================================================================================
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, 2008
================================================================================
ITEM 1: REPORTS TO SHAREHOLDERS
SEMI-ANNUAL December 31, 2008
(IMAGE)
PRECISE IN A WORLD THAT ISN'T(SM)
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
SPDR(R) DJ WILSHIRE REIT ETF (RWR)...................................... 34
SPDR(R) KBW BANK ETF (KBE).............................................. 37
SPDR(R) KBW CAPITAL MARKETS ETF (KCE)................................... 40
SPDR(R) KBW INSURANCE ETF (KBI)......................................... 43
SPDR(R) 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
SPDR(R) 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)................................... 91
SPDR(R) DJ WILSHIRE MID CAP GROWTH ETF (EMG)............................ 94
SPDR(R) DJ WILSHIRE MID CAP VALUE ETF (EMV)............................. 97
SPDR(R) DJ WILSHIRE SMALL CAP ETF (DSC)................................. 99
SPDR(R) DJ WILSHIRE SMALL CAP GROWTH ETF (DSG).......................... 102
SPDR(R) DJ WILSHIRE SMALL CAP VALUE ETF (DSV)........................... 105
</Table>
<Table>
SCHEDULES OF INVESTMENTS
SPDR(R) DJ GLOBAL TITANS ETF (DGT)...................................... 108
SPDR(R) DJ WILSHIRE REIT ETF (RWR)...................................... 109
SPDR(R) KBW BANK ETF (KBE).............................................. 111
SPDR(R) KBW CAPITAL MARKETS ETF (KCE)................................... 112
SPDR(R) KBW INSURANCE ETF (KBI)......................................... 113
SPDR(R) MORGAN STANLEY TECHNOLOGY ETF (MTK)............................. 114
SPDR(R) S&P(R) DIVIDEND ETF (SDY)....................................... 115
SPDR(R) S&P(R) BIOTECH ETF (XBI)........................................ 116
SPDR(R) S&P(R) HOMEBUILDERS ETF (XHB)................................... 117
SPDR(R) S&P(R) METALS & MINING ETF (XME)................................ 118
SPDR(R) S&P(R) OIL & GAS EQUIPMENT & SERVICES ETF (XES)................. 119
SPDR(R) S&P(R) OIL & GAS EXPLORATION & PRODUCTION ETF (XOP)............. 120
SPDR(R) S&P(R) PHARMACEUTICALS ETF (XPH)................................ 121
SPDR(R) S&P(R) RETAIL ETF (XRT)......................................... 122
SPDR(R) S&P(R) SEMICONDUCTOR ETF (XSD).................................. 123
SPDR(R) KBW REGIONAL BANKING(SM) ETF (KRE).............................. 124
FINANCIAL STATEMENTS...................................................... 126
FINANCIAL HIGHLIGHTS...................................................... 148
NOTES TO FINANCIAL STATEMENTS............................................. 162
OTHER INFORMATION......................................................... 174
</Table>
(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.SPDRS.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, 2008
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE 5000
VALUE VALUE COMPOSITE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -29.19% -29.10% -29.54%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.80% -36.94% -37.23%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -23.42% -23.46% -23.25%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -9.92% -9.68% -8.17%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -23.62% -23.54% -23.53%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE 5000
VALUE VALUE COMPOSITE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.80% -36.94% -37.23%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -8.51% -8.53% -8.44%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -2.07% -2.02% -1.69%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -3.22% -3.20% -4.24%
----------------------------------------------------------------------------------------------------
(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, 2008.
1
(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(A)(1) COMPOSITE INDEX(B)
---------------- ------------------
10/4/2000 10000.00 10000.00
10061.00 9903.00
9407.00 8918.00
12/31/00 9467.00 9077.00
9762.00 9424.00
9018.00 8531.00
8516.00 7956.00
9117.00 8611.00
9188.00 8697.00
8978.00 8551.00
8929.00 8410.00
8379.00 7901.00
7763.00 7191.00
7857.00 7374.00
8442.00 7938.00
12/31/01 8498.00 8081.00
8412.00 7980.00
8280.00 7816.00
8562.00 8158.00
8077.00 7760.00
8018.00 7669.00
7480.00 7130.00
6940.00 6554.00
6983.00 6593.00
6228.00 5931.00
6747.00 6385.00
7097.00 6770.00
12/31/02 6696.00 6395.00
6508.00 6234.00
6393.00 6128.00
6467.00 6198.00
6992.00 6706.00
7318.00 7115.00
7422.00 7220.00
7555.00 7395.00
7670.00 7572.00
7593.00 7488.00
8010.00 7946.00
8062.00 8057.00
12/31/03 8478.00 8419.00
8602.00 8606.00
8727.00 8731.00
8593.00 8638.00
8473.00 8454.00
8553.00 8571.00
8706.00 8754.00
8448.00 8428.00
8494.00 8457.00
8560.00 8594.00
8670.00 8733.00
9018.00 9139.00
12/31/04 9327.00 9469.00
9147.00 9221.00
9363.00 9423.00
9204.00 9258.00
9043.00 9054.00
9313.00 9397.00
9364.00 9473.00
9754.00 9865.00
9674.00 9776.00
9758.00 9855.00
9583.00 9673.00
9955.00 10059.00
12/31/05 9974.00 10073.00
10308.00 10431.00
10290.00 10429.00
10461.00 10621.00
10563.00 10739.00
10231.00 10395.00
10250.00 10413.00
10241.00 10401.00
10482.00 10644.00
10721.00 10878.00
11100.00 11273.00
11333.00 11527.00
12/31/06 11460.00 11662.00
11673.00 11883.00
11473.00 11696.00
11604.00 11825.00
12069.00 12298.00
12508.00 12748.00
12307.00 12543.00
11890.00 12116.00
12058.00 12285.00
12479.00 12726.00
12713.00 12970.00
12155.00 12393.00
12/31/07 12083.00 12317.00
11380.00 11571.00
11040.00 11223.00
10968.00 11146.00
11510.00 11701.00
11741.00 11945.00
10786.00 10973.00
10690.00 10878.00
10847.00 11049.00
9853.00 10022.00
8129.00 8261.00
7494.00 7600.00
12/31/08 7638.00 7647.00
</Table>
(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
(semi-annual report LOGO)
SPDR DJ Wilshire Total Market ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. PROCTER & GAMBLE CO. AT&T, INC. JOHNSON & JOHNSON
----------------------------------------------------------------------------------------------------------
MARKET VALUE $5,898,559 2,602,684 2,416,430 2,388,593
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.2% 1.9 1.7 1.7
----------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION GENERAL ELECTRIC CO.
---------------------------------------------------
MARKET VALUE 2,308,257
---------------------------------------------------
% 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 10.7%
Pharmaceuticals 6.6
Insurance 3.9
Computers & Peripherals 3.7
Software 3.7
Commercial Banks 3.6
Diversified Telecommunication
Services 3.0
Diversified Financial Services 2.7
Food & Staples Retailing 2.7
Household Products 2.7
Biotechnology 2.6
Media 2.5
Aerospace & Defense 2.3
Communications Equipment 2.3
Electric Utilities 2.3
Health Care Providers &
Services 2.3
Health Care Equipment &
Supplies 2.2
Industrial Conglomerates 2.2
Semiconductors & Semiconductor
Equipment 2.2
Beverages 2.1
Capital Markets 2.1
Machinery 2.1
Specialty Retail 2.0
Chemicals 1.8
Food Products 1.8
Real Estate Investment Trusts 1.8
Energy Equipment & Services 1.7
Hotels, Restaurants & Leisure 1.7
Tobacco 1.5
IT Services 1.4
Internet Software & Services 1.3
Multi-Utilities 1.2
Road & Rail 1.1
Air Freight & Logistics 0.8
Metals & Mining 0.8
Multiline Retail 0.8
Commercial Services & Supplies 0.7
Electrical Equipment 0.7
Electronic Equipment,
Instruments & Components 0.6
Household Durables 0.6
Life Sciences Tools & Services 0.6
Diversified Consumer Services 0.5
Thrifts & Mortgage Finance 0.5
Consumer Finance 0.4
Construction & Engineering 0.4
Textiles, Apparel & Luxury
Goods 0.4
Wireless Telecommunication
Services 0.4
Containers & Packaging 0.3
Independent Power Producers &
Energy Traders 0.3
Internet & Catalog Retail 0.3
Professional Services 0.3
Airlines 0.2
Auto Components 0.2
Construction Materials 0.2
Leisure Equipment & Products 0.2
Personal Products 0.2
Paper & Forest Products 0.2
Trading Companies &
Distributors 0.2
Water Utilities 0.2
Automobiles 0.1
Building Products 0.1
Gas Utilities 0.1
Health Care Technology 0.1
Office Electronics 0.1
Real Estate Management &
Development 0.1
Distributors 0.0**
Transportation Infrastructure 0.0**
Short Term Investments 17.3
Other Assets & Liabilities (16.7)
------------------------------------------------
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.
3
(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.SPDRS.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, 2008 IS
0.20%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -29.07% -29.05% -29.25%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.90% -36.80% -37.06%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -22.67% -22.65% -22.56%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -20.52% -20.54% -20.39%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.90% -36.80% -37.06%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -8.21% -8.21% -8.17%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -7.04% -7.04% -6.95%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
4
(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>
DOW JONES
SPDR DJ WILSHIRE LARGE
WILSHIRE LARGE CAP INXEX
CAP ETF(A) (B)
-------------- --------------
11/8/2005 10000.00 10000.00
10266.00 10267.00
12/31/05 10277.00 10280.00
10569.00 10574.00
10570.00 10573.00
10717.00 10721.00
10850.00 10855.00
10532.00 10539.00
10548.00 10556.00
10587.00 10599.00
10830.00 10847.00
11096.00 11112.00
11467.00 11487.00
11707.00 11730.00
12/31/06 11860.00 11885.00
12072.00 12100.00
11850.00 11879.00
11980.00 12011.00
12482.00 12519.00
12923.00 12966.00
12710.00 12752.00
12323.00 12364.00
12502.00 12543.00
12971.00 13023.00
13210.00 13263.00
12674.00 12721.00
12/31/07 12597.00 12643.00
11837.00 11881.00
11481.00 11519.00
11411.00 11449.00
11982.00 12028.00
12191.00 12242.00
11207.00 11248.00
11078.00 11118.00
11225.00 11267.00
10209.00 10231.00
8478.00 8488.00
7848.00 7854.00
12/31/08 7948.00 7961.00
</Table>
5
(semi-annual report LOGO)
SPDR DJ Wilshire Large Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. PROCTER & GAMBLE CO. AT&T, INC. JOHNSON & JOHNSON
----------------------------------------------------------------------------------------------------------
MARKET VALUE $1,089,041 491,345 453,065 447,349
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS...... 4.8% 2.1 2.0 2.0
----------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION GENERAL ELECTRIC CO.
---------------------------------------------------
MARKET VALUE 432,864
---------------------------------------------------
% OF NET ASSETS...... 1.9
---------------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 11.5%
Pharmaceuticals 7.3
Insurance 4.1
Computers & Peripherals 4.0
Software 3.5
Diversified Telecommunication
Services 3.3
Diversified Financial Services 3.1
Food & Staples Retailing 3.1
Household Products 3.0
Commercial Banks 2.8
Biotechnology 2.6
Media 2.6
Beverages 2.5
Industrial Conglomerates 2.5
Aerospace & Defense 2.4
Communications Equipment 2.3
Electric Utilities 2.3
Capital Markets 2.2
Health Care Equipment &
Supplies 2.1
Health Care Providers &
Services 2.1
Semiconductors & Semiconductor
Equipment 2.1
Chemicals 1.8
Machinery 1.8
Specialty Retail 1.8
Tobacco 1.7
Energy Equipment & Services 1.6
Food Products 1.6
IT Services 1.6
Hotels, Restaurants & Leisure 1.5
Multi-Utilities 1.5
Real Estate Investment Trusts 1.4
Internet Software & Services 1.3
Road & Rail 1.0
Air Freight & Logistics 0.8
Metals & Mining 0.8
Electrical Equipment 0.7
Commercial Services & Supplies 0.6
Multiline Retail 0.6
Consumer Finance 0.5
Electrical Equipment,
Instruments & Components 0.5
Household Durables 0.4
Life Sciences Tools & Services 0.4
Wireless Telecommunication
Services 0.4
Construction & Engineering 0.3
Containers & Packaging 0.3
Diversified Consumer Services 0.3
Independent Power Producers &
Energy Traders 0.3
Internet & Catalog Retail 0.3
Textiles, Apparel & Luxury
Goods 0.3
Airlines 0.2
Auto Components 0.2
Gas Utilities 0.2
Professional Services 0.2
Paper & Forest Products 0.2
Personal Products 0.2
Thrifts & Mortgage Finance 0.2
Automobiles 0.1
Building Products 0.1
Construction Materials 0.1
Distributors 0.1
Health Care Technology 0.1
Leisure Equipment & Products 0.1
Office Electronics 0.1
Trading Companies &
Distributors 0.1
Real Estate Management &
Development 0.0**
Water Utilities 0.0**
Short Term Investments 24.6
Other Assets and Liabilities (24.3)
------------------------------------------------
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.
6
(semi-annual report LOGO)
SPDR DJ Wilshire Large Cap Growth ETF--PERFORMANCE SUMMARY
The following performance chart of the Fund's total return at net asset value
to the total return based on market price and its benchmark index is provided
for comparative purposes only and represents the periods noted. The Fund's per
share net asset value ("NAV") is the value of one share of the Fund and is
calculated by dividing the value of total assets less total liabilities by the
number of shares outstanding. The NAV return is based on the NAV of the Fund
and the market return is based on the market price per share of the Fund. The
market price used to calculate the market return is determined by using the
midpoint between the highest bid and the lowest offer on the exchange on which
the shares of the Fund are listed for trading, as of the time that the Fund's
NAV is calculated. Since shares of the Fund did not trade in the secondary
market until several days after the Fund's inception, for the period from
inception to the first day of secondary market trading in shares of the Fund
(9/25/00, 9/29/00, respectively), the NAV of the Fund is used as a proxy for
the secondary market trading price to calculate market returns. NAV and market
returns assume that dividends and capital gain distributions have been
reinvested in the Fund at NAV. Market returns do not include brokerage
commission that may be payable on secondary market transactions. If brokerage
commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, 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.SPDRS.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, 2008
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -32.36% -32.39% -32.42%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.48% -37.70% -37.49%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -24.56% -24.59% -24.29%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -18.40% -18.33% -11.16%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -60.39% -60.41% -49.09%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.48% -37.70% -37.49%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -8.97% -8.98% -8.86%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -3.99% -3.97% -2.34%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -10.60% -10.60% -8.42%
----------------------------------------------------------------------------------------------------
(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, 2008.
7
(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)(1) 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 6336.29 8144.3
5844.6 7512.3
5752.84 7393.61
5708.19 7337.42
6034.99 7760.05
6265.58 8058.81
5856.57 7532.57
5706.99 7341.25
5811.6 7477.06
5152.62 6626.92
4233.55 5441.36
3891.99 4999.52
12/31/08 3961.65 5091.02
</Table>
(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.
8
(semi-annual report LOGO)
SPDR DJ Wilshire Large Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION PROCTER & GAMBLE CO. JOHNSON & JOHNSON MICROSOFT CORP. WAL-MART STORES, INC.
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,046,367 6,432,742 5,918,488 5,264,258
-----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.3% 3.9 3.6 3.2
-----------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
DESCRIPTION CISCO SYSTEMS, INC.
-----------------------------------------------
MARKET VALUE 3,692,472
-----------------------------------------------
% OF NET ASSETS 2.2
-----------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Software 7.0%
Food & Staples Retailing 5.6
Household Products 5.4
Pharmaceuticals 5.2
Biotechnology 5.1
Computers & Peripherals 5.1
Media 5.0
Communications Equipment 4.5
Oil, Gas & Consumable Fuels 4.3
Health Care Equipment &
Supplies 4.1
Health Care Providers &
Services 3.8
Specialty Retail 3.4
Energy Equipment & Services 3.2
IT Services 3.0
Machinery 3.0
Aerospace & Defense 2.8
Internet Software & Services 2.5
Beverages 2.3
Semiconductors & Semiconductor
Equipment 2.3
Chemicals 1.9
Capital Markets 1.3
Electrical Equipment 1.2
Metals & Mining 1.2
Hotels, Restaurants & Leisure 1.1
Multiline Retail 1.1
Insurance 1.0
Diversified Financial Services 0.9
Electronic Equipment,
Instruments & Components 0.9
Life Sciences Tools & Services 0.9
Air Freight & Logistics 0.8
Commercial Services & Supplies 0.8
Road & Rail 0.8
Wireless Telecommunication
Services 0.7
Construction & Engineering 0.6
Consumer Finance 0.6
Diversified Consumer Services 0.6
Food Products 0.5
Independent Power Producers &
Energy Traders 0.5
Internet & Catalog Retail 0.5
Textiles, Apparel & Luxury
Goods 0.5
Professional Services 0.4
Real Estate Investment Trusts 0.4
Containers & Packaging 0.3
Gas Utilities 0.3
Multi-Utilities 0.3
Personal Products 0.3
Airlines 0.2
Household Durables 0.2
Office Electronics 0.2
Thrifts & Mortgage Finance 0.2
Auto Components 0.1
Automobiles 0.1
Construction Materials 0.1
Diversified Telecommunication
Services 0.1
Electric Utilities 0.1
Health Care Technology 0.1
Industrial Conglomerates 0.1
Real Estate Management &
Development 0.1
Trading Companies &
Distributors 0.1
Short Term Investments 18.1
Other Assets & Liabilities (17.8)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
9
(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.SPDRS.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, 2008
IS 0.20%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -25.36% -25.33% -25.50%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.49% -36.44% -36.62%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -21.49% -21.57% -21.34%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -6.32% -6.29% -5.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -3.86% -3.92% 5.56%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE LARGE CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.49% -36.44% -36.62%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -7.75% -7.78% -7.69%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -1.30% -1.29% -1.14%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -0.48% -0.48% 0.71%
----------------------------------------------------------------------------------------------------
(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, 2008.
10
(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)(1) INDEX(B)
-------------- --------------
9/25/2000 10000 10000
10175 10180.1
10518.9 10484.9
10244.4 10157.9
12/31/00 10591.7 10613.3
10512.2 10616.2
10166.4 10297.2
9811.56 9937.83
10243.6 10386.5
10444.4 10589.3
10127.9 10304.7
10231.2 10458.9
9422.18 10071.2
9802.52 9439.81
9313.82 9342.5
9791.62 9853.49
12/31/01 9924.79 10041.1
9673.69 10048.3
9660.15 10190.2
10079.4 10602.1
9501.85 10295.5
9569.31 10350.4
8881.28 9704.9
8293.34 8854.51
8333.98 8873.9
7418.07 7939.61
8096.08 8437.61
8538.13 8948
12/31/02 8175.26 8563.26
7974.97 8338.13
7710.2 8145.67
7725.62 8119.9
8451.05 8785.13
8948.82 9441.01
9135.85 9550.19
9144.16 9700.87
9185.13 9917.3
9151.7 9793.3
9525.09 10446.9
9569.85 10575.7
12/31/03 10262.7 11179.4
10473.1 11335.7
10637.5 11544.3
10428 11399.8
10265.3 11148.7
10316.6 11283.2
10556 11519.7
10449.3 11242.2
10610.3 11347.8
10689.8 11485.4
10833.1 11741.3
11239.3 12255
12/31/04 11608 12693.7
11345.6 12423.8
11707.7 12845.6
11518.1 12654.6
11419.1 12534.2
11576.7 12835.4
11656.5 12858.5
11900.2 13218.5
11852.6 13097.3
12031.5 13207.9
11786.1 12913.6
12210.4 13381
12/31/05 12244.6 13419.7
12555.6 13763.4
12686.2 13909.1
12843.5 14086.2
13151.7 14427.1
12834.8 14080.8
12913 14168.6
13220 14509.1
13501.5 14822
13830.1 15187
14264.9 15668.5
14554.2 15991.1
12/31/06 14880.9 16353.9
15058.5 16550.4
14778.1 16243.5
15012 16505.3
15645.7 17206.6
16196.2 17816.8
15870 17457.8
15213.8 16736.1
15451.9 17002.2
15981.8 17589.8
16014.5 17627.4
15309.7 16851.1
12/31/07 15134.3 16655.4
14509.2 15967.5
13841.9 15231.4
13781.5 15167.5
14367.2 15815.1
14293.2 15734.5
12878.4 14167.3
12944.8 14241
13041.1 14347.8
12187 13396.5
10228.4 11235.7
9537.3 10470.5
12/31/08 9614 10556
</Table>
(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.
11
(semi-annual report LOGO)
SPDR DJ Wilshire Large Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. AT&T, INC. GENERAL ELECTRIC CO. CHEVRON CORP. PFIZER, INC.
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,631,729 4,018,300 3,838,217 3,565,502 2,832,945
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.5% 4.0 3.8 3.5 2.8
---------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 18.7%
Pharmaceuticals 9.4
Insurance 7.3
Diversified Telecommunication
Services 6.6
Commercial Banks 5.6
Diversified Financial Services 5.3
Industrial Conglomerates 5.0
Electric Utilities 4.5
Tobacco 3.4
Capital Markets 3.2
Computers & Peripherals 2.8
Food Products 2.8
Multi-Utilities 2.7
Beverages 2.6
Real Estate Investment Trusts 2.4
Aerospace & Defense 2.1
Hotels, Restaurants & Leisure 1.9
Semiconductors & Semiconductor
Equipment 1.9
Chemicals 1.8
Road & Rail 1.2
Air Freight & Logistics 0.8
Food & Staples Retailing 0.7
Household Durables 0.6
Commercial Services & Supplies 0.5
Household Products 0.5
Machinery 0.5
Consumer Finance 0.4
Metals & Mining 0.4
Auto Components 0.3
Health Care Providers &
Services 0.3
Leisure Equipment & Products 0.3
Media 0.3
Paper & Forest Products 0.3
Airlines 0.2
Automobiles 0.2
Containers & Packaging 0.2
IT Services 0.2
Multiline Retail 0.2
Specialty Retail 0.2
Thrifts & Mortgage Finance 0.2
Building Products 0.1
Construction Materials 0.1
Construction & Engineering 0.1
Distributors 0.1
Electrical Equipment 0.1
Gas Utilities 0.1
Health Care Equipment &
Supplies 0.1
Independent Power Producers &
Energy Traders 0.1
Software 0.1
Trading Companies &
Distributors 0.1
Textiles, Apparel & Luxury
Goods 0.1
Wireless Telecommunication
Services 0.1
Electronic Equipment,
Instruments & Components 0.0**
Real Estate Management &
Development 0.0**
Water Utilities 0.0**
Short Term Investments 16.1
Other Assets & Liabilities (15.8)
------------------------------------------------
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 net assets.
12
(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.SPDRS.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, 2008 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -34.46% -34.62% -34.60%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.73% -38.98% -38.86%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -26.72% -27.15% -26.73%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -23.52% -23.65% -23.50%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.73% -38.98% -38.86%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -9.85% -10.02% -9.85%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -8.17% -8.22% -8.11%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
13
(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(A) CAP INDEX(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 12484.60 12513.20
11860.70 11888.80
11605.70 11633.20
11345.70 11372.60
12044.20 12074.30
12591.00 12623.70
11671.00 11697.10
11538.00 11566.10
11729.60 11759.30
10308.40 10325.80
8106.74 8114.01
7278.64 7276.64
12/31/08 7648.00 7650.00
</Table>
14
(semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------------------
DESCRIPTION DELTA AIR THE J.M. VERTEX CINCINNATI
LINES, INC. SMUCKER CO. SUNOCO, INC. PHARMACEUTICALS, INC. FINANCIAL CORP.
-------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $164,382 116,335 116,169 103,960 100,408
-------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.8% 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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Insurance 7.0%
Real Estate Investment Trusts 5.9
Oil, Gas & Consumable Fuels 5.6
Commercial Banks 4.3
IT Services 3.4
Multi-Utilities 3.3
Machinery 3.2
Software 2.8
Household Durables 2.7
Chemicals 2.6
Containers & Packaging 2.6
Specialty Retail 2.6
Health Care Equipment & Supplies 2.5
Electronic Equipment, Instruments & Components 2.4
Electric Utilities 2.3
Biotechnology 2.2
Food Products 2.2
Capital Markets 2.1
Energy Equipment & Services 2.0
Gas Utilities 2.0
Semiconductors & Semiconductor Equipment 2.0
Pharmaceuticals 1.9
Health Care Providers & Services 1.9
Media 1.7
Professional Services 1.7
Hotels, Restaurants & Leisure 1.6
Life Sciences Tools & Services 1.6
Commercial Services & Supplies 1.5
Diversified Consumer Services 1.5
Computers & Peripherals 1.4
Construction & Engineering 1.3
Road & Rail 1.2
Airlines 1.1
Aerospace & Defense 1.0
Electrical Equipment 1.0
Communications Equipment 0.9
Metals & Mining 0.9
Multiline Retail 0.9
Beverages 0.8
Diversified Telecommunication Services 0.8
Household Products 0.8
Wireless Telecommunication Services 0.8
Health Care Technology 0.7
Auto Components 0.6
Building Products 0.5
Internet Software & Services 0.5
Personal Products 0.5
Construction Materials 0.4
Food & Staples Retailing 0.4
Real Estate Management & Development 0.4
Thrifts & Mortgage Finance 0.4
Textiles, Apparel & Luxury Goods 0.4
Water Utilities 0.4
Diversified Financial Services 0.3
Internet & Catalog Retail 0.3
Marine 0.3
Paper & Forest Products 0.3
Trading Companies & Distributors 0.3
Distributors 0.2
Industrial Conglomerates 0.2
Independent Power Producers & Energy Traders 0.2
Leisure Equipment & Products 0.2
Office Electronics 0.1
Consumer Finance 0.0**
Short Term Investments 26.1
Other Assets & Liabilities (25.7)
-------------------------------------------------------------------
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.
15
(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.SPDRS.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, 2008
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -38.72% -38.85% -38.80%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -41.55% -41.83% -41.64%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -27.75% -27.87% -27.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -24.59% -24.73% -24.37%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -41.55% -41.83% -41.64%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -10.27% -10.32% -10.20%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -8.58% -8.63% -8.44%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
16
(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 12901.30 12964.80
12126.30 12186.90
11946.80 12005.30
11625.50 11682.40
12395.00 12456.90
13059.30 13123.40
12305.80 12362.20
11974.30 12032.10
12097.60 12156.10
10332.60 10374.00
7988.22 8014.94
7144.35 7165.36
12/31/08 7541.00 7563.00
</Table>
17
(semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION AFFILIATED
VERTEX COMPUTER SERVICES, INC.
SUNOCO, INC. PHARMACEUTICALS, INC. W.R. BERKLEY CORP. (CLASS A)
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $288,922 256,316 244,838 241,467
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.1% 1.0 0.9 0.9
--------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
DESCRIPTION
O'REILLY
AUTOMOTIVE, INC.
-----------------------------------------------
MARKET VALUE 232,640
-----------------------------------------------
% OF NET ASSETS 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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
IT Services 5.8%
Oil, Gas & Consumable Fuels 5.7
Biotechnology 4.1
Specialty Retail 4.1
Electronic Equipment, Instruments & Components 3.8
Health Care Equipment & Supplies 3.7
Machinery 3.7
Semiconductors & Semiconductor Equipment 3.7
Software 3.5
Energy Equipment & Services 3.4
Health Care Providers & Services 3.0
Life Sciences Tools & Services 3.0
Commercial Services & Supplies 2.7
Containers & Packaging 2.7
Hotels, Restaurants & Leisure 2.7
Professional Services 2.7
Diversified Consumer Services 2.6
Pharmaceuticals 2.3
Capital Markets 2.2
Chemicals 2.0
Computers & Peripherals 1.8
Media 1.7
Aerospace & Defense 1.6
Household Products 1.5
Multiline Retail 1.5
Real Estate Investment Trusts 1.5
Wireless Telecommunication Services 1.5
Communications Equipment 1.4
Insurance 1.4
Beverages 1.3
Construction & Engineering 1.3
Health Care Technology 1.3
Household Durables 1.3
Road & Rail 1.2
Food Products 1.0
Gas Utilities 1.0
Internet Software & Services 0.9
Metals & Mining 0.9
Auto Components 0.8
Construction Materials 0.8
Electrical Equipment 0.7
Food & Staples Retailing 0.7
Airlines 0.6
Internet & Catalog Retail 0.6
Electric Utilities 0.5
Personal Products 0.5
Textiles, Apparel & Luxury Goods 0.4
Distributors 0.3
Diversified Financial Services 0.3
Diversified Telecommunication Services 0.3
Independent Power Producers & Energy Traders 0.3
Marine 0.3
Office Electronics 0.3
Thrifts & Mortgage Finance 0.3
Trading Companies & Distributors 0.3
Real Estate Management & Development 0.2
Industrial Conglomerates 0.1
Short Term Investments 27.8
Other Assets & Liabilities (27.6)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
18
(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.SPDRS.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, 2008
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -27.85% -28.01% -28.02%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -34.64% -34.90% -34.80%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -25.71% -25.79% -25.53%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -22.46% -22.59% -22.26%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE MID CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -34.64% -34.90% -34.80%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -9.43% -9.47% -9.36%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -7.76% -7.81% -7.64%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
19
(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 GROWTH CAP GROWTH
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 11864.50 11923.90
11444.50 11503.00
11090.90 11147.50
10911.30 10968.00
11509.30 11571.30
11892.50 11960.10
10748.50 10801.10
10892.10 10945.90
11178.00 11237.00
10258.70 10303.20
8228.32 8255.98
7414.04 7429.56
12/31/08 7754.57 7774.00
</Table>
20
(semi-annual report LOGO)
SPDR DJ Wilshire Mid Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION CINCINNATI
DELTA AIR LINES, INC. THE J.M. SMUCKER CO. FINANCIAL CORP. HEALTH CARE REIT, INC.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $187,520 132,855 114,710 113,434
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS...... 1.8% 1.2 1.1 1.1
------------------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION
PARTNERRE, LTD.
----------------------------------------------
MARKET VALUE 101,987
----------------------------------------------
% OF NET ASSETS...... 1.0
----------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Insurance 13.5%
Real Estate Investment Trusts 11.0
Commercial Banks 9.3
Multi-Utilities 7.1
Oil, Gas & Consumable Fuels 5.4
Electric Utilities 4.5
Household Durables 4.3
Food Products 3.6
Chemicals 3.3
Gas Utilities 3.2
Machinery 2.6
Containers & Packaging 2.5
Capital Markets 1.9
Software 1.9
Airlines 1.8
Media 1.7
Diversified Telecommunication
Services 1.3
Electrical Equipment 1.3
Pharmaceuticals 1.3
Construction & Engineering 1.2
Health Care Equipment &
Supplies 1.2
Road & Rail 1.2
Building Products 1.0
Computers & Peripherals 1.0
Water Utilities 1.0
Metals & Mining 0.9
Specialty Retail 0.9
Electronic Equipment,
Instruments & Components 0.7
IT Services 0.7
Health Care Providers &
Services 0.6
Paper & Forest Products 0.6
Real Estate Management &
Development 0.6
Thrifts & Mortgage Finance 0.6
Energy Equipment & Services 0.5
Personal Products 0.5
Professional Services 0.5
Textiles, Apparel & Luxury
Goods 0.5
Aerospace & Defense 0.4
Communications Equipment 0.4
Diversified Financial Services 0.4
Leisure Equipment & Products 0.4
Marine 0.4
Auto Components 0.3
Beverages 0.3
Diversified Consumer Services 0.3
Industrial Conglomerates 0.3
Multiline Retail 0.3
Trading Companies &
Distributors 0.3
Hotels, Restaurants & Leisure 0.2
Consumer Finance 0.0**
Short Term Investments 22.5
Other Assets & Liabilities (22.2)
------------------------------------------------
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.
21
(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.SPDRS.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
SHARE. 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, 2008 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -31.11% -31.45% -31.34%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.47% -37.88% -37.76%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -25.87% -26.09% -25.81%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -23.20% -23.52% -23.09%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.47% -37.88% -37.76%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -9.50% -9.59% -9.47%
----------------------------------------------------------------------------------------------------
-7.96%
SINCE INCEPTION (1) -8.05% -8.17%
(1) For the period November 8, 2005 to December 31, 2008.
22
(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
WILSHIRE MID DOW JONES
CAP GROWTH WILSHIRE SMALL
ETF(A) CAP INDEX(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 12285.30 12358.80
11540.20 11609.80
11227.50 11292.90
11101.80 11166.40
11647.80 11712.40
12167.30 12232.50
11151.80 11202.50
11278.80 11330.20
11649.20 11704.10
10500.70 10537.20
8264.40 8284.34
7294.32 7305.13
12/31/08 7680.00 7691.57
</Table>
23
(semi-annual report LOGO)
SPDR DJ Wilshire Small Cap ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------
DESCRIPTION THE J.M. RALCORP MYRIAD EDWARDS HCC INSURANCE
SMUCKER CO. HOLDINGS, INC. GENETICS, INC. LIFESCIENCES CORP. HOLDINGS, INC.
--------------------------------------------------------------------------------------------------------
MARKET VALUE $83,034 54,137 50,822 50,169 49,675
--------------------------------------------------------------------------------------------------------
% 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Commercial Banks 7.6%
Real Estate Investment Trusts 5.9
Insurance 5.6
Oil, Gas & Consumable Fuels 5.3
Health Care Equipment &
Supplies 3.8
Software 3.4
Machinery 3.4
Health Care Providers &
Services 3.0
Biotechnology 2.8
Semiconductors & Semiconductor
Equipment 2.7
Hotels, Restaurants & Leisure 2.5
Specialty Retail 2.5
Communications Equipment 2.3
Food Products 2.2
Commercial Services & Supplies 2.1
Gas Utilities 2.1
Chemicals 2.0
Electric Utilities 1.9
Energy Equipment & Services 1.9
IT Services 1.7
Capital Markets 1.6
Electrical Equipment 1.6
Thrifts & Mortgage Finance 1.6
Aerospace & Defense 1.5
Diversified Consumer Services 1.5
Electronic Equipment,
Instruments & Components 1.5
Internet Software & Services 1.5
Household Durables 1.4
Pharmaceuticals 1.4
Media 1.3
Textiles, Apparel & Luxury
Goods 1.3
Metals & Mining 1.2
Professional Services 1.2
Life Sciences Tools & Services 1.1
Airlines 0.9
Food & Staples Retailing 0.9
Multi-Utilities 0.9
Road & Rail 0.9
Building Products 0.8
Computers & Peripherals 0.8
Construction & Engineering 0.8
Containers & Packaging 0.8
Trading Companies &
Distributors 0.8
Diversified Telecommunication
Services 0.7
Personal Products 0.7
Diversified Financial Services 0.5
Auto Components 0.4
Consumer Finance 0.4
Health Care Technology 0.4
Industrial Conglomerates 0.4
Leisure Equipment & Products 0.4
Marine 0.4
Real Estate Management &
Development 0.4
Water Utilities 0.4
Air Freight & Logistics 0.3
Internet & Catalog Retail 0.3
Multiline Retail 0.3
Beverages 0.2
Construction Materials 0.2
Distributors 0.2
Paper & Forest Products 0.2
Wireless Telecommunication
Services 0.2
Automobiles 0.1
Household Products 0.1
Independent Power Producers &
Energy Traders 0.1
Office Electronics 0.1
Tobacco 0.1
Transportation Infrastructure 0.0**
Short Term Investments 27.7
Other Assets & Liabilities (27.2)
------------------------------------------------
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.
24
(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.SPDRS.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
SHARE. 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, 2008
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -36.24% -36.35% -36.45%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -41.00% -41.21% -41.26%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -27.83% -27.99% -27.78%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -9.62% -9.79% -5.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -40.31% -40.36% -26.88%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP GROWTH INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -41.00% -41.21% -41.26%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -10.30% -10.37% -10.28%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -2.00% -2.04% -1.17%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) -6.05% -6.06% -4.00%
----------------------------------------------------------------------------------------------------
(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, 2008.
25
(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)(1) INDEX(B)
-------------- --------------
9/25/2000 10000 10000
9988 9993.49
9320.8 9132.37
7567.56 7350.12
12/31/00 8019.34 7811.6
8628.81 8417.15
7390.58 7156.71
6585 6388.19
7498.6 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
6808.9 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
5396.4 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
5252.9 6087.49
5341.15 6265.8
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
7307.6 8910.71
12/31/04 7607.21 9230.49
7401.13 8924.89
7575.58 9122.59
7393 8898.92
7086.2 8450.17
7478.06 9027.35
7645.57 9317.72
8105.83 9861.1
8013.43 9755.03
8054.3 9877.99
7802.2 9545.18
8228.98 10069.7
12/31/05 8270.94 10123.7
8952.47 10961.8
8926.51 10930.8
9414.79 11535.1
9430.79 11559.6
8824.39 10818.7
8792.63 10780
8389.57 10289.4
8583.62 10531.6
8642.51 10608.5
9139.54 11223.8
9420.85 11573.2
12/31/06 9375.91 11519.3
9650.53 11859.9
9663.66 11877.2
9808.32 12058.3
10105.4 12427.8
10598.3 13037.7
10518.1 12942
10036.5 12352.9
10168.9 12518.5
10479.2 12902.7
10860.8 13372.2
10102 12440.4
12/31/07 10115.4 12447.1
9262.86 11397.8
9048.06 11128.8
8903.29 10950.7
9413.18 11576
9940.51 12220.8
9360.97 11503.4
9324.47 11455.1
9572.22 11762.1
8337.59 10240.1
6435.7 7900.23
5631.82 6904.01
12/31/08 5969 7312
</Table>
(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.
26
(semi-annual report LOGO)
SPDR DJ Wilshire Small Cap Growth ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------
DESCRIPTION EDWARDS STRAYER MYRIAD WASTE
LIFESCIENCES CORP. EDUCATION, INC. GENETICS, INC. RESMED, INC. CONNECTIONS, INC.
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $461,085 459,052 458,254 422,100 377,167
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 0.6% 0.6 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Health Care Equipment &
Supplies 6.1%
Software 5.9
Biotechnology 5.5
Semiconductors & Semiconductor
Equipment 5.1
Oil, Gas & Consumable Fuels 5.1
Health Care Providers &
Services 4.7
Communications Equipment 3.9
Hotels, Restaurants & Leisure 3.3
Machinery 3.3
Commercial Services & Supplies 3.1
IT Services 3.1
Energy Equipment & Services 3.0
Specialty Retail 3.0
Internet Software & Services 2.9
Diversified Consumer Services 2.7
Aerospace & Defense 2.2
Electronic Equipment,
Instruments & Components 2.1
Life Sciences Tools & Services 2.0
Real Estate Investment Trusts 1.8
Airlines 1.7
Pharmaceuticals 1.7
Capital Markets 1.6
Media 1.6
Professional Services 1.6
Electrical Equipment 1.5
Textiles, Apparel & Luxury
Goods 1.4
Commercial Banks 1.2
Road & Rail 1.2
Chemicals 1.1
Computers & Peripherals 1.0
Construction & Engineering 1.0
Personal Products 1.0
Diversified Telecommunication
Services 0.9
Food & Staples Retailing 0.9
Trading Companies &
Distributors 0.9
Food Products 0.8
Metals & Mining 0.8
Air Freight & Logistics 0.7
Consumer Finance 0.7
Health Care Technology 0.7
Internet & Catalog Retail 0.7
Household Durables 0.5
Thrifts & Mortgage Finance 0.5
Auto Components 0.4
Building Products 0.4
Diversified Financial Services 0.4
Electric Utilities 0.4
Marine 0.4
Distributors 0.3
Insurance 0.3
Office Electronics 0.3
Wireless Telecommunication
Services 0.3
Beverages 0.2
Construction Materials 0.2
Industrial Conglomerates 0.2
Leisure Equipment & Products 0.2
Multiline Retail 0.2
Automobiles 0.1
Containers & Packaging 0.1
Gas Utilities 0.1
Independent Power Producers &
Energy Traders 0.1
Real Estate Management &
Development 0.1
Short Term Investments 23.5
Other Assets & Liabilities (22.7)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
27
(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.SPDRS.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
SHARE. 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, 2008
IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -25.30% -25.60% -25.61%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -33.58% -33.95% -33.92%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -23.88% -24.03% -23.96%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -4.92% -5.31% -4.23%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 71.85% 71.32% 55.08%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES WILSHIRE
VALUE VALUE SMALL CAP VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -33.58% -33.95% -33.92%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -8.69% -8.76% -8.72%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 (1) -1.01% -1.09% -0.86%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1), (2) 6.77% 6.73% 5.46%
----------------------------------------------------------------------------------------------------
(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, 2008.
28
(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>
SPDR DJ DOW JONES
WILSHIRE SMALL WILSHIRE SMALL
CAP VALUE CAP VALUE
ETF(A) INDEX(B)
-------------- --------------
9/25/2000 10000 10000
10194.7 10153.9
10249.1 10065.4
10233.7 9699.17
12/31/00 11575.1 10713.6
11598.9 10990.3
11740.2 10890.2
11449.2 10568.9
11964.5 11122.3
12425.5 11480.2
12668.7 11766.1
12790.3 11637.4
12735.3 11548.1
11503.8 10323.8
11667.2 10664.3
12417.4 11431
12/31/01 13002.2 12076.7
13228.5 12127.2
13527.4 12177.7
14477 13097.2
14872.3 13373.8
14597.1 12965.3
14131.5 12517.3
12872.4 11090.5
13077 11175.1
12165.6 10463.6
12237.3 10575.7
12781.9 11356.4
12/31/02 12649 11025.9
12261.9 10733
11897.8 10454.9
11929.9 10520.2
13171.8 11569.4
14423.1 12624.2
14636.5 12838.6
15174.3 13455.2
15641.8 13970.9
15393 13865.6
16572.1 14943.6
17291.3 15559.9
12/31/03 18076.3 16192.1
18647.5 16727.7
19190.2 17001.3
19359 17190.9
18067.8 16233.6
18405.7 16538.4
19158.4 17336.3
18145 16521
18342.7 16633.6
18982.9 17151.8
19318.9 17447.6
20775.6 18831.2
12/31/04 21319.9 19366.5
20252.6 18576.5
20617.9 18951.2
20255.5 18549.2
19202.2 17689.8
20362 18644.1
21074.7 19352.8
22444.5 20565.3
22260.5 20185.1
22302.8 20221.5
21671.6 19575.8
22642.5 20459
12/31/05 22572.3 20393.5
24254 21921
24217.6 21892.3
25125.7 22721.4
25211.2 22803.6
24343.9 22020.5
24587.3 22247.3
24135.7 21845.3
24714.2 22374.5
24859 22508.2
26037.8 23584.6
26897.1 24371
12/31/06 27010.9 24480.4
27590.3 25015.2
27556 24989.1
27798.8 25206.2
28420.7 25778
29574.3 26831.9
28934 26241.6
26978.9 24468.3
27321 24784.1
27625.6 25064
27963.5 25376.6
26221.1 23793.3
12/31/07 25880.2 23468.8
24995.1 22666.2
24215.3 21956.8
24070 21827.2
25052 22713.4
25871.2 23458.4
23012.4 20847.5
23679.3 21452.1
24623.4 22308
23004.2 20802.2
18439.3 16650.1
16420.7 14803.6
12/31/08 17185 15508
</Table>
(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.
29
(semi-annual report LOGO)
SPDR DJ Wilshire Small Cap Value ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
------------------------------------------------------------------------------------------------------
DESCRIPTION THE J.M. RALCORP HCC INSURANCE NATIONWIDE HEALTH CULLEN/FROST
SMUCKER CO. HOLDINGS, INC. HOLDINGS, INC. PROPERTIES, INC. BANKERS, INC.
------------------------------------------------------------------------------------------------------
MARKET VALUE $629,674 402,142 378,726 350,815 349,895
------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.0% 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Commercial Banks 13.6%
Insurance 10.4
Real Estate Investment Trusts 9.8
Oil, Gas & Consumable Fuels 5.5
Gas Utilities 3.9
Food Products 3.5
Machinery 3.5
Electric Utilities 3.3
Chemicals 2.9
Thrifts & Mortgage Finance 2.5
Household Durables 2.3
Specialty Retail 2.1
Hotels, Restaurants & Leisure 1.8
Electrical Equipment 1.7
Health Care Equipment &
Supplies 1.7
Multi-Utilities 1.6
Capital Markets 1.6
Metals & Mining 1.5
Containers & Packaging 1.4
Health Care Providers &
Services 1.4
Commercial Services & Supplies 1.2
Textiles, Apparel & Luxury
Goods 1.2
Building Products 1.1
Media 1.1
Pharmaceuticals 1.1
Software 1.0
Electronic Equipment,
Instruments & Components 0.9
Energy Equipment & Services 0.9
Food & Staples Retailing 0.9
Water Utilities 0.9
Aerospace & Defense 0.8
Professional Services 0.8
Trading Companies &
Distributors 0.8
Communications Equipment 0.7
Computers & Peripherals 0.7
Construction & Engineering 0.7
Real Estate Management &
Development 0.7
Road & Rail 0.6
Diversified Consumer Services 0.5
Diversified Financial Services 0.5
Diversified Telecommunication
Services 0.5
Industrial Conglomerates 0.5
IT Services 0.5
Leisure Equipment & Products 0.5
Personal Products 0.5
Semiconductors & Semiconductor
Equipment 0.5
Marine 0.4
Multiline Retail 0.4
Paper & Forest Products 0.4
Auto Components 0.3
Beverages 0.3
Life Sciences Tools & Services 0.3
Tobacco 0.3
Airlines 0.2
Biotechnology 0.2
Construction Materials 0.2
Household Products 0.2
Consumer Finance 0.1
Internet Software & Services 0.1
Wireless Telecommunication
Services 0.1
Automobiles 0.0**
Distributors 0.0**
Transportation Infrastructure 0.0**
Short Term Investments 26.6
Other Assets & Liabilities (26.2)
------------------------------------------------
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.
30
(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.spdrs.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 share. The total expense ratio
for SPDR DJ Global Titans ETF as stated in the Fees and Expenses table of the
prospectus dated October 31, 2008 is 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL
VALUE VALUE TITANS 50 INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -27.71% -27.82% -27.82%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.73% -37.85% -37.86%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -20.93% -21.26% -20.45%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 -12.69% -12.83% -11.09%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -33.40% -33.59% -30.86%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES GLOBAL
VALUE VALUE TITANS 50 INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -37.73% -37.85% -37.86%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -7.53% -7.66% -7.34%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 -2.68% -2.71% -2.32%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -4.80% -4.83% -4.33%
----------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2008.
31
(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>
SPDR DJ DOW JONES
GLOBAL TITANS GLOBAL TITANS
ETF(A) 50 INDEX(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 10694.00 11124.60
10000.10 10402.60
9687.17 10071.80
9704.61 10089.90
10096.60 10507.60
9976.43 10373.10
9213.23 9578.56
9101.47 9457.87
8990.53 9341.54
8304.10 8625.04
7000.11 7270.05
6585.49 6840.39
12/31/08 6660.00 6914.00
</Table>
32
(semi-annual report LOGO)
SPDR DJ Global Titans ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------
DESCRIPTION EXXON MOBIL CORP. PROCTER & GAMBLE CO. AT&T, INC. JOHNSON & JOHNSON
----------------------------------------------------------------------------------------------------------
MARKET VALUE $7,104,471 3,200,112 2,958,841 2,922,875
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.1% 3.6 3.4 3.3
----------------------------------------------------------------------------------------------------------
---------------------------------------------------
DESCRIPTION GENERAL ELECTRIC CO.
---------------------------------------------------
MARKET VALUE 2,828,455
---------------------------------------------------
% OF NET ASSETS 3.2
---------------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil, Gas & Consumable Fuels 21.3%
Pharmaceuticals 15.3
Diversified Telecommunication
Services 8.2
Commercial Banks 6.0
Computers & Peripherals 5.6
Diversified Financial Services 4.8
Industrial Conglomerates 4.5
Software 4.4
Beverages 3.6
Household Products 3.6
Communications Equipment 3.1
Food Products 3.0
Food & Staples Retailing 2.7
Semiconductors & Semiconductor
Equipment 2.5
Wireless Telecommunication
Services 2.1
Automobiles 1.9
Metals & Mining 1.9
Tobacco 1.7
Electric Utilities 1.5
Energy Equipment & Services 1.0
Insurance 1.0
Short Term Investments 15.2
Other Assets & Liabilities (14.9)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
33
(semi-annual report LOGO)
SPDR 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.SPDRS.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 REIT ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.25%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES
VALUE VALUE WILSHIRE REIT INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -36.76% -36.72% -37.08%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.94% -38.72% -39.20%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -31.90% -31.78% -31.84%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 2.70% 2.81% 3.31%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 63.24% 63.46% 65.98%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DOW JONES
VALUE VALUE WILSHIRE REIT INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.94% -38.72% -39.20%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -12.02% -11.97% -11.99%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 0.53% 0.56% 0.65%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 6.58% 6.60% 6.76%
----------------------------------------------------------------------------------------------------
(1) For the period April 23, 2001 to December 31, 2008.
34
(semi-annual report LOGO)
SPDR DJ Wilshire REIT ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DJ WILSHIRE REIT ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR DJ DOW JONES
WILSHIRE REIT WILSHIRE REIT
ETF (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
18211.50 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
33665.30 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 26733.90 27297.40
26594.90 27166.40
25590.40 26142.20
27274.30 27880.70
28939.90 29598.10
29000.70 29663.20
25813.50 26376.60
26557.70 27138.80
27155.20 27754.90
27068.90 27638.30
18343.00 18689.00
13870.80 14100.90
12/31/08 16324.00 16598.00
</Table>
35
(semi-annual report LOGO)
SPDR DJ Wilshire REIT ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------
DESCRIPTION SIMON PROPERTY VORNADO
GROUP, INC. PUBLIC STORAGE REALTY TRUST EQUITY RESIDENTIAL HCP, INC.
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $85,393,458 73,530,424 62,480,174 58,157,320 50,482,139
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 7.9% 6.8 5.8 5.4 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 company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Specialized REITs 28.1%
Retail REITs 22.4
Residential REITs 17.6
Office REITs 16.4
Diversified REITs 9.0
Industrial REITs 5.6
Short Term Investments 26.6
Other Assets & Liabilities (25.7)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
36
(semi-annual report LOGO)
SPDR 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.SPDRS.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 KBW BANK ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE BANK INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -21.79% -21.69% -21.93%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -47.39% -47.31% -47.55%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -52.08% -52.03% -52.01%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -50.26% -50.21% -50.15%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE BANK INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -47.39% -47.31% -47.55%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -21.74% -21.72% -21.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -19.90% -19.87% -19.74%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
37
(semi-annual report LOGO)
SPDR KBW Bank ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR KBW BANK ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW BANK
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 9455.03 9503.75
10105.20 10160.50
8824.02 8870.09
8523.12 8569.39
8959.51 9010.71
8247.32 8294.36
6359.75 6383.34
7264.36 7294.88
7278.68 7308.01
7494.63 7522.14
6506.24 6525.45
5348.13 5358.05
12/31/08 4974.19 4985.00
</Table>
38
(semi-annual report LOGO)
SPDR KBW Bank ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------
DESCRIPTION WELLS FARGO & CO. JPMORGAN CHASE & CO. U.S. BANCORP. BANK OF AMERICA CORP.
-----------------------------------------------------------------------------------------------------------------
MARKET VALUE $82,957,604 72,134,523 68,456,647 67,925,172
-----------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.2% 8.0 7.6 7.5
-----------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION CITIGROUP, INC.
----------------------------------------------
MARKET VALUE 56,807,867
----------------------------------------------
% OF NET ASSETS 6.3
----------------------------------------------
(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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Regional Banks 38.1%
Other Diversified Financial
Services 21.8
Diversified Banks 20.0
Capital Markets 11.6
Consumer Finance 4.2
Thrifts & Mortgage Finance 3.8
Short Term Investments 14.9
Other Assets & Liabilities (14.4)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
39
[semi-annual report LOGO]
SPDR 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.SPDRS.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 KBW CAPITAL MARKETS ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW CAPITAL
VALUE VALUE MARKETS INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -41.24% -41.36% -41.31%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -60.27% -60.44% -60.32%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -48.48% -48.54% -48.17%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -46.98% -47.05% -46.62%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW CAPITAL
VALUE VALUE MARKETS INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -60.27% -60.44% -60.32%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -19.84% -19.87% -19.67%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -18.25% -18.29% -17.98%
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
40
(semi-annual report LOGO)
SPDR KBW Capital Markets ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR KBW CAPITAL MARKETS ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW CAPITAL
CAPITAL MARKETS MARKETS INDEX
ETF (A) (B)
--------------- -------------
11/8/05 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 12285.80
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 13348.10 13448.60
12334.00 12429.20
10880.20 10963.80
9986.07 10063.60
10859.60 10947.20
10359.30 10443.70
9024.98 9094.34
9224.53 9298.05
9157.74 9232.96
7966.50 8031.76
6113.49 6157.14
5187.73 5220.03
12/31/08 5302.89 5338.00
</Table>
41
(semi-annual report LOGO)
SPDR KBW Capital Markets ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION THE GOLDMAN THE CHARLES
SACHS GROUP, INC STATE STREET CORP. CME GROUP, INC SCHWAB CORP. MORGAN STANLEY
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,735,313 4,536,558 4,437,113 4,352,058 4,204,549
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.5% 7.5 7.3 7.2 6.9
-----------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Investment Banking & Brokerage 53.3%
Asset Management & Custody Banks 25.7
Specialized Finance 20.6
Short Term Investments 20.7
Other Assets & Liabilities (20.3)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
42
(semi-annual report LOGO)
SPDR 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.SPDRS.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 KBW INSURANCE ETF AS STATED IN THE
FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE INSURANCE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -31.91% -31.82% -31.80%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -46.80% -46.74% -46.70%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -44.78% -45.01% -44.29%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -44.27% -44.26% -43.74%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW
VALUE VALUE INSURANCE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -46.80% -46.74% -46.70%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -17.96% -18.07% -17.72%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -16.95% -16.95% -16.61%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
43
(semi-annual report LOGO)
SPDR KBW Insurance ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR KBW INSURANCE ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW
INSURANCE ETF KBW INSURANCE
(A) INDEX (B)
------------- -------------
11/8/2005 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 10474.10 10553.60
9913.71 9991.08
9273.78 9346.66
9187.54 9261.60
9651.51 9733.02
9529.22 9611.36
8183.70 8247.50
8320.36 8386.89
8595.85 8667.01
7809.16 7873.11
5320.22 5356.86
5008.78 5049.92
12/31/08 5573.00 5626.00
</Table>
44
(semi-annual report LOGO)
SPDR KBW Insurance ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION AFLAC, INC. METLIFE, INC. THE TRAVELERS COS., INC. CHUBB CORP. UNUM GROUP
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $9,843,819 9,465,082 8,883,879 7,739,046 6,051,566
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 8.7% 8.4 7.9 6.9 5.4
------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Property & Casualty Insurance 38.5%
Life & Health Insurance 34.3
Multi-line Insurance 9.5
Insurance Brokers 7.7
Asset Management & Custody Banks 3.6
Reinsurance 3.5
Thrifts & Mortgage Finance 2.5
Short Term Investments 12.7
Other Assets & Liabilities (12.3)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
45
(semi-annual report LOGO)
SPDR 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.SPDRS.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
SHARE. THE TOTAL EXPENSE RATIO FOR SPDR MORGAN STANLEY TECHNOLOGY ETF AS
STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008
IS 0.50%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY
VALUE VALUE TECHNOLOGY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -38.31% -38.44% -38.26%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -44.91% -45.23% -44.74%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -34.21% -34.36% -33.36%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 -27.90% -27.93% -26.25%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -64.98% -65.04% -62.78%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET MORGAN STANLEY
VALUE VALUE TECHNOLOGY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -44.91% -45.23% -44.74%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -13.03% -13.09% -12.65%
----------------------------------------------------------------------------------------------------
FIVE YEARS ENDED 12/31/08 -6.33% -6.34% -5.91%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -11.92% -11.94% -11.29%
----------------------------------------------------------------------------------------------------
(1) For the period September 25, 2000 to December 31, 2008.
46
(semi-annual report LOGO)
SPDR Morgan Stanley Technology ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR MORGAN STANLEY TECHNOLOGY ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR MORGAN MORGAN STANLEY
STANLEY TECHNOLOGY TECHNOLOGY INDEX
ETF (A) (B)
------------------ ----------------
9/25/2000 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
5580.86 5753.30
5410.64 5579.55
5430.66 5601.87
5879.78 6068.50
6324.29 6530.92
5677.95 5863.46
5690.89 5878.71
5737.44 5928.68
4872.01 5018.63
3861.94 3978.26
3403.72 3505.65
12/31/08 3502.64 3722.00
</Table>
47
(semi-annual report LOGO)
SPDR Morgan Stanley Technology ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION AUTOMATIC DATA
SAP AG ADR PROCESSING, INC. JUNIPER NETWORKS, INC. TEXAS INSTRUMENTS, INC.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $4,111,260 4,096,159 4,065,752 4,028,790
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.0% 3.0 3.0 3.0
--------------------------------------------------------------------------------------------------------------------
-----------------------------------------------
DESCRIPTION FLEXTRONICS
INTERNATIONAL, LTD.
-----------------------------------------------
MARKET VALUE 4,024,494
-----------------------------------------------
% 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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Communications Equipment 20.1%
Software 20.0
Computers & Peripherals 19.6
Semiconductors & Semiconductor Equipment 17.2
IT Services 8.7
Internet Software & Services 8.4
Electronic Equipment, Instruments & Components 3.0
Internet & Catalog Retail 2.9
Short Term Investments 16.1
Other Assets & Liabilities (16.0)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
48
(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.SPDRS.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
SHARE. THE TOTAL EXPENSE RATIO FOR SPDR S&P DIVIDEND ETF AS STATED IN THE FEES
AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HIGH YIELD DIVIDEND
VALUE VALUE ARISTOCRATS INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -6.33% -6.46% -6.43%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -23.02% -23.55% -23.01%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -15.16% -15.31% -14.86%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -13.71% -13.81% -13.41%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HIGH YIELD DIVIDEND
VALUE VALUE ARISTOCRATS INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -23.02% -23.55% -23.01%
----------------------------------------------------------------------------------------------------
THREE YEARS ENDED 12/31/08 -5.33% -5.39% -5.22%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -4.58% -4.61% -4.45%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
(1) For the period November 8, 2005 to December 31, 2008.
49
(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 11211.60 11246.20
11242.50 11302.40
10463.40 10518.00
10582.70 10642.10
10882.20 10944.40
10864.80 10928.00
9214.42 9254.88
9733.56 9779.63
10114.00 10165.00
10301.50 10354.00
9259.67 9304.12
8715.30 8754.24
12/31/08 8629.00 8659.00
</Table>
50
(semi-annual report LOGO)
SPDR S&P Dividend ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------
DESCRIPTION PFIZER, INC. CENTURYTEL, INC. SUPERVALU, INC. LEGGETT & PLATT, INC.
----------------------------------------------------------------------------------------------------------
MARKET VALUE $15,237,560 15,131,091 13,675,309 12,731,605
----------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.5% 3.5 3.2 2.9
----------------------------------------------------------------------------------------------------------
------------------------------------------------
DESCRIPTION GANNETT CO., INC.
------------------------------------------------
MARKET VALUE 12,705,232
------------------------------------------------
% 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Commercial Banks 16.1%
Multi-Utilities 9.6
Pharmaceuticals 7.6
Commercial Services & Supplies 6.6
Chemicals 6.5
Gas Utilities 6.0
Industrial Conglomerates 5.2
Household Durables 4.7
Media 4.3
Capital Markets 4.2
Diversified Telecommunication
Services 3.5
Food & Staples Retailing 3.2
Containers & Packaging 3.1
Household Products 2.9
Beverages 2.6
Insurance 2.3
Textiles, Apparel & Luxury
Goods 1.9
Electrical Equipment 1.8
Machinery 1.7
Computers & Peripherals 1.6
Hotels, Restaurants & Leisure 1.4
IT Services 1.4
Auto Components 1.3
Short Term Investments 20.5
Other Assets & Liabilities (20.0)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
51
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P BIOTECHNOLOGY
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -6.80% -6.93% -6.48%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -8.81% -9.06% -8.42%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 9.39% 9.18% 10.73%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P BIOTECHNOLOGY
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -8.81% -9.06% -8.42%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 3.12% 3.06% 3.56%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2008.
52
(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)
----------- -----------------
1/31/2006 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 12088.60
11356.30 11446.70
10830.50 10917.80
10819.60 10906.90
11290.00 11383.50
12117.50 12217.20
11738.30 11838.40
14102.60 14228.60
13230.50 13350.70
12387.70 12502.90
10923.70 11025.10
10028.70 10121.00
12/31/08 11939.00 11073.00
</Table>
53
(semi-annual report LOGO)
SPDR S&P Biotech ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------------------
DESCRIPTION BIOMARIN MARTEK OSI GILEAD
PHARMACEUTICAL, INC. BIOSCIENCES CORP. PHARMACEUTICALS, INC. SCIENCES, INC.
-------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $23,365,775 23,273,746 22,998,966 22,809,565
-------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.0% 5.0 4.9 4.9
-------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------
DESCRIPTION ONYX
PHARMACEUTICALS, INC.
-------------------------------------------------
MARKET VALUE 22,785,335
-------------------------------------------------
% OF NET ASSETS 4.9
-------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------------------------------
Biotechnology 100.0%
Short Term Investments 26.6
Other Assets & Liabilities (26.6)
-------------------------------------------------------------------
TOTAL 100.0%
-------------------------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
54
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P HOMEBUILDERS SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -26.17% -26.48% -26.34%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.19% -36.36% -36.65%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -73.26% -73.34% -73.45%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
S&P HOMEBUILDERS
NET ASSET MARKET SELECT INDUSTRY
VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -36.19% -36.36% -36.65%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -36.36% -36.43% -36.54%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2008.
55
(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)
---------------- ----------------
1/31/2006 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
4866.02 4866.29
4380.88 4379.18
4729.42 4720.32
4804.62 4792.54
4328.15 4313.76
3621.92 3604.15
3840.14 3819.68
4320.08 4296.37
4306.86 4307.11
3113.35 3110.60
2612.63 2608.55
12/31/08 2674.13 2655.00
</Table>
56
(semi-annual report LOGO)
SPDR S&P Homebuilders ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------------------
DESCRIPTION THE LENNOX
SHERWIN-WILLIAMS CO. RENT-A-CENTER, INC. LEGGETT & PLATT, INC. INTERNATIONAL, INC.
-------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $28,702,526 27,598,370 27,355,610 26,879,843
-------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.3% 5.1 5.1 5.0
-------------------------------------------------------------------------------------------------------------------------
--------------------------------------------
DESCRIPTION MOHAWK
INDUSTRIES, INC.
--------------------------------------------
MARKET VALUE 26,812,206
--------------------------------------------
% 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Homebuilding 46.2%
Home Improvement Retail 14.7
Homefurnishing Retail 14.5
Building Products 14.4
Home Furnishings 10.1
Short Term Investments 24.8
Other Assets & Liabilities (24.7)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
57
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P METALS & MINING SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -70.17% -70.27% -70.22%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -59.53% -59.62% -59.51%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -34.28% -34.40% -33.93%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P METALS & MINING SELECT
VALUE VALUE INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -59.53% -59.62% -59.51%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -15.26% -15.32% -14.82%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
58
(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>
SPDR S&P S&P METALS
METALS & & MINING
MINING ETF SELECT INDUSTRY
(A) INDEX (B)
---------- ---------------
6/19/2006 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 16318.30
15362.30 15440.40
17296.40 17390.50
16369.30 16460.10
17840.90 17946.50
20490.30 20622.30
22031.10 22187.50
18528.20 18661.90
16768.00 16889.10
11068.60 11131.60
7355.06 7389.14
6220.91 6245.30
12/31/08 6572.00 6607.00
</Table>
59
(semi-annual report LOGO)
SPDR S&P Metals & Mining ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION FREEPORT-MCMORAN
ALCOA, INC. ROYAL GOLD, INC. NUCOR CORP. NEWMONT MINING CORP. COPPER & GOLD, INC.
--------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $11,205,974 10,603,968 10,478,714 10,309,595 10,113,687
--------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.2% 5.0 4.9 4.8 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 company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Steel 39.9
Coal & Consumable Fuels 30.8
Diversified Metals & Mining 14.0
Gold 9.8
Aluminum 5.2
Short Term Investments 20.6
Other Assets & Liabilities (20.3)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
60
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EQUIPMENT & SERVICES
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -66.27% -66.33% -66.28%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -57.63% -57.87% -57.60%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -38.21% -38.30% -37.83%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EQUIPMENT & SERVICES
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -57.63% -57.87% -57.60%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -17.29% -17.34% -16.81%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
61
(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 OIL
SPDR S&P & GAS
OIL & EQUIPMENT &
GAS EQUIPMENT SERVICES SELECT
& SERVICES INDUSTRY INDEX
ETF (A) (B)
------------- ---------------
6/19/2006 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 14582.20 14660.40
12542.20 12612.30
13958.20 14033.70
14102.00 14181.10
15766.00 15857.30
17304.80 17411.30
18317.10 18435.10
15564.00 15666.10
14991.30 15094.30
11795.10 11874.70
7821.35 7871.74
6711.50 6752.38
12/31/08 6179.00 6217.00
</Table>
62
(semi-annual report LOGO)
SPDR S&P Oil & Gas Equipment & Services ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------
DESCRIPTION OCEANEERING PATTERSON-UTI WEATHERFORD
INTERNATIONAL, INC. ENERGY, INC. INTERNATIONAL, LTD. HELMERICH & PAYNE, INC.
--------------------------------------------------------------------------------------------------------------------
MARKET VALUE $4,282,036 4,169,497 4,160,041 4,139,181
--------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.5% 4.4 4.3 4.3
--------------------------------------------------------------------------------------------------------------------
----------------------------------------------
DESCRIPTION
BAKER HUGHES, INC.
----------------------------------------------
MARKET VALUE 4,094,409
----------------------------------------------
% OF NET ASSETS 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Oil & Gas Equipment & Services 62.6%
Oil & Gas Drilling 33.3
Diversified Commercial &
Professional Services 3.9
Short Term Investments 23.9
Other Assets & Liabilities (23.7)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
63
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EXPLORATION &
VALUE VALUE PRODUCTION SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -57.50% -57.52% -57.52%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -42.74% -42.98% -42.68%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -11.44% -11.54% -10.93%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P OIL & GAS EXPLORATION &
VALUE VALUE PRODUCTION SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -42.74% -42.98% -42.68%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -4.68% -4.72% -4.38%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
64
(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>
S&P OIL
SPDR S&P & GAS
OIL & EXPLORATION &
GAS EXPLORATION PRODUCTION SELECT
& PRODUCTION INDUSTRY INDEX
ETF (A) (B)
--------------- -----------------
6/19/2006 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
14330.90 14397.80
16126.60 16206.20
15970.20 16053.90
17525.70 17620.70
19306.30 19416.30
20843.10 20967.70
16117.90 16210.10
16316.20 16414.30
13385.80 13461.40
10193.30 10249.50
9251.43 9300.41
12/31/08 8856.39 8907.00
</Table>
65
(semi-annual report LOGO)
SPDR S&P Oil & Gas Exploration & Production ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------
DESCRIPTION DENBURY PLAINS EXPLORATION
TESORO CORP. RESOURCES, INC. ENCORE ACQUISITION CO. & PRODUCTION CO.
-------------------------------------------------------------------------------------------------------------
MARKET VALUE $7,064,677 7,011,710 6,861,690 6,786,243
-------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 3.4% 3.3 3.3 3.2
-------------------------------------------------------------------------------------------------------------
------------------------------------------------
DESCRIPTION
EXXON MOBIL CORP.
------------------------------------------------
MARKET VALUE 6,627,247
------------------------------------------------
% OF NET ASSETS 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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------
Oil & Gas Exploration &
Production 69.2
Oil & Gas Refining & Marketing 18.2
Integrated Oil & Gas 12.4
Short Term Investments 18.9
Other Assets & Liabilities (18.7)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
66
(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.SPDRS.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
SHARE. THE TOTAL EXPENSE RATIO FOR SPDR S&P PHARMACEUTICALS ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET S&P PHARMACEUTICALS
ASSET MARKET SELECT INDUSTRY
VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -2.25% -2.26% -2.29%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -9.18% -9.36% -9.37%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -0.92% -0.87% -0.62%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET S&P PHARMACEUTICALS
ASSET MARKET SELECT INDUSTRY
VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -9.18% -9.36% -9.37%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -0.36% -0.34% -0.24%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
67
(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 10908.50 10964.50
10413.20 10466.80
10214.30 10266.80
9909.94 9939.32
10296.40 10328.00
10537.40 10571.70
10134.80 10167.80
10495.60 10531.90
11042.50 11083.70
10319.20 10356.60
8989.03 9014.42
9136.45 9161.35
12/31/08 9908.00 9938.00
</Table>
68
(semi-annual report LOGO)
SPDR S&P Pharmaceuticals ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
------------------------------------------------------------------------------------------------------------------------
DESCRIPTION WATSON AUXILIUM
ALLERGAN, INC. PHARMACEUTICALS, INC. MERCK & CO., INC. PHARMACEUTICALS, INC. SEPRACOR, INC.
------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,927,215 1,922,419 1,922,344 1,920,383 1,915,373
------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.4% 4.4 4.4 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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
-------------------------------------------
Pharmaceuticals 99.7%
Short Term Investments 26.9
Other Assets & Liabilities (26.6)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
69
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P RETAIL
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -29.41% -29.35% -29.36%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.79% -39.14% -38.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -43.00% -43.12% -42.47%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P RETAIL
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -38.79% -39.14% -38.58%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -19.89% -19.95% -19.27%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
70
(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 9310.93 9365.74
9388.21 9444.41
8761.08 8806.91
8760.20 8836.86
9066.81 9147.91
9116.67 9200.06
8072.82 8142.97
8288.36 8363.64
8885.12 8967.50
8417.76 8496.71
6400.03 6452.40
5093.78 5129.66
12/31/08 5700.00 5753.00
</Table>
71
(semi-annual report LOGO)
SPDR S&P Retail ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION THE CHILDREN'S
PLACE RETAIL
SUPERVALU, INC. CARMAX, INC. NETFLIX, INC. STORES, INC. LIMITED BRANDS, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,134,718 4,947,348 4,945,271 4,942,606 4,900,775
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.2% 2.1 2.1 2.1 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Apparel Retail 29.1%
Specialty Retail 13.8
Automotive Retail 10.1
Food Retail 10.0
Department Stores 9.7
Internet Retail 8.1
General Merchandise Stores 5.8
Computer & Electronics Retail 5.6
Drug Retail 3.9
Hypermarkets & Super Centers 3.8
Short Term Investments 4.9
Other Assets & Liabilities (4.8)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
72
(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.SPDRS.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, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P SEMICONDUCTOR
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -41.89% -42.06% -42.86%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -47.81% -48.01% -48.70%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -54.19% -54.25% -54.68%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET S&P SEMICONDUCTOR
VALUE VALUE SELECT INDUSTRY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -47.81% -48.01% -48.70%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -23.47% -23.51% -23.76%
----------------------------------------------------------------------------------------------------
(1) For the period January 31, 2006 to December 31, 2008.
73
(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
7560.84 7608.78
7263.32 7308.23
7397.62 7442.70
8248.35 8300.10
8959.35 9017.23
7884.23 7930.65
7537.72 7581.70
7953.12 8001.73
6647.54 6582.22
5593.31 5533.02
4371.90 4319.63
12/31/08 4581.40 4532.00
</Table>
74
(semi-annual report LOGO)
SPDR S&P Semiconductor ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION INTERSIL CORP. TEXAS
MICROSEMI CORP. PMC-SIERRA, INC. (CLASS A) XILINX, INC. INSTRUMENTS, INC.
