825
Encore Aquisition Co.(a)......... 261 8,710
Encore Energy Partners LP........ 51 918
Energy Partners, Ltd.(a)......... 129 1,524
Enterprise GP Holdings LP........ 178 6,590
EV Energy Partner LP............. 47 1,528
Evergreen Energy, Inc. (a)....... 375 836
EXCO Resources, Inc. (a)......... 420 6,502
Forest Oil Corp. (a)............. 393 19,980
Foundation Coal Holdings, Inc. .. 231 12,128
General Maritime Corp. .......... 134 3,276
GeoMet, Inc. (a)................. 105 546
Goodrich Petroleum Corp. (a)..... 114 2,579
Gulfport Energy Corp. (a)........ 136 2,483
Harvest Natural Resources, Inc.
(a)............................ 168 2,100
Hiland Holdings GP LP............ 44 1,188
Holly Corp. ..................... 232 11,806
Holly Energy Partners LP......... 36 1,575
Hugoton Royalty Trust............ 197 4,419
Inergy Holdings LP............... 56 2,421
Inergy LP........................ 206 6,407
International Coal Group, Inc.
(a)............................ 605 3,243
Kinder Morgan Management LLC(a).. 306 16,200
Legacy Reserves LP............... 83 1,711
Linn Energy LLC.................. 567 14,192
Magellan Midstream Holdings LP... 115 3,082
Magellan Midstream Partners LP... 336 14,569
Mariner Energy, Inc. (a)......... 409 9,358
Markwest Energy Partners LP...... 157 5,303
Markwest Hydrocarbon, Inc. ...... 36 2,255
Massey Energy Co. ............... 402 14,372
McMoRan Exploration Co.(a)....... 235 3,076
Natural Resource Partners LP..... 164 5,323
NuStar Energy LP................. 192 10,234
NuStar GP Holdings LLC........... 184 5,253
OSG America LP(a)................ 31 575
Overseas Shipholding Group,
Inc. .......................... 141 10,495
Pacific Ethanol, Inc. (a)........ 180 1,478
Parallel Petroleum Corp. (a)..... 199 3,508
Penn Virginia Corp. ............. 192 8,377
Penn Virginia GP Holdings LP..... 101 2,893
Penn Virginia Resource Partners
LP............................. 120 2,948
Petrohawk Energy Corp. (a)....... 859 14,869
Petroleum Development Corp. (a).. 77 4,553
Plains Exploration & Production
Co.(a)......................... 561 30,294
Quicksilver Resources, Inc. (a).. 277 16,506
</Table>
See accompanying notes to financial statements.
54
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Regency Energy Partners LP....... 167 $ 5,573
Rentech, Inc. (a)................ 834 1,510
Rosetta Resources, Inc. (a)...... 254 5,037
SemGroup Energy Partners LP...... 67 1,932
Ship Finance International,
Ltd. .......................... 204 5,653
St. Mary Land & Exploration
Co. ........................... 315 12,162
Stone Energy Corp. (a)........... 130 6,098
Sunoco Logistics Partners LP..... 83 4,167
Swift Energy Co.(a).............. 149 6,560
Targa Resources Partners LP...... 162 4,798
TC Pipelines LP.................. 84 3,041
Teekay LNG Partners LP........... 64 1,899
Teekay Offshore Partners LP...... 44 1,113
TEPPCO Partners LP............... 370 14,182
U.S. Shipping Partners LP........ 64 842
Uranium Resources Inc. (a)....... 276 3,444
US BioEnergy Corp. (a)........... 210 2,459
USEC, Inc. (a)................... 553 4,977
Venoco, Inc. (a)................. 105 2,093
VeraSun Energy Corp. (a)......... 281 4,294
W&T Offshore, Inc. .............. 141 4,224
Warren Resources, Inc. (a)....... 302 4,267
Western Refining, Inc. .......... 141 3,414
Whiting Petroleum Corp. (a)...... 213 12,282
Williams Partners LP............. 200 7,840
World Fuel Services Corp. ....... 147 4,267
----------
659,161
----------
PAPER & FOREST PRODUCTS -- 0.3%
AbitibiBowater, Inc. ............ 285 5,874
Buckeye Technologies, Inc. (a)... 203 2,538
Deltic Timber Corp. ............. 58 2,986
Glatfelter....................... 224 3,429
Louisiana-Pacific Corp. ......... 517 7,073
Neenah Paper, Inc. .............. 75 2,186
Schweitzer-Mauduit International,
Inc. .......................... 73 1,891
Wausau-Mosinee Paper Corp. ...... 243 2,185
----------
28,162
----------
PERSONAL PRODUCTS -- 0.6%
Alberto Culver Co. .............. 442 10,847
Bare Escentuals, Inc. (a)........ 239 5,796
Chattem, Inc. (a)................ 76 5,741
Elizabeth Arden, Inc. (a)........ 144 2,930
Herbalife, Ltd. ................. 254 10,231
Mannatech, Inc. ................. 70 442
NBTY, Inc. (a)................... 307 8,412
Nu Skin Enterprises, Inc. (Class
A)............................. 262 4,305
Prestige Brands Holdings, Inc.
(a)............................ 166 1,242
Revlon, Inc. (Class A)(a)........ 949 1,120
USANA Health Sciences, Inc. (a).. 41 1,520
----------
52,586
----------
PHARMACEUTICALS -- 1.2%
Adams Respiratory Therapeutics,
Inc. (a)....................... 161 9,618
Akorn, Inc. (a).................. 275 2,018
Alpharma, Inc. (Class A)(a)...... 224 4,514
Auxilium Pharmaceuticals, Inc.
(a)............................ 162 4,858
BioForm Medical, Inc. (a)........ 36 246
Jazz Pharmaceuticals, Inc. (a)... 58 853
KV Pharmaceutical Co. (Class
A)(a).......................... 210 5,993
Medicis Pharmaceutical Corp.
(Class A)...................... 277 7,194
MGI Pharma, Inc. (a)............. 398 16,131
Noven Pharmaceuticals, Inc. (a).. 131 1,818
Par Pharmaceutical Cos., Inc.
(a)............................ 166 3,984
Perrigo Co. ..................... 396 13,864
Salix Pharmaceuticals, Ltd.(a)... 228 1,797
Sciele Pharma, Inc. (a).......... 162 3,313
Sucampo Pharmaceuticals, Inc.
(a)............................ 18 330
The Medicines Co.(a)............. 256 4,905
Valeant Pharmaceuticals
International(a)............... 402 4,812
Viropharma, Inc. (a)............. 340 2,700
Watson Pharmaceuticals, Inc.
(a)............................ 517 14,031
Xenoport, Inc. (a)............... 110 6,147
----------
109,126
----------
REAL ESTATE INVESTMENT TRUSTS -- 5.4%
Acadia Realty Trust.............. 150 3,841
Alexander's, Inc. (a)............ 10 3,533
Alexandria Real Estate Equities,
Inc. .......................... 159 16,166
American Campus Communities,
Inc. .......................... 134 3,598
American Financial Realty Trust.. 644 5,165
Anthracite Capital, Inc. ........ 331 2,396
Anworth Mortgage Asset Corp. .... 287 2,371
Arbor Realty Trust, Inc. ........ 94 1,514
Ashford Hospitality Trust,
Inc. .......................... 612 4,400
BioMed Realty Trust, Inc. ....... 333 7,716
Brandywine Realty Trust.......... 439 7,871
BRE Properties, Inc. (Class A)... 259 10,497
Capital Lease Funding, Inc. ..... 242 2,038
Capital Trust, Inc. (Class A).... 79 2,421
CBL & Associates Properties,
Inc. .......................... 332 7,938
Cedar Shopping Centers, Inc. .... 222 2,271
Chimera Investment Corp. ........ 162 2,897
Colonial Properties Trust........ 234 5,295
Corporate Office Properties
Trust.......................... 241 7,591
Cousins Properties, Inc. ........ 207 4,575
Crystal River Capital, Inc. ..... 120 1,733
DCT Industrial Trust, Inc. ...... 857 7,979
Deerfield Capital Corp. ......... 272 2,176
DiamondRock Hospitality Co. ..... 475 7,115
Digital Realty Trust, Inc. ...... 296 11,358
Douglas Emmett, Inc. ............ 491 11,102
DuPont Fabros Technology, Inc. .. 149 2,920
EastGroup Properties, Inc. ...... 119 4,980
Education Realty Trust, Inc. .... 153 1,720
Entertainment Properties Trust... 139 6,533
Equity Lifestyle Properties,
Inc. .......................... 115 5,252
Equity One, Inc. ................ 193 4,445
Essex Property Trust, Inc. ...... 127 12,381
Extra Space Storage, Inc. ....... 316 4,516
FelCor Lodging Trust, Inc. ...... 309 4,817
First Industrial Realty Trust,
Inc. .......................... 222 7,681
First Potomac Realty Trust....... 116 2,006
Franklin Street Properties
Corp. ......................... 330 4,884
Friedman, Billings, Ramsey Group,
Inc. .......................... 674 2,116
Getty Realty Corp. .............. 83 2,214
Glimcher Realty Trust............ 180 2,572
GMH Communities Trust............ 202 1,115
Gramercy Capital Corp./New York.. 135 3,282
Health Care REIT, Inc. .......... 424 18,949
</Table>
See accompanying notes to financial statements.
55
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Healthcare Realty Trust, Inc. ... 254 $ 6,449
Highwoods Properties, Inc. ...... 288 8,461
Home Properties, Inc. ........... 171 7,669
HRPT Properties Trust............ 1,121 8,665
Inland Real Estate Corp. ........ 296 4,191
Investors Real Estate Trust...... 262 2,350
JER Investors Trust, Inc. ....... 126 1,357
Kilroy Realty Corp. ............. 164 9,013
Kite Realty Group Trust.......... 136 2,077
LaSalle Hotel Properties......... 204 6,508
Lexington Corporate Properties
Trust.......................... 313 4,551
LTC Properties, Inc. ............ 102 2,555
Maguire Properties, Inc. ........ 178 5,246
Medical Properties Trust, Inc. .. 261 2,660
MFA Mortgage Investments, Inc. .. 600 5,550
Mid-America Apartment
Communities, Inc. ............. 125 5,344
National Health Investors,
Inc. .......................... 122 3,404
National Retail Properties,
Inc. .......................... 356 8,323
Nationwide Health Properties,
Inc. .......................... 461 14,462
Newcastle Investment Corp. ...... 271 3,512
NorthStar Realty Finance Corp. .. 307 2,738
Omega Healthcare Investors,
Inc. .......................... 337 5,409
Parkway Properties, Inc. ........ 75 2,774
Pennsylvania Real Estate
Investment Trust............... 198 5,877
Post Properties, Inc. ........... 220 7,726
Potlatch Corp. .................. 194 8,621
PS Business Parks, Inc. ......... 81 4,257
RAIT Investment Trust............ 301 2,595
Ramco-Gershenson Properties
Trust.......................... 89 1,902
Rayonier, Inc. .................. 391 18,471
Realty Income Corp. ............. 512 13,834
Redwood Trust, Inc. ............. 136 4,657
Saul Centers, Inc. .............. 58 3,099
Senior Housing Properties Trust.. 416 9,435
Sovran Self Storage, Inc. ....... 111 4,451
Strategic Hotels & Resorts,
Inc. .......................... 380 6,357
Sun Communities, Inc. ........... 80 1,686
Sunstone Hotel Investors, Inc. .. 308 5,633
Tanger Factory Outlet Centers,
Inc. .......................... 157 5,920
Taubman Centers, Inc. ........... 263 12,937
Thornburg Mortgage, Inc. ........ 656 6,061
U-Store-It Trust................. 225 2,061
Universal Health Realty Income
Trust.......................... 52 1,843
Urstadt Biddle Properties (Class
A)............................. 89 1,380
Washington Real Estate Investment
Trust.......................... 234 7,350
----------
497,361
----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3%
Jones Lang LaSalle, Inc. ........ 185 13,165
Meruelo Maddux Properties, Inc.
(a)............................ 173 692
Tejon Ranch Co.(a)............... 64 2,614
The St. Joe Co. ................. 378 13,423
----------
29,894
----------
ROAD & RAIL -- 0.9%
Amerco, Inc. (a)................. 35 2,299
Arkansas Best Corp. ............. 107 2,348
Avis Budget Group, Inc. (a)...... 517 6,721
Con-way, Inc. ................... 229 9,513
Dollar Thrifty Automotive
Group(a)....................... 97 2,297
Genesee & Wyoming, Inc. (Class
A)(a).......................... 154 3,722
Heartland Express, Inc. ......... 311 4,410
Kansas City Southern(a).......... 389 13,354
Knight Transportation, Inc. ..... 281 4,162
Landstar Systems, Inc. .......... 268 11,296
Old Dominion Freight Line, Inc.
(a)............................ 148 3,420
Ryder Systems, Inc. ............. 290 13,633
Werner Enterprises, Inc. ........ 252 4,292
YRC Worldwide, Inc. (a).......... 295 5,041
----------
86,508
----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.3%
Actel Corp. (a).................. 139 1,899
Advanced Analogic Technologies,
Inc. (a)....................... 213 2,403
Advanced Energy Industries, Inc.
(a)............................ 168 2,197
AMIS Holdings, Inc. (a).......... 312 3,126
Amkor Technology, Inc. (a)....... 540 4,606
Anadigics, Inc. (a).............. 290 3,355
Applied Micro Circuits Corp (a).. 341 2,980
Atheros Communications, Inc.
(a)............................ 286 8,734
Atmel Corp. (a).................. 2,074 8,960
ATMI, Inc. (a)................... 178 5,740
Axcelis Technologies, Inc. (a)... 533 2,452
Brooks Automation, Inc. (a)...... 344 4,544
Cabot Microelectronics Corp.
(a)............................ 123 4,417
Cavium Networks, Inc. (a)........ 105 2,417
Cirrus Logic, Inc. (a)........... 388 2,049
Cohu, Inc. ...................... 99 1,515
Conexant Systems, Inc. (a)....... 2,337 1,940
Credence Systems Corp. (a)....... 518 1,254
Cree, Inc. (a)................... 386 10,603
Cymer, Inc. (a).................. 151 5,878
Cypress Semiconductor Corp. (a).. 765 27,563
Diodes, Inc. (a)................. 151 4,541
DSP Group, Inc. (a).............. 163 1,989
Entegris, Inc. (a)............... 595 5,135
Entropic Communications, Inc.
(a)............................ 26 189
Exar Corp. (a)................... 220 1,753
Fairchild Semiconductor
International, Inc. (a)........ 630 9,091
FEI Co.(a)....................... 183 4,544
Formfactor, Inc. (a)............. 241 7,977
Genesis Microchip, Inc. (a)...... 171 1,465
Hittite Microwave Corp. (a)...... 81 3,869
Integrated Device Technology,
Inc. (a)....................... 967 10,937
Kulicke & Soffa Industries, Inc.
(a)............................ 286 1,962
Lattice Semiconductor Corp. (a).. 573 1,862
Mattson Technology, Inc. (a)..... 277 2,371
Micrel, Inc. .................... 275 2,324
Microsemi Corp. (a).............. 352 7,793
MKS Instruments, Inc. (a)........ 254 4,862
Monolithic Power Systems, Inc.
(a)............................ 114 2,448
Netlogic Microsystems, Inc. (a).. 92 2,962
OmniVision Technologies, Inc.
(a)............................ 280 4,382
ON Semiconductor Corp. (a)....... 1,483 13,169
PDF Solutions, Inc. (a).......... 106 955
Photronics, Inc. (a)............. 206 2,569
PMC-Sierra, Inc. (a)............. 1,082 7,076
Rambus, Inc. (a)................. 500 10,470
RF Micro Devices, Inc. (a)....... 1,356 7,743
Semtech Corp. (a)................ 322 4,997
</Table>
See accompanying notes to financial statements.
56
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Sigma Designs, Inc. (a).......... 140 $ 7,728
Silicon Image, Inc. (a).......... 425 1,921
Silicon Laboratories, Inc. (a)... 274 10,256
Silicon Storage Technology, Inc.
(a)............................ 423 1,265
Sirf Technology Holdings, Inc.
(a)............................ 284 7,137
Skyworks Solutions, Inc. (a)..... 797 6,774
Spansion, Inc. (a)............... 437 1,717
Standard Microsystems Corp. (a).. 120 4,688
Tessera Technologies, Inc. (a)... 234 9,734
Trident Microsystems, Inc. (a)... 276 1,811
TriQuint Semiconductor, Inc.
(a)............................ 720 4,774
Ultratech, Inc. (a).............. 82 930
Veeco Instruments, Inc. (a)...... 148 2,472
Zoran Corp. (a).................. 256 5,763
----------
305,037
----------
SOFTWARE -- 3.1%
ACI Worldwide, Inc. (a).......... 174 3,313
Advent Software, Inc. (a)........ 89 4,815
Ansoft Corp. (a)................. 69 1,784
Ansys, Inc. (a).................. 392 16,252
Aspen Technology, Inc. (a)....... 285 4,623
Blackbaud, Inc. ................. 218 6,113
Blackboard, Inc. (a)............. 135 5,434
BladeLogic, Inc. (a)............. 24 710
Borland Software Corp. (a)....... 344 1,035
Commvault Systems, Inc. (a)...... 174 3,685
Compuware Corp. (a).............. 1,428 12,680
Concur Technologies, Inc. (a).... 211 7,640
Deltek, Inc. (a)................. 38 579
Epicor Software Corp. (a)........ 260 3,063
eSpeed, Inc. (a)................. 143 1,616
Factset Research Systems, Inc. .. 227 12,644
Fair Isaac Corp. ................ 250 8,037
FalconStor Software, Inc. (a).... 156 1,756
i2 Technologies, Inc. (a)........ 63 794
Informatica Corp. (a)............ 443 7,983
Jack Henry & Associates, Inc. ... 411 10,004
JDA Software Group, Inc. (a)..... 142 2,905
Lawson Software, Inc. (a)........ 674 6,902
Macrovision Corp. (a)............ 265 4,857
Magma Design Automation, Inc.
(a)............................ 194 2,369
Manhattan Associates, Inc. (a)... 131 3,453
Mentor Graphics Corp. (a)........ 450 4,851
MICROS Systems, Inc. (a)......... 205 14,383
MicroStrategy, Inc. (a).......... 48 4,565
Midway Games, Inc. (a)........... 43 119
Monotype Imaging Holdings, Inc.