-----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $417,663 402,505 398,065 397,314 397,203
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.0% 4.8 4.7 4.7 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 company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Semiconductors 99.9%
Short Term Investments 26.4
Other Assets & Liabilities (26.3)
------------------------------------------------
TOTAL 100.0%
------------------------------------------------
</Table>
* The Fund's industry breakdown is expressed as a percentage of net assets and
may change over time.
75
(semi-annual report LOGO)
SPDR 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.SPDRS.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 KBW REGIONAL BANKING ETF AS STATED IN
THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31, 2008 IS 0.35%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW REGIONAL
VALUE VALUE BANKING INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 13.25% 12.91% 13.15%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -18.33% -18.64% -18.56%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -32.53% -32.63% -32.05%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET KBW REGIONAL
VALUE VALUE BANKING INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -18.33% -18.64% -18.56%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -14.37% -14.42% -13.89%
----------------------------------------------------------------------------------------------------
(1) For the period June 19, 2006 to December 31, 2008.
76
(semi-annual report LOGO)
SPDR KBW Regional Banking ETF--PERFORMANCE SUMMARY
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR KBW REGIONAL BANKING ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR KBW KBW REGIONAL
REGIONAL BANKING BANKING INDEX
ETF (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 8260.89 8343.10
8629.33 8718.54
7556.70 7630.46
7827.23 7903.63
7663.64 7737.66
7364.76 7435.12
5955.88 6005.34
6789.11 6843.69
7227.69 7285.79
8035.74 8098.89
7374.40 7425.87
6721.77 6764.22
12/31/08 6747.00 6795.00
</Table>
77
(semi-annual report LOGO)
SPDR KBW Regional Banking ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-------------------------------------------------------------------------------------------------------------------------------
DESCRIPTION CATHAY GENERAL SIGNATURE FIRST NIAGARA SUSQUEHANNA
TRUSTMARK CORP. BANCORP BANK FINANCIAL GROUP, INC. BANCSHARES, INC.
-------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $21,756,783 21,721,228 21,380,993 20,403,451 20,210,409
-------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.8% 2.8 2.8 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, 2008*
<Table>
<Caption>
------------------------------------------------
PERCENT OF
INDUSTRY NET ASSETS
------------------------------------------------
Regional Banks 88.6%
Thrifts & Mortgage Finance 11.1
Short Term Investments 26.9
Other Assets & Liabilities (26.6)
------------------------------------------------
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, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
United Technologies Corp.
(a).................... 12,391 $ 664,158 0.47%
Other Securities(1)...... 2,537,608 1.81
------------ ------
3,201,766 2.28
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities(1)...... 1,117,359 0.80
------------ ------
AIRLINES
Other Securities(1)...... 331,529 0.24
------------ ------
AUTO COMPONENTS
Other Securities(1)...... 314,823 0.22
------------ ------
AUTOMOBILES
Other Securities(1)...... 173,451 0.12
------------ ------
BEVERAGES
PepsiCo, Inc. ........... 22,824 1,250,070 0.89
The Coca-Cola Co. ....... 30,271 1,370,368 0.97
Other Securities(1)...... 369,587 0.27
------------ ------
2,990,025 2.13
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (b).......... 15,575 899,456 0.64
Genentech, Inc. (b)...... 6,739 558,731 0.40
Gilead Sciences, Inc.
(a)(b)................. 14,778 755,747 0.54
Other Securities(1)...... 1,503,437 1.07
------------ ------
3,717,371 2.65
------------ ------
BUILDING PRODUCTS
Other Securities(1)...... 94,865 0.07
------------ ------
CAPITAL MARKETS
State Street Corp. (c)... 6,037 237,435 0.17
Other Securities(1)...... 2,781,289 1.98
------------ ------
3,018,724 2.15
------------ ------
CHEMICALS
Monsanto Co. ............ 8,278 582,357 0.41
Other Securities(1)...... 1,865,356 1.33
------------ ------
2,447,713 1.74
------------ ------
COMMERCIAL BANKS
U.S. Bancorp (a)......... 23,387 584,909 0.42
Wells Fargo & Co. ....... 49,367 1,455,339 1.04
Other Securities(1)...... 3,030,299 2.15
------------ ------
5,070,547 3.61
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)...... 1,032,288 0.73
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b).. 87,668 1,428,988 1.02
QUALCOMM, Inc. (a)....... 23,819 853,435 0.61
Other Securities(1)...... 975,240 0.69
------------ ------
3,257,663 2.32
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (a)(b)....... 12,930 1,103,575 0.79
Hewlett-Packard Co. ..... 35,688 1,295,118 0.92
International Business
Machines Corp. ........ 19,440 1,636,070 1.16
Other Securities(1)...... 1,160,022 0.83
------------ ------
5,194,785 3.70
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)...... 555,962 0.40
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)...... 226,077 0.16
------------ ------
CONSUMER FINANCE
Other Securities(1)...... 631,931 0.45
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)...... 385,111 0.27
------------ ------
DISTRIBUTORS
Other Securities(1)...... 62,325 0.04
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)...... 679,942 0.48
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ... 71,295 1,003,834 0.72
Citigroup, Inc. ......... 76,814 515,422 0.37
JPMorgan Chase & Co. .... 49,065 1,547,019 1.10
Other Securities(1)...... 724,342 0.51
------------ ------
3,790,617 2.70
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. .............. 84,787 2,416,430 1.72
Verizon Communications,
Inc. .................. 40,236 1,364,000 0.97
Other Securities(1)...... 460,574 0.33
------------ ------
4,241,004 3.02
------------ ------
ELECTRIC UTILITIES
Exelon Corp. ............ 9,770 543,310 0.39
Other Securities(1)...... 2,667,534 1.90
------------ ------
3,210,844 2.29
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)...... 997,288 0.71
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)...... 815,512 0.58
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ...... 17,280 731,462 0.52
Other Securities(1)...... 1,589,812 1.13
------------ ------
2,321,274 1.65
------------ ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. ...... 21,832 627,452 0.45
Wal-Mart Stores, Inc. ... 32,598 1,827,444 1.30
Other Securities(1)...... 1,407,187 1.00
------------ ------
3,862,083 2.75
------------ ------
FOOD PRODUCTS
Kraft Foods, Inc. (a).... 20,952 562,561 0.40
Other Securities(1)...... 1,996,182 1.42
------------ ------
2,558,743 1.82
------------ ------
</Table>
See accompanying notes to financial statements.
79
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
GAS UTILITIES
Other Securities(1)...... $ 199,741 0.14%
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)...... 3,156,345 2.25
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)...... 3,213,527 2.29
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1)...... 125,107 0.09
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ........ 16,189 1,006,794 0.72
Other Securities(1)...... 1,314,760 0.93
------------ ------
2,321,554 1.65
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)...... 900,542 0.64
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co. ... 7,421 508,635 0.36
Procter & Gamble Co.
(a).................... 42,101 2,602,684 1.85
Other Securities(1)...... 676,966 0.49
------------ ------
3,788,285 2.70
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)...... 426,769 0.30
------------ ------
INDUSTRIAL CONGLOMERATES
3M Co. (a)............... 9,438 543,062 0.39
General Electric Co. .... 142,485 2,308,257 1.64
Other Securities(1)...... 242,785 0.17
------------ ------
3,094,104 2.20
------------ ------
INSURANCE
Berkshire Hathaway, Inc.
(Class A) (a)(b)....... 14 1,352,400 0.96
Other Securities(1)...... 4,127,129 2.94
------------ ------
5,479,529 3.90
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1)...... 381,489 0.27
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A)
(b).................... 3,357 1,032,781 0.73
Other Securities(1)...... 754,213 0.54
------------ ------
1,786,994 1.27
------------ ------
IT SERVICES
Other Securities(1)...... 2,003,753 1.43
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)...... 320,192 0.23
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)...... 855,826 0.61
------------ ------
MACHINERY
Other Securities(1)...... 2,863,785 2.04
------------ ------
MEDIA
Comcast Corp. (Class A)
(a).................... 41,118 694,072 0.49
The Walt Disney Co. ..... 25,294 573,921 0.41
Time Warner, Inc. (a).... 56,357 566,951 0.40
Other Securities(1)...... 1,646,153 1.18
------------ ------
3,481,097 2.48
------------ ------
METALS & MINING
Other Securities(1)...... 1,184,703 0.84
------------ ------
MULTI-UTILITIES
Other Securities(1)...... 1,672,139 1.19
------------ ------
MULTILINE RETAIL
Other Securities(1)...... 1,089,139 0.77
------------ ------
OFFICE ELECTRONICS
Other Securities(1)...... 150,005 0.11
------------ ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ........... 29,972 2,217,029 1.58
ConocoPhillips (a)....... 20,762 1,075,472 0.77
Exxon Mobil Corp. ....... 73,889 5,898,559 4.20
Occidental Petroleum
Corp. (a).............. 12,012 720,600 0.51
Other Securities(1)...... 5,076,416 3.61
------------ ------
14,988,076 10.67
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)...... 244,040 0.17
------------ ------
PERSONAL PRODUCTS
Other Securities(1)...... 259,069 0.18
------------ ------
PHARMACEUTICALS
Abbott Laboratories...... 21,918 1,169,764 0.83
Bristol-Myers Squibb
Co. ................... 27,367 636,283 0.45
Eli Lilly & Co. ......... 13,627 548,759 0.39
Johnson & Johnson........ 39,923 2,388,593 1.70
Merck & Co., Inc. (a).... 31,037 943,525 0.67
Pfizer, Inc. ............ 97,230 1,721,943 1.23
Wyeth.................... 19,007 712,953 0.51
Other Securities(1)...... 1,121,361 0.80
------------ ------
9,243,181 6.58
------------ ------
PROFESSIONAL SERVICES
Other Securities(1)...... 381,081 0.27
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)...... 2,578,073 1.83
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)...... 115,997 0.08
------------ ------
ROAD & RAIL
Other Securities(1)...... 1,544,098 1.10
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. (a).......... 80,755 1,183,868 0.84
Other Securities(1)...... 1,883,119 1.34
------------ ------
3,066,987 2.18
------------ ------
SOFTWARE
Microsoft Corp. ......... 115,354 2,242,482 1.60
Oracle Corp. (a)(b)...... 57,643 1,022,010 0.73
Other Securities(1)...... 1,891,509 1.34
------------ ------
5,156,001 3.67
------------ ------
SPECIALTY RETAIL
The Home Depot, Inc.
(a).................... 25,634 590,095 0.42
Other Securities(1)...... 2,227,324 1.59
------------ ------
2,817,419 2.01
------------ ------
</Table>
See accompanying notes to financial statements.
80
SPDR DJ WILSHIRE TOTAL MARKET ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)...... $ 612,369 0.44%
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)...... 675,763 0.48
------------ ------
TOBACCO
Philip Morris
International, Inc. ... 29,384 1,278,498 0.91
Other Securities(1)...... 873,933 0.62
------------ ------
2,152,431 1.53
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)...... 251,650 0.18
------------ ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)...... 1,610 0.00(d)
------------ ------
WATER UTILITIES
Other Securities(1)...... 230,064 0.16
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)...... 587,904 0.42
------------ ------
TOTAL COMMON STOCKS --
(Cost $174,176,533).... 139,702,060 99.43
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending
Prime Portfolio
(e)(f)................. 23,054,817 23,054,817 16.41
STIC Prime Portfolio..... 1,248,503 1,248,503 0.89
------------ ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $24,303,320)..... 24,303,320 17.30
------------ ------
TOTAL INVESTMENTS
(Cost $198,479,853).... 164,005,380 116.73
OTHER ASSETS AND
LIABILITIES............ (23,511,395) (16.73)
------------ ------
NET ASSETS............... $140,493,985 100.00
============ ======
</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 at December 31, 2008.
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Affiliated issuer. (Note 3)
(d) Amount represents less than 0.005% of net assets.
(e) Investments of cash collateral for securities loaned.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
81
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
United Technologies
Corp.(a)................ 2,363 $ 126,657 0.55%
Other Securities(1)....... 434,666 1.90
----------- ------
561,323 2.45
----------- ------
AIR FREIGHT & LOGISTICS
United Parcel Service,
Inc. (Class B) (a)...... 1,745 96,254 0.42
Other Securities(1)....... 94,826 0.41
----------- ------
191,080 0.83
----------- ------
AIRLINES
Other Securities(1)....... 43,477 0.19
----------- ------
AUTO COMPONENTS
Other Securities(1)....... 41,769 0.18
----------- ------
AUTOMOBILES
Other Securities(1)....... 28,995 0.13
----------- ------
BEVERAGES
PepsiCo, Inc. ............ 4,195 229,760 1.00
The Coca-Cola Co. (a)..... 5,703 258,175 1.13
Other Securities(1)....... 75,462 0.33
----------- ------
563,397 2.46
----------- ------
BIOTECHNOLOGY
Amgen, Inc. (b)........... 2,831 163,490 0.71
Genentech, Inc. (b)....... 1,239 102,726 0.45
Gilead Sciences, Inc.
(b)..................... 2,454 125,498 0.55
Other Securities(1)....... 194,925 0.85
----------- ------
586,639 2.56
----------- ------
BUILDING PRODUCTS
Other Securities(1)....... 12,396 0.05
----------- ------
CAPITAL MARKETS
State Street Corp. (c).... 1,164 45,780 0.20
Other Securities(1)....... 468,546 2.04
----------- ------
514,326 2.24
----------- ------
CHEMICALS
Monsanto Co. ............. 1,455 102,359 0.45
Other Securities(1)....... 317,899 1.38
----------- ------
420,258 1.83
----------- ------
COMMERCIAL BANKS
U.S. Bancorp (a).......... 4,630 115,796 0.51
Wells Fargo & Co. (a)..... 9,367 276,139 1.20
Other Securities(1)....... 249,895 1.09
----------- ------
641,830 2.80
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)....... 146,763 0.64
----------- ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b)... 15,822 257,899 1.12
QUALCOMM, Inc. (a)........ 4,391 157,330 0.69
Other Securities(1)....... 107,499 0.47
----------- ------
522,728 2.28
----------- ------
COMPUTERS & PERIPHERALS
Apple, Inc. (a)(b)........ 2,390 203,987 0.89
Hewlett-Packard Co. ...... 6,605 239,695 1.05
International Business
Machines Corp. (a)...... 3,625 305,080 1.33
Other Securities(1)....... 162,300 0.70
----------- ------
911,062 3.97
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)....... 76,010 0.33
----------- ------
CONSTRUCTION MATERIALS
Other Securities(1)....... 27,823 0.12
----------- ------
CONSUMER FINANCE
Other Securities(1)....... 108,119 0.47
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)....... 59,302 0.26
----------- ------
DISTRIBUTORS
Other Securities(1)....... 16,318 0.07
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)....... 69,460 0.30
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. .... 13,412 188,841 0.82
Citigroup, Inc. .......... 14,571 97,771 0.43
JPMorgan Chase & Co. ..... 10,025 316,088 1.38
Other Securities(1)....... 101,900 0.44
----------- ------
704,600 3.07
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. ............... 15,897 453,065 1.98
Verizon Communications,
Inc. (a)................ 7,662 259,742 1.14
Other Securities(1)....... 56,235 0.24
----------- ------
769,042 3.36
----------- ------
ELECTRIC UTILITIES
Exelon Corp. (a).......... 1,764 98,096 0.43
Other Securities(1)....... 432,270 1.88
----------- ------
530,366 2.31
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)....... 149,617 0.65
----------- ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)....... 108,528 0.47
----------- ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. (a).... 3,190 135,033 0.59
Other Securities(1)....... 239,026 1.04
----------- ------
374,059 1.63
----------- ------
FOOD & STAPLES RETAILING
CVS Caremark Corp. (a).... 3,832 110,132 0.48
Wal-Mart Stores, Inc. .... 6,529 366,016 1.60
Other Securities(1)....... 245,604 1.07
----------- ------
721,752 3.15
----------- ------
</Table>
See accompanying notes to financial statements.
82
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
FOOD PRODUCTS
Kraft Foods, Inc. (a)..... 3,618 $ 97,143 0.42%
Other Securities(1)....... 278,297 1.22
----------- ------
375,440 1.64
----------- ------
GAS UTILITIES
Other Securities(1)....... 45,118 0.20
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)....... 487,634 2.13
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)....... 473,497 2.07
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)....... 13,707 0.06
----------- ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. (a)...... 2,998 186,446 0.81
Other Securities(1)....... 162,470 0.71
----------- ------
348,916 1.52
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)....... 90,512 0.40
----------- ------
HOUSEHOLD PRODUCTS
Procter & Gamble Co. ..... 7,948 491,345 2.14
Other Securities(1)....... 192,503 0.84
----------- ------
683,848 2.98
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)....... 63,433 0.28
----------- ------
INDUSTRIAL CONGLOMERATES
3M Co. (a)................ 1,723 99,142 0.43
General Electric Co. ..... 26,720 432,864 1.89
Other Securities(1)....... 42,609 0.19
----------- ------
574,615 2.51
----------- ------
INSURANCE
Berkshire Hathaway, Inc.
(Class A) (a)(b)........ 3 289,800 1.26
Other Securities(1)....... 643,961 2.81
----------- ------
933,761 4.07
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)....... 60,930 0.27
----------- ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class A)
(a)(b).................. 607 186,744 0.82
Other Securities(1)....... 103,064 0.44
----------- ------
289,808 1.26
----------- ------
IT SERVICES
Other Securities(1)....... 364,406 1.59
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)....... 30,040 0.13
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)....... 98,620 0.43
----------- ------
MACHINERY
Other Securities(1)....... 404,489 1.76
----------- ------
MEDIA
Comcast Corp. (Class A)
(a)..................... 7,368 124,372 0.54
The Walt Disney Co. (a)... 4,615 104,714 0.46
Time Warner, Inc. (a)..... 10,068 101,284 0.44
Other Securities(1)....... 274,242 1.20
----------- ------
604,612 2.64
----------- ------
METALS & MINING
Other Securities(1)....... 179,596 0.78
----------- ------
MULTI-UTILITIES
Other Securities(1)....... 344,126 1.50
----------- ------
MULTILINE RETAIL
Other Securities(1)....... 143,369 0.63
----------- ------
OFFICE ELECTRONICS
Other Securities(1)....... 18,570 0.08
----------- ------
OIL, GAS & CONSUMABLE FUELS
Chevron Corp. ............ 5,455 403,506 1.76
ConocoPhillips (a)........ 3,712 192,282 0.84
Exxon Mobil Corp. (a)..... 13,642 1,089,041 4.75
Occidental Petroleum Corp.
(a)..................... 2,201 132,038 0.58
Other Securities(1)....... 809,603 3.53
----------- ------
2,626,470 11.46
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)....... 37,961 0.17
----------- ------
PERSONAL PRODUCTS
Other Securities(1)....... 36,359 0.16
----------- ------
PHARMACEUTICALS
Abbott Laboratories (a)... 4,123 220,044 0.96
Bristol-Myers Squibb
Co. .................... 5,293 123,062 0.54
Eli Lilly & Co. .......... 2,585 104,098 0.45
Johnson & Johnson......... 7,477 447,349 1.95
Merck & Co., Inc. (a)..... 5,689 172,946 0.76
Pfizer, Inc. ............. 18,038 319,453 1.39
Wyeth..................... 3,570 133,911 0.58
Other Securities(1)....... 154,751 0.68
----------- ------
1,675,614 7.31
----------- ------
PROFESSIONAL SERVICES
Other Securities(1)....... 46,537 0.20
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)....... 320,627 1.40
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)....... 7,868 0.03
----------- ------
ROAD & RAIL
Other Securities(1)....... 224,190 0.98
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. (a)........... 14,953 219,211 0.96
Other Securities(1)....... 262,876 1.14
----------- ------
482,087 2.10
----------- ------
SOFTWARE
Microsoft Corp. .......... 21,240 412,906 1.80
Oracle Corp. (a)(b)....... 10,522 186,555 0.82
Other Securities(1)....... 210,928 0.92
----------- ------
810,389 3.54
----------- ------
</Table>
See accompanying notes to financial statements.
83
SPDR DJ WILSHIRE LARGE CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SPECIALTY RETAIL
The Home Depot, Inc. (a).. 4,553 $ 104,810 0.46%
Other Securities(1)....... 315,774 1.38
----------- ------
420,584 1.84
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... 74,151 0.32
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 47,729 0.21
----------- ------
TOBACCO
Philip Morris
International, Inc.
(a)..................... 5,438 236,607 1.03
Other Securities(1)....... 154,158 0.68
----------- ------
390,765 1.71
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 26,987 0.12
----------- ------
WATER UTILITIES
Other Securities(1)....... 3,216 0.01
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)....... 92,190 0.40
----------- ------
TOTAL COMMON STOCKS --
(Cost $25,850,578)...... 22,853,810 99.69
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending Prime
Portfolio(d)(e)......... 5,408,269 5,408,269 23.59
STIC Prime Portfolio...... 235,398 235,398 1.03
----------- ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $5,643,667)....... 5,643,667 24.62
----------- ------
TOTAL INVESTMENTS
(Cost $31,494,245)...... 28,497,477 124.31
OTHER ASSETS AND
LIABILITIES............. (5,573,637) (24.31)
----------- ------
NET ASSETS................ $22,923,840 100.00
=========== ======
</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 at December 31, 2008.
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Affiliated issuer. (Note 3)
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
84
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
General Dynamics Corp. .. 12,520 $ 721,027 0.44%
Lockheed Martin Corp. ... 12,280 1,032,502 0.63
United Technologies Corp.
(a).................... 33,963 1,820,417 1.10
Other Securities(1)...... 1,046,000 0.63
------------ ------
4,619,946 2.80
------------ ------
AIR FREIGHT & LOGISTICS
FedEx Corp. ............. 11,136 714,374 0.43
Other Securities(1)...... 636,232 0.39
------------ ------
1,350,606 0.82
------------ ------
AIRLINES
Other Securities(1)...... 357,679 0.22
------------ ------
AUTO COMPONENTS
Other Securities(1)...... 150,440 0.09
------------ ------
AUTOMOBILES
Other Securities(1)...... 153,392 0.09
------------ ------
BEVERAGES
PepsiCo, Inc. ........... 60,202 3,297,264 2.00
Other Securities(1)...... 513,872 0.31
------------ ------
3,811,136 2.31
------------ ------
BIOTECHNOLOGY
Amgen, Inc. (b).......... 40,677 2,349,097 1.42
Celgene Corp. (b)........ 17,462 965,299 0.58
Genentech, Inc. (b)...... 17,848 1,479,778 0.90
Gilead Sciences, Inc.
(a)(b)................. 35,131 1,796,599 1.09
Other Securities(1)...... 1,835,341 1.11
------------ ------
8,426,114 5.10
------------ ------
CAPITAL MARKETS
Other Securities(1)...... 2,073,229 1.26
------------ ------
CHEMICALS
Monsanto Co. ............ 20,789 1,462,506 0.88
Praxair, Inc. ........... 12,139 720,571 0.44
Other Securities(1)...... 966,741 0.59
------------ ------
3,149,818 1.91
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)...... 1,344,215 0.81
------------ ------
COMMUNICATIONS EQUIPMENT
Cisco Systems, Inc. (b).. 226,532 3,692,472 2.23
QUALCOMM, Inc. .......... 63,164 2,263,166 1.37
Other Securities(1)...... 1,549,255 0.94
------------ ------
7,504,893 4.54
------------ ------
COMPUTERS & PERIPHERALS
Apple, Inc. (a)(b)....... 34,197 2,918,714 1.77
EMC Corp. (b)............ 79,034 827,486 0.50
Hewlett-Packard Co. ..... 94,897 3,443,812 2.08
Other Securities(1)...... 1,222,657 0.74
------------ ------
8,412,669 5.09
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)...... 962,388 0.58
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)...... 155,911 0.09
------------ ------
CONSUMER FINANCE
American Express Co.
(a).................... 39,164 726,492 0.44
Other Securities(1)...... 175,457 0.11
------------ ------
901,949 0.55
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)...... 485,348 0.29
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)...... 997,969 0.60
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)...... 1,440,764 0.87
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)...... 192,145 0.12
------------ ------
ELECTRIC UTILITIES
Other Securities(1)...... 220,530 0.13
------------ ------
ELECTRICAL EQUIPMENT
Emerson Electric Co. .... 30,080 1,101,229 0.67
Other Securities(1)...... 826,405 0.50
------------ ------
1,927,634 1.17
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)...... 1,469,898 0.89
------------ ------
ENERGY EQUIPMENT & SERVICES
Schlumberger, Ltd. ...... 45,886 1,942,354 1.17
Other Securities(1)...... 3,413,430 2.07
------------ ------
5,355,784 3.24
------------ ------
FOOD & STAPLES RETAILING
Costco Wholesale Corp. .. 16,709 877,223 0.53
CVS Caremark Corp. ...... 55,063 1,582,511 0.96
Wal-Mart Stores, Inc. ... 93,904 5,264,258 3.19
Walgreen Co. (a)......... 38,182 941,950 0.57
Other Securities(1)...... 579,210 0.35
------------ ------
9,245,152 5.60
------------ ------
FOOD PRODUCTS
Other Securities(1)...... 756,303 0.46
------------ ------
GAS UTILITIES
Other Securities(1)...... 566,810 0.34
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Baxter International,
Inc. .................. 23,837 1,277,425 0.77
Medtronic, Inc. ......... 43,186 1,356,904 0.82
Other Securities(1)...... 4,162,653 2.53
------------ ------
6,796,982 4.12
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Medco Health Solutions,
Inc. (b)............... 19,465 815,778 0.49
UnitedHealth Group,
Inc. .................. 47,279 1,257,621 0.76
WellPoint, Inc. (b)...... 19,642 827,518 0.50
Other Securities(1)...... 3,371,891 2.05
------------ ------
6,272,808 3.80
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1)...... 198,654 0.12
------------ ------
</Table>
See accompanying notes to financial statements.
85
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)...... $ 1,847,093 1.12%
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)...... 278,860 0.17
------------ ------
HOUSEHOLD PRODUCTS
Colgate-Palmolive Co.
(a).................... 19,577 1,341,807 0.81
Procter & Gamble Co.
(a).................... 113,982 7,046,367 4.27
Other Securities(1)...... 559,514 0.34
------------ ------
8,947,688 5.42
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)...... 802,278 0.49
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)...... 83,486 0.05
------------ ------
INSURANCE
AFLAC, Inc............... 18,109 830,116 0.50
Other Securities(1)...... 769,931 0.47
------------ ------
1,600,047 0.97
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1)...... 853,178 0.52
------------ ------
INTERNET SOFTWARE & SERVICES
Google, Inc. (Class
A)(b).................. 8,723 2,683,631 1.62
Other Securities(1)...... 1,484,122 0.90
------------ ------
4,167,753 2.52
------------ ------
IT SERVICES
Accenture, Ltd. (Class
A)..................... 21,278 697,706 0.42
Automatic Data
Processing, Inc. (a)... 19,787 778,420 0.47
Visa, Inc. (Class A)
(a).................... 16,508 865,845 0.52
Other Securities(1)...... 2,592,488 1.58
------------ ------
4,934,459 2.99
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)...... 1,438,850 0.87
------------ ------
MACHINERY
Caterpillar, Inc. ....... 23,430 1,046,618 0.63
Other Securities(1)...... 3,947,502 2.39
------------ ------
4,994,120 3.02
------------ ------
MEDIA
Comcast Corp. (Class A).. 106,074 1,790,529 1.08
News Corp. (Class A)..... 88,835 807,510 0.49
The Walt Disney Co. ..... 67,043 1,521,206 0.92
Time Warner, Inc. (a).... 144,205 1,450,702 0.88
Other Securities(1)...... 2,731,175 1.66
------------ ------
8,301,122 5.03
------------ ------
METALS & MINING
Newmont Mining Corp. .... 16,990 691,493 0.42
Other Securities(1)...... 1,259,745 0.76
------------ ------
1,951,238 1.18
------------ ------
MULTI-UTILITIES
Other Securities(1)...... 566,948 0.34
------------ ------
MULTILINE RETAIL
Target Corp. (a)......... 26,258 906,689 0.55
Other Securities(1)...... 921,267 0.56
------------ ------
1,827,956 1.11
------------ ------
OFFICE ELECTRONICS
Other Securities(1)...... 270,151 0.16
------------ ------
OIL, GAS & CONSUMABLE FUELS
XTO Energy, Inc. ........ 22,178 782,218 0.47
Other Securities(1)...... 6,253,133 3.79
------------ ------
7,035,351 4.26
------------ ------
PERSONAL PRODUCTS
Other Securities(1)...... 513,675 0.31
------------ ------
PHARMACEUTICALS
Johnson & Johnson........ 107,517 6,432,742 3.89
Schering-Plough Corp.
(a).................... 62,300 1,060,969 0.64
Other Securities(1)...... 1,141,336 0.70
------------ ------
8,635,047 5.23
------------ ------
PROFESSIONAL SERVICES
Other Securities(1)...... 657,584 0.40
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)...... 735,584 0.45
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)...... 100,204 0.06
------------ ------
ROAD & RAIL
Other Securities(1)...... 1,312,192 0.79
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Texas Instruments,
Inc. .................. 50,111 777,723 0.47
Other Securities(1)...... 2,976,908 1.80
------------ ------
3,754,631 2.27
------------ ------
SOFTWARE
Microsoft Corp. ......... 304,449 5,918,488 3.58
Oracle Corp. (a)(b)...... 151,019 2,677,567 1.62
Other Securities(1)...... 2,913,062 1.77
------------ ------
11,509,117 6.97
------------ ------
SPECIALTY RETAIL
Lowe's Cos., Inc. ....... 56,242 1,210,328 0.73
The Home Depot, Inc.
(a).................... 65,318 1,503,620 0.91
Other Securities(1)...... 2,943,135 1.78
------------ ------
5,657,083 3.42
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)...... 892,082 0.54
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)...... 335,897 0.20
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)...... 189,479 0.11
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)...... 1,137,542 0.69
------------ ------
TOTAL COMMON STOCKS --
(Cost $247,837,734).... 164,631,861 99.67
------------ ------
</Table>
See accompanying notes to financial statements.
86
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending
Prime Portfolio
(c)(d)................. 28,955,817 $ 28,955,817 17.53%
STIC Prime Portfolio..... 1,045,590 1,045,590 0.63
------------ ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $30,001,407)..... 30,001,407 18.16
------------ ------
TOTAL INVESTMENTS (Cost
$277,839,141).......... 194,633,268 117.83
OTHER ASSETS AND
LIABILITIES............ (29,450,154) (17.83)
------------ ------
NET ASSETS............... $165,183,114 100.00
============ ======
</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 at December 31, 2008.
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
87
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Boeing Co. .............. 15,569 $ 664,329 0.66%
Honeywell International,
Inc. .................. 15,797 518,616 0.51
Raytheon Co. (a)......... 9,857 503,101 0.50
Other Securities(1)...... 433,657 0.43
------------ ------
2,119,703 2.10
------------ ------
AIR FREIGHT & LOGISTICS
United Parcel Service,
Inc. (Class B)......... 15,375 848,085 0.84
------------ ------
AIRLINES
Other Securities(1)...... 172,049 0.17
------------ ------
AUTO COMPONENTS
Other Securities(1)...... 281,151 0.28
------------ ------
AUTOMOBILES
Other Securities(1)...... 166,585 0.16
------------ ------
BEVERAGES
The Coca-Cola Co. ....... 50,502 2,286,225 2.26
Other Securities(1)...... 360,338 0.36
------------ ------
2,646,563 2.62
------------ ------
BUILDING PRODUCTS
Other Securities(1)...... 109,764 0.11
------------ ------
CAPITAL MARKETS
State Street Corp. (b)... 10,312 405,571 0.40
The Bank of New York
Mellon Corp. .......... 27,114 768,140 0.76
The Goldman Sachs Group,
Inc. .................. 9,538 804,912 0.80
Other Securities(1)...... 1,300,130 1.28
------------ ------
3,278,753 3.24
------------ ------
CHEMICALS
E. I. du Pont de Nemours
& Co. ................. 21,407 541,597 0.53
Other Securities(1)...... 1,253,364 1.24
------------ ------
1,794,961 1.77
------------ ------
COMMERCIAL BANKS
U.S. Bancorp (a)......... 41,012 1,025,710 1.01
Wells Fargo & Co. (a).... 83,086 2,449,375 2.42
Other Securities(1)...... 2,217,468 2.20
------------ ------
5,692,553 5.63
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)...... 464,198 0.46
------------ ------
COMPUTERS & PERIPHERALS
International Business
Machines Corp. ........ 32,150 2,705,744 2.67
Other Securities(1)...... 169,239 0.17
------------ ------
2,874,983 2.84
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)...... 82,274 0.08
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)...... 151,406 0.15
------------ ------
CONSUMER FINANCE
Other Securities(1)...... 394,286 0.39
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)...... 223,823 0.22
------------ ------
DISTRIBUTORS
Other Securities(1)...... 142,316 0.14
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Bank of America Corp. ... 118,960 1,674,957 1.65
Citigroup, Inc. ......... 129,198 866,918 0.86
JPMorgan Chase & Co. .... 88,605 2,793,716 2.76
Other Securities(1)...... 38,608 0.04
------------ ------
5,374,199 5.31
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
AT&T, Inc. .............. 140,993 4,018,300 3.97
Verizon Communications,
Inc. .................. 67,911 2,302,183 2.28
Other Securities(1)...... 377,257 0.37
------------ ------
6,697,740 6.62
------------ ------
ELECTRIC UTILITIES
Duke Energy Corp. (a).... 29,947 449,505 0.44
Exelon Corp. (a)......... 15,615 868,350 0.86
FPL Group, Inc. (a)...... 8,967 451,309 0.45
The Southern Co. (a)..... 18,230 674,510 0.67
Other Securities(1)...... 2,118,258 2.09
------------ ------
4,561,932 4.51
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)...... 138,680 0.14
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)...... 45,847 0.05
------------ ------
FOOD & STAPLES RETAILING
Other Securities(1)...... 701,058 0.69
------------ ------
FOOD PRODUCTS
General Mills, Inc. ..... 7,580 460,485 0.45
Kraft Foods, Inc. (a).... 31,906 856,676 0.85
Other Securities(1)...... 1,549,044 1.53
------------ ------
2,866,205 2.83
------------ ------
GAS UTILITIES
Other Securities(1)...... 52,102 0.05
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)...... 101,889 0.10
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)...... 316,203 0.31
------------ ------
HOTELS, RESTAURANTS & LEISURE
McDonald's Corp. ........ 26,444 1,644,553 1.63
Other Securities(1)...... 286,993 0.28
------------ ------
1,931,546 1.91
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)...... 623,254 0.62
------------ ------
HOUSEHOLD PRODUCTS
Kimberly-Clark Corp. .... 9,817 517,749 0.51
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)...... 71,008 0.07
------------ ------
</Table>
See accompanying notes to financial statements.
88
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
INDUSTRIAL CONGLOMERATES
3M Co. (a)............... 15,162 $ 872,422 0.86%
General Electric Co. .... 236,927 3,838,217 3.80
Other Securities(1)...... 324,627 0.32
------------ ------
5,035,266 4.98
------------ ------
INSURANCE
Berkshire Hathaway, Inc.
(Class A) (a)(c)....... 28 2,704,800 2.67
Chubb Corp. ............. 8,395 428,145 0.42
MetLife, Inc. ........... 12,031 419,401 0.42
The Allstate Corp. ...... 12,719 416,674 0.41
The Travelers Cos.,
Inc. .................. 13,892 627,918 0.62
Other Securities(1)...... 2,786,898 2.76
------------ ------
7,383,836 7.30
------------ ------
IT SERVICES
Other Securities(1)...... 193,641 0.19
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)...... 265,461 0.26
------------ ------
MACHINERY
Other Securities(1)...... 506,503 0.50
------------ ------
MEDIA
Other Securities(1)...... 257,860 0.26
------------ ------
METALS & MINING
Other Securities(1)...... 384,766 0.38
------------ ------
MULTI-UTILITIES
Dominion Resources, Inc.
(a).................... 13,756 493,015 0.49
Other Securities(1)...... 2,205,725 2.18
------------ ------
2,698,740 2.67
------------ ------
MULTILINE RETAIL
Other Securities(1)...... 161,527 0.16
------------ ------
OIL, GAS & CONSUMABLE FUELS
Apache Corp. ............ 7,857 585,582 0.58
Chevron Corp. ........... 48,202 3,565,502 3.52
ConocoPhillips (a)....... 32,726 1,695,207 1.68
Devon Energy Corp. ...... 9,906 650,923 0.64
Exxon Mobil Corp. ....... 120,653 9,631,729 9.52
Marathon Oil Corp. ...... 16,960 464,026 0.46
Occidental Petroleum
Corp. (a).............. 19,486 1,168,965 1.16
Other Securities(1)...... 1,115,779 1.10
------------ ------
18,877,713 18.66
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)...... 337,020 0.33
------------ ------
PHARMACEUTICALS
Abbott Laboratories...... 36,541 1,950,193 1.93
Bristol-Myers Squibb
Co. ................... 46,661 1,084,868 1.07
Eli Lilly & Co. ......... 22,926 923,230 0.91
Merck & Co., Inc. (a).... 50,141 1,524,287 1.51
Pfizer, Inc. ............ 159,963 2,832,945 2.80
Wyeth.................... 31,671 1,187,979 1.17
------------ ------
9,503,502 9.39
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)...... 2,398,455 2.37
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)...... 11,417 0.01
------------ ------
ROAD & RAIL
Burlington Northern Santa
Fe Corp. (a)........... 6,715 508,392 0.50
Union Pacific Corp. (a).. 12,056 576,277 0.57
Other Securities(1)...... 93,651 0.09
------------ ------
1,178,320 1.16
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Intel Corp. (a).......... 131,947 1,934,343 1.91
------------ ------
SOFTWARE
Other Securities(1)...... 63,931 0.06
------------ ------
SPECIALTY RETAIL
Other Securities(1)...... 210,718 0.21
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)...... 110,307 0.11
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)...... 207,619 0.21
------------ ------
TOBACCO
Altria Group, Inc. ...... 49,048 738,663 0.73
Philip Morris
International, Inc. ... 48,000 2,088,480 2.06
Other Securities(1)...... 622,776 0.62
------------ ------
3,449,919 3.41
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)...... 124,331 0.12
------------ ------
WATER UTILITIES
Other Securities(1)...... 28,919 0.03
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)...... 124,279 0.12
------------ ------
TOTAL COMMON STOCKS --
(Cost $139,624,421).... 100,891,258 99.72
------------ ------
SHORT TERM INVESTMENTS MONEY MARKET FUNDS
State Street Navigator
Securities Lending
Prime Portfolio
(d)(e)................. 15,076,946 15,076,946 14.90
STIC Prime Portfolio..... 1,177,060 1,177,060 1.17
------------ ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $16,254,006)..... 16,254,006 16.07
------------ ------
TOTAL INVESTMENTS
(Cost $155,878,427).... 117,145,264 115.79
OTHER ASSETS AND
LIABILITIES............ (15,972,693) (15.79)
------------ ------
NET ASSETS............... $101,172,571 100.00
============ ======
</Table>
See accompanying notes to financial statements.
89
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
(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 at December 31, 2008.
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Affiliated Issuer. (Note 3)
(c) Non-income producing security.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
90
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS AEROSPACE &
DEFENSE
Other Securities(1)....... $ 205,154 1.01%
----------- ------
AIRLINES
Delta Air Lines, Inc.
(a)..................... 14,344 164,382 0.81
Other Securities(1)....... 67,637 0.33
----------- ------
232,019 1.14
----------- ------
AUTO COMPONENTS
Other Securities(1)....... 115,813 0.57
----------- ------
BEVERAGES
Constellation Brands, Inc.
(Class A)(a)(b)......... 4,407 69,498 0.34
Other Securities(1)....... 102,670 0.51
----------- ------
172,168 0.85
----------- ------
BIOTECHNOLOGY
Myriad Genetics, Inc.
(a)(b).................. 1,057 70,037 0.35
Vertex Pharmaceuticals,
Inc. (a)(b)............. 3,422 103,960 0.51
Other Securities(1)....... 273,043 1.35
----------- ------
447,040 2.21
----------- ------
BUILDING PRODUCTS
Other Securities(1)....... 94,186 0.46
----------- ------
CAPITAL MARKETS
Other Securities(1)....... 416,146 2.05
----------- ------
CHEMICALS
Other Securities(1)....... 532,280 2.63
----------- ------
COMMERCIAL BANKS
Marshall & Ilsley Corp.
(b)..................... 5,575 76,043 0.37
Other Securities(1)....... 801,096 3.96
----------- ------
877,139 4.33
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Cintas Corp. (b).......... 3,041 70,642 0.35
Other Securities(1)....... 226,608 1.12
----------- ------
297,250 1.47
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)....... 181,849 0.90
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)....... 288,492 1.42
----------- ------
CONSTRUCTION & ENGINEERING
URS Corp. (a)............. 1,899 77,422 0.38
Other Securities(1)....... 176,934 0.87
----------- ------
254,356 1.25
----------- ------
CONSTRUCTION MATERIALS
Martin Marietta Materials,
Inc. (b)................ 938 91,061 0.45
----------- ------
CONSUMER FINANCE
Other Securities(1)....... 3,690 0.02
----------- ------
CONTAINERS & PACKAGING
Ball Corp. ............... 2,151 89,460 0.44
Crown Holdings, Inc. (a).. 3,617 69,446 0.34
Pactiv Corp. (a).......... 2,965 73,769 0.36
Other Securities(1)....... 292,225 1.45
----------- ------
524,900 2.59
----------- ------
DISTRIBUTORS
Other Securities(1)....... 36,426 0.18
----------- ------
DIVERSIFIED CONSUMER SERVICES
DeVry, Inc. (b)........... 1,409 80,891 0.40
ITT Educational Services,
Inc. (a)(b)............. 889 84,437 0.42
Strayer Education, Inc.
(b)..................... 326 69,898 0.34
Other Securities(1)....... 73,788 0.36
----------- ------
309,014 1.52
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)....... 65,290 0.32
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)....... 153,187 0.76
----------- ------
ELECTRIC UTILITIES
Northeast Utilities....... 3,557 85,581 0.42
Pinnacle West Capital
Corp. (b)............... 2,288 73,513 0.36
Other Securities(1)....... 309,202 1.53
----------- ------
468,296 2.31
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)....... 195,515 0.96
----------- ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)....... 479,630 2.37
----------- ------
ENERGY EQUIPMENT & SERVICES
Other Securities(1)....... 414,067 2.04
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)....... 76,762 0.38
----------- ------
FOOD PRODUCTS
Ralcorp Holdings, Inc.
(a)..................... 1,283 74,927 0.37
The J.M. Smucker Co. ..... 2,683 116,335 0.57
Other Securities(1)....... 250,924 1.24
----------- ------
442,186 2.18
----------- ------
GAS UTILITIES
Other Securities(1)....... 407,793 2.01
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Edwards Lifesciences Corp.
(a)(b).................. 1,266 69,567 0.34
Other Securities(1)....... 436,931 2.16
----------- ------
506,498 2.50
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)....... 374,154 1.85
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)....... 139,941 0.69
----------- ------
</Table>
See accompanying notes to financial statements.
91
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOTELS, RESTAURANTS & LEISURE
Darden Restaurants,
Inc. ................... 2,944 $ 82,962 0.41%
Other Securities(1)....... 235,488 1.16
----------- ------
318,450 1.57
----------- ------
HOUSEHOLD DURABLES
Other Securities(1)....... 540,508 2.67
----------- ------
HOUSEHOLD PRODUCTS
Church & Dwight Co., Inc.
(b)..................... 1,592 89,343 0.44
Energizer Holdings, Inc.
(b)(a).................. 1,317 71,302 0.35
----------- ------
160,645 0.79
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)....... 35,872 0.18
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)....... 39,581 0.20
----------- ------
INSURANCE
Arch Capital Group, Ltd.
(a)(b).................. 1,131 79,283 0.39
Cincinnati Financial Corp.
(b)..................... 3,454 100,408 0.50
Fidelity National
Financial, Inc. (Class
A)...................... 4,809 85,360 0.42
HCC Insurance Holdings,
Inc. (b)................ 2,603 69,630 0.34
PartnerRe, Ltd. (b)....... 1,244 88,660 0.44
RenaissanceRe Holdings,
Ltd. ................... 1,392 71,772 0.35
W.R. Berkley Corp. ....... 3,205 99,355 0.49
Other Securities(1)....... 831,430 4.11
----------- ------
1,425,898 7.04
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)....... 67,979 0.34
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)....... 96,624 0.48
----------- ------
IT SERVICES
Affiliated Computer
Services, Inc. (Class A)
(a)(b).................. 2,090 96,036 0.47
Fidelity National
Information Services,
Inc. ................... 4,314 70,189 0.35
SAIC, Inc. (a)............ 4,377 85,264 0.42
Other Securities(1)....... 436,346 2.15
----------- ------
687,835 3.39
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)....... 40,171 0.20
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Life Technologies Corp
(a)(b).................. 3,919 91,352 0.45
Other Securities(1)....... 235,170 1.16
----------- ------
326,522 1.61
----------- ------
MACHINERY
Other Securities(1)....... 648,211 3.20
----------- ------
MARINE
Other Securities(1)....... 66,994 0.33
----------- ------
MEDIA
Other Securities(1)....... 341,644 1.69
----------- ------
METALS & MINING
Other Securities(1)....... 176,714 0.87
----------- ------
MULTI-UTILITIES
Alliant Energy Corp. ..... 2,509 73,213 0.36
Integrys Energy Group,
Inc. (b)................ 1,738 74,699 0.37
NSTAR(b).................. 2,441 89,072 0.44
Puget Energy, Inc. ....... 2,655 72,402 0.36
SCANA Corp. (b)........... 2,395 85,262 0.42
Other Securities(1)....... 276,073 1.36
----------- ------
670,721 3.31
----------- ------
MULTILINE RETAIL
Dollar Tree Stores, Inc.
(a)(b).................. 2,059 86,066 0.43
Family Dollar Stores, Inc.
(b)..................... 3,014 78,575 0.39
Other Securities(1)....... 27,169 0.13
----------- ------
191,810 0.95
----------- ------
OFFICE ELECTRONICS
Other Securities(1)....... 29,539 0.15
----------- ------
OIL, GAS & CONSUMABLE FUELS
Sunoco, Inc. (b).......... 2,673 116,169 0.57
Other Securities(1)....... 1,013,517 5.01
----------- ------
1,129,686 5.58
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)....... 59,432 0.29
----------- ------
PERSONAL PRODUCTS
Other Securities(1)....... 99,771 0.49
----------- ------
PHARMACEUTICALS
Endo Pharmaceuticals
Holdings, Inc. (a)(b)... 2,722 70,445 0.35
Other Securities(1)....... 307,231 1.51
----------- ------
377,676 1.86
----------- ------
PROFESSIONAL SERVICES
Equifax, Inc. ............ 2,872 76,165 0.38
Robert Half International,
Inc. (b)................ 3,545 73,807 0.36
Other Securities(1)....... 191,836 0.95
----------- ------
341,808 1.69
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Federal Realty Investment
Trust(b)................ 1,344 83,436 0.41
Health Care REIT, Inc.
(b)..................... 2,339 98,706 0.49
Regency Centers Corp.
(b)..................... 1,573 73,459 0.36
Other Securities(1)....... 932,719 4.60
----------- ------
1,188,320 5.86
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)....... 84,187 0.42
----------- ------
ROAD & RAIL
Other Securities(1)....... 244,411 1.21
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)....... 404,745 2.00
----------- ------
SOFTWARE
Other Securities(1)....... 558,121 2.75
----------- ------
</Table>
See accompanying notes to financial statements.
92
SPDR DJ WILSHIRE MID CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SPECIALTY RETAIL
Advance Auto Parts,
Inc. ................... 2,150 $ 72,347 0.36%
O'Reilly Automotive, Inc.
(a)(b).................. 3,043 93,542 0.46
Other Securities(1)....... 364,135 1.80
----------- ------
530,024 2.62
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... 88,824 0.44
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 83,403 0.41
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 65,960 0.33
----------- ------
WATER UTILITIES
Other Securities(1)....... 90,418 0.45
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Telephone & Data Systems,
Inc. ................... 2,333 74,073 0.37
Other Securities(1)....... 88,827 0.43
----------- ------
162,900 0.80
----------- ------
TOTAL COMMON STOCKS --
(Cost $29,509,045)...... 20,177,706 99.59
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)........ 5,154,190 5,154,190 25.44
STIC Prime Portfolio...... 132,336 132,336 0.65
----------- ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $5,286,526)....... 5,286,526 26.09
----------- ------
TOTAL INVESTMENTS
(Cost $34,795,571)...... 25,464,232 125.68
OTHER ASSETS AND
LIABILITIES............. (5,203,130) (25.68)
----------- ------
NET ASSETS................ $20,261,102 100.00
=========== ======
</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 at December 31, 2008.
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
93
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Alliant Techsystems, Inc.
(a)(b).................. 1,850 $ 158,656 0.59%
Other Securities(1)....... 264,266 0.99
----------- ------
422,922 1.58
----------- ------
AIRLINES
AMR Corp. (a)(b).......... 15,654 167,028 0.62
----------- ------
AUTO COMPONENTS
Other Securities(1)....... 211,957 0.79
----------- ------
BEVERAGES
Constellation Brands, Inc.
(Class A)(a)(b)......... 10,901 171,909 0.64
Other Securities(1)....... 181,169 0.67
----------- ------
353,078 1.31
----------- ------
BIOTECHNOLOGY
Alexion Pharmaceuticals,
Inc. (a)................ 4,383 158,621 0.59
Myriad Genetics, Inc.
(a)(b).................. 2,625 173,932 0.65
Vertex Pharmaceuticals,
Inc. (a)(b)............. 8,437 256,316 0.96
Other Securities(1)....... 519,836 1.93
----------- ------
1,108,705 4.13
----------- ------
CAPITAL MARKETS
Other Securities(1)....... 576,667 2.15
----------- ------
CHEMICALS
Airgas, Inc. (b).......... 3,944 153,777 0.57
Other Securities(1)....... 387,518 1.45
----------- ------
541,295 2.02
----------- ------
COMMERCIAL SERVICES & SUPPLIES
Cintas Corp. ............. 7,501 174,248 0.65
Covanta Holding Corp.
(a)(b).................. 6,883 151,151 0.56
Other Securities(1)....... 410,241 1.53
----------- ------
735,640 2.74
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)....... 365,362 1.36
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)....... 491,163 1.83
----------- ------
CONSTRUCTION & ENGINEERING
Other Securities(1)....... 357,511 1.33
----------- ------
CONSTRUCTION MATERIALS
Martin Marietta Materials,
Inc. (b)................ 2,333 226,488 0.84
----------- ------
CONTAINERS & PACKAGING
Ball Corp. ............... 5,316 221,092 0.82
Crown Holdings, Inc. (a).. 9,039 173,549 0.65
Pactiv Corp. (a).......... 7,376 183,515 0.68
Other Securities(1)....... 133,056 0.50
----------- ------
711,212 2.65
----------- ------
DISTRIBUTORS
Other Securities(1)....... 91,391 0.34
----------- ------
DIVERSIFIED CONSUMER SERVICES
DeVry, Inc. (b)........... 3,503 201,107 0.75
ITT Educational Services,
Inc. (a)(b)............. 2,196 208,576 0.78
Strayer Education, Inc.
(b)..................... 804 172,386 0.64
Other Securities(1)....... 112,601 0.42
----------- ------
694,670 2.59
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)....... 70,028 0.26
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)....... 70,352 0.26
----------- ------
ELECTRIC UTILITIES
Other Securities(1)....... 121,605 0.45
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)....... 191,183 0.71
----------- ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Avnet, Inc. (a)(b)........ 8,421 153,346 0.57
Other Securities(1)....... 877,835 3.27
----------- ------
1,031,181 3.84
----------- ------
ENERGY EQUIPMENT & SERVICES
Other Securities(1)....... 906,251 3.38
----------- ------
FOOD & STAPLES RETAILING
Other Securities(1)....... 189,505 0.71
----------- ------
FOOD PRODUCTS
Dean Foods Co. (a)(b)..... 8,668 155,764 0.58
Other Securities(1)....... 118,219 0.44
----------- ------
273,983 1.02
----------- ------
GAS UTILITIES
ONEOK, Inc. (b)........... 5,491 159,898 0.60
Other Securities(1)....... 107,758 0.40
----------- ------
267,656 1.00
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Beckman Coulter, Inc.
(b)..................... 3,529 155,064 0.58
Edwards Lifesciences Corp.
(a)..................... 3,122 171,554 0.64
ResMed, Inc. (a).......... 4,273 160,152 0.60
Other Securities(1)....... 492,386 1.83
----------- ------
979,156 3.65
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Omnicare, Inc. (b)........ 6,013 166,921 0.62
Other Securities(1)....... 629,639 2.35
----------- ------
796,560 2.97
----------- ------
HEALTH CARE TECHNOLOGY
IMS Health, Inc. (b)...... 10,216 154,875 0.58
Other Securities(1)....... 195,771 0.73
----------- ------
350,646 1.31
----------- ------
HOTELS, RESTAURANTS & LEISURE
Darden Restaurants, Inc.
(b)..................... 7,266 204,756 0.76
Other Securities(1)....... 531,151 1.98
----------- ------
735,907 2.74
----------- ------
</Table>
See accompanying notes to financial statements.
94
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD DURABLES
Toll Brothers, Inc.
(a)(b).................. 7,238 $ 155,110 0.58%
Other Securities(1)....... 184,591 0.69
----------- ------
339,701 1.27
----------- ------
HOUSEHOLD PRODUCTS
Church & Dwight Co., Inc.
(b)..................... 3,956 222,011 0.83
Energizer Holdings, Inc.
(a)(b).................. 3,290 178,120 0.66
----------- ------
400,131 1.49
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)....... 88,837 0.33
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)....... 25,074 0.09
----------- ------
INSURANCE
W.R. Berkley Corp. ....... 7,898 244,838 0.91
Other Securities(1)....... 133,488 0.50
----------- ------
378,326 1.41
----------- ------
INTERNET & CATALOG RETAIL
Priceline.com, Inc.
(a)(b).................. 2,263 166,670 0.62
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)....... 240,144 0.89
----------- ------
IT SERVICES
Affiliated Computer
Services, Inc. (Class A)
(a)(b).................. 5,255 241,467 0.90
Fidelity National
Information Services,
Inc. ................... 10,632 172,983 0.64
SAIC, Inc. (a)............ 10,828 210,929 0.79
Total System Services,
Inc. (b)................ 11,151 156,114 0.58
Other Securities(1)....... 769,279 2.87
----------- ------
1,550,772 5.78
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Life Technologies Corp
(a)..................... 9,647 224,872 0.84
Millipore Corp. (a)(b).... 3,075 158,424 0.59
Other Securities(1)....... 426,652 1.59
----------- ------
809,948 3.02
----------- ------
MACHINERY
Other Securities(1)....... 1,000,604 3.73
----------- ------
MARINE
Other Securities(1)....... 82,928 0.31
----------- ------
MEDIA
Other Securities(1)....... 454,851 1.69
----------- ------
METALS & MINING
Other Securities(1)....... 234,754 0.87
----------- ------
MULTILINE RETAIL
Dollar Tree Stores, Inc.
(a)(b).................. 5,089 212,720 0.79
Family Dollar Stores, Inc.
(b)..................... 7,495 195,395 0.73
----------- ------
408,115 1.52
----------- ------
OFFICE ELECTRONICS
Other Securities(1)....... 72,288 0.27
----------- ------
OIL, GAS & CONSUMABLE FUELS
Cabot Oil & Gas Corp.
(b)..................... 5,810 151,060 0.56
Kinder Morgan Management
LLC(a).................. 4,095 163,718 0.61
Sunoco, Inc. (b).......... 6,648 288,922 1.08
Other Securities(1)....... 938,032 3.49
----------- ------
1,541,732 5.74
----------- ------
PERSONAL PRODUCTS
Other Securities(1)....... 127,524 0.47
----------- ------
PHARMACEUTICALS
Endo Pharmaceuticals
Holdings, Inc. (a)(b)..... 6,741 174,457 0.65
Mylan, Inc. (a)(b)........ 17,007 168,199 0.62
Other Securities(1)....... 283,207 1.06
----------- ------
625,863 2.33
----------- ------
PROFESSIONAL SERVICES
Equifax, Inc. ............ 7,133 189,167 0.70
Robert Half International,
Inc. (b)................ 8,820 183,633 0.68
Other Securities(1)....... 361,058 1.35
----------- ------
733,858 2.73
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Other Securities(1)....... 387,925 1.44
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)....... 56,095 0.21
----------- ------
ROAD & RAIL
J.B. Hunt Transport
Services, Inc. (b)........ 6,217 163,321 0.61
Other Securities(1)....... 151,787 0.56
----------- ------
315,108 1.17
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Lam Research Corp.
(a)(b).................. 7,071 150,471 0.56
Other Securities(1)....... 849,382 3.16
----------- ------
999,853 3.72
----------- ------
SOFTWARE
Other Securities(1)....... 946,665 3.53
----------- ------
SPECIALTY RETAIL
Advance Auto Parts,
Inc. ................... 5,347 179,927 0.67
O'Reilly Automotive, Inc.
(a)(b).................. 7,568 232,640 0.87
Other Securities(1)....... 690,404 2.57
----------- ------
1,102,971 4.11
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... 95,489 0.36
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 70,782 0.26
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 91,191 0.34
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Telephone & Data Systems,
Inc. (b)................ 5,789 183,801 0.69
Other Securities(1)....... 221,183 0.82
----------- ------
404,984 1.51
----------- ------
TOTAL COMMON STOCKS --
(Cost $43,417,484)...... 26,792,285 99.79
----------- ------
</Table>
See accompanying notes to financial statements.
95
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending prime
Portfolio (c)(d)........ 7,368,056 $ 7,368,056 27.44%
STIC Prime Portfolio...... 98,663 98,663 0.37
----------- ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $7,466,719)....... 7,466,719 27.81
----------- ------
TOTAL INVESTMENTS
(Cost $50,884,203)...... 34,259,004 127.60
OTHER ASSETS AND
LIABILITIES............. (7,411,235) (27.60)
----------- ------
NET ASSETS................ $26,847,769 100.00
=========== ======
</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 at December 31, 2008.
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
96
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)....... $ 38,632 0.36%
----------- ------
AIRLINES
Delta Air Lines, Inc.
(a)..................... 16,363 187,520 1.75
----------- ------
AUTO COMPONENTS
Other Securities(1)....... 33,432 0.31
----------- ------
BEVERAGES
Other Securities(1)....... 33,472 0.31
----------- ------
BUILDING PRODUCTS
Other Securities(1)....... 106,109 0.99
----------- ------
CAPITAL MARKETS
Other Securities(1)....... 207,506 1.94
----------- ------
CHEMICALS
Lubrizol Corp. (b)........ 1,769 64,374 0.60
Other Securities(1)....... 293,073 2.74
----------- ------
357,447 3.34
----------- ------
COMMERCIAL BANKS
Associated Bancorp(b)..... 3,072 64,297 0.60
Comerica, Inc. (b)........ 3,933 78,070 0.73
Commerce Bancshares,
Inc. ................... 1,588 69,793 0.65
Cullen/Frost Bankers, Inc.
(b)..................... 1,447 73,334 0.68
Huntington Bancshares,
Inc. (b)................ 9,450 72,387 0.68
Marshall & Ilsley Corp.
(b)..................... 6,320 86,205 0.81
Valley National
Bancorp(b).............. 3,479 70,450 0.66
Zions Bancorp............. 3,005 73,653 0.69
Other Securities(1)....... 406,371 3.80
----------- ------
994,560 9.30
----------- ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)....... 38,662 0.36
----------- ------
COMPUTERS & PERIPHERALS
Other Securities(1)....... 101,893 0.95
----------- ------
CONSTRUCTION & ENGINEERING
URS Corp.(a)(b)........... 2,173 88,593 0.83
Other Securities(1)....... 37,795 0.35
----------- ------
126,388 1.18
----------- ------
CONSUMER FINANCE
Other Securities(1)....... 4,100 0.04
----------- ------
CONTAINERS & PACKAGING
Other Securities(1)....... 271,727 2.54
----------- ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)....... 32,946 0.31
----------- ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)....... 42,871 0.40
----------- ------
DIVERSIFIED TELECOMMUNICATION SERVICES
CenturyTel, Inc. (b)...... 2,582 70,566 0.66
Frontier Communications
Corp. (b)............... 8,026 70,147 0.66
----------- ------
140,713 1.32
----------- ------
ELECTRIC UTILITIES
DPL, Inc. ................ 2,989 68,269 0.64
Northeast Utilities (b)... 4,067 97,852 0.91
Pinnacle West Capital
Corp. (b)............... 2,619 84,148 0.79
Other Securities(1)....... 227,080 2.13
----------- ------
477,349 4.47
----------- ------
ELECTRICAL EQUIPMENT
Other Securities(1)....... 134,174 1.26
----------- ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)....... 73,251 0.69
----------- ------
ENERGY EQUIPMENT & SERVICES
Other Securities(1)....... 53,479 0.50
----------- ------
FOOD PRODUCTS
Ralcorp Holdings, Inc.
(a)..................... 1,468 85,731 0.80
The J.M. Smucker Co. (b).. 3,064 132,855 1.24
Other Securities(1)....... 161,870 1.52
----------- ------
380,456 3.56
----------- ------
GAS UTILITIES
AGL Resources, Inc. (b)... 1,972 61,822 0.58
UGI Corp. ................ 2,775 67,765 0.63
Other Securities(1)....... 209,104 1.96
----------- ------
338,691 3.17
----------- ------
HEALTH CARE EQUIPMENT & SUPPLIES
Other Securities(1)....... 125,425 1.17
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)....... 60,237 0.56
----------- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)....... 23,731 0.22
----------- ------
HOUSEHOLD DURABLES
The Black & Decker Corp.
(b)..................... 1,546 64,638 0.60
The Stanley Works (b)..... 2,018 68,814 0.64
Other Securities(1)....... 325,396 3.05
----------- ------
458,848 4.29
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)....... 32,561 0.31
----------- ------
INSURANCE
Arch Capital Group,
Ltd.(a)(b).............. 1,294 90,710 0.85
Arthur J. Gallagher & Co.
(b)..................... 2,449 63,454 0.59
Cincinnati Financial Corp.
(b)..................... 3,946 114,710 1.07
Fidelity National
Financial, Inc. (Class A)
(b)..................... 5,499 97,607 0.91
HCC Insurance Holdings,
Inc. (b)................ 2,991 80,009 0.75
Markel Corp. (a)(b)....... 257 76,843 0.72
Old Republic
International Corp. (b)... 6,024 71,806 0.67
PartnerRe, Ltd. .......... 1,431 101,987 0.95
Reinsurance Group of
America, Inc. ............ 1,616 69,197 0.65
RenaissanceRe Holdings,
Ltd. ................... 1,594 82,187 0.77
Other Securities(1)....... 601,711 5.64
----------- ------
1,450,221 13.57
----------- ------
</Table>
See accompanying notes to financial statements.
97
SPDR DJ WILSHIRE MID CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
IT SERVICES
Lender Processing
Services, Inc. ......... 2,445 $ 72,005 0.67%
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)....... 45,540 0.43
----------- ------
MACHINERY
Other Securities(1)....... 278,671 2.61
----------- ------
MARINE
Other Securities(1)....... 38,706 0.36
----------- ------
MEDIA
Other Securities(1)....... 180,223 1.69
----------- ------
METALS & MINING
Other Securities(1)....... 94,014 0.88
----------- ------
MULTI-UTILITIES
Alliant Energy Corp. ..... 2,871 83,776 0.78
Integrys Energy Group,
Inc. (b)................ 1,970 84,671 0.79
NiSource, Inc. ........... 7,131 78,227 0.73
NSTAR..................... 2,774 101,223 0.95
Puget Energy, Inc. ....... 3,053 83,255 0.78
SCANA Corp. (b)........... 2,738 97,473 0.91
TECO Energy, Inc. (b)..... 5,128 63,331 0.59
Other Securities(1)....... 171,488 1.61
----------- ------
763,444 7.14
----------- ------
MULTILINE RETAIL
Other Securities(1)....... 30,400 0.29
----------- ------
OIL, GAS & CONSUMABLE FUELS
Other Securities(1)....... 575,503 5.38
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)....... 67,782 0.63
----------- ------
PERSONAL PRODUCT
Other Securities(1)....... 55,368 0.52
----------- ------
PHARMACEUTICALS
Perrigo Co. (b)........... 2,182 70,500 0.66
Watson Pharmaceuticals,
Inc. (a)(b)............. 2,721 72,297 0.68
----------- ------
142,797 1.34
----------- ------
PROFESSIONAL SERVICES
Other Securities(1)....... 52,267 0.49
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Federal Realty Investment
Trust(b)................ 1,528 94,858 0.89
Health Care REIT, Inc.
(b)..................... 2,688 113,434 1.06
Nationwide Health
Properties, Inc. (b)...... 2,589 74,356 0.70
Rayonier, Inc. (b)........ 2,021 63,358 0.59
Realty Income Corp. (b)... 2,688 62,227 0.58
Regency Centers Corp.
(b)..................... 1,802 84,153 0.79
Other Securities(1)....... 682,773 6.38
----------- ------
1,175,159 10.99
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)....... 69,392 0.65
----------- ------
ROAD & RAIL
Other Securities(1)....... 131,732 1.23
----------- ------
SOFTWARE
Synopsys, Inc. (a)(b)..... 3,755 69,543 0.65%
Other Securities(1)....... 129,286 1.21
----------- ------
198,829 1.86
----------- ------
SPECIALTY RETAIL
Other Securities(1)....... 96,398 0.90
----------- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... 57,429 0.54
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 62,415 0.58
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 34,593 0.32
----------- ------
WATER UTILITIES
Aqua America, Inc. (b).... 3,483 71,715 0.67
Other Securities(1)....... 31,216 0.29
----------- ------
102,931 0.96
----------- ------
TOTAL COMMON STOCKS --
(Cost $14,722,874)...... 10,651,999 99.63
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)........ 2,325,652 2,325,652 21.75
STIC Prime Portfolio...... 83,286 83,286 0.78
----------- ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $2,408,938)....... 2,408,938 22.53
----------- ------
TOTAL INVESTMENTS
(Cost $17,131,812)...... 13,060,937 122.16
OTHER ASSETS AND
LIABILITIES............. (2,369,494) (22.16)
----------- ------
NET ASSETS................ $10,691,443 100.00
=========== ======
</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 at December 31, 2008.
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
98
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1).......... $ 254,157 1.50%
---------- ----
AIR FREIGHT & LOGISTICS
Other Securities(1).......... 59,181 0.35
---------- ----
AIRLINES
Other Securities(1).......... 153,307 0.90
---------- ----
AUTO COMPONENTS
Other Securities(1).......... 63,245 0.37
---------- ----
AUTOMOBILES
Other Securities(1).......... 11,106 0.07
---------- ----
BEVERAGES
Other Securities(1).......... 42,456 0.25
---------- ----
BIOTECHNOLOGY
Myriad Genetics, Inc.
(a)(b)..................... 767 50,822 0.30
OSI Pharmaceuticals, Inc.
(a)(b)..................... 949 37,059 0.22
Other Securities(1).......... 380,900 2.24
---------- ----
468,781 2.76
---------- ----
BUILDING PRODUCTS
Other Securities(1).......... 126,889 0.75
---------- ----
CAPITAL MARKETS
Lazard, Ltd. (Class A) (b)... 1,224 36,402 0.21
Other Securities(1).......... 232,307 1.37
---------- ----
268,709 1.58
---------- ----
CHEMICALS
Other Securities(1).......... 340,018 2.00
---------- ----
COMMERCIAL BANKS
Associated Bancorp (b)....... 1,922 40,227 0.24
Bank of Hawaii Corp. (b)..... 768 34,691 0.20
Cullen/Frost Bankers, Inc. .. 915 46,372 0.27
First Horizon National Corp.
(b)........................ 3,408 36,028 0.21
Valley National Bancorp (b).. 2,176 44,064 0.26
Other Securities(1).......... 1,091,957 6.45
---------- ----
1,293,339 7.63
---------- ----
COMMERCIAL SERVICES & SUPPLIES
Waste Connections, Inc. (a).. 1,277 40,315 0.24
Other Securities(1).......... 315,400 1.86
---------- ----
355,715 2.10
---------- ----
COMMUNICATIONS EQUIPMENT
Other Securities(1).......... 385,402 2.27
---------- ----
COMPUTERS & PERIPHERALS
Other Securities(1).......... 138,217 0.81
---------- ----
CONSTRUCTION & ENGINEERING
Aecom Technology Corp.
(a)(b)..................... 1,251 38,443 0.23
Other Securities(1).......... 104,885 0.61
---------- ----
143,328 0.84
---------- ----
CONSTRUCTION MATERIALS
Other Securities(1).......... 33,108 0.19
---------- ----
CONSUMER FINANCE
Other Securities(1).......... 71,820 0.42
---------- ----
CONTAINERS & PACKAGING
Aptargroup, Inc. ............ 1,031 36,333 0.21
Other Securities(1).......... 94,463 0.56
---------- ----
130,796 0.77
---------- ----
DISTRIBUTORS
Other Securities(1).......... 27,936 0.16
---------- ----
DIVERSIFIED CONSUMER SERVICES
Strayer Education, Inc. (b).. 230 49,314 0.29
Other Securities(1).......... 206,663 1.22
---------- ----
255,977 1.51
---------- ----
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1).......... 79,896 0.47
---------- ----
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1).......... 112,378 0.66
---------- ----
ELECTRIC UTILITIES
Great Plains Energy, Inc. ... 1,900 36,727 0.22
ITC Holdings Corp. (b)....... 820 35,818 0.21
NV Energy, Inc. ............. 3,763 37,216 0.22
Westar Energy, Inc. ......... 1,740 35,687 0.21
Other Securities(1).......... 177,910 1.05
---------- ----
323,358 1.91
---------- ----
ELECTRICAL EQUIPMENT
Other Securities(1).......... 274,298 1.62
---------- ----
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1).......... 255,857 1.51
---------- ----
ENERGY EQUIPMENT & SERVICES
Tidewater, Inc. (b).......... 829 33,384 0.20
Other Securities(1).......... 294,161 1.73
---------- ----
327,545 1.93
---------- ----
FOOD & STAPLES RETAILING
BJ'S Wholesale Club, Inc.
(a)(b)..................... 991 33,952 0.20
Other Securities(1).......... 118,317 0.70
---------- ----
152,269 0.90
---------- ----
FOOD PRODUCTS
Corn Products International,
Inc. (b)................... 1,222 35,255 0.21
Flowers Foods, Inc. ......... 1,399 34,080 0.20
Ralcorp Holdings, Inc. (a)... 927 54,137 0.32
The J.M. Smucker Co. ........ 1,915 83,034 0.49
Other Securities(1).......... 167,122 0.98
---------- ----
373,628 2.20
---------- ----
GAS UTILITIES
AGL Resources, Inc. (b)...... 1,232 38,623 0.23
Atmos Energy Corp. .......... 1,496 35,455 0.21
Piedmont Natural Gas Co.,
Inc. (b)................... 1,143 36,199 0.21
UGI Corp. ................... 1,738 42,442 0.25
Other Securities(1).......... 199,701 1.18
---------- ----
352,420 2.08
---------- ----
HEALTH CARE EQUIPMENT & SUPPLIES
Edwards Lifesciences Corp.
(a)(b)..................... 913 50,169 0.30
</Table>
See accompanying notes to financial statements.
99
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
%OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Gen-Probe, Inc. (a)....... 891 $ 38,171 0.22%
ResMed, Inc. (a)(b)....... 1,222 45,801 0.27
Other Securities(1)....... 512,741 3.02
----------- ------
646,882 3.81
----------- ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)....... 514,491 3.03
----------- ------
HEALTH CARE TECHNOLOGY
Other Securities(1)....... 60,420 0.36
----------- ------
HOTELS, RESTAURANTS & LEISURE
Other Securities(1)....... 424,941 2.51
----------- ------
HOUSEHOLD DURABLES
Snap-on, Inc. (b)......... 925 36,426 0.22
Other Securities(1)....... 207,497 1.22
----------- ------
243,923 1.44
----------- ------
HOUSEHOLD PRODUCTS
Other Securities(1)....... 13,189 0.08
----------- ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)....... 9,603 0.06
----------- ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)....... 60,640 0.36
----------- ------
INSURANCE
Arthur J. Gallagher &
Co. .................... 1,527 39,565 0.23
First American Corp. ..... 1,336 38,597 0.23
HCC Insurance Holdings,
Inc. (b)................ 1,857 49,675 0.29
Reinsurance Group of
America, Inc. .......... 1,000 42,820 0.25
The Hanover Insurance
Group, Inc. ............ 830 35,665 0.21
Other Securities(1)....... 735,616 4.34
----------- ------
941,938 5.55
----------- ------
INTERNET & CATALOG RETAIL
Other Securities(1)....... 55,372 0.33
----------- ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)....... 246,356 1.45
----------- ------
IT SERVICES
Other Securities(1)....... 292,764 1.73
----------- ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)....... 62,095 0.37
----------- ------
LIFE SCIENCES TOOLS & SERVICES
Techne Corp. ............. 623 40,196 0.24
Other Securities(1)....... 153,065 0.90
----------- ------
193,261 1.14
----------- ------
MACHINERY
Other Securities(1)....... 568,318 3.35
----------- ------
MARINE
Other Securities(1)....... 65,633 0.39
----------- ------
MEDIA
Other Securities(1)....... 225,063 1.33
----------- ------
METALS & MINING
Other Securities(1)....... 198,665 1.17
----------- ------
MULTI-UTILITIES
OGE Energy Corp. ......... 1,476 38,051 0.22
Vectren Corp. ............ 1,344 33,613 0.20
Other Securities(1)....... 73,650 0.44
----------- ------
145,314 0.86
----------- ------
MULTILINE RETAIL
Other Securities(1)....... 50,919 0.30
----------- ------
OFFICE ELECTRONICS
Other Securities(1)....... 20,463 0.12
----------- ------
OIL, GAS & CONSUMABLE FUELS
Comstock Resources, Inc.
(a)(b).................. 756 35,721 0.21
Magellan Midstream
Partners LP (b)......... 1,101 33,261 0.20
Other Securities(1)....... 833,106 4.91
----------- ------
902,088 5.32
----------- ------
PAPER & FOREST PRODUCTS
Other Securities(1)....... 38,565 0.23
----------- ------
PERSONAL PRODUCTS
Alberto-Culver Co. ....... 1,410 34,559 0.20
Other Securities(1)....... 91,998 0.55
----------- ------
126,557 0.75
----------- ------
PHARMACEUTICALS
Perrigo Co. (b)........... 1,367 44,168 0.26
Watson Pharmaceuticals,
Inc.(a)(b).............. 1,686 44,797 0.26
Other Securities(1)....... 150,085 0.89
----------- ------
239,050 1.41
----------- ------
PROFESSIONAL SERVICES
Other Securities(1)....... 202,863 1.20
----------- ------
REAL ESTATE INVESTMENT TRUSTS
Digital Realty Trust, Inc.
(b)..................... 1,102 36,201 0.21
Essex Property Trust, Inc.
(b)..................... 443 34,000 0.20
Nationwide Health
Properties, Inc. (b).... 1,599 45,923 0.27
Realty Income Corp. (b)... 1,677 38,823 0.23
Other Securities(1)....... 854,401 5.04
----------- ------
1,009,348 5.95
----------- ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
The St. Joe Co.(a)(b)..... 1,478 35,945 0.21
Other Securities(1)....... 28,440 0.17
----------- ------
64,385 0.38
----------- ------
ROAD & RAIL
Landstar Systems, Inc.
(b)..................... 875 33,626 0.20
Other Securities(1)....... 117,823 0.69
----------- ------
151,449 0.89
----------- ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)....... 462,353 2.73
----------- ------
SOFTWARE
Other Securities(1)....... 578,687 3.41
----------- ------
SPECIALTY RETAIL
Other Securities(1)....... 429,269 2.53
----------- ------
</Table>
See accompanying notes to financial statements.
100
SPDR DJ WILSHIRE SMALL CAP ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
%OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)....... $ 214,317 1.26%
----------- ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)....... 264,027 1.56
----------- ------
TOBACCO
Other Securities(1)....... 24,691 0.15
----------- ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)....... 142,464 0.84
----------- ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)....... 2,775 0.02
----------- ------
WATER UTILITIES
Aqua America, Inc. (b).... 2,201 45,319 0.27
Other Securities(1)....... 31,026 0.18
----------- ------
76,345 0.45
----------- ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)....... 29,202 0.17
----------- ------
TOTAL COMMON STOCKS --
(Cost $24,592,157)........ 16,873,821 99.50
----------- ------
WARRANTS COMMUNICATIONS EQUIPMENT
Pegasus Wireless Corp.
(a)(c) expiring 12/18/09
(Cost $0)............... 97 0 0.00
----------- ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending Prime
Portfolio(d)(e)........... 4,572,151 4,572,151 26.96
STIC Prime Portfolio...... 131,883 131,883 0.78
----------- ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $4,704,034)....... 4,704,034 27.74
----------- ------
TOTAL INVESTMENTS
(Cost $29,296,191)...... 21,577,855 127.24
OTHER ASSETS AND
LIABILITIES............. (4,619,205) (27.24)
----------- ------
NET ASSETS................ $16,958,650 100.00
=========== ======
</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 at December 31, 2008.
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
101
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Teledyne Technologies,
Inc. (a)(b)............ 5,059 $ 225,378 0.30%
Other Securities(1)...... 1,443,899 1.93
------------ ------
1,669,277 2.23
------------ ------
AIR FREIGHT & LOGISTICS
Other Securities(1)...... 543,341 0.73
------------ ------
AIRLINES
Continental Airlines,
Inc. (Class B) (a)(b).. 16,518 298,315 0.40
Other Securities(1)...... 949,672 1.27
------------ ------
1,247,987 1.67
------------ ------
AUTO COMPONENTS
Other Securities(1)...... 329,890 0.44
------------ ------
AUTOMOBILES
Other Securities(1)...... 75,322 0.10
------------ ------
BEVERAGES
Other Securities(1)...... 153,427 0.20
------------ ------
BIOTECHNOLOGY
Myriad Genetics, Inc.
(a)(b)................. 6,916 458,254 0.61
Onyx Pharmaceuticals,
Inc. (a)(b)............ 8,343 284,997 0.38
OSI Pharmaceuticals, Inc.
(a)(b)................. 8,569 334,619 0.45
Other Securities(1)...... 3,066,358 4.10
------------ ------
4,144,228 5.54
------------ ------
BUILDING PRODUCTS
Other Securities(1)...... 301,386 0.40
------------ ------
CAPITAL MARKETS
Lazard, Ltd. (Class A)
(b).................... 11,395 338,887 0.45
Other Securities(1)...... 854,335 1.15
------------ ------
1,193,222 1.60
------------ ------
CHEMICALS
Nalco Holding Co. ....... 20,564 237,308 0.32
Other Securities(1)...... 600,453 0.80
------------ ------
837,761 1.12
------------ ------
COMMERCIAL BANKS
Other Securities(1)...... 911,450 1.22
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Waste Connections, Inc.
(a).................... 11,947 377,167 0.50
Other Securities(1)...... 1,911,471 2.56
------------ ------
2,288,638 3.06
------------ ------
COMMUNICATIONS EQUIPMENT
F5 Networks, Inc.
(a)(b)................. 12,078 276,103 0.37
Other Securities(1)...... 2,667,943 3.57
------------ ------
2,944,046 3.94
------------ ------
COMPUTERS & PERIPHERALS
QLogic Corp. (a)(b)...... 19,063 256,207 0.34
Other Securities(1)...... 481,795 0.65
------------ ------
738,002 0.99
------------ ------
CONSTRUCTION & ENGINEERING
Aecom Technology Corp.
(a)(b)................. 11,289 346,911 0.46%
Other Securities(1)...... 388,500 0.52
------------ ------
735,411 0.98
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)...... 163,061 0.22
------------ ------
CONSUMER FINANCE
Other Securities(1)...... 552,377 0.74
------------ ------
CONTAINERS & PACKAGING
Other Securities(1)...... 45,522 0.06
------------ ------
DISTRIBUTORS
LKQ Corp. (a)(b)......... 20,788 242,388 0.32
------------ ------
DIVERSIFIED CONSUMER SERVICES
Career Education Corp.
(a)(b)................. 13,343 239,373 0.32
Strayer Education, Inc.
(b).................... 2,141 459,052 0.61
Other Securities(1)...... 1,296,317 1.74
------------ ------
1,994,742 2.67
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)...... 320,506 0.43
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)...... 642,661 0.86
------------ ------
ELECTRIC UTILITIES
ITC Holdings Corp. (b)... 7,448 325,329 0.43
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)...... 1,162,399 1.55
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)...... 1,576,222 2.11
------------ ------
ENERGY EQUIPMENT & SERVICES
Oceaneering
International, Inc.
(a)(b)................. 8,313 242,241 0.32
Other Securities(1)...... 2,012,456 2.69
------------ ------
2,254,697 3.01
------------ ------
FOOD & STAPLES RETAILING
BJ'S Wholesale Club, Inc.
(a)(b)................. 8,922 305,668 0.41
Other Securities(1)...... 383,646 0.51
------------ ------
689,314 0.92
------------ ------
FOOD PRODUCTS
Flowers Foods, Inc. (b).. 12,719 309,835 0.41
Other Securities(1)...... 290,318 0.39
------------ ------
600,153 0.80
------------ ------
GAS UTILITIES
Other Securities(1)...... 45,138 0.06
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Edwards Lifesciences
Corp. (a)(b)........... 8,391 461,085 0.62
Gen-Probe, Inc. (a)...... 8,105 347,218 0.46
Immucor, Inc. (a)........ 10,539 280,127 0.38
ResMed, Inc. (a)(b)...... 11,262 422,100 0.57
Thoratec Corp. (a)(b).... 8,393 272,689 0.37
</Table>
See accompanying notes to financial statements.
102
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
Other Securities(1)...... $ 2,746,395 3.66%
------------ ------
4,529,614 6.06
------------ ------
HEALTH CARE PROVIDERS & SERVICES
AMERIGROUP Corp. (a)..... 7,864 232,145 0.31
VCA Antech, Inc. (a)(b).. 12,564 249,772 0.33
Other Securities(1)...... 3,062,038 4.10
------------ ------
3,543,955 4.74
------------ ------
HEALTH CARE TECHNOLOGY
Other Securities(1)...... 543,196 0.73
------------ ------
HOTELS, RESTAURANTS & LEISURE
Chipotle Mexican Grill,
Inc. (a)(b)............ 4,964 307,669 0.41
Panera Bread Co. (Class
A) (a)................. 4,531 236,699 0.32
Other Securities(1)...... 1,951,496 2.61
------------ ------
2,495,864 3.34
------------ ------
HOUSEHOLD DURABLES
Other Securities(1)...... 373,596 0.50
------------ ------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
Other Securities(1)...... 90,830 0.12
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)...... 130,462 0.17
------------ ------
INSURANCE
Other Securities(1)...... 224,703 0.30
------------ ------
INTERNET & CATALOG RETAIL
Other Securities(1)...... 506,268 0.68
------------ ------
INTERNET SOFTWARE & SERVICES
Equinix, Inc. (a)(b)..... 4,815 256,110 0.34
Other Securities(1)...... 1,908,320 2.55
------------ ------
2,164,430 2.89
------------ ------
IT SERVICES
Broadridge Financial
Solutions, Inc. ....... 20,857 261,547 0.35
NeuStar, Inc. (Class A)
(a).................... 11,662 223,094 0.30
Other Securities(1)...... 1,802,431 2.41
------------ ------
2,287,072 3.06
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)...... 171,158 0.23
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Techne Corp. ............ 5,811 374,926 0.50
Other Securities(1)...... 1,123,726 1.50
------------ ------
1,498,652 2.00
------------ ------
MACHINERY
CLARCOR, Inc. ........... 7,654 253,960 0.34
Wabtec Corp. (b)......... 7,298 290,095 0.39
Other Securities(1)...... 1,913,815 2.56
------------ ------
2,457,870 3.29
------------ ------
MARINE
Other Securities(1)...... 287,353 0.38
------------ ------
MEDIA
John Wiley & Sons, Inc.
(Class A) (b).......... 7,607 270,657 0.36
Marvel Entertainment,
Inc. (a)(b)............ 7,768 238,866 0.32
Other Securities(1)...... 668,123 0.89
------------ ------
1,177,646 1.57
------------ ------
METALS & MINING
Royal Gold, Inc. (b)..... 4,775 234,978 0.31
Other Securities(1)...... 380,581 0.51
------------ ------
615,559 0.82
------------ ------
MULTILINE RETAIL
Other Securities(1)...... 162,409 0.22
------------ ------
OFFICE ELECTRONICS
Other Securities(1)...... 192,125 0.26
------------ ------
OIL, GAS & CONSUMABLE FUELS
Comstock Resources, Inc.
(a)(b)................. 6,848 323,568 0.43
EXCO Resources, Inc.
(a).................... 25,826 233,984 0.31
Other Securities(1)...... 3,233,946 4.33
------------ ------
3,791,498 5.07
------------ ------
PERSONAL PRODUCTS
Other Securities(1)...... 730,836 0.98
------------ ------
PHARMACEUTICALS
Valeant Pharmaceuticals
International (a)(b)... 10,375 237,588 0.32
Other Securities(1)...... 1,054,504 1.41
------------ ------
1,292,092 1.73
------------ ------
PROFESSIONAL SERVICES
Other Securities(1)...... 1,196,801 1.60
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Corporate Office
Properties Trust (b)... 7,724 237,127 0.32
Digital Realty Trust,
Inc. (b)............... 10,015 328,993 0.44
Other Securities(1)...... 799,941 1.07
------------ ------
1,366,061 1.83
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
Other Securities(1)...... 45,893 0.06
------------ ------
ROAD & RAIL
Landstar Systems, Inc.
(b).................... 7,936 304,980 0.41
Other Securities(1)...... 593,559 0.79
------------ ------
898,539 1.20
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Rambus, Inc. (a)(b)...... 15,880 252,810 0.34
Other Securities(1)...... 3,571,975 4.77
------------ ------
3,824,785 5.11
------------ ------
</Table>
See accompanying notes to financial statements.
103
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
SOFTWARE
Concur Technologies, Inc.
(a)(b)................. 7,437 $ 244,082 0.33%
Factset Research Systems,
Inc. (b)............... 6,433 284,596 0.38
Jack Henry & Associates,
Inc. (b)............... 12,750 247,477 0.33
Nuance Communications,
Inc. (a)(b)............ 28,126 291,385 0.39
Parametric Technology
Corp. (a).............. 17,544 221,932 0.30
Solera Holdings, Inc.
(a).................... 10,339 249,170 0.33
Other Securities(1)...... 2,870,871 3.84
------------ ------
4,409,513 5.90
------------ ------
SPECIALTY RETAIL
Other Securities(1)...... 2,244,359 3.00
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)...... 1,017,030 1.36
------------ ------
THRIFTS & MORTGAGE FINANCE
Other Securities(1)...... 371,804 0.50
------------ ------
TRADING COMPANIES & DISTRIBUTORS
MSC Industrial Direct
Co., Inc. (Class A)
(b).................... 6,429 236,780 0.32
Other Securities(1)...... 408,399 0.54
------------ ------
645,179 0.86
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)...... 221,397 0.30
------------ ------
TOTAL COMMON STOCKS --
(Cost $119,377,123).... 74,236,446 99.26
------------ ------
WARRANTS COMMUNICATIONS EQUIPMENT
Pegasus Wireless Corp.
(a)(c) expiring
12/18/09
(Cost $0).............. 569 0 0.00
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending
Prime Portfolio
(d)(e)................. 16,990,202 16,990,202 22.71
STIC Prime Portfolio..... 558,580 558,580 0.75
------------ ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $17,548,782)..... 17,548,782 23.46
------------ ------
TOTAL INVESTMENTS
(Cost $136,925,905).... 91,785,228 122.72
OTHER ASSETS AND
LIABILITIES............ (16,992,242) (22.72)
------------ ------
NET ASSETS............... $ 74,792,986 100.00
============ ======
</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 at December 31, 2008.
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved by
the Board of Trustees.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
104
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
COMMON STOCKS
AEROSPACE & DEFENSE
Other Securities(1)...... $ 552,594 0.84%
------------ ------
AIRLINES
Other Securities(1)...... 130,835 0.20
------------ ------
AUTO COMPONENTS
Other Securities(1)...... 201,081 0.30
------------ ------
AUTOMOBILES
Other Securities(1)...... 22,070 0.03
------------ ------
BEVERAGES
Other Securities(1)...... 197,047 0.30
------------ ------
BIOTECHNOLOGY
Other Securities(1)...... 103,336 0.16
------------ ------
BUILDING PRODUCTS
Other Securities(1)...... 709,515 1.07
------------ ------
CAPITAL MARKETS
Other Securities(1)...... 1,059,631 1.60
------------ ------
CHEMICALS
Other Securities(1)...... 1,894,355 2.87
------------ ------
COMMERCIAL BANKS
Associated Bancorp (a)... 14,664 306,918 0.46
BancorpSouth, Inc. (a)... 9,496 221,827 0.34
Bank of Hawaii Corp.
(a).................... 5,879 265,554 0.40
Cullen/Frost Bankers,
Inc.(a)................ 6,904 349,895 0.53
First Horizon National
Corp. (a).............. 25,432 268,814 0.41
Valley National Bancorp
(a).................... 16,604 336,231 0.51
Other Securities(1)...... 7,228,908 10.94
------------ ------
8,978,147 13.59
------------ ------
COMMERCIAL SERVICES & SUPPLIES
Other Securities(1)...... 792,716 1.20
------------ ------
COMMUNICATIONS EQUIPMENT
Other Securities(1)...... 482,679 0.73
------------ ------
COMPUTERS & PERIPHERALS
Diebold, Inc. ........... 8,086 227,136 0.35
Other Securities(1)...... 209,003 0.31
------------ ------
436,139 0.66
------------ ------
CONSTRUCTION & ENGINEERING
Other Securities(1)...... 466,793 0.71
------------ ------
CONSTRUCTION MATERIALS
Other Securities(1)...... 115,333 0.17
------------ ------
CONSUMER FINANCE
Other Securities(1)...... 72,385 0.11
------------ ------
CONTAINERS & PACKAGING
Aptargroup, Inc. ........ 7,845 276,458 0.42
Other Securities(1)...... 661,154 1.00
------------ ------
937,612 1.42
------------ ------
DISTRIBUTORS
Other Securities(1)...... 11,443 0.02
------------ ------
DIVERSIFIED CONSUMER SERVICES
Other Securities(1)...... 313,746 0.47
------------ ------
DIVERSIFIED FINANCIAL SERVICES
Other Securities(1)...... 338,743 0.51
------------ ------
DIVERSIFIED TELECOMMUNICATION SERVICES
Other Securities(1)...... 316,566 0.48
------------ ------
ELECTRIC UTILITIES
Great Plains Energy, Inc.
(a).................... 14,512 280,517 0.42
Hawaiian Electric
Industries, Inc. (a)... 11,098 245,710 0.37
NV Energy, Inc. ......... 28,710 283,942 0.43
Westar Energy, Inc. ..... 13,298 272,742 0.41
Other Securities(1)...... 1,089,777 1.66
------------ ------
2,172,688 3.29
------------ ------
ELECTRICAL EQUIPMENT
Other Securities(1)...... 1,113,807 1.69
------------ ------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
Other Securities(1)...... 626,727 0.95
------------ ------
ENERGY EQUIPMENT & SERVICES
Tidewater, Inc. (a)...... 6,308 254,023 0.38
Other Securities(1)...... 349,994 0.53
------------ ------
604,017 0.91
------------ ------
FOOD & STAPLES RETAILING
Other Securities(1)...... 572,286 0.87
------------ ------
FOOD PRODUCTS
Corn Products
International, Inc. ... 9,169 264,526 0.40
Ralcorp Holdings, Inc.
(b).................... 6,886 402,142 0.61
The J.M. Smucker Co. .... 14,522 629,674 0.95
Other Securities(1)...... 1,017,431 1.54
------------ ------
2,313,773 3.50
------------ ------
GAS UTILITIES
AGL Resources, Inc. (a).. 9,342 292,872 0.44
Atmos Energy Corp. ...... 11,086 262,738 0.40
Piedmont Natural Gas Co.,
Inc. (a)............... 8,427 266,883 0.40
UGI Corp. ............... 13,219 322,808 0.49
Other Securities(1)...... 1,456,793 2.21
------------ ------
2,602,094 3.94
------------ ------
HEALTH CARE EQUIPMENT & SUPPLIES
Teleflex, Inc. (a)....... 4,824 241,682 0.37
Other Securities(1)...... 887,253 1.34
------------ ------
1,128,935 1.71
------------ ------
HEALTH CARE PROVIDERS & SERVICES
Other Securities(1)...... 931,472 1.41
------------ ------
HOTELS, RESTAURANTS & LEISURE
Wendy's/Arby's Group,
Inc. (a)............... 47,095 232,649 0.35
Other Securities(1)...... 926,282 1.40
------------ ------
1,158,931 1.75
------------ ------
HOUSEHOLD DURABLES
Snap-on, Inc. (a)........ 7,034 276,999 0.42
Other Securities(1)...... 1,250,506 1.89
------------ ------
1,527,505 2.31
------------ ------
</Table>
See accompanying notes to financial statements.
105
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
HOUSEHOLD PRODUCTS
Other Securities(1)...... $ 104,155 0.16%
------------ ------
INDUSTRIAL CONGLOMERATES
Other Securities(1)...... 350,110 0.53
------------ ------
INSURANCE
American Financial Group,
Inc. .................. 9,404 215,164 0.33
Arthur J. Gallagher & Co.
(a).................... 11,702 303,199 0.46
First American Corp.
(a).................... 10,019 289,449 0.44
HCC Insurance Holdings,
Inc. .................. 14,158 378,726 0.57
Reinsurance Group of
America, Inc. ......... 7,608 325,775 0.49
StanCorp Financial Group,
Inc. (a)............... 6,010 251,038 0.38
The Hanover Insurance
Group, Inc. ........... 6,350 272,860 0.41
Other Securities(1)...... 4,890,978 7.41
------------ ------
6,927,189 10.49
------------ ------
INTERNET SOFTWARE & SERVICES
Other Securities(1)...... 61,695 0.09
------------ ------
IT SERVICES
Other Securities(1)...... 311,003 0.47
------------ ------
LEISURE EQUIPMENT & PRODUCTS
Other Securities(1)...... 327,296 0.50
------------ ------
LIFE SCIENCES TOOLS & SERVICES
Other Securities(1)...... 212,794 0.32
------------ ------
MACHINERY
IDEX Corp. (a)........... 10,108 244,108 0.37
Other Securities(1)...... 2,036,420 3.08
------------ ------
2,280,528 3.45
------------ ------
MARINE
Other Securities(1)...... 257,092 0.39
------------ ------
MEDIA
Other Securities(1)...... 737,305 1.12
------------ ------
METALS & MINING
Compass Minerals
International, Inc.
(a).................... 3,961 232,352 0.35
Other Securities(1)...... 764,003 1.16
------------ ------
996,355 1.51
------------ ------
MULTI-UTILITIES
OGE Energy Corp. ........ 11,286 290,953 0.44
Vectren Corp. ........... 10,027 250,775 0.38
Other Securities(1)...... 551,232 0.83
------------ ------
1,092,960 1.65
------------ ------
MULTILINE RETAIL
Other Securities(1)...... 248,378 0.38
------------ ------
OIL, GAS & CONSUMABLE FUELS
Magellan Midstream
Partners LP (a)........ 8,162 246,574 0.37
NuStar Energy LP (a)..... 5,232 214,826 0.33
Tesoro Corp. (a)......... 16,933 223,008 0.34
Other Securities(1)...... 2,941,316 4.45
------------ ------
3,625,724 5.49
------------ ------
PAPER & FOREST PRODUCTS
Other Securities(1)...... 290,384 0.44
------------ ------
PERSONAL PRODUCTS
Alberto-Culver Co. (a)... 10,764 263,826 0.40
Other Securities(1)...... 67,221 0.10
------------ ------
331,047 0.50
------------ ------
PHARMACEUTICALS
Perrigo Co. (a).......... 10,404 336,153 0.51
Watson Pharmaceuticals,
Inc. (a)(b)............ 12,873 342,036 0.51
Other Securities(1)...... 71,476 0.11
------------ ------
749,665 1.13
------------ ------
PROFESSIONAL SERVICES
Watson Wyatt Worldwide,
Inc. (Class A)......... 5,251 251,103 0.38
Other Securities(1)...... 262,892 0.40
------------ ------
513,995 0.78
------------ ------
REAL ESTATE INVESTMENT TRUSTS
Alexandria Real Estate
Equities, Inc. (a)..... 3,878 233,999 0.35
Essex Property Trust,
Inc. (a)............... 3,240 248,670 0.38
Nationwide Health
Properties, Inc. (a)... 12,215 350,815 0.53
Realty Income Corp. (a).. 12,822 296,829 0.45
Senior Housing Properties
Trust (a).............. 13,968 250,307 0.38
Other Securities(1)...... 5,116,702 7.75
------------ ------
6,497,322 9.84
------------ ------
REAL ESTATE MANAGEMENT & DEVELOPMENT
The St. Joe Co. (a)(b)... 11,258 273,795 0.41
Other Securities(1)...... 179,875 0.28
------------ ------
453,670 0.69
------------ ------
ROAD & RAIL
Other Securities(1)...... 396,957 0.60
------------ ------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
Other Securities(1)...... 317,987 0.48
------------ ------
SOFTWARE
Sybase, Inc. (a)(b)...... 9,910 245,470 0.37
Other Securities(1)...... 447,627 0.68
------------ ------
693,097 1.05
------------ ------
SPECIALTY RETAIL
Other Securities(1)...... 1,378,906 2.09
------------ ------
TEXTILES, APPAREL & LUXURY GOODS
Other Securities(1)...... 776,110 1.17
------------ ------
</Table>
See accompanying notes to financial statements.
106
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SUMMARY SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
% OF
NET
SECURITY DESCRIPTION SHARES VALUE ASSETS
- -------------------- ------ ----- ------
THRIFTS & MORTGAGE FINANCE
First Niagara Financial
Group, Inc. (a)........ 14,528 $ 234,918 0.36%
Other Securities(1)...... 1,434,666 2.17
------------ ------
1,669,584 2.53
------------ ------
TOBACCO
Other Securities(1)...... 190,739 0.29
------------ ------
TRADING COMPANIES & DISTRIBUTORS
Other Securities(1)...... 544,403 0.82
------------ ------
TRANSPORTATION INFRASTRUCTURE
Other Securities(1)...... 20,927 0.03
------------ ------
WATER UTILITIES
Aqua America, Inc. (a)... 16,398 337,635 0.51
Other Securities(1)...... 223,882 0.34
------------ ------
561,517 0.85
------------ ------
WIRELESS TELECOMMUNICATION SERVICES
Other Securities(1)...... 37,381 0.06
------------ ------
TOTAL COMMON STOCKS --
(Cost $108,627,174).... 65,841,276 99.67
------------ ------
SHORT TERM INVESTMENTS
MONEY MARKET FUNDS
State Street Navigator
Securities Lending
Prime Portfolio
(c)(d)................. 16,940,317 16,940,317 25.64
STIC Prime Portfolio..... 615,434 615,434 0.93
------------ ------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $17,555,751)..... 17,555,751 26.57
------------ ------
TOTAL INVESTMENTS
(Cost $126,182,925).... 83,397,027 126.24
OTHER ASSETS AND
LIABILITIES............ (17,337,134) (26.24)
------------ ------
NET ASSETS............... $ 66,059,893 100.00
============ ======
</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 at December 31, 2008.
(a) Security, or portion thereof, was on loan as of December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
107
SPDR DJ GLOBAL TITANS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AUSTRALIA -- 1.4%
BHP Billiton Ltd. ADR (a)..... 29,453 $ 1,263,534
------------
BRAZIL -- 0.6%
Petroleo Brasileiro SA ADR.... 27,220 555,560
------------
FINLAND -- 1.2%
Nokia Oyj ADR (a)............. 66,746 1,041,238
------------
FRANCE -- 4.1%
BNP Paribas SA................ 15,107 635,234
France Telecom SA, ADR........ 33,400 937,538
Total SA ADR (a).............. 36,687 2,028,791
------------
3,601,563
------------
GERMANY -- 3.7%
Allianz SE ADR (a)............ 79,455 860,498
E.ON AG....................... 32,475 1,283,834
Siemens AG ADR................ 14,315 1,084,361
------------
3,228,693
------------
ITALY -- 1.2%
Eni SpA ADR................... 21,244 1,015,888
------------
JAPAN -- 3.4%
Mitsubishi UFJ Financial
Group, Inc. ADR............. 203,235 1,262,090
Toyota Motor Corp. ADR........ 26,137 1,710,405
------------
2,972,495
------------
NETHERLANDS ANTILLES -- 1.0%
Schlumberger, Ltd. (a)........ 20,957 887,110
------------
SOUTH KOREA -- 0.9%
Samsung Electronics Co., Ltd.
GDR*........................ 4,306 753,550
------------
SPAIN -- 3.3%
Banco Santander SA, ADR (a)... 139,588 1,324,690
Telefonica SA ADR............. 23,915 1,611,632
------------
2,936,322
------------
SWITZERLAND -- 7.5%
Nestle SA..................... 67,264 2,629,006
Novartis AG ADR............... 42,734 2,126,444
Roche Holding AG.............. 12,391 1,891,800
------------
6,647,250
------------
UNITED KINGDOM -- 11.8%
BP PLC ADR (a)................ 54,625 2,553,172
GlaxoSmithKline PLC ADR (a)... 49,888 1,859,326
HSBC Holdings PLC ADR (a)..... 41,979 2,043,118
Rio Tinto PLC, ADR (a)........ 4,358 387,485
Royal Dutch Shell PLC ADR..... 30,934 1,637,646
Vodafone Group PLC ADR........ 92,253 1,885,651
------------
10,366,398
------------
UNITED STATES -- 59.6%
Abbott Laboratories (a)....... 26,921 1,436,774
Apple, Inc. (a)(b)............ 15,517 1,324,376
AT&T, Inc. ................... 103,819 2,958,841
Bank of America Corp. ........ 108,857 1,532,706
Chevron Corp. ................ 35,471 2,623,790
Cisco Systems, Inc. (b)....... 102,900 1,677,270
Citigroup, Inc. .............. 95,642 641,758
ConocoPhillips (a)............ 24,204 1,253,767
Exxon Mobil Corp. ............ 88,995 7,104,471
General Electric Co. (a)...... 174,596 2,828,455
Hewlett-Packard Co. .......... 43,279 1,570,595
Intel Corp. (a)............... 97,124 1,423,838
International Business
Machines Corp. ............. 23,718 1,996,107
Johnson & Johnson............. 48,853 2,922,875
JPMorgan Chase & Co. ......... 65,173 2,054,905
Merck & Co., Inc. (a)......... 36,875 1,121,000
Microsoft Corp. .............. 138,328 2,689,096
Oracle Corp. (a)(b)........... 68,500 1,214,505
PepsiCo, Inc. ................ 27,304 1,495,440
Pfizer, Inc. ................. 117,791 2,086,079
Philip Morris International,
Inc. ....................... 35,373 1,539,079
Procter & Gamble Co. (a)...... 51,765 3,200,112
The Coca-Cola Co. ............ 37,215 1,684,723
Verizon Communications,
Inc. ....................... 49,942 1,693,034
Wal-Mart Stores, Inc. (a)..... 42,686 2,392,977
------------
52,466,573
------------
TOTAL COMMON STOCKS --
(Cost $123,970,466)......... 87,736,174
------------
SHORT TERM INVESTMENTS -- 15.2%
MONEY MARKET FUNDS -- 15.2%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 12,941,537 12,941,537
STIC Prime Portfolio.......... 483,035 483,035
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $13,424,572).......... 13,424,572
------------
TOTAL INVESTMENTS -- 114.9%
(Cost $137,395,038)......... 101,160,746
OTHER ASSET AND
LIABILITIES -- (14.9)%...... (13,124,529)
------------
NET ASSETS -- 100.0%.......... $ 88,036,217
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investment of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
ADR = American Depositary Receipt
GDR = Global Depositary Receipt
* Security purchased pursuant to Rule 144A of the Securities Act of 1933.
This security, which represents 0.86% of net assets at December 31, 2008,
is considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
See accompanying notes to financial statements.
108
SPDR DJ WILSHIRE REIT ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.1%
DIVERSIFIED REITS -- 9.0%
Colonial Properties Trust
(a)....................... 302,673 $ 2,521,266
Liberty Property Trust...... 705,625 16,109,419
PS Business Parks, Inc. .... 110,337 4,927,650
Vornado Realty Trust........ 1,035,297 62,480,174
Washington Real Estate
Investment Trust (a)...... 364,545 10,316,624
--------------
96,355,133
--------------
INDUSTRIAL REITS -- 5.6%
AMB Property Corp. (a)...... 704,418 16,497,470
DCT Industrial Trust, Inc.
(a)....................... 1,235,378 6,251,013
DuPont Fabros Technology,
Inc. ..................... 254,333 526,469
EastGroup Properties, Inc.
(a)....................... 179,088 6,371,951
First Industrial Realty
Trust, Inc. (a)........... 318,500 2,404,675
First Potomac Realty Trust.. 196,755 1,829,821
ProLogis (a)................ 1,911,398 26,549,318
--------------
60,430,717
--------------
OFFICE REITS -- 16.4%
Alexandria Real Estate
Equities, Inc. (a)........ 229,331 13,837,833
BioMed Realty Trust, Inc. .. 578,097 6,775,297
Boston Properties, Inc.
(a)....................... 855,963 47,077,965
Brandywine Realty Trust..... 637,530 4,915,356
Corporate Office Properties
Trust (a)................. 371,264 11,397,805
Cousins Properties, Inc.
(a)....................... 295,047 4,086,401
Digital Realty Trust, Inc.
(a)....................... 484,734 15,923,512
Douglas Emmett, Inc. (a).... 784,017 10,239,262
Duke Realty Corp. (a)....... 1,047,539 11,481,027
Highwoods Properties,
Inc. ..................... 457,043 12,504,697
HRPT Properties Trust....... 1,621,995 5,466,123
Kilroy Realty Corp. (a)..... 238,044 7,964,952
Mack-Cali Realty Corp. (a).. 472,417 11,574,217
Maguire Properties, Inc.
(a)(b).................... 265,392 387,472
Parkway Properties, Inc.
(a)....................... 109,811 1,976,598
SL Green Realty Corp. (a)... 410,377 10,628,764
--------------
176,237,281
--------------
RESIDENTIAL REITS -- 17.6%
American Campus Communities,
Inc. (a).................. 304,382 6,233,743
Apartment Investment &
Management Co. (Class A)
(a)....................... 728,290 8,411,750
Associated Estates Realty
Corp. (a)................. 119,132 1,087,675
Avalonbay Communities, Inc.
(a)....................... 552,867 33,492,683
BRE Properties, Inc. (a).... 367,889 10,293,534
Camden Property Trust (a)... 379,113 11,881,401
Education Realty Trust, Inc.
(a)....................... 193,355 1,009,313
Equity Lifestyle Properties,
Inc. (a).................. 163,395 6,267,832
Equity Residential (a)...... 1,950,279 58,157,320
Essex Property Trust, Inc.
(a)....................... 192,805 14,797,784
Home Properties, Inc. (a)... 232,224 9,428,294
Mid-America Apartment
Communities, Inc. ........ 202,799 7,536,011
Post Properties, Inc. (a)... 317,370 5,236,605
Sun Communities, Inc. (a)... 120,962 1,693,468
UDR, Inc. (a)............... 978,735 13,496,756
--------------
189,024,169
--------------
RETAIL REITS -- 22.4%
Acadia Realty Trust (a)..... 217,150 3,098,730
Alexander's, Inc. (a)....... 18,645 4,752,610
CBL & Associates Properties,
Inc. (a).................. 476,664 3,098,316
Cedar Shopping Centers,
Inc. ..................... 318,062 2,251,879
Developers Diversified
Realty Corp. (a).......... 859,448 4,194,106
Equity One, Inc. (a)........ 244,220 4,322,694
Federal Realty Investment
Trust (a)................. 422,719 26,242,395
Glimcher Realty Trust (a)... 271,095 761,777
Inland Real Estate Corp.
(a)....................... 428,818 5,566,058
Kimco Realty Corp. (a)...... 1,659,701 30,339,334
Kite Realty Group Trust..... 244,791 1,361,038
Pennsylvania Real Estate
Investment Trust (a)...... 286,048 2,131,058
Ramco-Gershenson Properties
Trust..................... 132,859 821,069
Regency Centers Corp. (a)... 497,952 23,254,358
Saul Centers, Inc. ......... 82,230 3,248,085
Simon Property Group, Inc.
(a)....................... 1,607,255 85,393,458
Tanger Factory Outlet
Centers, Inc. (a)......... 227,530 8,559,679
Taubman Centers, Inc. (a)... 378,519 9,637,094
The Macerich Co. (a)........ 547,580 9,944,053
Weingarten Realty Investors
(a)....................... 581,282 12,026,725
--------------
241,004,516
--------------
SPECIALIZED REITS -- 28.1%
Ashford Hospitality Trust,
Inc. (a).................. 665,530 765,359
DiamondRock Hospitality
Co. ...................... 647,455 3,282,597
Extra Space Storage, Inc. .. 599,489 6,186,726
FelCor Lodging Trust, Inc.
(a)....................... 452,574 832,736
HCP, Inc. .................. 1,817,866 50,482,139
Health Care REIT, Inc. (a).. 744,344 31,411,317
Healthcare Realty Trust,
Inc. (a).................. 423,190 9,936,501
Hersha Hospitality Trust
(a)....................... 346,322 1,038,966
Hospitality Properties Trust
(a)....................... 675,178 10,039,897
Host Hotels & Resorts, Inc.
(a)....................... 3,747,634 28,369,589
LaSalle Hotel Properties
(a)....................... 295,054 3,260,347
Nationwide Health
Properties, Inc. ......... 714,766 20,528,080
Public Storage (a).......... 924,911 73,530,424
Senior Housing Properties
Trust (a)................. 823,997 14,766,026
Sovran Self Storage, Inc. .. 157,156 5,657,616
Strategic Hotels & Resorts,
Inc. (a).................. 534,942 898,703
Sunstone Hotel Investors,
Inc. (a).................. 348,930 2,159,877
U-Store-It Trust (a)........ 339,129 1,509,124
Universal Health Realty
Income Trust.............. 78,903 2,596,698
Ventas, Inc. (a)............ 1,028,041 34,511,336
--------------
301,764,058
--------------
TOTAL COMMON STOCKS --
(Cost $1,746,121,587)..... 1,064,815,874
--------------
</Table>
See accompanying notes to financial statements.
109
SPDR DJ WILSHIRE REIT ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 26.6%
MONEY MARKET FUNDS -- 26.6%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d).......... 273,304,946 $ 273,304,946
STIC Prime Portfolio........ 12,810,808 12,810,808
--------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $286,115,754)....... 286,115,754
--------------
TOTAL INVESTMENTS -- 125.7%
(Cost $2,032,237,341)..... 1,350,931,628
OTHER ASSETS AND
LIABILITIES -- (25.7)%.... (276,095,902)
--------------
NET ASSETS -- 100.0%........ $1,074,835,726
==============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
110
SPDR KBW BANK ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
ASSET MANAGEMENT & CUSTODY BANKS -- 11.6%
Northern Trust Corp. ....... 637,377 $ 33,232,837
State Street Corp. (a)...... 774,752 30,470,996
The Bank of New York Mellon
Corp. .................... 1,435,791 40,675,959
--------------
104,379,792
--------------
CONSUMER FINANCE -- 4.2%
Capital One Financial Corp.
(b)....................... 1,186,866 37,849,157
--------------
DIVERSIFIED BANKS -- 20.0%
Comerica, Inc. (b).......... 1,475,770 29,294,034
U.S. Bancorp (b)............ 2,737,171 68,456,647
Wells Fargo & Co. (b)....... 2,814,030 82,957,604
--------------
180,708,285
--------------
OTHER DIVERSIFIED FINANCIAL SERVICES -- 21.8%
Bank of America Corp. ...... 4,824,231 67,925,172
Citigroup, Inc. ............ 8,466,150 56,807,867
JPMorgan Chase & Co. ....... 2,287,806 72,134,523
--------------
196,867,562
--------------
REGIONAL BANKS -- 38.1%
BB&T Corp .(b).............. 1,236,305 33,948,935
Commerce Bancshares, Inc. .. 387,319 17,022,670
Cullen/Frost Bankers,
Inc. ..................... 320,461 16,240,963
Fifth Third Bancorp (b)..... 2,989,683 24,694,782
Huntington Bancshares, Inc.
(b)....................... 3,119,645 23,896,481
Keycorp..................... 3,555,749 30,294,981
M&T Bank Corp. (b).......... 572,594 32,872,622
Marshall & Ilsley Corp.
(b)....................... 1,652,037 22,533,785
PNC Financial Services
Group, Inc. (b)........... 814,999 39,934,951
Regions Financial Corp.
(b)....................... 3,562,483 28,357,365
SunTrust Banks, Inc. (b).... 1,217,952 35,978,302
Synovus Financial Corp.
(b)....................... 1,168,980 9,702,534
Zions Bancorp(b)............ 1,159,924 28,429,737
--------------
343,908,108
--------------
THRIFTS & MORTGAGE FINANCE -- 3.8%
People's United Financial,
Inc. ..................... 1,900,790 33,891,086
--------------
TOTAL COMMON STOCKS --
(Cost $1,367,822,202)..... 897,603,990
--------------
SHORT TERM INVESTMENTS -- 14.9%
MONEY MARKET FUNDS -- 14.9%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d).......... 126,012,562 126,012,562
STIC Prime Portfolio........ 8,667,248 8,667,248
--------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $134,679,810)....... 134,679,810
--------------
TOTAL INVESTMENTS -- 114.4%
(Cost $1,502,502,012)..... 1,032,283,800
OTHER ASSETS AND
LIABILITIES -- (14.4)%.... (129,657,084)
--------------
NET ASSETS -- 100.0%........ $ 902,626,716
==============
</Table>
(a) Affiliated issuer. (Note 3)
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
111
SPDR KBW CAPITAL MARKETS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
ASSET MANAGEMENT & CUSTODY BANKS -- 25.7%
Franklin Resources, Inc. ..... 37,019 $ 2,361,072
Janus Capital Group, Inc.
(a)......................... 203,262 1,632,194
Legg Mason, Inc. (a).......... 91,311 2,000,624
SEI Investments Co. (a)....... 162,852 2,558,405
State Street Corp. (b)........ 115,346 4,536,558
T. Rowe Price Group, Inc.
(a)......................... 69,367 2,458,366
------------
15,547,219
------------
INVESTMENT BANKING & BROKERAGE -- 53.3%
E*TRADE Financial Corp.
(a)(c)...................... 681,286 783,479
Greenhill & Co., Inc. ........ 8,382 584,812
Investment Technology Group,
Inc. (a)(c)................. 108,243 2,459,281
Jefferies Group, Inc. (a)..... 179,513 2,523,953
Knight Capital Group, Inc.
(Class A) (a)(c)............ 144,530 2,334,160
Lazard, Ltd. (Class A) (a).... 61,250 1,821,575
Morgan Stanley................ 262,129 4,204,549
optionsXpress Holdings, Inc.
(a)......................... 145,336 1,941,689
Raymond James Financial, Inc.
(a)......................... 123,401 2,113,859
Stifel Financial Corp.
(a)(c)...................... 20,902 958,357
TD Ameritrade Holding Corp.
(a)(c)...................... 171,386 2,442,251
The Charles Schwab Corp. ..... 269,144 4,352,058
The Goldman Sachs Group,
Inc. ....................... 67,962 5,735,313
------------
32,255,336
------------
SPECIALIZED FINANCE -- 20.6%
CME Group, Inc. (a)........... 21,321 4,437,113
Interactive Brokers Group,
Inc. (Class A) (a)(c)....... 56,446 1,009,819
Intercontinental Exchange,
Inc. (c).................... 30,461 2,511,205
NYSE Euronext (a)............. 81,651 2,235,604
The Nasdaq OMX Group, Inc.
(a)(c)...................... 93,001 2,298,055
------------
12,491,796
------------
TOTAL COMMON STOCKS --
(Cost $113,074,979)......... 60,294,351
------------
SHORT TERM INVESTMENTS -- 20.7%
MONEY MARKET FUNDS -- 20.7%
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 12,092,991 12,092,991
STIC Prime Portfolio.......... 407,235 407,235
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $12,500,226).......... 12,500,226
------------
TOTAL INVESTMENTS -- 120.3%
(Cost $125,575,205)......... 72,794,577
OTHER ASSETS AND
LIABILITIES -- (20.3)%...... (12,266,519)
------------
NET ASSETS -- 100.0%.......... $ 60,528,058
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Affiliated issuer. (Note 3)
(c) Non-income producing security.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
112
SPDR KBW INSURANCE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
ASSET MANAGEMENT & CUSTODY BANKS -- 3.6%
Ameriprise Financial, Inc.
(a)......................... 172,319 $ 4,025,372
------------
INSURANCE BROKERS -- 7.7%
AON Corp. (a)................. 96,568 4,411,226
Marsh & McLennan Cos., Inc. .. 176,827 4,291,591
------------
8,702,817
------------
LIFE & HEALTH INSURANCE -- 34.3%
AFLAC, Inc. .................. 214,743 9,843,819
Lincoln National Corp. (a).... 195,674 3,686,498
MetLife, Inc. ................ 271,517 9,465,082
Principal Financial Group,
Inc. (a).................... 213,745 4,824,225
Prudential Financial, Inc.
(a)......................... 159,911 4,838,907
Unum Group (a)................ 325,353 6,051,566
------------
38,710,097
------------
MULTI-LINE INSURANCE -- 9.5%
American International Group,
Inc. (a).................... 1,278,331 2,006,980
Assurant, Inc. ............... 116,734 3,502,020
Genworth Financial, Inc.
(Class A) (a)............... 679,005 1,921,584
Hartford Financial Services
Group, Inc. ................ 197,541 3,243,623
------------
10,674,207
------------
PROPERTY & CASUALTY INSURANCE -- 38.5%
Axis Capital Holdings, Ltd.
(a)......................... 148,487 4,323,941
Chubb Corp. .................. 151,746 7,739,046
Cincinnati Financial Corp.
(a)......................... 133,655 3,885,351
Fidelity National Financial,
Inc. (Class A) (a).......... 288,277 5,116,917
MBIA, Inc. (a)................ 475,723 1,936,193
The Allstate Corp. ........... 172,180 5,640,617
The Progressive Corp. (a)..... 266,984 3,954,033
The Travelers Cos., Inc. ..... 196,546 8,883,879
XL Capital, Ltd. (Class A)
(a)......................... 528,717 1,956,253
------------
43,436,230
------------
REINSURANCE -- 3.5%
Everest Re Group, Ltd. ....... 52,413 3,990,726
------------
THRIFTS & MORTGAGE FINANCE -- 2.5%
MGIC Investment Corp. (a)..... 817,586 2,845,199
------------
TOTAL COMMON STOCKS --
(Cost $133,458,731)......... 112,384,648
------------
SHORT TERM INVESTMENTS -- 12.7%
MONEY MARKET FUNDS -- 12.7%
State Street Navigator
Securities Lending Prime
Portfolio (b)(c)............ 13,425,993 13,425,993
STIC Prime Portfolio.......... 861,758 861,758
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $14,287,751).......... 14,287,751
------------
TOTAL INVESTMENTS -- 112.3%
(Cost $147,746,482)......... 126,672,399
OTHER ASSETS AND
LIABILITIES -- (12.3)%...... (13,906,963)
------------
NET ASSETS -- 100.0%.......... $112,765,436
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Investments of cash collateral for securities loaned.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
113
SPDR MORGAN STANLEY TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
COMMUNICATIONS EQUIPMENT -- 20.1%
Cisco Systems, Inc. (a)....... 235,198 $ 3,833,727
Juniper Networks, Inc.
(a)(b)...................... 232,196 4,065,752
Motorola, Inc. (b)............ 879,650 3,896,849
Nokia Oyj ADR................. 249,458 3,891,545
QUALCOMM, Inc. ............... 111,712 4,002,641
Research In Motion, Ltd. (a).. 91,370 3,707,795
Telefonaktiebolaget LM
Ericsson (Class B) ADR (b).. 503,778 3,934,506
------------
27,332,815
------------
COMPUTERS & PERIPHERALS -- 19.6%
Apple, Inc. (a)(b)............ 43,492 3,712,042
Dell, Inc. (a)................ 353,003 3,614,751
EMC Corp. (a)................. 355,937 3,726,660
Hewlett-Packard Co. .......... 110,605 4,013,856
International Business
Machines Corp. ............. 46,871 3,944,663
NetApp, Inc. (a).............. 287,864 4,021,460
Sun Microsystems, Inc. (a).... 940,975 3,594,525
------------
26,627,957
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.0%
Flextronics International,
Ltd. (a).................... 1,572,068 4,024,494
------------
INTERNET & CATALOG RETAIL -- 2.9%
Amazon.com, Inc. (a).......... 75,929 3,893,639
------------
INTERNET SOFTWARE & SERVICES -- 8.4%
eBay, Inc. (a)................ 270,873 3,781,387
Google, Inc. (Class A) (a).... 12,666 3,896,695
Yahoo!, Inc. (a)(b)........... 300,388 3,664,734
------------
11,342,816
------------
IT SERVICES -- 8.7%
Accenture, Ltd. (Class A)..... 121,481 3,983,362
Automatic Data Processing,
Inc. (b).................... 104,122 4,096,159
Infosys Technologies, Ltd. ADR
(b)......................... 153,119 3,762,134
------------
11,841,655
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.2%
Analog Devices, Inc. ......... 206,330 3,924,397
Applied Materials, Inc. (b)... 386,400 3,914,232
Broadcom Corp. (Class A) (a).. 222,579 3,777,166
Intel Corp. (b)............... 270,383 3,963,815
NVIDIA Corp. (a).............. 459,388 3,707,261
Texas Instruments, Inc. ...... 259,587 4,028,790
------------
23,315,661
------------
SOFTWARE -- 20.0%
Activision Blizzard, Inc.
(a)......................... 411,990 3,559,593
Adobe Systems, Inc. (a)....... 176,886 3,765,903
Intuit, Inc. (a)(b)........... 168,346 4,004,951
Microsoft Corp. .............. 204,722 3,979,796
Oracle Corp. (a)(b)........... 220,197 3,904,093
Salesforce.com, Inc. (a)(b)... 121,227 3,880,476
SAP AG ADR.................... 113,508 4,111,260
------------
27,206,072
------------
TOTAL COMMON STOCKS --
(Cost $222,812,384)......... 135,585,109
------------
SHORT TERM INVESTMENTS -- 16.1%
MONEY MARKET FUNDS -- 16.1%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 21,459,142 21,459,142
STIC Prime Portfolio.......... 388,044 388,044
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $21,847,186).......... 21,847,186
------------
TOTAL INVESTMENTS -- 116.0%
(Cost $244,659,570)......... 157,432,295
OTHER ASSETS AND
LIABILITIES -- (16.0)%...... (21,723,377)
------------
NET ASSETS -- 100.0%.......... $135,708,918
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investment of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
ADR = American Depositary Receipt
See accompanying notes to financial statements.
114
SPDR S&P DIVIDEND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
AUTO COMPONENTS -- 1.3%
Johnson Controls, Inc. ....... 310,812 $ 5,644,346
------------
BEVERAGES -- 2.6%
PepsiCo, Inc. ................ 102,729 5,626,467
The Coca-Cola Co. ............ 128,840 5,832,587
------------
11,459,054
------------
CAPITAL MARKETS -- 4.2%
Eaton Vance Corp. (a)......... 303,449 6,375,463
Legg Mason, Inc. (a).......... 536,759 11,760,390
------------
18,135,853
------------
CHEMICALS -- 6.5%
Air Products & Chemicals,
Inc. ....................... 141,630 7,119,740
PPG Industries, Inc. ......... 202,994 8,613,036
RPM International, Inc. ...... 935,686 12,435,267
------------
28,168,043
------------
COMMERCIAL BANKS -- 16.1%
Associated Bancorp (a)........ 543,474 11,374,911
BB&T Corp. (a)................ 392,920 10,789,583
Fulton Financial Corp. (a).... 891,720 8,578,346
M&T Bank Corp. (a)............ 117,367 6,738,039
National Penn Bancshares, Inc.
(a)......................... 529,506 7,683,132
Synovus Financial Corp. (a)... 609,352 5,057,622
U.S. Bancorp.................. 398,380 9,963,484
Wilmington Trust Corp. (a).... 440,002 9,785,645
------------
69,970,762
------------
COMMERCIAL SERVICES & SUPPLIES -- 6.6%
ABM Industries, Inc. ......... 298,766 5,691,492
Avery Dennison Corp. (a)...... 351,492 11,504,333
Pitney Bowes, Inc. ........... 440,633 11,227,329
------------
28,423,154
------------
COMPUTERS & PERIPHERALS -- 1.6%
Diebold, Inc. ................ 246,048 6,911,488
------------
CONTAINERS & PACKAGING -- 3.1%
Bemis Co., Inc. (a)........... 228,284 5,405,765
Sonoco Products Co. .......... 342,189 7,925,097
------------
13,330,862
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.5%
CenturyTel, Inc. (a).......... 553,644 15,131,091
------------
ELECTRICAL EQUIPMENT -- 1.8%
Emerson Electric Co. ......... 214,983 7,870,528
------------
FOOD & STAPLES RETAILING -- 3.2%
SUPERVALU, Inc. (a)........... 936,665 13,675,309
------------
GAS UTILITIES -- 6.0%
National Fuel Gas Co. (a)..... 251,299 7,873,198
Northwest Natural Gas Co.
(a)......................... 126,492 5,594,741
Piedmont Natural Gas Co., Inc.
(a)......................... 177,147 5,610,246
WGL Holdings, Inc. (a)........ 213,944 6,993,829
------------
26,072,014
------------
HOTELS, RESTAURANTS & LEISURE -- 1.4%
McDonald's Corp. ............. 99,103 6,163,216
------------
HOUSEHOLD DURABLES -- 4.7%
Leggett & Platt, Inc. (a)..... 838,157 12,731,605
The Stanley Works............. 227,735 7,765,763
------------
20,497,368
------------
HOUSEHOLD PRODUCTS -- 2.9%
Kimberly-Clark Corp. ......... 133,390 7,034,989
The Clorox Co. ............... 100,665 5,592,947
------------
12,627,936
------------
INDUSTRIAL CONGLOMERATES -- 5.2%
3M Co. (a).................... 91,319 5,254,495
Carlisle Cos., Inc. (a)....... 249,035 5,155,025
General Electric Co. (a)...... 739,372 11,977,826
------------
22,387,346
------------
INSURANCE -- 2.3%
Cincinnati Financial Corp.
(a)......................... 337,134 9,800,485
------------
IT SERVICES -- 1.4%
Automatic Data Processing,
Inc. (a).................... 156,115 6,141,564
------------
MACHINERY -- 1.7%
Dover Corp. (a)............... 225,053 7,408,745
------------
MEDIA -- 4.3%
Gannett Co., Inc. (a)......... 1,588,154 12,705,232
The McGraw-Hill Cos., Inc. ... 265,534 6,157,733
------------
18,862,965
------------
MULTI-UTILITIES -- 9.6%
Black Hills Corp. ............ 397,230 10,709,321
Consolidated Edison, Inc.
(a)......................... 271,637 10,574,828
Integrys Energy Group, Inc.
(a)......................... 263,661 11,332,150
Vectren Corp. (a)............. 353,554 8,842,386
------------
41,458,685
------------
PHARMACEUTICALS -- 7.6%
Eli Lilly & Co. .............. 288,225 11,606,821
Johnson & Johnson............. 98,526 5,894,810
Pfizer, Inc. ................. 860,393 15,237,560
------------
32,739,191
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.9%
V. F. Corp. (a)............... 150,638 8,250,444
------------
TOTAL COMMON STOCKS --
(Cost $460,677,234)......... 431,130,449
------------
SHORT TERM INVESTMENTS -- 20.5%
MONEY MARKET FUNDS -- 20.5%
State Street Navigator
Securities Lending Prime
Portfolio (b)(c)............ 81,803,976 81,803,976
STIC Prime Portfolio.......... 6,756,215 6,756,215
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $88,560,191).......... 88,560,191
------------
TOTAL INVESTMENTS -- 120.0%
(Cost $549,237,425)......... 519,690,640
OTHER ASSETS AND
LIABILITIES -- (20.0)%...... (86,497,984)
------------
NET ASSETS -- 100.0%.......... $433,192,656
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Investments of cash collateral for securities loaned.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
115
SPDR S&P BIOTECH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 100.0%
Alexion Pharmaceuticals,
Inc. (a)(b)............... 624,154 $ 22,588,133
Amgen, Inc. (b)............. 382,932 22,114,323
Amylin Pharmaceuticals, Inc.
(a)(b).................... 2,013,180 21,843,003
Biogen Idec, Inc. (b)....... 473,690 22,561,855
BioMarin Pharmaceutical,
Inc. (a)(b)............... 1,312,684 23,365,775
Celgene Corp. (b)........... 405,066 22,392,048
Cephalon, Inc. (a)(b)....... 285,742 22,013,564
Cepheid, Inc. (a)(b)........ 1,975,467 20,505,347
Cubist Pharmaceuticals, Inc.
(a)(b).................... 894,747 21,617,088
Facet Biotech Corp. (b)..... -- 2
Genentech, Inc. (b)......... 264,418 21,922,896
Genzyme Corp. (b)........... 324,707 21,550,804
Gilead Sciences, Inc.
(a)(b).................... 446,022 22,809,565
Isis Pharmaceuticals, Inc.
(a)(b).................... 1,586,317 22,493,975
Martek Biosciences Corp.
(a)....................... 767,857 23,273,746
Myriad Genetics, Inc.
(a)(b).................... 340,117 22,536,152
Onyx Pharmaceuticals, Inc.
(a)(b).................... 667,018 22,785,335
OSI Pharmaceuticals, Inc.
(a)(b).................... 588,962 22,998,966
PDL BioPharma, Inc. (a)..... 3,280,739 20,274,967
Regeneron Pharmaceuticals,
Inc. (a)(b)............... 1,171,073 21,500,900
United Therapeutics Corp.
(a)(b).................... 353,190 22,092,035
Vertex Pharmaceuticals, Inc.
(a)(b).................... 742,622 22,560,856
-------------
TOTAL COMMON STOCKS --
(Cost $570,635,919)....... 465,801,335
-------------
SHORT TERM INVESTMENTS -- 26.6%
MONEY MARKET FUNDS -- 26.6%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d).......... 123,859,303 123,859,303
STIC Prime Portfolio........ 179,412 179,412
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $124,038,715)....... 124,038,715
-------------
TOTAL INVESTMENTS -- 126.6%
(Cost $694,674,634)....... 589,840,050
OTHER ASSETS AND
LIABILITIES -- (26.6)%.... (123,941,377)
-------------
NET ASSETS -- 100.0%........ $ 465,898,673
=============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
116
SPDR S&P HOMEBUILDERS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
BUILDING PRODUCTS -- 14.4%
Lennox International, Inc.
(a)....................... 832,451 $ 26,879,843
Masco Corp. ................ 2,277,749 25,351,346
Owens Corning, Inc. (a)(b).. 1,466,147 25,364,343
-------------
77,595,532
-------------
HOME FURNISHINGS -- 10.1%
Leggett & Platt, Inc. (a)... 1,800,896 27,355,610
Mohawk Industries, Inc.
(a)(b).................... 623,975 26,812,206
-------------
54,167,816
-------------
HOME IMPROVEMENT RETAIL -- 14.7%
Lowe's Cos., Inc. .......... 1,179,304 25,378,622
The Home Depot, Inc. (a).... 1,097,551 25,265,624
The Sherwin-Williams Co.
(a)....................... 480,377 28,702,526
-------------
79,346,772
-------------
HOMEBUILDING -- 46.2%
Centex Corp. (a)............ 2,293,517 24,403,021
D.R. Horton, Inc. (a)....... 3,572,801 25,259,703
KB HOME (a)(b).............. 1,780,397 24,249,007
Lennar Corp. (Class A) (a).. 2,660,861 23,069,665
M.D.C. Holdings, Inc. (a)... 854,452 25,889,895
Meritage Homes Corp.
(a)(b).................... 1,844,657 22,449,476
NVR, Inc. (a)(b)............ 58,432 26,659,600
Pulte Homes, Inc. (a)....... 2,434,234 26,606,178
Ryland Group, Inc. (a)...... 1,393,874 24,629,753
Toll Brothers, Inc. (a)(b).. 1,224,981 26,251,343
-------------
249,467,641
-------------
HOMEFURNISHING RETAIL -- 14.5%
Aaron Rents, Inc. (a)....... 927,433 24,688,267
Bed Bath & Beyond, Inc.
(a)(b).................... 1,022,020 25,979,748
Rent-A-Center, Inc. (b)..... 1,563,647 27,598,370
-------------
78,266,385
-------------
TOTAL COMMON STOCKS --
(Cost $600,817,002)....... 538,844,146
-------------
SHORT TERM INVESTMENTS -- 24.8%
MONEY MARKET FUNDS -- 24.8%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d).......... 129,332,472 129,332,472
STIC Prime Portfolio........ 4,585,912 4,585,912
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $133,918,384)....... 133,918,384
-------------
TOTAL INVESTMENTS -- 124.7%
(Cost $734,735,386)....... 672,762,530
OTHER ASSETS AND
LIABILITIES -- (24.7)%.... (133,117,291)
-------------
NET ASSETS -- 100.0%........ $ 539,645,239
=============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
117
SPDR S&P METALS & MINING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
ALUMINUM -- 5.2%
Alcoa, Inc. (a)............... 995,202 $ 11,205,974
------------
COAL & CONSUMABLE FUELS -- 30.8%
Alpha Natural Resources, Inc.
(b)......................... 527,478 8,539,869
Arch Coal, Inc. (a)........... 617,277 10,055,442
CONSOL Energy, Inc. .......... 328,568 9,390,474
Foundation Coal Holdings, Inc.
(a)......................... 682,226 9,564,809
Massey Energy Co. (a)......... 725,813 10,008,961
Patriot Coal Corp. (a)(b)..... 1,421,728 8,885,800
Peabody Energy Corp. ......... 417,311 9,493,825
------------
65,939,180
------------
DIVERSIFIED METALS & MINING -- 14.0%
Compass Minerals
International, Inc. (a)..... 170,191 9,983,404
Freeport-McMoRan Copper &
Gold, Inc. ................. 413,817 10,113,687
Titanium Metals Corp. (a)..... 1,129,023 9,946,693
------------
30,043,784
------------
GOLD -- 9.8%
Newmont Mining Corp. (a)...... 253,307 10,309,595
Royal Gold, Inc. (a).......... 215,484 10,603,968
------------
20,913,563
------------
STEEL -- 39.9%
AK Steel Holding Corp. ....... 1,000,322 9,323,001
Allegheny Technologies, Inc.
(a)......................... 393,692 10,050,957
Cliffs Natural Resources,
Inc. ....................... 367,893 9,421,740
Commercial Metals Co. (a)..... 792,605 9,408,221
Nucor Corp. (a)............... 226,812 10,478,714
Reliance Steel & Aluminum
Co. ........................ 457,734 9,127,216
Steel Dynamics, Inc. (a)...... 823,678 9,208,720
United States Steel Corp.
(a)......................... 259,950 9,670,140
Worthington Industries, Inc.
(a)......................... 783,573 8,634,975
------------
85,323,684
------------
TOTAL COMMON STOCKS --
(Cost $433,842,933)......... 213,426,185
------------
SHORT TERM INVESTMENTS -- 20.6%
MONEY MARKET FUNDS -- 20.6%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 42,504,738 42,504,738
STIC Prime Portfolio.......... 1,630,548 1,630,548
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $44,135,286).......... 44,135,286
------------
TOTAL INVESTMENTS -- 120.3%
(Cost $477,978,219)......... 257,561,471
OTHER ASSETS AND
LIABILITIES -- (20.3)%...... (43,440,831)
------------
NET ASSETS -- 100.0%.......... $214,120,640
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
118
SPDR S&P OIL & GAS EQUIPMENT & SERVICES ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES -- 3.9%
IHS, Inc. (Class A) (a)(b).... 98,600 $ 3,689,612
------------
OIL & GAS DRILLING -- 33.3%
Diamond Offshore Drilling,
Inc. (a).................... 65,354 3,851,965
ENSCO International, Inc.
(a)......................... 138,662 3,936,614
Helmerich & Payne, Inc. (a)... 181,942 4,139,181
Nabors Industries, Ltd.
(a)(b)...................... 340,938 4,081,028
Noble Corp. (a)............... 175,405 3,874,696
Patterson-UTI Energy, Inc.
(a)......................... 362,250 4,169,497
Pride International, Inc.
(a)(b)...................... 247,465 3,954,491
Rowan Cos., Inc. (a).......... 245,255 3,899,555
------------
31,907,027
------------
OIL & GAS EQUIPMENT & SERVICES -- 62.6%
Baker Hughes, Inc. (a)........ 127,671 4,094,409
BJ Services Co. (a)........... 340,105 3,969,025
Cameron International Corp.
(b)......................... 192,374 3,943,667
Dresser-Rand Group, Inc. (b).. 233,159 4,021,993
Exterran Holdings, Inc.
(a)(b)...................... 185,346 3,947,870
FMC Technologies, Inc.
(a)(b)...................... 165,745 3,949,703
Halliburton Co. .............. 218,706 3,976,075
National-Oilwell Varco, Inc.
(b)......................... 163,140 3,987,142
Oceaneering International,
Inc. (a)(b)................. 146,947 4,282,036
Schlumberger, Ltd. ........... 94,660 4,006,958
SEACOR Holdings, Inc. (a)(b).. 59,650 3,975,672
Smith International, Inc. .... 163,532 3,743,247
Superior Energy Services, Inc.
(b)......................... 244,220 3,890,425
Tidewater, Inc. (a)........... 99,157 3,993,052
Weatherford International,
Ltd. (a)(b)................. 384,477 4,160,041
------------
59,941,315
------------
TOTAL COMMON STOCKS --
(Cost $196,536,761)......... 95,537,954
------------
SHORT TERM INVESTMENTS -- 23.9%
MONEY MARKET FUNDS -- 23.9%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 22,389,018 22,389,018
STIC Prime Portfolio.......... 479,917 479,917
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $22,868,935).......... 22,868,935
------------
TOTAL INVESTMENTS -- 123.7%
(Cost $219,405,696)......... 118,406,889
OTHER ASSETS AND
LIABILITIES -- (23.7)%...... (22,675,065)
------------
NET ASSETS -- 100.0%.......... $ 95,731,824
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
119
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
INTEGRATED OIL & GAS -- 12.4%
Chevron Corp. ................ 87,909 $ 6,502,629
ConocoPhillips (a)............ 122,634 6,352,441
Exxon Mobil Corp. ............ 83,017 6,627,247
Occidental Petroleum Corp.
(a)......................... 110,150 6,607,898
------------
26,090,215
------------
OIL & GAS EXPLORATION & PRODUCTION -- 69.2%
Anadarko Petroleum Corp. (a).. 167,633 6,462,252
Apache Corp. ................. 83,516 6,224,447
Cabot Oil & Gas Corp. ........ 240,485 6,252,610
Chesapeake Energy Corp. (a)... 390,022 6,306,656
Cimarex Energy Co. (a)........ 240,579 6,442,706
Comstock Resources, Inc.
(a)(b)...................... 138,508 6,544,503
Denbury Resources, Inc.
(a)(b)...................... 642,098 7,011,710
Devon Energy Corp. ........... 93,260 6,128,115
Encore Acquisition Co.
(a)(b)...................... 268,875 6,861,690
EOG Resources, Inc. .......... 95,870 6,383,025
Forest Oil Corp. (a)(b)....... 369,866 6,099,090
Newfield Exploration Co. (b).. 310,907 6,140,413
Noble Energy, Inc. (a)........ 130,207 6,408,789
Penn Virginia Corp. (a)....... 231,734 6,020,449
Petrohawk Energy Corp.
(a)(b)...................... 394,895 6,172,209
Pioneer Natural Resources Co.
(a)......................... 383,482 6,204,739
Plains Exploration &
Production Co. (a)(b)....... 292,007 6,786,243
Range Resources Corp. ........ 181,327 6,235,835
Southwestern Energy Co.
(a)(b)...................... 220,594 6,390,608
St. Mary Land & Exploration
Co. (a)..................... 311,712 6,330,871
Ultra Petroleum Corp. (a)(b).. 186,752 6,444,811
Whiting Petroleum Corp. (b)... 184,226 6,164,202
XTO Energy, Inc. ............. 167,880 5,921,128
------------
145,937,101
------------
OIL & GAS REFINING & MARKETING -- 18.2%
Frontier Oil Corp. (a)........ 516,865 6,528,005
Holly Corp. (a)............... 328,639 5,991,089
Sunoco, Inc. (a).............. 147,224 6,398,355
Tesoro Corp. (a).............. 536,422 7,064,677
Valero Energy Corp. (a)....... 274,120 5,931,957
World Fuel Services Corp.
(a)......................... 173,326 6,413,062
------------
38,327,145
------------
TOTAL COMMON STOCKS --
(Cost $323,310,636)......... 210,354,461
------------
SHORT TERM INVESTMENTS -- 18.9%
MONEY MARKET FUNDS -- 18.9%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 39,135,532 39,135,532
STIC Prime Portfolio.......... 634,928 634,928
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $39,770,460).......... 39,770,460
------------
TOTAL INVESTMENTS -- 118.7%
(Cost $363,081,096)......... 250,124,921
OTHER ASSETS AND
LIABILITIES -- (18.7)%...... (39,461,322)
------------
NET ASSETS -- 100.0%.......... $210,663,599
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
120
SPDR S&P PHARMACEUTICALS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
PHARMACEUTICALS -- 99.7%
Abbott Laboratories (a)....... 35,210 $ 1,879,158
Allergan, Inc. (a)............ 47,798 1,927,215
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 67,524 1,920,383
Bristol-Myers Squibb Co. (a).. 81,844 1,902,873
Eli Lilly & Co. .............. 47,183 1,900,059
Endo Pharmaceuticals Holdings,
Inc. (a)(b)................. 73,030 1,890,016
Forest Laboratories, Inc.
(b)......................... 74,276 1,891,810
Johnson & Johnson............. 31,634 1,892,662
King Pharmaceuticals, Inc.
(a)(b)...................... 179,977 1,911,356
Medicis Pharmaceutical Corp.
(Class A)................... 135,028 1,876,889
Merck & Co., Inc. (a)......... 63,235 1,922,344
Mylan, Inc. (a)(b)............ 193,364 1,912,370
Perrigo Co. (a)............... 58,786 1,899,376
Pfizer, Inc. ................. 105,451 1,867,537
Questcor Pharmaceuticals, Inc.
(b)......................... 201,048 1,871,757
Schering-Plough Corp. (a)..... 109,845 1,870,660
Sepracor, Inc. (a)(b)......... 174,442 1,915,373
The Medicines Co. (b)......... 127,071 1,871,756
Valeant Pharmaceuticals
International (a)(b)........ 82,275 1,884,098
ViroPharma, Inc. (a)(b)....... 139,061 1,810,574
Watson Pharmaceuticals, Inc.