(a)............................ 52 789
MSC Software Corp. (a)........... 204 2,650
Novell, Inc. (a)................. 1,770 12,160
Nuance Communications, Inc. (a).. 775 14,477
Parametric Technology Corp. (a).. 568 10,139
Progress Software Corp. (a)...... 214 7,207
Quality Systems, Inc. ........... 87 2,652
Quest Software, Inc. (a)......... 272 5,016
Solera Holdings, Inc. (a)........ 269 6,666
Sonic Solutions, Inc. (a)........ 126 1,309
SPSS, Inc. (a)................... 99 3,555
SuccessFactors, Inc. (a)......... 46 544
Sybase, Inc. (a)................. 463 12,080
Synchronoss Technologies, Inc.
(a)............................ 98 3,473
Take-Two Interactive Software,
Inc. (a)....................... 364 6,716
Taleo Corp. (a).................. 82 2,442
THQ, Inc. (a).................... 341 9,613
TIBCO Software, Inc. (a)......... 945 7,626
Tyler Technologies, Inc. (a)..... 188 2,423
Ultimate Software Group, Inc.
(a)............................ 127 3,997
Vasco Data Security
International(a)............... 134 3,741
Wind River Systems, Inc. (a)..... 395 3,527
----------
281,766
----------
SPECIALTY RETAIL -- 2.2%
Aaron Rents, Inc. (Class B)...... 252 4,849
AC Moore Arts & Crafts, Inc.
(a)............................ 105 1,444
Aeropostale, Inc. (a)............ 386 10,229
AnnTaylor Stores Corp. (a)....... 309 7,898
Asbury Automotive Group, Inc. ... 153 2,303
Barnes & Noble, Inc. ............ 270 9,302
Bebe Stores, Inc. ............... 154 1,980
Big 5 Sporting Goods Corp. ...... 98 1,413
Blockbuster, Inc. (Class A)(a)... 909 3,545
Borders Group, Inc. ............. 294 3,131
Brown Shoe Co., Inc. ............ 222 3,368
Buckle, Inc. .................... 78 2,574
Build-A-Bear Workshop, Inc. (a).. 70 977
Cabela's, Inc. (a)............... 219 3,300
Charlotte Russe Holding, Inc.
(a)............................ 108 1,744
Charming Shoppes, Inc. (a)....... 598 3,235
Christopher & Banks Corp. ....... 177 2,027
Circuit City Stores, Inc. ....... 861 3,616
Coldwater Creek, Inc. (a)........ 323 2,161
Collective Brands, Inc. (a)...... 327 5,687
Conn's, Inc. (a)................. 57 975
CSK Auto Corp. (a)............... 240 1,202
Dick's Sporting Goods, Inc. (a).. 413 11,465
Dress Barn, Inc. (a)............. 222 2,777
DSW, Inc. (Class A)(a)........... 71 1,332
Foot Locker, Inc. ............... 793 10,832
Genesco, Inc. (a)................ 115 4,347
Group 1 Automotive, Inc. ........ 111 2,636
Gymboree Corp. (a)............... 159 4,843
hhgregg, Inc. (a)................ 45 619
Hibbett Sports, Inc. (a)......... 161 3,217
Hot Topic, Inc. (a).............. 206 1,199
J. Crew Group, Inc. (a).......... 220 10,606
Jo-Ann Stores, Inc. (a).......... 123 1,609
Jos. A. Bank Clothiers, Inc.
(a)............................ 87 2,475
Lithia Motors, Inc. (Class A).... 74 1,016
Mens Wearhouse, Inc. ............ 248 6,691
New York & Co., Inc. (a)......... 139 887
OfficeMax, Inc. ................. 374 7,727
Pacific Sunwear of California,
Inc. (a)....................... 351 4,953
Pier 1 Imports, Inc. (a)......... 383 2,003
Rent-A-Center, Inc. (a).......... 330 4,792
Sally Beauty Holdings, Inc. (a).. 423 3,828
Select Comfort Corp. (a)......... 218 1,528
Sonic Automotive, Inc. (Class
A)............................. 208 4,027
Stage Stores, Inc. .............. 218 3,226
Stein Mart, Inc. ................ 127 602
Talbots, Inc. ................... 119 1,407
</Table>
See accompanying notes to financial statements.
57
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Cato Corp. (Class A)......... 150 $ 2,349
The Children's Place Retail
Stores, Inc. (a)............... 123 3,189
The Finish Line, Inc. (Class A).. 210 508
The Pep Boys -- Manny, Moe &
Jack........................... 201 2,307
Tractor Supply Co.(a)............ 168 6,038
Tween Brands, Inc. (a)........... 120 3,178
Ulta Salon Cosmetics & Fragrance,
Inc. (a)....................... 39 669
United Auto Group, Inc. ......... 213 3,719
West Marine, Inc. (a)............ 63 566
Zale Corp. (a)................... 240 3,854
Zumiez, Inc. (a)................. 92 2,241
----------
206,222
----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.3%
American Apparel, Inc. (a)....... 93 1,395
Carter's, Inc. (a)............... 250 4,837
Columbia Sportswear Co. ......... 79 3,483
Deckers Outdoor Corp. (a)........ 65 10,079
Fossil, Inc. (a)................. 243 10,201
Hanesbrands, Inc. (a)............ 486 13,205
Heelys, Inc. (a)................. 49 341
Iconix Brand Group, Inc. (a)..... 279 5,485
Jones Apparel Group, Inc. ....... 423 6,764
K-Swiss, Inc. (Class A).......... 140 2,534
Kellwood Co. .................... 126 2,097
Kenneth Cole Productions, Inc.
(Class A)...................... 58 1,014
Maidenform Brands, Inc. (a)...... 94 1,272
Movado Group, Inc. .............. 89 2,251
Oxford Industries, Inc. ......... 75 1,933
Phillips-Van Heusen Corp. ....... 279 10,284
Quiksilver, Inc. (a)............. 617 5,294
Skechers USA, Inc. (a)........... 162 3,161
Steven Madden, Ltd.(a)........... 95 1,900
The Timberland Co. (Class A)(a).. 249 4,502
Under Armour, Inc. (Class A)(a).. 150 6,550
UniFirst Corp. .................. 64 2,432
Volcom, Inc. (a)................. 76 1,674
Warnaco Group, Inc. (a).......... 233 8,108
Wolverine World Wide, Inc. ...... 259 6,351
----------
117,147
----------
THRIFTS & MORTGAGE FINANCE -- 1.2%
Anchor Bancorp Wisconsin, Inc. .. 92 2,164
Astoria Financial Corp. ......... 450 10,471
Bank Mutual Corp. ............... 265 2,801
BankAtlantic Bancorp, Inc. (Class
A)............................. 233 955
BankUnited Financial Corp. ...... 183 1,263
Beneficial Mutual Bancorp, Inc.
(a)............................ 175 1,701
Brookline Bancorp, Inc. ......... 329 3,343
Capitol Federal Financial........ 110 3,410
Centerline Holding Co. .......... 251 1,913
Charter Financial Corp. ......... 19 703
Clifton Savings Bancorp, Inc. ... 67 657
Corus Bankshares, Inc. .......... 163 1,739
Dime Community Bancshares........ 162 2,069
Doral Financial Corp. (a)........ 28 505
Downey Financial Corp. .......... 104 3,235
First Busey Corp. ............... 140 2,780
First Financial Holdings, Inc. .. 57 1,563
First Niagara Financial Group,
Inc. .......................... 522 6,285
First Place Financial Corp. ..... 84 1,175
FirstFed Financial Corp. (a)..... 66 2,364
Flagstar Bancorp, Inc. .......... 180 1,255
Flushing Financial Corp. ........ 95 1,525
Franklin Bank Corp. (a).......... 109 470
Fremont General Corp. (a)........ 322 1,127
IndyMac Bancorp, Inc. ........... 404 2,404
Kearny Financial Corp. .......... 103 1,227
KNBT Bancorp, Inc. .............. 119 1,835
NewAlliance Bancshares, Inc. .... 525 6,048
Northwest Bancorp, Inc. ......... 102 2,710
Ocwen Financial Corp. (a)........ 179 992
Oritani Financial Corp. (a)...... 57 701
PFF Bancorp, Inc. ............... 106 1,276
Provident Financial Services,
Inc. .......................... 284 4,095
Provident New York Bancorp....... 198 2,558
Radian Group, Inc. .............. 409 4,777
Roma Financial Corp. ............ 48 753
The PMI Group, Inc. ............. 401 5,325
TierOne Corp. ................... 84 1,860
Triad Guaranty, Inc. (a)......... 57 559
TrustCo Bank Corp. NY............ 386 3,829
United Community Financial
Corp. ......................... 130 718
Washington Federal, Inc. ........ 439 9,267
Wauwatosa Holdings, Inc. (a)..... 48 615
WSFS Financial Corp. ............ 29 1,456
----------
108,478
----------
TOBACCO -- 0.1%
Alliance One International, Inc.
(a)............................ 498 2,027
Universal Corp. ................. 140 7,171
Vector Group, Ltd. .............. 175 3,510
----------
12,708
----------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aircastle, Ltd. ................. 219 5,766
Applied Industrial Technologies,
Inc. .......................... 205 5,949
Beacon Roofing Supply, Inc. (a).. 232 1,953
BlueLinx Holdings, Inc. ......... 54 212
GATX Corp. ...................... 210 7,703
H&E Equipment Services, Inc.
(a)............................ 94 1,775
Interline Brands, Inc. (a)....... 156 3,418
Kaman Corp. (Class A)............ 127 4,675
Lawson Products, Inc. ........... 22 834
MSC Industrial Direct Co., Inc.
(Class A)...................... 233 9,430
Rush Enterprises, Inc. (a)....... 175 3,181
TAL International Group, Inc. ... 91 2,072
Textainer Group Holdings, Ltd. .. 45 654
UAP Holding Corp. ............... 265 10,229
United Rentals, Inc. (a)......... 392 7,197
Watsco, Inc. .................... 127 4,669
Wesco International, Inc. (a).... 222 8,800
----------
78,517
----------
TRANSPORTATION INFRASTRUCTURE -- 0.1%
Macquarie Infrastructure Co.
LLC............................ 221 8,957
----------
WATER UTILITIES -- 0.2%
American States Water Co. ....... 83 3,128
Aqua America, Inc. .............. 667 14,140
</Table>
See accompanying notes to financial statements.
58
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
California Water Service Group... 98 $ 3,628
SJW Corp. ....................... 69 2,392
----------
23,288
----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
Centennial Communications Corp.
(a)............................ 328 3,047
FiberTower Corp. (a)............. 437 996
ICO Global Communications
Holdings, Ltd.(a).............. 521 1,657
iPCS, Inc. ...................... 61 2,195
Rural Cellular Corp. (a)......... 55 2,425
SBA Communications Corp. (a)..... 497 16,819
SunCom Wireless Holdings, Inc.
(a)............................ 41 1,094
Syniverse Holdings, Inc. (a)..... 133 2,072
TerreStar Corp. (a).............. 293 2,124
USA Mobility, Inc. (a)........... 122 1,745
Virgin Mobile USA, Inc. (Class
A)(a).......................... 138 1,227
----------
35,401
----------
TOTAL COMMON STOCKS --
(Cost $10,412,240)............. 9,188,550
----------
WARRANTS -- 0.0%
COMMUNICATIONS EQUIPMENT -- 0.0%
Pegasus Wireless Corp. (a)
(Cost $0)...................... 97 0
----------
SHORT TERM INVESTMENTS -- 0.6%
MONEY MARKET FUND -- 0.6%
STIC Prime Portfolio
(Cost $53,866)................. 53,866 53,866
----------
TOTAL INVESTMENTS -- 100.4%
(Cost $10,466,106)............. 9,242,416
OTHER ASSETS AND
LIABILITIES -- (0.4)%.......... (32,991)
----------
NET ASSETS -- 100.0%............. $9,209,425
==========
</Table>
(a) Non-income producing security
See accompanying notes to financial statements.
59
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.9%
AAR Corp. (a).................. 3,454 $ 131,356
American Science & Engineering,
Inc. ........................ 910 51,642
Argon ST, Inc. (a)............. 1,218 22,606
BE Aerospace, Inc. (a)......... 8,393 443,990
Ceradyne, Inc. (a)............. 2,380 111,693
DynCorp International, Inc.
(a).......................... 2,232 59,996
Hexcel Corp. (a)............... 8,542 207,400
Innovative Solutions & Support,
Inc. (a)..................... 927 8,983
Ionatron, Inc. (a)............. 3,617 10,345
Moog, Inc. (a)................. 3,657 167,527
MTC Technologies, Inc. (a)..... 865 20,327
Orbital Sciences Corp. (a)..... 5,376 131,820
Taser International, Inc. (a).. 6,026 86,714
Teledyne Technologies, Inc.
(a).......................... 2,947 157,163
TransDigm Group, Inc. (a)...... 2,329 105,201
-----------
1,716,763
-----------
AIR FREIGHT & LOGISTICS -- 0.4%
ABX Air, Inc. (a).............. 4,818 20,140
Forward Air Corp. ............. 2,753 85,811
HUB Group, Inc. (Class A) (a).. 3,471 92,259
UTI Worldwide, Inc. ........... 7,907 154,977
-----------
353,187
-----------
AIRLINES -- 0.8%
AirTran Holdings, Inc. (a)..... 8,583 61,454
Allegiant Travel Co. (a)....... 1,274 40,946
Continental Airlines, Inc.
(Class B) (a)................ 9,091 202,275
ExpressJet Holdings, Inc. (a).. 4,814 11,939
JetBlue Airways Corp. (a)...... 15,983 94,300
Republic Airways Holdings, Inc.
(a).......................... 3,506 68,682
SkyWest, Inc. ................. 5,824 156,374
US Airways Group, Inc. (a)..... 7,632 112,267
-----------
748,237
-----------
AUTO COMPONENTS -- 0.4%
Drew Industries, Inc. (a)...... 1,715 46,991
Gentex Corp. .................. 13,500 239,895
Tenneco Automotive, Inc. (a)... 4,137 107,852
-----------
394,738
-----------
AUTOMOBILES -- 0.3%
Fleetwood Enterprises, Inc.
(a).......................... 6,056 36,215
Thor Industries, Inc. ......... 3,604 136,988
Winnebago Industries, Inc. .... 2,817 59,213
-----------
232,416
-----------
BEVERAGES -- 0.3%
Boston Beer Co., Inc. (a)...... 875 32,944
Central European Distribution
Corp. (a).................... 2,942 170,871
Coca-Cola Hellenic Bottling Co.
SA........................... 356 20,961
-----------
224,776
-----------
BIOTECHNOLOGY -- 4.9%
Affymax, Inc. (a).............. 513 11,471
Alexion Pharmaceuticals, Inc.
(a).......................... 3,491 261,930
Alkermes, Inc. (a)............. 9,137 142,446
Alnylam Pharmaceuticals, Inc.
(a).......................... 2,722 79,156
Altus Pharmaceuticals, Inc.
(a).......................... 2,536 13,136
Applera Corp. -- Celera
Genomics Group(a)............ 7,134 113,217
Arena Pharmaceuticals, Inc.
(a).......................... 6,802 53,260
Ariad Pharmaceuticals, Inc.
(a).......................... 6,077 25,827
BioMarin Pharmaceuticals, Inc.
(a).......................... 8,746 309,608
Cepheid, Inc. (a).............. 4,888 128,799
Cubist Pharmaceuticals, Inc.
(a).......................... 5,223 107,124
CV Therapeutics, Inc. (a)...... 5,314 48,092
Dendreon Corp. (a)............. 8,034 49,971
Enzon Pharmaceuticals, Inc.
(a).......................... 3,913 37,291
Geron Corp. (a)................ 7,403 42,049
GTx, Inc. (a).................. 1,469 21,080
Halozyme Therapeutics, Inc.
(a).......................... 6,230 44,295
Human Genome Sciences, Inc.
(a).......................... 12,659 132,160
ImClone Systems, Inc. (a)...... 5,583 240,069
InterMune, Inc. (a)............ 2,912 38,817
Isis Pharmaceuticals, Inc.
(a).......................... 7,763 122,267
Keryx Biopharmaceuticals, Inc.
(a).......................... 3,446 28,946
Lexicon Genetics, Inc. (a)..... 9,517 28,836
Life Cell Corp. (a)............ 3,074 132,520
Ligand Pharmaceuticals, Inc.
(Class B).................... 6,670 32,216
MannKind Corp. (a)............. 4,722 37,587
Martek Biosciences Corp. (a)... 3,053 90,308
Maxygen, Inc. (a).............. 2,620 21,039
Medarex, Inc. (a).............. 11,396 118,746
Momenta Pharmaceuticals, Inc.
(a).......................... 2,309 16,486
Myriad Genetics, Inc. (a)...... 4,079 189,347
Neurocrine Biosciences, Inc.
(a).......................... 3,380 15,345
Onyx Pharmaceuticals, Inc.
(a).......................... 5,023 279,379
Opko Health, Inc. (a).......... 8,792 25,057
OSI Pharmaceuticals, Inc. (a).. 5,351 259,577
PDL BioPharma, Inc. (a)........ 10,594 185,607
Pharmion Corp. (a)............. 2,795 175,694
Progenics Pharmaceuticals, Inc.
(a).......................... 2,040 36,863
Regeneron Pharmaceuticals, Inc.
(a).......................... 5,998 144,852
Savient Pharmaceuticals, Inc.
(a).......................... 4,880 112,094
Seattle Genetics, Inc. (a)..... 4,354 49,636
Theravance, Inc. (a)........... 4,955 96,622
United Therapeutics Corp. (a).. 1,823 178,016
Vanda Pharmaceuticals, Inc.
(a).......................... 2,001 13,767
Zymogenetics, Inc. (a)......... 3,388 39,538
-----------
4,330,143
-----------
BUILDING PRODUCTS -- 0.2%
Builders FirstSource, Inc.
(a).......................... 1,822 13,155
Goodman Global, Inc. (a)....... 2,874 70,528
Griffon Corp. (a).............. 2,431 30,266
PGT, Inc. (a).................. 1,103 5,250
Simpson Manufacturing Co.,
Inc. ........................ 3,369 89,582
Trex Co., Inc. (a)............. 1,120 9,531
-----------
218,312
-----------
CAPITAL MARKETS -- 1.0%
Affiliated Managers Group, Inc.
(a).......................... 2,694 316,437
Calamos Asset Management, Inc.
(Class B).................... 2,069 61,615
GFI Group, Inc. (a)............ 1,513 144,824
Greenhill & Co., Inc. ......... 773 51,389
KBW, Inc. (a).................. 2,735 69,989
optionsXpress Holdings, Inc. .. 4,282 144,817
Penson Worldwide, Inc. (a)..... 1,592 22,845
</Table>
See accompanying notes to financial statements.