(a)(b)...................... 72,353 1,922,419
Wyeth......................... 50,465 1,892,942
XenoPort, Inc. (b)............ 74,632 1,871,771
------------
TOTAL COMMON STOCKS --
(Cost $41,605,404).......... 43,505,398
------------
SHORT TERM INVESTMENTS -- 26.9%
MONEY MARKET FUNDS -- 26.9%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 11,512,767 11,512,767
STIC Prime Portfolio.......... 241,720 241,720
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $11,754,487).......... 11,754,487
------------
TOTAL INVESTMENTS -- 126.6%
(Cost $53,359,891).......... 55,259,885
OTHER ASSETS AND
LIABILITIES -- (26.6)%...... (11,597,883)
------------
NET ASSETS -- 100.0%.......... $ 43,662,002
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
121
SPDR S&P RETAIL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
APPAREL RETAIL -- 29.1%
Abercrombie & Fitch Co. (Class
A) (a)...................... 200,637 $ 4,628,696
Aeropostale, Inc. (a)(b)...... 268,982 4,330,610
American Eagle Outfitters,
Inc. ....................... 467,235 4,373,320
Collective Brands, Inc. (b)... 401,016 4,699,908
Foot Locker, Inc. (a)......... 587,551 4,312,624
Guess ?, Inc. ................ 318,997 4,896,604
Gymboree Corp. (b)............ 183,276 4,781,671
J. Crew Group, Inc. (a)(b).... 364,372 4,445,338
Limited Brands, Inc. ......... 488,125 4,900,775
Mens Wearhouse, Inc. (a)...... 305,576 4,137,499
Ross Stores, Inc. (a)......... 156,862 4,663,507
The Children's Place Retail
Stores, Inc. (b)............ 227,980 4,942,606
The Gap, Inc. ................ 337,776 4,522,821
The TJX Cos., Inc. ........... 221,938 4,565,265
Urban Outfitters, Inc.
(a)(b)...................... 302,976 4,538,580
------------
68,739,824
------------
AUTOMOTIVE RETAIL -- 10.1%
Advance Auto Parts, Inc. ..... 140,610 4,731,527
AutoNation, Inc. (a)(b)....... 474,940 4,692,407
AutoZone, Inc. (b)............ 34,777 4,850,348
CarMax, Inc. (a)(b)........... 627,836 4,947,348
O'Reilly Automotive, Inc.
(a)(b)...................... 152,188 4,678,259
------------
23,899,889
------------
COMPUTER & ELECTRONICS RETAIL -- 5.6%
Best Buy Co., Inc. (a)........ 163,095 4,584,600
GameStop Corp. (Class A)
(a)(b)...................... 186,276 4,034,738
RadioShack Corp. (a).......... 391,321 4,672,373
------------
13,291,711
------------
DEPARTMENT STORES -- 9.7%
J. C. Penney Co., Inc. (a).... 230,056 4,532,103
Kohl's Corp. (a)(b)........... 128,383 4,647,464
Macy's, Inc. ................. 431,597 4,467,029
Nordstrom, Inc. (a)........... 360,931 4,803,992
Sears Holdings Corp. (a)(b)... 117,030 4,548,956
------------
22,999,544
------------
DRUG RETAIL -- 3.9%
CVS Caremark Corp. ........... 170,044 4,887,065
Walgreen Co. (a).............. 175,793 4,336,813
------------
9,223,878
------------
FOOD RETAIL -- 10.0%
Casey's General Stores,
Inc. ....................... 202,248 4,605,187
Safeway, Inc. ................ 197,138 4,685,970
SUPERVALU, Inc. .............. 351,693 5,134,718
The Kroger Co. ............... 180,258 4,760,614
Whole Foods Market, Inc. ..... 460,131 4,343,636
------------
23,530,125
------------
GENERAL MERCHANDISE STORES -- 5.8%
Dollar Tree Stores, Inc. (b).. 104,929 4,386,032
Family Dollar Stores, Inc. ... 180,960 4,717,628
Target Corp. ................. 133,187 4,598,947
------------
13,702,607
------------
HYPERMARKETS & SUPER CENTERS -- 3.8%
Costco Wholesale Corp. ....... 85,234 4,474,785
Wal-Mart Stores, Inc. ........ 82,234 4,610,038
------------
9,084,823
------------
INTERNET RETAIL -- 8.1%
Amazon.com, Inc. (b).......... 88,933 4,560,484
Expedia, Inc. (b)............. 562,306 4,633,402
Netflix, Inc. (a)(b).......... 165,449 4,945,271
Priceline.com, Inc. (b)....... 66,228 4,877,692
------------
19,016,849
------------
SPECIALTY STORES -- 13.8%
Barnes & Noble, Inc. ......... 315,260 4,728,900
Dick's Sporting Goods, Inc.
(a)(b)...................... 339,780 4,794,296
Office Depot, Inc. (b)........ 1,613,812 4,809,160
PetSmart, Inc. ............... 258,541 4,770,081
Staples, Inc. (a)............. 250,435 4,487,795
Tiffany & Co. ................ 186,766 4,413,281
Tractor Supply Co. (a)(b)..... 125,322 4,529,137
------------
32,532,650
------------
TOTAL COMMON STOCKS --
(Cost $228,714,825)......... 236,021,900
------------
SHORT TERM INVESTMENTS -- 4.9%
MONEY MARKET FUNDS -- 4.9%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 8,882,789 8,882,789
STIC Prime Portfolio.......... 2,862,366 2,862,366
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $11,745,155).......... 11,745,155
------------
TOTAL INVESTMENTS -- 104.8%
(Cost $240,459,980)......... 247,767,055
OTHER ASSETS AND
LIABILITIES -- (4.8)%....... (11,449,856)
------------
NET ASSETS -- 100.0%.......... $236,317,199
============
</Table>
(a) Security, or portion thereof, was on loan at December 31,2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
122
SPDR S&P SEMICONDUCTOR ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.9%
SEMICONDUCTORS -- 99.9%
Advanced Micro Devices, Inc.
(a)(b)....................... 170,018 $ 367,239
Altera Corp. (b)............... 23,476 392,284
Analog Devices, Inc. (b)....... 20,345 386,962
Atmel Corp. (a)(b)............. 123,304 385,942
Broadcom Corp. (Class A) (a)... 21,941 372,339
Cree, Inc. (a)(b).............. 24,535 389,370
Intel Corp. ................... 26,727 391,818
Intersil Corp. (Class A) (b)... 43,315 398,065
Linear Technology Corp. (b).... 17,448 385,950
LSI Logic Corp. (a)(b)......... 99,469 327,253
Microchip Technology, Inc.
(b).......................... 19,681 384,370
Micron Technology, Inc.
(a)(b)....................... 129,077 340,763
Microsemi Corp. (a)(b)......... 33,043 417,663
National Semiconductor Corp.
(b).......................... 37,949 382,146
NVIDIA Corp. (a)(b)............ 45,298 365,555
ON Semiconductor Corp. (a)(b).. 109,023 370,678
PMC-Sierra, Inc. (a)........... 82,820 402,505
Rambus, Inc. (a)(b)............ 24,001 382,096
Silicon Laboratories, Inc.
(a).......................... 15,682 388,600
Skyworks Solutions, Inc. (a)... 71,470 395,944
Texas Instruments, Inc. (b).... 25,593 397,203
Xilinx, Inc. (b)............... 22,296 397,314
-----------
TOTAL COMMON STOCKS --
(Cost $19,407,511)........... 8,422,059
-----------
SHORT TERM INVESTMENTS -- 26.4%
MONEY MARKET FUNDS -- 26.4%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............. 2,215,620 2,215,620
STIC Prime Portfolio........... 15,514 15,514
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $2,231,134)............ 2,231,134
-----------
TOTAL INVESTMENTS -- 126.3%
(Cost $21,638,645)........... 10,653,193
OTHER ASSETS AND
LIABILITIES -- (26.3)%....... (2,220,051)
-----------
NET ASSETS -- 100.0%........... $ 8,433,142
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
123
SPDR KBW REGIONAL BANKING ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
REGIONAL BANKS -- 88.6%
Associated Bancorp (a)...... 880,749 $ 18,434,077
BancorpSouth, Inc. (a)...... 745,202 17,407,919
Bank of Hawaii Corp. (a).... 321,832 14,537,151
BOK Financial Corp. (a)..... 398,048 16,081,139
Boston Private Financial
Holdings, Inc. (a)........ 1,803,838 12,338,252
Cathay General Bancorp (a).. 914,578 21,721,228
Central Pacific Financial
Corp. (a)................. 965,419 9,692,807
Citizens Republic Bancorp,
Inc. (a).................. 2,498,253 7,444,794
City National Corp. (a)..... 414,969 20,208,990
CVB Financial Corp. (a)..... 1,346,540 16,023,826
East West Bancorp, Inc.
(a)....................... 973,927 15,553,614
F.N.B. Corp. (a)............ 1,227,979 16,209,323
First Commonwealth Financial
Corp. (a)................. 1,321,090 16,355,094
First Horizon National Corp.
(a)....................... 1,278,743 13,516,317
First Midwest Bancorp, Inc.
(a)....................... 863,814 17,250,366
FirstMerit Corp. ........... 660,512 13,599,942
Frontier Financial Corp.
(a)....................... 1,651,424 7,200,209
Fulton Financial Corp. (a).. 1,676,787 16,130,691
Glacier Bancorp, Inc. (a)... 931,573 17,718,518
Hancock Holding Co. (a)..... 372,590 16,937,941
IBERIABANK Corp. ........... 313,340 15,040,320
National Penn Bancshares,
Inc. (a).................. 1,160,182 16,834,241
Old National Bancorp (a).... 880,709 15,993,675
Pacific Capital Bancorp
(a)....................... 990,835 16,725,295
PacWest Bancorp (a)......... 618,197 16,629,499
PrivateBancorp, Inc. (a).... 508,125 16,493,738
Prosperity Bancshares, Inc.
(a)....................... 508,112 15,035,034
Signature Bank (a)(b)....... 745,242 21,380,993
South Financial Group, Inc.
(a)....................... 1,642,871 7,097,203
Sterling Bancshares, Inc.
(a)....................... 2,252,663 13,696,191
Sterling Financial
Corp. -- Washington (a)... 1,253,351 11,029,489
Susquehanna Bancshares, Inc.
(a)....................... 1,270,296 20,210,409
SVB Financial Group (a)(b).. 321,793 8,440,630
TCF Financial Corp. (a)..... 1,185,647 16,195,938
The Colonial BancGroup, Inc.
(a)....................... 2,489,771 5,153,826
Trustmark Corp. (a)......... 1,007,725 21,756,783
UCBH Holdings, Inc. (a)..... 2,235,695 15,381,582
UMB Financial Corp. (a)..... 389,580 19,143,961
Umpqua Holdings Corp. (a)... 1,168,683 16,910,843
United Bankshares, Inc.
(a)....................... 431,930 14,348,715
Valley National Bancorp
(a)....................... 804,501 16,291,145
Westamerica Bancorp (a)..... 304,854 15,593,282
Whitney Holding Corp. (a)... 948,498 15,166,483
Wilmington Trust Corp. (a).. 677,503 15,067,667
Wintrust Financial Corp.
(a)....................... 618,183 12,716,024
-------------
682,695,164
-------------
THRIFTS & MORTGAGE FINANCE -- 11.1%
Brookline Bancorp, Inc.
(a)....................... 1,880,043 20,022,458
First Niagara Financial
Group, Inc. (a)........... 1,261,809 20,403,451
Hudson City Bancorp, Inc. .. 1,211,055 19,328,438
Provident Financial
Services, Inc. (a)........ 1,007,777 15,418,988
Webster Financial Corp.
(a)....................... 736,737 10,152,235
-------------
85,325,570
-------------
TOTAL COMMON STOCKS --
(Cost $964,803,024)....... 768,020,734
-------------
SHORT TERM INVESTMENTS -- 26.9%
MONEY MARKET FUNDS -- 26.9%
Federated Prime Obligations
Fund...................... 109 109
State Street Navigator
Securities Lending Prime
Portfolio (c)(d).......... 191,121,184 191,121,184
STIC Prime Portfolio........ 15,820,950 15,820,950
-------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $206,942,243)....... 206,942,243
-------------
TOTAL INVESTMENTS -- 126.6%
(Cost $1,171,745,267)..... 974,962,977
OTHER ASSETS AND
LIABILITIES -- (26.6)%.... (204,619,022)
-------------
NET ASSETS -- 100.0%........ $ 770,343,955
=============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
124
(This page intentionally left blank)
125
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ SPDR SPDR
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)...................................... $140,713,128 $23,043,428 $165,677,451
Investments in securities of affiliated issuers, at
value* (Note 3)..................................... 23,292,252 5,454,049 28,955,817
------------ ----------- ------------
Total Investments................................... 164,005,380 28,497,477 194,633,268
Receivable for investments sold........................ 64,488 -- --
Receivable for Fund shares sold in-kind................ 127,504 -- --
Dividends receivable (Note 2).......................... 289,860 49,068 243,057
------------ ----------- ------------
TOTAL ASSETS...................................... 164,487,232 28,546,545 194,876,325
------------ ----------- ------------
LIABILITIES
Payable upon return of securities loaned............... 23,054,817 5,408,269 28,955,817
Payable for investments purchased...................... 14,781 170,912 --
Distributions payable.................................. 902,915 40,268 708,966
Accrued advisory fee (Note 3).......................... 20,138 3,216 27,142
Accrued trustees fee (Note 3).......................... 596 40 1,286
------------ ----------- ------------
TOTAL LIABILITIES................................. 23,993,247 5,622,705 29,693,211
------------ ----------- ------------
NET ASSETS........................................ $140,493,985 $22,923,840 $165,183,114
============ =========== ============
NET ASSETS CONSIST OF:
Paid in capital (Note 4)............................... $185,398,945 $26,272,812 $274,137,535
Undistributed (distribution in excess of) net
investment income................................... (122,127) (75,265) 15,261
Accumulated net realized gain (loss) on investments and
foreign currency transactions....................... (10,308,360) (276,939) (25,763,809)
Net unrealized appreciation (depreciation) on:
Investments......................................... (34,474,473) (2,996,768) (83,205,873)
------------ ----------- ------------
NET ASSETS........................................ $140,493,985 $22,923,840 $165,183,114
============ =========== ============
NET ASSET VALUE PER SHARE
Net asset value per share.............................. $ 65.34 $ 41.68 $ 36.30
============ =========== ============
Shares outstanding (unlimited amount authorized, $0.01
par value).......................................... 2,150,122 550,000 4,550,113
============ =========== ============
COST OF INVESTMENTS:
Unaffiliated issuers................................... $175,124,562 $26,030,088 $248,883,324
Affiliated issuers..................................... 23,355,291 5,464,157 28,955,817
------------ ----------- ------------
Total cost of investments.............................. $198,479,853 $31,494,245 $277,839,141
============ =========== ============
* Includes $22,867,755, $5,368,382, $28,580,510, $15,081,242, $5,120,827, $7,277,740, $2,340,302,
$4,567,128, $16,891,002 respectively, of investments of securities on loan, at value.
</Table>
See accompanying notes to financial statements.
126
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH
ETF ETF ETF ETF ETF ETF
--------------- ----------- -------------- ------------- ----------- ----------------
$101,662,747 $20,310,042 $ 26,890,948 $10,735,285 $17,005,704 $ 74,795,026
15,482,517 5,154,190 7,368,056 2,325,652 4,572,151 16,990,202
------------ ----------- ------------ ----------- ----------- ------------
117,145,264 25,464,232 34,259,004 13,060,937 21,577,855 91,785,228
-- 26,813 -- 30,106 46,007 198,890
-- -- -- -- -- 33,968
307,789 42,990 25,491 30,633 32,942 59,058
------------ ----------- ------------ ----------- ----------- ------------
117,453,053 25,534,035 34,284,495 13,121,676 21,656,804 92,077,144
------------ ----------- ------------ ----------- ----------- ------------
15,076,946 5,154,190 7,368,056 2,325,652 4,572,151 16,990,202
1,096,213 108,152 -- 74,017 102,588 51,825
91,710 6,713 63,133 28,962 19,986 228,581
15,165 3,775 5,347 1,555 3,366 13,147
448 103 190 47 63 403
------------ ----------- ------------ ----------- ----------- ------------
16,280,482 5,272,933 7,436,726 2,430,233 4,698,154 17,284,158
------------ ----------- ------------ ----------- ----------- ------------
$101,172,571 $20,261,102 $ 26,847,769 $10,691,443 $16,958,650 $ 74,792,986
============ =========== ============ =========== =========== ============
$147,219,021 $30,375,016 $ 46,843,219 $16,657,287 $24,987,913 $123,130,367
(158,752) (13,602) 3,024 6,229 (14,368) 21,839
(7,154,535) (768,973) (3,373,275) (1,901,198) (296,559) (3,218,543)
(38,733,163) (9,331,339) (16,625,199) (4,070,875) (7,718,336) (45,140,677)
------------ ----------- ------------ ----------- ----------- ------------
$101,172,571 $20,261,102 $ 26,847,769 $10,691,443 $16,958,650 $ 74,792,986
============ =========== ============ =========== =========== ============
$ 50.57 $ 33.77 $ 38.35 $ 35.64 $ 37.69 $ 57.53
============ =========== ============ =========== =========== ============
2,000,553 600,000 700,000 300,000 450,000 1,300,107
============ =========== ============ =========== =========== ============
$140,240,752 $29,641,381 $ 43,516,147 $14,806,160 $24,724,040 $119,935,703
15,637,675 5,154,190 7,368,056 2,325,652 4,572,151 16,990,202
------------ ----------- ------------ ----------- ----------- ------------
$155,878,427 $34,795,571 $ 50,884,203 $17,131,812 $29,296,191 $136,925,905
============ =========== ============ =========== =========== ============
</Table>
127
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ GLOBAL SPDR
SMALL CAP VALUE TITANS DJ WILSHIRE
ETF ETF REIT ETF
--------------- ------------ --------------
ASSETS
Investments in securities of unaffiliated issuers, at
value (Note 2).................................... $ 66,456,710 $ 88,219,209 $1,077,626,682
Investments in securities of affiliated issuers, at
value* (Note 3)................................... 16,940,317 12,941,537 273,304,946
------------ ------------ --------------
Total Investments................................. 83,397,027 101,160,746 1,350,931,628
Foreign currency, at value........................... -- 232,707 --
Cash................................................. -- -- 654
Receivable for investments sold...................... 57 389,311 35,716
Dividends receivable (Note 2)........................ 193,302 302,679 10,166,523
Interest receivable.................................. -- -- --
------------ ------------ --------------
TOTAL ASSETS.................................... 83,590,386 102,085,443 1,361,134,521
------------ ------------ --------------
LIABILITIES
Payable upon return of securities loaned............. 16,940,317 12,941,537 273,304,946
Payable for Fund shares repurchased in-kind.......... -- -- --
Payable for investments purchased.................... 8,883 292,864 3,040,276
Distributions payable................................ 567,706 777,073 9,748,263
Accrued advisory fee (Note 3)........................ 13,148 37,057 199,071
Accrued trustees fee (Note 3)........................ 439 695 6,239
------------ ------------ --------------
TOTAL LIABILITIES............................... 17,530,493 14,049,226 286,298,795
------------ ------------ --------------
NET ASSETS...................................... $ 66,059,893 $ 88,036,217 $1,074,835,726
============ ============ ==============
NET ASSETS CONSIST OF:
Paid in capital (Note 4)............................. $112,136,186 $145,103,541 $1,890,552,225
Undistributed (distribution in excess of) net
investment income................................. 29,469 34,541 (2,661,996)
Accumulated net realized gain (loss) on investments
and foreign currency transactions................. (3,319,864) (20,853,721) (131,748,790)
Net unrealized appreciation (depreciation) on:
Investments....................................... (42,785,898) (36,234,292) (681,305,713)
Foreign currency.................................. -- (13,852) --
------------ ------------ --------------
NET ASSETS...................................... $ 66,059,893 $ 88,036,217 $1,074,835,726
============ ============ ==============
NET ASSET VALUE PER SHARE
Net asset value per share............................ $ 42.58 $ 47.58 $ 40.44
============ ============ ==============
Shares outstanding (unlimited amount authorized,
$0.01 par value).................................. 1,551,320 1,850,320 26,576,019
============ ============ ==============
COST OF INVESTMENTS:
Unaffiliated issuers................................. $109,242,608 $124,453,501 $1,758,932,395
Affiliated issuers................................... 16,940,317 12,941,537 273,304,946
------------ ------------ --------------
Total cost of investments............................ $126,182,925 $137,395,038 $2,032,237,341
============ ============ ==============
Foreign currency, at cost............................ $ -- $ 244,737 $ --
============ ============ ==============
* Includes $16,969,532, $12,786,299, $279,591,800, $127,019,837, $12,167,192, $13,380,336,
$21,112,917, $81,215,310, $122,805,253 respectively, of investments of securities on loan, at
value.
</Table>
See accompanying notes to financial statements.
128
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
SPDR KBW KBW MORGAN STANLEY SPDR S&P SPDR S&P
KBW BANK CAPITAL MARKETS INSURANCE TECHNOLOGY DIVIDEND BIOTECH
ETF ETF ETF ETF ETF ETF
- -------------- --------------- ------------ -------------- ------------ -------------
$ 875,800,242 $ 56,165,028 $113,246,406 $135,973,153 $437,886,664 $ 465,980,747
156,483,558 16,629,549 13,425,993 21,459,142 81,803,976 123,859,303
- -------------- ------------ ------------ ------------ ------------ -------------
1,032,283,800 72,794,577 126,672,399 157,432,295 519,690,640 589,840,050
-- -- -- -- -- --
-- -- -- -- -- --
19,662,227 -- -- -- -- --
3,025,600 80,119 248,742 150,539 2,037,545 --
-- -- -- -- -- 113,781
- -------------- ------------ ------------ ------------ ------------ -------------
1,054,971,627 72,874,696 126,921,141 157,582,834 521,728,185 589,953,831
- -------------- ------------ ------------ ------------ ------------ -------------
126,012,562 12,092,991 13,425,993 21,459,142 81,803,976 123,859,303
34,229 -- 621 -- 713 --
19,542,033 -- -- -- 577,750 --
6,494,125 236,878 704,695 356,332 6,035,593 62,238
257,492 16,224 24,131 57,291 116,343 131,439
4,470 545 265 1,151 1,154 2,178
- -------------- ------------ ------------ ------------ ------------ -------------
152,344,911 12,346,638 14,155,705 21,873,916 88,535,529 124,055,158
- -------------- ------------ ------------ ------------ ------------ -------------
$ 902,626,716 $ 60,528,058 $112,765,436 $135,708,918 $433,192,656 $ 465,898,673
============== ============ ============ ============ ============ =============
$1,607,895,717 $165,329,981 $142,705,920 $297,683,076 $541,510,144 $ 601,764,279
(195,637) (9,471) (234,872) 1,783 (1,403,419) 7,909,179
(234,855,152) (52,011,824) (8,631,529) (74,748,666) (77,367,284) (38,940,201)
-- -- -- -- -- --
(470,218,212) (52,780,628) (21,074,083) (87,227,275) (29,546,785) (104,834,584)
- -------------- ------------ ------------ ------------ ------------ -------------
$ 902,626,716 $ 60,528,058 $112,765,436 $135,708,918 $433,192,656 $ 465,898,673
============== ============ ============ ============ ============ =============
$ 21.96 $ 26.32 $ 27.50 $ 33.93 $ 40.48 $ 53.55
============== ============ ============ ============ ============ =============
41,101,969 2,300,000 4,100,000 4,000,106 10,700,203 8,700,000
============== ============ ============ ============ ============ =============
$1,326,569,259 $105,924,566 $134,320,489 $223,200,428 $467,433,449 $ 570,815,331
175,932,753 19,650,639 13,425,993 21,459,142 81,803,976 123,859,303
- -------------- ------------ ------------ ------------ ------------ -------------
$1,502,502,012 $125,575,205 $147,746,482 $244,659,570 $549,237,425 $ 694,674,634
============== ============ ============ ============ ============ =============
$ -- $ -- $ -- $ -- $ -- $ --
============== ============ ============ ============ ============ =============
</Table>
129
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P
OIL & GAS
SPDR S&P SPDR S&P EQUIPMENT &
HOMEBUILDERS METALS & SERVICES
ETF MINING ETF ETF
------------- ------------- -------------
ASSETS
Investments in securities of unaffiliated issuers, at
value (Note 2)...................................... $ 543,430,058 $ 215,056,733 $ 96,017,871
Investments in securities of affiliated issuers, at
value* (Note 3)..................................... 129,332,472 42,504,738 22,389,018
------------- ------------- -------------
Total Investments................................... 672,762,530 257,561,471 118,406,889
Receivable for investments sold........................ -- 327,259 --
Receivable for Fund shares sold in-kind................ -- -- --
Receivable due from Advisor............................ -- -- --
Dividends receivable (Note 2).......................... 859,780 237,276 74,995
------------- ------------- -------------
TOTAL ASSETS...................................... 673,622,310 258,126,006 118,481,884
------------- ------------- -------------
LIABILITIES
Payable upon return of securities loaned............... 129,332,472 42,504,738 22,389,018
Payable for Fund shares repurchased in-kind............ 6,570 233 96
Payable for investments purchased...................... -- -- --
Distributions payable.................................. 4,476,445 1,450,079 332,886
Accrued advisory fee (Note 3).......................... 159,229 47,857 27,038
Accrued trustees fee (Note 3).......................... 2,355 2,459 1,022
------------- ------------- -------------
TOTAL LIABILITIES................................. 133,977,071 44,005,366 22,750,060
------------- ------------- -------------
NET ASSETS........................................ $ 539,645,239 $ 214,120,640 $ 95,731,824
============= ============= =============
NET ASSETS CONSIST OF:
Paid in capital (Note 4)............................... $ 798,840,279 $ 561,406,689 $ 229,862,003
Undistributed (distribution in excess of) net
investment income................................... (725,803) (380,684) 8,959
Accumulated net realized gain (loss) on investments and
foreign currency transactions....................... (196,496,381) (126,488,617) (33,140,331)
Net unrealized appreciation (depreciation) on:
Investments......................................... (61,972,856) (220,416,748) (100,998,807)
------------- ------------- -------------
NET ASSETS........................................ $ 539,645,239 $ 214,120,640 $ 95,731,824
============= ============= =============
NET ASSET VALUE PER SHARE
Net asset value per share.............................. $ 12.05 $ 27.81 $ 17.09
============= ============= =============
Shares outstanding (unlimited amount authorized, $0.01
par value).......................................... 44,800,000 7,700,011 5,600,000
============= ============= =============
COST OF INVESTMENTS:
Unaffiliated issuers................................... $ 605,402,914 $ 435,473,481 $ 197,016,678
Affiliated issuers..................................... 129,332,472 42,504,738 22,389,018
------------- ------------- -------------
Total cost of investments.............................. $ 734,735,386 $ 477,978,219 $ 219,405,696
============= ============= =============
* Includes $128,839,501, $42,105,970, $22,289,399, $38,740,226, $11,379,113, $8,933,387,
$2,169,783, $192,363,858 respectively, of investments of securities on loan, at value.
</Table>
See accompanying notes to financial statements.
130
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P SPDR KBW
OIL & GAS SPDR S&P SPDR S&P REGIONAL
EXPLORATION & PHARMACEUTICALS SPDR S&P SEMICONDUCTOR BANKING
PRODUCTION ETF ETF RETAIL ETF ETF ETF
-------------- --------------- ------------ ------------- --------------
$ 210,989,389 $43,747,118 $238,884,266 $ 8,437,573 $ 783,841,793
39,135,532 11,512,767 8,882,789 2,215,620 191,121,184
------------- ----------- ------------ ------------ --------------
250,124,921 55,259,885 247,767,055 10,653,193 974,962,977
-- 9,744,037 -- -- 14,410,488
-- -- -- -- 492
-- -- 53,830 -- --
181,831 72,484 395,312 5,876 2,310,309
------------- ----------- ------------ ------------ --------------
250,306,752 65,076,406 248,216,197 10,659,069 991,684,266
------------- ----------- ------------ ------------ --------------
39,135,532 11,512,767 8,882,789 2,215,620 191,121,184
2,640 -- -- -- --
-- 9,639,536 15,817 -- 14,375,654
450,791 250,197 2,984,923 7,694 15,618,487
52,748 11,845 14,244 2,469 222,251
1,442 59 1,225 144 2,735
------------- ----------- ------------ ------------ --------------
39,643,153 21,414,404 11,898,998 2,225,927 221,340,311
------------- ----------- ------------ ------------ --------------
$ 210,663,599 $43,662,002 $236,317,199 $ 8,433,142 $ 770,343,955
============= =========== ============ ============ ==============
$ 384,045,311 $43,081,561 $259,716,978 $ 36,891,273 $1,042,398,446
(26,443) (29,022) (185,171) 21,967 (3,051,604)
(60,399,094) (1,290,531) (30,521,683) (17,494,646) (72,220,597)
(112,956,175) 1,899,994 7,307,075 (10,985,452) (196,782,290)
------------- ----------- ------------ ------------ --------------
$ 210,663,599 $43,662,002 $236,317,199 $ 8,433,142 $ 770,343,955
============= =========== ============ ============ ==============
$ 29.67 $ 30.11 $ 20.37 $ 24.09 $ 29.23
============= =========== ============ ============ ==============
7,100,000 1,450,134 11,600,018 350,000 26,350,582
============= =========== ============ ============ ==============
$ 323,945,564 $41,847,124 $231,577,191 $ 19,423,025 $ 980,624,083
39,135,532 11,512,767 8,882,789 2,215,620 191,121,184
------------- ----------- ------------ ------------ --------------
$ 363,081,096 $53,359,891 $240,459,980 $ 21,638,645 $1,171,745,267
============= =========== ============ ============ ==============
</Table>
131
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2008 (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)............................... $ 1,537,290 $ 140,366 $ 1,493,986
Dividend income on securities of affiliated
issuers (Note 3)............................... 2,199 279 --
Affiliated Securities lending -- net (Note 3 and
Note 8)........................................ 113,112 13,808 135,429
Foreign taxes withheld............................ (108) (10) (90)
------------ ----------- ------------
TOTAL INVESTMENT INCOME........................... 1,652,493 154,443 1,629,325
------------ ----------- ------------
EXPENSES
Advisory fee (Note 3)............................. 122,648 10,253 231,992
Trustees fee (Note 3)............................. 1,537 104 3,232
Miscellaneous expense............................. 3,974 3,008 453
------------ ----------- ------------
TOTAL EXPENSES.................................... 128,159 13,365 235,677
------------ ----------- ------------
NET INVESTMENT INCOME (LOSS)...................... 1,524,334 141,078 1,393,648
------------ ----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers...................................... 1,112,899 (271,534) (10,673,619)
Investments in securities of affiliated
issuers...................................... 4,391 -- (107,989)
Net change in unrealized appreciation
(depreciation) on:
Investments.................................... (41,159,198) (1,924,968) (83,967,779)
------------ ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY............. (40,041,908) (2,196,502) (94,749,387)
------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $(38,517,574) $(2,055,424) $(93,355,739)
============ =========== ============
</Table>
See accompanying notes to financial statements.
132
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
LARGE CAP VALUE MID CAP MID CAP GROWTH MID CAP VALUE SMALL CAP SMALL CAP GROWTH
ETF ETF ETF ETF ETF ETF
--------------- ----------- -------------- ------------- ----------- ----------------
$ 1,815,060 $ 226,076 $ 115,023 $ 183,452 $ 169,318 $ 333,489
4,454 -- -- -- -- --
78,192 31,827 51,368 13,526 31,125 165,165
(39) (80) -- (74) (67) (63)
------------ ----------- ------------ ----------- ----------- ------------
1,897,667 257,823 166,391 196,904 200,376 498,591
------------ ----------- ------------ ----------- ----------- ------------
92,889 25,449 41,738 10,988 18,094 95,169
1,148 268 470 125 162 1,004
3,878 4,856 3,553 3,929 4,842 4,190
------------ ----------- ------------ ----------- ----------- ------------
97,915 30,573 45,761 15,042 23,098 100,363
------------ ----------- ------------ ----------- ----------- ------------
1,799,752 227,250 120,630 181,862 177,278 398,228
------------ ----------- ------------ ----------- ----------- ------------
(5,668,160) (595,961) (1,573,886) (812,668) (225,052) (3,635,509)
(13,037) -- -- -- -- --
(22,524,881) (8,309,815) (14,304,142) (1,957,189) (5,312,907) (30,134,361)
------------ ----------- ------------ ----------- ----------- ------------
(28,206,078) (8,905,776) (15,878,028) (2,769,857) (5,537,959) (33,769,870)
------------ ----------- ------------ ----------- ----------- ------------
$(26,406,326) $(8,678,526) $(15,757,398) $(2,587,995) $(5,360,681) $(33,371,642)
============ =========== ============ =========== =========== ============
</Table>
133
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DJ WILSHIRE DJ GLOBAL DJ WILSHIRE
SMALL CAP VALUE TITANS REIT
ETF ETF ETF
--------------- ------------ -------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated
issuers (Note 2)............................... $ 1,415,529 $ 1,997,539 $ 42,295,812
Dividend income on securities of affiliated
issuers (Note 3)............................... -- -- --
Affiliated Securities lending -- net (Note 3 and
Note 8)........................................ 154,794 72,672 886,690
Foreign taxes withheld............................ (505) (63,352) --
------------ ------------ -------------
TOTAL INVESTMENT INCOME........................... 1,569,818 2,006,859 43,182,502
------------ ------------ -------------
EXPENSES
Advisory fee (Note 3)............................. 102,428 307,787 1,483,447
Trustees fee (Note 3)............................. 1,050 1,645 15,630
Miscellaneous expense............................. 5,114 241 2,284
------------ ------------ -------------
TOTAL EXPENSES.................................... 108,592 309,673 1,501,361
------------ ------------ -------------
NET INVESTMENT INCOME (LOSS)...................... 1,461,226 1,697,186 41,681,141
------------ ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers...................................... (228,383) (8,315,248) (98,167,189)
Investments in securities of affiliated
issuers...................................... -- -- --
Foreign currency transactions.................. -- (2,250) --
Net change in unrealized appreciation
(depreciation) on:
Investments.................................... (25,191,372) (33,490,969) (461,672,779)
Foreign currency............................... -- (20,588) --
------------ ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY............. (25,419,755) (41,829,055) (559,839,968)
------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $(23,958,529) $(40,131,869) $(518,158,827)
============ ============ =============
</Table>
See accompanying notes to financial statements.
134
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR SPDR SPDR
KBW KBW KBW MORGAN STANLEY S&P S&P
BANK CAPITAL MARKETS INSURANCE TECHNOLOGY DIVIDEND BIOTECH
ETF ETF ETF ETF ETF ETF
------------- --------------- ------------ -------------- ------------ ------------
$ 25,253,396 $ 898,060 $ 1,064,277 $ 823,469 $ 8,043,365 $ 8,199,535
335,184 55,541 -- -- -- --
1,543,706 91,859 70,854 118,459 379,206 570,074
-- -- -- -- -- --
------------- ------------ ------------ ------------ ------------ ------------
27,132,286 1,045,460 1,135,131 941,928 8,422,571 8,769,609
------------- ------------ ------------ ------------ ------------ ------------
1,830,628 161,394 116,598 499,226 530,022 853,996
11,241 1,328 682 2,895 2,937 5,596
1,766 188 101 401 647 839
------------- ------------ ------------ ------------ ------------ ------------
1,843,635 162,910 117,381 502,522 533,606 860,431
------------- ------------ ------------ ------------ ------------ ------------
25,288,651 882,550 1,017,750 439,406 7,888,965 7,909,178
------------- ------------ ------------ ------------ ------------ ------------
(207,839,510) (42,887,941) (40,283,306) (32,626,027) (63,580,547) 1,167,445
(8,214,934) (2,039,546) -- -- -- --
-- -- -- -- -- --
(154,462,584) (5,250,017) 7,993,256 (63,664,058) 35,068,600 (80,449,173)
-- -- -- -- -- --
------------- ------------ ------------ ------------ ------------ ------------
(370,517,028) (50,177,504) (32,290,050) (96,290,085) (28,511,947) (79,281,728)
------------- ------------ ------------ ------------ ------------ ------------
$(345,228,377) $(49,294,954) $(31,272,300) $(95,850,679) $(20,622,982) $(71,372,550)
============= ============ ============ ============ ============ ============
</Table>
135
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 2008
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
S&P
SPDR SPDR OIL & GAS
S&P S&P EQUIPMENT &
HOMEBUILDERS METALS & MINING SERVICES
ETF ETF ETF
------------- --------------- -------------
INVESTMENT INCOME
Dividend income on securities of unaffiliated
issuers (Note 2).............................. $ 5,213,089 $ 2,157,818 $ 727,544
Affiliated Securities lending -- net (Note 3 and
Note 8)....................................... 1,744,954 305,090 101,355
------------- ------------- -------------
TOTAL INVESTMENT INCOME.......................... 6,958,043 2,462,908 828,899
------------- ------------- -------------
EXPENSES
Advisory fee (Note 3)............................ 987,587 591,361 280,628
Trustees fee (Note 3)............................ 6,288 5,957 2,586
Miscellaneous expense............................ 1,172 769 336
------------- ------------- -------------
TOTAL EXPENSES................................... 995,047 598,087 283,550
------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)..................... 5,962,996 1,864,821 545,349
------------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments in securities of unaffiliated
issuers..................................... (381,560,693) (171,846,296) (23,841,819)
Net change in unrealized appreciation
(depreciation) on:
Investments................................... 106,276,274 (260,694,735) (150,067,999)
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY............ (275,284,419) (432,541,031) (173,909,818)
------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $(269,321,423) $(430,676,210) $(173,364,469)
============= ============= =============
</Table>
See accompanying notes to financial statements.
136
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
S&P SPDR
OIL & GAS SPDR SPDR KBW
EXPLORATION & S&P SPDR S&P REGIONAL
PRODUCTION PHARMACEUTICALS S&P RETAIL SEMICONDUCTOR BANKING
ETF ETF ETF ETF ETF
------------- --------------- ------------- ------------- ------------
$ 1,211,266 $ 216,559 $ 3,351,288 $ 116,550 $ 12,486,335
152,669 46,903 590,237 43,749 2,815,084
------------- ---------- ------------- ------------ ------------
1,363,935 263,462 3,941,525 160,299 15,301,419
------------- ---------- ------------- ------------ ------------
456,038 40,876 590,287 37,587 1,268,507
3,633 159 3,660 363 7,302
522 25 634 47 1,143
------------- ---------- ------------- ------------ ------------
460,193 41,060 594,581 37,997 1,276,952
------------- ---------- ------------- ------------ ------------
903,742 222,402 3,346,944 122,302 14,024,467
------------- ---------- ------------- ------------ ------------
(128,426,506) (767,420) (317,187,747) (14,634,567) (32,899,574)
(117,895,289) 2,178,991 38,727,377 2,684,381 (42,580,703)
------------- ---------- ------------- ------------ ------------
(246,321,795) 1,411,571 (278,460,370) (11,950,186) (75,480,277)
------------- ---------- ------------- ------------ ------------
$(245,418,053) $1,633,973 $(275,113,426) $(11,827,884) $(61,455,810)
============= ========== ============= ============ ============
</Table>
137
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
TOTAL MARKET LARGE CAP
ETF ETF
--------------------------- -------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).................. $ 1,524,334 $ 2,244,548 $ 141,078 $ 177,274
Net realized gain (loss) on investments and
foreign currency transactions.............. 1,117,290 3,186,022 (271,534) 727,553
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions...................... (41,159,198) (21,214,649) (1,924,968) (2,121,495)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.................. (38,517,574) (15,784,079) (2,055,424) (1,216,668)
------------ ------------ ----------- -----------
Net equalization credits and charges (Note
2)......................................... 144,074 41,743 73,557 203
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (1,576,125) (2,289,838) (215,896) (177,131)
Net realized gains............................ -- -- -- (15,041)
------------ ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS........... (1,576,125) (2,289,838) (215,896) (192,172)
------------ ------------ ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.......... 63,664,493 19,545,099 16,261,945 6,883,341
Net proceeds from reinvestment of shares
issued..................................... 352 101 -- --
Cost of shares redeemed....................... (9,189,802) (5,576,845) -- (6,878,146)
Net income equalization (Note 2).............. (144,074) (41,743) (73,557) (203)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS.............. 54,330,969 13,926,612 16,188,388 4,992
------------ ------------ ----------- -----------
Net increase (decrease) in net assets during
year....................................... 14,381,344 (4,105,562) 13,990,625 (1,403,645)
Net assets at beginning of year............... 126,112,641 130,218,203 8,933,215 10,336,860
------------ ------------ ----------- -----------
NET ASSETS END OF YEAR (1)...................... $140,493,985 $126,112,641 $22,923,840 $ 8,933,215
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold................................... 900,000 200,000 400,000 100,000
Shares issued to shareholders from
reinvestment of distributions.............. 4 1 -- --
Shares redeemed............................... (100,000) (50,000) -- (100,000)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE)......................... 800,004 150,001 400,000 --
============ ============ =========== ===========
(1) Including undistributed (distribution in
excess of) net investment income........... $ (122,127) $ (70,336) $ (75,265) $ (447)
============ ============ =========== ===========
</Table>
See accompanying notes to financial statements.
138
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
DJ WILSHIRE DJ WILSHIRE DJ WILSHIRE
LARGE CAP GROWTH LARGE CAP VALUE MID CAP
ETF ETF ETF
---------------------------- --------------------------- -------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------- ------------ ------------ ------------ ----------- -----------
$ 1,393,648 $ 2,373,733 $ 1,799,752 $ 3,454,312 $ 227,250 $ 267,638
(10,781,608) 7,751,617 (5,681,197) 9,349,127 (595,961) 1,031,186
(83,967,779) (25,147,072) (22,524,881) (37,561,456) (8,309,815) (4,543,696)
------------- ------------ ------------ ------------ ----------- -----------
(93,355,739) (15,021,722) (26,406,326) (24,758,017) (8,678,526) (3,244,872)
------------- ------------ ------------ ------------ ----------- -----------
(72,396) 53,609 168,971 (133,124) 18,273 (3,315)
------------- ------------ ------------ ------------ ----------- -----------
(1,306,174) (2,447,123) (2,055,266) (3,329,881) (211,356) (286,883)
-- -- -- -- -- (1,081,382)
------------- ------------ ------------ ------------ ----------- -----------
(1,306,174) (2,447,123) (2,055,266) (3,329,881) (211,356) (1,368,265)
------------- ------------ ------------ ------------ ----------- -----------
10,924,078 125,624,489 44,444,690 29,080,124 8,331,238 5,453,476
47 -- 4,937 6,865 -- --
(40,094,232) (42,848,098) (8,243,388) (56,818,532) -- (5,074,560)
72,396 (53,609) (168,971) 133,124 (18,273) 3,315
------------- ------------ ------------ ------------ ----------- -----------
(29,097,711) 82,722,782 36,037,268 (27,598,419) 8,312,965 382,231
------------- ------------ ------------ ------------ ----------- -----------
(123,832,020) 65,307,546 7,744,647 (55,819,441) (58,644) (4,234,221)
289,015,134 223,707,588 93,427,924 149,247,365 20,819,746 25,053,967
------------- ------------ ------------ ------------ ----------- -----------
$ 165,183,114 $289,015,134 $101,172,571 $ 93,427,924 $20,261,102 $20,819,746
============= ============ ============ ============ =========== ===========
250,000 2,200,000 800,000 350,000 200,000 100,000
1 -- 74 84 -- --
(1,050,000) (750,000) (150,000) (700,000) -- (100,000)
------------- ------------ ------------ ------------ ----------- -----------
(799,999) 1,450,000 650,074 (349,916) 200,000 --
============= ============ ============ ============ =========== ===========
$ 15,261 $ (72,213) $ (158,752) $ 96,762 $ (13,602) $ (29,496)
============= ============ ============ ============ =========== ===========
</Table>
139
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
MID CAP GROWTH MID CAP VALUE
ETF ETF
--------------------------- -------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------ ----------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................... $ 120,630 $ 190,598 $ 181,862 $ 299,689
Net realized gain (loss) on investments and
foreign currency transactions............... (1,573,886) 1,375,831 (812,668) (1,625,365)
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions....................... (14,304,142) (6,371,142) (1,957,189) (1,554,983)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS............................. (15,757,398) (4,804,713) (2,587,995) (2,880,659)
------------ ------------ ----------- -----------
NET EQUALIZATION CREDITS AND CHARGES........... (75) (1,714) (2,894) (25,215)
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.......................... (111,351) (193,740) (158,660) (302,238)
Net realized gains............................. -- (726,522) -- --
------------ ------------ ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS............ (111,351) (920,262) (158,660) (302,238)
------------ ------------ ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares........... 1,774,145 41,395,403 3,369,910 --
Net proceeds from reinvestment of shares
issued...................................... -- -- -- --
Cost of shares redeemed........................ (3,034,805) (15,799,591) -- (5,678,054)
Net income equalization........................ 75 1,714 2,894 25,215
------------ ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............... (1,260,585) 25,597,526 3,372,804 (5,652,839)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets during
year........................................ (17,129,409) 19,870,837 623,255 (8,860,951)
Net assets at beginning of year................ 43,977,178 24,106,341 10,068,188 18,929,139
------------ ------------ ----------- -----------
NET ASSETS END OF YEAR (1)....................... $ 26,847,769 $ 43,977,178 $10,691,443 $10,068,188
============ ============ =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold.................................... 50,000 600,000 100,000 --
Shares issued to shareholders from reinvestment
of distributions............................ -- -- -- --
Shares redeemed................................ (50,000) (250,000) -- (100,000)
------------ ------------ ----------- -----------
NET INCREASE (DECREASE)........................ -- 350,000 100,000 (100,000)
============ ============ =========== ===========
(1) Including undistributed (distribution in
excess of) net investment income............ $ 3,024 $ (6,255) $ 6,229 $ (16,973)
============ ============ =========== ===========
</Table>
See accompanying notes to financial statements.
140
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
DJ WILSHIRE
SMALL CAP VALUE
ETF
---------------------------
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
SMALL CAP SMALL CAP GROWTH
ETF ETF
------------------------- ---------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
----------- ----------- ------------ ------------ ------------ ------------
$ 177,278 $ 163,631 $ 398,228 $ 432,859 $ 1,461,226 $ 2,066,772
(225,052) 735,067 (3,635,509) 14,964,160 (228,383) 5,149,277
(5,312,907) (2,758,524) (30,134,361) (27,173,239) (25,191,372) (30,679,465)
----------- ----------- ------------ ------------ ------------ ------------
(5,360,681) (1,859,826) (33,371,642) (11,776,220) (23,958,529) (23,463,416)
----------- ----------- ------------ ------------ ------------ ------------
18,255 8,188 36,266 3,615 (47,559) 14,047
----------- ----------- ------------ ------------ ------------ ------------
(157,378) (181,544) (355,166) (433,982) (951,201) (2,295,875)
-- -- -- (1,492,119) (266,335) (424,791)
----------- ----------- ------------ ------------ ------------ ------------
(157,378) (181,544) (355,166) (1,926,101) (1,217,536) (2,720,666)
----------- ----------- ------------ ------------ ------------ ------------
8,659,970 14,851,257 29,318,080 70,646,661 32,619,180 9,480,238
-- -- 88 559 3,607 10,808
-- (8,977,921) (6,926,931) (59,224,273) (31,243,081) (13,540,557)
(18,255) (8,188) (36,266) (3,615) 47,559 (14,047)
----------- ----------- ------------ ------------ ------------ ------------
8,641,715 5,865,148 22,354,971 11,419,332 1,427,265 (4,063,558)
----------- ----------- ------------ ------------ ------------ ------------
3,141,911 3,831,966 (11,335,571) (2,279,374) (23,796,359) (30,233,593)
13,816,739 9,984,773 86,128,557 88,407,931 89,856,252 120,089,845
----------- ----------- ------------ ------------ ------------ ------------
$16,958,650 $13,816,739 $ 74,792,986 $ 86,128,557 $ 66,059,893 $ 89,856,252
=========== =========== ============ ============ ============ ============
200,000 250,000 450,000 700,000 550,000 150,000
-- -- 1 6 64 166
-- (150,000) (100,000) (600,000) (550,000) (200,000)
----------- ----------- ------------ ------------ ------------ ------------
200,000 100,000 (350,001) 100,006 64 (49,834)
=========== =========== ============ ============ ============ ============
$ (14,368) $ (34,268) $ 21,839 $ (21,223) $ 29,469 $ (480,556)
=========== =========== ============ ============ ============ ============
</Table>
141
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
DJ
SPDR DJ WILSHIRE
GLOBAL TITANS REIT
ETF ETF
--------------------------- -------------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED YEAR ENDED YEAR
12/31/08 ENDED 12/31/08 ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------ -------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).............. $ 1,697,186 $ 4,569,354 $ 41,681,141 $ 34,780,063
Net realized gain (loss) on investments
and foreign currency transactions...... (8,317,498) (7,992,699) (98,167,189) 51,644,515
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions.......... (33,511,557) (21,693,159) (461,672,779) (284,506,178)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.............. (40,131,869) (25,116,504) (518,158,827) (198,081,600)
------------ ------------ -------------- --------------
Net equalization credits and charges...... (89,518) 78,677 2,827,034 2,733,717
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (1,598,060) (4,723,060) (27,887,071) (58,172,700)
------------ ------------ -------------- --------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares...... 18,918,119 27,231,499 453,637,491 735,860,724
Net proceeds from reinvestment of shares
issued................................. 2,236 3,706 223,328 265,995
Cost of shares redeemed................... (52,808,140) (3,849,946) (122,775,355) (437,969,362)
Net income equalization................... 89,518 (78,677) (2,827,034) (2,733,717)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS.......... (33,798,267) 23,306,582 328,258,430 295,423,640
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
during year............................ (75,617,714) (6,454,305) (214,960,434) 41,903,057
Net assets at beginning of year........... 163,653,931 170,108,236 1,289,796,160 1,247,893,103
------------ ------------ -------------- --------------
NET ASSETS END OF YEAR (1).................. $ 88,036,217 $163,653,931 $1,074,835,726 $1,289,796,160
============ ============ ============== ==============
SHARES OF BENEFICIAL INTEREST:
Shares sold............................... 350,000 350,000 9,150,000 10,100,000
Shares issued to shareholders from
reinvestment of distributions.......... 35 48 3,428 3,537
Shares redeemed........................... (950,000) (50,000) (2,300,000) (5,800,000)
------------ ------------ -------------- --------------
NET INCREASE (DECREASE)..................... (599,965) 300,048 6,853,428 4,303,537
============ ============ ============== ==============
(1) Including undistributed (distribution in
excess of) net investment income....... $ 34,541 $ (64,585) $ (2,661,996) $ (16,456,066)
============ ============ ============== ==============
</Table>
See accompanying notes to financial statements.
142
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
KBW KBW KBW
BANK CAPITAL MARKETS INSURANCE
ETF ETF ETF
--------------------------------- ------------------------------- -----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
12/31/08 ENDED 12/31/08 ENDED 12/31/08 ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
--------------- --------------- ------------- --------------- ------------- -------------
$ 25,288,651 $ 17,645,349 $ 882,550 $ 1,404,657 $ 1,017,750 $ 2,058,705
(216,054,444) (71,181,193) (44,927,487) (33,359,964) (40,283,306) (9,563,252)
(154,462,584) (313,025,630) (5,250,017) (42,353,956) 7,993,256 (28,059,915)
--------------- --------------- ------------- --------------- ------------- -------------
(345,228,377) (366,561,474) (49,294,954) (74,309,263) (31,272,300) (35,564,462)
--------------- --------------- ------------- --------------- ------------- -------------
368,541 6,463,701 12,446 274,818 234,625 241,888
--------------- --------------- ------------- --------------- ------------- -------------
(20,137,399) (22,992,238) (676,846) (1,696,609) (1,049,623) (2,328,352)
--------------- --------------- ------------- --------------- ------------- -------------
3,696,641,538 4,476,767,384 345,976,575 2,178,610,256 292,604,933 516,506,101
38,554 25,301 -- -- -- --
(3,311,967,884) (3,276,027,101) (352,777,054) (2,071,307,179) (210,891,391) (474,652,361)
(368,541) (6,463,701) (12,446) (274,818) (234,625) (241,888)
--------------- --------------- ------------- --------------- ------------- -------------
384,343,667 1,194,301,883 (6,812,925) 107,028,259 81,478,917 41,611,852
--------------- --------------- ------------- --------------- ------------- -------------
19,346,432 811,211,872 (56,772,279) 31,297,205 49,391,619 3,960,926
883,280,284 72,068,412 117,300,337 86,003,132 63,373,817 59,412,891
--------------- --------------- ------------- --------------- ------------- -------------
$ 902,626,716 $ 883,280,284 $ 60,528,058 $ 117,300,337 $ 112,765,436 $ 63,373,817
=============== =============== ============= =============== ============= =============
128,100,000 106,350,000 8,550,000 34,200,000 9,000,000 9,900,000
1,354 612 -- -- -- --
(117,900,000) (76,750,000) (8,850,000) (32,850,000) (6,450,000) (9,350,000)
--------------- --------------- ------------- --------------- ------------- -------------
10,201,354 29,600,612 (300,000) 1,350,000 2,550,000 550,000
=============== =============== ============= =============== ============= =============
$ (195,637) $ (5,346,889) $ (9,471) $ (215,175) $ (234,872) $ (202,999)
=============== =============== ============= =============== ============= =============
</Table>
143
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
MORGAN STANLEY TECHNOLOGY S&P DIVIDEND
ETF ETF
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................ $ 439,406 $ 608,029 $ 7,888,965 $ 9,929,169
Net realized gain (loss) on investments and
foreign currency transactions............ (32,626,027) (1,131,878) (63,580,547) (7,300,900)
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.................... (63,664,058) (30,793,772) 35,068,600 (74,999,594)
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................ (95,850,679) (31,317,621) (20,622,982) (72,371,325)
------------ ------------ ------------ ------------
Net equalization credits and charges........ (20,760) (20,040) 972,261 99,649
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (421,802) (623,850) (9,107,950) (10,113,603)
Net realized gains.......................... -- -- -- (3,272,942)
------------ ------------ ------------ ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS......... (421,802) (623,850) (9,107,950) (13,386,545)
------------ ------------ ------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares........ 57,877,726 112,430,275 266,944,736 67,799,118
Net proceeds from reinvestment of shares
issued................................... 109 -- 3,550 4,601
Cost of shares redeemed..................... (54,766,906) (40,429,206) (34,403,164) (26,986,453)
Net income equalization..................... 20,760 20,040 (972,261) (99,649)
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............ 3,131,689 72,021,109 231,572,861 40,717,617
------------ ------------ ------------ ------------
Net increase (decrease) in net assets during
year..................................... (93,161,552) 40,059,598 202,814,190 (44,940,604)
Net assets at beginning of year............. 228,870,470 188,810,872 230,378,466 275,319,070
------------ ------------ ------------ ------------
NET ASSETS END OF YEAR (1).................... $135,708,918 $228,870,470 $433,192,656 $230,378,466
============ ============ ============ ============
SHARES OF BENEFICIAL INTEREST:
Shares sold................................. 1,300,000 1,850,000 6,250,000 1,250,000
Shares issued to shareholders from
reinvestment of distributions............ 2 -- 72 85
Shares redeemed............................. (1,450,000) (750,000) (750,000) (450,000)
------------ ------------ ------------ ------------
NET INCREASE (DECREASE)....................... (149,998) 1,100,000 5,500,072 800,085
============ ============ ============ ============
(1) Including undistributed (distribution in
excess of) net investment income......... $ 1,783 $ (15,821) $ (1,403,419) $ (184,434)
============ ============ ============ ============
</Table>
See accompanying notes to financial statements.
144
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR
S&P BIOTECH S&P HOMEBUILDERS S&P METALS & MINING
ETF ETF ETF
----------------------------- --------------------------------- ---------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------- ------------- --------------- --------------- --------------- ---------------
$ 7,909,178 $ 3,117,219 $ 5,962,996 $ 8,290,987 $ 1,864,821 $ 2,065,183
1,167,445 22,042,568 (381,560,693) (142,189,940) (171,846,296) 130,740,731
(80,449,173) (17,796,047) 106,276,274 (123,156,917) (260,694,735) 48,689,578
------------- ------------- --------------- --------------- --------------- ---------------
(71,372,550) 7,363,740 (269,321,423) (257,055,870) (430,676,210) 181,495,492
------------- ------------- --------------- --------------- --------------- ---------------
(78,667) (73,636) 828,276 (1,258,222) 351,510 (11,437)
------------- ------------- --------------- --------------- --------------- ---------------
(62,239) (3,143,730) (8,008,987) (6,970,799) (2,577,009) (1,900,215)
-- -- -- -- -- --
------------- ------------- --------------- --------------- --------------- ---------------
(62,239) (3,143,730) (8,008,987) (6,970,799) (2,577,009) (1,900,215)
------------- ------------- --------------- --------------- --------------- ---------------
582,241,060 513,373,804 1,524,972,420 5,717,311,767 1,252,620,460 2,105,539,857
-- -- -- -- 342 327
(309,249,345) (360,208,917) (1,243,549,758) (5,248,799,178) (1,424,439,504) (1,669,482,816)
78,667 73,636 (828,276) 1,258,222 (351,510) 11,437
------------- ------------- --------------- --------------- --------------- ---------------
273,070,382 153,238,523 280,594,386 469,770,811 (172,170,212) 436,068,805
------------- ------------- --------------- --------------- --------------- ---------------
201,556,926 157,384,897 4,092,252 204,485,920 (605,071,921) 615,652,645
264,341,747 106,956,850 535,552,987 331,067,067 819,192,561 203,539,916
------------- ------------- --------------- --------------- --------------- ---------------
$ 465,898,673 $ 264,341,747 $ 539,645,239 $ 535,552,987 $ 214,120,640 $ 819,192,561
============= ============= =============== =============== =============== ===============
9,450,000 8,900,000 93,300,000 269,300,000 24,450,000 28,650,000
-- -- -- -- 6 5
(5,350,000) (6,400,000) (80,900,000) (247,800,000) (25,450,000) (23,200,000)
------------- ------------- --------------- --------------- --------------- ---------------
4,100,000 2,500,000 12,400,000 21,500,000 (999,994) 5,450,005
============= ============= =============== =============== =============== ===============
$ 7,909,179 $ 62,240 $ (725,803) $ 1,320,188 $ (380,684) $ 331,504
============= ============= =============== =============== =============== ===============
</Table>
145
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 MONTHS
ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------- ------------- --------------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................ $ 545,349 $ 533,539 $ 903,742 $ 423,269
Net realized gain (loss) on investments and
foreign currency transactions............ (23,841,819) 20,853,423 (128,426,506) 69,600,369
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.................... (150,067,999) 35,819,574 (117,895,289) 6,341,520
------------- ------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................ (173,364,469) 57,206,536 (245,418,053) 76,365,158
------------- ------------- --------------- --------------
Net equalization credits and charges........ (7,514) 20,424 25,433 52,962
------------- ------------- --------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (492,162) (577,767) (893,467) (462,680)
Net realized gains.......................... -- (476,105) -- --
------------- ------------- --------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS......... (492,162) (1,053,872) (893,467) (462,680)
------------- ------------- --------------- --------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares........ 61,209,173 197,459,958 1,221,177,140 1,166,925,024
Net proceeds from reinvestment of shares
issued................................... -- -- -- --
Cost of shares redeemed..................... (71,568,769) (117,592,013) (1,076,154,436) (969,915,790)
Net income equalization..................... 7,514 (20,424) (25,433) (52,962)
------------- ------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS............ (10,352,082) 79,847,521 144,997,271 196,956,272
------------- ------------- --------------- --------------
VOLUNTARY CONTRIBUTION FROM ADVISOR......... -- -- -- --
------------- ------------- --------------- --------------
Net increase (decrease) in net assets during
year..................................... (184,216,227) 136,020,609 (101,288,816) 272,911,712
Net assets at beginning of year............. 279,948,051 143,927,442 311,952,415 39,040,703
------------- ------------- --------------- --------------
NET ASSETS END OF YEAR (1).................... $ 95,731,824 $ 279,948,051 $ 210,663,599 $ 311,952,415
============= ============= =============== ==============
SHARES OF BENEFICIAL INTEREST:
Shares sold................................. 2,150,000 4,650,000 28,200,000 20,700,000
Shares issued to shareholders from
reinvestment of distributions............ -- -- -- --
Shares redeemed............................. (2,050,000) (3,050,000) (25,550,000) (17,100,000)
------------- ------------- --------------- --------------
NET INCREASE (DECREASE)..................... 100,000 1,600,000 2,650,000 3,600,000
============= ============= =============== ==============
(1) Including undistributed (distribution in
excess of) net investment income......... $ 8,959 $ (44,228) $ (26,443) $ (36,718)
============= ============= =============== ==============
</Table>
See accompanying notes to financial statements.
146
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR SPDR SPDR
S&P PHARMACEUTICALS S&P RETAIL S&P SEMICONDUCTOR KBW REGIONAL BANKING
ETF ETF ETF ETF
------------------------- -------------------------------- --------------------------- --------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS MONTHS
ENDED ENDED ENDED ENDED
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
$ 222,402 $ 86,848 $ 3,346,944 $ 2,632,222 $ 122,302 $ 635,032 $ 14,024,467 $ 13,039,136
(767,420) (977,925) (317,187,747) (17,914,685) (14,634,567) (23,174,644) (32,899,574) (66,927,922)
2,178,991 (338,625) 38,727,377 (29,868,212) 2,684,381 (12,583,453) (42,580,703) (151,148,823)
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
1,633,973 (1,229,702) (275,113,426) (45,150,675) (11,827,884) (35,123,065) (61,455,810) (205,037,609)
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
51,126 8,174 (730,694) (473,125) (27,421) 35,395 2,580,097 (5,519,790)
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
(243,706) (95,265) (4,053,515) (2,110,822) (66,192) (669,175) (23,823,292) (7,465,907)
(65,554) -- -- -- -- -- -- --
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
(309,260) (95,265) (4,053,515) (2,110,822) (66,192) (669,175) (23,823,292) (7,465,907)
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
35,797,288 17,268,279 4,663,649,607 6,499,402,770 19,152,500 267,129,205 3,836,276,860 6,047,386,542
31 31 470 64 -- -- 14,683 4,656
(2,788,484) (15,511,958) (4,411,600,108) (6,325,436,259) (38,363,265) (298,237,858) (3,689,952,195) (5,254,127,148)
(51,126) (8,174) 730,694 473,125 27,421 (35,395) (2,580,097) 5,519,790
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
32,957,709 1,748,178 252,780,663 174,439,700 (19,183,344) (31,144,048) 143,759,251 798,783,840
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
-- -- 53,830 1,697,400 -- -- -- --
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
34,333,548 431,385 (27,063,142) 128,402,478 (31,104,841) (66,900,893) 61,060,246 580,760,534
9,328,454 8,897,069 263,380,341 134,977,863 39,537,983 106,438,876 709,283,709 128,523,175
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
$43,662,002 $ 9,328,454 $ 236,317,199 $ 263,380,341 $ 8,433,142 $ 39,537,983 $ 770,343,955 $ 709,283,709
=========== ============ =============== =============== ============ ============= =============== ===============
1,250,000 550,000 179,950,000 190,550,000 500,000 5,750,000 114,550,000 164,500,000
1 1 16 2 -- -- 446 135
(100,000) (500,000) (177,350,000) (184,650,000) (1,100,000) (6,800,000) (114,900,000) (140,600,000)
----------- ------------ --------------- --------------- ------------ ------------- --------------- ---------------
1,150,001 50,001 2,600,016 5,900,002 (600,000) (1,050,000) (349,554) 23,900,135
=========== ============ =============== =============== ============ ============= =============== ===============
$ (29,022) $ (7,718) $ (185,171) $ 521,400 $ 21,967 $ (34,143) $ (3,051,604) $ 6,747,221
=========== ============ =============== =============== ============ ============= =============== ===============
</Table>
147
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
12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 6/30/05 6/30/04
------------ -------- -------- ------- -------- --------
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 93.41 $ 108.50 $ 91.82 $ 85.26 $ 80.87 $ 69.97
-------- -------- -------- ------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).................... 0.91 1.74 1.61 1.50 1.69 1.17
Net realized and unrealized gain (loss) (5)..... (28.15) (15.07) 16.69 6.54 4.38 10.89
-------- -------- -------- ------- -------- --------
Total from investment operations................ (27.24) (13.33) 18.30 8.04 6.07 12.06
-------- -------- -------- ------- -------- --------
Net equalization credits and charges (4)........ 0.09 0.03 -- -- -- --
-------- -------- -------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................... (0.92) (1.79) (1.62) (1.48) (1.68) (1.16)
Net realized gains.............................. -- -- -- -- -- --
-------- -------- -------- ------- -------- --------
Total distributions............................. (0.92) (1.79) (1.62) (1.48) (1.68) (1.16)
-------- -------- -------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD.................. $ 65.34 $ 93.41 $ 108.50 $ 91.82 $ 85.26 $ 80.87
======== ======== ======== ======= ======== ========
TOTAL RETURN (1)................................ (29.19)% (12.36)% 20.06% 9.47% 7.55% 17.31%
Net assets, end of period (in 000s)............. $140,494 $126,113 $130,218 $96,416 $106,580 $113,229
Ratio of expenses to average net assets......... 0.21%(2) 0.20% 0.20% 0.21% 0.21% 0.22%
Ratio of net investment income (loss) to average
net assets.................................... 2.49%(2) 1.74% 1.62% 1.62% 2.05% 1.59%
Portfolio turnover rate (3)..................... 2% 1% 2% 2% 32% 5%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
148
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR SPDR
DJ WILSHIRE DJ WILSHIRE
LARGE CAP ETF LARGE CAP GROWTH ETF
---------------------------------------------- ------------------------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED YEAR YEAR FOR THE PERIOD MONTHS ENDED YEAR YEAR YEAR YEAR YEAR
12/31/08 ENDED ENDED 11/8/05*- 12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06 6/30/05 6/30/04
------------ ------- ------- -------------- ------------ -------- -------- -------- ------- -------
$ 59.55 $ 68.91 $ 58.17 $56.03 $ 54.02 $ 57.36 $ 49.05 $ 46.27 $ 47.56 $ 40.98
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
0.65(4) 1.18 1.11 0.94 0.29 0.44 0.47 0.34 0.71 0.23
(18.22) (9.26) 10.74 2.11 (17.73) (3.33) 8.32 2.78 (1.29) 6.60
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
(17.57) (8.08) 11.85 3.05 (17.44) (2.89) 8.79 3.12 (0.58) 6.83
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
0.34 0.00+ -- -- (0.01) 0.01 (0.01) -- -- --
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
(0.64) (1.18) (1.11) (0.91) (0.27) (0.46) (0.47) (0.34) (0.71) (0.25)
-- (0.10) -- -- -- -- -- -- -- --
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
(0.64) (1.28) (1.11) (0.91) (0.27) (0.46) (0.47) (0.34) (0.71) (0.25)
------- ------- ------- ------ -------- -------- -------- -------- ------- -------
$ 41.68 $ 59.55 $ 68.91 $58.17 $ 36.30 $ 54.02 $ 57.36 $ 49.05 $ 46.27 $ 47.56
======= ======= ======= ====== ======== ======== ======== ======== ======= =======
(29.07)% (11.84)% 20.50% 5.47% (32.36)% (5.04)% 17.96% 6.75% (1.25)% 16.70%
$22,924 $ 8,933 $10,337 $5,817 $165,183 $289,015 $223,708 $137,353 $80,981 $68,973
0.23%(2) 0.20% 0.20% 0.21%(2) 0.20%(2) 0.20% 0.20% 0.21% 0.21% 0.21%
2.75%(2) 1.80% 1.69% 1.68%(2) 1.20%(2) 0.81% 0.92% 0.74% 1.57% 0.59%
3% 7% 4% 4% 14% 14% 15% 43% 21% 20%
</Table>
149
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE SPDR DJ WILSHIRE
LARGE CAP VALUE ETF MID CAP ETF
------------------------------------------------------------------ -----------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR ENDED YEAR YEAR
12/31/08 ENDED ENDED ENDED ENDED ENDED 12/31/08 ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) 6/30/04(6) (UNAUDITED) 6/30/08 6/30/07
----------- ------- -------- ---------- ---------- ---------- ----------- ------- -------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 69.18 $ 87.77 $ 73.15 $ 67.72 $ 62.91 $ 55.76 $ 52.05 $ 62.63 $ 53.16
-------- ------- -------- -------- -------- ------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss).... 1.06 2.37 1.99 1.80 1.70 1.51 0.45 0.65 0.78
Net realized and unrealized gain
(loss) (5).................... (18.57) (18.59) 14.61 5.44 4.81 7.10 (18.37) (7.80) 10.28
-------- ------- -------- -------- -------- ------- ------- ------- -------
Total from investment
operations.................... (17.51) (16.22) 16.60 7.24 6.51 8.61 (17.92) (7.15) 11.06
-------- ------- -------- -------- -------- ------- ------- ------- -------
Net equalization credits and
charges (4)................... 0.11 (0.09) 0.02 -- -- -- 0.04 (0.01) --
-------- ------- -------- -------- -------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........... (1.21) (2.28) (2.00) (1.81) (1.70) (1.46) (0.40) (0.72) (0.80)
Net realized gains.............. -- -- -- -- -- -- -- (2.70) (0.79)
-------- ------- -------- -------- -------- ------- ------- ------- -------
Total distributions............. (1.21) (2.28) (2.00) (1.81) (1.70) (1.46) (0.40) (3.42) (1.59)
-------- ------- -------- -------- -------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.. $ 50.57 $ 69.18 $ 87.77 $ 73.15 $ 67.72 $ 62.91 $ 33.77 $ 52.05 $ 62.63
======== ======= ======== ======== ======== ======= ======= ======= =======
TOTAL RETURN (1)................ (25.36)% (18.85)% 22.90% 10.80% 10.43% 15.54% (34.46)% (11.53)% 21.11%
Net assets, end of period (in
000s)......................... $101,173 $93,428 $149,247 $102,432 $135,456 $94,370 $20,261 $20,820 $25,054
Ratio of expenses to average net
assets........................ 0.21%(2) 0.20% 0.20% 0.21% 0.21% 0.21% 0.28%(2) 0.25% 0.25%
Ratio of net investment income
(loss) to
average net assets............ 3.88%(2) 2.80% 2.44% 2.52% 2.51% 2.72% 2.23%(2) 1.17% 1.41%
Portfolio turnover rate (3)..... 17% 13% 13% 42% 19% 28% 24% 45% 40%
<Caption>
SPDR DJ
WILSHIRE
MID CAP ETF
--------------
FOR THE PERIOD
11/8/05*-
6/30/06
--------------
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 49.18
-------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss).... 0.41
Net realized and unrealized gain
(loss) (5).................... 3.96
-------
Total from investment
operations.................... 4.37
-------
Net equalization credits and
charges (4)................... --
-------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income........... (0.39)
Net realized gains.............. --
-------
Total distributions............. (0.39)
-------
NET ASSET VALUE, END OF PERIOD.. $ 53.16
=======
TOTAL RETURN (1)................ 8.92%
Net assets, end of period (in
000s)......................... $15,949
Ratio of expenses to average net
assets........................ 0.26%(2)
Ratio of net investment income
(loss) to
average net assets............ 1.24%(2)
Portfolio turnover rate (3)..... 25%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
150
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ
WILSHIRE
SPDR DJ WILSHIRE SPDR DJ WILSHIRE SMALL CAP
MID CAP GROWTH ETF MID CAP VALUE ETF ETF
--------------------------------------------------- --------------------------------------------------- -----------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS
ENDED YEAR YEAR FOR THE PERIOD ENDED YEAR YEAR FOR THE PERIOD ENDED
12/31/08 ENDED ENDED 11/8/05*- 12/31/08 ENDED ENDED 11/8/05*- 12/31/08
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED)
----------- ------- ------- -------------- ----------- ------- ------- -------------- -----------
$ 62.82 $ 68.88 $ 58.22 $ 53.95 $ 50.34 $ 63.10 $ 54.63 $50.42 $ 55.27
------- ------- ------- ------- ------- ------- ------- ------ -------
0.18 0.28 0.51 0.11 0.90 1.28 1.28 0.73 0.56
(24.49) (5.01) 12.17 4.26 (14.81) (12.58) 9.32 4.18 (17.75)
------- ------- ------- ------- ------- ------- ------- ------ -------
24.31 (4.73) 12.68 4.37 (13.91) (11.30) 10.60 4.91 (17.19)
------- ------- ------- ------- ------- ------- ------- ------ -------
(0.00)+ (0.00)+ -- -- (0.00)+ (0.10) (0.01) -- 0.06
------- ------- ------- ------- ------- ------- ------- ------ -------
(0.16) (0.29) (0.52) (0.10) (0.79) (1.36) (1.29) (0.70) (0.45)
-- (1.04) (1.50) -- -- -- (0.83) -- --
------- ------- ------- ------- ------- ------- ------- ------ -------
(0.16) (1.33) (2.02) (0.10) (0.79) (1.36) (2.12) (0.70) (0.45)
------- ------- ------- ------- ------- ------- ------- ------ -------
$ 38.35 $ 62.82 $ 68.88 $ 58.22 $ 35.64 $ 50.34 $ 63.10 $54.63 $ 37.69
======= ======= ======= ======= ======= ======= ======= ====== =======
(38.72)% (6.85)% 22.22% 8.10% (27.85)% (18.18)% 19.68% 9.76% (31.11)%
$26,848 $43,977 $24,106 $20,375 $10,691 $10,068 $18,929 $8,194 $16,959
0.26%(2) 0.25% 0.25% 0.26%(2) 0.30%(2) 0.25% 0.25% 0.26%(2) 0.29%(2)
0.72%(2) 0.45% 0.83% 0.30%(2) 4.14%(2) 2.18% 2.10% 2.20%(2) 2.45%(2)
33% 59% 55% 34% 33% 51% 45% 29% 9%
<Caption>
SPDR DJ WILSHIRE
SMALL CAP ETF
------------------------------------
YEAR YEAR FOR THE PERIOD
ENDED ENDED 11/8/05*-
6/30/08 6/30/07 6/30/06
------- ------- --------------
$ 66.57 $58.03 $ 52.42
------- ------ -------
0.69 0.89 0.46
(11.19) 9.78 5.56
------- ------ -------
(10.50) 10.67 6.02
------- ------ -------
0.04 -- --
------- ------ -------
(0.84) (0.99) (0.41)
-- (1.14) --
------- ------ -------
(0.84) (2.13) (0.41)
------- ------ -------
$ 55.27 $66.57 $ 58.03
======= ====== =======
(15.76)% 18.70% 11.49%
$13,817 $9,985 $26,113
0.25% 0.25% 0.26%(2)
1.34% 1.18% 1.35%(2)
24% 16% 10%
</Table>
151
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE
SMALL CAP GROWTH ETF
--------------------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR YEAR YEAR YEAR YEAR
12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 6/30/05 6/30/04
------------ ------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 90.65 $104.00 $ 87.11 $ 75.96 $ 69.92 $ 53.55
------- ------- ------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)................. 0.35 0.42 0.20 0.23 0.33 0.39(4)
Net realized and unrealized gain (loss) (5).. (33.19) (11.83) 16.88 11.17 6.03 16.30
------- ------- ------- ------- ------- -------
Total from investment operations............. (32.84) (11.41) 17.08 11.40 6.36 16.69
------- ------- ------- ------- ------- -------
Net equalization credits and charges (4)..... 0.03 0.00+ -- -- -- --
------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (0.31) (0.45) (0.19) (0.25) (0.32) (0.32)
Net realized gains........................... -- (1.49) -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions.......................... (0.31) (1.94) (0.19) (0.25) (0.32) (0.32)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 57.53 $ 90.65 $104.00 $ 87.11 $ 75.96 $ 69.92
======= ======= ======= ======= ======= =======
TOTAL RETURN (1)............................. (36.24)% (11.01)% 19.63% 15.02% 9.13% 31.19%
Net assets, end of period (in 000s).......... $74,793 $86,129 $88,408 $78,405 $53,183 $55,944
Ratio of expenses to average net assets...... 0.26%(2) 0.25% 0.25% 0.26% 0.26% 0.27%
Ratio of net investment income (loss) to
average net assets......................... 1.05%(2) 0.46% 0.22% 0.26% 0.46% 0.59%
Portfolio turnover rate (3).................. 21% 38% 25% 84% 36% 63%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
152
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DJ WILSHIRE
SMALL CAP VALUE ETF
------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR YEAR YEAR YEAR YEAR
12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) 6/30/04(6)
------------ ------- -------- ---------- ---------- ----------
$ 57.92 $ 75.01 $ 65.35 $ 59.03 $ 56.97 $ 45.07
------- ------- -------- -------- ------- -------
0.96 1.25 1.62 1.40(4) 1.14(4) 0.91
(15.47) (16.50) 9.76 8.21 4.55 12.92
------- ------- -------- -------- ------- -------
(14.51) (15.25) 11.38 9.61 5.69 13.83
------- ------- -------- -------- ------- -------
(0.03) 0.01 0.02 -- -- --
------- ------- -------- -------- ------- -------
(0.63) (1.56) (1.73) (1.30) (1.14) (0.75)
(0.17) (0.29) (0.01) (1.99) (2.49) (1.18)
------- ------- -------- -------- ------- -------
(0.80) (1.85) (1.74) (3.29) (3.63) (1.93)
------- ------- -------- -------- ------- -------
$ 42.58 $ 57.92 $ 75.01 $ 65.35 $ 59.03 $ 56.97
======= ======= ======== ======== ======= =======
(25.30)% (20.46)% 17.64% 16.66% 10.07% 30.92%
$66,060 $89,856 $120,090 $101,344 $88,583 $76,928
0.26%(2) 0.25% 0.25% 0.26% 0.26% 0.27%
3.57%(2) 2.12% 2.27% 2.21% 2.00% 1.88%
16% 28% 23% 97% 33% 54%
</Table>
153
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
12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 6/30/05 6/30/04
------------ -------- -------- ------- -------- -------
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 61.43 $ 54.04
------- -------- -------- ------- -------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).............. 0.83 1.89 1.67 1.46 1.47 0.72
Net realized and unrealized gain
(loss)(5)............................... (19.22) (12.28) 12.11 4.08 1.44 7.60
------- -------- -------- ------- -------- -------
Total from investment operations.......... (18.39) (10.39) 13.78 5.54 2.91 8.32
------- -------- -------- ------- -------- -------
Net equalization credits and charges(4)... (0.04) 0.03 -- -- -- --
------- -------- -------- ------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (0.78) (1.96) (1.65) (1.44) (1.46) (0.93)
Net realized gains........................ -- -- -- -- -- --
------- -------- -------- ------- -------- -------
Total distributions....................... (0.78) (1.96) (1.65) (1.44) (1.46) (0.93)
------- -------- -------- ------- -------- -------
NET ASSET VALUE, END OF PERIOD............ $ 47.58 $ 66.79 $ 79.11 $ 66.98 $ 62.88 $ 61.43
======= ======== ======== ======= ======== =======
TOTAL RETURN(1)........................... (27.71)% (13.28)% 20.72% 8.88% 4.75% 15.47%
Net assets, end of period (in 000s)....... $88,036 $163,654 $170,108 $77,044 $106,904 $67,581
Ratio of expenses to average net assets... 0.50%(2) 0.50% 0.51% 0.51% 0.51% 0.51%
Ratio of net investment income (loss) to
average net assets...................... 2.76%(2) 2.55% 2.33% 2.11% 2.47% 1.84%
Portfolio turnover rate (3)............... 21% 15% 9% 9% 36% 15%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
154
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR KBW BANK
DJ WILSHIRE REIT ETF ETF
- ------------------------------------------------------------------------------ -----------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED YEAR YEAR YEAR YEAR YEAR MONTHS ENDED YEAR YEAR FOR THE PERIOD
12/31/08 ENDED ENDED ENDED ENDED ENDED 12/31/08 ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/08 6/30/07 6/30/06(6) 6/30/05(6) 6/30/04(6) (UNAUDITED) 6/30/08 6/30/07 6/30/06
------------ ---------- ---------- ---------- ---------- ---------- ------------ -------- ------- --------------
$ 65.40 $ 80.93 $ 75.98 $ 65.56 $ 51.38 $ 42.59 $ 28.58 $ 55.44 $ 53.73 $ 50.17
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
1.96 2.43 2.57 2.99 2.98(4) 2.59(4) 0.71 1.60 2.54 0.93
(25.82) (14.86) 6.27 10.88 14.00 8.69 (6.80) (27.35) 1.64 3.52
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
(23.86) (12.43) 8.84 13.87 16.98 11.28 (6.09) (25.75) 4.18 4.45
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
0.13 0.16 (0.02) -- -- -- 0.01 0.66 0.30 --
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
(1.23) (3.26) (3.33) (3.00) (2.80) (2.33) (0.54) (1.77) (2.77) (0.89)
-- -- (0.54) (0.45) -- (0.16) -- -- -- --
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
(1.23) (3.26) (3.87) (3.45) (2.80) (2.49) (0.54) (1.77) (2.77) (0.89)
---------- ---------- ---------- ---------- -------- -------- -------- -------- ------- --------
$ 40.44 $ 65.40 $ 80.93 $ 75.98 $ 65.56 $ 51.38 $ 21.96 $ 28.58 $ 55.44 $ 53.73
========== ========== ========== ========== ======== ======== ======== ======== ======= ========
(36.76)% (15.41)% 11.43% 21.73% 33.64% 26.70% (21.79)% (46.07)% 8.28% 8.90%
$1,074,836 $1,289,796 $1,247,893 $1,049,212 $659,223 $447,114 $902,627 $883,280 $72,068 $147,756
0.25%(2) 0.25% 0.25% 0.26% 0.26% 0.26% 0.35%(2) 0.35% 0.35% 0.36%(2)
7.02%(2) 2.79% 2.95% 3.57% 5.06% 5.23% 4.83%(2) 4.46% 2.93% 3.06%(2)
4% 14% 16% 11% 12% 15% 29% 23% 8% 22%
</Table>
155
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
KBW CAPITAL
MARKETS ETF
---------------------------------------------
FOR THE SIX FOR THE
MONTHS ENDED YEAR YEAR PERIOD
12/31/08 ENDED ENDED 11/8/05*-
(UNAUDITED) 6/30/08 6/30/07 6/30/06
------------ -------- ------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 45.12 $ 68.80 $ 56.18 $ 53.07
------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss).............................. 0.32 0.53 (4) 0.41 2.63
Net realized and unrealized gain (loss)(5)................ (18.88) (23.68) 12.60 3.09
------- -------- ------- -------
Total from investment operations.......................... (18.56) (23.15) 13.01 5.72
------- -------- ------- -------
Net equalization credits and charges(4)................... 0.00+ 0.10 (0.04) --
------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (0.24) (0.63) (0.35) (2.61)
Return of capital......................................... -- -- --
------- -------- ------- -------
Total distributions....................................... (0.24) (0.63) (0.35) (2.61)
------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 26.32 $ 45.12 $ 68.80 $ 56.18
======= ======== ======= =======
TOTAL RETURN(1)........................................... (41.24)% (33.71)% 23.14% 10.55%
Net assets, end of period (in 000s)....................... $60,528 $117,300 $86,003 $50,559
Ratio of expenses to average net assets................... 0.35%(2) 0.35% 0.35% 0.36%(2)
Ratio of expenses to average net assets before waiver..... -- -- -- --
Ratio of net investment income (loss) to average net
assets.................................................. 1.91%(2) 0.89% 0.52% 2.42%(2)
Portfolio turnover rate (3)............................... 33% 52% 96% 11%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
156
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
KBW INSURANCE SPDR
ETF MORGAN STANLEY TECHNOLOGY ETF
----------------------------------------------- ----------------------------------------------------------------------
FOR THE SIX FOR THE FOR THE SIX
MONTHS ENDED YEAR YEAR PERIOD MONTHS ENDED YEAR YEAR YEAR YEAR YEAR
12/31/08 ENDED ENDED 11/8/05*- 12/31/08 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06 6/30/05 6/30/04
------------ ------- ------- --------- ------------ -------- -------- -------- ------- -------
$ 40.89 $ 59.41 $ 51.22 $ 52.12 $ 55.15 $ 61.90 $ 49.11 $ 46.99 $ 49.18 $ 36.67
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
0.47 1.02(4) 0.76 0.44 0.10 0.15 0.05 0.03 0.11 (0.09)(4)
(13.58) (18.56) 8.17 (0.93) (21.22) (6.74) 12.80 2.13 (2.19) 12.60
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
(13.11) (17.54) 8.93 (0.49) (21.12) (6.59) 12.85 2.16 (2.08) 12.51
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
0.11 0.12 (0.02) -- (0.00)+ (0.01) 0.00+ -- -- --
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
(0.39) (1.10) (0.72) (0.41) (0.10) (0.15) (0.05) (0.03) (0.11) --
-- -- -- -- -- -- (0.01) (0.01) -- --
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
(0.39) (1.10) (0.72) (0.41) (0.10) (0.15) (0.06) (0.04) (0.11) --
-------- ------- ------- ------- -------- -------- -------- -------- ------- -------
$ 27.50 $ 40.89 $ 59.41 $ 51.22 $ 33.93 $ 55.15 $ 61.90 $ 49.11 $ 46.99 $ 49.18
======== ======= ======= ======= ======== ======== ======== ======== ======= =======
(31.91)% (29.67)% 17.46% (0.93)% (38.31)% (10.67)% 26.19% 4.60% (4.25)% 34.11%
$112,765 $63,374 $59,413 $35,855 $135,709 $228,870 $188,811 $144,873 $30,546 $24,595
0.35%(2) 0.35% 0.35% 0.36%(2) 0.50%(2) 0.50% 0.50% 0.51% 0.51% 0.52%
-- -- -- -- -- -- -- -- -- --
3.06%(2) 1.99% 1.32% 1.27%(2) 0.44%(2) 0.26% 0.09% 0.07% 0.24% (0.20)%
39% 18% 6% 16% 12% 24% 22% 23% 46% 17%
</Table>
157
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P SPDR S&P
DIVIDEND BIOTECH
ETF ETF
------------------------------------------ -------------------------------
FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR YEAR
12/31/08 ENDED ENDED 11/8/05*- 12/31/08 ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07
----------- -------- -------- --------- ----------- -------- --------
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 44.30 $ 62.57 $ 55.70 $ 53.49 $ 57.47 $ 50.93 $ 45.90
-------- -------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)..................... 1.13(4) 2.19(4) 1.75 1.12 0.91 0.66 0.18
Net realized and unrealized gain (loss) (5)...... (3.96) (17.49) 6.87 2.15 (4.81) 6.59 5.04
-------- -------- -------- -------- -------- -------- --------
Total from investment operations................. (2.83) (15.30) 8.62 3.27 (3.90) 7.25 5.22
-------- -------- -------- -------- -------- -------- --------
Net equalization credits and charges (4)......... 0.14 0.02 0.12 0.00+ (0.01) (0.02) (0.05)
-------- -------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ (1.13) (2.19) (1.87) (1.06) (0.01) (0.69) (0.14)
Net realized gains............................... -- (0.80) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions.............................. (1.13) (2.99) (1.87) (1.06) (0.01) (0.69) (0.14)
-------- -------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................... $ 40.48 $ 44.30 $ 62.57 $ 55.70 $ 53.55 $ 57.47 $ 50.93
======== ======== ======== ======== ======== ======== ========
TOTAL RETURN (1)................................. (6.33)% (25.05)% 15.78% 6.16% (6.80)% 14.15% 11.26%
Net assets, end of period (in 000s).............. $433,193 $230,378 $275,319 $100,263 $465,899 $264,342 $106,957
Ratio of expenses to average net assets.......... 0.35%(2) 0.35% 0.34% 0.30%(2) 0.35%(2) 0.35% 0.35%
Ratio of expenses to average net assets before
waivers........................................ -- -- 0.35% 0.30% -- -- --
Ratio of net investment income (loss) to average
net assets..................................... 5.21%(2) 3.92% 3.11% 3.45%(2) 3.24%(2) 1.48% 0.51%
Portfolio turnover rate (3)...................... 62% 48% 41% 25% 33% 79% 74%
<Caption>
SPDR S&P
BIOTECH
ETF
---------
FOR THE
PERIOD
1/31/06*-
6/30/06
---------
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 49.67
-------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)..................... (0.07)
Net realized and unrealized gain (loss) (5)...... (3.70)
-------
Total from investment operations................. (3.77)
-------
Net equalization credits and charges (4)......... --
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................ --
Net realized gains............................... --
-------
Total distributions.............................. --
-------
NET ASSET VALUE, END OF PERIOD................... $ 45.90
=======
TOTAL RETURN (1)................................. (7.59)%
Net assets, end of period (in 000s).............. $29,835
Ratio of expenses to average net assets.......... 0.36%(2)
Ratio of expenses to average net assets before
waivers........................................ --
Ratio of net investment income (loss) to average
net assets..................................... (0.33)%(2)
Portfolio turnover rate (3)...................... 38%
</Table>
See accompanying notes to Financial Highlights on page 160 and notes to
financial statements.
158
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P
SPDR S&P SPDR S&P OIL & GAS
HOMEBUILDERS METALS & MINING EQUIPMENT & SERVICES
ETF ETF ETF
------------------------------------------ ------------------------------------------ -------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR YEAR PERIOD ENDED YEAR YEAR
12/31/08 ENDED ENDED 1/31/06*- 12/31/08 ENDED ENDED 6/19/06*- 12/31/08 ENDED ENDED
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- -------- --------
$ 16.53 $ 30.37 $ 33.86 $ 46.92 $ 94.16 $ 62.63 $ 50.08 $ 43.29 $ 50.90 $ 36.90 $ 31.07
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
0.14 0.36 0.28 0.07 0.26 0.39 0.39 0.02 0.10 0.11 0.08
(4.44) (13.82) (3.49) (13.06) (66.31) 31.54 12.55 6.77 (33.82) 14.11 5.83
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
(4.30) (13.46) (3.21) (12.99) (66.05) 31.93 12.94 6.79 (33.72) 14.22 5.91
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
0.02 (0.06) 0.01 (0.00)+ 0.05 -- (0.03) -- (0.00)+ 0.00+ (0.00)+
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
(0.20) (0.32) (0.29) (0.07) (0.35) (0.40) (0.36) -- (0.09) (0.12) (0.08)
-- -- -- -- -- -- -- -- -- (0.10) --
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
(0.20) (0.32) (0.29) (0.07) (0.35) (0.40) (0.36) -- (0.09) (0.22) (0.08)
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------- --------
$ 12.05 $ 16.53 $ 30.37 $ 33.86 $ 27.81 $ 94.16 $ 62.63 $ 50.08 $ 17.09 $ 50.90 $ 36.90
======== ======== ======== ======== ======== ======== ======== ======= ======= ======== ========
(26.17)% (44.63)% (9.51)% (27.70)% (70.17)% 51.22% 25.93% 15.70% (66.27)% 38.61% 19.08%
$539,645 $535,553 $331,067 $165,908 $214,121 $819,193 $203,540 $30,050 $95,732 $279,948 $143,927
0.35%(2) 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.36%(2) 0.35%(2) 0.36% 0.35%
-- -- -- -- -- -- -- -- -- -- --
2.11%(2) 1.80% 0.64% 0.34%(2) 1.10%(2) 0.59% 0.70% 1.65%(2) 0.68%(2) 0.28% 0.36%
51% 76% 16% 19% 30% 59% 31% 0% 16% 51% 43%
<Caption>
SPDR S&P
OIL & GAS SPDR S&P
EQUIPMENT OIL & GAS
& EXPLORATION & PRODUCTION
SERVICES ETF
ETF -----------------------------------------
--------- FOR THE SIX
FOR THE MONTHS FOR THE
PERIOD ENDED YEAR YEAR PERIOD
6/19/06*- 12/31/08 ENDED ENDED 6/19/06*-
6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06
--------- ----------- -------- ------- ---------
$ 27.99 $ 70.10 $ 45.93 $ 39.12 $ 33.80
------- -------- -------- ------- -------
0.00+ 0.15 0.13 0.10 0.00+
3.08 (40.43) 24.16 6.81 5.32
------- -------- -------- ------- -------
3.08 (40.28) 24.29 6.91 5.32
------- -------- -------- ------- -------
-- 0.00+ 0.02 (0.00)+ --
------- -------- -------- ------- -------
-- (0.15) (0.14) (0.10) --
-- -- -- -- --
------- -------- -------- ------- -------
-- (0.15) (0.14) (0.10) --
------- -------- -------- ------- -------
$ 31.07 $ 29.67 $ 70.10 $ 45.93 $ 39.12
======= ======== ======== ======= =======
10.98% (57.50)% 52.99% 17.68% 15.74%
$15,535 $210,664 $311,952 $39,041 $19,560
0.36%(2) 0.35%(2) 0.35% 0.35% 0.36%(2)
-- -- -- -- --
0.17%(2) 0.69%(2) 0.28% 0.23% 0.10%(2)
0% 22% 44% 48% 0%
</Table>
159
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR S&P
PHARMACEUTICALS ETF
---------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR YEAR FOR THE PERIOD
12/31/08 ENDED ENDED 6/19/06*-
(UNAUDITED) 6/30/08 6/30/07 6/30/06
------------ ------- ------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD............... $ 31.08 $ 35.57 $ 31.88 $ 31.42
------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)....................... 0.25 0.32(4) 0.38 0.00+
Net realized and unrealized gain (loss)(5)......... (0.99) (4.51) 3.80 0.46
------- ------- ------- -------
Total from investment operations................... (0.74) (4.19) 4.18 0.46
------- ------- ------- -------
Net equalization credits and charges (4)........... 0.06 0.03 -- --
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.............................. (0.24) (0.33) (0.38) --
Net realized gains................................. (0.05) -- (0.11) --
------- ------- ------- -------
Total distributions................................ (0.29) (0.33) (0.49) --
------- ------- ------- -------
Voluntary contribution from advisor................ -- -- -- --
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD..................... $ 30.11 $ 31.08 $35.57 $ 31.88
======= ======= ======= =======
TOTAL RETURN (1)................................... (2.25)% (11.73)% 13.17% 1.46%
Net assets, end of period (in 000s)................ $43,662 $ 9,328 $8,897 $15,939
Ratio of expenses to average net assets............ 0.35%(2) 0.35% 0.35% 0.36%(2)
Ratio of net investment income (loss) to average
net assets....................................... 1.90%(2) 0.97% 0.95% 0.29%(2)
Portfolio turnover rate (3)........................ 70% 50% 23% 0%
</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 SPDR DJ Wilshire REIT ETF: 3 for 1.
(7) If the Adviser had not made a voluntary capital contribution to the Fund
in 2008 and 2007, the total return would have been (30.04)% and (32.44)%,
respectively.
See accompanying notes to financial statements.
160
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
SPDR S&P KBW REGIONAL
SPDR S&P RETAIL ETF SEMICONDUCTOR ETF BANKING ETF
--------------------------------------------------- ------------------------------------------------ ------------
FOR THE SIX FOR THE FOR THE SIX FOR THE FOR THE SIX
MONTHS ENDED YEAR YEAR PERIOD MONTHS ENDED YEAR YEAR PERIOD MONTHS ENDED
12/31/08 ENDED ENDED 6/19/06*- 12/31/08 ENDED ENDED 1/31/06*- 12/31/08
(UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED) 6/30/08 6/30/07 6/30/06 (UNAUDITED)
------------ -------- -------- --------- ------------ ------- -------- --------- ------------
$ 29.26 $ 43.54 $ 37.61 $ 36.72 $ 41.62 $ 53.22 $ 47.29 $ 53.32 $ 26.56
-------- -------- -------- ------- ------- ------- -------- ------- --------
0.25 0.37 0.11 0.01 0.22 0.24 0.16 0.02 0.55 (4)
(8.94) (14.39) 5.93 0.88 (17.58) (11.58) 5.93 (6.03) 2.93
-------- -------- -------- ------- ------- ------- -------- ------- --------
(8.69) (14.02) 6.04 0.89 (17.36) (11.34) 6.09 (6.01) 3.48
-------- -------- -------- ------- ------- ------- -------- ------- --------
(0.06) (0.09) 0.02 -- (0.05) 0.01 (0.00)+ -- 0.11
-------- -------- -------- ------- ------- ------- -------- ------- --------
(0.32) (0.31) (0.13) -- (0.12) (0.27) (0.16) (0.02) (0.92)
-- -- -- -- -- -- -- -- --
-------- -------- -------- ------- ------- ------- -------- ------- --------
(0.32) (0.31) (0.13) -- (0.12) (0.27) (0.16) (0.02) (0.92)
-------- -------- -------- ------- ------- ------- -------- ------- --------
0.18 0.14 -- -- -- -- -- -- --
-------- -------- -------- ------- ------- ------- -------- ------- --------
$ 20.37 $ 29.26 $ 43.54 $ 37.61 $ 24.09 $ 41.62 $ 53.22 $ 47.29 $ 29.23
======== ======== ======== ======= ======= ======= ======== ======= ========
(29.41)%(7) (32.11)%(7) 16.12% 2.42% (41.89)% (21.30)% 12.89% (11.26)% 13.25%
$236,317 $263,380 $134,978 $20,687 8,433 $39,538 $106,439 $47,290 $770,344
0.35%(2) 0.35% 0.35% 0.36%(2) 0.35%(2) 0.35% 0.35% 0.36%(2) 0.35%(2)
1.98%(2) 1.40% 0.35% 0.82%(2) 1.14%(2) 0.52% 0.35% 0.10%(2) 3.87%(2)
57% 50% 71% 0% 26% 65% 52% 40% 30%
<Caption>
SPDR
KBW REGIONAL BANKING ETF
---------------------------------
FOR THE
YEAR YEAR PERIOD
ENDED ENDED 6/19/06*-
6/30/08 6/30/07 6/30/06
-------- -------- ---------
$ 45.90 $ 48.33 $ 48.02
-------- -------- -------
1.43 1.84 0.02
(18.58) (2.40) 0.29
-------- -------- -------
(17.15) (0.56) 0.31
-------- -------- -------
(0.60) (0.43) --
-------- -------- -------
(1.59) (1.44) --
-- -- --
-------- -------- -------
(1.59) (1.44) --
-------- -------- -------
-- -- --
-------- -------- -------
$ 26.56 $ 45.90 $ 48.33
======== ======== =======
(39.51)% (2.16)% 0.66%
$709,284 $128,523 $99.076
0.35% 0.36% 0.36%(2)
4.04% 2.16% 4.01%(2)
35% 39% 0%
</Table>
161
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR Series Trust (the "Trust"), which is registered under the Investment
Company Act of 1940, as amended ("1940 Act"), is an open-end investment
management company that was organized as a Massachusetts business trust on June
12, 1998.
As of December 31, 2008, the Trust offered thirty-eight (38) 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, SPDR DJ Wilshire REIT ETF, SPDR
KBW Bank ETF , SPDR KBW Capital Markets ETF, SPDR KBW Insurance ETF, SPDR 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 SPDR
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 twelve (12) 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
The value of each Fund's portfolio securities is based on the market price of
the securities, which generally means a valuation obtained from an exchange or
other market (or based on a price quotation or other equivalent indication of
value supplied by an exchange or other market) or a valuation obtained from an
independent pricing service. Investments in open-end investment companies are
valued at their net asset value each business day. If a security's market price
is not readily available or does not otherwise accurately reflect the fair value
of the security, the security will be valued by another method that the Board of
Trustees of the Trust (the "Board") believes will better reflect fair value in
accordance with the Trust's valuation policies and procedures. The Board has
delegated the process of valuing securities for which market quotations are not
readily available or do not otherwise accurately reflect the fair value of the
security to the Pricing and Investment Committee (the "Committee"). The
Committee, subject to oversight by the Board, may use fair value pricing in a
variety of circumstances, including but not limited to, situations when the
value of a security in a Fund's portfolio has been materially affected by events
occurring after the close of the market on which the security is principally
traded (such as in the case of a corporate action or other news that may
materially affect the price of the security) or trading in a security has been
suspended or halted. Accordingly, a Fund's net asset value may reflect certain
portfolio securities' fair values rather than their market prices.
Effective July 1, 2008, the Funds adopted Financial Accounting Standards Board
("FASB") Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair
Value Measurements." This standard defines fair value, establishes
162
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
a framework for measuring fair value in accordance with generally accepted
accounting principles and expands disclosure about fair value measurements.
Various inputs are used in determining the value of the Funds' investments.
These inputs are summarized in the three broad levels listed below.
- - Level 1 -- quoted prices in active markets for identical investments
- - Level 2 -- other significant observable inputs (including, but not limited to,
quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.)
- - Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments)
Investments that use Level 2 or Level 3 inputs may include, but are not limited
to: (i) an unlisted security related to corporate actions; (ii) a restricted
security (e.g., one that may not be publicly sold without registration under the
Securities Act of 1933, as amended); (iii) a security whose trading has been
suspended or which has been de-listed from its primary trading exchange; (iv) a
security that is thinly traded; (v) a security in default or bankruptcy
proceedings for which there is no current market quotation; (vi) a security
affected by currency controls or restrictions; and (vii) a security affected by
a significant event (e.g., an event that occurs after the close of the markets
on which the security is traded but before the time as of which the Funds' net
assets are computed and that may materially affect the value of the Funds'
investments). Examples of events that may be "significant events" are government
actions, natural disasters, armed conflict, acts of terrorism, and significant
market fluctuations.
Fair value pricing could result in a difference between the prices used to
calculate a Fund's net asset value and the prices used by the Fund's benchmark
index, which, in turn, could result in a difference between the Fund's
performance and the performance of the Fund's benchmark index. The inputs or
methodology used for valuation are not necessarily an indication of the risk
associated with investing in those investments.
The following table summarizes the inputs used in valuing the Funds'
investments, as of December 31, 2008:
<Table>
<Caption>
LEVEL 2 - LEVEL 3 -
LEVEL 1- OTHER SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL
- ----------------- -------------- ----------------- ------------ --------------
SPDR DJ Wilshire Total Market ETF $ 164,005,380 $ -- $ -- $ 164,005,380
SPDR DJ Wilshire Large Cap ETF 28,497,477 -- -- 28,497,477
SPDR DJ Wilshire Large Cap Growth ETF 194,633,268 -- -- 194,633,268
SPDR DJ Wilshire Large Cap Value ETF 117,145,264 -- -- 117,145,264
SPDR DJ Wilshire Mid Cap ETF 25,464,232 -- -- 25,464,232
SPDR DJ Wilshire Mid Cap Growth ETF 34,259,004 -- -- 34,259,004
SPDR DJ Wilshire Mid Cap Value ETF 13,060,937 -- -- 13,060,937
SPDR DJ Wilshire Small Cap ETF 21,577,855 -- --* 21,577,855
SPDR DJ Wilshire Small Cap Growth ETF 91,785,228 -- --* 91,785,228
SPDR DJ Wilshire Small Cap Value ETF 83,397,027 -- -- 83,397,027
SPDR DJ Global Titans ETF 101,160,746 -- -- 101,160,746
SPDR DJ Wilshire REIT ETF 1,350,931,628 -- -- 1,350,931,628
SPDR KBW Bank ETF 1,032,283,800 -- -- 1,032,283,800
SPDR KBW Capital Markets ETF 72,794,577 -- -- 72,794,577
SPDR KBW Insurance ETF 126,672,399 -- -- 126,672,399
SPDR Morgan Stanley Technology ETF 157,432,295 -- -- 157,432,295
SPDR S&P Dividend ETF 519,690,640 -- -- 519,690,640
SPDR S&P Biotech ETF 589,840,050 -- -- 589,840,050
SPDR S&P Homebuilders ETF 672,762,530 -- -- 672,762,530
SPDR S&P Metals & Mining ETF 257,561,471 -- -- 257,561,471
SPDR S&P Oil & Gas Equipment & Services ETF 118,406,889 -- -- 118,406,889
SPDR S&P Oil & Gas Exploration & Production
ETF 250,124,921 -- -- 250,124,921
SPDR S&P Pharmaceuticals ETF 55,259,885 -- -- 55,259,885
SPDR S&P Retail ETF 247,767,055 -- -- 247,767,055
SPDR S&P Semiconductor ETF 10,653,193 -- -- 10,653,193
SPDR KBW Regional Banking ETF 974,962,977 -- -- 974,962,977
</Table>
163
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
The following table provides the reconciliation of investments in which
significant unobservable inputs (Level 3) were used in determining fair value at
December 31, 2008:
<Table>
<Caption>
NET CHANGE IN
REALIZED UNREALIZED
GAIN (LOSS) (DEPRECIATION)
(AMORTIZED AND CHANGE IN FROM
PREMIUMS) UNREALIZED NET BALANCE INVESTMENTS
BALANCE AT ACCRETED APPRECIATION/ PURCHASES/ NET TRANSFERS AT STILL HELD AT
SPDR SERIES TRUST 6/30/08 DISCOUNTS (DEPRECIATION) (SALES) IN AND/OR OUT 12/31/08 12/31/08
- ----------------- ---------- ---------- -------------- ---------- ------------- -------- --------------
SPDR DJ Wilshire Small Cap
ETF*......................... $-- $-- $-- $-- $-- $-- $--
SPDR DJ Wilshire Small Cap
Growth ETF*.................. -- -- -- -- -- -- --
</Table>
* Funds held Level 3 securities that were valued at $0 for the period ended
12/31/08.
INVESTMENT INCOME
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis. The value of additional securities received as
dividend payments is recorded as income and as an increase to the cost basis of
such securities.
EXPENSES
Advisory fees, which are directly identifiable to a specific Fund, are applied
to that Fund. Trustees fees 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 U.S. government securities.
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
164
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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 applicable Funds invest, the Funds will provide for foreign taxes, and where
appropriate, deferred foreign taxes.
The Funds have reviewed the tax positions for the open tax years as of June 30,
2008 and have determined that no provision for income tax is required in the
Funds' Financial Statements. The Funds' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
For the six months ended December 31, 2008, 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 $ 2,878,807
SPDR DJ Wilshire Large Cap ETF --
SPDR DJ Wilshire Large Cap Growth ETF (5,959,645)
SPDR DJ Wilshire Large Cap Value ETF (687,285)
SPDR DJ Wilshire Mid Cap ETF --
SPDR DJ Wilshire Mid Cap Growth ETF 296,960
SPDR DJ Wilshire Mid Cap Value ETF --
SPDR DJ Wilshire Small Cap ETF --
SPDR DJ Wilshire Small Cap Growth ETF (869,127)
SPDR DJ Wilshire Small Cap Value ETF 3,223,013
SPDR DJ Global Titans ETF (533,647)
SPDR DJ Wilshire REIT ETF (1,647,660)
SPDR KBW Bank ETF 3,534,400
SPDR KBW Capital Markets ETF (12,510,399)
SPDR KBW Insurance ETF (33,087,071)
SPDR Morgan Stanley Technology ETF (9,327,954)
SPDR S&P Dividend ETF 3,775,717
SPDR S&P Biotech ETF 26,788,997
SPDR S&P Homebuilders ETF (235,187,766)
SPDR S&P Metals & Mining ETF (62,640,657)
SPDR S&P Oil & Gas Equipment & Services ETF 8,552,253
SPDR S&P Oil & Gas Exploration & Production ETF (68,082,817)
SPDR S&P Pharmaceuticals ETF 432,337
SPDR S&P Retail ETF (287,999,413)
SPDR S&P Semiconductor ETF (11,143,505)
SPDR KBW Regional Banking ETF 32,971,492
</Table>
165
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
At December 31, 2008, 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 $ -- $ -- $ (2,005,209) $ (1,348,494) $ (153,659) $ (4,842,998) $ --
SPDR DJ Wilshire Large Cap
ETF -- -- -- -- -- -- --
SPDR DJ Wilshire Large Cap
Growth ETF -- (5,421,523) (4,738,409) (2,821,107) (309,686) (3,652,975) --
SPDR DJ Wilshire Large Cap
Value ETF -- -- -- -- (974,429) -- --
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 -- (417,404) (1,493,437) (984,760) -- -- (282,717)
SPDR DJ Wilshire REIT ETF -- -- -- -- -- -- --
SPDR KBW Bank ETF -- -- -- -- -- -- --
SPDR KBW Capital Markets ETF -- -- -- -- -- -- --
SPDR KBW Insurance ETF -- -- -- -- -- -- --
SPDR 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 -- -- -- -- -- -- (104,652)
SPDR S&P Oil & Gas Equipment
& Services ETF -- -- -- -- -- -- --
SPDR S&P Oil & Gas
Exploration & Production
ETF -- -- -- -- -- -- --
SPDR S&P Pharmaceuticals ETF -- -- -- -- -- -- --
SPDR S&P Retail ETF -- -- -- -- -- -- --
SPDR S&P Semiconductor ETF -- -- -- -- -- -- (1,832,423)
SPDR KBW S&P Regional Banking
ETF -- -- -- -- -- -- --
<Caption>
2016
- ------------------------------------------
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 (493,781)
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 --
SPDR DJ Wilshire REIT ETF --
SPDR KBW Bank ETF (435,385)
SPDR KBW Capital Markets ETF (9,042,847)
SPDR KBW Insurance ETF (514,950)
SPDR Morgan Stanley
Technology ETF (745,443)
SPDR S&P Dividend ETF --
SPDR S&P Biotech ETF (733,614)
SPDR S&P Homebuilders ETF (8,203,751)
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 (1,022,978)
SPDR S&P Semiconductor ETF --
SPDR KBW S&P Regional Banking
ETF --
</Table>
166
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Under current tax laws, capital losses realized after October 31, may be
deferred and treated as occurring on the first day of the following fiscal Year.
The Funds incurred the following losses during the period November 1, 2007
through June 30, 2008 that are deferred for tax purposes until fiscal 2009:
<Table>
<Caption>
DEFERRED LOSSES
- --------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ --
SPDR DJ Wilshire Large Cap ETF (2,626)
SPDR DJ Wilshire Large Cap Growth ETF (2,915,764)
SPDR DJ Wilshire Large Cap Value ETF (996,877)
SPDR DJ Wilshire Mid Cap ETF (153,388)
SPDR DJ Wilshire Mid Cap Growth ETF (1,429,776)
SPDR DJ Wilshire Mid Cap Value ETF (587,867)
SPDR DJ Wilshire Small Cap ETF (69,440)
SPDR DJ Wilshire Small Cap Growth ETF (261,681)
SPDR DJ Wilshire Small Cap Value ETF --
SPDR DJ Global Titans ETF (8,707,631)
SPDR DJ Wilshire REIT ETF (8,955,724)
SPDR KBW Bank ETF (13,544,034)
SPDR KBW Capital Markets ETF (10,491,766)
SPDR KBW Insurance ETF (478,998)
SPDR Morgan Stanley Technology ETF (3,839,528)
SPDR S&P Dividend ETF (6,299,165)
SPDR S&P Biotech ETF (9,655,206)
SPDR S&P Homebuilders ETF (35,640,771)
SPDR S&P Metals & Mining ETF (14,278,984)
SPDR S&P Oil & Gas Equipment & Services ETF (331,759)
SPDR S&P Oil & Gas Exploration & Production ETF --
SPDR S&P Pharmaceuticals ETF --
SPDR S&P Retail ETF (201,789)
SPDR S&P Semiconductor ETF (12,098,030)
SPDR KBW S&P Regional Banking ETF (5,493,980)
</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
In March, 2008, FASB issued Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161").
SFAS 161 is effective for fiscal years and interim periods beginning after
November 15, 2008. SFAS 161 requires enhanced disclosures about Funds'
derivative and hedging activities. Management is currently evaluating the
impact, if any, the adoption of SFAS 161 will have on the Funds' financial
statement disclosures.
167
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (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" or "SSgA FM"). 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
SPDR DJ Wilshire REIT ETF 0.25
SPDR KBW Bank ETF 0.35
SPDR KBW Capital Markets ETF 0.35
SPDR KBW Insurance ETF 0.35
SPDR 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
SPDR KBW Regional Banking ETF 0.35
</Table>
The Adviser pays all expenses of each Fund other than 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, acquired fund fees
and expenses and other extraordinary expenses.
On December 23, 2008 the Adviser agreed to make a voluntary contribution of
$53,830 to the SPDR S&P Retail ETF to improve tracking between the Fund and the
Index.
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. See also Note 4.
State Street also acts as the securities lending agent for the Funds and
receives a portion of any lending income. In addition, cash collateral from
lending activities is invested in the State Street Navigator Securities Prime
Portfolio for which SSgA FM serves as the investment adviser. The State Street
Navigator Securities Lending Prime Portfolio is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under
the 1940 Act. See Note 8 for additional information regarding securities
lending.
168
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
For the period July 1, 2008 through December 31, 2008, State Street earned
securities lending agent fees as follows:
<Table>
<Caption>
SECURITIES LENDING
AGENT FEES
- ----------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 19,864
SPDR DJ Wilshire Large Cap ETF 2,380
SPDR DJ Wilshire Large Cap Growth ETF 23,840
SPDR DJ Wilshire Large Cap Value ETF 14,298
SPDR DJ Wilshire Mid Cap ETF 5,609
SPDR DJ Wilshire Mid Cap Growth ETF 9,046
SPDR DJ Wilshire Mid Cap Value ETF 2,383
SPDR DJ Wilshire Small Cap ETF 5,322
SPDR DJ Wilshire Small Cap Growth ETF 29,098
SPDR DJ Wilshire Small Cap Value ETF 27,277
SPDR DJ Global Titans ETF 12,788
SPDR DJ Wilshire REIT ETF 156,058
SPDR KBW Bank ETF 271,786
SPDR KBW Capital Markets ETF 16,161
SPDR KBW Insurance ETF 12,473
SPDR Morgan Stanley Technology ETF 20,843
SPDR S&P Dividend ETF 66,732
SPDR S&P Biotech ETF 100,295
SPDR S&P Homebuilders ETF 307,343
SPDR S&P Metals & Mining ETF 53,664
SPDR S&P Oil & Gas Equipment & Services ETF 17,833
SPDR S&P Oil & Gas Exploration & Production ETF 26,862
SPDR S&P Pharmaceuticals ETF 8,260
SPDR S&P Retail ETF 103,969
SPDR S&P Semiconductor ETF 7,706
SPDR KBW S&P Regional Banking ETF 496,091
</Table>
DISTRIBUTOR
State Street Global Markets, LLC (the "Distributor"), an affiliate of the
Adviser, serves as the distributor of the shares of each Fund. Pursuant to a
Distribution and Service Plan, Pursuant to Rule 12b-1 under the 1940 Act, 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, 2009 and
therefore no such payments have been made to the Distributor.
TRUSTEES' FEES
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 and $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.
169
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
TRANSACTIONS WITH AFFILIATES
The Funds listed below have invested in an affiliated company, State Street
Corp. Amounts relating to these investments at December 31, 2008 and for the
period then ended are:
<Table>
<Caption>
SHARES
PURCHASED SHARES SOLD INCOME EARNED REALIZED GAIN ON
NUMBER OF FOR THE FOR THE NUMBER OF FOR THE SHARES SOLD DURING
SECURITY SHARES HELD SIX MONTHS ENDED SIX MONTHS ENDED SHARES HELD SIX MONTHS ENDED THE SIX MONTHS ENDED
DESCRIPTION AT 6/30/08 12/31/08 12/31/08 12/31/08 12/31/08 12/31/08
- ------------------------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire
Total Market
ETF............. 3,168 3,105 236 6,037 $ 2,199 $ 4,391
SPDR DJ Wilshire
Large Cap ETF... 307 857 -- 1,164 279 --
SPDR DJ Wilshire
Large Cap Growth
ETF............. 18,221 -- 18,221 -- -- (107,989)
SPDR DJ Wilshire
Large Cap Value
ETF............. -- 11,086 774 10,312 4,454 (13,037)
SPDR KBW Bank
ETF............. 726,298 1,972,907 1,924,453 774,752 335,184 (8,214,934)
SPDR KBW Capital
Markets ETF..... 154,087 429,669 468,410 115,346 55,541 (2,039,546)
<Caption>
MARKET VALUE AT
SECURITY THE SIX MONTHS ENDED
DESCRIPTION 12/31/08
- -----------------------------------------
SPDR DJ Wilshire
Total Market
ETF............. $ 237,435
SPDR DJ Wilshire
Large Cap ETF... 45,780
SPDR DJ Wilshire
Large Cap Growth
ETF............. --
SPDR DJ Wilshire
Large Cap Value
ETF............. 405,571
SPDR KBW Bank
ETF............. 30,470,996
SPDR KBW Capital
Markets ETF..... 4,536,558
</Table>
Each Fund invests its cash collateral for securities lending in the shares of
the State Street Navigator Securities Lending Prime Portfolio, an affiliated
fund of the Adviser. Amounts relating to these investments at December 31, 2008
and for the period then ended are:
<Table>
<Caption>
SHARES PURCHASED SHARES SOLD INCOME EARNED
NUMBER OF FOR THE SIX MONTHS FOR THE SIX MONTHS NUMBER OF FOR THE SIX MONTHS
SHARES HELD ENDED ENDED SHARES HELD ENDED
FUND AT 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -----------------------------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF 21,262,511 95,345,962 93,553,656 23,054,817 $ 112,621
SPDR DJ Wilshire Large Cap ETF 1,832,154 14,090,788 10,514,673 5,408,269 13,748
SPDR DJ Wilshire Large Cap Growth
ETF 20,052,330 128,209,207 119,305,720 28,955,817 134,742
SPDR DJ Wilshire Large Cap Value
ETF 12,921,394 124,346,015 122,190,463 15,076,946 80,896
SPDR DJ Wilshire Mid Cap ETF 5,859,846 17,145,350 17,851,006 5,154,190 31,686
SPDR DJ Wilshire Mid Cap Growth ETF 12,388,543 24,071,221 29,091,708 7,368,056 51,197
SPDR DJ Wilshire Mid Cap Value ETF 2,862,416 6,085,734 6,622,498 2,325,652 13,483
SPDR DJ Wilshire Small Cap ETF 3,968,716 9,291,675 8,688,240 4,572,151 30,939
SPDR DJ Wilshire Small Cap Growth
ETF 24,685,849 50,964,460 58,660,107 16,990,202 163,956
SPDR DJ Wilshire Small Cap Value
ETF 25,747,911 77,961,878 86,769,472 16,940,317 154,420
SPDR DJ Global Titans ETF 9,222,538 160,949,270 157,230,271 12,941,537 72,462
SPDR DJ Wilshire REIT ETF 125,989,046 931,775,211 784,459,311 273,304,946 865,856
SPDR KBW Bank ETF 99,463,820 767,909,495 741,360,753 126,012,562 1,538,861
SPDR KBW Capital Markets ETF 26,491,439 151,577,826 165,976,274 12,092,991 91,395
SPDR KBW Insurance ETF 10,865,370 140,517,041 137,956,418 13,425,993 70,669
SPDR Morgan Stanley Technology ETF 19,361,762 227,304,849 225,207,469 21,459,142 117,998
SPDR S&P Dividend ETF 48,339,022 318,769,866 285,304,912 81,803,976 378,062
SPDR S&P Biotech ETF 72,559,744 407,931,210 356,631,651 123,859,303 568,318
SPDR S&P Homebuilders ETF 134,901,443 579,091,461 584,660,432 129,332,472 1,741,287
SPDR S&P Metals & Mining ETF 94,876,401 320,494,080 372,865,743 42,504,738 304,087
SPDR S&P Oil & Gas Equipment &
Services ETF 34,443,666 147,725,887 159,780,535 22,389,018 101,020
SPDR S&P Oil & Gas Exploration &
Production ETF 38,608,950 250,761,890 250,235,308 39,135,532 151,727
SPDR S&P Pharmaceuticals ETF 2,523,940 37,917,915 28,929,088 11,512,767 46,797
SPDR S&P Retail ETF 28,405,647 521,577,188 541,100,046 8,882,789 588,925
SPDR S&P Semiconductor ETF 10,428,550 26,519,637 34,732,567 2,215,620 43,571
SPDR KBW Regional Bank ETF 170,496,072 787,940,105 767,314,993 191,121,184 2,810,615
</Table>
170
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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 from certain Creation Unit transactions are received by the
Trust and/or Custodian and used to defray related expenses. The Custodian also
receives amounts earned on cash collateral provided by Authorized Participants
pending delivery of missing deposit securities.
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, 2008 were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 198,479,853 $ 7,141,023 $ 41,615,496 $ (34,474,473)
SPDR DJ Wilshire Large Cap ETF 31,494,245 175,277 3,172,045 (2,996,768)
SPDR DJ Wilshire Large Cap Growth ETF 277,839,141 1,458,021 84,663,894 (83,205,873)
SPDR DJ Wilshire Large Cap Value ETF 155,878,427 1,791,728 40,524,891 (38,733,163)
SPDR DJ Wilshire Mid Cap ETF 34,795,571 193,229 9,524,568 (9,331,339)
SPDR DJ Wilshire Mid Cap Growth ETF 50,884,203 298,667 16,923,866 (16,625,199)
SPDR DJ Wilshire Mid Cap Value ETF 17,131,812 66,454 4,137,329 (4,070,875)
SPDR DJ Wilshire Small Cap ETF 29,296,191 259,428 7,977,764 (7,718,336)
SPDR DJ Wilshire Small Cap Growth ETF 136,925,905 977,995 46,118,672 (45,140,677)
SPDR DJ Wilshire Small Cap Value ETF 126,182,925 747,032 43,532,930 (42,785,898)
SPDR DJ Global Titans ETF 137,395,038 1,835,622 38,069,914 (36,234,292)
SPDR DJ Wilshire REIT ETF 2,032,237,341 262,382 681,568,095 (681,305,713)
SPDR KBW Bank ETF 1,502,502,012 57,990 470,276,202 (470,218,212)
SPDR KBW Capital Markets ETF 125,575,205 7,558 52,788,186 (52,780,628)
SPDR KBW Insurance ETF 147,746,482 2,247,725 23,321,808 (21,074,083)
SPDR Morgan Stanley Technology ETF 244,659,570 -- 87,227,275 (87,227,275)
SPDR S&P Dividend ETF 549,237,425 11,904,427 41,451,212 (29,546,785)
SPDR S&P Biotech ETF 694,674,634 4,704,699 109,539,283 (104,834,584)
SPDR S&P Homebuilders ETF 734,735,386 6,575,206 68,548,062 (61,972,856)
SPDR S&P Metals & Mining ETF 477,978,219 1,208,425 221,625,173 (220,416,748)
SPDR S&P Oil & Gas Equipment & Services ETF 219,405,696 150,291 101,149,098 (100,998,807)
SPDR S&P Oil & Gas Exploration & Production
ETF 363,081,096 386,928 113,343,103 (112,956,175)
SPDR S&P Pharmaceuticals ETF 53,359,891 2,366,111 466,117 1,899,994
SPDR S&P Retail ETF 240,459,980 7,748,950 441,875 7,307,075
SPDR S&P Semiconductor ETF 21,638,645 13,240 10,998,692 (10,985,452)
SPDR KBW S&P Regional Banking ETF 1,171,745,267 2,077,747 198,860,037 (196,782,290)
</Table>
171
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2008, the Trust had in-kind contributions
and in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
- ----------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 62,862,784 $ 9,129,563
SPDR DJ Wilshire Large Cap ETF 16,025,473 --
SPDR DJ Wilshire Large Cap Growth ETF 10,921,252 40,063,238
SPDR DJ Wilshire Large Cap Value ETF 43,648,002 7,985,338
SPDR DJ Wilshire Mid Cap ETF 8,330,590 --
SPDR DJ Wilshire Mid Cap Growth ETF 1,773,230 3,034,522
SPDR DJ Wilshire Mid Cap Value ETF 3,369,232 --
SPDR DJ Wilshire Small Cap ETF 8,642,024 --
SPDR DJ Wilshire Small Cap Growth ETF 29,160,345 6,887,726
SPDR DJ Wilshire Small Cap Value ETF 32,592,287 31,204,516
SPDR DJ Global Titans ETF 18,913,585 52,802,795
SPDR DJ Wilshire REIT ETF 426,299,014 95,576,916
SPDR KBW Bank ETF 2,685,090,143 2,300,442,956
SPDR KBW Capital Markets ETF 312,073,897 316,417,686
SPDR KBW Insurance ETF 275,929,436 194,302,533
SPDR Morgan Stanley Technology ETF 57,876,336 54,760,137
SPDR S&P Dividend ETF 265,769,294 34,188,329
SPDR S&P Biotech ETF 520,207,233 247,246,577
SPDR S&P Homebuilders ETF 1,133,179,997 849,174,234
SPDR S&P Metals & Mining ETF 1,016,373,113 1,190,032,598
SPDR S&P Oil & Gas Equipment & Services ETF 61,215,230 71,567,141
SPDR S&P Oil & Gas Exploration & Production ETF 1,038,585,284 893,457,417
SPDR S&P Pharmaceuticals ETF 35,796,847 2,788,481
SPDR S&P Retail ETF 3,200,185,626 2,946,516,090
SPDR S&P Semiconductor ETF 17,682,060 36,896,618
SPDR KBW Regional Banking ETF 2,816,817,860 2,670,132,063
</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.
172
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
For the six months ended December 31, 2008, the Trust had purchases and sales of
investment securities as follows:
<Table>
<Caption>
PURCHASES SALES
- --------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $ 5,244,196 $ 2,988,419
SPDR DJ Wilshire Large Cap ETF 617,215 396,553
SPDR DJ Wilshire Large Cap Growth ETF 36,990,520 32,613,991
SPDR DJ Wilshire Large Cap Value ETF 17,004,415 16,284,379
SPDR DJ Wilshire Mid Cap ETF 5,480,623 5,112,899
SPDR DJ Wilshire Mid Cap Growth ETF 11,966,313 11,421,876
SPDR DJ Wilshire Mid Cap Value ETF 3,284,842 3,059,692
SPDR DJ Wilshire Small Cap ETF 1,610,703 1,359,502
SPDR DJ Wilshire Small Cap Growth ETF 17,486,384 16,582,955
SPDR DJ Wilshire Small Cap Value ETF 14,559,597 13,022,504
SPDR DJ Global Titans ETF 25,800,892 59,172,322
SPDR DJ Wilshire REIT ETF 92,411,167 49,731,323
SPDR KBW Bank ETF 355,372,265 312,113,404
SPDR KBW Capital Markets ETF 37,556,300 30,764,156
SPDR KBW Insurance ETF 35,744,844 27,456,919
SPDR Morgan Stanley Technology ETF 33,606,751 23,487,067
SPDR S&P Dividend ETF 198,103,607 194,031,372
SPDR S&P Biotech ETF 166,389,152 156,918,335
SPDR S&P Homebuilders ETF 331,253,760 297,751,234
SPDR S&P Metals & Mining ETF 132,046,376 110,538,998
SPDR S&P Oil & Gas Equipment & Services ETF 30,849,704 27,079,477
SPDR S&P Oil & Gas Exploration & Production ETF 57,664,423 57,473,105
SPDR S&P Pharmaceuticals ETF 17,096,482 17,327,563
SPDR S&P Retail ETF 286,926,734 196,609,750
SPDR S&P Semiconductor ETF 6,028,516 5,902,616
SPDR KBW S&P Regional Banking ETF 266,206,053 202,675,001
</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. Proceeds collected by State Street on
investment of cash collateral or any fee income is partially allocated to State
Street as compensation for its lending services.
The market value of securities on loan as of December 31, 2008 and the value of
the invested cash collateral are disclosed in the Statements of Assets and
Liabilities. Securities lending income, as disclosed in the Funds' Statements of
Operations, represents the income earned from the investment of cash collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as
lending agent.
173
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2008 (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, 2008
and held for the six months ended December 31, 2008.
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.
174
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL 7/1/08 12/31/08 7/1/08-12/31/08
- -------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $708.10 $0.90
SPDR DJ Wilshire Large Cap ETF 1,000 709.30 0.99
SPDR DJ Wilshire Large Cap Growth ETF 1,000 676.40 0.85
SPDR DJ Wilshire Large Cap Value ETF 1,000 746.40 0.92
SPDR DJ Wilshire Mid Cap ETF 1,000 655.40 1.17
SPDR DJ Wilshire Mid Cap Growth ETF 1,000 612.80 1.06
SPDR DJ Wilshire Mid Cap Value ETF 1,000 721.50 1.30
SPDR DJ Wilshire Small Cap ETF 1,000 688.90 1.23
SPDR DJ Wilshire Small Cap Growth ETF 1,000 637.60 1.07
SPDR DJ Wilshire Small Cap Value ETF 1,000 747.00 1.14
SPDR DJ Global Titans ETF 1,000 722.90 2.17
SPDR DJ Wilshire REIT ETF 1,000 632.40 1.03
SPDR KBW Bank ETF 1,000 782.10 1.57
SPDR KBW Capital Markets ETF 1,000 587.60 1.40
SPDR KBW Insurance ETF 1,000 680.90 1.48
SPDR Morgan Stanley Technology ETF 1,000 616.90 2.04
SPDR S&P Dividend ETF 1,000 936.70 1.71
SPDR S&P Biotech ETF 1,000 932.00 1.70
SPDR S&P Homebuilders ETF 1,000 738.30 1.53
SPDR S&P Metals & Mining ETF 1,000 298.30 1.15
SPDR S&P Oil & Gas Equipment & Services ETF 1,000 337.30 1.18
SPDR S&P Oil & Gas Exploration & Production ETF 1,000 425.00 1.26
SPDR S&P Pharmaceuticals ETF 1,000 977.50 1.74
SPDR S&P Retail ETF 1,000 705.90 1.50
SPDR S&P Semiconductor ETF 1,000 581.10 1.39
SPDR KBW Regional Banking ETF 1,000 1,132.50 1.88
</Table>
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL 7/1/08 12/31/08 7/1/08-12/31/08
- -------------------------------------------------------------------------------------------------------
SPDR DJ Wilshire Total Market ETF $1,000 $1,024.15 $1.07
SPDR DJ Wilshire Large Cap ETF 1,000 1,024.05 1.17
SPDR DJ Wilshire Large Cap Growth ETF 1,000 1,024.20 1.02
SPDR DJ Wilshire Large Cap Value ETF 1,000 1,024.15 1.07
SPDR DJ Wilshire Mid Cap ETF 1,000 1,023.79 1.43
SPDR DJ Wilshire Mid Cap Growth ETF 1,000 1,023.89 1.33
SPDR DJ Wilshire Mid Cap Value ETF 1,000 1,023.69 1.53
SPDR DJ Wilshire Small Cap ETF 1,000 1,023.74 1.48
SPDR DJ Wilshire Small Cap Growth ETF 1,000 1,023.89 1.33
SPDR DJ Wilshire Small Cap Value ETF 1,000 1,023.89 1.33
SPDR DJ Global Titans ETF 1,000 1,022.68 2.55
SPDR DJ Wilshire REIT ETF 1,000 1,023.95 1.28
SPDR KBW Bank ETF 1,000 1,023.44 1.79
SPDR KBW Capital Markets ETF 1,000 1,023.44 1.79
SPDR KBW Insurance ETF 1,000 1,023.44 1.79
SPDR Morgan Stanley Technology ETF 1,000 1,022.68 2.55
SPDR S&P Dividend ETF 1,000 1,023.44 1.79
SPDR S&P Biotech ETF 1,000 1,023.44 1.79
SPDR S&P Homebuilders ETF 1,000 1,023.44 1.79
SPDR S&P Metals & Mining ETF 1,000 1,023.44 1.79
</Table>
175
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL (CONTINUED) 7/1/08 12/31/08 7/1/08-12/31/08
- -------------------------------------------------------------------------------------------------------
SPDR S&P Oil & Gas Equipment & Services ETF 1,000 1,023.44 1.79
SPDR S&P Oil & Gas Exploration & Production ETF 1,000 1,023.44 1.79
SPDR S&P Pharmaceuticals ETF 1,000 1,023.44 1.79
SPDR S&P Retail ETF 1,000 1,023.44 1.79
SPDR S&P Semiconductor ETF 1,000 1,023.44 1.79
SPDR KBW Regional Banking ETF 1,000 1,023.44 1.79
</Table>
* Expenses are equal to the Funds' annualized expense ratio of 0.21%, 0.23%,
0.20%, 0.21%, 0.28%, 0.26%, 0.30%, 0.29%, 0.26%, 0.26%, 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 value 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 365.
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 website of Securities and Exchange
Commission ("SEC") 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.spdrs.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 SEC'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.spdrs.com.
FULL PORTFOLIO SCHEDULE
The complete schedule of portfolio holdings for the following Funds is available
on the Funds' website at www.spdrs.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
176
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At an in-person meeting held on August 27, 2008 (the "Meeting"), the Board of
Trustees of the Trust (the "Board") evaluated the proposal to continue the
Investment Advisory Agreement (the "Agreement") between the Trust and SSgA Funds
Management, Inc. (the "Adviser") with respect to the equity series of the Trust
(each an "ETF", collectively, 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 renew the Agreement, the Board considered various factors,
including (i) the nature, extent and quality of the services provided by the
Adviser under the Agreement, (ii) investment performance of the 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
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 ETF 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 the portfolio management
and compliance of the ETFs. The Board also considered the portfolio management
resources, structures and practices, 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 Advisors, 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 considered the Adviser's experience in
managing equity ETFs. The Board then determined that the nature, extent and
quality of the services provided by the Adviser to the Trust were necessary and
appropriate.
The Board then reviewed the ETFs' performance, noting that that the distinctive
indexed investment objective of each of the ETFs made the analysis of investment
performance, in absolute terms, less of a priority than that which normally
attaches to the performance of actively-managed funds. The Board was more
concerned with the extent to which each ETF achieved its objective of providing
investment results that, before fees and expenses, correspond generally to the
price and yield performance of a specified index. The Board reviewed information
regarding the ETFs' index tracking and tracking error, noting that each ETF
satisfactorily tracked its benchmark index. The Board also reviewed the tax
efficiency of each ETF. The Board then determined that the performance of each
ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the ETFs
to the Adviser, including data on the 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 the profitability calculations
and determined that these methodologies were reasonable. The Board concluded
that, to the extent that the Adviser's relationship with the ETFs had been
profitable, profitability was not excessive.
The Board considered whether the Adviser or its affiliates benefited in other
ways from their relationship with the Trust, noting that the Adviser does not
maintain soft-dollar arrangements in connection with the Trust's brokerage
transactions. The Board concluded that, to the extent that the Adviser or its
affiliates derive other benefits from their 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
177
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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 ETFs
for the exchange-traded funds 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 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 regarding the Agreement were as follows: (a) the nature
and extent of the services provided by the Adviser were appropriate; (b) the
performance and, more importantly, the index tracking, of each ETF had been
satisfactory; (c) the Adviser's fees for each ETF and the unitary fee,
considered in relation to the services 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) the fees paid to the Adviser adequately
shared the economies of scale with the ETFs.
At the Meeting, the Board also considered the renewal of the Sub-Advisory
Agreement (the "Sub-Advisory Agreement") between the Trust and The Tuckerman
Group LLC, an affiliate of the Adviser (the "Sub-Adviser") with respect to the
SPDR DJ Wilshire REIT ETF (the "REIT ETF"), after review of materials provided
to them at their request by the Sub-Adviser and State Street. In deciding
whether to renew the Agreement, the Board considered certain factors, including
(i) the nature, extent and quality of the services provided by the 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 real
estate investment trusts ("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 with respect to the Sub-Advisory Agreement 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.
178
THE SPDR 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 Global Titans ETF (DGT)
SPDR DJ Wilshire REIT ETF (RWR)
SPDR KBW Bank ETF (KBE)
SPDR KBW Capital Markets ETF (KCE)
SPDR KBW Insurance ETF (KIE)
SPDR 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)
SPDR KBW Regional Banking ETF (KRE)
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE)
SPDR Barclays Capital Long Term Treasury ETF (TLO)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Barclays Capital California Municipal Bond ETF (CXA)
SPDR Barclays Capital New York Municipal Bond ETF (INY)
SPDR Barclays Capital Municipal Bond ETF (TFI)
SPDR Barclays Capital Aggregate Bond ETF (LAG)
SPDR Barclays Capital International Treasury Bond ETF (BWX)
SPDR Barclays Capital High Yield Bond ETF (JNK)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG)
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)
Prior to December 19, 2008, the SPDR Barclays Capital ETFs were known as SPDR
Lehman ETFs, excluding SPDR Barclays Capital TIPS ETF.
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 S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
179
SPDR INDEX SHARES FUNDS (CONTINUED)
- -----------------------------------
SPDR DJ Wilshire Global Real Estate ETF (RWO)
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)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
DIAMONDS TRUST, SERIES 1 (DIA)
- ------------------------------
SPDR TRUST, SERIES 1 (SPY)
- --------------------------
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)
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.
180
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
Mark E. Tuttle, Assistant Secretary
Ryan M. Louvar, 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 and SIPC.
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.SPDRS.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,
SPDR Morgan Stanley Technology ETF, SPDR DJ Wilshire REIT ETF, SPDR KBW Bank
ETF, SPDR KBW Capital Markets ETF, SPDR KBW Insurance ETF, SPDR 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 affi liates. 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)2009 State Street Corporation SPDREQSAR
For more complete information, please call 866.787.2257 or visit www.spdrs.com
today
SEMI-ANNUAL December 31, 2008
(SPDRS LOGO) PRECISE IN A WORLD THAT ISN'T. (SM)
TABLE OF CONTENTS
<Table>
PERFORMANCE & PORTFOLIO SUMMARIES
SPDR(R) BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BIL)..................... 1
SPDR(R) BARCLAYS CAPITAL TIPS ETF (IPE)................................. 4
SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (ITE)........... 7
SPDR(R) BARCLAYS CAPITAL LONG TERM TREASURY ETF (TLO)................... 10
SPDR(R) BARCLAYS CAPITAL AGGREGATE BOND ETF (LAG)....................... 13
SPDR(R) BARCLAYS CAPITAL MUNICIPAL BOND ETF (TFI)....................... 16
SPDR(R) BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (CXA)............ 19
SPDR(R) BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (INY).............. 22
SPDR(R) BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (SHM)............ 25
SPDR(R) DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF (WIP).. 28
SPDR(R) BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (BWX).......... 31
SPDR(R) BARCLAYS CAPITAL HIGH YIELD BOND ETF (JNK)...................... 34
SCHEDULES OF INVESTMENTS
SPDR(R) BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BIL)..................... 37
SPDR(R) BARCLAYS CAPITAL TIPS ETF (IPE)................................. 38
SPDR(R) BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (ITE)........... 39
SPDR(R) BARCLAYS CAPITAL LONG TERM TREASURY ETF (TLO)................... 41
SPDR(R) BARCLAYS CAPITAL AGGREGATE BOND ETF (LAG)....................... 42
SPDR(R) BARCLAYS CAPITAL MUNICIPAL BOND ETF (TFI)....................... 46
SPDR(R) BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (CXA)............ 51
SPDR(R) BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (INY).............. 53
SPDR(R) BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (SHM)............ 54
SPDR(R) DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF (WIP).. 58
SPDR(R) BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (BWX).......... 60
SPDR(R) BARCLAYS CAPITAL HIGH YIELD BOND ETF (JNK)...................... 63
FINANCIAL STATEMENTS...................................................... 66
FINANCIAL HIGHLIGHTS...................................................... 74
NOTES TO FINANCIAL STATEMENTS............................................. 78
OTHER INFORMATION......................................................... 90
</Table>
(semi-annual report LOGO)
SPDR Barclays Capital 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.SPDRS.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 1-3 MONTH T-BILL ETF
AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2008 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL 1-3 MONTH
VALUE VALUE U.S. TREASURY BILL INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 0.72% 0.57% 0.69%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 1.77% 1.57% 1.77%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 4.43% 4.29% 4.53%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL 1-3 MONTH
VALUE VALUE U.S. TREASURY BILL INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 1.77% 1.57% 1.77%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 2.74% 2.65% 2.69%
----------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2008.
1
(semi-annual report LOGO)
SPDR Barclays Capital 1-3 Month T-Bill ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
BARCLAYS CAPITAL
SPDR BARCLAYS 1-3 MONTH
CAPITAL 1-3 U.S. TREASURY
MONTH T-BILL BILL INDEX
ETF (A) (B)
------------- ----------------
5/25/2007 10000.00 10000.00
5/31/07 10009.00 10009.00
6/30/07 10048.00 10049.00
7/31/07 10085.20 10087.20
8/31/07 10134.60 10136.70
9/30/07 10171.10 10172.10
10/31/07 10199.60 10202.60
11/30/07 10237.30 10242.40
12/31/07 10260.90 10271.10
1/31/08 10298.80 10310.10
2/29/08 10313.30 10323.50
3/31/08 10332.90 10346.30
4/30/08 10344.20 10357.60
5/31/08 10349.40 10363.90
6/30/08 10368.00 10381.00
7/31/08 10382.50 10398.70
8/31/08 10397.00 10413.20
9/30/08 10417.80 10433.00
10/31/08 10430.40 10445.50
1/30/08 10438.70 10451.80
12/31/08 10443.00 10453.00
</Table>
2
(semi-annual report LOGO)
SPDR Barclays Capital 1-3 Month T-Bill ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
---------------------------------------------------------------------------------------------------------------------
UNITED STATES
UNITED STATES UNITED STATES UNITED STATES UNITED STATES TREASURY BILL,
DESCRIPTION TREASURY BILL, TREASURY BILL, TREASURY BILL, TREASURY BILL, 0.01%,
0.41%, 0.46%, 0.41%, 0.46%, 02/26/200-
01/08/2009 01/22/2009 01/15/2009 01/29/2009 9
---------------------------------------------------------------------------------------------------------------------
MARKET VALUE $120,898,650 119,788,305 115,352,551 97,604,481 60,999,444
---------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 16.3% 16.1 15.5 13.1 8.2
---------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 99.9%
Short Term Investments 0.1
Other Assets & Liabilities (0.0)**
- -------------------------------------------------
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.
3
(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.SPDRS.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, 2008 IS
0.1845%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS U.S. GOVERNMENT
VALUE VALUE INFLATION-LINKED BOND INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -6.79% -5.70% -6.19%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -2.33% -1.17% -1.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 6.86% 8.36% 7.79%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS U.S. GOVERNMENT
VALUE VALUE INFLATION-LINKED BOND INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -2.33% -1.17% -1.71%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 4.22% 5.14% 4.60%
----------------------------------------------------------------------------------------------------
(1) For the period May 25, 2007 to December 31, 2008.
4
(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>
BARCLAYS U.S.
SPDR BARCLAYS GOVERNMENT INFLATION-LINKED
CAPITAL TIPS BOND INDEX
ETF (A) (B)
------------- ---------------------------
5/25/2007 10000.00 10000.00
5/31/07 9990.00 9995.00
6/30/07 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 10966.60
1/31/08 11365.60 11372.40
2/29/08 11511.00 11525.90
3/31/08 11500.70 11527.10
4/30/08 11258.00 11282.70
5/31/08 11291.80 11303.00
6/30/08 11465.00 11490.00
7/31/08 11407.70 11413.00
8/31/08 11498.90 11527.10
9/30/08 11056.20 11073.00
10/31/08 10097.70 10156.10
11/30/08 10175.40 10282.10
12/31/08 10686.00 10779.00
</Table>
5
(semi-annual report LOGO)
SPDR Barclays Capital TIPS ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
-----------------------------------------------------------------------------------------------------------------------------
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 $8,858,645 8,666,602 8,383,217 7,505,281 7,317,930
-----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.3% 6.2 6.0 5.3 5.2
-----------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 99.0%
Short Term Investments 26.7
Other Assets & Liabilities (25.7)
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
6
(semi-annual report LOGO)
SPDR Barclays Capital 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.SPDRS.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 INTERMEDIATE TERM
TREASURY ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED
OCTOBER 31, 2008 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL INTERMEDIATE
VALUE VALUE U.S. TREASURY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 8.84% 8.93% 8.76%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 11.47% 11.39% 11.35%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 19.40% 19.44% 19.46%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL INTERMEDIATE
VALUE VALUE U.S. TREASURY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 11.47% 11.39% 11.35%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 11.65% 11.67% 11.26%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2008.
7
(semi-annual report LOGO)
SPDR Barclays Capital Intermediate Term Treasury ETF--PERFORMANCE SUMMARY
(CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL INTERMEDIATE INTERMEDIATE U.S.