60
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Pzena Investment Management,
Inc. (Class A)............... 542 $ 6,179
TradeStation Group, Inc. (a)... 3,084 43,824
-----------
861,919
-----------
CHEMICALS -- 1.2%
American Vanguard Corp. ....... 1,623 28,159
Flotek Industries, Inc. (a).... 1,628 58,673
Nalco Holding Co. ............. 13,167 318,378
PolyOne Corp. (a).............. 8,158 53,680
Rockwood Holdings, Inc. (a).... 2,226 73,948
Symyx Technologies, Inc. (a)... 3,157 24,246
Terra Industries, Inc. (a)..... 8,141 388,814
Zep, Inc. (a).................. 2,109 29,252
Zoltek Cos., Inc. (a).......... 2,568 110,090
-----------
1,085,240
-----------
COMMERCIAL BANKS -- 0.9%
Bank of the Ozarks, Inc. ...... 1,123 29,423
Boston Private Financial
Holdings, Inc. .............. 3,481 94,266
Cascade Bancorp................ 1,932 26,893
CoBiz, Inc. ................... 1,708 25,398
East West Bancorp, Inc. ....... 5,502 133,313
Hanmi Financial Corp. ......... 4,376 37,721
Nara Bancorp, Inc. ............ 1,964 22,920
PrivateBancorp, Inc. .......... 2,083 68,010
Signature Bank(a).............. 2,740 92,475
Texas Capital Bancshares, Inc.
(a).......................... 2,399 43,782
UCBH Holdings, Inc. ........... 9,382 132,849
United Community Banks, Inc. .. 4,631 73,170
Virginia Commerce Bancorp, Inc.
(a).......................... 1,821 21,360
Western Alliance Bancorp(a).... 2,226 41,782
-----------
843,362
-----------
COMMERCIAL SERVICES & SUPPLIES -- 4.9%
ACCO Brands Corp. (a).......... 5,080 81,483
Administaff, Inc. ............. 2,251 63,658
Advisory Board Co. (a)......... 1,743 111,883
American Reprographics Co.
(a).......................... 3,439 56,675
CBIZ, Inc. (a)................. 4,658 45,695
Cenveo, Inc. (a)............... 4,743 82,860
Clean Harbors, Inc. (a)........ 1,611 83,289
Comfort Systems USA, Inc. ..... 3,984 50,916
Copart, Inc. (a)............... 6,124 260,576
Corrections Corp. of
America(a)................... 11,132 328,505
CoStar Group, Inc. (a)......... 1,826 86,278
Covanta Holding Corp. (a)...... 10,050 277,983
CRA International, Inc. (a).... 946 45,039
Diamond Management & Technology
Consultants, Inc. ........... 2,812 20,443
EnergySolutions, Inc. (a)...... 2,692 72,657
First Advantage Corp. (Class A)
(a).......................... 655 10,788
FTI Consulting, Inc. (a)....... 4,359 268,689
Fuel Tech, Inc. (a)............ 1,616 36,602
Healthcare Services Group,
Inc. ........................ 3,616 76,587
Hudson Highland Group, Inc.
(a).......................... 2,349 19,755
Huron Consulting Group, Inc.
(a).......................... 1,681 135,539
IHS, Inc. (a).................. 2,802 169,689
Innerworkings, Inc. (a)........ 2,636 45,497
Interface, Inc. (Class A)...... 5,153 84,097
Kenexa Corp. (a)............... 2,119 41,151
Kforce, Inc. (a)............... 3,627 35,363
Knoll, Inc. ................... 4,723 77,599
Korn/Ferry International(a).... 4,280 80,550
Layne Christensen Co. (a)...... 1,704 83,854
LECG Corp. (a)................. 2,099 31,611
M&F Worldwide Corp. (a)........ 1,162 62,574
Mine Safety Appliances Co. .... 2,124 110,172
Mobile Mini, Inc. (a).......... 3,385 62,758
Navigant Consulting, Inc. (a).. 4,673 63,880
Pike Electric Corp. (a)........ 1,535 25,727
Resources Connection, Inc. .... 4,389 79,704
Rollins, Inc. ................. 4,722 90,653
RSC Holdings, Inc. (a)......... 4,563 57,266
Schawk, Inc. .................. 1,090 16,917
Spherion Corp. (a)............. 5,039 36,684
Steelcase, Inc. (Class A)...... 5,884 93,379
TeleTech Holdings, Inc. (a).... 3,787 80,549
Tetra Tech, Inc. (a)........... 5,189 111,563
The Corporate Executive Board
Co. ......................... 3,328 200,013
The Geo Group, Inc. (a)........ 4,519 126,532
TrueBlue, Inc. (a)............. 4,385 63,495
Waste Connections, Inc. (a).... 6,273 193,836
-----------
4,341,013
-----------
COMMUNICATIONS EQUIPMENT -- 3.9%
Acme Packet, Inc. (a).......... 2,169 27,308
ADC Telecommunications, Inc.
(a).......................... 10,669 165,903
Adtran, Inc. .................. 5,327 113,891
Airvana, Inc. (a).............. 712 3,866
Arris Group, Inc. (a).......... 12,085 120,612
Aruba Networks, Inc. (a)....... 3,072 45,803
Avocent Corp. (a).............. 4,251 99,091
BigBand Networks, Inc. (a)..... 2,419 12,434
Blue Coat Systems, Inc. (a).... 2,866 94,205
CIENA Corp. (a)................ 7,762 264,762
CommScope, Inc. (a)............ 6,076 299,000
Comtech Telecommunications
Corp. (a).................... 2,162 116,770
Extreme Networks, Inc. (a)..... 11,247 39,814
F5 Networks, Inc. (a).......... 7,890 225,023
Finisar Corp. (a).............. 22,159 32,130
Foundry Networks, Inc. (a)..... 12,200 213,744
Harmonic, Inc. (a)............. 8,706 91,239
Harris Stratex Networks, Inc.
(a).......................... 2,088 34,870
Hughes Communications, Inc.
(a).......................... 564 30,800
Infinera Corp. (a)............. 6,841 101,520
InterDigital, Inc. (a)......... 4,424 103,212
Ixia(a)........................ 3,222 30,545
Loral Space & Communications,
Ltd. (a)..................... 1,143 39,148
Netgear, Inc. (a).............. 3,286 117,212
Neutral Tandem, Inc. (a)....... 627 11,925
Nextwave Wireless, Inc. (a).... 4,656 25,049
OpNext, Inc. (a)............... 1,940 17,169
Packeteer, Inc. (a)............ 3,224 19,860
Plantronics, Inc. ............. 4,638 120,588
Polycom, Inc. (a).............. 8,358 232,185
Powerwave Technologies, Inc.
(a).......................... 10,035 40,441
Riverbed Technology, Inc. (a).. 4,747 126,935
ShoreTel, Inc. (a)............. 705 9,849
Sonus Networks, Inc. (a)....... 25,073 146,176
Starent Networks Corp. (a)..... 2,828 51,611
</Table>
See accompanying notes to financial statements.
61
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Symmetricom, Inc. (a).......... 4,108 $ 19,349
Tekelec(a)..................... 5,314 66,425
Utstarcom, Inc. (a)............ 9,423 25,913
Viasat, Inc. (a)............... 2,476 85,249
-----------
3,421,626
-----------
COMPUTERS & PERIPHERALS -- 1.1%
Avid Technology, Inc. (a)...... 3,973 112,595
Brocade Communications Systems,
Inc. (a)..................... 35,542 260,878
Data Domain, Inc. (a).......... 1,287 33,900
Hypercom Corp. (a)............. 4,502 22,420
Intermec, Inc. (a)............. 4,238 86,074
Isilon Systems, Inc. (a)....... 2,215 11,252
Novatel Wireless, Inc. (a)..... 3,161 51,208
Palm, Inc. .................... 9,144 57,973
QLogic Corp. (a)............... 12,442 176,676
Rackable Systems, Inc. (a)..... 2,555 25,550
Stratasys, Inc. (a)............ 1,944 50,233
Synaptics, Inc. (a)............ 2,333 96,026
-----------
984,785
-----------
CONSTRUCTION & ENGINEERING -- 0.8%
Aecom Technology Corp. (a)..... 6,889 196,819
Perini Corp. (a)............... 2,208 91,455
Quanta Services, Inc. (a)...... 15,618 409,816
-----------
698,090
-----------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. ......... 4,001 141,955
Headwaters, Inc. (a)........... 3,747 43,990
-----------
185,945
-----------
CONSUMER FINANCE -- 0.4%
Cardtronics, Inc. (a).......... 876 8,856
Cash America International,
Inc. ........................ 2,864 92,507
CompuCredit Corp. (a).......... 2,877 28,713
Credit Acceptance Corp. (a).... 181 3,741
Dollar Financial Corp. (a)..... 2,084 63,958
Ezcorp, Inc. (a)............... 3,622 40,892
First Cash Financial Services,
Inc. (a)..................... 2,604 38,227
Nelnet, Inc. .................. 1,900 24,149
World Acceptance Corp. (a)..... 1,395 37,637
-----------
338,680
-----------
CONTAINERS & PACKAGING -- 0.4%
Graphic Packaging Corp. (a).... 5,841 21,554
Greif, Inc. (Class A).......... 2,884 188,527
Myers Industries, Inc. ........ 2,496 36,117
Silgan Holdings, Inc. ......... 2,313 120,137
-----------
366,335
-----------
DISTRIBUTORS -- 0.3%
LKQ Corp. (a).................. 11,046 232,187
-----------
DIVERSIFIED CONSUMER SERVICES -- 2.0%
American Public Education, Inc.
(a).......................... 477 19,929
Bright Horizons Family
Solutions, Inc. (a).......... 2,522 87,110
Capella Education Co. (a)...... 896 58,652
Career Education Corp. (a)..... 8,565 215,324
Coinstar, Inc. (a)............. 2,356 66,321
Corinthian Colleges, Inc. (a).. 7,635 117,579
DeVry, Inc. ................... 5,617 291,859
INVESTools, Inc. (a)........... 4,485 79,564
Jackson Hewitt Tax Service,
Inc. ........................ 2,685 85,249
Lincoln Educational Services
Corp. (a).................... 225 3,312
Matthews International Corp.
(Class A).................... 2,843 133,252
Pre-Paid Legal Services, Inc.
(a).......................... 810 44,834
Sotheby's Holdings, Inc. ...... 6,093 232,143
Steiner Leisure, Ltd. (a)...... 1,507 66,549
Strayer Education, Inc. ....... 1,376 234,718
Universal Technical Institute,
Inc. (a)..................... 2,124 36,108
-----------
1,772,503
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
Asset Acceptance Capital
Corp. ....................... 1,557 16,208
MarketAxess Holdings, Inc.
(a).......................... 2,898 37,181
NewStar Financial, Inc. (a).... 3,395 28,111
Portfolio Recovery Associates,
Inc. ........................ 1,527 60,576
The Nasdaq Stock Market, Inc.
(a).......................... 9,757 482,874
-----------
624,950
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1%
Cbeyond, Inc. (a).............. 1,978 77,122
Cincinnati Bell, Inc. (a)...... 23,532 111,777
Cogent Communications Group,
Inc. (a)..................... 4,668 110,678
Covad Communications Group,
Inc. (a)..................... 26,421 22,722
General Communication, Inc.
(Class A) (a)................ 4,183 36,601
Global Crossing, Ltd. (a)...... 2,329 51,355
Globalstar, Inc. (a)........... 2,084 16,672
NTELOS Holdings Corp. ......... 2,771 82,271
Paetec Holding Corp. (a)....... 7,871 76,742
Premiere Global Services, Inc.
(a).......................... 5,423 80,532
Time Warner Telecom, Inc.
(Class A) (a)................ 13,263 269,106
Vonage Holdings Corp. (a)...... 3,580 8,234
-----------
943,812
-----------
ELECTRIC UTILITIES -- 0.3%
ITC Holdings Corp. ............ 4,007 226,075
-----------
ELECTRICAL EQUIPMENT -- 1.5%
Acuity Brands, Inc. ........... 3,830 172,350
Advanced Battery Technologies,
Inc. (a)..................... 3,954 18,584
American Superconductor Corp.
(a).......................... 3,657 99,982
Encore Wire Corp. ............. 1,494 23,785
Energy Conversion Devices, Inc.
(a).......................... 3,780 127,197
EnerSys(a)..................... 3,509 87,585
Evergreen Solar, Inc. (a)...... 8,767 151,406
Franklin Electric Co., Inc. ... 1,571 60,122
FuelCell Energy, Inc. (a)...... 6,450 63,984
General Cable Corp. (a)........ 4,806 352,184
II-VI, Inc. (a)................ 2,291 69,990
Medis Technologies, Ltd. (a)... 1,965 30,320
Plug Power, Inc. (a)........... 5,791 22,874
Power-One, Inc. (a)............ 6,674 26,629
Vicor Corp. ................... 1,676 26,129
-----------
1,333,121
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.2%
Benchmark Electronics, Inc.
(a).......................... 6,511 115,440
Brightpoint, Inc. (a).......... 4,785 73,498
Cogent, Inc. (a)............... 3,589 40,017
Cognex Corp. .................. 3,830 77,175
CTS Corp. ..................... 3,183 31,607
</Table>
See accompanying notes to financial statements.
62
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Daktronics, Inc. .............. 3,623 $ 81,771
Dolby Laboratories, Inc. (a)... 4,024 200,073
Echelon Corp. (a).............. 2,792 57,627
FARO Technologies, Inc. (a).... 1,544 41,966
FLIR Systems, Inc. (a)......... 12,148 380,233
ICx Technologies, Inc. (a)..... 470 4,521
Insight Enterprises, Inc. (a).. 4,746 86,567
IPG Photonics Corp. (a)........ 1,692 33,823
Itron, Inc. (a)................ 2,791 267,852
L-1 Identity Solutions, Inc.
(a).......................... 6,314 113,336
Measurement Specialties, Inc.
(a).......................... 1,174 25,945
Mercury Computer System, Inc.
(a).......................... 1,975 31,817
Mettler Toledo International,
Inc. (a)..................... 3,335 379,523
MTS Systems Corp. ............. 1,690 72,112
Multi-Fineline Electronix, Inc.
(a).......................... 783 13,577
National Instruments Corp. .... 5,329 177,616
Rofin-Sinar Technologies, Inc.
(a).......................... 2,763 132,928
Rogers Corp. (a)............... 1,720 74,597
Sanmina-SCI Corp. (a).......... 51,174 93,137
Scansource, Inc. (a)........... 2,480 80,228
Smart Modular Technologies
(WWH), Inc. (a).............. 3,255 33,136
TTM Technologies, Inc. (a)..... 3,729 43,480
Universal Display Corp. (a).... 3,084 63,746
-----------
2,827,348
-----------
ENERGY EQUIPMENT & SERVICES -- 4.6%
Allis-Chalmers Energy, Inc.
(a).......................... 2,902 42,804
Atwood Oceanics, Inc. (a)...... 2,513 251,903
Basic Energy Services, Inc.
(a).......................... 2,100 46,095
Cal Dive International, Inc.
(a).......................... 3,767 49,875
CARBO Ceramics, Inc. .......... 2,000 74,400
Complete Production Services,
Inc. (a)..................... 3,879 69,706
Dresser-Rand Group, Inc. (a)... 7,773 303,536
Dril-Quip, Inc. (a)............ 2,546 141,710
Exterran Partners LP........... 1,094 35,106
Global Industries, Ltd. (a).... 7,935 169,968
Grey Wolf, Inc. (a)............ 17,577 93,685
Helix Energy Solutions Group,
Inc. (a)..................... 7,597 315,275
Helmerich & Payne, Inc. ....... 8,709 348,970
Hercules Offshore, Inc. (a).... 8,349 198,539
Hornbeck Offshore Services,
Inc. (a)..................... 2,228 100,149
ION Geophysical Corp. (a)...... 6,623 104,511
Key Energy Services, Inc. (a).. 12,451 179,170
NATCO Group, Inc. (a).......... 1,469 79,546
Newpark Resources, Inc. (a).... 7,947 43,311
Oceaneering International, Inc.
(a).......................... 5,008 337,289
Oil States International, Inc.
(a).......................... 4,527 154,461
Parker Drilling Co. (a)........ 10,922 82,461
Pioneer Drilling Co. (a)....... 4,719 56,062
RPC, Inc. ..................... 3,560 41,688
Superior Energy Services, Inc.
(a).......................... 7,322 252,023
Superior Well Services, Inc.
(a).......................... 998 21,178
Tetra Technologies, Inc. (a)... 7,129 110,999
Unit Corp. (a)................. 4,224 195,360
W-H Energy Services, Inc. (a).. 2,725 153,172
-----------
4,052,952
-----------
FOOD & STAPLES RETAILING -- 0.5%
Pantry, Inc. (a)............... 2,118 55,343
Pricesmart, Inc. .............. 1,174 35,291
Rite Aid Corp. (a)............. 48,870 136,347
The Andersons, Inc. ........... 1,665 74,592
United Natural Foods, Inc.
(a).......................... 3,512 111,401
-----------
412,974
-----------
FOOD PRODUCTS -- 0.5%
B&G Foods, Inc. ............... 3,508 35,817
Darling International, Inc.
(a).......................... 6,973 80,608
Flowers Foods, Inc. ........... 7,969 186,554
Green Mountain Coffee Roasters,
Inc. (a)..................... 1,725 70,208
J&J Snack Foods Corp. ......... 1,248 39,037
Seaboard Corp. ................ 33 48,510
-----------
460,734
-----------
GAS UTILITIES -- 0.0% (B)
Spectra Energy Partners LP..... 996 23,864
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8%
Accuray, Inc. (a).............. 3,645 55,477
Align Technology, Inc. (a)..... 5,366 89,505
American Medical Systems
Holdings, Inc. (a)........... 6,801 98,343
Arthrocare Corp. (a)........... 2,593 124,594
Aspect Medical Systems, Inc.
(a).......................... 1,044 14,616
Cyberonics, Inc. (a)........... 1,515 19,937
Edwards Lifesciences Corp.
(a).......................... 5,361 246,552
ev3, Inc. (a).................. 5,644 71,735
Gen-Probe, Inc. (a)............ 4,959 312,070
Greatbatch, Inc. (a)........... 1,979 39,560
Haemonetics Corp. (a).......... 2,304 145,198
Hologic, Inc. (a).............. 11,486 788,399
I-Flow Corp. (a)............... 2,138 33,738
ICU Medical, Inc. (a).......... 1,199 43,176
IDEXX Laboratories, Inc. (a)... 5,623 329,677
Immucor, Inc. (a).............. 6,458 219,507
Integra LifeSciences Holdings
Corp. (a).................... 1,699 71,239
Inverness Medical Innovations,
Inc. (a)..................... 6,741 378,709
Kensey Nash Corp. (a).......... 1,003 30,010
Masimo Corp. (a)............... 1,072 42,290
Mentor Corp. .................. 3,211 125,550
Meridian Bioscience, Inc. ..... 3,457 103,987
Merit Medical Systems, Inc.
(a).......................... 2,418 33,610
NuVasive, Inc. (a)............. 3,240 128,045
OraSure Technologies, Inc.
(a).......................... 4,199 37,329
Palomar Medical Technologies,
Inc. (a)..................... 1,465 22,444
ResMed, Inc. (a)............... 7,163 376,272
Respironics, Inc. (a).......... 6,656 435,835
Sirona Dental Systems, Inc.
(a).......................... 1,562 52,296
SonoSite, Inc. (a)............. 1,562 52,593
SurModics, Inc. (a)............ 1,426 77,389
Symmetry Medical, Inc. (a)..... 3,068 53,475
Thoratec Corp. (a)............. 5,205 94,679
TomoTherapy, Inc. (a).......... 2,174 42,524
Trans1, Inc. (a)............... 557 9,174
Vital Signs, Inc. ............. 712 36,397
Volcano Corp. (a).............. 2,978 37,255
West Pharmaceutical Services,
Inc. ........................ 2,990 121,364
Wright Medical Group, Inc.
(a).......................... 3,343 97,515
-----------
5,092,065
-----------
</Table>
See accompanying notes to financial statements.
63
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HEALTH CARE PROVIDERS & SERVICES -- 4.1%
Alliance Imaging, Inc. (a)..... 2,177 $ 20,943
Amedisys, Inc. (a)............. 2,326 112,858
AMERIGROUP Corp. (a)........... 4,745 172,955
AMN Healthcare Services, Inc.
(a).......................... 3,276 56,249
Amsurg Corp. (a)............... 2,819 76,282
Apria Healthcare Group, Inc.
(a).......................... 4,159 89,710
Assisted Living Concepts, Inc.
(a).......................... 5,328 39,960
athenahealth, Inc. (a)......... 603 21,708
Centene Corp. (a).............. 4,098 112,449
Chemed Corp. .................. 2,254 125,954
Cross Country Healthcare, Inc.
(a).......................... 2,660 37,878
Emeritus Corp. (a)............. 2,056 51,708
Genoptix, Inc. (a)............. 470 14,429
Gentiva Health Services, Inc.
(a).......................... 2,331 44,382
HealthExtras, Inc. (a)......... 3,138 81,839
Healthsouth Corp. (a).......... 7,104 149,184
Healthspring, Inc. (a)......... 4,907 93,478
Healthways, Inc. (a)........... 3,323 194,196
HMS Holdings Corp. (a)......... 2,170 72,066
inVentiv Health, Inc. (a)...... 3,109 96,255
LCA-Vision, Inc. .............. 1,820 36,345
Matria Healthcare, Inc. (a).... 1,904 45,258
Medcath Corp. (a).............. 1,268 31,142
Molina Healthcare, Inc. (a).... 1,342 51,936
National Healthcare Corp. ..... 733 37,896
Nighthawk Radiology Holdings,
Inc. (a)..................... 1,940 40,837
Odyssey Healthcare, Inc. (a)... 3,004 33,224
Pediatrix Medical Group, Inc.
(a).......................... 4,458 303,813
PSS World Medical, Inc. (a).... 5,807 113,643
Psychiatric Solutions, Inc.
(a).......................... 4,899 159,218
Radiation Therapy Services,
Inc. (a)..................... 1,157 35,763
Res-Care, Inc. (a)............. 2,438 61,340
Sierra Health Services, Inc.
(a).......................... 4,599 192,974
Skilled Healthcare Group, Inc.
(Class A) (a)................ 1,951 28,543
Sun Healthcare Group, Inc.
(a).......................... 3,808 65,383
Sunrise Assisted Living, Inc.
(a).......................... 3,963 121,585
Triple-S Management Corp.
(Class B).................... 1,156 23,363
Universal American Financial
Corp. (a).................... 3,982 101,899
VCA Antech, Inc. (a)........... 7,579 335,219
Virtual Radiologic Corp(a)..... 260 5,273
WellCare Health Plans, Inc.
(a).......................... 3,737 158,486
-----------
3,647,623
-----------
HEALTH CARE TECHNOLOGY -- 0.8%
Allscripts Healthcare
Solutions, Inc. (a).......... 5,362 104,130
Eclipsys Corp. (a)............. 4,401 111,389
HLTH Corp. (a)................. 16,546 221,717
MedAssets, Inc. (a)............ 1,464 35,048
Omnicell, Inc. (a)............. 3,246 87,415
Phase Forward, Inc. (a)........ 3,964 86,217
The TriZetto Group, Inc. (a)... 4,276 74,274
-----------
720,190
-----------
HOTELS, RESTAURANTS & LEISURE -- 3.5%
Ambassadors Group, Inc. ....... 1,585 29,021
Ameristar Casinos, Inc. ....... 2,196 60,478
Bally Technologies, Inc. (a)... 4,634 230,403
BJ's Restaurants, Inc. (a)..... 1,589 25,837
Buffalo Wild Wings, Inc. (a)... 1,540 35,759
Burger King Holdings, Inc. .... 4,821 137,447
California Pizza Kitchen, Inc.
(a).......................... 2,618 40,762
CEC Entertainment, Inc. (a).... 2,619 67,989
Chipotle Mexican Grill, Inc.
(a).......................... 2,968 436,504
Choice Hotels International,
Inc. ........................ 3,057 101,492
CKE Restaurants, Inc. ......... 4,679 61,763
Gaylord Entertainment Co. (a).. 3,889 157,388
Great Wolf Resorts, Inc. (a)... 2,715 26,634
Jamba, Inc. (a)................ 1,890 6,993
Krispy Kreme Doughnuts, Inc.
(a).......................... 5,336 16,862
Life Time Fitness, Inc. (a).... 3,102 154,107
Morgans Hotel Group Co. (a).... 3,119 60,134
Multimedia Games, Inc. (a)..... 2,262 18,865
O'Charleys, Inc. .............. 2,078 31,129
Orient-Express Hotels, Ltd.
(Class A).................... 3,598 206,957
P F Chang's China Bistro, Inc.
(a).......................... 2,412 55,090
Panera Bread Co. (Class A)
(a).......................... 3,055 109,430
Papa John's International, Inc.
(a).......................... 1,920 43,584
Peet's Coffee & Tea, Inc. (a).. 1,185 34,448
Pinnacle Entertainment, Inc.
(a).......................... 5,638 132,831
Red Robin Gourmet Burgers, Inc.
(a).......................... 1,457 46,609
Ruby Tuesday, Inc. ............ 4,964 48,399
Ruth's Chris Steak House, Inc.
(a).......................... 1,527 13,651
Scientific Games Corp. (Class
A) (a)....................... 6,339 210,772
Shuffle Master, Inc. (a)....... 3,123 37,445
Sonic Corp. (a)................ 5,444 119,224
Texas Roadhouse, Inc. (Class A)
(a).......................... 5,240 57,954
The Cheesecake Factory, Inc.
(a).......................... 6,172 146,338
The Steak n Shake Co. (a)...... 2,261 24,645
WMS Industries, Inc. (a)....... 4,134 151,470
-----------
3,138,414
-----------
HOUSEHOLD DURABLES -- 0.6%
Brookfield Homes Corp. ........ 1,055 16,669
Champion Enterprises, Inc.
(a).......................... 7,173 67,570
Hovnanian Enterprises, Inc.
(a).......................... 4,440 31,835
iRobot Corp. (a)............... 1,332 24,083
Jarden Corp. (a)............... 6,304 148,837
Sealy Corp. ................... 4,142 46,349
Tempur-Pedic International,
Inc. ........................ 6,393 166,026
-----------
501,369
-----------
HOUSEHOLD PRODUCTS -- 0.4%
Church & Dwight Co., Inc. ..... 6,019 325,448
Spectrum Brands, Inc. (a)...... 3,504 18,676
-----------
344,124
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. ...... 1,544 84,935
-----------
INDUSTRIAL CONGLOMERATES -- 0.3%
Raven Industries, Inc. ........ 1,715 65,839
Walter Industries, Inc. ....... 4,724 169,733
-----------
235,572
-----------
INSURANCE -- 1.0%
American Equity Investment Life
Holding Co. ................. 4,789 39,701
Darwin Professional
Underwriters, Inc. (a)....... 822 19,868
eHealth, Inc. (a).............. 1,077 34,582
First Acceptance Corp. (a)..... 1,577 6,655
</Table>
See accompanying notes to financial statements.
64
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HCC Insurance Holdings, Inc. .. 10,195 $ 292,392
National Financial Partners
Corp. ....................... 3,524 160,730
National Interstate Corp. ..... 640 21,184
Philadelphia Consolidated
Holding Co. (a).............. 5,494 216,189
Tower Group, Inc. ............. 1,965 65,631
-----------
856,932
-----------
INTERNET & CATALOG RETAIL -- 1.0%
1-800-FLOWERS.COM, Inc. (Class
A) (a)....................... 2,065 18,028
Blue Nile, Inc. (a)............ 1,379 93,855
FTD Group, Inc. ............... 1,707 21,986
GSI Commerce, Inc. (a)......... 1,701 33,170
Netflix, Inc. (a).............. 4,678 124,528
Nutri/System, Inc. (a)......... 3,135 84,582
Orbitz Worldwide, Inc. (a)..... 3,452 29,342
Overstock.com, Inc. (a)........ 1,159 17,999
Priceline.com, Inc. (a)........ 3,136 360,201
Shutterfly, Inc. (a)........... 1,266 32,435
Stamps.com, Inc. (a)........... 1,773 21,595
Systemax, Inc. ................ 973 19,771
ValueVision Media, Inc. (Class
A) (a)....................... 2,797 17,593
-----------
875,085
-----------
INTERNET SOFTWARE & SERVICES -- 2.8%
Ariba, Inc. (a)................ 7,698 85,833
Bankrate, Inc. (a)............. 1,224 58,862
CMGI, Inc. (a)................. 4,384 57,387
CNET Networks, Inc. (a)........ 13,243 121,041
comScore, Inc. (a)............. 475 15,499
Constant Contact, Inc. (a)..... 597 12,836
DealerTrack Holdings, Inc.
(a).......................... 3,633 121,597
Dice Holdings, Inc. (a)........ 1,526 12,193
Digital River, Inc. (a)........ 3,745 123,847
DivX, Inc. (a)................. 1,580 22,120
EarthLink, Inc. (a)............ 11,610 82,083
Equinix, Inc. (a).............. 2,867 289,768
Infospace, Inc. ............... 3,124 58,731
Internap Network Services Corp.
(a).......................... 4,775 39,776
Interwoven, Inc. (a)........... 3,498 49,742
Ipass, Inc. (a)................ 4,956 20,121
j2 Global Communications, Inc.
(a).......................... 4,724 100,007
Limelight Networks, Inc. (a)... 3,489 24,039
LoopNet, Inc. (a).............. 2,600 36,530
Marchex, Inc. (Class B)........ 2,825 30,679
Move, Inc. (a)................. 13,703 33,572
NIC, Inc. ..................... 3,493 29,481
Omniture, Inc. (a)............. 3,888 129,432
Openwave Systems, Inc. ........ 6,297 16,372
Perficient, Inc. (a)........... 2,702 42,529
RealNetworks, Inc. (a)......... 9,281 56,521
S1 Corp. (a)................... 4,926 35,960
SAVVIS, Inc. (a)............... 2,675 74,659
SonicWALL, Inc. (a)............ 6,153 65,960
Switch & Data Facilities Co.,
Inc. (a)..................... 1,934 30,983
TechTarget, Inc. (a)........... 687 10,154
The Knot, Inc. (a)............. 2,422 38,607
Travelzoo, Inc. (a)............ 658 9,001
Valueclick, Inc. (a)........... 9,345 204,655
Vignette Corp. (a)............. 2,608 38,103
VistaPrint, Ltd. (a)........... 3,841 164,587
WebMD Health Corp. (Class A)
(a).......................... 711 29,201
Websense, Inc. (a)............. 4,284 72,742
-----------
2,445,210
-----------
IT SERVICES -- 2.9%
Acxiom Corp. .................. 6,672 78,263
Broadridge Financial Solutions,
Inc. ........................ 12,578 282,125
CACI International, Inc. (Class
A) (a)....................... 2,744 122,849
CIBER, Inc. (a)................ 4,738 28,949
Euronet Worldwide, Inc. (a).... 4,131 123,930
ExlService Holdings, Inc. (a).. 914 21,095
Forrester Research, Inc. (a)... 1,452 40,685
Gartner, Inc. (a).............. 6,757 118,653
Genpact, Ltd. ................. 3,154 48,035
Global Cash Access, Inc. (a)... 4,093 24,804
Heartland Payment Systems,
Inc. ........................ 2,370 63,516
Hewitt Associates, Inc. (Class
A) (a)....................... 8,983 343,959
Lionbridge Technologies, Inc.
(a).......................... 5,306 18,836
MoneyGram International,
Inc. ........................ 7,492 115,152
MPS Group, Inc. (a)............ 9,064 99,160
NeuStar, Inc. (Class A) (a).... 6,926 198,638
SAIC, Inc. (a)................. 11,675 234,901
Sapient Corp. (a).............. 7,650 67,396
SRA International, Inc. (a).... 4,058 119,508
SYKES Enterprises, Inc. (a).... 2,885 51,930
Syntel, Inc. .................. 1,092 42,064
TNS, Inc. ..................... 2,142 38,021
VeriFone Holdings, Inc. (a).... 6,244 145,173
Wright Express Corp. (a)....... 3,558 126,273
-----------
2,553,915
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Leapfrog Enterprises, Inc.
(a).......................... 2,909 19,578
Marine Products Corp. ......... 1,345 9,428
MarineMax, Inc. (a)............ 1,505 23,327
Pool Corp. .................... 4,216 83,603
Smith & Wesson Holding Corp.
(a).......................... 2,896 17,666
-----------
153,602
-----------
LIFE SCIENCES TOOLS & SERVICES -- 2.1%
Affymetrix, Inc. (a)........... 6,199 143,445
Albany Molecular Research, Inc.
(a).......................... 2,196 31,579
AMAG Pharmaceuticals, Inc.
(a).......................... 1,580 95,005
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 1,702 176,361
Bruker BioSciences Corp. (a)... 4,882 64,931
Dionex Corp. (a)............... 1,730 143,348
Enzo Biochem, Inc. (a)......... 3,250 41,405
eResearch Technology, Inc.
(a).......................... 3,727 44,053
Exelixis, Inc. (a)............. 9,035 77,972
Illumina, Inc. (a)............. 5,115 303,115
Nektar Therapeutics(a)......... 8,253 55,378
PAREXEL International Corp.
(a).......................... 2,674 129,154
PharmaNet Development Group,
Inc. (a)..................... 1,628 63,834
Techne Corp. (a)............... 3,541 233,883
Ventana Medical Systems, Inc.
(a).......................... 3,384 295,186
-----------
1,898,649
-----------
MACHINERY -- 2.5%
Accuride Corp. (a)............. 2,101 16,514
Actuant Corp. (Class A)........ 5,000 170,050
American Railcar Industries,
Inc. ........................ 802 15,438
Astec Industries, Inc. (a)..... 1,624 60,397
</Table>
See accompanying notes to financial statements.
65
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ASV, Inc. (a).................. 1,792 $ 24,819
Blount International, Inc.
(a).......................... 3,808 46,876
Bucyrus International, Inc.
(Class A).................... 3,405 338,423
Chart Industries, Inc. (a)..... 2,654 82,009
CLARCOR, Inc. ................. 4,635 175,991
ESCO Technologies, Inc. (a).... 2,452 97,933
Force Protection, Inc. (a)..... 6,389 29,901
Gardner Denver, Inc. (a)....... 4,721 155,793
Graco, Inc. ................... 5,700 212,382
Middleby Corp. (a)............. 1,602 122,745
Mueller Water Products, Inc.
(Class B).................... 11,122 110,886
RBC Bearings, Inc. (a)......... 2,060 89,528
The Toro Co. .................. 3,707 201,809
Titan International, Inc. ..... 2,624 82,026
Wabtec Corp. .................. 4,402 151,605
-----------
2,185,125
-----------
MARINE -- 0.4%
American Commercial Lines, Inc.
(a).......................... 3,406 55,314
Excel Maritime Carriers,
Ltd. ........................ 1,448 58,195
Kirby Corp. (a)................ 4,852 225,521
TBS International, Ltd. (a).... 1,090 36,035
-----------
375,065
-----------
MEDIA -- 1.8%
Arbitron, Inc. ................ 2,544 105,754
Charter Communications, Inc.
(a).......................... 34,402 40,250
Cinemark Holdings, Inc. ....... 4,023 68,391
CKX, Inc. (a).................. 4,535 54,420
Crown Media Holdings, Inc.
(Class A) (a)................ 893 5,805
Dolan Media Co. (a)............ 1,160 33,837
Entravision Communications
Corp. (a).................... 5,566 43,582
Gemstar-TV Guide International,
Inc. (a)..................... 22,411 106,676
Getty Images, Inc. (a)......... 4,670 135,430
Gray Television, Inc. ......... 3,995 32,040
Harte-Hanks, Inc. ............. 4,460 77,158
Interactive Data Corp. ........ 3,397 112,135
John Wiley & Sons, Inc. (Class
A)........................... 4,716 202,033
Live Nation, Inc. (a).......... 6,608 95,948
Lodgenet Entertainment Corp.
(a).......................... 1,810 31,566
Martha Stewart Living
Omnimedia, Inc. (Class A)
(a).......................... 2,243 20,793
Marvel Entertainment, Inc.
(a).......................... 4,509 120,435
Mediacom Communications Corp.
(a).......................... 4,929 22,624
Morningstar, Inc. (a).......... 1,310 101,853
National CineMedia, Inc. ...... 4,006 100,991
Primedia, Inc. ................ 1,830 15,555
Tivo, Inc. (a)................. 9,125 76,103
Warner Music Group Corp. ...... 4,083 24,743
-----------
1,628,122
-----------
METALS & MINING -- 1.2%
AK Steel Holding Corp. (a)..... 10,202 471,741
AM Castle & Co. ............... 1,720 46,767
Coeur d' Alene Mines Corp.
(a).......................... 49,161 242,855
Hecla Mining Co. (a)........... 11,558 108,067
Metal Management, Inc. ........ 2,473 112,596
Royal Gold, Inc. .............. 2,454 74,896
Stillwater Mining Co. (a)...... 4,444 42,929
-----------
1,099,851
-----------
MULTILINE RETAIL -- 0.1%
99 Cents Only Stores(a)........ 4,775 38,009
Fred's, Inc. (Class A)......... 3,325 32,020
Retail Ventures, Inc. (a)...... 2,483 12,638
-----------
82,667
-----------
OFFICE ELECTRONICS -- 0.2%
Zebra Technologies Corp. (Class
A) (a)....................... 6,228 216,112
-----------
OIL, GAS & CONSUMABLE FUELS -- 8.6%
Alliance Holdings GP LP........ 1,103 26,174
Alon USA Energy, Inc. ......... 1,150 31,257
Alpha Natural Resources, Inc.