TERM TREASURY TREASURY INDEX
ETF (A) (B)
-------------------- -----------------
5/23/2007 10000.00 10000.00
5/31/07 9983.00 9991.00
6/30/07 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 10727.20
1/31/08 10979.00 10996.50
2/29/08 11125.00 11142.70
3/31/08 11198.40 11215.20
4/30/08 11014.80 11027.90
5/31/08 10910.10 10923.10
6/30/08 10971.00 10984.00
7/31/08 11030.20 11044.40
8/31/08 11135.00 11148.20
9/30/08 11207.40 11222.90
10/31/08 11285.90 11298.10
11/30/08 11705.70 11716.20
12/31/08 11940.00 11946.00
</Table>
8
(semi-annual report LOGO)
SPDR Barclays Capital Intermediate Term Treasury ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------
DESCRIPTION UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE, TREASURY NOTE,
4.13%, 05/15/2015 3.50%, 02/15/2018 4.25%, 08/15/2015 2.38%, 08/31/2010 2.00%, 09/30/2010
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,637,102 1,577,732 1,571,353 1,527,157 1,514,935
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.7% 1.7 1.7 1.6 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 issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 99.3%
Short Term Investments 25.4
Other Assets & Liabilities (24.7)
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
9
(semi-annual report LOGO)
SPDR Barclays Capital 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.SPDRS.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 LONG TERM TREASURY
ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER
31, 2008 IS 0.1345%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL LONG
VALUE VALUE U.S. TREASURY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 22.03% 22.47% 22.00%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 24.14% 25.14% 24.03%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 36.20% 36.89% 36.31%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL LONG
VALUE VALUE U.S. TREASURY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 24.14% 25.14% 24.03%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 21.17% 21.55% 20.43%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2008.
10
(semi-annual report LOGO)
SPDR Barclays Capital Long Term Treasury ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL LONG LONG
TERM TREASURY U.S. TREASURY
ETF (A) INDEX (B)
------------- ----------------
5/23/2007 10000.0 10000.0
5/31/07 9996.0 10003.0
6/30/07 9910.03 9918.97
7/31/07 10131.0 10184.8
8/31/07 10364.0 10374.2
9/30/07 10391.0 10403.3
10/31/07 10536.5 10550.0
11/30/07 11016.9 11035.3
12/31/07 10970.7 10991.1
1/31/08 11260.3 11281.3
2/29/08 11309.8 11329.8
3/31/08 11409.4 11428.4
4/30/08 11191.4 11209.0
5/31/08 10969.8 10985.9
6/30/08 11161.0 11173.0
7/31/08 11153.2 11165.2
8/31/08 11429.8 11442.1
9/30/08 11473.2 11487.9
10/31/08 11102.6 11113.3
11/30/08 12468.3 12480.3
12/31/08 13620.0 13631.0
</Table>
11
(semi-annual report LOGO)
SPDR Barclays Capital Long Term Treasury ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------
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%, 02/15/2036 6.25%, 08/15/2023 4.50%, 05/15/2038 6.13%, 11/15/2027
----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,752,936 1,395,970 1,238,822 1,203,930 1,173,496
----------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 6.9% 5.5 4.9 4.7 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, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
U.S. Treasury Obligations 99.0%
Short Term Investments 26.2
Other Assets & Liabilities (25.2)
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
12
(semi-annual report LOGO)
SPDR Barclays Capital 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.SPDRS.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 AGGREGATE BOND ETF
AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2008 IS 0.1845%.*
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL U.S.
VALUE VALUE AGGREGATE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 5.60% 7.49% 4.07%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 6.77% 8.87% 5.24%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 12.54% 14.95% 11.08%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL U.S.
VALUE VALUE AGGREGATE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 6.77% 8.87% 5.24%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 7.62% 9.04% 6.51%
----------------------------------------------------------------------------------------------------
(1) For the period May 23, 2007 to December 31, 2008.
* SSgA Funds Management, Inc. has contractually agreed to waive a portion of
its advisory fee to the extent necessary to limit annual operating expenses
to 0.1345% until October 31, 2009.
13
(semi-annual report LOGO)
SPDR Barclays Capital Aggregate Bond ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL AGGREGATE BARCLAYS CAPITAL
BOND ETF U.S. AGGREGATE
(A) INDEX (B)
----------------- ----------------
5/23/2007 10000.0 10000.0
5/31/07 9983.0 9993.0
6/30/07 9949.06 9963.02
7/31/07 10017.7 10045.7
8/31/07 10159.0 10169.3
9/30/07 10241.2 10246.6
10/31/07 10285.3 10338.8
11/30/07 10475.6 10524.9
12/31/07 10495.0 10554.4
1/31/08 10735.3 10731.7
2/29/08 10775.1 10746.7
3/31/08 10785.8 10783.2
4/30/08 10749.2 10760.6
5/31/08 10656.7 10682.0
6/30/08 10657.0 10673.0
7/31/08 10659.1 10664.5
8/31/08 10763.6 10765.8
9/30/08 10626.9 10621.5
10/31/08 10433.5 10370.9
11/30/08 10874.8 10707.9
12/31/08 11254.0 11108.0
</Table>
14
[semi-annual report LOGO]
SPDR Barclays Capital Aggregate Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
------------------------------------------------------------------------------------------------------
DESCRIPTION FANNIE MAE, FREDDIE MAC, FREDDIE MAC, TREASURY NOTES, TREASURY NOTES,
5.50%, TBA 5.00%, TBA 6.00%, TBA 4.50%, 04/30/2012 3.38%, 07/31/2013
------------------------------------------------------------------------------------------------------
MARKET VALUE $17,189,687 12,143,578 11,034,375 7,879,497 7,129,737
------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.8% 6.9 6.3 4.5 4.1
------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
U.S Agency MBS TBA 40.1%
U.S. Treasury Obligations 22.9
Corporate Bonds & Notes 22.7
U.S. Government Agency
Obligations 9.2
Foreign Government Obligations 1.8
Short Term Investments 54.3
Other Assets & Liabilities (51.0)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
15
(semi-annual report LOGO)
SPDR Barclays Capital Municipal 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
(9/11/07, 9/13/07, 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.SPDRS.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 MUNICIPAL BOND ETF
AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2008 IS 0.3000%.*
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MUNICIPAL
VALUE VALUE MANAGED MONEY INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 0.15% 0.86% 0.07%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -0.31% -0.20% -0.15%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.88% 1.31% 1.05%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MUNICIPAL
VALUE VALUE MANAGED MONEY INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -0.31% -0.20% -0.15%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 0.68% 1.00% 0.79%
----------------------------------------------------------------------------------------------------
(1) For the period September 11, 2007 to December 31, 2008.
* SSgA Funds Management, Inc. has contractually agreed to waive a portion of
its advisory fee to the extent necessary to limit annual operating expenses
to 0.2000% until October 31, 2009.
16
(semi-annual report LOGO)
SPDR Barclays Capital Municipal Bond ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL MUNICIPAL MUNICIPAL MANAGED
BOND ETF MONEY INDEX
(A) (B)
----------------- -----------------
9/11/2007 10000.00 10000.00
9/30/07 9928.00 9952.00
10/31/07 9966.72 9994.79
11/30/07 10067.40 10081.80
12/31/07 10119.30 10119.00
1/31/08 10251.90 10231.40
2/29/08 9696.23 9660.46
3/31/08 9993.90 10011.10
4/30/08 10142.80 10162.30
5/31/08 10207.70 10230.40
6/30/08 10073.00 10098.00
7/31/08 10128.40 10151.50
8/31/08 10264.10 10290.60
9/30/08 9735.52 9744.16
10/31/08 9726.76 9737.34
11/30/08 9811.38 9813.29
12/31/08 10088.00 10105.00
</Table>
17
[semi-annual report LOGO]
SPDR Barclays Capital Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION NEW YORK STATE ILLINOIS FINANCE CHICAGO, IL, CYPRESS-FAIRBANKS, CLARK COUNTY, NV,
THRUWAY AUTHORITY AUTHORITY REVENUE, METROPOLITAN TX, INDEPENDANT SCHOOL DISTRICT
SECOND GENERAL UNIVERSITY OF WATER RECLAMATION SCHOOL DISTRICT, GENERAL OBLIGATION
HIGHWAY & BOARDING CHICAGO, SERIES B, DISTRICT, SERIES C, 5.00%, 02/15/2023 SERIES D (MBIA),
TRUST FUND, 6.25%, 07/01/2038 5.25%, 12/01/2032 5.00%, 06/15/2017
SERIES B,
5.00%, 04/01/2019
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,610,600 5,255,400 5,144,700 5,113,750 5,088,155
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 1.61% 1.51 1.48 1.47 1.46
---------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
Municipal Bonds & Notes 97.7%
Short Term Investments 6.7
Other Assets & Liabilities (4.4)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
18
(semi-annual report LOGO)
SPDR Barclays Capital California Municipal 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
(10/10/07, 10/15/07, 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.SPDRS.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 CALIFORNIA MUNICIPAL
BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED
OCTOBER 31, 2008 IS 0.2000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MANAGED MONEY
VALUE VALUE MUNICIPAL CALIFORNIA INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -2.78% -3.01% -2.60%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -3.51% -3.45% -3.47%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -2.26% -1.54% -1.80%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MANAGED MONEY
VALUE VALUE MUNICIPAL CALIFORNIA INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -3.51% -3.45% -3.47%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -1.84% -1.26% -1.44%
----------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to December 31, 2008.
19
(semi-annual report LOGO)
SPDR Barclays Capital California Municipal Bond ETF--PERFORMANCE SUMMARY
(CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL CALIFORNIA MANAGED MONEY
MUNICIPAL BOND MUNICIPAL CALIFORNIA
ETF (A) INDEX (B)
------------------ --------------------
10/10/2007 10000.00 10000.00
10/31/07 10014.00 10100.00
11/30/07 10093.10 10149.50
12/31/07 10129.50 10172.80
1/31/08 10184.10 10212.50
2/29/08 9600.59 9618.14
3/31/08 9939.49 9959.58
4/30/08 10110.50 10155.80
5/31/08 10195.40 10236.00
6/30/08 10054.00 10082.00
7/31/08 10074.10 10095.10
8/31/08 10201.00 10252.60
9/30/08 9596.12 9645.64
10/31/08 9552.93 9581.01
11/30/08 9536.69 9550.35
12/31/08 9774.00 9820.00
</Table>
20
[semi-annual report LOGO]
SPDR Barclays Capital California Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------------------
SAN JOSE, CA, UNIFIED
DESCRIPTION NORTH ORANGE SCHOOL DISTRICT
COUNTY, CA, CALIFORNIA STATE SANTA CLARA LOS ANGELES, CA,
LOS ANGELES COUNTY, CA, COMMUNITY ECONOMIC COUNTY ELECTION UNIFIED SCHOOL
PUBLIC WORKS FINANCING COLLEGE DISTRICT RECOVERY, SERIES OF 2002, SERIES C, DISTRICT, SERIES B
AUTHORITY REVENUE (FSA) (MBIA), A (MBIA), (MBIA), (AMBAC),
5.00%, 10/01/2015 5.00%, 08/01/2015 5.00%, 07/01/2015 5.25%, 08/01/2019 5.00%, 07/01/2022
--------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,108,890 1,107,740 1,071,190 1,056,160 1,008,250
--------------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.5% 4.5 4.3 4.3 4.1
--------------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
Municipal Bonds & Notes 92.7%
Short Term Investments 9.7
Other Assets & Liabilities (2.4)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
21
(semi-annual report LOGO)
SPDR Barclays Capital New York Municipal 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
(10/11/07, 10/15/07, 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.SPDRS.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 NEW YORK MUNICIPAL
BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED
OCTOBER 31, 2008 IS 0.2000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MANAGED MONEY
VALUE VALUE MUNICIPAL NEW YORK INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -2.37% -4.66% -2.96%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -2.43% -5.40% -3.53%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -1.32% -3.23% -1.88%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL MANAGED MONEY
VALUE VALUE MUNICIPAL NEW YORK INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -2.43% -5.40% -3.53%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -1.08% -2.65% -1.51%
----------------------------------------------------------------------------------------------------
(1) For the period October 11, 2007 to December 31, 2008.
22
(semi-annual report LOGO)
SPDR Barclays Capital New York Municipal Bond ETF--PERFORMANCE SUMMARY
(CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL NEW MANAGED MONEY
YORK MUNICIPAL MUNICIPAL NEW
BOND ETF YORK INDEX
(A) (B)
-------------- ----------------
10/11/2007 10000.00 10000.00
10/31/07 10032.00 10100.00
11/30/07 10103.20 10147.50
12/31/07 10114.90 10170.80
1/31/08 10239.30 10236.90
2/29/08 9697.68 9644.20
3/31/08 10017.70 9996.22
4/30/08 10167.00 10171.20
5/31/08 10229.00 10239.30
6/30/08 10108.00 10111.00
7/31/08 10146.40 10160.50
8/31/08 10265.10 10277.40
9/30/08 9667.69 9665.89
10/31/08 9641.59 9619.49
11/30/08 9624.24 9581.98
12/31/08 9868.00 9812.00
</Table>
23
[semi-annual report LOGO]
SPDR Barclays Capital New York Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
---------------------------------------------------------------------------------------------------------------------------
DESCRIPTION
NEW YORK, NY, NEW YORK STATE
GENERAL OBLIGATION, NEW YORK STATE NEW YORK STATE LOCAL GOVERNMENT NEW YORK STATE
(PRE-REFUNDED) GENERAL ENVIRONMENTAL ASSISTANCE CORP., DORM AUTHORITY
SERIES J, OBLIGATION, FACSCORP, SERIES A, SERIES C, REVENUE, SERIES A,
5.50%, 06/01/2020 5.00%, 04/15/2015 4.50%, 06/15/2036 5.00%, 04/01/2018 5.00%, 07/01/2038
---------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $1,149,520 1,105,740 775,278 709,715 584,448
---------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 9.3% 8.9 6.3 5.7 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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
Municipal Bonds & Notes 95.8%
Short Term Investments 3.6
Other Assets & Liabilities 0.6
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
24
(semi-annual report LOGO)
SPDR Barclays Capital Short Term Municipal 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
(10/10/07, 10/15/07, 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.SPDRS.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 SHORT TERM MUNICIPAL
BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED
OCTOBER 31, 2008 IS 0.2000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
BARCLAYS CAPITAL
NET MANAGED MONEY
ASSET MARKET MUNICIPAL SHORT TERM
VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 3.53% 4.46% 3.58%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 5.11% 6.10% 5.40%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 6.81% 7.95% 7.84%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
BARCLAYS CAPITAL
NET MANAGED MONEY
ASSET MARKET MUNICIPAL SHORT TERM
VALUE VALUE INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 5.11% 6.10% 5.40%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 5.51% 6.44% 6.22%
----------------------------------------------------------------------------------------------------
(1) For the period October 10, 2007 to December 31, 2008.
25
(semi-annual report LOGO)
SPDR Barclays Capital Short Term Municipal Bond ETF--PERFORMANCE SUMMARY
(CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR Barclays Barclays Capital
Capital Short Managed Money
Term Municipal Municipal Short
Bond ETF Term Index
(a) (b)
- -------------- -------------- ----------------
10/10/2007 10000.0 10000.0
10/31/07 10027.0 10100.0
11/30/07 10115.2 10180.8
12/31/07 10162.8 10231.7
1/31/08 10377.2 10452.7
2/29/08 10214.3 10300.1
3/31/08 10371.6 10444.3
4/30/08 10357.1 10441.2
5/31/08 10387.1 10477.7
6/30/08 10316.0 10411.0
7/31/08 10419.2 10530.7
8/31/08 10522.3 10632.9
9/30/08 10385.5 10492.5
10/31/08 10394.9 10498.8
11/30/08 10550.8 10656.3
12/31/08 10681.0 10784.0
</Table>
26
(semi-annual report LOGO)
SPDR Barclays Capital Short Term Municipal Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
------------------------------------------------------------------------------------------------------------
DESCRIPTION NORTH CAROLINA NEW YORK, NY, CALIFORNIA STATE
STATE GENERAL GENERAL ECONOMIC TEXAS A&M UNIVERSITY
OBLIGATION, SERIES A OBLIGATION, SERIES J-1, RECOVERY, SERIES B REVENUE
5.50%, 03/01/2012 5.00%, 08/01/2012 5.00%, 07/01/2023 5.00%, 05/15/2012
------------------------------------------------------------------------------------------------------------
MARKET VALUE $5,517,450 5,304,650 4,431,177 3,261,270
------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 2.16% 2.07 1.73 1.27
------------------------------------------------------------------------------------------------------------
-------------------------------------------------
DESCRIPTION GEORGIA STATE ROAD &
TOLLWAY AUTHORITY
REVENUE, SERIES A,
5.00%, 06/01/2012
-------------------------------------------------
MARKET VALUE 3,259,500
-------------------------------------------------
% OF NET ASSETS 1.27
-------------------------------------------------
(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, 2008*
<Table>
<Caption>
-------------------------------------------
PERCENT OF
NET ASSETS
-------------------------------------------
Municipal Bonds & Notes 93.6%
Short Term Investments 7.1
Other Assets & Liabilities (0.7)
-------------------------------------------
TOTAL 100.0%
-------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
27
(semi-annual report LOGO)
SPDR DB International Government Inflation-Protected 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
(3/13/08, 3/19/08, 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.SPDRS.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 DB INTERNATIONAL GOVERNMENT
INFLATION-PROTECTED BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE
PROSPECTUS DATED OCTOBER 31, 2008 IS 0.5000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET DB GLOBAL GOVERNMENT EX-US
VALUE VALUE INFLATION-LINKED BOND CAPPED INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -19.18% -18.28% -18.67%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -19.77% -18.59% -17.76%
----------------------------------------------------------------------------------------------------
(1) For the period March 13, 2008 to December 31, 2008.
28
(semi-annual report LOGO)
SPDR DB International Government Inflation-Protected Bond ETF--PERFORMANCE
SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
(BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
DB GLOBAL
SPDR DB GOVERNMENT EX-US
INTERNATIONAL GOVERNMENT INFLATION-LINKED BOND
INFLATION-PROTECTED BOND CAPPED INDEX
ETF (A) (B)
------------------------ ---------------------
3/13/2008 10000.00 10000.00
3/31/08 9867.00 9938.50
4/30/08 9779.18 9913.65
5/31/08 9847.64 9998.91
6/30/08 9926.42 10110.90
7/31/08 9964.14 10176.60
8/31/08 9566.57 9775.66
9/30/08 8914.13 9099.19
10/31/08 7528.87 7717.93
11/30/08 7364.74 7561.25
12/31/08 8023.00 8224.00
</Table>
29
(semi-annual report LOGO)
SPDR DB International Government Inflation-Protected Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
---------------------------------------------------------------------------------------------------------------------
DESCRIPTION KINGDOM OF UNITED KINGDOM GOVERNMENT OF REPUBLIC OF REPUBLIC OF
SWEDEN, TREASURY BOND, JAPAN 10 YEAR BOND, FRANCE, FRANCE,
4.00%, 12/01/2020 2.50%, 08/16/2013 1.10%, 12/10/2016 3.00%, 07/25/2012 3.15%, 07/25/2032
---------------------------------------------------------------------------------------------------------------------
MARKET VALUE $8,726,676 8,676,391 6,146,772 5,907,370 5,863,094
---------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.6% 4.6 3.2 3.1 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 issue.)
ASSET ALLOCATION AS OF DECEMBER 31, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Foreign Government Obligations 94.2%
Short Term Investments 5.1
Other Assets & Liabilities 0.7
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
30
(semi-annual report LOGO)
SPDR Barclays Capital International Treasury 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
(10/2/07, 10/5/07, 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.SPDRS.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 INTERNATIONAL
TREASURY BOND ETF AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS
DATED OCTOBER 31, 2008 IS 0.5000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL GLOBAL
VALUE VALUE TREASURY EX-US CAPPED INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -0.61% 0.24% 0.12%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 4.44% 5.22% 5.86%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 8.28% 9.26% 10.23%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL GLOBAL
VALUE VALUE TREASURY EX-US CAPPED INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 4.44% 5.22% 5.86%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) 6.58% 7.35% 8.10%
----------------------------------------------------------------------------------------------------
(1) For the period October 2, 2007 to December 31, 2008.
31
(semi-annual report LOGO)
SPDR Barclays Capital International Treasury Bond ETF--PERFORMANCE SUMMARY
(CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL INTERNATIONAL GLOBAL TREASURY
TREASURY BOND EX-US CAPPED
ETF (A) INDEX (B)
--------------------- ----------------
10/2/2007 10000.00 10000.00
10/31/07 10254.00 10273.00
11/30/07 10439.60 10477.40
12/31/07 10368.20 10411.40
1/31/08 10706.20 10768.50
2/29/09 10998.40 11075.40
3/31/08 11347.10 11437.60
4/30/08 11044.10 11142.50
5/31/08 10899.40 10997.70
6/30/08 10895.10 11009.80
7/31/08 10996.40 11108.90
8/31/08 10625.80 10748.90
9/30/08 10345.30 10473.80
10/31/08 9764.93 9880.94
11/30/08 10012.00 10177.40
12/31/08 10828.00 11023.00
</Table>
32
(semi-annual report LOGO)
SPDR Barclays Capital International Treasury Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------------
DESCRIPTION GOVERNMENT OF JAPAN FEDERAL REPUBLIC FEDERAL REPUBLIC OF REPUBLIC OF GOVERNMENT OF JAPAN
10 YEAR BOND, OF GERMANY, GERMANY, GREECE, 10 YEAR BOND,
1.50%, 09/20/2014 4.25%, 07/04/2017 5.25%, 01/04/2011 3.70%, 07/20/2015 1.30%, 06/20/2012
----------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $52,324,900 38,101,003 36,124,872 33,437,752 32,800,040
----------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 5.8% 4.2 4.0 3.7 3.6
----------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Foreign Government Obligations 93.5%
Short Term Investments 4.0
Other Assets & Liabilities 2.5
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
33
(semi-annual report LOGO)
SPDR Barclays Capital High Yield 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
(11/28/07, 12/4/07, 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.SPDRS.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 HIGH YIELD BOND ETF
AS STATED IN THE FEES AND EXPENSES TABLE OF THE PROSPECTUS DATED OCTOBER 31,
2008 IS 0.4000%.
PERFORMANCE AS OF DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL HIGH YIELD
VALUE VALUE VERY LIQUID INDEX
----------------------------------------------------------------------------------------------------
SIX MONTHS ENDED 12/31/08 -27.73% -21.92% -27.57%
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -30.21% -25.88% -28.36%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -29.97% -24.43% -27.68%
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------
NET ASSET MARKET BARCLAYS CAPITAL HIGH YIELD
VALUE VALUE VERY LIQUID INDEX
----------------------------------------------------------------------------------------------------
ONE YEAR ENDED 12/31/08 -30.21% -25.88% -28.36%
----------------------------------------------------------------------------------------------------
SINCE INCEPTION (1) -27.82% -22.61% -24.25%
----------------------------------------------------------------------------------------------------
(1) For the period November 28, 2007 to December 31, 2008.
34
(semi-annual report LOGO)
SPDR Barclays Capital High Yield Bond ETF--PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF (BASED ON NET ASSET VALUE)
(PERFORMANCE GRAPH)
<Table>
<Caption>
SPDR BARCLAYS BARCLAYS CAPITAL
CAPITAL HIGH HIGH YIELD
YIELD BOND VERY LIQUID
ETF (A) INDEX (B)
------------- ----------------
11/28/2007 10000.00 10000.00
11/30/07 10000.00 10053.00
12/3107 10034.00 10095.20
1/31/08 9746.02 9912.50
2/29/08 9533.56 9718.21
3/31/08 9559.30 9752.23
4/30/08 10000.90 10247.60
5/31/08 10008.90 10306.00
6/30/08 9690.00 9985.00
7/31/08 9557.24 9845.21
8/31/08 9541.00 9847.18
9/30/08 8602.16 8862.46
10/31/08 7129.47 7280.51
11/30/08 6443.62 6566.30
12/31/08 7003.00 7232.00
</Table>
35
(semi-annual report LOGO)
SPDR Barclays Capital High Yield Bond ETF--PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF DECEMBER 31, 2008
--------------------------------------------------------------------------------------------------------------------------
TEXAS COMPETITIVE
DESCRIPTION CDX NORTH AMERICA COMMUNITY HEALTH ELECTRIC HOLDINGS CO.
HIGH YIELD, HCA, INC., SYSTEMS, INC., LLC, NRG ENERGY, INC.,
8.88%, 06/29/2013 9.25%, 11/15/2016 8.88%, 07/15/2015 10.50%, 11/01/2015 7.38%, 02/01/2016
--------------------------------------------------------------------------------------------------------------------------
MARKET VALUE $29,700,000 26,928,625 22,862,000 20,945,000 16,275,000
--------------------------------------------------------------------------------------------------------------------------
% OF NET ASSETS 4.3% 3.9 3.3 3.0 2.4
--------------------------------------------------------------------------------------------------------------------------
(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, 2008*
<Table>
<Caption>
- -------------------------------------------------
PERCENT OF
NET ASSETS
- -------------------------------------------------
Corporate Bonds & Notes 82.1%
Credit-Linked Trust Certificate 4.3
Short Term Investments 12.5
Other Assets & Liabilities 1.1
- -------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------
</Table>
* The Fund's asset allocation is expressed as a percentage of net assets and
may change over time.
36
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.9%
Treasury Bills*
0.01%, 02/12/2009......... $ 57,676,000 $ 57,673,443
0.01%, 02/19/2009......... 59,894,000 59,890,088
0.01%, 02/26/2009......... 61,004,000 60,999,444
0.02%, 02/05/2009......... 56,568,000 56,565,968
0.41%, 01/15/2009......... 115,353,000 115,352,551
0.41%, 01/08/2009......... 120,899,000 120,898,650
0.43%, 01/02/2009......... 53,240,000 53,239,972
0.46%, 01/29/2009......... 97,606,000 97,604,481
0.46%, 01/22/2009......... 119,789,000 119,788,305
-------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $741,950,675)....... 742,012,902
-------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 0.1%
MONEY MARKET FUND -- 0.1%
State Street Institutional
Liquid Reserves Fund
1.34%, (a)(b)
(Cost $1,204,875)......... 1,204,875 1,204,875
-------------
TOTAL INVESTMENTS -- 100.0%
(Cost $743,155,550)....... 743,217,777
OTHER ASSETS AND
LIABILITIES -- 0.0% (C)... (342,665)
-------------
NET ASSETS -- 100.0%........ $742,875,112
=============
</Table>
* Rate shown is the discount rate at time of purchase, not a coupon rate.
(a) The rate shown is the annualized seven-day yield at period end.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(c) Amount represents less than 0.05% of net assets.
See accompanying notes to financial statements.
37
SPDR BARCLAYS CAPITAL TIPS ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.0%
Treasury Inflation Protected Indexed Bonds
1.75%, 01/15/2028 (a)...... $ 4,539,787 $ 4,107,781
2.00%, 01/15/2026 (a)...... 6,069,998 5,572,076
2.38%, 01/15/2025 (a)...... 9,039,480 8,666,602
2.38%, 01/15/2027 (a)...... 4,966,396 4,897,314
3.38%, 04/15/2032.......... 1,716,065 2,112,905
3.63%, 04/15/2028 (a)...... 6,257,957 7,317,930
3.88%, 04/15/2029 (a)...... 7,292,927 8,858,645
Treasury Inflation Protected Indexed Notes
0.63%, 04/15/2013 (a)...... 4,236,201 4,016,427
0.88%, 04/15/2010 (a)...... 8,993,034 8,383,217
1.38%, 07/15/2018 (a)...... 3,876,983 3,604,392
1.63%, 01/15/2015 (a)...... 6,055,307 5,570,882
1.63%, 01/15/2018 (a)...... 4,760,054 4,475,927
1.88%, 07/15/2013 (a)...... 6,623,286 6,196,945
1.88%, 07/15/2015 (a)...... 5,259,364 4,912,561
2.00%, 04/15/2012 (a)...... 5,183,344 5,014,885
2.00%, 01/15/2014 (a)...... 6,914,115 6,505,767
2.00%, 07/15/2014.......... 6,076,508 5,702,438
2.00%, 01/15/2016 (a)...... 5,208,781 4,945,060
2.38%, 04/15/2011 (a)...... 6,113,379 5,950,030
2.38%, 01/15/2017 (a)...... 5,197,367 5,107,244
2.50%, 07/15/2016.......... 6,019,200 5,908,206
2.63%, 07/15/2017.......... 4,114,301 4,171,531
3.00%, 07/15/2012 (a)...... 7,717,513 7,505,281
3.38%, 01/15/2012.......... 2,057,117 2,026,898
3.50%, 01/15/2011 (a)...... 3,850,043 3,761,030
4.25%, 01/15/2010 (a)...... 4,052,297 3,945,276
------------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $149,032,442)........ 139,237,250
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 26.7%
MONEY MARKET FUNDS -- 26.7%
State Street Institutional
Liquid
Reserves Fund 1.34%, (b)
(c)........................ 100,366 100,366
State Street Navigator
Securities
Lending Prime Portfolio (c)
(d)........................ 37,408,834 37,408,834
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $37,509,200)......... 37,509,200
------------
TOTAL INVESTMENTS -- 125.7%
(Cost $186,541,642)........ 176,746,450
OTHER ASSETS AND
LIABILITIES -- (25.7)%..... (36,105,576)
------------
NET ASSETS -- 100.0%......... $140,640,874
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) The rate shown is the annualized seven-day yield at period end.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(d) Investments of cash collateral for securities loaned.
See accompanying notes to financial statements.
38
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.3%
Treasury Bonds
7.25%, 05/15/2016 (a)....... $ 779,000 $ 1,049,687
7.50%, 11/15/2016 (a)....... 749,000 1,023,276
8.75%, 05/15/2017 (a)....... 610,000 898,164
8.88%, 08/15/2017 (a)....... 400,000 595,272
9.13%, 05/15/2018 (a)....... 250,000 387,130
9.25%, 02/15/2016 (a)....... 177,000 258,379
9.88%, 11/15/2015........... 216,000 321,942
10.63%, 08/15/2015.......... 134,000 202,814
11.25%, 02/15/2015.......... 407,000 620,012
11.75%, 11/15/2014.......... 179,000 196,758
12.50%, 08/15/2014 (a)...... 161,000 173,242
13.25%, 05/15/2014.......... 163,000 170,386
Treasury Notes
0.88%, 12/31/2010........... 1,250,000 1,252,153
1.13%, 12/15/2011........... 1,000,000 1,003,910
1.25%, 11/30/2010........... 1,275,000 1,288,706
1.50%, 10/31/2010 (a)....... 1,186,000 1,203,861
1.50%, 12/31/2013........... 600,000 598,830
1.75%, 03/31/2010 (a)....... 1,238,000 1,258,229
1.75%, 11/15/2011 (a)....... 1,000,000 1,022,470
2.00%, 02/28/2010 (a)....... 1,227,000 1,248,706
2.00%, 09/30/2010 (a)....... 1,478,000 1,514,935
2.00%, 11/30/2013........... 1,000,000 1,025,310
2.13%, 01/31/2010 (a)....... 1,148,000 1,168,825
2.13%, 04/30/2010 (a)....... 1,291,000 1,321,558
2.38%, 08/31/2010 (a)....... 1,482,000 1,527,157
2.50%, 03/31/2013 (a)....... 827,000 877,174
2.63%, 05/31/2010 (a)....... 1,386,000 1,427,330
2.75%, 07/31/2010 (a)....... 1,409,000 1,459,428
2.75%, 02/28/2013 (a)....... 763,000 814,648
2.75%, 10/31/2013 (a)....... 1,131,000 1,202,456
2.88%, 06/30/2010 (a)....... 1,386,000 1,435,383
2.88%, 01/31/2013 (a)....... 655,000 702,861
3.13%, 04/30/2013 (a)....... 872,000 944,751
3.13%, 08/31/2013 (a)....... 1,028,000 1,107,639
3.13%, 09/30/2013 (a)....... 367,000 395,846
3.38%, 11/30/2012 (a)....... 644,000 701,464
3.38%, 06/30/2013 (a)....... 957,000 1,043,274
3.38%, 07/31/2013 (a)....... 955,000 1,043,509
3.50%, 02/15/2010 (a)....... 405,000 419,248
3.50%, 05/31/2013 (a)....... 883,000 966,655
3.50%, 02/15/2018........... 1,425,000 1,577,732
3.63%, 01/15/2010 (a)....... 257,000 265,910
3.63%, 06/15/2010 (a)....... 642,000 670,928
3.63%, 12/31/2012 (a)....... 604,000 665,240
3.63%, 05/15/2013........... 850,000 933,683
3.75%, 11/15/2018 (a)....... 1,300,000 1,471,639
3.88%, 05/15/2010 (a)....... 663,000 695,023
3.88%, 07/15/2010 (a)....... 161,000 169,810
3.88%, 09/15/2010........... 575,000 609,000
3.88%, 10/31/2012 (a)....... 609,000 673,694
3.88%, 02/15/2013 (a)....... 592,000 659,547
3.88%, 05/15/2018 (a)....... 994,000 1,133,627
4.00%, 03/15/2010 (a)....... 557,000 581,926
4.00%, 04/15/2010 (a)....... 236,000 247,413
4.00%, 11/15/2012 (a)....... 743,000 824,656
4.00%, 02/15/2014 (a)....... 1,239,000 1,404,084
4.00%, 02/15/2015 (a)....... 1,135,000 1,291,528
4.00%, 08/15/2018 (a)....... 1,173,000 1,354,745
4.13%, 08/15/2010 (a)....... 585,000 619,550
4.13%, 08/31/2012 (a)....... 614,000 678,894
4.13%, 05/15/2015 (a)....... 1,428,000 1,637,102
4.25%, 10/15/2010 (a)....... 536,000 572,491
4.25%, 01/15/2011 (a)....... 611,000 656,550
4.25%, 09/30/2012 (a)....... 314,000 350,302
4.25%, 08/15/2013 (a)....... 1,305,000 1,483,589
4.25%, 11/15/2013 (a)....... 834,000 951,986
4.25%, 08/15/2014 (a)....... 1,071,000 1,229,829
4.25%, 11/15/2014 (a)....... 826,000 955,418
4.25%, 08/15/2015 (a)....... 1,355,000 1,571,353
4.25%, 11/15/2017........... 989,000 1,151,740
4.38%, 12/15/2010........... 586,000 629,329
4.38%, 08/15/2012 (a)....... 681,000 764,640
4.50%, 05/15/2010 (a)....... 658,000 694,868
4.50%, 11/15/2010 (a)....... 614,000 659,025
4.50%, 02/28/2011 (a)....... 675,000 728,845
4.50%, 09/30/2011........... 693,000 759,715
4.50%, 11/30/2011........... 661,000 727,946
4.50%, 03/31/2012 (a)....... 623,000 688,951
4.50%, 04/30/2012 (a)....... 623,000 690,134
4.50%, 11/15/2015 (a)....... 675,000 800,111
4.50%, 02/15/2016 (a)....... 990,000 1,165,280
4.50%, 05/15/2017 (a)....... 995,000 1,167,911
4.63%, 08/31/2011 (a)....... 695,000 763,339
4.63%, 10/31/2011 (a)....... 608,000 671,202
4.63%, 12/31/2011 (a)....... 633,000 700,566
4.63%, 02/29/2012 (a)....... 597,000 661,995
4.63%, 07/31/2012 (a)....... 625,000 700,369
4.63%, 11/15/2016........... 971,000 1,146,887
4.63%, 02/15/2017 (a)....... 915,000 1,083,076
4.75%, 02/15/2010........... 755,000 790,908
4.75%, 03/31/2011 (a)....... 678,000 736,762
4.75%, 01/31/2012 (a)....... 575,000 638,422
4.75%, 05/31/2012 (a)....... 625,000 700,150
4.75%, 05/15/2014 (a)....... 1,148,000 1,351,391
4.75%, 08/15/2017 (a)....... 994,000 1,188,347
4.88%, 04/30/2011 (a)....... 664,000 727,146
4.88%, 05/31/2011........... 695,000 763,353
4.88%, 07/31/2011........... 665,000 733,475
4.88%, 02/15/2012 (a)....... 929,000 1,039,282
4.88%, 06/30/2012........... 585,000 657,382
4.88%, 08/15/2016 (a)....... 911,000 1,086,932
5.00%, 02/15/2011 (a)....... 969,000 1,057,954
5.00%, 08/15/2011 (a)....... 617,000 686,443
5.13%, 06/30/2011 (a)....... 670,000 741,154
5.13%, 05/15/2016 (a)....... 996,000 1,205,339
5.75%, 08/15/2010........... 904,000 982,124
6.50%, 02/15/2010 (a)....... 771,000 822,287
-----------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $89,936,860).......... 94,075,407
-----------
</Table>
See accompanying notes to financial statements.
39
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 25.4%
MONEY MARKET FUNDS -- 25.4%
State Street Institutional
Liquid
Reserves Fund 1.34%, (b)
(c)......................... 276,350 $ 276,350
State Street Navigator
Securities Lending Prime
Portfolio (c) (d)........... 23,817,724 23,817,724
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $24,094,074).......... 24,094,074
------------
TOTAL INVESTMENTS -- 124.7%
(Cost $114,030,934)......... 118,169,481
OTHER ASSETS AND
LIABILITIES -- (24.7)%...... (23,421,505)
------------
NET ASSETS -- 100.0%.......... $ 94,747,976
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) The rate shown is the annualized seven-day yield at period end.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(d) Investments of cash collateral for securities loaned.
See accompanying notes to financial statements.
40
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
U.S. TREASURY OBLIGATIONS -- 99.0%
Treasury Bonds
4.38%, 02/15/2038 (a)....... $ 665,000 $ 890,801
4.50%, 02/15/2036 (a)....... 1,051,000 1,395,970
4.50%, 05/15/2038 (a)....... 882,000 1,203,930
4.75%, 02/15/2037 (a)....... 631,000 879,387
5.00%, 05/15/2037 (a)....... 614,000 889,643
5.25%, 11/15/2028........... 407,000 536,988
5.25%, 02/15/2029 (a)....... 424,000 561,703
5.38%, 02/15/2031 (a)....... 674,000 927,208
5.50%, 08/15/2028 (a)....... 448,000 604,813
6.00%, 02/15/2026........... 511,000 712,773
6.13%, 11/15/2027 (a)....... 819,000 1,173,496
6.13%, 08/15/2029 (a)....... 388,000 569,375
6.25%, 08/15/2023 (a)....... 909,000 1,238,822
6.25%, 05/15/2030........... 661,000 993,794
6.38%, 08/15/2027........... 338,000 494,291
6.50%, 11/15/2026 (a)....... 385,000 566,712
6.63%, 02/15/2027........... 361,000 539,154
6.75%, 08/15/2026........... 312,000 470,196
6.88%, 08/15/2025 (a)....... 407,000 618,465
7.13%, 02/15/2023 (a)....... 587,000 850,939
7.25%, 08/15/2022 (a)....... 382,000 555,149
7.50%, 11/15/2024........... 300,000 481,089
7.63%, 11/15/2022........... 237,000 356,346
7.63%, 02/15/2025 (a)....... 338,000 548,506
7.88%, 02/15/2021 (a)....... 374,000 554,369
8.00%, 11/15/2021 (a)....... 1,157,000 1,752,936
8.13%, 08/15/2019 (a)....... 707,000 1,043,136
8.13%, 05/15/2021 (a)....... 370,000 560,731
8.13%, 08/15/2021 (a)....... 334,000 507,486
8.50%, 02/15/2020 (a)....... 359,000 546,096
8.75%, 05/15/2020 (a)....... 253,000 392,894
8.75%, 08/15/2020 (a)....... 647,000 1,008,680
8.88%, 02/15/2019 (a)....... 469,000 719,596
-----------
TOTAL U.S. TREASURY
OBLIGATIONS --
(Cost $21,528,860).......... 25,145,474
-----------
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 26.2%
MONEY MARKET FUNDS -- 26.2%
State Street Institutional
Liquid
Reserves Fund 1.34%, (b)
(c)......................... 12,844 $ 12,844
State Street Navigator
Securities Lending Prime
Portfolio (c) (d)........... 6,653,693 6,653,693
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $6,666,537)........... 6,666,537
-----------
TOTAL INVESTMENTS -- 125.2%
(Cost $28,195,397).......... 31,812,011
OTHER ASSETS AND
LIABILITIES -- (25.2)%...... (6,403,127)
-----------
NET ASSETS -- 100.0%.......... $25,408,884
===========
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) The rate shown is the annualized seven-day yield at period end.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(d) Investments of cash collateral for securities loaned.
See accompanying notes to financial statements.
41
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 22.7%
AEROSPACE & DEFENSE -- 0.6%
Boeing Co.
6.13%, 02/15/2033 (a)...... $ 150,000 $ 158,564
Honeywell International, Inc.
6.13%, 11/01/2011 (a)...... 805,000 848,971
------------
1,007,535
------------
AIR FREIGHT &
LOGISTICS -- 0.1%
United Parcel Service, Inc.
6.20%, 01/15/2038.......... 235,000 268,594
------------
BANKS-- 0.4%
KfW Bankengruppe
4.00%, 10/15/2013 (a)...... 660,000 698,557
------------
BEVERAGES -- 0.1%
Diageo Capital PLC
5.75%, 10/23/2017.......... 235,000 225,563
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp.
6.13%, 10/03/2016 (a)...... 235,000 175,789
------------
CAPITAL MARKETS -- 1.5%
Morgan Stanley
4.00%, 01/15/2010 (a)...... 965,000 936,050
Svensk Exportkredit AB
5.13%, 03/01/2017 (a)...... 375,000 414,322
The Goldman Sachs Group,
Inc.:
5.35%, 01/15/2016.......... 1,180,000 1,043,116
5.95%, 01/15/2027.......... 300,000 231,482
------------
2,624,970
------------
CHEMICALS -- 0.2%
E.I. du Pont de Nemours & Co.
5.25%, 12/15/2016 (a)...... 375,000 369,001
------------
COMMERCIAL BANKS -- 4.4%
Bank of New York Mellon Corp.
4.95%, 11/01/2012.......... 495,000 502,524
Deutsche Bank AG London:
5.38%, 10/12/2012 (a)...... 375,000 377,680
6.00%, 09/01/2017.......... 430,000 434,279
European Investment Bank
5.00%, 02/08/2010.......... 1,225,000 1,268,340
HSBC Bank USA NA
4.63%, 04/01/2014 (a)...... 730,000 677,514
Inter-American Development
Bank
5.13%, 09/13/2016.......... 375,000 430,721
International Bank for
Reconstruction &
Development
4.75%, 02/15/2035.......... 80,000 94,421
JPMorgan Chase Bank NA
6.00%, 10/01/2017.......... 510,000 511,645
Key Bank NA
5.80%, 07/01/2014.......... 430,000 379,815
Oesterreichische Kontrollbank
AG
4.75%, 10/16/2012 (a)...... 375,000 403,714
Royal Bank of Scotland Group
PLC
5.00%, 11/12/2013.......... 375,000 329,506
US Bank NA
6.38%, 08/01/2011 (a)...... 235,000 242,372
Wachovia Bank NA
5.85%, 02/01/2037.......... 655,000 605,346
Wells Fargo & Co.:
4.88%, 01/12/2011 (a)...... 375,000 377,246
5.63%, 12/11/2017.......... 235,000 241,209
Wells Fargo Bank NA
4.75%, 02/09/2015.......... 805,000 782,096
------------
7,658,428
------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Cisco Systems, Inc.
5.50%, 02/22/2016.......... 225,000 237,888
------------
COMPUTERS & PERIPHERALS -- 0.3%
International Business
Machines Corp.
5.88%, 11/29/2032 (a)...... 150,000 158,735
Oracle Corp.
5.00%, 01/15/2011 (a)...... 375,000 384,394
------------
543,129
------------
DIVERSIFIED FINANCIAL SERVICES -- 4.9%
Bank of America Corp.
7.80%, 02/15/2010.......... 565,000 577,183
Bank of America NA
5.30%, 03/15/2017.......... 1,105,000 1,045,037
CIT Group, Inc.
4.25%, 02/01/2010 (a)...... 310,000 279,000
Citigroup, Inc.
5.63%, 08/27/2012.......... 1,570,000 1,469,513
Credit Suisse USA, Inc.
6.50%, 01/15/2012.......... 930,000 954,054
General Electric Capital
Corp.:
5.25%, 10/19/2012 (a)...... 375,000 377,380
5.63%, 05/01/2018.......... 810,000 811,354
6.75%, 03/15/2032.......... 225,000 239,042
HSBC Finance Corp.
5.25%, 01/14/2011 (a)...... 310,000 299,509
JPMorgan Chase & Co.
6.63%, 03/15/2012.......... 1,580,000 1,605,376
Merrill Lynch & Co, Inc.
6.88%, 04/25/2018.......... 535,000 556,345
National Rural Utilities
Cooperative Finance Corp.
8.00%, 03/01/2032.......... 330,000 316,998
------------
8,530,791
------------
ELECTRIC UTILITIES -- 1.1%
Duke Energy Carolinas LLC
7.00%, 11/15/2018.......... 375,000 425,012
Pacific Gas & Electric Co.
4.80%, 03/01/2014 (a)...... 805,000 788,309
Progress Energy, Inc.
7.75%, 03/01/2031 (a)...... 375,000 377,454
Virginia Electric and Power
Co.
5.10%, 11/30/2012 (a)...... 330,000 320,181
------------
1,910,956
------------
</Table>
See accompanying notes to financial statements.
42
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOOD & STAPLES RETAILING -- 0.3%
CVS Caremark Corp.
6.25%, 06/01/2027.......... $ 235,000 $ 219,504
Wal-Mart Stores, Inc.
5.88%, 04/05/2027.......... 300,000 324,162
------------
543,666
------------
FOOD PRODUCTS -- 0.5%
Archer-Daniels-Midland Co.
5.38%, 09/15/2035.......... 225,000 182,522
General Mills, Inc.
5.70%, 02/15/2017 (a)...... 375,000 367,808
Kraft Foods, Inc.
5.63%, 11/01/2011.......... 375,000 380,479
------------
930,809
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1%
Baxter International, Inc.
6.25%, 12/01/2037.......... 140,000 159,864
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.4%
UnitedHealth Group, Inc.
5.25%, 03/15/2011 (a)...... 805,000 767,738
------------
HOTELS, RESTAURANTS & LEISURE -- 0.2%
McDonald's Corp.
5.35%, 03/01/2018.......... 330,000 338,373
------------
HOUSEHOLD PRODUCTS -- 0.2%
Procter & Gamble Co.
5.55%, 03/05/2037.......... 225,000 253,294
------------
INDUSTRIAL CONGLOMERATES -- 0.2%
General Electric Co.
5.25%, 12/06/2017.......... 330,000 326,503
------------
INSURANCE -- 0.7%
American International Group,
Inc.
5.45%, 05/18/2017.......... 730,000 489,100
MetLife, Inc.
5.70%, 06/15/2035.......... 375,000 296,250
The Allstate Corp.
5.95%, 04/01/2036 (a)...... 150,000 131,975
The Travelers Cos., Inc.
6.25%, 03/15/2037 (b)...... 375,000 232,500
XL Capital, Ltd.
6.50%, 12/31/2049.......... 375,000 56,250
------------
1,206,075
------------
MACHINERY -- 0.1%
Caterpillar, Inc.
6.05%, 08/15/2036 (a)...... 150,000 143,475
------------
MEDIA -- 0.6%
Comcast Corp.
6.50%, 01/15/2017 (a)...... 300,000 295,383
News America, Inc.
6.15%, 03/01/2037.......... 225,000 204,484
Time Warner Cable, Inc.
5.85%, 05/01/2017.......... 300,000 271,413
Time Warner, Inc.
7.70%, 05/01/2032.......... 225,000 227,738
------------
999,018
------------
METALS & MINING -- 0.3%
Rio Tinto Finance USA, Ltd.
5.88%, 07/15/2013.......... 400,000 302,000
Vale Overseas, Ltd.
6.88%, 11/21/2036.......... 300,000 276,750
------------
578,750
------------
MULTI-UTILITIES -- 0.2%
Midamerican Energy Holdings
Co.
6.13%, 04/01/2036 (a)...... 375,000 348,707
------------
MULTILINE RETAIL -- 0.2%
Macy's Retail Holdings, Inc.
5.35%, 03/15/2012.......... 375,000 281,250
------------
OFFICE ELECTRONICS -- 0.2%
Xerox Corp.
5.65%, 05/15/2013.......... 400,000 301,299
------------
OIL, GAS & CONSUMABLE FUELS -- 1.3%
Anadarko Petroleum Corp.
5.95%, 09/15/2016.......... 300,000 265,867
Canadian Natural Resources,
Ltd.
6.25%, 03/15/2038.......... 375,000 291,385
ConocoPhillips Canada Funding
Co.
5.63%, 10/15/2016 (a)...... 805,000 818,850
Kinder Morgan Energy Partners
LP
5.80%, 03/15/2035.......... 160,000 112,535
Southern Natural Gas Co.
5.90%, 04/01/2017 (c)...... 805,000 672,007
Transocean, Inc.
6.00%, 03/15/2018.......... 140,000 125,764
------------
2,286,408
------------
PHARMACEUTICALS -- 0.8%
Abbott Laboratories
5.60%, 05/15/2011.......... 375,000 391,351
AstraZeneca PLC
6.45%, 09/15/2037 (a)...... 75,000 82,480
Eli Lilly & Co.
5.20%, 03/15/2017.......... 300,000 304,973
Schering-Plough Corp.
6.00%, 09/15/2017 (a)...... 375,000 373,691
Wyeth
5.95%, 04/01/2037 (a)...... 225,000 243,272
------------
1,395,767
------------
REAL ESTATE INVESTMENT TRUST -- 0.1%
Simon Property Group LP
5.60%, 09/01/2011 (a)...... 250,000 203,075
------------
ROAD & RAIL -- 0.3%
CSX Corp.
6.15%, 05/01/2037.......... 150,000 126,540
Norfolk Southern Corp.
7.70%, 05/15/2017.......... 300,000 336,284
------------
462,824
------------
SPECIALTY RETAIL -- 0.2%
Home Depot, Inc.
5.40%, 03/01/2016 (a)...... 375,000 327,176
------------
</Table>
See accompanying notes to financial statements.
43
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
TELECOMMUNICATIONS -- 0.2%
Verizon Communications, Inc.
6.40%, 02/15/2038 (a)...... $ 400,000 $ 416,972
------------
TOBACCO -- 0.2%
Philip Morris International,
Inc.
4.88%, 05/16/2013 (a)...... 400,000 395,532
------------
WIRELESS TELECOMMUNICATION SERVICES -- 1.6%
AT&T Corp.
8.00%, 11/15/2031 (a)...... 430,000 515,734
Deutsche Telekom
International Finance BV
8.50%, 06/15/2010 (d)...... 805,000 829,468
Embarq Corp.
7.08%, 06/01/2016.......... 150,000 112,500
New Cingular Wireless
Services, Inc.
8.13%, 05/01/2012.......... 375,000 397,985
Telecom Italia Capital
5.25%, 10/01/2015.......... 505,000 388,850
Verizon Global Funding Corp.
6.88%, 06/15/2012.......... 375,000 386,124
Vodafone Group PLC
5.63%, 02/27/2017 (a)...... 225,000 210,631
------------
2,841,292
------------
TOTAL CORPORATE BONDS &
NOTES --
(Cost $40,944,370)......... 39,759,068
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 1.8%
Federal Republic of Brazil
8.25%, 01/20/2034.......... 330,000 401,775
Province of Ontario
4.95%, 06/01/2012.......... 430,000 456,135
Province of Quebec
7.50%, 09/15/2029.......... 430,000 641,576
Republic of Italy
5.63%, 06/15/2012.......... 730,000 795,561
United Mexican States
5.63%, 01/15/2017.......... 805,000 807,013
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS --
(Cost $2,994,891).......... 3,102,060
------------
U.S. AGENCY MBS TBA -- 40.1%
Fannie Mae
5.00%, 15YR TBA............ 2,900,000 2,979,750
5.50%, 30YR TBA............ 16,750,000 17,189,687
6.00%, 15YR TBA............ 2,700,000 2,802,937
6.50%, 30YR TBA............ 6,100,000 6,340,187
7.00%, 30YR TBA............ 2,000,000 2,092,500
Federal Home Loan Bank
5.50%, 15YR TBA............ 2,000,000 2,062,500
Freddie Mac
4.50%, 15YR TBA............ 3,350,000 3,428,516
4.50%, 30YR TBA............ 1,000,000 1,012,500
5.00%, 30YR TBA............ 11,900,000 12,143,578
6.00%, 30YR TBA............ 10,700,000 11,034,375
6.50%, 15YR TBA............ 1,500,000 1,560,938
Ginnie Mae
5.00%, 30YR TBA............ 1,050,000 1,077,727
5.50%, 30YR TBA............ 2,650,000 2,732,812
6.00%, 30YR TBA............ 2,500,000 2,581,641
6.50%, 30YR TBA............ 1,000,000 1,040,938
------------
TOTAL U.S. AGENCY MBS TBA --
(Cost $68,312,835)......... 70,080,586
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.2%
Fannie Mae
5.00%, 02/16/2012.......... 1,533,000 1,683,016
5.00%, 05/11/2017.......... 1,060,000 1,205,625
7.13%, 01/15/2030 (a)...... 720,000 1,084,393
Federal Home Loan Bank
5.13%, 08/14/2013.......... 1,535,000 1,721,501
5.38%, 08/19/2011.......... 2,715,000 2,975,939
Freddie Mac
3.88%, 06/29/2011 (a)...... 705,000 747,632
4.13%, 07/12/2010.......... 2,610,000 2,723,720
4.50%, 01/15/2013 (a)...... 960,000 1,050,542
4.88%, 02/09/2010 (a)...... 1,620,000 1,686,515
5.00%, 04/18/2017 (a)...... 1,108,000 1,259,869
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS --
(Cost $15,244,496)......... 16,138,752
------------
U.S. TREASURY OBLIGATIONS -- 22.9%
Treasury Bonds
4.38%, 02/15/2038 (a)...... 1,355,000 1,815,090
5.50%, 08/15/2028 (a)...... 1,700,000 2,295,051
8.00%, 11/15/2021 (a)...... 1,225,000 1,855,961
8.88%, 08/15/2017 (a)...... 2,938,000 4,372,273
Treasury Notes
2.00%, 02/28/2010 (a)...... 2,135,000 2,172,768
2.38%, 08/31/2010 (a)...... 4,140,000 4,266,146
2.88%, 06/30/2010 (a)...... 2,135,000 2,211,070
3.38%, 07/31/2013 (a)...... 6,525,000 7,129,737
3.88%, 05/15/2018 (a)...... 1,575,000 1,796,240
4.13%, 05/15/2015 (a)...... 1,900,000 2,178,217
4.50%, 04/30/2012 (a)...... 7,113,000 7,879,497
4.75%, 08/15/2017 (a)...... 1,750,000 2,092,160
------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $37,660,804)......... 40,064,210
------------
</Table>
See accompanying notes to financial statements.
44
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 54.3%
MONEY MARKET FUNDS -- 54.3%
State Street Institutional
Liquid Reserves Fund 1.34%,
(e) (f) (g)................ 71,204,148 $ 71,204,148
State Street Navigator
Securities Lending Prime
Portfolio (g) (h).......... 23,699,143 23,699,143
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $94,903,291)......... 94,903,291
------------
TOTAL INVESTMENTS -- 151.0%
(Cost $260,060,687)........ 264,047,967
OTHER ASSETS AND
LIABILITIES -- (51.0)%..... (89,235,469)
------------
NET ASSETS -- 100.0%......... $174,812,498
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Variable Rate Security. Rate shown is as of December 31, 2008.
(c) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 0.38% of net assets as of December 31, 2008, is
considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Step up Bond. Coupon rate increases in increments to maturity. Rate
disclosed is as of December 31, 2008. Maturity date disclosed is the
ultimate maturity date.
(e) Security or a portion of the security has been designated as collateral for
TBA securities.
(f) The rate shown is the annualized seven-day yield at period end.
(g) Affiliated Fund managed by SSgA Funds Management, Inc.
(h) Investments of cash collateral for securities loaned.
TBA = To Be Announced
See accompanying notes to financial statements.
45
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 97.7%
ALABAMA -- 1.3%
Alabama, Auburn University,
General Fee Revenue
5.00%, 06/01/2038 (a)...... $ 2,200,000 $ 2,092,684
Alabama, Public School &
College Authority
5.00%, 12/01/2023.......... 1,500,000 1,518,210
Birmingham, AL, Capital
Investment Series A 4.50%,
12/01/2027................. 1,000,000 861,980
------------
4,472,874
------------
ARIZONA -- 1.9%
Arizona, Salt River Project,
Agricultural Improvement &
Power District:
Series A 5.00%,
01/01/2016................. 500,000 555,940
Series A 5.00%,
01/01/2022.............. 500,000 513,470
Arizona, State Transportation
Board, Excise Tax Revenue
5.00%, 07/01/2021.......... 1,500,000 1,565,310
Phoenix, AZ, Civic
Improvement Corp.,
Wastewater System Revenue,
Senior Lien
5.50%, 07/01/2019.......... 1,000,000 1,112,430
Phoenix, AZ, General
Obligation
Series A 5.00%,
07/01/2017................. 1,000,000 1,123,350
Pima County, AZ, Industrial
Development Authority,
Lease Revenue
5.00%, 09/01/2039.......... 2,000,000 1,798,860
------------
6,669,360
------------
CALIFORNIA -- 11.9%
Azusa, CA, Public Financing
Authority, Revenue
5.00%, 07/01/2039 (a)...... 1,200,000 1,069,476
California, Golden Empire
Schools Financing
Authority, Lease Revenue
4.00%, 05/01/2010.......... 4,000,000 4,064,760
California, State Economic
Recovery, General
Obligation:
Series A 5.00%,
01/01/2011................. 1,000,000 1,045,370
Series A 5.00%,
07/01/2015.............. 575,000 615,934
California, State Public
Works Board, Lease Revenue
Series D 5.00%,
05/01/2025................. 1,000,000 982,420
California, State University
Revenue
Series A 4.50%, 11/01/2044
(a)........................ 6,090,000 4,692,528
Series A 5.00%, 11/01/2037
(a)..................... 1,000,000 950,200
Los Angeles County, CA,
Public Work Financing
Authority, Lease Revenue
Series A 5.00%, 12/01/2027
(a)........................ 300,000 269,001
Los Angeles, CA, Unified
School District:
Series B 4.75%, 07/01/2019
(a)........................ 3,485,000 3,591,188
Series A-1 5.00%,
07/01/2016 (a)............. 3,000,000 3,219,750
Series A 5.00%,
07/01/2018................. 900,000 955,926
San Diego, CA, Community
College District
5.00%, 05/01/2020 (a)...... 2,720,000 2,796,921
San Diego, CA, Unified School
District
Series C-2 5.50%,
07/01/2019 (a)............. 1,600,000 1,782,416
San Francisco, CA, Bay Area
Rapid Transit District:
Series B 5.00%,
08/01/2022................. 1,500,000 1,554,960
Series B 5.00%,
08/01/2032.............. 1,600,000 1,571,680
San Francisco, CA, City &
County Public Utilities
Commission Water Revenue
Series A 4.50%, 11/01/2031
(a)........................ 1,000,000 814,820
San Francisco, CA, Toll
Bridge Revenue
Series F 5.00%,
04/01/2031................. 4,775,000 4,495,185
San Jose, CA, Evergreen
Community College District
Series A Zero Coupon,
09/01/2020 (a)............. 2,500,000 1,369,825
University of California:
Series J 4.50%, 05/15/2031
(a)........................ 3,000,000 2,557,260
Series B 4.75%,
05/15/2038................. 1,300,000 1,123,434
West Valley-Mission Community
College District, CA,
Election 2004-A
5.00%, 08/01/2030 (a)...... 2,000,000 1,887,040
------------
41,410,094
------------
COLORADO -- 1.5%
Douglas County, CO, School
District Series B 5.00%,
12/15/2019................. 2,000,000 2,156,040
University of Colorado,
Enterprise System Revenue
5.00%, 06/01/2023 (a)...... 3,000,000 3,034,260
------------
5,190,300
------------
CONNECTICUT -- 0.9%
Connecticut, State General
Obligation:
Series A 4.50%,
05/01/2026................. 1,000,000 951,810
Series C 5.00%, 04/01/2011
(a)........................ 2,000,000 2,129,160
------------
3,080,970
------------
DELAWARE -- 0.3%
Delaware, State General
Obligation
5.00%, 03/01/2013.......... 1,000,000 1,105,070
------------
FLORIDA -- 2.9%
Florida, State Board of
Education, General
Obligation
Series B 5.25%,
06/01/2013................. 2,000,000 2,203,340
Florida, State Board of
Education, Public Education
Capital Outlay
Series A 5.00%,
06/01/2016................. 900,000 991,044
Florida, State Department of
Environmental Protection
Revenue
Series A 5.00%,
07/01/2009................. 1,000,000 1,015,810
Gainesville, FL, Utility
System Revenue, (Pre-
refunded)
Series A 5.00%, 10/01/2035
(a)........................ 900,000 1,037,457
JEA, FL, Bulk Power Supply
System Revenue, Scherer 4
Project
Series A 5.63%,
10/01/2033................. 5,000,000 4,911,100
------------
10,158,751
------------
</Table>
See accompanying notes to financial statements.
46
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
GEORGIA -- 1.8%
Augusta, GA, Water & Sewer
Revenue
5.00%, 10/01/2014 (a)...... $ 1,085,000 $ 1,196,115
Georgia, State General
Obligation:
Series D 5.00%,
07/01/2009................. 1,000,000 1,020,330
Series B 5.00%,
04/01/2012................. 2,000,000 2,183,100
Milledgeville -- Baldwin
County, GA, Development
Authority, (Pre-refunded)
5.50%, 09/01/2024.......... 1,500,000 1,759,230
------------
6,158,775
------------
HAWAII -- 1.1%
Hawaii, State General
Obligation
Series DJ 5.00%, 04/01/2023
(a)........................ 900,000 913,896
Hawaii, State Highway Revenue
Series B 5.00%,
07/01/2015................. 1,285,000 1,437,864
Honolulu, HI, City & County
General Obligation
Series A 5.00%,
07/01/2029................. 1,500,000 1,473,570
------------
3,825,330
------------
ILLINOIS -- 5.7%
Chicago, IL, General
Obligation:
Series A 5.00%,
01/01/2015................. 900,000 994,842
Series B 5.00%, 01/01/2022
(a)........................ 1,000,000 1,017,720
Chicago, IL, Metropolitan
Water Reclamation District:
Series A 5.00%,
12/01/2020................. 1,000,000 1,076,240
Series C 5.25%,
12/01/2032................. 5,000,000 5,144,700
Chicago, IL, O'Hare
International Airport
Revenue
Series A 5.00%,
01/01/2038................. 1,500,000 1,290,990
Chicago, IL, Water Revenue
5.25%, 11/01/2038.......... 2,500,000 2,401,625
Illinois, Finance Authority
Revenue, University of
Chicago
Series B 6.25%,
07/01/2038................. 5,000,000 5,255,400
Illinois, State General
Obligation
Series B 5.00%,
03/01/2014................. 2,000,000 2,210,700
Southwestern, IL, Development
Authority Revenue
Zero Coupon, 12/01/2021
(a)........................ 1,125,000 555,356
------------
19,947,573
------------
INDIANA -- 1.7%
Indiana, Finance Authority,
Highway Revenue
Series A 4.50%, 12/01/2020
(a)........................ 1,000,000 980,100
Indiana, State Finance
Authority, State Revolving
Fund Program Revenue
Series B 5.00%,
02/01/2018................. 1,535,000 1,680,917
Indiana, State Finance
Authority, Lease Revenue
Series A-1 5.00%,
11/01/2015................. 3,000,000 3,332,250
------------
5,993,267
------------
KANSAS -- 0.6%
Kansas, State Department of
Transportation, Highway
Revenue Series A 5.00%,
09/01/2011................. 2,000,000 2,148,300
------------
KENTUCKY -- 1.1%
Kentucky, State Property &
Buildings Commission
5.00%, 08/01/2013.......... 1,000,000 1,071,980
Kentucky, State Turnpike
Authority, Economic
Development Road Revenue
5.00%, 07/01/2025 (a)...... 1,500,000 1,505,760
Kentucky, State Turnpike
Authority, Economic
Recovery
Series B 4.50%,
07/01/2023................. 1,285,000 1,194,292
------------
3,772,032
------------
MARYLAND -- 2.8%
Maryland, State General
Obligation:
5.00%, 08/01/2012.......... 1,250,000 1,371,750
Series A 5.25%,
02/15/2013................. 1,000,000 1,116,660
Maryland, State Department of
Transportation
5.00%, 02/15/2015.......... 1,500,000 1,668,915
Montgomery County, MD, Public
Improvement
Series A 5.00%,
07/01/2016................. 1,500,000 1,705,200
Montgomery, MD, General
Obligation
Series A 5.00%,
09/01/2015................. 3,530,000 3,925,466
------------
9,787,991
------------
MASSACHUSETTS -- 6.0%
Massachusetts, Bay
Transportation Authority
Revenue
Series A 5.00%,
07/01/2029................. 3,000,000 3,435,210
Massachusetts, Bay
Transportation Authority,
Sales Tax Revenue Series A
5.00%, 07/01/2021.......... 1,000,000 1,043,470
Massachusetts, School
Building Authority:
Series A 5.00%,
08/15/2024................. 1,000,000 1,010,030
Series A 5.00%,
08/15/2026................. 3,000,000 3,004,860
Massachusetts, State
Construction Loan Series B
5.00%, 08/01/2015.......... 1,310,000 1,461,829
Massachusetts, State General
Obligation:
Series A 5.25%,
08/01/2019................. 900,000 1,002,744
Series C 5.50%,
12/01/2022(a).............. 2,500,000 2,753,450
Massachusetts, State Water
Pollution Abatement Trust
5.25%, 08/01/2033.......... 2,000,000 2,022,040
Massachusetts, State Water
Resources Authority
Series A 5.13%,
08/01/2026................. 5,000,000 5,034,700
------------
20,768,333
------------
MICHIGAN -- 0.5%
Michigan, Municipal Bond
Authority Revenue
5.00%, 10/01/2022.......... 1,700,000 1,734,850
------------
</Table>
See accompanying notes to financial statements.
47
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MINNESOTA -- 1.2%
Minnesota, State General
Obligation:
5.00%, 06/01/2015.......... $ 1,820,000 $ 2,049,757
5.00%, 06/01/2018.......... 1,940,000 2,129,596
------------
4,179,353
------------
MISSISSIPPI -- 0.3%
Mississippi, State General
Obligation
5.00%, 12/01/2013.......... 1,000,000 1,103,000
------------
MISSOURI -- 0.9%
Missouri, State Highways &
Transit Commission, State
Road Revenue, Second Lien
5.25%, 05/01/2020.......... 1,000,000 1,078,120
Missouri, State Regional
Convention & Sports Complex
Authority
5.25%, 08/15/2016 (a)...... 1,800,000 1,957,680
------------
3,035,800
------------
MONTANA -- 0.7%
Montana, State Department of
Transportation Revenue
5.00%, 06/01/2015 (a)...... 2,130,000 2,375,120
------------
NEBRASKA -- 1.4%
Omaha, NE, Public Power
District Series A 5.00%,
02/01/2039................. 5,000,000 4,689,950
------------
NEVADA -- 4.8%
Clark County, NV, General
Obligation:
4.50%, 06/01/2018 (a)...... 1,475,000 1,528,498
4.75%, 06/01/2025 (a)...... 1,735,000 1,654,704
Clark County, NV, Highway
Improvement Revenue
5.00%, 07/01/2012 (a)...... 1,000,000 1,086,100
Clark County, NV, School
District, General
Obligation:
Series B 4.50%,
06/15/2016................. 1,010,000 1,064,813
Series A 5.00%,
06/15/2014................. 900,000 977,022
Series D 5.00%, 06/15/2017
(a)........................ 4,815,000 5,088,155
Las Vegas, NV, Convention &
Visitors Authority Revenue
5.00%, 07/01/2016 (a)...... 2,360,000 2,552,435
Las Vegas Valley, NV, Water
District, General
Obligation
Series B 5.00%,
06/01/2015................. 1,500,000 1,632,495
Nevada, State Highway
Improvement Revenue
5.00%, 12/01/2017 (a)...... 1,000,000 1,108,570
------------
16,692,792
------------
NEW JERSEY -- 1.1%
New Jersey, State Educational
Facilities Authority
Revenue, Higher Education
Capital Improvement
Series A 5.00%,
09/01/2018................. 735,000 765,319
New Jersey, State
Transportation Trust Fund
Authority:
(Escrow to Maturity)
Series A 5.25%, 06/15/2012
(a)........................ 1,305,000 1,456,432
Series C Zero Coupon,
12/15/2029 (a)............. 2,585,000 694,357
New Jersey State Turnpike
Authority
Series A 5.25%, 01/01/2027
(a)........................ 1,000,000 1,012,800
------------
3,928,908
------------
NEW MEXICO -- 0.6%
New Mexico, Severance Tax
Series A-1 4.00%,
07/01/2014................. 2,000,000 2,080,800
------------
NEW YORK -- 15.0%
Erie County, NY, Industrial
Development Agency Revenue:
Series A 5.75%, 05/01/2019
(a)........................ 1,500,000 1,623,525
Series A 5.75%,
05/01/2021................. 3,000,000 3,136,830
New York, NY, City Municipal
Water Finance Authority:
Series DD 4.63%,
06/15/2031................. 1,030,000 890,816
Series C 4.75%,
06/15/2033................. 1,000,000 876,420
Series C 5.00%,
06/15/2035.............. 2,320,000 2,183,862
Series A 5.00%,
06/15/2038................. 1,000,000 934,350
Series D 5.00%,
06/15/2038................. 1,000,000 934,350
New York, NY, City
Transitional Finance
Authority Revenue:
Sub Series D-1 5.00%,
11/01/2013................. 1,500,000 1,635,030
Sub Series C-1 5.00%,
01/01/2020................. 900,000 930,420
Series B 5.00%,
08/01/2021................. 2,725,000 2,771,625
New York, NY, General
Obligation:
Series C-1 5.00%,
10/01/2012................. 1,400,000 1,486,996
Series B 5.25%,
08/01/2015................. 2,000,000 2,137,040
New York, State Local
Government Assistance Corp.
Series A 5.00%,
04/01/2020................. 3,000,000 3,151,470
New York, State Dormitory
Authority Revenue
Series A 5.00%,
07/01/2038................. 3,350,000 3,012,153
New York, State Dormitory
Authority, State Income Tax
Revenue
Series B 5.00%,
03/15/2028................. 5,000,000 4,873,200
New York, State Environmental
Facscorp
Series A 4.50%,
06/15/2036................. 1,500,000 1,314,030
New York, State Thruway
Authority, Second General
Highway & Boarding Trust
Fund:
Series B 5.00%,
04/01/2019................. 5,400,000 5,610,600
Series A 5.00%,
04/01/2020................. 3,000,000 3,087,840
New York State Thruway
Authority:
Series G 4.75%, 01/01/2030
(a)........................ 920,000 828,791
Series B 5.00%, 04/01/2014
(a)........................ 2,000,000 2,160,180
Series A 5.00%,
04/01/2021................. 500,000 504,380
Series A 5.00%,
03/15/2028.............. 2,000,000 1,949,280
New York, State Urban
Development Corp. Revenue:
Series B 3.63%, 03/15/2012
(a)........................ 710,000 731,911
Series A-1 5.00%,
12/15/2022 (a)............. 1,000,000 1,003,460
</Table>
See accompanying notes to financial statements.