(a).......................... 6,174 200,531
Arena Resources, Inc. (a)...... 3,183 132,763
Atlas America, Inc. ........... 2,289 135,463
Atlas Energy Resources LLC..... 726 22,571
Atlas Pipeline Holdings LP..... 364 9,919
ATP Oil & Gas Corp. (a)........ 2,635 133,173
Aventine Renewable Energy
Holdings, Inc. (a)........... 2,676 34,146
Berry Petroleum Co. (Class A).. 3,369 149,752
Bill Barrett Corp. (a)......... 2,680 112,212
Bois d'Arc Energy, Inc. (a).... 1,706 33,864
BreitBurn Energy Partners LP... 4,758 137,506
Buckeye GP Holdings LP......... 1,094 30,840
Cabot Oil & Gas Corp. ......... 8,937 360,787
Carrizo Oil & Gas, Inc. (a).... 2,249 123,133
Cheniere Energy, Inc. (a)...... 4,028 131,474
Cimarex Energy Co. ............ 7,548 321,016
Clean Energy Fuels Corp(a)..... 2,022 30,613
Comstock Resources, Inc. (a)... 3,978 135,252
Concho Resources, Inc. (a)..... 1,874 38,623
Continental Resources Inc.
(a).......................... 4,259 111,288
Copano Energy LLC.............. 3,860 140,311
Crosstex Energy, Inc. ......... 4,217 157,041
CVR Energy, Inc. (a)........... 1,879 46,862
Delek US Holdings, Inc. ....... 918 18,571
Delta Petroleum Corp. (a)...... 6,286 118,491
Eagle Rock Energy Partners LP.. 3,304 60,397
Encore Aquisition Co. (a)...... 4,658 155,437
Encore Energy Partners LP...... 904 16,272
Energy Partners, Ltd. (a)...... 2,543 30,033
Enterprise GP Holdings LP...... 3,187 117,983
EV Energy Partner LP........... 910 29,575
Evergreen Energy, Inc. (a)..... 7,626 17,006
EXCO Resources, Inc. (a)....... 7,596 117,586
Foundation Coal Holdings,
Inc. ........................ 4,182 219,555
GeoMet, Inc. (a)............... 1,971 10,249
Goodrich Petroleum Corp. (a)... 2,026 45,828
Gulfport Energy Corp. (a)...... 2,120 38,711
Holly Corp. ................... 4,339 220,812
International Coal Group, Inc.
(a).......................... 11,396 61,083
Kinder Morgan Management
LLC(a)....................... 5,637 298,423
Legacy Reserves LP............. 1,330 27,411
Magellan Midstream Holdings
LP........................... 1,963 52,608
Mariner Energy, Inc. (a)....... 7,264 166,200
Markwest Hydrocarbon, Inc. .... 610 38,216
Massey Energy Co. ............. 7,372 263,549
McMoRan Exploration Co. (a).... 4,433 58,028
NuStar GP Holdings LLC......... 3,492 99,697
Pacific Ethanol, Inc. (a)...... 3,076 25,254
</Table>
See accompanying notes to financial statements.
66
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Parallel Petroleum Corp. (a)... 3,503 $ 61,758
Penn Virginia Corp. ........... 3,585 156,414
Petrohawk Energy Corp. (a)..... 15,459 267,595
Petroleum Development Corp.
(a).......................... 1,413 83,551
Plains Exploration & Production
Co. (a)...................... 10,294 555,876
Quicksilver Resources, Inc.
(a).......................... 5,034 299,976
Regency Energy Partners LP..... 2,868 95,705
Rentech, Inc. (a).............. 14,325 25,928
Rosetta Resources, Inc. (a).... 4,898 97,127
SemGroup Energy Partners LP.... 1,160 33,443
St. Mary Land & Exploration
Co. ......................... 5,724 221,004
Targa Resources Partners LP.... 2,964 87,794
Teekay Offshore Partners LP.... 818 20,687
Uranium Resources Inc. (a)..... 5,168 64,497
US BioEnergy Corp. (a)......... 3,845 45,025
Venoco, Inc. (a)............... 1,789 35,655
VeraSun Energy Corp. (a)....... 4,831 73,818
W&T Offshore, Inc. ............ 2,622 78,555
Warren Resources, Inc. (a)..... 5,708 80,654
Western Refining, Inc. ........ 2,732 66,142
World Fuel Services Corp. ..... 2,747 79,745
-----------
7,624,495
-----------
PERSONAL PRODUCTS -- 1.0%
Alberto Culver Co. ............ 8,161 200,271
Bare Escentuals, Inc. (a)...... 4,178 101,317
Chattem, Inc. (a).............. 1,458 110,137
Elizabeth Arden, Inc. (a)...... 2,580 52,503
Herbalife, Ltd. ............... 4,800 193,344
Mannatech, Inc. ............... 1,347 8,513
NBTY, Inc. (a)................. 5,455 149,467
Prestige Brands Holdings, Inc.
(a).......................... 3,130 23,412
USANA Health Sciences, Inc.
(a).......................... 760 28,181
-----------
867,145
-----------
PHARMACEUTICALS -- 1.5%
Adams Respiratory Therapeutics,
Inc. (a)..................... 3,004 179,459
Akorn, Inc. (a)................ 5,174 37,977
Auxilium Pharmaceuticals, Inc.
(a).......................... 2,778 83,312
BioForm Medical, Inc. (a)...... 941 6,427
Jazz Pharmaceuticals, Inc.
(a).......................... 1,030 15,141
Medicis Pharmaceutical Corp.
(Class A).................... 5,054 131,253
MGI Pharma, Inc. (a)........... 7,289 295,423
Noven Pharmaceuticals, Inc.
(a).......................... 2,311 32,077
Par Pharmaceutical Cos., Inc.
(a).......................... 3,017 72,408
Salix Pharmaceuticals, Ltd.
(a).......................... 4,248 33,474
Sciele Pharma, Inc. (a)........ 3,060 62,577
Sucampo Pharmaceuticals, Inc.
(a).......................... 362 6,639
The Medicines Co. (a).......... 4,857 93,060
Valeant Pharmaceuticals
International (a)............ 7,661 91,702
Viropharma, Inc. (a)........... 6,593 52,349
Xenoport, Inc. (a)............. 2,058 115,001
-----------
1,308,279
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.1%
Alexander's, Inc. (a).......... 179 63,232
Anworth Mortgage Asset Corp. .. 5,319 43,935
BioMed Realty Trust, Inc. ..... 5,969 138,302
Corporate Office Properties
Trust........................ 4,521 142,411
Digital Realty Trust, Inc. .... 5,290 202,977
First Potomac Realty Trust..... 2,144 37,070
Maguire Properties, Inc. ...... 3,474 102,379
Taubman Centers, Inc. ......... 4,774 234,833
-----------
965,139
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT-- 0.6%
Jones Lang LaSalle, Inc. ...... 3,371 239,881
Meruelo Maddux Properties, Inc.
(a).......................... 4,194 16,776
The St. Joe Co. ............... 6,834 242,675
-----------
499,332
-----------
ROAD & RAIL -- 0.6%
Genesee & Wyoming, Inc. (Class
A) (a)....................... 2,825 68,280
Heartland Express, Inc. ....... 5,714 81,024
Knight Transportation, Inc. ... 5,354 79,293
Landstar Systems, Inc. ........ 4,935 208,010
Old Dominion Freight Line, Inc.
(a).......................... 2,652 61,288
-----------
497,895
-----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.7%
Advanced Analogic Technologies,
Inc. (a)..................... 3,884 43,812
Advanced Energy Industries,
Inc. (a)..................... 3,140 41,071
AMIS Holdings, Inc. (a)........ 5,769 57,805
Amkor Technology, Inc. (a)..... 10,282 87,705
Anadigics, Inc. (a)............ 5,557 64,294
Applied Micro Circuits
Corp(a)...................... 6,657 58,182
Atheros Communications, Inc.
(a).......................... 5,078 155,082
Atmel Corp. (a)................ 37,877 163,629
ATMI, Inc. (a)................. 3,205 103,361
Axcelis Technologies, Inc.
(a).......................... 10,060 46,276
Brooks Automation, Inc. (a).... 6,497 85,825
Cabot Microelectronics Corp.
(a).......................... 2,233 80,187
Cavium Networks, Inc. (a)...... 1,934 44,521
Cirrus Logic, Inc. (a)......... 7,652 40,403
Cohu, Inc. .................... 2,082 31,855
Conexant Systems, Inc. (a)..... 46,269 38,403
Cree, Inc. (a)................. 7,060 193,938
Cymer, Inc. (a)................ 2,707 105,383
Cypress Semiconductor Corp.
(a).......................... 13,957 502,871
Diodes, Inc. (a)............... 2,875 86,451
DSP Group, Inc. (a)............ 2,599 31,708
Exar Corp. (a)................. 4,170 33,235
FEI Co. (a).................... 3,293 81,765
Formfactor, Inc. (a)........... 4,439 146,931
Genesis Microchip, Inc. (a).... 3,189 27,330
Hittite Microwave Corp. (a).... 1,467 70,064
Integrated Device Technology,
Inc. (a)..................... 17,432 197,156
Kulicke & Soffa Industries,
Inc. (a)..................... 5,121 35,130
Lattice Semiconductor Corp.
(a).......................... 11,420 37,115
Mattson Technology, Inc. (a)... 4,666 39,941
Micrel, Inc. .................. 5,093 43,036
Microsemi Corp. (a)............ 6,292 139,305
MKS Instruments, Inc. (a)...... 4,580 87,661
Monolithic Power Systems, Inc.
(a).......................... 2,166 46,504
Netlogic Microsystems, Inc.
(a).......................... 1,633 52,583
OmniVision Technologies, Inc.
(a).......................... 5,112 80,003
ON Semiconductor Corp. (a)..... 27,569 244,813
PDF Solutions, Inc. (a)........ 2,075 18,696
PMC-Sierra, Inc. (a)........... 20,493 134,024
Rambus, Inc. (a)............... 9,240 193,486
RF Micro Devices, Inc. (a)..... 24,749 141,317
</Table>
See accompanying notes to financial statements.
67
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Semtech Corp. (a).............. 6,134 $ 95,200
Sigma Designs, Inc. (a)........ 2,576 142,195
Silicon Image, Inc. (a)........ 7,784 35,184
Silicon Laboratories, Inc.
(a).......................... 4,993 186,888
Silicon Storage Technology,
Inc. (a)..................... 8,084 24,171
Sirf Technology Holdings, Inc.
(a).......................... 4,943 124,218
Skyworks Solutions, Inc. (a)... 15,107 128,409
Spansion, Inc. (a)............. 7,746 30,442
Tessera Technologies, Inc.
(a).......................... 4,239 176,342
Trident Microsystems, Inc.
(a).......................... 5,050 33,128
Ultratech, Inc. (a)............ 1,942 22,022
Zoran Corp. (a)................ 4,451 100,192
-----------
5,011,248
-----------
SOFTWARE -- 5.0%
ACI Worldwide, Inc. (a)........ 3,575 68,068
Advent Software, Inc. (a)...... 1,671 90,401
Ansoft Corp. (a)............... 1,297 33,527
Ansys, Inc. (a)................ 7,126 295,444
Aspen Technology, Inc. (a)..... 5,518 89,502
Blackbaud, Inc. ............... 3,905 109,496
Blackboard, Inc. (a)........... 2,360 94,990
BladeLogic, Inc. (a)........... 446 13,188
Commvault Systems, Inc. (a).... 2,980 63,116
Concur Technologies, Inc. (a).. 3,991 144,514
Deltek, Inc. (a)............... 867 13,204
Epicor Software Corp. (a)...... 4,973 58,582
eSpeed, Inc. (a)............... 2,580 29,154
Factset Research Systems,
Inc. ........................ 4,126 229,818
Fair Isaac Corp. .............. 4,518 145,254
FalconStor Software, Inc. (a).. 2,648 29,817
i2 Technologies, Inc. (a)...... 1,232 15,523
Informatica Corp. (a).......... 7,855 141,547
Jack Henry & Associates,
Inc. ........................ 7,527 183,207
JDA Software Group, Inc. (a)... 2,728 55,815
Lawson Software, Inc. (a)...... 12,294 125,891
Macrovision Corp. (a).......... 4,764 87,324
Magma Design Automation, Inc.
(a).......................... 3,694 45,104
Manhattan Associates, Inc.
(a).......................... 2,430 64,055
Mentor Graphics Corp. (a)...... 8,190 88,288
MICROS Systems, Inc. (a)....... 3,856 270,537
MicroStrategy, Inc. (a)........ 890 84,639
Midway Games, Inc. (a)......... 1,006 2,777
Monotype Imaging Holdings, Inc.
(a).......................... 988 14,988
Nuance Communications, Inc.
(a).......................... 13,964 260,848
Parametric Technology Corp.
(a).......................... 10,383 185,337
Progress Software Corp. (a).... 3,759 126,603
Quality Systems, Inc. ......... 1,603 48,876
Quest Software, Inc. (a)....... 5,301 97,750
Solera Holdings, Inc. (a)...... 5,126 127,022
Sonic Solutions, Inc. (a)...... 2,311 24,011
SPSS, Inc. (a)................. 1,850 66,434
SuccessFactors, Inc. (a)....... 790 9,338
Synchronoss Technologies, Inc.
(a).......................... 1,839 65,174
Take-Two Interactive Software,
Inc. (a)..................... 6,832 126,050
Taleo Corp. (a)................ 1,428 42,526
THQ, Inc. (a).................. 6,313 177,964
TIBCO Software, Inc. (a)....... 17,272 139,385
Tyler Technologies, Inc. (a)... 3,637 46,881
Ultimate Software Group, Inc.
(a).......................... 2,360 74,269
Vasco Data Security
International(a)............. 2,482 69,297
Wind River Systems, Inc. (a)... 7,769 69,376
-----------
4,444,911
-----------
SPECIALTY RETAIL -- 2.5%
Aaron Rents, Inc. (Class B).... 4,617 88,831
AC Moore Arts & Crafts, Inc.
(a).......................... 1,820 25,025
Aeropostale, Inc. (a).......... 7,327 194,166
AnnTaylor Stores Corp. (a)..... 5,637 144,082
Bebe Stores, Inc. ............. 2,790 35,879
Big 5 Sporting Goods Corp. .... 1,885 27,182
Blockbuster, Inc. (Class A)
(a).......................... 17,287 67,419
Build-A-Bear Workshop, Inc.
(a).......................... 1,366 19,056
Cabela's, Inc. (a)............. 4,045 60,958
Charlotte Russe Holding, Inc.
(a).......................... 2,013 32,510
Charming Shoppes, Inc. (a)..... 10,802 58,439
Christopher & Banks Corp. ..... 3,340 38,243
Coldwater Creek, Inc. (a)...... 5,459 36,521
Conn's, Inc. (a)............... 1,072 18,342
Dick's Sporting Goods, Inc.
(a).......................... 7,712 214,085
Dress Barn, Inc. (a)........... 4,357 54,506
DSW, Inc. (Class A) (a)........ 1,316 24,688
Genesco, Inc. (a).............. 2,151 81,308
Gymboree Corp. (a)............. 2,989 91,045
Hibbett Sports, Inc. (a)....... 2,864 57,223
Hot Topic, Inc. (a)............ 3,917 22,797
J. Crew Group, Inc. (a)........ 4,087 197,034
Jos. A. Bank Clothiers, Inc.
(a).......................... 1,606 45,691
Mens Wearhouse, Inc. .......... 4,414 119,090
New York & Co., Inc. (a)....... 2,353 15,012
Pacific Sunwear of California,
Inc. (a)..................... 6,630 93,549
Select Comfort Corp. (a)....... 4,516 31,657
Stein Mart, Inc. .............. 2,441 11,570
The Children's Place Retail
Stores, Inc. (a)............. 2,155 55,879
The Finish Line, Inc. (Class
A)........................... 3,731 9,029
Tractor Supply Co. (a)......... 3,214 115,511
Tween Brands, Inc. (a)......... 2,209 58,494
Ulta Salon Cosmetics &
Fragrance, Inc. (a).......... 777 13,326
West Marine, Inc. (a).......... 1,235 11,090
Zumiez, Inc. (a)............... 1,708 41,607
-----------
2,210,844
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.3%
American Apparel, Inc. (a)..... 1,696 25,440
Carter's, Inc. (a)............. 4,877 94,370
Deckers Outdoor Corp. (a)...... 1,172 181,730
Fossil, Inc. (a)............... 4,571 191,891
Heelys, Inc. (a)............... 922 6,417
Iconix Brand Group, Inc. (a)... 5,050 99,283
K-Swiss, Inc. (Class A)........ 2,362 42,752
Maidenform Brands, Inc. (a).... 1,366 18,482
Quiksilver, Inc. (a)........... 12,052 103,406
Steven Madden, Ltd. (a)........ 1,890 37,800
The Timberland Co. (Class A)
(a).......................... 4,858 87,833
Under Armour, Inc. (Class A)
(a).......................... 2,816 122,975
Volcom, Inc. (a)............... 1,353 29,807
Warnaco Group, Inc. (a)........ 4,133 143,828
-----------
1,186,014
-----------
</Table>
See accompanying notes to financial statements.
68
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
THRIFTS & MORTGAGE FINANCE -- 0.2%
Franklin Bank Corp. (a)........ 2,069 $ 8,917
KNBT Bancorp, Inc. ............ 2,358 36,360
NewAlliance Bancshares, Inc. .. 10,196 117,458
Ocwen Financial Corp. (a)...... 3,219 17,833
Oritani Financial Corp. (a).... 1,070 13,161
Roma Financial Corp. .......... 918 14,404
-----------
208,133
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.6%
Beacon Roofing Supply, Inc.
(a).......................... 3,917 32,981
H&E Equipment Services, Inc.
(a).......................... 1,380 26,054
Interline Brands, Inc. (a)..... 2,872 62,926
MSC Industrial Direct Co., Inc.
(Class A).................... 4,329 175,195
Rush Enterprises, Inc. (a)..... 3,254 59,158
Wesco International, Inc. (a).. 4,202 166,567
-----------
522,881
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
Centennial Communications Corp.
(a).......................... 5,931 55,099
FiberTower Corp. (a)........... 8,211 18,721
ICO Global Communications
Holdings, Ltd. (a)........... 9,705 30,862
iPCS, Inc. .................... 1,113 40,057
Rural Cellular Corp. (a)....... 994 43,825
SBA Communications Corp. (a)... 9,043 306,015
Syniverse Holdings, Inc. (a)... 2,528 39,386
TerreStar Corp. (a)............ 5,658 41,021
Virgin Mobile USA, Inc. (Class
A) (a)....................... 2,573 22,874
-----------
597,860
-----------
TOTAL COMMON STOCKS --
(Cost $94,914,072)........... 88,334,890
-----------
WARRANTS -- 0.0%
COMMUNICATIONS EQUIPMENT -- 0.0%
Pegasus Wireless Corp. (a)
(Cost $0).................... 569 0
-----------
SHORT TERM INVESTMENTS -- 1.9%
MONEY MARKET FUND -- 1.9%
STIC Prime Portfolio
(Cost $1,674,837)............ 1,674,837 1,674,837
-----------
TOTAL INVESTMENTS -- 101.8%
(Cost $96,588,909)........... 90,009,727
-----------
OTHER ASSETS AND
LIABILITIES -- (1.8)%........ (1,549,062)
-----------
NET ASSETS -- 100.0%........... $88,460,665
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
69
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.2%
Cubic Corp. ................... 1,745 $ 68,404
Curtiss-Wright Corp. .......... 4,882 245,076
DRS Technologies, Inc. ........ 4,547 246,766
Esterline Technologies Corp.
(a).......................... 3,261 168,757
GenCorp, Inc. (a).............. 5,861 68,339
Heico Corp. ................... 2,325 99,045
Ladish Co., Inc. (a)........... 1,602 69,190
Triumph Group, Inc. ........... 1,883 155,065
-----------
1,120,642
-----------
AIR FREIGHT & LOGISTICS -- 0.2%
Atlas Air Worldwide Holdings,
Inc. (a)..................... 1,700 92,174
Pacer International, Inc. ..... 3,800 55,480
-----------
147,654
-----------
AIRLINES -- 0.1%
Alaska Air Group, Inc. (a)..... 4,473 111,870
-----------
AUTO COMPONENTS -- 0.9%
Aftermarket Technology Corp.
(a).......................... 2,400 65,424
American Axle & Manufacturing
Holdings, Inc. .............. 4,954 92,243
ArvinMeritor, Inc. ............ 7,961 93,383
Cooper Tire & Rubber Co. ...... 6,725 111,501
Lear Corp. (a)................. 7,087 196,026
Modine Manufacturing Co. ...... 3,276 54,087
Sauer-Danfoss, Inc. ........... 1,198 30,010
Superior Industries
International, Inc. ......... 2,357 42,827
TRW Automotive Holdings Corp.
(a).......................... 5,855 122,369
Visteon Corp. (a).............. 14,082 61,820
-----------
869,690
-----------
AUTOMOBILES -- 0.0% (B)
Monaco Coach Corp. ............ 2,978 26,445
-----------
BEVERAGES -- 0.2%
PepsiAmericas, Inc. ........... 7,099 236,539
-----------
BIOTECHNOLOGY -- 0.1%
Cougar Biotechnology, Inc.
(a).......................... 1,600 52,320
Incyte, Inc. (a)............... 8,358 83,998
-----------
136,318
-----------
BUILDING PRODUCTS -- 0.9%
American Woodmark Corp. ....... 1,094 19,889
Ameron International Corp. .... 913 84,133
Apogee Enterprises, Inc. ...... 3,163 54,119
Armstrong World Industries,
Inc. (a)..................... 1,954 78,375
Gibraltar Industries, Inc. .... 3,016 46,507
Lennox International, Inc. .... 6,627 274,490
NCI Building Systems, Inc.
(a).......................... 2,199 63,309
Owens Corning, Inc. (a)........ 9,730 196,741
Universal Forest Products,
Inc. ........................ 2,109 62,131
-----------
879,694
-----------
CAPITAL MARKETS -- 2.6%
Cohen & Steers, Inc. .......... 1,800 53,946
FBR Capital Markets Corp. (a).. 3,435 32,907
FCStone Group, Inc. (a)........ 2,000 92,060
GAMCO Investors, Inc. ......... 732 50,654
Investment Technology Group,
Inc. (a)..................... 4,937 234,952
Jefferies Group, Inc. ......... 11,838 272,866
Knight Capital Group, Inc.
(a).......................... 11,044 159,034
LaBranche & Co., Inc. (a)...... 6,226 31,379
Lazard, Ltd. .................. 5,699 231,835
MF Global, Ltd. (a)............ 10,743 338,082
Piper Jaffray Cos., Inc. (a)... 2,038 94,400
Raymond James Financial,
Inc. ........................ 10,516 343,453
Stifel Financial Corp. (a)..... 1,300 68,341
SWS Group, Inc. ............... 3,000 38,010
Thomas Weisel Partners Group,
Inc. (a)..................... 2,585 35,492
W.P. Carey & Co. LLC........... 3,100 102,920
W.P. Stewart & Co., Ltd. ...... 2,469 12,617
Waddell & Reed Financial, Inc.
(Class A).................... 9,219 332,714
-----------
2,525,662
-----------
CHEMICALS -- 5.3%
A. Schulman, Inc. ............. 2,742 59,090
Airgas, Inc. .................. 7,755 404,113
Albemarle Corp. ............... 8,461 349,016
Arch Chemicals, Inc. .......... 2,672 98,196
Cabot Corp. ................... 6,721 224,078
CF Industries Holdings, Inc. .. 5,461 601,038
Chemtura Corp. ................ 26,326 205,343
Cytec Industries, Inc. ........ 4,611 283,945
Ferro Corp. ................... 4,722 97,887
FMC Corp. ..................... 8,014 437,164
Georgia Gulf Corp. ............ 3,380 22,376
H.B. Fuller Co. ............... 6,653 149,360
Hercules, Inc. ................ 12,749 246,693
Koppers Holdings, Inc. ........ 1,700 73,508
Kronos Worldwide, Inc. ........ 375 6,544
Minerals Technologies, Inc. ... 2,128 142,470
NewMarket Corp. ............... 1,553 86,486
NL Industries, Inc. ........... 831 9,498
Olin Corp. .................... 7,171 138,615
OM Group, Inc. (a)............. 3,366 193,680
RPM International, Inc. ....... 13,267 269,320
Sensient Technologies Corp. ... 5,214 147,452
Spartech Corp. ................ 3,492 49,237
Terra Nitrogen Co. LP.......... 795 118,876
The Scotts Miracle-Gro Co.
(Class A).................... 4,676 174,976
Tronox, Inc. .................. 4,551 40,504
Valhi, Inc. ................... 1,289 20,547
Valspar Corp. ................. 10,328 232,793
W.R. Grace & Co. (a)........... 6,393 167,369
Westlake Chemical Corp. ....... 2,144 40,714
-----------
5,090,888
-----------
COMMERCIAL BANKS -- 8.4%
1st Source Corp. .............. 1,488 25,757
Alabama National Bancorp....... 2,102 163,557
AMCORE Financial, Inc. ........ 2,279 51,733
Bancfirst Corp. ............... 828 35,480
BancorpSouth, Inc. ............ 8,460 199,741
Bank of Hawaii Corp. .......... 5,487 280,605
Banner Corp. .................. 1,595 45,824
BOK Financial Corp. ........... 2,448 126,562
Capital City Bank Group,
Inc. ........................ 1,369 38,633
Capitol Bancorp, Ltd. ......... 1,773 35,673
Cathay General Bancorp......... 5,500 145,695
Centennial Bank Holdings, Inc.
(a).......................... 6,000 34,680
Central Pacific Financial
Corp. ....................... 3,307 61,047
</Table>
See accompanying notes to financial statements.
70
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Chemical Financial Corp. ...... 2,434 $ 57,905
Chittenden Corp. .............. 5,161 183,835
Citizens Republic Bancorp,
Inc. ........................ 8,386 121,681
City Bank...................... 1,610 36,096
City Holding Co. .............. 1,826 61,792
Columbia Banking System,
Inc. ........................ 1,943 57,765
Community Bank System, Inc. ... 3,309 65,750
Community Trust Bancorp,
Inc. ........................ 1,468 40,414
Cullen/Frost Bankers, Inc. .... 6,420 325,237
CVB Financial Corp. ........... 7,362 76,123
F N B Corp. ................... 6,639 97,593
First Bancorp- North Carolina.. 1,563 29,525
First BanCorp- Puerto Rico..... 8,498 61,950
First Charter Corp. ........... 3,829 114,334
First Citizens Bancshares, Inc.
(Class A).................... 650 94,802
First Commonwealth Financial
Corp. ....................... 7,340 78,171
First Community Bancorp,
Inc. ........................ 2,989 123,266
First Financial Bancorp........ 4,114 46,900
First Financial Bankshares,
Inc. ........................ 1,932 72,740
First Financial Corp. ......... 1,106 31,344
First Indiana Corp. ........... 1,309 41,888
First Merchants Corp. ......... 2,025 44,226
First Midwest Bancorp, Inc. ... 5,368 164,261
First State Bancorp............ 2,221 30,872
FirstMerit Corp. .............. 8,226 164,602
Frontier Financial Corp. ...... 4,858 90,213
Fulton Financial Corp. ........ 18,985 213,012
Glacier Bancorp, Inc. ......... 5,784 108,392
Great Southern Bancorp, Inc. .. 1,077 23,651
Hancock Holding Co. ........... 2,971 113,492
Harleysville National Corp. ... 3,709 54,040
IBERIABANK Corp. .............. 1,355 63,346
Independent Bank Corp.-
Massachusetts................ 1,543 42,000
Independent Bank Corp.-
Michigan..................... 2,308 21,926
Integra Bank Corp. ............ 2,299 32,439
International Bancshares
Corp. ....................... 5,997 125,577
Irwin Financial Corp. ......... 2,641 19,411
MB Financial, Inc. ............ 3,888 119,867
Midwest Banc Holdings, Inc. ... 2,605 32,354
National Penn Bancshares,
Inc. ........................ 4,941 74,807
NBT Bancorp, Inc. ............. 3,708 84,617
Northfield Bancorp, Inc. (a)... 2,200 23,804
Old National Bancorp........... 7,307 109,313
Old Second Bancorp, Inc. ...... 1,300 34,827
Omega Financial Corp. ......... 1,290 37,745
Oriental Financial Group....... 2,482 33,284
Pacific Capital Bancorp........ 5,216 104,998
Park National Corp. ........... 1,309 84,430
Prosperity Bancshares, Inc. ... 4,800 141,072
Provident Bankshares Corp. .... 3,533 75,571
Republic Bancorp, Inc.-
Kentucky..................... 1,111 18,365
S&T Bancorp, Inc. ............. 2,662 73,578
S.Y. Bancorp, Inc. ............ 1,357 32,487
Sandy Spring Bancorp, Inc. .... 1,757 48,880
Santander Bancorp.............. 551 4,772
Seacoast Banking Corp. of
Florida...................... 1,628 16,736
Simmons First National Corp. .. 1,464 38,796
South Financial Group, Inc. ... 8,002 125,071
Sterling Bancorp............... 2,020 27,553
Sterling Bancshares, Inc. ..... 8,081 90,184
Sterling Financial
Corp. -- Pennsylvania........ 3,045 49,999
Sterling Financial
Corp. -- Washington.......... 5,600 94,024
Suffolk Bancorp................ 1,105 33,935
Sun Bancorp, Inc. (a).......... 2,051 32,365
Susquehanna Bancshares, Inc. .. 9,784 180,417
SVB Financial Group (a)........ 3,685 185,724
Tompkins Trustco, Inc. ........ 806 31,273
TowneBank...................... 2,600 41,860
Trico Bancshares............... 1,606 30,996
Trustmark Corp. ............... 5,567 141,179
UMB Financial Corp. ........... 3,481 133,531
Umpqua Holdings Corp. ......... 6,553 100,523
United Bankshares, Inc. ....... 4,741 132,843
USB Holding Co., Inc. ......... 1,378 27,284
W Holding Co., Inc. ........... 14,100 17,061
Washington Trust Bancorp,
Inc. ........................ 1,277 32,219
Webster Financial Corp. ....... 5,955 190,381
WesBanco, Inc. ................ 2,610 53,766
West Coast Bancorp............. 1,671 30,913
Westamerica Bancorp............ 3,233 144,030
Whitney Holding Corp. ......... 7,404 193,615
Wilmington Trust Corp. ........ 7,511 264,387
Wintrust Financial Corp. ...... 2,600 86,138
-----------
8,037,132
-----------
COMMERCIAL SERVICES & SUPPLIES -- 2.4%
ABM Industries, Inc. .......... 4,876 99,422
Bowne & Co., Inc. ............. 2,957 52,043
CDI Corp. ..................... 1,480 35,905
Consolidated Graphics, Inc.
(a).......................... 1,383 66,135
Courier Corp. ................. 1,188 39,216
Deluxe Corp. .................. 5,671 186,519
Duff & Phelps Corp. (Class A)
(a).......................... 900 17,712
Ennis, Inc. ................... 2,757 49,626
G & K Services, Inc. (Class
A)........................... 2,345 87,984
Heidrick & Struggles
International, Inc. ......... 1,952 72,439
Herman Miller, Inc. ........... 6,700 217,013
HNI Corp. ..................... 4,100 143,746
IKON Office Solutions, Inc. ... 11,708 152,438
Kelly Services, Inc. (Class
A)........................... 2,699 50,363
Kimball International, Inc.
(Class B).................... 2,782 38,113
McGrath Rentcorp............... 2,502 64,426
PHH Corp. (a).................. 5,840 103,018
School Specialty, Inc. (a)..... 2,056 71,035
The Brink's Co. ............... 4,497 268,651
United Stationers, Inc. (a).... 2,770 128,002
Viad Corp. .................... 2,128 67,202
Volt Information Sciences, Inc.
(a).......................... 1,600 29,216
Watson Wyatt Worldwide, Inc.
(Class A).................... 4,672 216,828
-----------
2,257,052
-----------
COMMUNICATIONS EQUIPMENT -- 0.6%
3Com Corp. (a)................. 43,212 195,318
Bel Fuse, Inc. (Class B)....... 1,195 34,978
Black Box Corp. ............... 1,931 69,844
Dycom Industries, Inc. (a)..... 4,480 119,392
Mastec, Inc. (a)............... 5,168 52,559
Sycamore Networks, Inc. (a).... 20,617 79,169
-----------
551,260
-----------
</Table>
See accompanying notes to financial statements.
71
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMPUTERS & PERIPHERALS -- 0.6%
Adaptec, Inc. (a).............. 11,301 $ 38,197
Electronics for Imaging, Inc.
(a).......................... 6,289 141,377
Emulex Corp. (a)............... 9,142 149,198
Hutchinson Technology, Inc.
(a).......................... 2,845 74,880
Imation Corp. ................. 3,802 79,842
Quantum Corp. (a).............. 21,875 58,844
-----------
542,338
-----------
CONSTRUCTION & ENGINEERING -- 1.4%
EMCOR Group, Inc. (a).......... 6,997 165,339
Granite Construction, Inc. .... 3,775 136,580
Insituform Technologies, Inc.
(a).......................... 3,008 44,518
The Shaw Group, Inc. (a)....... 8,371 505,943
URS Corp. (a).................. 8,796 477,887
-----------
1,330,267
-----------
CONSTRUCTION MATERIALS -- 0.2%
Texas Industries, Inc. ........ 3,012 211,141
-----------
CONSUMER FINANCE 0.3%
Advance America Cash
Advance Centers,
Inc. ........................ 6,800 69,088
Advanta Corp. (Class B)........ 4,162 33,587
AmeriCredit Corp. (a).......... 12,500 159,875
-----------
262,550
-----------
CONTAINERS & PACKAGING -- 1.0%
Aptargroup, Inc. .............. 7,019 287,147
Packaging Corp. of America..... 10,252 289,107
Rock-Tenn Co. ................. 4,037 102,580
Smurfit-Stone Container Corp.
(a).......................... 27,827 293,853
-----------
972,687
-----------
DISTRIBUTORS -- 0.0% (B)
Audiovox Corp. (Class A) (a)... 2,029 25,159
Building Material Holding
Corp. ....................... 3,126 17,287
-----------
42,446
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.7%
Regis Corp. ................... 4,833 135,131
Service Corp. International.... 31,671 444,977
Stewart Enterprises, Inc.
(Class A).................... 10,482 93,290
-----------
673,398
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
Financial Federal Corp. ....... 2,839 63,282
Interactive Brokers Group, Inc.
(Class A) (a)................ 4,400 142,208
KKR Financial Holdings LLC..... 12,642 177,620
MSCI, Inc. (Class A) (a)....... 1,500 57,600
Pico Holdings, Inc. (a)........ 1,800 60,516
Resource America, Inc. ........ 1,666 24,440
-----------
525,666
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
Alaska Communications Systems
Group, Inc. ................. 4,700 70,500
Consolidated Communications
Holdings, Inc. .............. 2,236 44,496
Fairpoint Communications,
Inc. ........................ 3,040 39,581
IDT Corp. (Class B)............ 6,577 55,575
Iowa Telecommunications
Services, Inc. .............. 3,430 55,772
North Pittsburgh Systems,
Inc. ........................ 1,472 33,400
SureWest Communications........ 1,472 25,171
-----------
324,495
-----------
ELECTRIC UTILITIES -- 2.6%
ALLETE, Inc. .................. 2,762 109,320
Cleco Corp. ................... 6,543 181,895
El Paso Electric Co. (a)....... 5,046 129,026
Empire District Electric Co. .. 3,682 83,876
Great Plains Energy, Inc. ..... 9,455 277,221
Hawaiian Electric Industries,
Inc. ........................ 8,933 203,404
IDACORP, Inc. ................. 4,983 175,501
MGE Energy, Inc. .............. 2,406 85,341
Otter Tail Corp. .............. 2,853 98,714
Portland General Electric
Co. ......................... 6,812 189,237
Sierra Pacific Resources....... 24,371 413,820
UIL Holdings Corp. ............ 2,508 92,671
Unisource Energy Corp. ........ 3,844 121,278
Westar Energy, Inc. ........... 11,026 286,015
-----------
2,447,319
-----------
ELECTRICAL EQUIPMENT -- 2.0%
A.O. Smith Corp. .............. 2,260 79,213
Baldor Electric Co. ........... 4,592 154,567
Belden CDT, Inc. .............. 4,966 220,987
Brady Corp. ................... 5,258 184,503
Genlyte Group, Inc. (a)........ 2,780 264,656
GrafTech International, Ltd.
(a).......................... 11,383 202,048
Polypore International, Inc.