48
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
New York & New Jersey, Port
Authority Revenue 144th
Series:
5.00%, 10/01/2028.......... $ 3,000,000 $ 2,904,690
5.00%, 12/01/2029.......... 1,500,000 1,441,635
------------
52,114,884
------------
NORTH CAROLINA -- 2.5%
Charlotte, NC, Water & Sewer
System Revenue
5.00%, 07/01/2038.......... 3,000,000 2,954,490
North Carolina, State General
Obligation
Series B 5.00%,
04/01/2016................. 2,000,000 2,268,100
University of North Carolina,
Chapel Hill
5.00%, 12/01/2031.......... 3,640,000 3,642,402
------------
8,864,992
------------
OHIO -- 1.2%
Columbus, OH, General
Obligation Series D 5.00%,
12/15/2009................. 1,000,000 1,037,870
Ohio, State General
Obligation
Series A 5.00%,
06/15/2010................. 2,170,000 2,273,118
Ohio, University of Akron,
General Receipts
Series A 5.00%, 01/01/2033
(a)........................ 1,000,000 929,740
------------
4,240,728
------------
OREGON -- 0.6%
Portland, OR, Sewer System
Revenue Series A 5.00%,
06/01/2015 (a)............. 1,730,000 1,929,088
------------
PENNSYLVANIA -- 3.0%
Central Bucks, PA, School
District
5.00%, 05/15/2023.......... 2,500,000 2,571,375
Pennsylvania, Commonwealth
Financing Authority Revenue
Series A 5.00%, 06/01/2025
(a)........................ 1,925,000 1,934,375
Pennsylvania, State General
Obligation:
Series A 4.50%,
11/01/2021................. 1,390,000 1,403,024
Series A 5.00%,
11/01/2013................. 1,000,000 1,109,930
5.38%, 07/01/2016.......... 3,000,000 3,429,150
------------
10,447,854
------------
RHODE ISLAND -- 0.8%
Rhode Island, State &
Providence Plantations,
Consolidated Capital
Development
Series E 4.70%,
11/01/2025................. 3,000,000 2,830,800
------------
SOUTH CAROLINA -- 1.0%
Charleston County, SC, Sales
Tax Revenue
5.00%, 11/01/2018.......... 2,000,000 2,222,660
South Carolina, State Public
Service Authority
Series C 5.00%,
01/01/2016................. 1,275,000 1,410,086
------------
3,632,746
------------
TENNESSEE -- 0.6%
Nashville & Davidson County,
TN, Health & Educational
Facilities Board Revenue
Series A 5.00%,
10/01/2013................. 2,000,000 2,213,460
------------
TEXAS -- 11.5%
Austin, TX, Electrical
Utilities System Revenue
5.00%, 11/15/2035 (a)...... 5,100,000 4,648,344
Cypress-Fairbanks, TX,
Independent School District
5.00%, 02/15/2023.......... 5,000,000 5,113,750
Dallas, TX, General
Obligation:
4.75%, 02/15/2026.......... 1,500,000 1,458,825
5.00%, 02/15/2024.......... 2,055,000 2,080,749
Denton, TX, Independent
School District, General
Obligation
5.00%, 08/15/2028 (a)...... 1,000,000 995,000
Harris County, TX, Road
Revenue
Series B 5.25%,
08/15/2047................. 3,000,000 2,746,620
Houston, TX, Utility System
Revenue
Series A 5.25%,
11/15/2017................. 900,000 1,019,034
Houston, TX, Public
Improvement
Series B 5.00%,
03/01/2023................. 4,000,000 4,023,200
La Joya, TX, Independent
School District
5.00%, 02/15/2034 (a)...... 2,800,000 2,706,592
Prosper, TX, Independent
School District
5.00%, 02/15/2038 (a)...... 1,000,000 958,550
Texas, State General
Obligation:
4.75%, 04/01/2036.......... 1,000,000 927,900
5.00%, 04/01/2029.......... 3,000,000 2,943,600
Texas, State Transportation
Commission:
Series A, 5.00%,
04/01/2020................. 1,000,000 1,050,690
5.00%, 04/01/2026.......... 2,555,000 2,574,852
University of Texas:
Series F 4.75%,
08/15/2026................. 1,890,000 1,830,711
Series B 5.00%,
08/15/2010................. 1,000,000 1,050,160
Series D 5.00%,
08/15/2018................. 1,675,000 1,825,047
Williamson County, TX,
General Obligation
5.25%, 02/15/2018 (a)...... 2,000,000 2,202,120
------------
40,155,744
------------
UTAH -- 1.7%
Utah, State General
Obligation, (Pre-refunded)
Series A 5.00%,
07/01/2015................. 2,000,000 2,257,140
Utah, Transport Authority
Sales Tax Revenue
Series A 5.00%,
06/15/2036................. 3,850,000 3,689,186
------------
5,946,326
------------
VIRGINIA -- 2.4%
Fairfax County, VA, General
Obligation
Series A 4.00%,
04/01/2011................. 1,675,000 1,752,368
Series A 4.00%,
04/01/2020................. 1,000,000 994,580
</Table>
See accompanying notes to financial statements.
49
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Virginia, College Building
Authority, Educational
Facilities Revenue
Series B 5.00%,
02/01/2009................. $ 1,000,000 $ 1,002,840
Virginia, State Public
Building Authority, Public
Facilities Revenue
Series B 5.25%,
08/01/2027................. 2,000,000 2,062,140
Virginia, Upper Occoquan
Sewage Authority, Regional
Sewage Revenue
5.00%, 07/01/2022.......... 2,500,000 2,572,450
------------
8,384,378
------------
WASHINGTON -- 3.8%
Central Puget Sound, WA,
Regional Transit Authority,
Sales & Use Tax Revenue
Series A 5.00%,
11/01/2036................. 2,000,000 1,904,680
Energy Northwest Washington
Electric Revenue:
Series A 5.00%,
07/01/2014................. 1,000,000 1,095,700
Series A 5.50%, 07/01/2012
(a)........................ 1,200,000 1,314,000
King County, WA, School
District, General
Obligation
Series A 4.00%,
06/01/2011................. 1,250,000 1,302,650
Pierce County, WA, School
District No. 3
5.00%, 12/01/2017.......... 800,000 870,952
Seattle, WA, Municipal Light
& Power Revenue
5.50%, 04/01/2022.......... 1,435,000 1,511,816
Snohomish County, WA, School
District No. 201
5.25%, 12/01/2024.......... 3,225,000 3,338,165
Washington, State General
Obligation:
Series C 4.25%,
01/01/2013................. 1,000,000 1,063,650
Series A 5.00%,
07/01/2023................. 900,000 918,711
------------
13,320,324
------------
WISCONSIN -- 0.6%
Wisconsin, State General
Obligation Series C 5.00%,
05/01/2014................. 2,000,000 2,209,740
------------
TOTAL MUNICIPAL BONDS AND
NOTES --
(Cost $346,337,732)........ 340,600,657
------------
<Caption>
SECURITY DESCRIPTION SHARES
- -------------------- ------ VALUE
SHORT TERM INVESTMENTS -- 6.7%
MONEY MARKET FUND -- 6.7%
State Street Institutional
Tax Free Money Market Fund
1.51%, (b) (c)
(Cost $23,381,683)......... 23,381,683 $ 23,381,683
------------
TOTAL INVESTMENTS -- 104.4%
(Cost $369,719,415)........ 363,982,340
OTHER ASSETS AND
LIABILITIES -- (4.4)%...... (15,385,374)
------------
NET ASSETS -- 100.0%......... $348,596,966
============
</Table>
(a) Bond is insured by one of these companies:
<Table>
<Caption>
AS A % OF
TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ----------
Financial Security Assurance,
Inc.............................. 13.46%
Municipal Bond Investors Assurance
Corp............................. 4.70%
Ambac Financial Group.............. 3.19%
Financial Guaranty Insurance Co. .. 2.18%
Permanent School Fund Guaranteed... 1.34%
</Table>
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(c) The rate shown is the annualized seven-day yield at period end.
Escrow to Maturity = Bonds bearing this description are collateralized usually
by U.S. Treasury securities which are held in escrow and used to pay
principal and interest on bonds so designated.
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
Treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
50
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 92.7%
CALIFORNIA -- 92.1%
Alameda, CA, Corridor
Transportation Authority
Revenue
Series A Zero Coupon,
10/01/2018 (a).............. $1,045,000 $ 571,928
Azusa, CA, Public Financing
Authority Revenue
5.00%, 07/01/2039 (a)....... 800,000 712,984
Bakersfield, CA, Wastewater
Revenue Series A 5.00%,
09/15/2032 (a).............. 500,000 458,180
California, Educational
Facilities Authority Revenue
Series A 4.75%, 10/01/2037
(a)......................... 740,000 655,026
California, Infrastructure &
Economic Development Bank
Revenue, Lien A, (Pre-
refunded)
5.00%, 07/01/2036 (a)....... 175,000 195,172
California, State Economic
Recovery Series A 5.00%,
07/01/2015 (a).............. 1,000,000 1,071,190
California, State Public Works
Board, Lease Revenue
Series D 5.00%, 05/01/2025.. 500,000 491,210
California, State University
Revenue: Series A 5.00%,
11/01/2025 (a).............. 250,000 245,795
Series A 5.00%, 11/01/2037
(a)......................... 220,000 209,044
Chabot-Las Positas Community
College District, CA
Series B Zero Coupon,
08/01/2024 (a).............. 1,400,000 534,268
Chaffey Community College
District, CA, Election of
2002
Series C 5.00%, 06/01/2032
(a)......................... 1,000,000 916,750
Coast Community College
District, CA
Series B 5.00%, 08/01/2023
(a)......................... 800,000 805,984
Desert Community College
District, CA
Series C 5.00%, 08/01/2037
(a)......................... 300,000 275,082
Eastern Municipal Water
District, CA, Water & Sewer
Revenue
Series H 5.00%, 07/01/2035.. 1,000,000 889,060
Los Altos, CA, School District
5.00%, 08/01/2018 (a)....... 780,000 844,787
Los Angeles, CA, Community
College District
Series A 5.00%, 08/01/2032
(a)......................... 1,000,000 937,300
Los Angeles, CA, Metro
Transportation Authority,
Sales Tax Revenue
Series A 5.00%, 07/01/2013
(a)......................... 705,000 773,075
Los Angeles, CA, Unified
School District
Series B 5.00%, 07/01/2022
(a)......................... 1,000,000 1,008,250
Los Angeles, CA, Water & Power
Revenue
Series A-1 5.00%, 07/01/2023
(a)......................... 900,000 904,320
Los Angeles County, CA, Public
Works Financing Authority
Revenue
5.00%, 10/01/2015 (a)....... 1,000,000 1,108,890
North Orange County, CA,
Community College District
5.00%, 08/01/2015 (a)....... 1,000,000 1,107,740
Redding, CA, Electric System
Revenue,
Certificate of Participation
Series A 5.00%, 06/01/2030
(a)......................... 555,000 498,251
Sacramento, CA, Municipal
Utility District,
Electric Revenue
Series U 5.00%, 08/15/2023
(a)......................... 1,000,000 981,660
San Diego, CA, Community
College District
5.00%, 08/01/2032 (a)....... 1,000,000 937,300
San Diego County, CA, Water
Authority Revenue
Series 2008-A 5.00%,
05/01/2015 (a).............. 200,000 221,164
San Francisco, CA, Bay Area
Rapid Transit District
Series B 5.00%, 08/01/2022.. 500,000 518,320
San Francisco, CA, Bay Area
Toll Authority Toll Bridge
Revenue
Series F 5.00%, 04/01/2025.. 800,000 791,176
San Francisco, CA, City &
County Public Utilities
Commission, Water Revenue:
Series A 4.50%, 11/01/2031
(a)......................... 500,000 407,410
Series A 4.75%, 11/01/2036
(a)......................... 500,000 417,295
San Francisco, CA, Community
College District
Series B 5.25%, 06/15/2012
(a)......................... 800,000 870,448
San Jose, CA, Unified School
District Santa Clara County
Election of 2002 Series C
5.25%, 08/01/2019 (a)....... 1,000,000 1,056,160
San Juan, CA, Public Power
Agency Project Revenue
Series L 5.00%, 07/01/2022
(a)......................... 100,000 95,109
San Mateo County, CA,
Community College District
Series B 5.00%, 09/01/2031.. 315,000 299,017
Santa Clara Valley
Transportation Authority,
CA, Sales Tax Revenue
Series A 5.00%, 04/01/2036
(a)......................... 500,000 456,220
University of California,
Revenue
Series A 5.13%, 05/15/2018
(a)......................... 500,000 521,660
-----------
22,787,225
-----------
PUERTO RICO -- 0.6%
Puerto Rico, Commonwealth
Infrastructure Financing
Authority
Series A Zero Coupon,
07/01/2029 (a).............. 655,000 142,057
-----------
TOTAL MUNICIPAL BONDS AND
NOTES --
(Cost $24,149,718).......... 22,929,282
-----------
</Table>
See accompanying notes to financial statements.
51
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 9.7%
MONEY MARKET FUND -- 9.7%
State Street Institutional Tax
Free
Money Market Fund 1.51%, (b)
(c)......................... 2,387,870 $ 2,387,870
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $2,387,870)........... 2,387,870
-----------
TOTAL INVESTMENTS -- 102.4%
(Cost $26,537,588).......... 25,317,152
OTHER ASSETS AND
LIABILITIES -- (2.4)%....... (586,470)
-----------
NET ASSETS -- 100.0%.......... $24,730,682
===========
</Table>
(a) Bond is insured by one of these companies:
<Table>
<Caption>
AS A % OF
TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ----------
Financial Security Assurance,
Inc.............................. 31.95%
Ambac Financial Group.............. 25.45%
Municipal Bond Investors Assurance
Corp............................. 16.79%
Financial Guaranty Insurance Co.... 3.79%
</Table>
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(c) The rate shown is the annualized seven-day yield at period end.
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
52
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 95.8%
NEW YORK -- 92.0%
Battery Park City Authority,
NY,
Revenue
Series A 5.25%, 11/01/2021.. $ 100,000 $ 103,561
Erie County, NY, Industrial
Development Agency
Series A 5.75%, 05/01/2024
(a)......................... 500,000 508,880
Liberty, NY, Development Corp.
Revenue
5.25%, 10/01/2035........... 500,000 380,050
New York City, NY, Cultural
Resource Revenue, Museum of
Modern Art Series A-1 5.00%,
04/01/2031.................. 300,000 288,300
New York, NY, General
Obligation,
(Pre-refunded)
Series J 5.50%, 06/01/2020.. 1,000,000 1,149,520
Series G 5.00%, 08/01/2025.. 385,000 356,733
New York, NY, Municipal
Finance Authority, Water and
Sewer System Revenue
5.00%, 06/15/2037........... 500,000 458,525
New York, NY, Transitional
Finance Authority (Escrow to
Maturity)
5.00%, 11/01/2009........... 450,000 465,588
New York, Sales Tax Asset
Receivables Corp.
Series A 5.00%, 10/15/2020
(a)......................... 500,000 523,685
New York, State Dormitory
Authority Revenue:
Series C 5.00%, 12/15/2020.. 500,000 518,895
Series A 5.00%, 07/01/2038.. 650,000 584,448
New York, State Dormitory
Authority Revenue, Fordham
University
Series B 5.00%, 07/01/2033
(a)......................... 500,000 466,010
New York, State Environmental
Facscorp Series A 4.50%,
06/15/2036.................. 885,000 775,278
New York, State General
Obligation
5.00%, 04/15/2015........... 1,000,000 1,105,740
New York, State Local
Government Assistance Corp.
Series C 5.00%, 04/01/2018.. 650,000 709,715
New York, State Thruway
Authority, General Revenue:
Series B 5.00%, 04/01/2027.. 300,000 282,198
Series H 5.00%, 01/01/2032
(a)......................... 500,000 460,000
New York, State Urban
Development Corp.,
Revenue:
Series A-1 5.00%, 12/15/2022
(a)......................... 520,000 521,799
Series A-1 5.00%,
12/15/2027.................. 250,000 245,788
New York, Triborough Bridge &
Tunnel Authority, Revenue
5.00%, 11/15/2037........... 500,000 468,120
New York & New Jersey, Port
Authority
Revenue
140th Series 5.00%,
12/01/2029.................. 500,000 480,545
Westchester County, NY,
General Obligation
Series A 3.75%, 11/15/2012.. 500,000 525,855
-----------
11,379,233
-----------
PUERTO RICO -- 3.8%
Puerto Rico Electric Power
Authority Revenue
Series UU 5.00%, 07/01/2016
(a)......................... 500,000 470,830
-----------
TOTAL MUNICIPAL BONDS AND
NOTES --
(Cost $12,558,177).......... 11,850,063
-----------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 3.6%
MONEY MARKET FUND -- 3.6%
State Street Institutional Tax
Free
Money Market Fund 1.51%, (b)
(c)
(Cost $443,010)............. 443,010 443,010
-----------
TOTAL INVESTMENTS -- 99.4%
(Cost $13,001,187).......... 12,293,073
OTHER ASSETS AND
LIABILITIES -- 0.6%......... 75,296
-----------
NET ASSETS -- 100.0%.......... $12,368,369
===========
</Table>
(a) Bond is insured by one of these companies:
<Table>
<Caption>
AS A % OF
TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ----------
Financial Security Assurance,
Inc.............................. 7.92%
Municipal Bond Investors Assurance
Corp............................. 4.23%
Ambac Financial Group.............. 4.22%
Assured Guaranty Corporation....... 3.77%
Financial Guaranty Insurance Co.... 3.72%
</Table>
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
(c) The rate shown is the annualized seven-day yield at period end.
Escrow to Maturity = Bonds bearing this description are collateralized usually
by U.S. Treasury securities which are held in escrow and used to pay
principal and interest on bonds so designated.
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
Treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
53
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MUNICIPAL BONDS AND NOTES -- 93.6%
ALASKA -- 0.4%
Alaska, State General
Obligation Series A 5.25%,
08/01/2010 (a)............. $ 1,000,000 $ 1,049,950
------------
ARIZONA -- 4.8%
Arizona, State Transportation
Board, Excise Tax Revenue:
4.50%, 07/01/2009.......... 755,000 767,782
5.00%, 07/01/2013.......... 2,750,000 3,030,198
Maricopa County, AZ,
Community College District
Series B 4.00%,
07/01/2010................. 3,025,000 3,126,670
Phoenix, AZ, Civic
Improvement Corp. Transit
Excise Tax Revenue
5.00%, 07/01/2013 (a)...... 4,000,000 4,370,320
Phoenix, AZ, Civic
Improvement Corp.
Wastewater System Revenue
Series B 5.00%, 07/01/2012
(a)........................ 1,000,000 1,071,900
------------
12,366,870
------------
CALIFORNIA -- 5.3%
California, State Economic
Recovery General
Obligation:
Series A 5.00%,
01/01/2011................. 500,000 522,685
Series A 5.00%, 07/01/2012
(a)........................ 1,000,000 1,065,390
Series A 5.25%,
07/01/2013................. 1,000,000 1,085,900
Series B 5.00%, 07/01/2023
(b)........................ 5,250,000 5,475,327
Los Angeles, CA, Public Works
Financing Authority,
Revenue
5.00%, 10/01/2012 (a)...... 1,000,000 1,085,260
Los Angeles, CA, Unified
School District
Series B 4.00%,
07/01/2009................. 1,000,000 1,014,020
San Francisco, CA, City &
County Series 2008-R1
5.00%, 06/15/2013.......... 3,000,000 3,269,880
------------
13,518,462
------------
COLORADO -- 1.2%
Denver, CO, City & County
Excise Tax Revenue
Series A 5.00%, 09/01/2013
(a)........................ 2,850,000 3,057,280
------------
CONNECTICUT -- 2.9%
Connecticut, State General
Obligation:
Series C 5.00%, 04/01/2011
(a)........................ 1,000,000 1,064,580
Series C 5.00%, 03/15/2013
(a)........................ 4,670,000 5,149,329
Connecticut, State Special
Obligation,
Rate Reduction
Series A 5.00%,
06/30/2010................. 1,200,000 1,268,124
------------
7,482,033
------------
DELAWARE -- 0.3%
Delaware, State General
Obligation
4.00%, 08/01/2011.......... 750,000 787,568
------------
FLORIDA -- 2.6%
Florida, State Board of
Education
5.00%, 06/01/2013.......... 1,000,000 1,091,370
Florida, State Turnpike
Authority,
Turnpike Revenue
Series A 5.00%, 07/01/2009
(a)........................ 1,280,000 1,304,013
Orlando, FL, Utilities
Commission System Revenue
5.25%, 07/01/2009.......... 3,000,000 3,056,940
Polk, FL, School District,
Sales Tax Revenue
4.00%, 10/01/2009 (a)...... 1,215,000 1,238,486
------------
6,690,809
------------
GEORGIA -- 6.1%
De Kalb County, GA, School
District, General
Obligation
5.00%, 02/01/2011 (a)...... 3,000,000 3,182,130
Georgia, Emory University,
Authority Revenue
Series B 5.00%,
09/01/2011................. 3,000,000 3,210,420
Georgia, State General
Obligation:
Series B 5.00%,
07/01/2010................. 1,000,000 1,050,940
Series G 5.00%,
10/01/2010................. 1,000,000 1,055,130
Series C 5.50%,
07/01/2010................. 2,590,000 2,740,893
Series C 5.50%,
07/01/2012................. 1,100,000 1,224,300
Georgia, State Road & Tollway
Authority Revenue
Series A 5.00%,
06/01/2012................. 3,000,000 3,259,500
------------
15,723,313
------------
HAWAII -- 0.6%
Hawaii, State General
Obligation
Series D 5.00%, 07/01/2013
(a)........................ 1,500,000 1,635,570
------------
ILLINOIS -- 3.7%
Chicago, IL, General
Obligation
Series C 5.00%, 01/01/2012
(a)........................ 700,000 746,515
Chicago, IL, Water Revenue
5.00%, 11/01/2011 (a)...... 2,000,000 2,124,000
Illinois, State General
Obligation:
Series B 5.00%,
01/01/2011................. 950,000 998,944
Series B 5.00%,
03/01/2013.............. 1,000,000 1,091,390
Illinois, State Toll Highway
Authority Revenue
Series A 5.00%, 01/01/2014
(a)........................ 4,000,000 4,401,000
------------
9,361,849
------------
KANSAS -- 0.7%
Kansas, State Department of
Transportation, Highway
Revenue Series A 5.00%,
09/01/2011................. 1,710,000 1,836,797
------------
KENTUCKY -- 0.3%
Kentucky, State Turnpike
Authority, Economic
Development Road Revenue
5.00%, 07/01/2011 (a)...... 750,000 800,348
------------
</Table>
See accompanying notes to financial statements.
54
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
MARYLAND -- 3.6%
Maryland, State General
Obligation:
5.00%, 03/01/2011.......... $ 1,000,000 $ 1,065,280
5.00%, 08/01/2012.......... 1,750,000 1,920,450
Series A 5.25%,
02/15/2013................. 1,700,000 1,898,322
Maryland, State
Transportation Authority
Grant & Revenue
5.00%, 03/01/2013.......... 3,000,000 3,252,030
Montgomery County, MD,
General Obligation
Series A 5.00%,
05/01/2012................. 1,000,000 1,093,500
------------
9,229,582
------------
MASSACHUSETTS -- 0.8%
Massachusetts, State General
Obligation:
Series C 5.00%,
09/01/2010................. 1,000,000 1,049,340
(Pre-refunded)
Series A 5.25%,
01/01/2017................. 1,000,000 1,061,160
------------
2,110,500
------------
MICHIGAN -- 1.8%
Michigan, Municipal Bond
Authority Revenue:
5.00%, 10/01/2011.......... 1,630,000 1,749,593
5.00%, 10/01/2012.......... 500,000 545,800
Michigan, State Building
Authority Revenue
Series I 5.00%,
10/15/2010................. 2,155,000 2,221,309
------------
4,516,702
------------
MINNESOTA -- 1.3%
Minnesota, Public Facilities
Authority,
Water Pollution Control
Revenue Series D 5.00%,
03/01/2014................. 2,000,000 2,243,340
Minnesota, State General
Obligation
5.00%, 08/01/2010.......... 1,000,000 1,051,360
------------
3,294,700
------------
MISSOURI -- 0.3%
Missouri, State Highways &
Transportation Commission,
State Road Revenue
Series A 5.00%,
05/01/2010................. 750,000 784,253
------------
NEBRASKA -- 0.9%
Nebraska, Public Power
District Revenue
Series B 5.00%, 01/01/2012
(a)........................ 1,250,000 1,341,612
Omaha, NE, General Obligation
3.75%, 06/01/2013.......... 1,000,000 1,052,220
------------
2,393,832
------------
NEVADA -- 2.4%
Clark County, NV, Highway
Improvement Revenue
5.00%, 07/01/2012 (a)...... 4,300,000 4,670,230
Las Vegas Valley, NV, Water
District
Series B 5.00%,
06/01/2011................. 1,500,000 1,582,935
------------
6,253,165
------------
NEW JERSEY -- 1.1%
Essex County, NJ
Series A 5.00%, 06/01/2010
(a)........................ 2,225,000 2,308,348
New Jersey, State
Transportation Trust Fund
Authority (Escrow to
Maturity)
Series C 5.00%,
06/15/2009................. 600,000 611,082
------------
2,919,430
------------
NEW MEXICO -- 2.3%
Albuquerque, NM, General
Obligation
Series A 4.00%, 07/01/2009
(a)........................ 2,000,000 2,028,520
New Mexico, State General
Obligation
5.00%, 03/01/2012.......... 3,500,000 3,793,475
------------
5,821,995
------------
NEW YORK -- 10.7%
New York, State General
Obligation
Series C 4.00%,
04/15/2012................. 1,000,000 1,044,930
New York, State Local
Government Assistance Corp.
Series C 5.00%,
04/01/2013................. 2,220,000 2,424,862
New York State Thruway
Authority,
General Revenue:
Series H 4.00%, 01/01/2012
(a)........................ 1,000,000 1,032,110
(Escrow to Maturity)
Series A 5.25%, 04/01/2010
(a)........................ 2,000,000 2,103,360
Series F 5.25%, 01/01/2012
(a)........................ 1,000,000 1,067,640
New York, State Thruway
Authority Highway & Bridge
Series B 5.00%, 04/01/2012
(a)........................ 1,140,000 1,215,935
New York, State Urban
Development Corp. Revenue
4.00%, 03/15/2011.......... 550,000 569,976
New York, NY, City Cultural
Resource Revenue, Museum of
Modern Art Series 1A 5.00%,
10/01/2010................. 1,000,000 1,046,360
New York, NY, City
Transitional Finance
Authority:
(Escrow to Maturity)
Series A-1 5.00%,
11/01/2009................. 2,000,000 2,069,280
Series A-1 5.00%,
11/01/2013................. 2,900,000 3,174,688
New York, NY, General
Obligation:
Series I-1 4.00%,
02/01/2013................. 1,040,000 1,068,694
Series J-1 5.00%,
08/01/2012................. 5,000,000 5,304,650
Series B 5.25%,
08/01/2011................. 1,000,000 1,056,240
New York, Triborough Bridge &
Tunnel Authority Revenue:
Series C 4.00%,
11/15/2011................. 2,500,000 2,606,975
Series C 5.00%,
11/15/2012.............. 1,500,000 1,627,860
------------
27,413,560
------------
</Table>
See accompanying notes to financial statements.
55
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
NORTH CAROLINA -- 5.5%
Mecklenburg County, NC
Series C 5.00%,
02/01/2012................. $ 1,000,000 $ 1,087,000
North Carolina,
Infrastructure Finance
Corp. Certificate
Participation
Series A 5.00%, 02/01/2011
(a)........................ 5,000,000 5,297,300
North Carolina, State General
Obligation:
Series A 5.00%,
03/01/2011................. 1,000,000 1,064,630
Series A 5.50%,
03/01/2012.............. 5,000,000 5,517,450
Wake County, NC, General
Obligation
5.00%, 03/01/2012.......... 1,000,000 1,089,270
------------
14,055,650
------------
OHIO -- 4.4%
Columbus, OH, General
Obligation
Series D 5.00%,
12/15/2009................. 2,000,000 2,075,740
Ohio, State Building
Authority
Series B 5.00%, 10/01/2013
(a)........................ 1,440,000 1,588,277
Ohio, State General
Obligation:
Series A 5.00%,
06/15/2010................. 1,000,000 1,047,520
Series K 5.00%,
05/01/2011................. 2,000,000 2,130,100
Ohio, State Major New
Infrastructure Project
Revenue
Series 2008-1 5.00%,
06/15/2013................. 3,000,000 3,292,200
Ohio, State Water Development
Authority, Water
Quality -- Loan Fund
5.00%, 12/01/2011.......... 1,000,000 1,080,060
------------
11,213,897
------------
OREGON -- 2.6%
Portland, OR, Sewer System
Revenue
Series A 5.00%, 06/15/2012
(a)........................ 3,000,000 3,272,760
Salem-Keizer, OR, School
District No. 24J, General
Obligation
5.00%, 06/15/2013 (a)...... 3,000,000 3,314,730
------------
6,587,490
------------
PENNSYLVANIA -- 4.4%
Pennsylvania, State General
Obligation:
5.00%, 03/01/2011.......... 1,300,000 1,381,172
5.00%, 10/01/2012.......... 5,000,000 5,476,750
5.00%, 05/15/2013.......... 3,000,000 3,314,310
5.25%, 02/01/2010 (a)...... 1,000,000 1,043,450
------------
11,215,682
------------
RHODE ISLAND -- 0.4%
Rhode Island, State Economic
Development Corp. Revenue
Series A 5.00%, 06/15/2013
(a)........................ 915,000 989,371
------------
SOUTH CAROLINA -- 1.5%
South Carolina State Public
Service Authority Revenue:
Series D 5.00%, 01/01/2010
(a)........................ 1,050,000 1,089,417
Series B 5.00%, 01/01/2011
(a)........................ 2,515,000 2,642,083
------------
3,731,500
------------
TENNESSEE -- 0.8%
Tennessee State School Bond
Authority
5.00%, 05/01/2013 (a)...... 1,900,000 2,091,634
------------
TEXAS -- 7.8%
Arlington, TX, Independent
School District, General
Obligation
5.00%, 02/15/2012 (a)...... 880,000 952,512
Austin, TX, General
Obligation
5.00%, 09/01/2009.......... 1,000,000 1,025,620
Austin, TX, Electric Utility
System Revenue
Series A 5.00%, 11/15/2010
(a)........................ 1,000,000 1,047,880
Dallas, TX, General
Obligation:
5.00%, 02/15/2010.......... 1,500,000 1,565,100
5.00%, 02/15/2011.......... 710,000 751,478
El Paso, TX, Independent
School District, General
Obligation
Zero Coupon, 08/15/2013
(a)........................ 1,980,000 1,731,609
San Antonio, TX, Independent
School District
5.25%, 08/15/2012 (a)...... 1,890,000 2,073,708
Texas A&M University Revenue
5.00%, 05/15/2012.......... 3,000,000 3,261,270
Texas, North East Independent
School District
Series A Zero Coupon,
08/01/2009 (a)............. 1,300,000 1,289,938
Texas, State Public Finance
Authority, General
Obligation
Series A 5.00%,
10/01/2011................. 1,000,000 1,073,920
Texas, State University
System Financing Revenue:
5.00%, 03/15/2012.......... 1,000,000 1,079,390
5.00%, 03/15/2013 (a)...... 500,000 549,435
University of Texas,
Permanent University Fund
Series A 5.00%,
07/01/2012................. 1,265,000 1,377,459
University of Texas, Revenue
Series D 5.00%,
08/15/2010................. 2,000,000 2,100,320
------------
19,879,639
------------
UTAH -- 0.6%
Salt Lake City, UT, General
Obligation
5.00%, 06/15/2013.......... 1,500,000 1,668,045
------------
VIRGINIA -- 4.4%
Fairfax County, VA, General
Obligation
Series A 4.00%, 04/01/2011
(b)........................ 750,000 784,642
Loudoun County, VA, General
Obligation
5.00%, 06/01/2012.......... 1,000,000 1,095,080
Virginia, State General
Obligation
Series A 5.00%,
06/01/2012................. 1,000,000 1,093,360
Virginia, State Public
Building Authority,
Building Revenue Bonds
Series A 5.00%,
08/01/2010................. 1,000,000 1,050,560
Series A 5.00%,
08/01/2012................. 3,365,000 3,677,003
Virginia, State Public School
Authority:
Series B 5.00%,
08/01/2012................. 1,000,000 1,092,720
Series B 5.25%,
08/01/2011................. 1,000,000 1,078,380
Virginia, State Resources
Authority Clean Water
Revenue
4.50%, 10/01/2011.......... 1,200,000 1,277,148
------------
11,148,893
------------
</Table>
See accompanying notes to financial statements.
56
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
WASHINGTON -- 4.4%
Energy Northwest Washington,
Electricity Revenue
Series D 5.00%,
07/01/2012................. $ 4,000,000 $ 4,313,800
Port of Seattle, WA, Revenue
Series A 5.00%, 03/01/2010
(a)........................ 1,000,000 1,036,670
Seattle, WA, Municipal Light
& Power Revenue
5.00%, 04/01/2013.......... 3,000,000 3,256,800
Washington, State General
Obligation
Series D 4.50%, 01/01/2012
(a)........................ 2,450,000 2,605,403
------------
11,212,673
------------
WISCONSIN -- 2.7%
Wisconsin, State General
Obligation:
Series C 4.00%,
05/01/2013................. 5,000,000 5,267,350
Series 1 5.00%, 05/01/2013
(a)........................ 1,500,000 1,641,000
------------
6,908,350
------------
TOTAL MUNICIPAL BONDS AND NOTES --
(Cost $236,771,578)...................... 239,751,392
------------
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 7.1%
MONEY MARKET FUND -- 7.1%
State Street Institutional
Tax Free Money Market Fund
1.51%, (c)(d)
(Cost $18,125,746)......... 18,125,746 18,125,746
------------
TOTAL INVESTMENTS -- 100.7%
(Cost $254,897,324)........ 257,877,138
OTHER ASSETS AND
LIABILITIES -- (0.7)%...... (1,871,783)
------------
NET ASSETS -- 100.0%......... $256,005,355
============
</Table>
(a) Bond is insured by one of these companies:
<Table>
<Caption>
AS A % OF
TOTAL
INSURANCE COVERAGE NET ASSETS
- ------------------ ----------
Financial Security Assurance,
Inc.............................. 14.91%
Municipal Bond Investors Assurance
Corp............................. 6.47%
Ambac Financial Group.............. 6.10%
Permanent School Fund Guaranteed... 2.36%
Financial Guaranty Insurance Co. .. 0.71%
</Table>
(b) Variable-rate security. Rate shown is as of December 31, 2008.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
(d) The rate shown is the annualized seven-day yield at period end.
Escrow to Maturity = Bonds bearing this description are collateralized usually
by U.S. Treasury securities which are held in escrow and used to pay
principal and interest on bonds so designated.
Pre-refunded = Bonds which are pre-refunded are collateralized usually by U.S.
Treasury securities which are held in escrow and are used to pay principal
and interest on tax-exempt issues and to retire the bonds in full at the
earliest refunding date.
See accompanying notes to financial statements.
57
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 94.2%
AUSTRALIA -- 3.1%
Commonwealth of Australia
4.00%, 08/20/2015......... 6,385,185 $ 4,806,352
4.00%, 08/20/2020......... 1,255,813 1,002,848
------------
5,809,200
------------
BRAZIL -- 4.5%
Federal Republic of Brazil
6.00%, 08/15/2012......... 6,254,052 2,521,817
6.00%, 05/15/2015......... 2,863,746 1,099,001
6.00%, 05/15/2017......... 8,199,262 3,064,776
6.00%, 08/15/2024......... 1,503,466 562,138
6.00%, 05/15/2035......... 3,567,153 1,289,082
------------
8,536,814
------------
CANADA -- 4.6%
Government of Canada
2.00%, 12/01/2041......... 514,925 414,906
3.00%, 12/01/2036......... 2,208,670 2,153,565
4.00%, 12/01/2031......... 1,817,430 1,972,909
4.25%, 12/01/2021......... 1,158,108 1,151,947
4.25%, 12/01/2026......... 2,839,156 2,979,263
------------
8,672,590
------------
CHILE -- 3.4%
Republic of Chile
3.00%, 05/01/2017......... 1,844,921,020 2,848,316
3.00%, 01/01/2018......... 1,222,796,490 1,889,626
5.00%, 01/01/2016......... 986,818,220 1,713,573
------------
6,451,515
------------
FRANCE -- 18.6%
Republic of France
1.00%, 07/25/2017......... 362,369 473,342
1.25%, 07/25/2010......... 2,496,006 3,443,896
1.60%, 07/25/2011......... 4,209,555 5,793,558
1.60%, 07/25/2015......... 4,092,163 5,686,545
1.80%, 07/25/2040......... 1,377,103 1,825,037
2.25%, 07/25/2020......... 2,347,634 3,327,614
2.50%, 07/25/2013......... 1,347,084 1,922,846
3.00%, 07/25/2012......... 4,093,783 5,907,370
3.15%, 07/25/2032......... 3,646,845 5,863,094
3.40%, 07/25/2029......... 594,819 998,147
------------
35,241,449
------------
GERMANY -- 4.6%
Federal Republic of Germany
1.50%, 04/15/2016......... 4,074,250 5,659,727
2.25%, 04/15/2013......... 2,168,367 3,060,072
------------
8,719,799
------------
GREECE -- 4.1%
Republic of Greece
2.30%, 07/25/2030......... 3,813,516 3,857,954
2.90%, 07/25/2025......... 3,201,996 3,897,681
------------
7,755,635
------------
ISRAEL -- 4.6%
State of Israel
4.00%, 07/30/2021......... 12,346,246 3,529,895
5.00%, 04/30/2015......... 17,097,653 5,137,984
------------
8,667,879
------------
ITALY -- 4.6%
Republic of Italy
0.95%, 09/15/2010......... 1,608,823 2,164,780
2.15%, 09/15/2014......... 2,489,070 3,366,965
2.35%, 09/15/2035......... 1,238,406 1,492,941
2.60%, 09/15/2023......... 1,267,200 1,659,041
------------
8,683,727
------------
JAPAN -- 4.5%
Government of Japan 10 Year
Bond
1.00%, 06/10/2016......... 254,944,000 2,434,132
1.10%, 12/10/2016......... 642,311,100 6,146,772
------------
8,580,904
------------
MEXICO -- 4.1%
United Mexican States
3.50%, 12/19/2013......... 38,466,417 2,753,651
4.50%, 11/22/2035......... 16,712,158 1,274,366
5.00%, 06/16/2016......... 47,282,771 3,667,165
------------
7,695,182
------------
POLAND -- 2.7%
Republic of Poland
3.00%, 08/24/2016......... 14,832,277 5,125,971
------------
SOUTH AFRICA -- 3.3%
Republic of South Africa
3.45%, 12/07/2033......... 19,498,745 2,479,051
6.25%, 03/31/2013......... 31,111,609 3,783,451
------------
6,262,502
------------
SOUTH KOREA -- 2.6%
Republic of South Korea
2.75%, 03/10/2017......... 6,177,409,771 4,827,135
------------
SWEDEN -- 5.4%
Kingdom of Sweden
3.50%, 12/01/2015......... 10,828,808 1,511,093
4.00%, 12/01/2020......... 55,723,467 8,726,676
------------
10,237,769
------------
TURKEY -- 3.0%
Republic of Turkey
10.00%, 02/15/2012........ 9,621,018 5,734,588
------------
</Table>
See accompanying notes to financial statements.
58
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
UNITED KINGDOM -- 16.5%
United Kingdom Treasury Bond
0.75%, 11/22/2047......... 922,170 $ 1,382,841
1.13%, 11/22/2037......... 1,883,945 2,982,844
1.25%, 11/22/2017......... 2,110,853 2,893,758
1.25%, 11/22/2027......... 673,140 972,339
1.25%, 11/22/2055......... 1,517,939 2,790,438
1.88%, 11/22/2022......... 846,928 1,243,913
2.00%, 01/26/2035......... 247,811 452,978
2.50%, 08/23/2011......... 407,136 569,617
2.50%, 08/16/2013......... 6,146,613 8,676,391
2.50%, 07/26/2016......... 3,610,373 5,329,466
2.50%, 04/16/2020......... 523,589 792,431
4.13%, 07/22/2030......... 1,423,386 3,163,372
------------
31,250,388
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS --
(Cost $216,498,996)....... 178,253,047
------------
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS-- 5.1%
MONEY MARKET FUND -- 5.1%
State Street Institutional
Liquid Reserves Fund 1.34%
(a) (b)
(Cost $9,682,063)......... 9,682,063 $ 9,682,063
------------
TOTAL INVESTMENTS -- 99.3%
(Cost $226,181,059)....... 187,935,110
OTHER ASSETS AND
LIABILITIES -- 0.7%....... 1,314,993
------------
NET ASSETS -- 100.0%........ $189,250,103
============
</Table>
(a) The rate shown is the annualized seven-day yield at period end.
(b) Affiliated Fund managed by SSgA Funds Management, Inc.
At December 31, 2008, Open Forward Foreign Currency Exchange Contracts were as
follows:
Forward Foreign Currency Contracts to Buy:
<Table>
<Caption>
SETTLE- NET UNREALIZED
MENT CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
DATE DELIVER DECEMBER 31, 2008 FOR U.S.$ (DEPRECIATION)
------- ------------ ----------------- ----------- --------------
3/6/2009 3,372,900 EUR $4,677,559 $4,718,643 $(41,084)
3/6/2009 1,450,000 GBP 2,081,386 2,088,145 (6,759)
3/6/2009 7,900,000 MXN 560,670 562,412 (1,742)
--------
$(49,585)
========
</Table>
EUR-Euro
GBP-Great British Pound
MXN-Mexican Peso
U.S.$-United States Dollar
See accompanying notes to financial statements.
59
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
FOREIGN GOVERNMENT OBLIGATIONS -- 93.5%
AUSTRALIA -- 2.3%
Commonwealth of Australia
5.25%, 08/15/2010......... 6,530,000 $ 4,732,957
6.00%, 02/15/2017......... 12,160,000 9,723,022
6.50%, 05/15/2013......... 8,400,000 6,580,515
------------
21,036,494
------------
AUSTRIA -- 3.7%
Republic of Austria
3.80%, 10/20/2013 (a)..... 9,000,000 12,848,850
4.65%, 01/15/2018......... 7,840,000 11,618,888
6.25%, 07/15/2027......... 5,100,000 9,018,236
------------
33,485,974
------------
BELGIUM -- 4.6%
Kingdom of Belgium
5.00%, 09/28/2012......... 12,715,000 18,786,217
5.00%, 03/28/2035......... 4,200,000 6,631,374
5.50%, 09/28/2017......... 10,100,000 15,859,493
------------
41,277,084
------------
CANADA -- 3.8%
Government of Canada
2.75%, 12/01/2010......... 4,300,000 3,591,170
4.00%, 06/01/2016......... 14,020,000 12,624,133
5.25%, 06/01/2012......... 9,500,000 8,645,962
5.75%, 06/01/2029......... 9,350,000 9,969,774
------------
34,831,039
------------
DENMARK -- 3.0%
Kingdom of Denmark
4.00%, 11/15/2010......... 10,700,000 2,047,832
4.00%, 11/15/2017......... 12,880,000 2,526,202
4.50%, 11/15/2039......... 17,180,000 3,631,069
5.00%, 11/15/2013......... 95,300,000 19,317,211
------------
27,522,314
------------
FRANCE -- 4.6%
Republic of France
4.00%, 04/25/2013......... 4,050,000 5,922,556
5.50%, 10/25/2010......... 17,490,000 25,717,070
5.75%, 10/25/2032......... 5,880,000 10,415,478
------------
42,055,104
------------
GERMANY -- 11.7%
Federal Republic of Germany
4.00%, 01/04/2037......... 5,640,000 8,399,958
4.25%, 07/04/2017......... 24,955,000 38,101,003
4.50%, 01/04/2013......... 6,550,000 9,839,399
5.25%, 01/04/2011......... 24,365,000 36,124,872
5.63%, 01/04/2028......... 7,560,000 13,083,736
------------
105,548,968
------------
GREECE -- 4.0%
Republic of Greece
3.10%, 04/20/2010......... 2,000,000 2,764,652
3.70%, 07/20/2015......... 25,740,000 33,437,752
4.50%, 09/20/2037......... 300,000 336,066
------------
36,538,470
------------
ITALY -- 11.5%
Republic of Italy
3.00%, 01/15/2010......... 20,355,000 28,515,997
4.00%, 02/01/2037......... 12,550,000 14,813,696
4.75%, 02/01/2013......... 7,910,000 11,440,598
5.25%, 08/01/2017......... 21,670,000 32,203,520
6.50%, 11/01/2027......... 10,500,000 16,965,829
------------
103,939,640
------------
JAPAN -- 22.2%
Government of Japan 5 Year
Bond
0.60%, 09/20/2010......... 1,402,000,000 15,522,065
1.00%, 09/20/2010......... 800,000,000 8,917,092
1.50%, 03/20/2011......... 1,925,000,000 21,756,471
Government of Japan 10 Year
Bond
1.30%, 06/20/2012......... 2,900,000,000 32,800,040
1.50%, 09/20/2014......... 4,550,000,000 52,324,900
Government of Japan 20 Year
Bond
2.30%, 06/20/2027......... 1,720,000,000 20,740,676
2.60%, 03/20/2019......... 1,400,000,000 17,554,502
2.90%, 09/20/2019......... 1,685,000,000 21,472,309
Government of Japan 30 Year
Bond
2.4%, 03/20/2037.......... 754,000,000 9,398,450
------------
200,486,505
------------
MEXICO -- 2.5%
United Mexican States
9.00%, 12/24/2009......... 80,800,000 5,901,664
9.00%, 12/20/2012......... 135,800,000 10,259,159
10.00%, 12/05/2024........ 72,900,000 6,046,881
------------
22,207,704
------------
NETHERLANDS -- 3.8%
Kingdom of the Netherlands
3.75%, 07/15/2014......... 13,700,000 19,699,538
4.50%, 07/15/2017......... 7,000,000 10,434,996
5.50%, 01/15/2028......... 2,520,000 4,235,417
------------
34,369,951
------------
POLAND -- 2.5%
Republic of Poland
4.25%, 05/24/2011......... 32,090,000 10,572,025
5.25%, 10/25/2017......... 5,675,000 1,891,581
6.25%, 10/24/2015......... 28,740,000 10,111,912
------------
22,575,518
------------
SOUTH AFRICA -- 2.4%
Republic of South Africa
10.50%, 12/21/2026........ 44,000,000 6,357,512
13.50%, 09/15/2015........ 109,000,000 15,636,106
------------
21,993,618
------------
SPAIN -- 4.6%
Kingdom of Spain
3.15%, 01/31/2016......... 11,500,000 15,507,917
3.25%, 07/30/2010......... 9,795,000 13,792,534
4.20%, 01/31/2037......... 3,930,000 5,480,484
6.15%, 01/31/2013......... 4,200,000 6,479,825
------------
41,260,760
------------
SWEDEN -- 2.4%
Kingdom of Sweden
3.75%, 08/12/2017......... 106,150,000 14,837,254
5.50%, 10/08/2012......... 50,610,000 7,252,437
------------
22,089,691
------------
</Table>
See accompanying notes to financial statements.
60
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
TAIWAN -- 0.2%
Government of Taiwan
2.38%, 09/21/2017......... 50,000,000 $ 1,654,263
------------
UNITED KINGDOM -- 3.7%
United Kingdom Treasury Bond
4.25%, 03/07/2011......... 885,000 1,338,842
4.75%, 09/07/2015......... 3,960,000 6,308,047
4.75%, 12/07/2038......... 5,145,000 8,782,726
5.00%, 03/07/2012......... 1,620,000 2,523,035
5.00%, 03/07/2025......... 6,950,000 11,308,160
5.75%, 12/07/2009......... 1,875,000 2,825,180
------------
33,085,990
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS --
(Cost $843,741,341)....... 845,959,087
------------
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 4.0%
MONEY MARKET FUND -- 4.0%
State Street Institutional
Liquid Reserves Fund
1.34%, (b) (c)
(Cost $36,000,554)........ 36,000,554 $ 36,000,554
------------
TOTAL INVESTMENTS -- 97.5%
(Cost $879,741,895)....... 881,959,641
OTHER ASSETS AND
LIABILITIES -- 2.5%....... 22,473,426
------------
NET ASSETS -- 100.0%........ $904,433,067
============
</Table>
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933. This
security, which represents 1.42% of net assets as of December 31, 2008, is
considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) The rate shown is the annualized seven-day yield at period end.
(c) Affiliated Fund managed by SSgA Funds Management, Inc.
At December 31, 2008, Open Forward Foreign Currency Exchange Contracts were as
follows:
Forward Foreign Currency Contracts to Buy:
<Table>
<Caption>
SETTLE- NET UNREALIZED
MENT CONTRACTS TO VALUE AT IN EXCHANGE APPRECIATION/
DATE DELIVER DECEMBER 31, 2008 FOR U.S.$ (DEPRECIATION)
------- ------------ ----------------- ----------- --------------
3/6/2009 775,000 AUD $ 536,899 $ 528,389 $ 8,509
3/6/2009 500,000 CAD 405,116 411,503 (6,386)
3/6/2009 11,600,000 DKK 2,158,284 2,025,218 133,066
3/6/2009 11,500,000 EUR 15,948,273 15,541,725 406,548
3/6/2009 3,320,000 GBP 4,765,657 4,998,475 (232,818)
3/6/2009 660,000,000 JPY 7,290,732 7,308,112 (17,380)
3/6/2009 11,500,000 MXN 816,165 835,342 (19,177)
3/6/2009 1,800,000 PLN 603,568 607,231 (3,663)
3/6/2009 9,400,000 SEK 1,187,649 1,188,975 (1,326)
3/6/2009 800,000,000 TWD 24,459,082 24,031,187 427,895
3/6/2009 9,000,000 ZAR 957,737 912,720 45,017
---------
$ 740,285
=========
</Table>
See accompanying notes to financial statements.
61
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Forward Foreign Currency Contracts to Sell:
<Table>
<Caption>
SETTLE- NET UNREALIZED
MENT CONTACTS TO VALUE AT IN EXCHANGE APPRECIATION/
DATE DELIVER DECEMBER 31, 2008 FOR U.S.$ (DEPRECIATION)
------- ----------- ----------------- ----------- --------------
3/6/2009 400,000 AUD $ 277,109 274,932 $ (2,177)
3/6/2009 500,000 CAD 405,116 410,587 5,471
3/6/2009 9,800,000 DKK 1,823,378 1,700,104 (123,274)
3/6/2009 7,600,000 EUR 10,539,728 10,168,256 (371,473)
3/6/2009 300,000 GBP 430,632 437,094 6,462
3/6/2009 220,000,000 JPY 2,430,244 2,446,674 16,430
3/6/2009 3,500,000 MXN 248,398 258,131 9,733
3/6/2009 900,000 PLN 301,784 307,167 5,383
3/6/2009 2,200,000 SEK 277,960 283,871 5,911
---------
$(447,534)
=========
$ 292,751
=========
</Table>
AUD-Australian Dollar
CAD-Canadian Dollar
DKK-Danish Krone
EUR-Euro
GBP-Great British Pound
JPY-Japanese Yen
MXN-Mexican Peso
PLN-Polish Zloty
SEK-Swedish Krona
TWD-Taiwan Dollar
U.S.$-United States Dollar
ZAR-South African Rand
See accompanying notes to financial statements.
62
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
CORPORATE BONDS & NOTES -- 82.1%
AEROSPACE & DEFENSE -- 0.5%
BE Aerospace, Inc.
8.50%, 07/01/2018.......... $ 4,000,000 $ 3,600,000
------------
AUTO COMPONENTS -- 0.6%
TRW Automotive, Inc.:
7.00%, 03/15/2014 (a)...... 3,000,000 1,590,000
7.25%, 03/15/2017 (a)...... 5,250,000 2,677,500
------------
4,267,500
------------
BEVERAGES -- 0.8%
Constellation Brands, Inc.:
7.25%, 09/01/2016.......... 4,000,000 3,780,000
7.25%, 05/15/2017.......... 1,500,000 1,417,500
------------
5,197,500
------------
BUILDING PRODUCTS -- 1.5%
Hanson, PLC
6.13%, 08/15/2016.......... 5,000,000 1,741,230
Nortek, Inc.
10.00%, 12/01/2013......... 5,500,000 3,740,000
Owens Corning, Inc.
6.50%, 12/01/2016.......... 3,050,000 2,208,832
Ply Gem Industries, Inc.
11.75%, 06/15/2013......... 5,500,000 2,970,000
------------
10,660,062
------------
CHEMICALS -- 0.6%
Hexion U.S. Finance Corp.
9.75%, 11/15/2014.......... 3,000,000 855,000
Ineos Group Holdings PLC
8.50%, 02/15/2016 (a)...... 4,300,000 387,000
LyondellBasell Industries AF
S.C.A.
8.38%, 08/15/2015 (a)...... 2,750,000 68,750
Momentive Performance
Materials, Inc.
9.75%, 12/01/2014 (b)...... 4,450,000 1,891,250
Sabic Innovative Plastics
9.50%, 08/15/2015 (a) (c).. 1,250,000 1,200,000
------------
4,402,000
------------
COMMERCIAL SERVICES & SUPPLIES -- 4.4%
Allied Waste North America,
Inc.
6.88%, 06/01/2017.......... 5,200,000 4,836,000
ARAMARK Corp.
8.50%, 02/01/2015.......... 11,300,000 10,226,500
Hertz Corp.
8.88%, 01/01/2014.......... 18,650,000 11,469,750
Servicemaster Co. PIK
10.75%, 07/15/2015 (a)..... 12,500,000 3,875,000
------------
30,407,250
------------
COMPUTERS & PERIPHERALS -- 0.6%
Ceridian Corp.
11.25%, 11/15/2015 (a)..... 4,600,000 2,443,750
Seagate Technology HDD
Holdings
6.80%, 10/01/2016.......... 3,750,000 1,950,000
------------
4,393,750
------------
CONTAINERS & PACKAGING -- 0.7%
Crown Americas, LLC
7.75%, 11/15/2015.......... 4,000,000 3,980,000
Smurfit-Stone Container
Enterprises, Inc.
8.00%, 03/15/2017 (d)...... 4,000,000 760,000
------------
4,740,000
------------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
RSC Equipment Rental, Inc.
9.50%, 12/01/2014.......... 3,500,000 1,925,000
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.1%
Ford Motor Credit Co. LLC
9.75%, 09/15/2010.......... 14,175,000 11,339,915
GMAC LLC
6.63%, 05/15/2012.......... 5,050,000 3,892,075
Nuveen Investments, Inc.
10.50%, 11/15/2015 (a)..... 4,750,000 1,050,938
Petroplus Finance, Ltd.
7.00%, 05/01/2017 (a)...... 8,000,000 4,880,000
------------
21,162,928
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 8.8%
Cricket Communications, Inc.
9.38%, 11/01/2014.......... 11,450,000 10,305,000
Intelsat Bermuda, Ltd.
11.25%, 06/15/2016......... 16,000,000 14,560,000
Level 3 Financing, Inc.
9.25%, 11/01/2014.......... 9,550,000 5,539,000
MetroPCS Wireless, Inc.
9.25%, 11/01/2014.......... 14,950,000 13,380,250
West Corp.
9.50%, 10/15/2014.......... 5,500,000 3,025,000
Windstream Corp.
8.63%, 08/01/2016.......... 15,650,000 13,850,250
------------
60,659,500
------------
ELECTRIC UTILITIES -- 9.6%
AES Corp.
8.00%, 10/15/2017.......... 10,800,000 8,856,000
Edison Mission Energy
7.00%, 05/15/2017.......... 10,300,000 8,961,000
Mirant North America LLC
7.38%, 12/31/2013.......... 6,000,000 5,760,000
NRG Energy, Inc.:
7.38%, 02/01/2016.......... 17,500,000 16,275,000
7.38%, 01/15/2017.......... 1,000,000 920,000
Reliant Energy, Inc.
7.88%, 06/15/2017.......... 5,450,000 4,414,500
Texas Competitive Electric
Holdings Co. LLC
10.50%, 11/01/2015 (a)
(b)........................ 29,500,000 20,945,000
------------
66,131,500
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 1.1%
NXP BV/NXP Funding LLC
9.50%, 10/15/2015.......... 6,050,000 1,149,500
RBS Global, Inc. and Rexnord
Corp.
9.50%, 08/01/2014.......... 6,950,000 5,177,750
</Table>
See accompanying notes to financial statements.
63
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Sanmina-SCI Corp.
8.13%, 03/01/2016.......... $ 4,000,000 $ 1,560,000
------------
7,887,250
------------
ENERGY EQUIPMENT & SERVICES -- 0.5%
Complete Production Services,
Inc.
8.00%, 12/15/2016.......... 5,000,000 3,150,000
------------
FOOD PRODUCTS -- 0.8%
Tyson Foods, Inc.
7.85%, 04/01/2016 (b)...... 7,000,000 5,180,000
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.4%
Bausch & Lomb, Inc.:
9.88%, 11/01/2015.......... 1,500,000 1,125,000
9.88%, 11/01/2015 (a)...... 6,500,000 4,875,000
Biomet, Inc.
11.63%, 10/15/2017......... 11,200,000 9,576,000
Boston Scientific Corp.
6.40%, 06/15/2016.......... 7,000,000 5,985,000
VWR Funding, Inc. (c)
Series B PIK
10.25%, 07/15/2015......... 3,500,000 2,205,000
------------
23,766,000
------------
HEALTH CARE PROVIDERS & SERVICES -- 7.2%
Community Health Systems,
Inc.
8.88%, 07/15/2015.......... 24,850,000 22,862,000
HCA, Inc.
9.25%, 11/15/2016.......... 29,350,000 26,928,625
------------
49,790,625
------------
HOME BUILDERS -- 0.7%
K Hovnanian Enterprises, Inc.
11.50%, 05/01/2013......... 6,500,000 4,940,000
------------
HOTELS, RESTAURANTS & LEISURE -- 2.2%
Fontainebleau Las Vegas
Holdings LLC
10.25%, 06/15/2015 (a)..... 2,500,000 243,750
Harrah's Operating Co., Inc.:
10.00%, 12/15/2018 (a)..... 5,012,000 1,829,380
10.75%, 02/01/2016 (a)..... 21,840,000 6,224,400
MGM Mirage, Inc.
13.00%, 11/15/2013......... 7,500,000 7,143,750
------------
15,441,280
------------
HOUSEHOLD DURABLES -- 0.3%
Jarden Corp.
7.50%, 05/01/2017.......... 3,000,000 2,047,500
------------
INSURANCE -- 1.0%
Liberty Mutual Group, Inc.
10.75%, 06/15/2058 (a)..... 12,000,000 6,600,000
------------
MACHINERY -- 0.6%
Terex Corp.
8.00%, 11/15/2017.......... 5,050,000 4,292,500
------------
MEDIA -- 7.3%
CCH I LLC
11.00%, 10/01/2015......... 4,350,000 761,250
Clear Channel Communications,
Inc.:
5.75%, 01/15/2013.......... 2,000,000 290,000
6.25%, 03/15/2011.......... 3,000,000 900,000
DIRECTV Holdings LLC:
6.38%, 06/15/2015.......... 3,750,000 3,459,375
7.63%, 05/15/2016.......... 13,500,000 13,095,000
Echostar DBS Corp.:
6.38%, 10/01/2011.......... 2,000,000 1,860,000
7.13%, 02/01/2016.......... 12,100,000 10,103,500
Idearc, Inc.
8.00%, 11/15/2016.......... 11,550,000 866,250
Nielsen Finance LLC/Nielsen
Finance Co.
10.00%, 08/01/2014......... 8,750,000 7,000,000
Quebecor Media, Inc.
7.75%, 03/15/2016.......... 8,500,000 5,737,500
RH Donnelley Corp.
8.88%, 10/15/2017.......... 6,050,000 907,500
The Reader's Digest
Association, Inc.
9.00%, 02/15/2017.......... 2,000,000 172,500
TL Acquisitions, Inc.
10.50%, 01/15/2015 (a)..... 7,400,000 3,034,000
Univision Communications,
Inc.
9.75%, 03/15/2015 (a)...... 7,850,000 981,250
XM Satellite Radio, Inc.
13.00%, 08/01/2013 (a)..... 4,000,000 920,000
------------
50,088,125
------------
METALS & MINING -- 3.1%
FMG Finance Property, Ltd.
10.63%, 09/01/2016 (a)..... 13,900,000 8,062,000
Novelis, Inc.
7.25%, 02/15/2015 (b)...... 11,985,000 6,951,300
Steel Dynamics, Inc.
7.38%, 11/01/2012.......... 6,000,000 4,380,000
Vedanta Resources PLC
9.50%, 07/18/2018 (a)...... 3,500,000 1,820,000
------------
21,213,300
------------
MULTILINE RETAIL -- 1.9%
Dollar General Corp.
10.63%, 07/15/2015......... 10,550,000 10,075,250
Neiman-Marcus Group, Inc.
9.00%, 10/15/2015.......... 3,000,000 1,320,000
Rite Aid Corp.
9.50%, 06/15/2017.......... 4,200,000 1,459,500
------------
12,854,750
------------
OIL, GAS & CONSUMABLE FUELS -- 12.6%
Chesapeake Energy Corp.:
6.50%, 08/15/2017.......... 4,300,000 3,289,500
7.25%, 12/15/2018.......... 2,750,000 2,145,000
Citic Resources Finance, Ltd.
6.75%, 05/15/2014 (a)...... 4,500,000 2,925,000
Connacher Oil and Gas, Ltd.
10.25%, 12/15/2015 (a)..... 7,500,000 3,000,000
Dynegy Holdings, Inc.:
7.75%, 06/01/2019.......... 10,500,000 7,245,000
8.38%, 05/01/2016.......... 2,000,000 1,420,000
El Paso Corp.
7.00%, 06/15/2017.......... 7,250,000 5,673,886
Energy XXI Gulf Coast, Inc.
10.00%, 06/15/2013......... 3,000,000 1,320,000
</Table>
See accompanying notes to financial statements.
64
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- -------------------- --------- -----
Enterprise Products Operating
LP
7.03%, 01/15/2068 (e)...... $ 4,250,000 $ 1,997,500
Forest Oil Corp.:
7.25%, 06/15/2019.......... 1,500,000 1,095,000
7.25%, 06/15/2019.......... 3,950,000 2,883,500
Hilcorp Energy I LP / Hilcorp
Finance Co.
7.75%, 11/01/2015 (a)...... 3,000,000 2,115,000
Kinder Morgan Finance Co. ULC
5.70%, 01/05/2016.......... 5,600,000 4,172,000
Massey Energy Co.
6.88%, 12/15/2013.......... 5,800,000 4,292,000
Newfield Exploration, Co.
7.13%, 05/15/2018.......... 5,500,000 4,345,000
OPTI Canada, Inc.
8.25%, 12/15/2014.......... 9,300,000 5,022,000
Peabody Energy Corp.
7.38%, 11/01/2016.......... 4,000,000 3,760,000
PetroHawk Energy Corp.
7.88%, 06/01/2015 (a)...... 5,750,000 4,255,000
Plains Exploration &
Production, Co.
7.75%, 06/15/2015.......... 3,750,000 2,831,250
Sabine Pass LNG LP
7.50%, 11/30/2016.......... 13,300,000 9,576,000
SandRidge Energy, Inc.
8.00%, 06/01/2018 (a)...... 6,000,000 3,330,000
Southern Union Co.
7.20%, 11/01/2066.......... 5,000,000 1,725,000
Southwestern Energy, Co.
7.50%, 02/01/2018 (a)...... 4,750,000 4,156,250
Williams Partners LP/Williams
Partners Finance Corp.
7.25%, 02/01/2017.......... 5,000,000 3,950,000
------------
86,523,886
------------
PAPER & FOREST PRODUCTS -- 0.7%
Georgia-Pacific LLC
7.13%, 01/15/2017 (a)...... 5,675,000 4,767,000
------------
REAL ESTATE INVESTMENT TRUST -- 1.1%
Host Hotels & Resorts LP
6.75%, 06/01/2016.......... 7,450,000 5,438,500
iStar Financial, Inc. (c)
5.95%, 10/15/2013.......... 5,000,000 1,575,000
Rouse Co. LP/TRC Co.-Issuer,
Inc.
6.75%, 05/01/2013 (a)...... 2,000,000 720,000
------------
7,733,500
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2%
Realogy Corp.
10.50%, 04/15/2014......... 6,400,000 1,104,000
------------
SEMICONDUCTORS -- 1.3%
Freescale Semiconductor, Inc.
8.88%, 12/15/2014.......... 20,000,000 8,800,000
------------
SOFTWARE -- 1.5%
First Data Corp.
9.88%, 09/24/2015.......... 17,150,000 10,375,750
------------
SPECIALTY RETAIL -- 0.9%
Limited Brands, Inc.
6.90%, 07/15/2017.......... 5,000,000 3,034,045
Michaels Stores, Inc.
10.00%, 11/01/2014......... 7,250,000 3,298,750
------------
6,332,795
------------
TELECOMMUNICATIONS -- 2.2%
Nextel Communications, Inc.,
Series D
7.38%, 08/01/2015.......... 13,000,000 5,460,000
Nortel Networks, Ltd.:
10.75%, 07/15/2016 (d)..... 1,000,000 265,000
10.75%, 07/15/2016 (a)
(d)..................... 3,000,000 795,000
Sprint Nextel Corp.
6.00%, 12/01/2016.......... 9,000,000 6,345,000
Telesat Canada
11.00%, 11/01/2015 (a)..... 3,000,000 2,145,000
------------
15,010,000
------------
TOTAL CORPORATE BONDS & NOTES
--
(Cost $725,563,563)........ 565,445,251
------------
CREDIT-LINKED TRUST CERTIFICATE -- 4.3%
CDX North America High Yield
8.88%, 06/29/2013 (a)
(Cost $30,067,326)......... 33,000,000 29,700,000
------------
<Caption>
SHARES
------
SHORT TERM INVESTMENTS -- 12.5%
MONEY MARKET FUND -- 12.5%
State Street Institutional
Liquid Reserves Fund (f)
(g) 1.34%,
(Cost $86,303,279)......... 86,303,279 86,303,279
------------
TOTAL INVESTMENTS -- 98.9%
(Cost $841,934,168)........ 681,448,530
OTHER ASSETS AND
LIABILITIES -- 1.1%........ 7,812,093
------------
NET ASSETS -- 100.0%......... $689,260,623
============
</Table>
(a) Security purchased pursuant to Rule 144A of the Securities Act of 1933.
These securities, which represent 19.10% of net assets as of December 31,
2008, are considered liquid and may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) Step up Bond -- coupon rate increases in increments to maturity. Rate
disclosed is as of December 31, 2008. Maturity date indicated represents the
instrument's ultimate maturity date.
(c) Security is valued at 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.
(d) Security is in default and/or issuer is in bankruptcy.
(e) Variable-rate security. Rate shown is as of December 31, 2008.
(f) Rate shown is the annualized seven-day yield at period end.
(g) Affiliated Fund managed by SSgA Funds Management, Inc.
PIK = Payment in Kind
See accompanying notes to financial statements.
65
SPDR SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL 1-3 MONTH CAPITAL CAPITAL INTERMEDIATE CAPITAL LONG TERM
T-BILL ETF TIPS ETF TERM TREASURY ETF TREASURY ETF
----------------- ------------- -------------------- -----------------
ASSETS
Investments in securities of unaffiliated
issuers, at value* (Note 2)........... $742,012,902 $139,237,250 $ 94,075,407 $25,145,474
Investments in securities of affiliated
issuers, at value (Note 3)............ 1,204,875 37,509,200 24,094,074 6,666,537
------------ ------------ ------------ -----------
Total Investments..................... 743,217,777 176,746,450 118,169,481 31,812,011
Foreign currency, at value............... -- -- -- --
Unrealized appreciation on forward
foreign currency contracts............ -- -- -- --
Receivable for fund shares sold in-kind.. -- -- -- --
Receivable for investments sold.......... -- -- 2,952,874 --
Receivable for dollar rolls.............. -- -- -- --
Interest receivable...................... 201,900 1,325,439 865,740 336,417
------------ ------------ ------------ -----------
TOTAL ASSETS.......................... 743,419,677 178,071,889 121,988,095 32,148,428
------------ ------------ ------------ -----------
LIABILITIES
Payable upon return of securities
loaned................................ -- 37,408,834 23,817,724 6,653,693
Payable for investments purchased ....... -- -- 3,198,009 --
Payable for when issued/delayed delivery
securities............................ -- -- -- --
Unrealized depreciation on forward
foreign currency contracts............ -- -- -- --
Distributions payable.................... 456,982 -- 213,206 82,945
Accrued advisory fee (Note 3)............ 86,054 21,679 10,984 2,858
Accrued trustees fee (Note 3)............ 1,529 502 196 48
------------ ------------ ------------ -----------
TOTAL LIABILITIES..................... 544,565 37,431,015 27,240,119 6,739,544
------------ ------------ ------------ -----------
NET ASSETS............................ $742,875,112 $140,640,874 $ 94,747,976 $25,408,884
============ ============ ============ ===========
NET ASSETS CONSIST OF:
Paid in capital (Note 4)................. $743,174,134 $152,935,827 $ 90,615,095 $21,787,685
Undistributed (distribution in excess of)
net investment income................. (633,057) (1,583,761) (105,604) (15,677)
Accumulated net realized gain (loss) on
investments, foreign currency
transactions.......................... 271,808 (916,000) 99,938 20,262
Net unrealized appreciation
(depreciation) on :
Investments........................... 62,227 (9,795,192) 4,138,547 3,616,614
Foreign currency transactions......... -- -- -- --
------------ ------------ ------------ -----------
NET ASSETS............................ $742,875,112 $140,640,874 $ 94,747,976 $25,408,884
============ ============ ============ ===========
NET ASSET VALUE PER SHARE
Net asset value per share................ $ 45.86 $ 46.88 $ 59.21 $ 63.52
============ ============ ============ ===========
Shares outstanding (unlimited amount
authorized, $0.01 par value).......... 16,200,437 3,000,048 1,600,166 400,000
============ ============ ============ ===========
COST OF INVESTMENTS:
Unaffiliated issuers..................... $741,950,675 $149,032,442 $ 89,936,860 $21,528,860
Affiliated issuers....................... 1,204,875 37,509,200 24,094,074 6,666,537
------------ ------------ ------------ -----------
Total cost of investments................ $743,155,550 $186,541,642 $114,030,934 $28,195,397
============ ============ ============ ===========
Foreign currency, at cost................ $ -- $ -- $ -- $ --
============ ============ ============ ===========
</Table>
* Includes $0, $36,219,132, $23,290,135, $6,401,255, $23,108,483, $0, $0, $0,
$0, $0, $0 and $0, respectively, of investments in securities on loan, at value.
See accompanying notes to financial statements.