(a).......................... 1,630 28,525
Regal-Beloit Corp. ............ 3,520 158,224
Superior Essex, Inc. (a)....... 2,276 54,624
Thomas & Betts Corp. (a)....... 6,478 317,681
Woodward Governor Co. ......... 3,278 222,740
-----------
1,887,768
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.6%
Agilysys, Inc. ................ 2,911 44,014
Anixter International, Inc.
(a).......................... 3,523 219,377
AVX Corp. ..................... 5,605 75,219
Checkpoint Systems, Inc. (a)... 4,341 112,779
Electro Scientific Industries,
Inc. (a)..................... 2,831 56,195
KEMET Corp. (a)................ 9,295 61,626
Littelfuse, Inc. (a)........... 2,476 81,609
Methode Electronics, Inc.
(Class A).................... 4,081 67,092
Newport Corp. (a).............. 3,844 49,165
Park Electrochemical Corp. .... 1,981 55,944
Plexus Corp. (a)............... 5,111 134,215
SYNNEX Corp. (a)............... 1,789 35,064
Tech Data Corp. (a)............ 6,064 228,734
Technitrol, Inc. .............. 4,414 126,152
Vishay Intertechnology, Inc.
(a).......................... 18,693 213,287
-----------
1,560,472
-----------
ENERGY EQUIPMENT & SERVICES -- 1.6%
Bristow Group, Inc. (a)........ 2,494 141,285
Exterran Holdings, Inc. (a).... 7,282 595,668
Gulfmark Offshore, Inc. (a).... 2,246 105,090
Lufkin Industries, Inc. ....... 1,638 93,841
SEACOR Holdings, Inc. (a)...... 2,599 241,031
</Table>
See accompanying notes to financial statements.
72
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Superior Offshore
International, Inc. (a)...... 1,500 $ 7,530
Tidewater, Inc. ............... 6,163 338,102
-----------
1,522,547
-----------
FOOD & STAPLES RETAILING -- 1.2%
BJ'S Wholesale Club, Inc. (a).. 7,100 240,193
Casey's General Stores, Inc. .. 5,542 164,099
Great Atlantic & Pacific Tea
Co. (a)...................... 2,432 76,195
Ingles Markets, Inc. .......... 1,360 34,530
Longs Drug Stores Corp. ....... 3,578 168,166
Nash Finch Co. ................ 1,472 51,932
Performance Food Group Co.
(a).......................... 3,600 96,732
Ruddick Corp. ................. 3,869 134,138
Weis Markets, Inc. ............ 1,190 47,529
Winn-Dixie Stores, Inc. (a).... 6,000 101,220
-----------
1,114,734
-----------
FOOD PRODUCTS -- 2.1%
Alico, Inc. ................... 407 14,855
Chiquita Brands International,
Inc. (a)..................... 4,629 85,127
Corn Products International,
Inc. ........................ 8,165 300,064
Del Monte Foods Co. ........... 21,786 206,096
Farmer Brothers Co. ........... 743 17,082
Fresh Del Monte Produce, Inc.
(a).......................... 4,887 164,105
Hain Celestial Group, Inc.
(a).......................... 4,360 139,520
Lancaster Colony Corp. ........ 2,342 92,977
Lance, Inc. ................... 3,427 69,979
Pilgrim's Pride Corp. ......... 4,517 130,767
Ralcorp Holdings, Inc. (a)..... 2,843 172,826
Reddy Ice Holdings, Inc. ...... 2,374 60,086
Sanderson Farms, Inc. ......... 1,938 65,466
The J.M. Smucker Co. .......... 6,316 324,895
Tootsie Roll Industries,
Inc. ........................ 2,716 74,473
TreeHouse Foods, Inc. (a)...... 3,413 78,465
-----------
1,996,783
-----------
GAS UTILITIES -- 3.8%
AGL Resources, Inc. ........... 8,599 323,666
Amerigas Partners LP........... 3,500 126,140
Atmos Energy Corp. ............ 9,758 273,614
Energen Corp. ................. 7,206 462,841
Ferrellgas Partners LP......... 4,372 95,791
Laclede Group, Inc. ........... 2,217 75,910
National Fuel Gas Co. ......... 7,752 361,863
New Jersey Resources Corp. .... 3,047 152,411
Nicor, Inc. ................... 4,924 208,531
Northwest Natural Gas Co. ..... 2,974 144,715
Piedmont Natural Gas Co.,
Inc. ........................ 7,751 202,766
South Jersey Industries,
Inc. ........................ 3,221 116,246
Southern Union Co. ............ 11,036 324,017
Southwest Gas Corp. ........... 4,610 137,240
Suburban Propane Partners LP... 3,558 144,384
UGI Corp. ..................... 11,510 313,648
WGL Holdings, Inc. ............ 5,440 178,214
-----------
3,641,997
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.0%
Advanced Medical Optics, Inc.
(a).......................... 6,532 160,230
Analogic Corp. ................ 1,503 101,783
CONMED Corp. (a)............... 3,100 71,641
Datascope Corp. ............... 1,444 52,562
Invacare Corp. ................ 3,492 87,998
Orthofix International NV (a).. 1,700 98,549
STERIS Corp. .................. 7,000 201,880
The Cooper Cos., Inc. ......... 4,848 184,224
-----------
958,867
-----------
HEALTH CARE PROVIDERS & SERVICES -- 1.2%
Health Management Associates,
Inc. ........................ 26,500 158,470
Kindred Healthcare, Inc. (a)... 3,510 87,680
Landauer, Inc. ................ 1,014 52,576
LifePoint Hospitals, Inc. (a).. 6,300 187,362
Magellan Health Services, Inc.
(a).......................... 4,287 199,903
Owens & Minor, Inc. ........... 4,395 186,480
RehabCare Group, Inc. (a)...... 1,937 43,698
Tenet Healthcare Corp. (a)..... 51,800 263,144
-----------
1,179,313
-----------
HOTELS, RESTAURANTS & LEISURE -- 1.3%
AFC Enterprises, Inc. (a)...... 3,071 34,764
Bob Evans Farms, Inc. ......... 3,837 103,330
CBRL Group, Inc. .............. 2,586 83,761
Cedar Fair LP.................. 5,471 115,602
Churchill Downs, Inc. ......... 1,133 61,148
Domino's Pizza, Inc. .......... 4,965 65,687
IHOP Corp. .................... 1,806 66,063
International Speedway Corp.
(Class A).................... 3,755 154,631
Isle of Capri Casinos, Inc.
(a).......................... 2,200 30,294
Jack in the Box, Inc. (a)...... 6,778 174,669
Landry's Restaurants, Inc. .... 1,233 24,290
Marcus Corp. .................. 2,296 35,473
Six Flags, Inc. (a)............ 8,152 16,549
Speedway Motorsports, Inc. .... 1,507 46,838
Triarc Cos., Inc. (Class B).... 7,062 61,863
Vail Resorts, Inc. (a)......... 3,370 181,340
-----------
1,256,302
-----------
HOUSEHOLD DURABLES -- 1.5%
American Greetings Corp. (Class
A)........................... 5,330 108,199
Avatar Holdings, Inc. (a)...... 567 23,712
Beazer Homes USA, Inc. ........ 4,214 31,310
Blyth, Inc. ................... 3,112 68,277
CSS Industries, Inc. .......... 1,026 37,654
Ethan Allen Interiors, Inc. ... 3,051 86,954
Furniture Brands International,
Inc. ........................ 5,316 53,479
Helen of Troy, Ltd. (a)........ 3,100 53,134
La-Z-Boy, Inc. ................ 5,698 45,185
M.D.C. Holdings, Inc. ......... 3,902 144,881
M/I Homes, Inc. ............... 1,377 14,459
Meritage Homes Corp. (a)....... 2,642 38,494
Palm Harbor Homes, Inc. (a).... 1,101 11,616
Russ Berrie & Co., Inc. (a).... 1,380 22,577
Ryland Group, Inc. ............ 4,644 127,942
Skyline Corp. ................. 737 21,631
Snap-on, Inc. ................. 6,364 306,999
Standard Pacific Corp. ........ 8,229 27,567
Tupperware Corp. .............. 6,685 220,806
WCI Communities, Inc. (a)...... 3,853 14,564
-----------
1,459,440
-----------
</Table>
See accompanying notes to financial statements.
73
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HOUSEHOLD PRODUCTS -- 0.1%
Central Garden & Pet Co. (a)... 2,602 $ 14,987
Central Garden & Pet Co. (Class
A) (a)....................... 4,244 22,748
WD-40 Co. ..................... 1,743 66,182
-----------
103,917
-----------
INDUSTRIAL CONGLOMERATES -- 0.6%
Carlisle Cos., Inc. ........... 6,841 253,322
Standex International Corp. ... 1,396 24,360
Teleflex, Inc. ................ 4,304 271,195
Tredegar Corp. ................ 2,978 47,887
-----------
596,764
-----------
INSURANCE -- 7.2%
Alfa Corp. .................... 4,046 87,677
Alleghany Corp. (a)............ 576 231,552
Allied World Assurance
Holdings, Ltd. .............. 3,796 190,445
American Financial Group,
Inc. ........................ 7,476 215,907
American National Insurance
Co. ......................... 1,738 210,715
Amtrust Financial Services,
Inc. ........................ 2,787 38,377
Argo Group International
Holdings, Ltd. (a)........... 3,400 143,242
Aspen Insurance Holdings,
Ltd. ........................ 8,350 240,814
Assured Guaranty, Ltd. ........ 6,604 175,270
Baldwin & Lyons, Inc. (Class
B)........................... 1,015 27,872
Castlepoint Holdings, Ltd. .... 3,739 44,868
CNA Surety Corp. (a)........... 1,745 34,534
Conseco, Inc. (a).............. 20,700 259,992
Delphi Financial Group......... 4,740 167,227
Employers Holdings, Inc. ...... 5,687 95,030
Endurance Specialty Holdings,
Ltd. ........................ 6,383 266,363
Enstar Group, Ltd. (a)......... 536 65,617
Erie Indemnity Co. (Class A)... 4,890 253,742
FBL Financial Group, Inc.
(Class A).................... 1,442 49,792
Flagstone Reinsurance Holdings,
Ltd. ........................ 4,802 66,748
Greenlight Capital Re, Ltd.
(a).......................... 3,292 68,441
Harleysville Group, Inc. ...... 1,474 52,150
Hilb Rogal and Hobbs Co. ...... 4,000 162,280
Hilltop Holdings, Inc. (a)..... 5,200 56,784
Horace Mann Educators Corp. ... 4,688 88,791
Infinity Property & Casualty
Corp. ....................... 1,833 66,226
IPC Holdings, Ltd. ............ 6,671 192,592
Kansas City Life Insurance
Co. ......................... 465 20,269
LandAmerica Financial Group,
Inc. ........................ 1,584 52,985
Max Re Capital, Ltd. .......... 5,410 151,426
Mercury General Corp. ......... 2,873 143,104
Montpelier Re Holdings, Ltd. .. 10,485 178,350
National Western Life Insurance
Co. (Class A)................ 247 51,220
Navigators Group, Inc. (a)..... 1,522 98,930
Odyssey Re Holdings Corp. ..... 3,013 110,607
OneBeacon Insurance Group,
Ltd. ........................ 2,601 55,921
Platinum Underwriters Holdings,
Ltd. ........................ 6,296 223,886
Presidential Life Corp. ....... 2,367 41,446
ProAssurance Corp. (a)......... 3,373 185,245
Reinsurance Group America,
Inc. ........................ 3,234 169,720
RLI Corp. ..................... 2,299 130,560
Safety Insurance Group, Inc. .. 1,808 66,209
Security Capital Assurance,
Ltd. ........................ 3,719 14,467
Selective Insurance Group,
Inc. ........................ 5,849 134,469
StanCorp Financial Group,
Inc. ........................ 5,499 277,040
State Auto Financial Corp. .... 1,569 41,265
Stewart Information Services
Corp. ....................... 1,889 49,284
The Commerce Group, Inc. ...... 5,955 214,261
The Hanover Insurance Group,
Inc. ........................ 5,636 258,129
The Midland Co. ............... 1,284 83,062
The Phoenix Cos., Inc. ........ 11,806 140,137
United America Indemnity, Ltd.
(a).......................... 2,535 50,497
United Fire & Casualty Co. .... 2,399 69,787
Validus Holdings, Ltd. (a)..... 1,727 44,867
Wesco Financial Corp. ......... 156 63,492
Zenith National Insurance
Corp. ....................... 4,086 182,767
-----------
6,856,450
-----------
INTERNET SOFTWARE & SERVICES -- 0.1%
United Online, Inc. ........... 7,284 86,097
-----------
IT SERVICES -- 1.0%
BearingPoint, Inc. (a)......... 22,123 62,608
Convergys Corp. (a)............ 14,296 235,312
CSG Systems International, Inc.
(a).......................... 3,843 56,569
EnerNOC, Inc. (a).............. 1,100 54,010
Gevity HR, Inc. ............... 2,256 17,349
infoUSA, Inc. ................. 3,655 32,639
Mantech International Corp.
(a).......................... 1,978 86,676
MAXIMUS, Inc. ................. 2,447 94,479
Perot Systems Corp. (Class A)
(a).......................... 9,800 132,300
Unisys Corp. (a)............... 38,033 179,896
-----------
951,838
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.6%
Brunswick Corp. ............... 9,700 165,385
Callaway Golf Co. ............. 6,719 117,112
JAKKS Pacific, Inc. (a)........ 3,085 72,837
Nautilus Group, Inc. .......... 3,422 16,597
Polaris Industries, Inc. ...... 3,890 185,825
RC2 Corp. (a).................. 2,100 58,947
-----------
616,703
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.6%
Cambrex Corp. ................. 3,124 26,179
PerkinElmer, Inc. ............. 12,990 338,000
Varian, Inc. (a)............... 3,400 222,020
-----------
586,199
-----------
MACHINERY -- 4.5%
AGCO Corp. (a)................. 10,090 685,918
Albany International Corp.
(Class A).................... 2,807 104,140
Barnes Group, Inc. ............ 4,610 153,928
Briggs & Stratton Corp. ....... 5,451 123,520
Cascade Corp. ................. 1,104 51,292
CIRCOR International, Inc. .... 1,832 84,931
Crane Co. ..................... 5,724 245,560
EnPro Industries, Inc. (a)..... 2,294 70,311
Federal Signal Corp. .......... 5,238 58,770
Freightcar America, Inc. ...... 1,308 45,780
IDEX Corp. .................... 8,879 320,798
Kaydon Corp. .................. 3,109 169,565
Kennametal, Inc. .............. 8,530 322,946
Lincoln Electric Holdings,
Inc. ........................ 4,456 317,178
Lindsay Manufacturing Co. ..... 1,193 84,333
Mueller Industries, Inc. ...... 4,096 118,743
NACCO Industries, Inc. ........ 613 61,110
</Table>
See accompanying notes to financial statements.
74
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Nordson Corp. ................. 3,374 $ 195,557
Robbins & Myers, Inc. ......... 1,473 111,403
Tecumseh Products Co. (Class A)
(a).......................... 1,704 39,891
Tennant Co. ................... 1,863 82,512
The Greenbrier Cos., Inc. ..... 1,611 35,861
The Timken Co. ................ 8,360 274,626
Trinity Industries, Inc. ...... 8,799 244,260
Valmont Industries, Inc. ...... 2,054 183,052
Wabash National Corp. ......... 3,504 26,946
Watts Water Technologies,
Inc. ........................ 3,359 100,098
Xerium Technologies, Inc. ..... 2,219 11,539
-----------
4,324,568
-----------
MARINE -- 0.6%
Alexander & Baldwin, Inc. ..... 4,792 247,555
Eagle Bulk Shipping, Inc. ..... 5,148 136,679
Genco Shipping & Trading,
Ltd. ........................ 2,758 151,028
Horizon Lines, Inc. ........... 3,626 67,589
-----------
602,851
-----------
MEDIA -- 1.8%
Belo Corp. .................... 9,959 173,685
Citadel Broadcasting Corp. .... 19,411 39,987
Cox Radio, Inc. (Class A) (a).. 3,974 48,284
Cumulus Media, Inc. (a)........ 3,674 29,539
DreamWorks Animation SKG, Inc.
(Class A) (a)................ 8,000 204,320
Emmis Communications Corp.
(a).......................... 3,471 13,363
Entercom Communications
Corp. ....................... 3,379 46,259
Fisher Communications, Inc.
(a).......................... 674 25,585
GateHouse Media, Inc. ......... 3,914 34,365
Hearst-Argyle Television,
Inc. ........................ 2,780 61,466
Journal Communications, Inc. .. 5,073 45,353
Lee Enterprises, Inc. ......... 4,511 66,086
Lin TV Corp. (Class A) (a)..... 2,938 35,755
McClatchy Co. (Class A)........ 6,127 76,710
Media General, Inc. (Class A).. 2,210 46,963
Meredith Corp. ................ 4,207 231,301
Radio One, Inc. (a)............ 8,900 21,093
RCN Corp. (a).................. 4,150 64,698
Regal Entertainment Group...... 8,542 154,354
Scholastic Corp. (a)........... 3,605 125,778
Sinclair Broadcast Group,
Inc. ........................ 5,706 46,846
Sun-Times Media Group, Inc.
(a).......................... 6,456 14,203
Valassis Communications, Inc.
(a).......................... 5,200 60,788
Westwood One, Inc. ............ 7,623 15,170
World Wrestling Entertainment,
Inc. (Class A)............... 2,126 31,380
-----------
1,713,331
-----------
METALS & MINING -- 3.8%
AMCOL International Corp. ..... 2,764 99,587
Brush Engineered Materials,
Inc. (a)..................... 2,215 81,999
Carpenter Technology Corp. .... 5,424 407,722
Century Aluminum Co. (a)....... 3,147 169,749
Cleveland-Cliffs, Inc. ........ 4,523 455,918
Commercial Metals Co. ......... 13,016 383,321
Compass Minerals International,
Inc. ........................ 3,498 143,418
Haynes International, Inc.
(a).......................... 1,183 82,219
Horsehead Holding Corp. (a).... 546 9,266
Kaiser Aluminum Corp. ......... 1,558 123,830
Quanex Corp. .................. 4,065 210,974
Reliance Steel & Aluminum
Co. ......................... 7,249 392,896
RTI International Metals, Inc.
(a).......................... 2,540 175,082
Schnitzer Steel Industries,
Inc. (Class A)............... 2,318 160,243
Steel Dynamics, Inc. .......... 10,659 634,957
Worthington Industries, Inc. .. 7,248 129,594
-----------
3,660,775
-----------
MULTI-UTILITIES -- 2.3%
Aquila, Inc. (a)............... 40,935 152,687
Avista Corp. .................. 5,832 125,621
Black Hills Corp. ............. 4,117 181,560
CH Energy Group, Inc. ......... 1,751 77,989
CMS Energy Corp. .............. 24,730 429,807
NorthWestern Corp. ............ 4,040 119,180
OGE Energy Corp. .............. 10,040 364,352
PNM Resources, Inc. ........... 7,657 164,243
Puget Energy, Inc. ............ 12,797 351,022
Vectren Corp. ................. 8,381 243,133
-----------
2,209,594
-----------
MULTILINE RETAIL -- 0.7%
Big Lots, Inc. (a)............. 11,153 178,336
Dillard's, Inc. (Class A)...... 7,155 134,371
Saks, Inc. (a)................. 13,751 285,471
The Bon-Ton Stores, Inc. ...... 1,300 12,337
Tuesday Morning Corp. ......... 3,286 16,660
-----------
627,175
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.5%
Alliance Resource Partners LP.. 2,251 81,644
Atlas Pipeline Partners LP..... 3,797 162,701
Boardwalk Pipeline Partners
LP........................... 4,068 126,515
BP Prudhoe Bay Royalty Trust... 2,372 190,234
Buckeye Partners LP............ 5,070 250,509
Calumet Specialty Products
Partners LP.................. 1,547 57,285
Capital Product Partners LP.... 1,500 37,140
Cheniere Energy Partners LP.... 1,500 24,090
Contango Oil & Gas Co. (a)..... 1,500 76,335
Crosstex Energy LP............. 2,029 62,940
DCP Midstream Partners LP...... 1,751 80,458
Dorchester Minerals LP......... 2,949 59,363
Double Hull Tankers, Inc. ..... 3,288 40,245
Duncan Energy Partners LP...... 1,600 34,928
El Paso Pipeline Partners LP
(a).......................... 2,700 67,635
Enbridge Energy Management LLC
(a).......................... 1,238 64,772
Forest Oil Corp. (a)........... 8,597 437,072
General Maritime Corp. ........ 2,891 70,685
Harvest Natural Resources, Inc.
(a).......................... 3,826 47,825
Hiland Holdings GP LP.......... 900 24,291
Holly Energy Partners LP....... 826 36,138
Hugoton Royalty Trust.......... 4,444 99,679
Inergy Holdings LP............. 1,240 53,605
Inergy LP...................... 4,539 141,163
Linn Energy LLC................ 12,544 313,976
Magellan Midstream Partners
LP........................... 7,321 317,439
Markwest Energy Partners LP.... 3,494 118,027
Natural Resource Partners LP... 3,507 113,837
NuStar Energy LP............... 4,218 224,819
OSG America LP (a)............. 800 14,840
Overseas Shipholding Group,
Inc. ........................ 3,096 230,435
</Table>
See accompanying notes to financial statements.
75
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Penn Virginia GP Holdings LP... 2,100 $ 60,144
Penn Virginia Resource Partners
LP........................... 2,739 67,297
Ship Finance International,
Ltd. ........................ 4,344 120,372
Stone Energy Corp. (a)......... 2,864 134,350
Sunoco Logistics Partners LP... 1,837 92,236
Swift Energy Co. (a)........... 3,254 143,274
TC Pipelines LP................ 1,749 63,314
Teekay LNG Partners LP......... 1,298 38,512
TEPPCO Partners LP............. 8,065 309,131
U.S. Shipping Partners LP...... 1,253 16,490
USEC, Inc. (a)................. 12,209 109,881
Whiting Petroleum Corp. (a).... 4,628 266,851
Williams Partners LP........... 4,440 174,048
-----------
5,256,525
-----------
PAPER & FOREST PRODUCTS -- 0.7%
AbitibiBowater, Inc. .......... 6,320 130,255
Buckeye Technologies, Inc.
(a).......................... 4,347 54,338
Deltic Timber Corp. ........... 1,242 63,951
Glatfelter..................... 4,892 74,897
Louisiana-Pacific Corp. ....... 11,415 156,157
Neenah Paper, Inc. ............ 1,662 48,447
Schweitzer-Mauduit
International, Inc. ......... 1,751 45,368
Wausau-Mosinee Paper Corp. .... 5,552 49,912
-----------
623,325
-----------
PERSONAL PRODUCTS -- 0.1%
Nu Skin Enterprises, Inc.
(Class A).................... 5,725 94,062
-----------
PHARMACEUTICALS -- 0.9%
Alpharma, Inc. (Class A) (a)... 4,808 96,881
KV Pharmaceutical Co. (Class A)
(a).......................... 4,598 131,227
Perrigo Co. ................... 8,564 299,826
Watson Pharmaceuticals, Inc.
(a).......................... 11,200 303,968
-----------
831,902
-----------
REAL ESTATE INVESTMENT TRUSTS -- 10.2%
Acadia Realty Trust............ 3,311 84,795
Alexandria Real Estate
Equities, Inc. .............. 3,510 356,862
American Campus Communities,
Inc. ........................ 2,966 79,637
American Financial Realty
Trust........................ 14,224 114,076
Anthracite Capital, Inc. ...... 6,972 50,477
Arbor Realty Trust, Inc. ...... 2,190 35,281
Ashford Hospitality Trust,
Inc. ........................ 13,473 96,871
Brandywine Realty Trust........ 9,611 172,325
BRE Properties, Inc. (Class
A)........................... 5,641 228,630
Capital Lease Funding, Inc. ... 4,978 41,915
Capital Trust, Inc. (Class A).. 1,807 55,385
CBL & Associates Properties,
Inc. ........................ 7,166 171,339
Cedar Shopping Centers, Inc. .. 4,814 49,247
Chimera Investment Corp. ...... 3,700 66,156
Colonial Properties Trust...... 5,037 113,987
Cousins Properties, Inc. ...... 4,501 99,472
Crystal River Capital, Inc. ... 2,781 40,158
DCT Industrial Trust, Inc. .... 18,429 171,574
Deerfield Capital Corp. ....... 5,310 42,480
DiamondRock Hospitality Co. ... 10,495 157,215
Douglas Emmett, Inc. .......... 10,814 244,505
DuPont Fabros Technology,
Inc. ........................ 3,400 66,640
EastGroup Properties, Inc. .... 2,598 108,726
Education Realty Trust, Inc. .. 3,163 35,552
Entertainment Properties
Trust........................ 3,085 144,995
Equity Lifestyle Properties,
Inc. ........................ 2,518 114,997
Equity One, Inc. .............. 4,078 93,916
Essex Property Trust, Inc. .... 2,776 270,632
Extra Space Storage, Inc. ..... 7,095 101,388
FelCor Lodging Trust, Inc. .... 6,871 107,119
First Industrial Realty Trust,
Inc. ........................ 4,875 168,675
Franklin Street Properties
Corp. ....................... 7,054 104,399
Friedman, Billings, Ramsey
Group, Inc. ................. 15,376 48,281
Getty Realty Corp. ............ 1,952 52,079
Glimcher Realty Trust.......... 4,034 57,646
GMH Communities Trust.......... 4,263 23,532
Gramercy Capital Corp./New
York......................... 2,917 70,912
Health Care REIT, Inc. ........ 9,333 417,092
Healthcare Realty Trust,
Inc. ........................ 5,568 141,372
Highwoods Properties, Inc. .... 6,265 184,066
Home Properties, Inc. ......... 3,645 163,478
HRPT Properties Trust.......... 24,705 190,970
Inland Real Estate Corp. ...... 6,485 91,828
Investors Real Estate Trust.... 6,076 54,502
JER Investors Trust, Inc. ..... 2,600 28,002
Kilroy Realty Corp. ........... 3,555 195,383
Kite Realty Group Trust........ 3,205 48,940
LaSalle Hotel Properties....... 4,363 139,180
Lexington Realty Trust......... 6,598 95,935
LTC Properties, Inc. .......... 2,298 57,565
Medical Properties Trust,
Inc. ........................ 5,355 54,567
MFA Mortgage Investments,
Inc. ........................ 13,145 121,591
Mid-America Apartment
Communities, Inc. ........... 2,787 119,144
National Health Investors,
Inc. ........................ 2,767 77,199
National Retail Properties,
Inc. ........................ 7,793 182,200
Nationwide Health Properties,
Inc. ........................ 10,221 320,633
Newcastle Investment Corp. .... 5,827 75,518
NorthStar Realty Finance
Corp. ....................... 6,694 59,710
Omega Healthcare Investors,
Inc. ........................ 7,389 118,593
Parkway Properties, Inc. ...... 1,672 61,831
Pennsylvania Real Estate
Investment Trust............. 4,218 125,190
Post Properties, Inc. ......... 4,786 168,084
Potlatch Corp. ................ 4,291 190,692
PS Business Parks, Inc. ....... 1,751 92,015
RAIT Investment Trust.......... 6,689 57,659
Ramco-Gershenson Properties
Trust........................ 2,024 43,253
Rayonier, Inc. ................ 8,486 400,879
Realty Income Corp. ........... 11,143 301,084
Redwood Trust, Inc. ........... 2,870 98,269
Saul Centers, Inc. ............ 1,297 69,299
Senior Housing Properties
Trust........................ 9,224 209,200
Sovran Self Storage, Inc. ..... 2,352 94,315
Strategic Hotels & Resorts,
Inc. ........................ 8,153 136,400
Sun Communities, Inc. ......... 1,895 39,928
Sunstone Hotel Investors,
Inc. ........................ 6,548 119,763
Tanger Factory Outlet Centers,
Inc. ........................ 3,396 128,063
Thornburg Mortgage, Inc. ...... 14,300 132,132
U-Store-It Trust............... 5,155 47,220
Universal Health Realty Income
Trust........................ 1,196 42,386
Urstadt Biddle Properties
(Class A).................... 2,025 31,387
Washington Real Estate
Investment Trust............. 5,096 160,065
-----------
9,728,458
-----------
</Table>
See accompanying notes to financial statements.
76
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Tejon Ranch Co. (a)............ 1,370 $ 55,964
-----------
ROAD & RAIL 1.4%
Amerco, Inc. (a)............... 844 55,434
Arkansas Best Corp. ........... 2,485 54,521
Avis Budget Group, Inc. (a).... 11,182 145,366
Con-way, Inc. ................. 4,977 206,745
Dollar Thrifty Automotive Group
(a).......................... 2,168 51,338
Kansas City Southern (a)....... 8,419 289,024
Ryder Systems, Inc. ........... 6,425 302,039
Werner Enterprises, Inc. ...... 5,626 95,811
YRC Worldwide, Inc. (a)........ 6,352 108,556
-----------
1,308,834
-----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 0.7%
Actel Corp. (a)................ 2,791 38,125
Credence Systems Corp. (a)..... 11,000 26,620
Entegris, Inc. (a)............. 12,838 110,792
Fairchild Semiconductor
International, Inc. (a)...... 13,602 196,277
Photronics, Inc. (a)........... 4,276 53,322
Standard Microsystems Corp.
(a).......................... 2,495 97,479
TriQuint Semiconductor, Inc.
(a).......................... 15,310 101,505
Veeco Instruments, Inc. (a).... 3,250 54,275
-----------
678,395
-----------
SOFTWARE -- 0.9%
Borland Software Corp. (a)..... 7,900 23,779
Compuware Corp. (a)............ 31,329 278,202
MSC Software Corp. (a)......... 4,484 58,247
Novell, Inc. (a)............... 38,293 263,073
Sybase, Inc. (a)............... 9,989 260,613
-----------
883,914
-----------
SPECIALTY RETAIL -- 2.0%
Asbury Automotive Group,
Inc. ........................ 3,458 52,043
Barnes & Noble, Inc. .......... 5,868 202,153
Borders Group, Inc. ........... 6,445 68,639
Brown Shoe Co., Inc. .......... 4,889 74,166
Buckle, Inc. .................. 1,676 55,308
Circuit City Stores, Inc. ..... 18,500 77,700
Collective Brands, Inc. (a).... 7,204 125,278
CSK Auto Corp. (a)............. 4,780 23,948
Foot Locker, Inc. ............. 17,100 233,586
Group 1 Automotive, Inc. ...... 2,504 59,470
hhgregg, Inc. (a).............. 995 13,691
Jo-Ann Stores, Inc. (a)........ 2,765 36,166
Lithia Motors, Inc. (Class A).. 1,732 23,780
OfficeMax, Inc. ............... 8,141 168,193
Pier 1 Imports, Inc. (a)....... 8,658 45,281
Rent-A-Center, Inc. (a)........ 7,300 105,996
Sally Beauty Holdings, Inc.
(a).......................... 9,200 83,260
Sonic Automotive, Inc. (Class
A)........................... 4,621 89,463
Stage Stores, Inc. ............ 4,500 66,600
Talbots, Inc. ................. 2,421 28,616
The Cato Corp. (Class A)....... 3,428 53,682
The Pep Boys -- Manny, Moe &
Jack......................... 4,274 49,066
United Auto Group, Inc. ....... 4,533 79,146
Zale Corp. (a)................. 5,284 84,861
-----------
1,900,092
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.2%
Columbia Sportswear Co. ....... 1,732 76,364
Hanesbrands, Inc. (a).......... 10,592 287,785
Jones Apparel Group, Inc. ..... 9,300 148,707
Kellwood Co. .................. 2,617 43,547
Kenneth Cole Productions, Inc.
(Class A).................... 1,295 22,649
Movado Group, Inc. ............ 2,036 51,490
Oxford Industries, Inc. ....... 1,713 44,144
Phillips-Van Heusen Corp. ..... 6,251 230,412
Skechers USA, Inc. (a)......... 3,541 69,085
UniFirst Corp. ................ 1,511 57,418
Wolverine World Wide, Inc. .... 5,677 139,200
-----------
1,170,801
-----------
THRIFTS & MORTGAGE FINANCE -- 2.2%
Anchor Bancorp Wisconsin,
Inc. ........................ 2,065 48,569
Astoria Financial Corp. ....... 9,700 225,719
Bank Mutual Corp. ............. 5,900 62,363
BankAtlantic Bancorp, Inc.
(Class A).................... 4,958 20,328
BankUnited Financial Corp. .... 3,894 26,869
Beneficial Mutual Bancorp, Inc.
(a).......................... 3,987 38,754
Brookline Bancorp, Inc. ....... 6,911 70,216
Capitol Federal Financial...... 2,297 71,207
Centerline Holding Co. ........ 5,497 41,887
Charter Financial Corp. ....... 400 14,800
Clifton Savings Bancorp,
Inc. ........................ 1,161 11,378
Corus Bankshares, Inc. ........ 3,696 39,436
Dime Community Bancshares...... 3,468 44,286
Doral Financial Corp. (a)...... 500 9,020
Downey Financial Corp. ........ 2,312 71,926
First Busey Corp. ............. 3,171 62,976
First Financial Holdings,
Inc. ........................ 1,287 35,290
First Niagara Financial Group,
Inc. ........................ 11,661 140,398
First Place Financial Corp. ... 1,730 24,203
FirstFed Financial Corp. (a)... 1,520 54,446
Flagstar Bancorp, Inc. ........ 4,054 28,256
Flushing Financial Corp. ...... 2,103 33,753
Fremont General Corp. (a)...... 7,595 26,583
IndyMac Bancorp, Inc. ......... 8,806 52,396
Kearny Financial Corp. ........ 2,389 28,453
Northwest Bancorp, Inc. ....... 2,204 58,560
PFF Bancorp, Inc. ............. 2,279 27,439
Provident Financial Services,
Inc. ........................ 6,283 90,601
Provident New York Bancorp..... 4,361 56,344
Radian Group, Inc. ............ 8,800 102,784
The PMI Group, Inc. ........... 8,900 118,192
TierOne Corp. ................. 1,750 38,763
Triad Guaranty, Inc. (a)....... 1,393 13,651
TrustCo Bank Corp. NY.......... 8,126 80,610
United Community Financial
Corp. ....................... 2,939 16,223
Washington Federal, Inc. ...... 9,534 201,263
Wauwatosa Holdings, Inc. (a)... 1,103 14,140
WSFS Financial Corp. .......... 672 33,734
-----------
2,135,816
-----------
</Table>
See accompanying notes to financial statements.
77
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2007 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TOBACCO -- 0.3%
Alliance One International,
Inc. (a)..................... 10,400 $ 42,328
Universal Corp. ............... 3,056 156,529
Vector Group, Ltd. ............ 3,837 76,970
-----------
275,827
-----------
TRADING COMPANIES & DISTRIBUTORS -- 1.1%
Aircastle, Ltd. ............... 4,800 126,384
Applied Industrial
Technologies, Inc. .......... 4,344 126,063
BlueLinx Holdings, Inc. ....... 1,287 5,058
GATX Corp. .................... 4,654 170,709
Kaman Corp. (Class A).......... 2,740 100,859
Lawson Products, Inc. ......... 498 18,884
TAL International Group,
Inc. ........................ 1,921 43,741
Textainer Group Holdings,
Ltd. ........................ 1,000 14,530
UAP Holding Corp. ............. 5,671 218,901
United Rentals, Inc. (a)....... 8,577 157,474
Watsco, Inc. .................. 2,691 98,921
-----------
1,081,524
-----------
TRANSPORTATION INFRASTRUCTURE -- 0.2%
Macquarie Infrastructure Co.
LLC.......................... 4,983 201,961
-----------
WATER UTILITIES -- 0.5%
American States Water Co. ..... 1,846 69,557
Aqua America, Inc. ............ 14,469 306,743
California Water Service
Group........................ 2,165 80,149
SJW Corp. ..................... 1,472 51,034
-----------
507,483
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
SunCom Wireless Holdings, Inc.
(a).......................... 800 21,344
USA Mobility, Inc. (a)......... 2,571 36,765
-----------
58,109
-----------
TOTAL COMMON STOCKS --
(Cost $100,340,273).......... 95,630,630
-----------
SHORT TERM INVESTMENTS -- 1.2%
MONEY MARKET FUND -- 1.2%
STIC Prime Portfolio
(Cost $1,111,334)............ 1,111,334 1,111,334
-----------
TOTAL INVESTMENTS -- 101.0%
(Cost $101,451,607).......... 96,741,964
OTHER ASSETS AND
LIABILITIES -- (1.0)%........ (948,285)
-----------
NET ASSETS -- 100.0%........... $95,793,679
===========
</Table>
(a) Non-income producing security
(b) Amount shown represents less than 0.05% of net assets.
See accompanying notes to financial statements.
78
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.
SPDR(R) SERIES TRUST
By: /s/ James E. Ross
---------------------------------
James E. Ross
President and Principal Executive
Officer
Date: February 25, 2008
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: February 25, 2008
By: /s/ Gary L. French
---------------------------------
Gary L. French
Treasurer and Principal Financial
Officer
Date: February 25, 2008