66
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL AGGREGATE CAPITAL MUNICIPAL CAPITAL CALIFORNIA CAPITAL NEW YORK CAPITAL SHORT TERM
BOND ETF BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF MUNICIPAL BOND ETF
----------------- ----------------- ------------------ ------------------ ------------------
$169,144,676 $340,600,657 $22,929,282 $11,850,063 $239,751,392
94,903,291 23,381,683 2,387,870 443,010 18,125,746
------------ ------------ ----------- ----------- ------------
264,047,967 363,982,340 25,317,152 12,293,073 257,877,138
-- -- -- -- --
-- -- -- -- --
-- -- -- -- 9,307,241
2,969,533 -- -- -- --
25,008 -- -- -- --
1,646,797 4,354,934 368,230 123,257 3,475,006
------------ ------------ ----------- ----------- ------------
268,689,305 368,337,274 25,685,382 12,416,330 270,659,385
------------ ------------ ----------- ----------- ------------
23,699,143 -- -- -- --
-- 18,506,672 860,147 -- 14,066,722
69,409,779 -- -- -- --
-- -- -- -- --
748,917 1,179,761 90,383 45,867 548,990
18,401 52,700 4,074 2,035 37,635
567 1,175 96 59 683
------------ ------------ ----------- ----------- ------------
93,876,807 19,740,308 954,700 47,961 14,654,030
------------ ------------ ----------- ----------- ------------
$174,812,498 $348,596,966 $24,730,682 $12,368,369 $256,005,355
============ ============ =========== =========== ============
$171,142,588 $355,745,249 $26,061,865 $13,177,358 $253,334,299
(373,508) (460,383) (17,222) (1,012) (302,850)
56,138 (950,825) (93,525) (99,863) (5,908)
3,987,280 (5,737,075) (1,220,436) (708,114) 2,979,814
-- -- -- -- --
------------ ------------ ----------- ----------- ------------
$174,812,498 $348,596,966 $24,730,682 $12,368,369 $256,005,355
============ ============ =========== =========== ============
$ 54.63 $ 21.26 $ 20.61 $ 20.61 $ 23.27
============ ============ =========== =========== ============
3,200,023 16,400,661 1,200,001 600,010 11,000,106
============ ============ =========== =========== ============
$165,157,396 $346,337,732 $24,149,718 $12,558,177 $236,771,578
94,903,291 23,381,683 2,387,870 443,010 18,125,746
------------ ------------ ----------- ----------- ------------
$260,060,687 $369,719,415 $26,537,588 $13,001,187 $254,897,324
============ ============ =========== =========== ============
$ -- $ -- $ -- $ -- $ --
============ ============ =========== =========== ============
<Caption>
SPDR DB
INTERNATIONAL
GOVERNMENT SPDR BARCLAYS SPDR BARCLAYS
INFLATION-PROTECTED CAPITAL INTERNATIONAL CAPITAL HIGH
BOND ETF TREASURY BOND ETF YIELD BOND ETF
------------------- --------------------- --------------
$178,253,047 $845,959,087 $ 595,145,251
9,682,063 36,000,554 86,303,279
------------ ------------ -------------
187,935,110 881,959,641 681,448,530
253,728 8,125,991 --
-- 740,285 --
-- 21,653,691 --
765,280 -- --
-- -- --
1,683,310 13,094,204 19,446,321
------------ ------------ -------------
190,637,428 925,573,812 700,894,851
------------ ------------ -------------
-- -- --
786,729 18,464,131 2,768,516
-- -- --
49,585 447,534 --
473,634 1,872,636 8,683,506
76,176 352,675 180,189
1,201 3,769 2,017
------------ ------------ -------------
1,387,325 21,140,745 11,634,228
------------ ------------ -------------
$189,250,103 $904,433,067 $ 689,260,623
============ ============ =============
$256,137,838 $931,722,401 $ 875,543,584
(907,838) (2,437,612) (4,736,514)
(27,564,786) (27,268,834) (21,060,809)
(38,245,949) 2,217,746 (160,485,638)
(169,162) 199,366 --
------------ ------------ -------------
$189,250,103 $904,433,067 $ 689,260,623
============ ============ =============
$ 47.31 $ 53.84 $ 29.46
============ ============ =============
4,000,416 16,800,014 23,400,000
============ ============ =============
$216,498,996 $843,741,341 $ 755,630,889
9,682,063 36,000,554 86,303,279
------------ ------------ -------------
$226,181,059 $879,741,895 $ 841,934,168
============ ============ =============
$ 283,779 $ 8,282,308 $ --
============ ============ =============
</Table>
67
SPDR SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL 1-3 MONTH CAPITAL CAPITAL INTERMEDIATE CAPITAL LONG TERM
T-BILL ETF TIPS ETF TERM TREASURY ETF TREASURY ETF
----------------- ------------- -------------------- -----------------
INVESTMENT INCOME
Interest income on securities of
unaffiliated issuers (Note 2)..... $2,585,089 $ 1,467,136 $ 880,409 $ 361,047
Interest income on securities of
affiliated issuers (Note 3)....... 7,798 2,048 2,103 594
Affiliated securities lending -- net
(Note 3 and Note 8)............... 818,150 191,213 138,602 31,847
Foreign taxes withheld............... -- -- -- --
---------- ------------ ---------- ----------
TOTAL INVESTMENT INCOME.............. 3,411,037 1,660,397 1,021,114 393,488
---------- ------------ ---------- ----------
EXPENSES
Advisory fee (Note 3)................ 373,756 115,394 45,386 11,902
Trustees fee (Note 3)................ 4,382 1,271 509 137
---------- ------------ ---------- ----------
TOTAL EXPENSES BEFORE WAIVERS........ 378,138 116,665 45,895 12,039
---------- ------------ ---------- ----------
Expenses waived by Adviser (Note 3).. -- -- -- --
---------- ------------ ---------- ----------
NET EXPENSES......................... 378,138 116,665 45,895 12,039
---------- ------------ ---------- ----------
NET INVESTMENT INCOME (LOSS)......... 3,032,899 1,543,732 975,219 381,449
---------- ------------ ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on:
Investments in securities of
unaffiliated issuers............ 340,424 (713,568) 737,237 20,565
Foreign currency transactions..... -- -- -- --
Net change in unrealized appreciation
(depreciation) on:
Investments....................... 54,186 (10,895,291) 4,606,337 3,516,389
Foreign currency transactions..... -- -- -- --
---------- ------------ ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS............. 394,610 (11,608,859) 5,343,574 3,536,954
---------- ------------ ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $3,427,509 $(10,065,127) $6,318,793 $3,918,403
========== ============ ========== ==========
</Table>
See accompanying notes to financial statements.
68
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS SPDR DB SPDR BARCLAYS
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS CAPITAL CAPITAL INTERNATIONAL CAPITAL SPDR BARCLAYS
CAPITAL CAPITAL CAPITAL CALIFORNIA NEW YORK SHORT TERM GOVERNMENT INTERNATIONAL CAPITAL
AGGREGATE MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL INFLATION-PROTECTED TREASURY HIGH YIELD
BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF BOND ETF
------------- ------------- ------------------ ------------- ------------- ------------------- ------------- -------------
$2,784,206 $ 5,792,228 $ 509,510 $ 275,836 $2,459,348 $ 7,932,400 $ 14,355,738 $ 30,017,767
165,192 65,017 9,082 3,617 69,584 8,663 306,927 141,684
150,908 -- -- -- -- 12,201 10,299 --
-- -- -- -- -- (83,294) (57,384) --
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
3,100,306 5,857,245 518,592 279,453 2,528,932 7,869,970 14,615,580 30,159,451
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
127,848 416,395 22,879 12,642 180,939 584,077 2,071,499 943,443
1,414 2,938 248 84 1,788 2,953 9,430 5,037
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
129,262 419,333 23,127 12,726 182,727 587,030 2,080,929 948,480
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
(36,058) (141,726) -- -- -- -- -- --
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
93,204 277,607 23,127 12,726 182,727 587,030 2,080,929 948,480
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
3,007,102 5,579,638 495,465 266,727 2,346,205 7,282,940 12,534,651 29,210,971
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
71,914 (955,400) (80,985) (89,547) (50,132) (27,888,421) (17,624,890) (20,099,936)
-- -- -- -- -- 329,025 (6,207,413) --
5,400,364 (2,456,066) (997,898) (482,874) 3,935,158 (39,036,200) 103,585 (147,951,323)
-- -- -- -- -- (165,755) (300,821) --
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
5,472,278 (3,411,466) (1,078,883) (572,421) 3,885,026 (66,761,351) (24,029,539) (168,051,259)
---------- ----------- ----------- --------- ---------- ------------ ------------ -------------
$8,479,380 $ 2,168,172 $ (583,418) $(305,694) $6,231,231 $(59,478,411) $(11,494,888)$(138,840,288)
========== =========== =========== ========= ========== ============ ============ =============
</Table>
69
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL 1-3 MONTHS SPDR BARCLAYS
T-BILL ETF CAPITAL TIPS ETF
---------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED FOR THE ENDED FOR THE
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------- ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss)................ $ 3,032,899 $ 4,836,986 $ 1,543,732 $ 3,407,258
Net realized gain (loss) on investments and
foreign currency transactions............ 340,424 280,409 (713,568) 496,913
Net change in unrealized appreciation
(depreciation) on investments and foreign
currency transactions.................... 54,186 (7,514) (10,895,291) 1,663,628
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................ 3,427,509 5,109,881 (10,065,127) 5,567,799
------------ ------------- ------------ ------------
Net equalization credits and charges........ 300,182 337,250 200,160 (123,242)
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (3,678,845) (4,990,990) (3,864,782) (3,165,753)
Net realized gains.......................... (179,112) -- -- --
------------ ------------- ------------ ------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS......... (3,857,957) (4,990,990) (3,864,782) (3,165,753)
------------ ------------- ------------ ------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares............ 523,094,509 348,453,490 80,398,963 82,387,859
Net proceeds from reinvestment of
distributions............................ 10,682 9,343 2,219 155
Cost of shares redeemed..................... (64,234,740) (100,912,911) (19,434,252) (48,644,433)
Net income equalization..................... (300,182) (337,250) (200,160) 123,242
Other capital (Note 4)...................... -- -- 1,500 --
------------ ------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS......... 458,570,269 247,212,672 60,768,270 33,866,823
------------ ------------- ------------ ------------
Net increase (decrease) in net assets during
the period............................... 458,440,003 247,668,813 47,038,521 36,145,627
Net assets at beginning of period........... 284,435,109 36,766,296 93,602,353 57,456,726
------------ ------------- ------------ ------------
NET ASSETS END OF PERIOD (1).................. $742,875,112 $ 284,435,109 $140,640,874 $ 93,602,353
============ ============= ============ ============
SHARES OF BENEFICIAL INTEREST:
Shares sold................................. 11,400,000 7,600,000 1,600,000 1,600,000
Shares issued to shareholders from
reinvestment of distributions............ 233 204 45 3
Shares redeemed............................. (1,400,000) (2,200,000) (400,000) (1,000,000)
------------ ------------- ------------ ------------
NET INCREASE (DECREASE)..................... 10,000,233 5,400,204 1,200,045 600,003
============ ============= ============ ============
(1) Including undistributed (distribution in
excess of) net investment income............ $ (633,057) $ 12,889 $ (1,583,761) $ 737,289
============ ============= ============ ============
</Table>
* Commencement of operations
See accompanying notes to financial statements.
70
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS
CAPITAL INTERMEDIATE CAPITAL LONG TERM SPDR BARCLAYS CAPITAL SPDR BARCLAYS CAPITAL
TERM TREASURY ETF TREASURY ETF AGGREGATE BOND ETF MUNICIPAL BOND ETF
---------------------------- --------------------------- ---------------------------- ------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS MONTHS
ENDED FOR THE ENDED FOR THE ENDED FOR THE ENDED FOR THE PERIOD
12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 YEAR ENDED 12/31/08 9/11/07*-
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ ------------ ----------- ------------ ------------ ------------ ------------ --------------
$ 975,219 $ 806,692 $ 381,449 $ 774,639 $ 3,007,102 $ 2,394,805 $ 5,579,638 $ 4,055,088
737,237 721,618 20,565 327,835 71,914 185,128 (955,400) 40,458
4,606,337 (422,657) 3,516,389 233,683 5,400,364 (1,315,261) (2,456,066) (3,281,009)
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
6,318,793 1,105,653 3,918,403 1,336,157 8,479,380 1,264,672 2,168,172 814,537
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
42,856 69,365 22,392 (3,088) 68,863 302,261 159,068 275,770
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
(1,118,610) (815,670) (445,421) (772,861) (3,509,710) (2,317,464) (6,585,543) (3,509,293)
-- (8,570) -- (5,106) (197,445) -- -- --
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
(1,118,610) (824,240) (445,421) (777,967) (3,707,155) (2,317,464) (6,585,543) (3,509,293)
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
57,034,583 44,715,172 11,257,729 10,548,934 53,157,724 107,513,855 105,257,450 307,365,510
618 8,553 -- -- 1,160 53 5,240 9,312
(11,748,736) (11,256,588) -- (10,362,809) -- -- (8,670,066) (48,306,353)
(42,856) (69,365) (22,392) 3,088 (68,863) (302,261) (159,068) (275,770)
-- -- -- -- 1,500 -- 17,250 30,750
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
45,243,609 33,397,772 11,235,337 189,213 53,091,521 107,211,647 96,450,806 258,823,449
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
50,486,648 33,748,550 14,730,711 744,315 57,932,609 106,461,116 92,192,503 256,404,463
44,261,328 10,512,778 10,678,173 9,933,858 116,879,889 10,418,773 256,404,463 --
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
$ 94,747,976 $ 44,261,328 $25,408,884 $ 10,678,173 $174,812,498 $116,879,889 $348,596,966 $256,404,463
============ ============ =========== ============ ============ ============ ============ ============
1,000,000 800,000 200,000 200,000 1,000,000 2,000,000 5,000,000 14,000,000
11 155 -- -- 22 1 238 423
(200,000) (200,000) -- (200,000) -- -- (400,000) (2,200,000)
------------ ------------ ----------- ------------ ------------ ------------ ------------ ------------
800,011 600,155 200,000 -- 1,000,022 2,000,001 4,600,238 11,800,423
============ ============ =========== ============ ============ ============ ============ ============
$ (105,604) $ 37,787 $ (15,677) $ 48,295 $ (373,508) $ 129,100 $ (460,383) $ 545,522
============ ============ =========== ============ ============ ============ ============ ============
</Table>
71
SPDR SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL CALIFORNIA SPDR BARCLAYS CAPITAL NEW
MUNICIPAL BOND ETF YORK MUNICIPAL BOND ETF
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS MONTHS
ENDED FOR THE PERIOD ENDED FOR THE PERIOD
12/31/08 10/10/07*- 12/31/08 10/11/07*-
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
----------- -------------- ----------- --------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income (loss).............. $ 495,465 $ 445,409 $ 266,727 $ 380,161
Net realized gain (loss) on investments
and foreign currency transactions...... (80,985) (13,270) (89,547) (10,316)
Net change in unrealized appreciation
(depreciation) on investments and
foreign currency transactions.......... (997,898) (222,538) (482,874) (225,240)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS.............. (583,418) 209,601 (305,694) 144,605
----------- ----------- ----------- -----------
Net equalization credits and charges...... 3,625 13,374 -- --
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (559,655) (397,711) (311,844) (336,056)
Net realized gains........................ -- -- -- --
----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS....... (559,655) (397,711) (311,844) (336,056)
----------- ----------- ----------- -----------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from sale of shares.......... 8,480,061 17,579,534 -- 13,177,140
Net proceeds from reinvestment of
distributions.......................... 20 -- 153 65
Cost of shares redeemed................... -- -- -- --
Net income equalization................... (3,625) (13,374) -- --
Other capital (Note 4).................... 1,500 750 -- --
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS....... 8,477,956 17,566,910 153 13,177,205
----------- ----------- ----------- -----------
Net increase (decrease) in net assets
during the period...................... 7,338,508 17,392,174 (617,385) 12,985,754
Net assets at beginning of period......... 17,392,174 -- 12,985,754 --
----------- ----------- ----------- -----------
NET ASSETS END OF PERIOD (1)................ $24,730,682 $17,392,174 $12,368,369 $12,985,754
=========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST:
Shares sold............................... 400,000 800,000 -- 600,000
Shares issued to shareholders from
reinvestment of distributions.......... 1 -- 7 3
Shares redeemed........................... -- -- -- --
----------- ----------- ----------- -----------
NET INCREASE (DECREASE)................... 400,001 800,000 7 600,003
=========== =========== =========== ===========
(1) Including undistributed (distribution in
excess of) net investment income.......... $ (17,222) $ 46,968 $ (1,012) $ 44,105
=========== =========== =========== ===========
</Table>
* Commencement of operations
See accompanying notes to financial statements.
72
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR DB
INTERNATIONAL
SPDR BARCLAYS GOVERNMENT SPDR BARCLAYS
CAPITAL SHORT TERM INFLATION-PROTECTED CAPITAL INTERNATIONAL SPDR BARCLAYS CAPITAL
MUNICIPAL BOND ETF BOND ETF TREASURY BOND ETF HIGH YIELD BOND ETF
--------------------------- --------------------------- ---------------------------- ----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS MONTHS
ENDED FOR THE PERIOD ENDED FOR THE PERIOD ENDED FOR THE PERIOD ENDED FOR THE PERIOD
12/31/08 10/10/07*- 12/31/08 3/13/08*- 12/31/08 10/2/07*- 12/31/08 11/28/07*-
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ -------------- ------------ -------------- ------------- -------------- ------------- --------------
$ 2,346,205 $ 1,021,362 $ 7,282,940 $ 1,831,653 $ 12,534,651 $ 9,734,528 $ 29,210,971 $ 10,525,285
(50,132) (6,397) (27,559,396) (479,527) (23,832,303) (4,952,845) (20,099,936) (960,873)
3,935,158 (955,344) (39,201,955) 786,844 (197,236) 2,614,348 (147,951,323) (12,534,315)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
6,231,231 59,621 (59,478,411) 2,138,970 (11,494,888) 7,396,031 (138,840,288) (2,969,903)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
136,680 136,259 37,215 144,555 (143,315) 852,840 2,842,124 1,668,124
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
(2,776,701) (893,716) (8,381,362) (1,166,932) (14,391,750) (8,816,601) (35,464,906) (9,010,627)
-- -- -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
(2,776,701) (893,716) (8,381,362) (1,166,932) (14,391,750) (8,816,601) (35,464,906) (9,010,627)
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
138,409,707 124,042,133 126,680,014 205,369,849 269,944,815 905,984,795 502,636,493 406,287,555
2,435 -- 19,063 119 623 109 -- --
(9,107,605) -- (76,075,207) -- (100,723,347) (143,799,720) (33,499,201) --
(136,680) (136,259) (37,215) (144,555) 143,315 (852,840) (2,842,124) (1,668,124)
21,750 16,500 72,000 72,000 108,000 225,000 82,500 39,000
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
129,189,607 123,922,374 50,658,655 205,297,413 169,473,406 761,557,344 466,377,668 404,658,431
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
132,780,817 123,224,538 (17,163,903) 206,414,006 143,443,453 760,989,614 294,914,598 394,346,025
123,224,538 -- 206,414,006 -- 760,989,614 -- 394,346,025 --
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
$256,005,355 $123,224,538 $189,250,103 $206,414,006 $ 904,433,067 $ 760,989,614 $ 689,260,623 $394,346,025
============ ============ ============ ============ ============= ============= ============= ============
6,000,000 5,400,000 2,200,000 3,400,000 5,000,000 16,400,000 15,400,000 9,000,000
106 -- 414 2 12 2 -- --
(400,000) -- (1,600,000) -- (2,000,000) (2,600,000) (1,000,000) --
------------ ------------ ------------ ------------ ------------- ------------- ------------- ------------
5,600,106 5,400,000 600,414 3,400,002 3,000,012 13,800,002 14,400,000 9,000,000
============ ============ ============ ============ ============= ============= ============= ============
$ (302,850) $ 127,646 $ (907,838) $ 190,584 $ (2,437,612) $ (580,513)$ (4,736,514) $ 1,517,421
============ ============ ============ ============ ============= ============= ============= ============
</Table>
73
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS
CAPITAL 1-3 MONTH SPDR BARCLAYS
T-BILL ETF CAPITAL TIPS ETF
------------------------------------------ ------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE FOR THE PERIOD MONTHS ENDED FOR THE FOR THE PERIOD
12/31/08 YEAR ENDED 5/25/07*- 12/31/08 YEAR ENDED 5/25/07*-
(UNAUDITED) 6/30/08 6/30/07 (UNAUDITED)* 6/30/08 6/30/07
------------ ---------- -------------- ------------ ---------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 45.88 $ 45.96 $ 45.74 $ 52.00 $ 47.88 $ 48.01
-------- -------- ------- -------- ------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)............. 0.30 1.32 0.20 0.75 2.86 0.41
Net realized and unrealized gain (loss)
(1).................................... 0.01 0.03 0.02 (4.27) 4.24 (0.57)
-------- -------- ------- -------- ------- -------
Total from investment operations......... 0.31 1.35 0.22 (3.52) 7.10 (0.16)
-------- -------- ------- -------- ------- -------
Net equalization credits and charges
(6).................................... 0.02 0.09 -- 0.08 (0.12) 0.03
-------- -------- ------- -------- ------- -------
Other capital (6)........................ -- -- -- 0.00(5) -- --
-------- -------- ------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................... (0.34) (1.52) -- (1.68) (2.86) --
Net realized gains....................... (0.01) -- -- -- -- --
-------- -------- ------- -------- ------- -------
Total distributions...................... (0.35) (1.52) -- (1.68) (2.86) --
-------- -------- ------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD........... $ 45.86 $ 45.88 $ 45.96 $ 46.88 $ 52.00 $ 47.88
======== ======== ======= ======== ======= =======
TOTAL RETURN (2)......................... 0.72% 3.18% 0.48% (6.79)% 14.96% (0.27)%
Net assets, end of period (in 000's)..... $742,875 $284,435 $36,766 $140,641 $93,602 $57,457
Ratio of expenses to average net assets.. 0.14%(3) 0.14% 0.14%(3) 0.19%(3) 0.19% 0.19%(3)
Ratio of expenses to average net assets
before waivers......................... -- -- -- -- -- --
Ratio of net investment income (loss) to
average net assets..................... 1.09%(3) 2.72% 4.49%(3) 2.47%(3) 6.49% 10.23%(3)
Portfolio turnover rate (4).............. 290% 583% 2% 8% 16% 0%
</Table>
See accompanying notes to financial statements.
74
--------------------------------------------------------------------------
<Table>
<Caption>
SPDR BARCLAYS SPDR BARCLAYS SPDR BARCLAYS
CAPITAL INTERMEDIATE CAPITAL LONG TERM CAPITAL AGGREGATE
TERM TREASURY ETF TREASURY ETF BOND ETF
-------------------------------------- -------------------------------------- --------------------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE FOR THE PERIOD MONTHS ENDED FOR THE FOR THE PERIOD MONTHS ENDED FOR THE FOR THE PERIOD
12/31/08 YEAR ENDED 5/23/07*- 12/31/08 YEAR ENDED 5/23/07*- 12/31/08 YEAR ENDED 5/23/07*-
(UNAUDITED) 6/30/08 6/30/07 (UNAUDITED) 6/30/08 6/30/07 (UNAUDITED) 6/30/08 6/30/07
------------ ---------- -------------- ------------ ---------- -------------- ------------ ---------- --------------
$ 55.32 $ 52.56 $ 52.57 $ 53.39 $ 49.67 $50.12 $ 53.13 $ 52.09 $ 52.36
------- ------- ------- ------- ------- ------ -------- -------- -------
0.84 2.06 0.22 1.14 2.47 0.22 1.18 2.44 0.24
3.96 2.81 (0.23) 10.34 3.72 (0.67) 1.71 0.91 (0.51)
------- ------- ------- ------- ------- ------ -------- -------- -------
4.80 4.87 (0.01) 11.48 6.19 (0.45) 2.89 3.35 (0.27)
------- ------- ------- ------- ------- ------ -------- -------- -------
0.04 0.17 -- 0.07 (0.01) -- 0.03 0.31 --
------- ------- ------- ------- ------- ------ -------- -------- -------
-- -- -- -- -- -- 0.00(5) -- --
------- ------- ------- ------- ------- ------ -------- -------- -------
(0.95) (2.24) -- (1.42) (2.45) -- (1.36) (2.62) --
-- (0.04) -- -- (0.01) -- (0.06) -- --
------- ------- ------- ------- ------- ------ -------- -------- -------
(0.95) (2.28) -- (1.42) (2.46) -- (1.42) (2.62) --
------- ------- ------- ------- ------- ------ -------- -------- -------
$ 59.21 $ 55.32 $ 52.56 $ 63.52 $ 53.39 $49.67 $ 54.63 $ 53.13 $ 52.09
======= ======= ======= ======= ======= ====== ======== ======== =======
8.84% 9.73% (0.02)% 22.03% 12.62% (0.90)% 5.60% 7.13% (0.52)%
$94,748 $44,261 $10,513 $25,409 $10,678 $9,934 $174,812 $116,880 $10,419
0.14%(3) 0.14% 0.14%(3) 0.14%(3) 0.14% 0.14%(3) 0.13%(3) 0.13% 0.13%(3)
-- -- -- -- -- -- 0.19%(3) 0.19% 0.19%(3)
2.89%(3) 3.51% 4.13%(3) 4.31%(3) 4.58% 4.29%(3) 4.34%(3) 4.13% 4.42%(3)
22% 36% 7% 4% 11% 4% 425% 151% 17%
</Table>
75
SPDR SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<Table>
<Caption>
SPDR
BARCLAYS
SPDR CAPITAL NEW
SPDR BARCLAYS BARCLAYS CAPITAL YORK
CAPITAL MUNICIPAL CALIFORNIA MUNICIPAL MUNICIPAL
BOND ETF BOND ETF BOND ETF
----------------------------- ----------------------------- ------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED
12/31/08 9/11/07*- 12/31/08 10/10/07*- 12/31/08
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED)
------------ -------------- ------------ -------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD... $ 21.73 $ 22.16 $ 21.74 $ 22.18 $ 21.64
-------- -------- ------- ------- -------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)........... 0.42 0.64 0.46 0.62 0.44
Net realized and unrealized gain (loss)
(1).................................. (0.40) (0.53) (1.06) (0.52) (0.95)
-------- -------- ------- ------- -------
Total from investment operations....... 0.02 0.11 (0.60) 0.10 (0.51)
-------- -------- ------- ------- -------
Net equalization credits and charges
(6).................................. 0.01 0.05 0.00(5) 0.02 --
-------- -------- ------- ------- -------
Other capital (6)...................... 0.00(5) 0.00(5) 0.00(5) 0.00(5) --
-------- -------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................. (0.50) (0.59) (0.53) (0.56) (0.52)
Net realized gains..................... -- -- -- -- --
-------- -------- ------- ------- -------
Total distributions.................... (0.50) (0.59) (0.53) (0.56) (0.52)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 21.26 $ 21.73 $ 20.61 $ 21.74 $ 20.61
======== ======== ======= ======= =======
TOTAL RETURN (2)....................... 0.15% 0.73% (2.78)% 0.54% (2.37)%
Net assets, end of period (in 000's)... $348,597 $256,404 $24,731 $17,392 $12,368
Ratio of expenses to average net
assets............................... 0.20%(3) 0.20%(3) 0.20%(3) 0.20%(3) 0.20%(3)
Ratio of expenses to average net assets
before waivers....................... 0.30%(3) 0.30%(3) -- -- --
Ratio of net investment income (loss)
to average net assets................ 4.02%(3) 3.79%(3) 4.33%(3) 4.04%(3) 4.22%(3)
Portfolio turnover rate (4)............ 2% 0% 15% 17% 18%
<Caption>
SPDR BARCLAYS
CAPITAL NEW
YORK
MUNICIPAL BOND
ETF
--------------
FOR THE PERIOD
10/11/07*-
6/30/08
--------------
NET ASSET VALUE, BEGINNING OF PERIOD... $ 21.96
-------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss)........... 0.63
Net realized and unrealized gain (loss)
(1).................................. (0.39)
-------
Total from investment operations....... 0.24
-------
Net equalization credits and charges
(6).................................. --
-------
Other capital (6)...................... --
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................. (0.56)
Net realized gains..................... --
-------
Total distributions.................... (0.56)
-------
NET ASSET VALUE, END OF PERIOD......... $ 21.64
=======
TOTAL RETURN (2)....................... 1.08%
Net assets, end of period (in 000's)... $12,986
Ratio of expenses to average net
assets............................... 0.20%(3)
Ratio of expenses to average net assets
before waivers....................... --
Ratio of net investment income (loss)
to average net assets................ 4.02%(3)
Portfolio turnover rate (4)............ 32%
</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 in
kind processing of creations or redemptions.
(5) Amount is less than $0.005 per share.
(6) Per share numbers have been calculated using the average shares method.
See accompanying notes to financial statements.
76
--------------------------------------------------------------------------
<Table>
<Caption>
SPDR DB
INTERNATIONAL
GOVERNMENT SPDR
INFLATION- BARCLAYS CAPITAL SPDR BARCLAYS
PROTECTED INTERNATIONAL CAPITAL HIGH
BOND ETF TREASURY BOND ETF YIELD BOND ETF
--------------------------- --------------------------- ---------------------------
SPDR BARCLAYS
CAPITAL SHORT TERM
MUNICIPAL BOND ETF
---------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD MONTHS ENDED FOR THE PERIOD
12/31/08 10/10/07*- 12/31/08 3/13/08*- 12/31/08 10/2/2007*- 12/31/08 11/28/07*-
(UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08 (UNAUDITED) 6/30/08
------------ -------------- ------------ -------------- ------------ -------------- ------------ --------------
$ 22.82 $ 22.53 $ 60.71 $ 61.85 $ 55.14 $ 51.55 $ 43.82 $ 47.29
-------- -------- -------- -------- -------- -------- -------- --------
0.30 0.45 1.64 0.73 0.82 0.97 2.14 2.19
0.48 0.19 (13.15) (1.35) (1.20) 3.49 (14.21) (4.04)
-------- -------- -------- -------- -------- -------- -------- --------
0.78 0.64 (11.51) (0.62) (0.38) 4.46 (12.07) (1.85)
-------- -------- -------- -------- -------- -------- -------- --------
0.02 0.06 0.01 0.10 (0.01) 0.11 0.21 0.39
-------- -------- -------- -------- -------- -------- -------- --------
0.00(5) 0.01 0.02 0.05 0.01 0.03 0.01 0.01
-------- -------- -------- -------- -------- -------- -------- --------
(0.35) (0.42) (1.92) (0.67) (0.92) (1.01) (2.51) (2.02)
-- -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
(0.35) (0.42) (1.92) (0.67) (0.92) (1.01) (2.51) (2.02)
-------- -------- -------- -------- -------- -------- -------- --------
$ 23.27 $ 22.82 $ 47.31 $ 60.71 $ 53.84 $ 55.14 $ 29.46 $ 43.82
======== ======== ======== ======== ======== ======== ======== ========
3.53% 3.16% (19.18)% (0.73)% (0.61)% 8.95% (27.73)% (3.10)%
$256,005 $123,225 $189,250 $206,414 $904,433 $760,990 $689,261 $394,346
0.20%(3) 0.20%(3) 0.50%(3) 0.50%(3) 0.50%(3) 0.50%(3) 0.40%(3) 0.40%(3)
-- -- -- -- -- -- -- --
2.59%(3) 2.66%(3) 6.23%(3) 6.89%(3) 3.03%(3) 3.03%(3) 12.38%(3) 9.43%(3)
2% 2% 44% 2% 29% 54% 15% 19%
</Table>
77
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
The SPDR Series Trust (the "Trust"), which is registered under the Investment
Company Act of 1940, as amended ("1940 Act"), is an open-end investment
management company that was organized as a Massachusetts business trust on June
12, 1998.
As of December 31, 2008, the Trust offered thirty-eight (38) portfolios, each of
which represents a separate series of beneficial interests in the Trust (each
referred to as a "Fund", collectively as the "Funds"). The financial statements
herein relate to the following twelve (12) Funds: SPDR Barclays Capital 1-3
Month T-Bill ETF, SPDR Barclays Capital TIPS ETF, SPDR Barclays Capital
Intermediate Term Treasury ETF, SPDR Barclays Capital Long Term Treasury ETF,
SPDR Barclays Capital Aggregate Bond ETF, SPDR Barclays Capital Municipal Bond
ETF, SPDR Barclays Capital California Municipal Bond ETF, SPDR Barclays Capital
New York Municipal Bond ETF, SPDR Barclays Capital Short Term Municipal Bond
ETF, SPDR DB International Government Inflation-Protected Bond ETF, SPDR
Barclays Capital International Treasury Bond ETF and SPDR Barclays Capital High
Yield Bond ETF. Each SPDR Barclays Capital ETF named above, except SPDR Barclays
Capital TIPS ETF, was formerly a SPDR Lehman ETF. The name change occurred
during the period as a result of Barclays Capital acquiring the Lehman Indexes.
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 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
The value of each Fund's portfolio securities is based on the market price of
the securities, which generally means a valuation obtained from an exchange or
other market (or based on a price quotation or other equivalent indication of
value supplied by an exchange or other market) or a valuation obtained from an
independent pricing service. Investments in open-end investment companies are
valued at their net asset value each business day. U.S. fixed income securities
may be valued as of the announced closing time for trading in fixed income
instruments on any day that the Securities Industry and Financial Markets
Association announces an early closing time. If a security's market price is not
readily available or does not otherwise accurately reflect the fair value of the
security, the security will be valued by another method that the Board of
Trustees of the Trust (the "Board") believes will better reflect fair value in
accordance with the Trust's valuation policies and procedures. The Board has
delegated the process of valuing securities for which market quotations are not
readily available or do not otherwise accurately reflect the fair value of the
security to the Pricing and Investment Committee (the "Committee"). The
Committee, subject to oversight by the Board, may use fair value pricing in a
variety of circumstances, including but not limited to, situations when the
value of a security in a Fund's portfolio has been materially affected by events
occurring after the close of the market on which the security is principally
traded (such as in the case of a corporate action or other news that may
materially affect the
78
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
price of the security) or trading in a security has been suspended or halted.
Accordingly, a Fund's net asset value may reflect certain portfolio securities'
fair values rather than their market prices.
Effective July 1, 2008, the Funds adopted Financial Accounting Standards Board
("FASB") Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair
Value Measurements." This standard defines fair value, establishes a framework
for measuring fair value in accordance with generally accepted accounting
principles and expands disclosure about fair value measurements. Various inputs
are used in determining the value of the Funds' investments. These inputs are
summarized in the three broad levels listed below.
- - Level 1 -- quoted prices in active markets for identical investments
- - Level 2 -- other significant observable inputs (including, but not limited to,
quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.)
- - Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments)
Investments that use Level 2 or Level 3 inputs may include, but are not limited
to: (i) an unlisted security related to corporate actions; (ii) a restricted
security (e.g., one that may not be publicly sold without registration under the
Securities Act of 1933, as amended); (iii) a security whose trading has been
suspended or which has been de-listed from its primary trading exchange; (iv) a
security that is thinly traded; (v) a security in default or bankruptcy
proceedings for which there is no current market quotation; (vi) a security
affected by currency controls or restrictions; and (vii) a security affected by
a significant event (e.g., an event that occurs after the close of the markets
on which the security is traded but before the time as of which the Funds' net
assets are computed and that may materially affect the value of the Funds'
investments). Examples of events that may be "significant events" are government
actions, natural disasters, armed conflict, acts of terrorism, and significant
market fluctuations.
Fair value pricing could result in a difference between the prices used to
calculate a Fund's net asset value and the prices used by the Fund's benchmark
index, which, in turn, could result in a difference between the Fund's
performance and the performance of the Fund's benchmark index. The inputs or
methodology used for valuation are not necessarily an indication of the risk
associated with investing in those investments.
The following table summarizes the inputs used in valuing the Funds'
investments, as of December 31, 2008:
<Table>
<Caption>
LEVEL 2 -
OTHER LEVEL 3 -
LEVEL 1- SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
SPDR SERIES TRUST PRICES INPUTS INPUTS TOTAL
- ----------------- ----------- ------------ ------------ ------------
SPDR Barclays Capital 1-3 Month T-Bill ETF......... $ 1,204,875 $742,012,902 $ -- $743,217,777
SPDR Barclays Capital TIPS ETF..................... 37,509,200 139,237,250 -- 176,746,450
SPDR Barclays Capital Intermediate Term Treasury
ETF.............................................. 24,094,074 94,075,407 -- 118,169,481
SPDR Barclays Capital Long Term Treasury ETF....... 6,666,537 25,145,474 -- 31,812,011
SPDR Barclays Capital Aggregate Bond ETF........... 94,903,291 169,144,676 -- 264,047,967
SPDR Barclays Capital Municipal Bond ETF........... 23,381,683 340,600,657 -- 363,982,340
SPDR Barclays Capital California Municipal Bond
ETF.............................................. 2,387,870 22,929,282 -- 25,317,152
SPDR Barclays Capital New York Municipal Bond ETF.. 443,010 11,850,063 -- 12,293,073
SPDR Barclays Capital Short Term Municipal Bond
ETF.............................................. 18,125,746 239,751,392 -- 257,877,138
SPDR DB International Government Inflation-
Protected Bond ETF............................... 9,682,063 178,253,047 -- 187,935,110
SPDR Barclays Capital International Treasury Bond
ETF.............................................. 36,000,554 845,959,087 -- 881,959,641
SPDR Barclays Capital High Yield Bond ETF.......... 86,303,279 593,945,251 1,200,000 681,448,530
</Table>
79
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
LEVEL 2 -
OTHER LEVEL 3 -
LEVEL 1- SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
SPDR SERIES TRUST-OTHER FINANCIAL INSTRUMENTS* PRICES INPUTS INPUTS TOTAL
- ---------------------------------------------- -------- ----------- ------------ --------
SPDR DB International Government Inflation-Protected
Bond ETF.......................................... $-- $(49,585) $-- $(49,585)
SPDR Barclays Capital International Treasury Bond
ETF............................................... -- 292,751 -- 292,751
</Table>
* Other financial instruments are derivative instruments not reflected in the
Schedule of Investments, such as futures, forwards, and swap contracts, which
are valued at the unrealized appreciation/depreciation on the instrument.
The following table provides the reconciliation of investments in which
significant unobservable inputs (Level 3) were used in determining fair value at
December 31, 2008:
<Table>
<Caption>
NET CHANGE IN
REALIZED UNREALIZED
GAIN (LOSS) (DEPRECIATION)
(AMORTIZED AND CHANGE IN FROM
PREMIUMS) UNREALIZED NET BALANCE INVESTMENTS
BALANCE AT ACCRETED APPRECIATION/ PURCHASES/ NET TRANSFERS AT STILL HELD AT
SPDR SERIES TRUST 6/30/08 DISCOUNTS (DEPRECIATION) (SALES) IN AND/OR OUT 12/31/08 12/31/08
- ----------------- ---------- ---------- -------------- ---------- ------------- ---------- --------------
SPDR Barclays Capital
High Yield Bond ETF... $-- $(1,495) $-- $-- $1,387,500 $1,200,000 $(186,005)
</Table>
INVESTMENT INCOME
Interest income is recorded on the accrual basis. All premiums and discounts are
amortized/accreted for financial reporting purposes.
EXPENSES
Advisory fees and other expenses, 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 dividends) are recorded net of foreign tax holdings.
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 and foreign currency on the statement of operations.
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.
80
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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.
FORWARD FOREIGN CURRENCY CONTRACTS
The SPDR DB International Government Inflation-Protected Bond ETF and the SPDR
Barclays Capital International Treasury Bond ETF may enter into forward foreign
currency contracts to hedge their portfolio holdings against future movements in
certain foreign currency exchange rates. A forward currency contract is a
commitment to purchase or sell a foreign currency at a future date at a set
price. The forward currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded by the Fund as an
unrealized gain or loss. When the contract is closed, the Fund recognizes a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations in
the underlying prices of the securities of the Fund, but it does establish a
rate of exchange that can be achieved in the future. Although forward foreign
currency contracts to sell limit the risk of loss due to a decline in the value
of the currency holdings, they also limit any potential gain that might result
should the value of the currency increase. In addition, the Fund could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of the contracts.
MORTGAGE DOLLAR ROLLS
The SPDR Barclays Capital Aggregate Bond ETF may enter into mortgage dollar roll
transactions with respect to mortgage-backed securities for delivery in the
current month and simultaneously contract to repurchase substantially 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
SPDR Barclays Capital Aggregate Bond ETF's use of to-be-announced ("TBA")
mortgage dollar rolls may cause the fund to experience 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 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
The SPDR Barclays Capital TIPS ETF and SPDR DB International Government
Inflation-Protected Bond ETF may invest almost exclusively in inflation-indexed
instruments which are fixed income securities whose principal value is
81
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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. Deflation may cause dividends to be suspended.
SWAP AGREEMENTS
Each Fund may enter into swap agreements, including interest rate, index, and
total return swap agreements. Swap agreements are contracts between parties in
which one party agrees to make periodic payments to the other party based on the
change in market value or level of a specified rate, index or asset. In return,
the other party agrees to make payments to the first party based on the return
of a different specified rate, index or asset. Swap agreements will usually be
done on a net basis, i.e., where the two parties make net payments with a Fund
receiving or paying, as the case may be, only the net amount of the two
payments. The net amount of the excess, if any, of a Fund's obligations over its
entitlements with respect to each swap is accrued on a daily basis and an amount
of cash or equivalents having an aggregate value at least equal to the accrued
excess is maintained by the Fund.
In the case of a credit default swap ("CDS"), the contract gives one party (the
buyer) the right to recoup the economic value of a decline in the value of debt
securities of the reference issuer if the credit event (a downgrade or default)
occurs. This value is obtained by delivering a debt security of the reference
issuer to the party in return for a previously agreed payment from the other
party (frequently, the par value of the debt security). As the seller of a CDS
contract, a Fund would be required to pay the par (or other agreed upon) value
of a referenced debt obligation to the counterparty in the event of a default or
other credit event by the reference issuer, such as a U.S. or foreign corporate
issuer, with respect to debt obligations. In return, the Fund would receive from
the counterparty a periodic stream of payments over the term of the contract
provided that no event of default has occurred. If no default occurs, a Fund
would keep the stream of payments and would have no payment obligations. As the
seller, the Fund would be subject to investment exposure on the notional amount
of the swap.
The SPDR Barclays Capital High Yield Bond ETF invests in a credit-linked trust
certificate. A credit-linked trust certificate is a security with an embedded
credit default swap allowing the issuer to transfer a specific credit risk to
credit investors. The certificate is created through a Special Purpose Company
(SPC), or Trust, which is collateralized with AAA-rated securities. Investors
buy securities from a Trust that pays a fixed or floating coupon during the life
of the note. At maturity, the investors receive par unless the referenced credit
defaults or declares bankruptcy, in which case they receive an amount equal to
the recovery rate. The Trust enters into a default swap with a deal arranger. In
case of default, the trust pays the dealer par minus the recovery rate in
exchange for an annual fee which is passed on to the investors in the form of a
higher yield on the notes. Potential losses related to credit-linked trust
certificates are limited to the initial cost of investments.
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 and losses deferred due to wash sales.
Additionally, based on the Fund's understanding of the tax rules and rates
related to income, gains and transactions for foreign jurisdictions in which the
applicable Funds invest, the Funds will provide for foreign taxes, and where
appropriate, deferred foreign taxes.
82
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
The Funds have reviewed the tax positions for the open tax years as of June 30,
2008 and have determined that no provision for income tax is required in the
Funds' Financial Statements. The Funds' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
For the six months ended December 31, 2008, 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 Barclays Capital 1-3 Month T-Bill ETF............................. $ 11,278
SPDR Barclays Capital TIPS ETF......................................... 143,289
SPDR Barclays Capital Intermediate Term Treasury ETF................... 626,347
SPDR Barclays Capital Long Term Treasury ETF........................... --
SPDR Barclays Capital Aggregate Bond ETF............................... --
SPDR Barclays Capital Municipal Bond ETF............................... (4,302)
SPDR Barclays Capital California Municipal Bond ETF.................... --
SPDR Barclays Capital New York Municipal Bond ETF...................... --
SPDR Barclays Capital Short Term Municipal Bond ETF.................... (50,621)
SPDR DB International Government Inflation-Protected Bond ETF.......... --
SPDR Barclays Capital International Treasury Bond ETF.................. --
SPDR Barclays Capital High Yield Bond ETF.............................. --
</Table>
At December 31, 2008, SPDR Barclays Capital TIPS ETF had capital loss
carryforwards of $1,158 which may be utilized to offset any net realized capital
gains expiring June 30, 2016.
Under current tax laws, capital losses realized after October 31, may be
deferred and treated as occurring on the first day of the following fiscal year.
The Funds incurred the following losses during the period November 1, 2007
through June 30, 2008 that are deferred for tax purposes until fiscal 2009:
<Table>
<Caption>
DEFERRED LOSSES
---------------
SPDR Barclays Capital 1-3 Month T-Bill ETF.............................. $ --
SPDR Barclays Capital TIPS ETF.......................................... (17,520)
SPDR Barclays Capital Intermediate Term Treasury ETF.................... --
SPDR Barclays Capital Long Term Treasury ETF............................ --
SPDR Barclays Capital Aggregate Bond ETF................................ --
SPDR Barclays Capital Municipal Bond ETF................................ --
SPDR Barclays Capital California Municipal Bond ETF..................... (13,234)
SPDR Barclays Capital New York Municipal Bond ETF....................... (10,316)
SPDR Barclays Capital Short Term Municipal Bond ETF..................... (6,397)
SPDR DB International Government Inflation-Protected Bond ETF........... (296)
SPDR Barclays Capital International Treasury Bond ETF................... (478,033)
SPDR Barclays Capital High Yield Bond ETF............................... (842,413)
</Table>
DISTRIBUTIONS
Each Fund declares and distributes dividends from net investment income, if any,
to its shareholders monthly. Each Fund 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.
83
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
NEW ACCOUNTING PRONOUNCEMENTS
In March, 2008, FASB issued Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161").
SFAS 161 was issued and is effective for fiscal years and interim periods
beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about
Funds' derivative and hedging activities. Management is currently evaluating the
impact, if any, the adoption of SFAS 161 will have on the Funds' financial
statement disclosures.
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 Barclays Capital 1-3 Month T-Bill ETF....................... 0.1345%
SPDR Barclays Capital TIPS ETF................................... 0.1845
SPDR Barclays Capital Intermediate Term Treasury ETF............. 0.1345
SPDR Barclays Capital Long Term Treasury ETF..................... 0.1345
SPDR Barclays Capital Aggregate Bond ETF......................... 0.1845*
SPDR Barclays Capital Municipal Bond ETF......................... 0.3000*
SPDR Barclays Capital California Municipal Bond ETF.............. 0.2000
SPDR Barclays Capital New York Municipal Bond ETF................ 0.2000
SPDR Barclays Capital Short Term Municipal Bond ETF.............. 0.2000
SPDR DB International Government Inflation-Protected Bond ETF.... 0.5000
SPDR Barclays Capital International Treasury Bond ETF............ 0.5000
SPDR Barclays Capital High Yield Bond ETF........................ 0.4000
</Table>
* The Adviser has contractually agreed to waive a portion of its advisory fee to
the extent necessary to limit annual operating expenses to 0.1345% and 0.2000%
until October 31, 2009 for the SPDR Barclays Capital Aggregate Bond ETF and
the SPDR Barclays Capital Municipal Bond ETF, respectively.
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, acquired fund fees
and 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 from the Adviser. See also Note 4.
State Street also acts as the securities lending agent for the Funds and
receives a portion of any lending income. See Note 8 for additional information
regarding securities lending.
84
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
For the period July 1, 2008 through December 31, 2008, State Street earned
securities lending agent fees as follows:
<Table>
<Caption>
SECURITIES LENDING
AGENT FEES
------------------
SPDR Barclays Capital 1-3 Month T-Bill ETF............................. $143,956
SPDR Barclays Capital TIPS ETF......................................... 33,645
SPDR Barclays Capital Intermediate Term Treasury ETF................... 24,394
SPDR Barclays Capital Long Term Treasury ETF........................... 5,606
SPDR Barclays Capital Aggregate Bond ETF............................... 26,553
SPDR Barclays Capital Municipal Bond ETF............................... --
SPDR Barclays Capital California Municipal Bond ETF.................... --
SPDR Barclays Capital New York Municipal Bond ETF...................... --
SPDR Barclays Capital Short Term Municipal Bond ETF.................... --
SPDR DB International Government Inflation-Protected Bond ETF.......... 2,146
SPDR Barclays Capital International Treasury Bond ETF.................. 1,811
SPDR Barclays Capital High Yield Bond ETF.............................. --
</Table>
DISTRIBUTOR
State Street Global Markets, LLC (the "Distributor"), an affiliate of the
Adviser, serves as the distributor of the shares of each Fund. Pursuant to a
Distribution and Service Plan, pursuant to Rule 12b-1 under the 1940 Act, 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, 2009 and therefore no such payments have been made to the
Distributor.
TRUSTEES' FEES
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 and $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 Trust and each of their
respective series in such a manner as deemed equitable, taking into
consideration the relative net assets of the series.
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 income on securities of
affiliated issuers in the accompanying Statement of Operations. In addition,
cash collateral from lending activities is invested in the State Street
Navigator Securities Lending Prime Portfolio ("Navigator") for which SSgA FM
serves as the investment adviser. Navigator is a series of State Street
Navigator Securities Lending Trust, a registered investment company under the
1940 Act, and operates as a money market fund in compliance with Rule 2a-7 under
the 1940 Act.
85
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Amounts related to investments in Navigator, Liquid Reserves Fund and/or Tax
Free Money Market Fund at December 31, 2008 and for the period then ended are:
SPDR BARCLAYS CAPITAL 1-3 MONTH T-BILL ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 327,088 66,709,397 65,831,610 1,204,875 $ 7,798
State Street Navigator
Securities Lending Prime
Portfolio................... 73,495,181 1,003,878,895 1,077,374,076 0 $815,748
</Table>
SPDR BARCLAYS CAPITAL TIPS ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 12,260 1,940,387 1,852,281 100,366 $ 2,048
State Street Navigator
Securities Lending Prime
Portfolio................... 26,647,080 92,573,843 81,812,089 37,408,834 $190,642
</Table>
SPDR BARCLAYS CAPITAL INTERMEDIATE TERM TREASURY ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 89,760 3,138,937 2,952,347 276,350 $ 2,103
State Street Navigator
Securities Lending Prime
Portfolio................... 12,637,933 29,994,041 18,814,250 23,817,724 $138,200
</Table>
SPDR BARCLAYS CAPITAL LONG TERM TREASURY ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 331 773,784 761,271 12,844 $ 594
State Street Navigator
Securities Lending Prime
Portfolio................... 3,014,608 16,209,590 12,570,505 6,653,693 $31,756
</Table>
SPDR BARCLAYS CAPITAL AGGREGATE BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 3,112,372 128,053,806 59,962,030 71,204,148 $165,192
State Street Navigator
Securities Lending Prime
Portfolio................... 19,106,254 57,963,130 53,370,241 23,699,143 $150,448
</Table>
SPDR BARCLAYS CAPITAL MUNICIPAL BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional Tax
Free Money Market Fund...... 612,570 89,316,380 66,547,267 23,381,683 $65,017
</Table>
86
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
SPDR BARCLAYS CAPITAL CALIFORNIA MUNICIPAL BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional Tax
Free Money Market Fund...... 43,702 9,878,095 7,533,927 2,387,870 $9,082
</Table>
SPDR BARCLAYS CAPITAL NEW YORK MUNICIPAL BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional Tax
Free Money Market Fund...... 283,700 2,088,960 1,929,650 443,010 $3,617
</Table>
SPDR BARCLAYS CAPITAL SHORT TERM MUNICIPAL BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional Tax
Free Money Market Fund...... 6,086,569 108,130,606 96,091,429 18,125,746 $69,584
</Table>
SPDR DB INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 51,056 35,206,812 25,575,805 9,682,063 $ 8,663
State Street Navigator
Securities Lending Prime
Portfolio................... 1,449,068 2,524,316 3,973,384 0 $12,161
</Table>
SPDR BARCLAYS CAPITAL INTERNATIONAL TREASURY BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 18,968,224 103,399,427 86,367,097 36,000,554 $306,927
State Street Navigator
Securities Lending Prime
Portfolio................... 0 20,401,732 20,401,732 0 $ 10,260
</Table>
SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF
<Table>
<Caption>
NUMBER OF SHARES SHARES PURCHASED SHARES SOLD NUMBER OF INCOME EARNED
HELD AT FOR THE YEAR ENDED FOR THE YEAR ENDED SHARES HELD FOR THE YEAR ENDED
SECURITY DESCRIPTION 6/30/08 12/31/08 12/31/08 AT 12/31/08 12/31/08
- -------------------- ---------------- ------------------ ------------------ ----------- ------------------
State Street Institutional
Liquid Reserves Fund........ 6,684,245 296,842,465 217,223,431 86,303,279 $141,684
</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 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 Barclays Capital Aggregate Bond ETF, cash in lieu of TBA
positions. Transaction fees ranging from of $250 to $1,500 per Creation Unit for
each Fund regardless of the number of Creation Units that are created or
redeemed on the same day, are charged to those institutions creating or
redeeming Creation Units. An additional fee of up to three times these amounts
may be charged for certain transactions. Transaction Fees from certain Creation
Unit transactions are received by the Trust and/or Custodian and are used to
defray related expenses. These fees are shown as other capital on the Statement
of Changes in Net Assets. The Custodian also receives amounts earned on cash
collateral provided by Authorized Participants pending delivery of missing
deposit securities.
87
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (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, 2008 were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
SPDR Barclays Capital 1-3 Month T-Bill ETF...... $743,155,550 $ 71,318 $ 9,091 $ 62,227
SPDR Barclays Capital TIPS ETF.................. 186,541,642 2,660 9,797,852 (9,795,192)
SPDR Barclays Capital Intermediate Term Treasury
ETF........................................... 114,030,934 4,156,485 17,938 4,138,547
SPDR Barclays Capital Long Term Treasury ETF.... 28,195,397 3,616,614 -- 3,616,614
SPDR Barclays Capital Aggregate Bond ETF........ 260,060,687 5,706,177 1,718,897 3,987,280
SPDR Barclays Capital Municipal Bond ETF........ 369,719,415 3,117,156 8,854,231 (5,737,075)
SPDR Barclays Capital California Municipal Bond
ETF........................................... 26,537,588 145,775 1,366,211 (1,220,436)
SPDR Barclays Capital New York Municipal Bond
ETF........................................... 13,001,187 125,259 833,373 (708,114)
SPDR Barclays Capital Short Term Municipal Bond
ETF........................................... 254,897,324 3,155,526 175,712 2,979,814
SPDR DB International Government Inflation-
Protected Bond ETF............................ 226,181,059 529,459 38,775,408 (38,245,949)
SPDR Barclays Capital International Treasury
Bond ETF...................................... 879,741,895 40,249,081 38,031,335 2,217,746
SPDR Barclays Capital High Yield Bond ETF....... 841,934,168 2,488,150 162,973,788 (160,485,638)
</Table>
6. INVESTMENT TRANSACTIONS
For the six months ended December 31, 2008, the Trust had in-kind contributions
and in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
------------- -----------
SPDR Barclays Capital 1-3 Month T-Bill ETF...................... $522,792,638 $64,216,095
SPDR Barclays Capital TIPS ETF.................................. 60,212,492 9,494,144
SPDR Barclays Capital Intermediate Term Treasury ETF............ 56,399,593 11,643,803
SPDR Barclays Capital Long Term Treasury ETF.................... 11,128,439 --
SPDR Barclays Capital Aggregate Bond ETF........................ 25,130,249 --
SPDR Barclays Capital Municipal Bond ETF........................ 8,308,596 4,225,800
SPDR Barclays Capital California Municipal Bond ETF............. -- --
SPDR Barclays Capital New York Municipal Bond ETF............... -- --
SPDR Barclays Capital Short Term Municipal Bond ETF............. -- 4,201,330
SPDR DB International Government Inflation-Protected Bond ETF... -- --
SPDR Barclays Capital International Treasury Bond ETF........... -- --
SPDR Barclays Capital 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.
88
SPDR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
For the six months ended December 31, 2008, 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 Barclays Capital 1-3 Month T-
Bill ETF), as follows:
<Table>
<Caption>
U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES
------------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
-------------- -------------- ------------ ------------
SPDR Barclays Capital 1-3 Month T-Bill ETF.. $1,589,954,448 $1,593,617,780 $ -- $ --
SPDR Barclays Capital TIPS ETF.............. 16,623,127 9,338,510 -- --
SPDR Barclays Capital Intermediate Term
Treasury ETF.............................. 15,366,954 14,749,621 -- --
SPDR Barclays Capital Long Term Treasury
ETF....................................... 834,193 783,755 -- --
SPDR Barclays Capital Aggregate Bond ETF.... 523,042,338 497,013,357 74,799,833 77,037,173
SPDR Barclays Capital Municipal Bond ETF.... -- -- 93,955,964 6,052,826
SPDR Barclays Capital California Municipal
Bond ETF.................................. -- -- 10,177,391 3,262,372
SPDR Barclays Capital New York Municipal
Bond ETF.................................. -- -- 2,179,659 2,310,271
SPDR Barclays Capital Short Term Municipal
Bond ETF.................................. -- 127,968,408 3,011,662
SPDR DB International Government Inflation-
Protected Bond ETF........................ -- -- 135,423,023 98,295,980
SPDR Barclays Capital International Treasury
Bond ETF.................................. -- -- 360,776,337 222,376,922
SPDR Barclays Capital High Yield Bond ETF... -- -- 453,475,035 69,186,785
</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 instrument, it may be more
susceptible to any single economic, market, political or regulatory occurrence
affecting that industry, group of industries or type of instrument.
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. Proceeds collected by State Street on
investment cash collateral or any fee income is partially allocated to State
Street as compensation for its lending services.
The market value of securities on loan as of December 31, 2008 and the value of
the invested cash collateral are disclosed in the Statements of Assets and
Liabilities. Securities lending income, as disclosed in the Funds' Statements of
Operations, represents the income earned from the investment of cash collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as
lending agent.
89
SPDR SERIES TRUST
OTHER INFORMATION
DECEMBER 31, 2008 (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, 2008
and held for the six months ended December 31, 2008.
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>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
ACTUAL 7/1/08 12/31/08 7/1/08-12/31/08
- ------ ------------- ------------- ---------------
SPDR Barclays Capital 1-3 Month T-Bill ETF.......... $1,000 $1,007.20 $0.71
SPDR Barclays Capital TIPS ETF...................... 1,000 932.10 0.93
SPDR Barclays Capital Intermediate Term Treasury
ETF............................................... 1,000 1,088.40 0.74
SPDR Barclays Capital Long Term Treasury ETF........ 1,000 1,220.30 0.78
SPDR Barclays Capital Aggregate Bond ETF............ 1,000 1,056.00 0.67
SPDR Barclays Capital Municipal Bond ETF............ 1,000 1,001.50 1.01
SPDR Barclays Capital California Municipal Bond
ETF............................................... 1,000 972.20 0.99
SPDR Barclays Capital New York Municipal Bond ETF... 1,000 976.30 1.00
SPDR Barclays Capital Short Term Municipal Bond
ETF............................................... 1,000 1,035.30 1.03
SPDR DB International Government Inflation-Protected
Bond ETF.......................................... 1,000 808.20 2.28
SPDR Barclays Capital International Treasury Bond
ETF............................................... 1,000 993.80 2.51
SPDR Barclays Capital High Yield Bond ETF........... 1,000 722.70 1.74
</Table>
90
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD*
HYPOTHETICAL 7/1/08 12/31/08 7/1/08-12/31/08
- ------------ ------------- ------------- ---------------
SPDR Barclays Capital 1-3 Month T-Bill ETF.......... $1,000 $1,024.50 $0.71
SPDR Barclays Capital TIPS ETF...................... 1,000 1,024.25 0.97
SPDR Barclays Capital Intermediate Term Treasury
ETF............................................... 1,000 1,024.50 0.71
SPDR Barclays Capital Long Term Treasury ETF........ 1,000 1,024.50 0.71
SPDR Barclays Capital Aggregate Bond ETF............ 1,000 1,024.55 0.66
SPDR Barclays Capital Municipal Bond ETF............ 1,000 1,024.20 1.02
SPDR Barclays Capital California Municipal Bond
ETF............................................... 1,000 1,024.20 1.02
SPDR Barclays Capital New York Municipal Bond ETF... 1,000 1,024.20 1.02
SPDR Barclays Capital Short Term Municipal Bond
ETF............................................... 1,000 1,024.20 1.02
SPDR DB International Government Inflation-Protected
Bond ETF.......................................... 1,000 1,022.68 2.55
SPDR Barclays Capital International Treasury Bond
ETF............................................... 1,000 1,022.68 2.55
SPDR Barclays Capital High Yield Bond ETF........... 1,000 1,023.19 2.04
</Table>
* Expenses are equal to the Funds' net annualized expense ratios of 0.14%,
0.19%, 0.14%, 0.14%, 0.13%, 0.20%, 0.20%, 0.20%, 0.20%, 0.50%, 0.50%, and
0.40% respectively, multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period, then
divided by 365.
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 website of the Securities and Exchange Commission ("SEC")
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 SEC's website, at www.sec.gov, and on the
Funds' website at www.spdrs.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.spdrs.com.
APPROVAL OF INVESTMENT ADVISORY AGREEMENT
At an in-person meeting held on August 27, 2008 (the "Meeting"), the Board of
Trustees of the Trust (the "Board") evaluated the proposal to continue the
Investment Advisory Agreement (the "Agreement") between the Trust and SSgA Funds
Management, Inc. (the "Adviser") with respect to the fixed income series of the
Trust (each an "ETF", collectively, 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, Securities Lending Agent and
Custodian ("State Street"). In deciding whether to renew the Agreement, the
Board considered various factors, including (i) the nature, extent and quality
of the services provided by the Adviser under the Agreement, (ii) investment
performance of the 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
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 ETF in accordance with
91
SPDR SERIES TRUST
OTHER INFORMATION (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
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 the portfolio management and compliance of the ETFs. The Board
also considered the portfolio management resources, structures and practices,
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 Advisors, 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 considered the Adviser's experience in managing fixed income ETFs. The
Board then determined that the nature, extent and quality of the services
provided by the Adviser to the Trust were necessary and appropriate.
The Board then reviewed the ETFs' performance, noting that the distinctive
indexed investment objective of each of the ETFs made the analysis of investment
performance, in absolute terms, less of a priority than that which normally
attaches to the performance of actively-managed funds. The Board was more
concerned with the extent to which each ETF achieved its objective of providing
investment results that, before fees and expenses, correspond generally to the
price and yield performance of a specified index. The Board reviewed information
regarding the ETFs' index tracking and tracking error, noting that each ETF
satisfactorily tracked its benchmark index. The Board also reviewed the tax
efficiency of each ETF. The Board then determined that the performance of each
ETF was satisfactory.
The Board considered the profitability of the advisory arrangement with the ETFs
to the Adviser, including data on the 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 the profitability calculations
and determined that these methodologies were reasonable. The Board concluded
that, to the extent that the Adviser's relationship with the ETFs had been
profitable, profitability was not excessive.
The Board considered whether the Adviser or its affiliates benefited in other
ways from their relationship with the Trust, noting that the Adviser does not
maintain soft-dollar arrangements in connection with the Trust's brokerage
transactions. The Board concluded that, to the extent that the Adviser or its
affiliates derive other benefits from their 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 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 their direct competitors.
The Board's conclusions regarding the Agreement were as follows: (a) the nature
and extent of the services provided by the Adviser were appropriate; (b) the
performance and, more importantly, the index tracking, of each ETF had been
satisfactory; (c) the Adviser's fees for each ETF and the unitary fee,
considered in relation to the services 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) the fees paid to the Adviser adequately
shared the economies of scale with the ETFs.
92
THE SPDR 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 Global Titans ETF (DGT)
SPDR DJ Wilshire REIT ETF (RWR)
SPDR KBW Bank ETF (KBE)
SPDR KBW Capital Markets ETF (KCE)
SPDR KBW Insurance ETF (KIE)
SPDR 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)
SPDR KBW Regional Banking ETF (KRE)
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL)
SPDR Barclays Capital Short Term Municipal Bond ETF (SHM)
SPDR Barclays Capital Intermediate Term Treasury ETF (ITE)
SPDR Barclays Capital Long Term Treasury ETF (TLO)
SPDR Barclays Capital TIPS ETF (IPE)
SPDR Barclays Capital California Municipal Bond ETF (CXA)
SPDR Barclays Capital New York Municipal Bond ETF (INY)
SPDR Barclays Capital Municipal Bond ETF (TFI)
SPDR Barclays Capital Aggregate Bond ETF (LAG)
SPDR Barclays Capital International Treasury Bond ETF (BWX)
SPDR Barclays Capital High Yield Bond ETF (JNK)
SPDR DB International Government Inflation-Protected Bond ETF (WIP)
SPDR Barclays Capital Short Term International Treasury Bond ETF (BWZ)
SPDR Barclays Capital Mortgage Backed Bond ETF (MBG)
SPDR Barclays Capital Intermediate Term Credit Bond ETF (ITR)
Prior to December 19, 2008, the SPDR Barclays Capital ETFs were known as SPDR
Lehman ETFs, excluding SPDR Barclays Capital TIPS ETF.
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 S&P International Mid Cap ETF (MDD)
SPDR S&P Emerging Markets Small Cap ETF (EWX)
SPDR DJ Wilshire Global Real Estate ETF (RWO)
93
SPDR INDEX SHARES FUNDS (CONTINUED)
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)
SPDR S&P International Consumer Discretionary Sector ETF (IPD)
SPDR S&P International Consumer Staples Sector ETF (IPS)
SPDR S&P International Energy Sector ETF (IPW)
SPDR S&P International Financial Sector ETF (IPF)
SPDR S&P International Health Care Sector ETF (IRY)
SPDR S&P International Industrial Sector ETF (IPN)
SPDR S&P International Materials Sector ETF (IRV)
SPDR S&P International Technology Sector ETF (IPK)
SPDR S&P International Telecommunications Sector ETF (IST)
SPDR S&P International Utilities Sector ETF (IPU)
DIAMONDS TRUST, SERIES 1 (DIA)
SPDR TRUST, SERIES 1 (SPY)
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)
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.
94
(SPDR LOGO) 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
Ryan M. Louvar, 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 and SIPC.
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.SPDRS.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.
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 ETFs are 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 ETFs. Barclays Capital makes no representation regarding the
advisability of investing in the SPDR Barclays Capital ETFs or use of any
Barclays Index or any data included therein.
Barclays Capital is a trademark of Barclays Capital, the investment banking
division of Barclays Bank PLC ("Barclays Capital") and has been licensed for use
in connection with the listing and trading of the SPDR Barclays Capital ETFs.
The products are not sponsored by, endorsed, sold or promoted by Barclays
Capital and Barclays Capital makes no representation regarding the advisability
of investing in them.
"Deutsche Bank" and "DB Global Government ex-US Inflation-Linked Bond Capped
Index(SM)" are reprinted with permission. (C)Copyright 2008 Deutsche Bank AG.
All rights reserved. "Deutsche Bank" and DB Global Government ex-US
Inflation-Linked Bond Capped Index(SM) are service marks of Deutsche Bank AG and
have been licensed for use for certain purposes by State Street Global Advisors.
The SPDR DB International Government Inflation-Protected Bond is not sponsored,
endorsed, sold or promoted by Deutsche Bank AG. Deutsche Bank AG, as Index
Provider, makes no representation, express or implied, regarding the
advisability of investing in this product.
Please read the prospectus carefully before you invest or send money.
(C) 2009 State Street Corporation SPDR FISAR
For more complete information, please call 866.787.2257 or visit www.spdrs.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, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.4%
AEROSPACE & DEFENSE -- 2.3%
BE Aerospace, Inc. (a)........ 513 $ 3,945
Boeing Co. ................... 10,594 452,046
Ceradyne, Inc. (a)(b)......... 503 10,216
General Dynamics Corp. ....... 4,571 263,244
Goodrich Corp. ............... 2,840 105,137
Honeywell International,
Inc. ....................... 10,711 351,642
L-3 Communications Holdings,
Inc. ....................... 2,084 153,758
Lockheed Martin Corp. ........ 4,703 395,428
Northrop Grumman Corp. ....... 4,413 198,761
Precision Castparts Corp. .... 1,682 100,045
Raytheon Co. (b).............. 7,237 369,376
Rockwell Collins, Inc. ....... 3,301 129,036
Taser International, Inc.
(a)(b)...................... 942 4,974
United Technologies Corp.
(b)......................... 12,391 664,158
------------
3,201,766
------------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b)......................... 2,196 120,846
Expeditors International
Washington, Inc. ........... 5,217 173,570
FedEx Corp. (b)............... 4,332 277,898
Forward Air Corp. (b)......... 3,430 83,246
United Parcel Service, Inc.
(Class B)................... 8,372 461,799
------------
1,117,359
------------
AIRLINES -- 0.2%
AMR Corp. (a)(b).............. 4,847 51,718
Continental Airlines, Inc.
(Class B) (a)(b)............ 1,567 28,300
Delta Air Lines, Inc. (a)..... 8,927 102,303
JetBlue Airways Corp. (a)(b).. 5,048 35,841
Pinnacle Airlines Corp.
(a)(b)...................... 354 602
Southwest Airlines Co. (b).... 10,952 94,406
UAL Corp. (b)................. 1,666 18,359
------------
331,529
------------
AUTO COMPONENTS -- 0.2%
American Axle & Manufacturing
Holdings, Inc. (b).......... 998 2,884
BorgWarner, Inc. (b).......... 1,213 26,407
Gentex Corp. (b).............. 5,350 47,241
Johnson Controls, Inc. ....... 9,508 172,665
Lear Corp. (a)(b)............. 2,141 3,019
Modine Manufacturing Co. (b).. 3,164 15,409
Proliance International, Inc.
(a)(b)...................... 4,617 1,662
The Goodyear Tire & Rubber Co.
(a)(b)...................... 5,025 29,999
WABCO Holdings, Inc. ......... 984 15,537
------------
314,823
------------
AUTOMOBILES -- 0.1%
Ford Motor Co. (a)(b)......... 28,068 64,276
General Motors Corp. (b)...... 8,531 27,299
Harley-Davidson, Inc. (b)..... 4,417 74,956
Thor Industries, Inc. (b)..... 525 6,920
------------
173,451
------------
BEVERAGES -- 2.1%
Central European Distribution
Corp. (a)(b)................ 687 13,534
Coca-Cola Enterprises, Inc.
(b)......................... 5,732 68,956
Constellation Brands, Inc.
(Class A) (a)(b)............ 4,087 64,452
Dr. Pepper Snapple Group, Inc.
(a)......................... 2,228 36,205
Hansen Natural Corp. (a)...... 1,101 36,917
Molson Coors Brewing Co.
(Class B) (b)............... 1,238 60,563
PepsiCo, Inc. ................ 22,824 1,250,070
The Coca-Cola Co. ............ 30,271 1,370,368
The Pepsi Bottling Group,
Inc. ....................... 3,952 88,960
------------
2,990,025
------------
BIOTECHNOLOGY -- 2.6%
Acadia Pharmaceuticals, Inc.
(a)(b)...................... 382 344
Alexion Pharmaceuticals, Inc.
(a)(b)...................... 1,025 37,095
Alfacell Corp. (a)(b)......... 6,271 1,693
Amgen, Inc. (a)............... 15,575 899,456
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 2,053 22,275
AVI BioPharma, Inc. (a)(b).... 4,942 3,252
BioCryst Pharmaceuticals, Inc.
(a)(b)...................... 948 1,299
Biogen Idec, Inc. (a)......... 4,752 226,338
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 1,231 21,912
Celgene Corp. (a)............. 7,362 406,971
Cephalon, Inc. (a)(b)......... 2,233 172,030
Chelsea Therapeutics
International, Inc. (a)..... 6,846 9,174
Cubist Pharmaceuticals, Inc.
(a)(b)...................... 907 21,913
CV Therapeutics, Inc. (a)(b).. 298 2,745
Dynavax Technologies Corp.
(a)(b)...................... 2,660 2,234
Facet Biotech Corp. (a)....... 2,357 22,604
Genentech, Inc. (a)........... 6,739 558,731
Genzyme Corp. (a)............. 4,031 267,537
Gilead Sciences, Inc. (a)(b).. 14,778 755,747
Human Genome Sciences, Inc.
(a)(b)...................... 6,182 13,106
InterMune, Inc. (a)(b)........ 471 4,983
Isis Pharmaceuticals, Inc.
(a)(b)...................... 1,494 21,185
Isolagen, Inc. (a)(b)......... 11,600 2,204
Martek Biosciences Corp. (b).. 372 11,275
Medarex, Inc. (a)(b).......... 420 2,344
Myriad Genetics, Inc. (a)(b).. 504 33,395
Neurocrine Biosciences, Inc.
(a)(b)...................... 1,967 6,294
Novavax, Inc. (a)(b).......... 3,610 6,823
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 729 24,903
OSI Pharmaceuticals, Inc.
(a)(b)...................... 1,121 43,775
PDL BioPharma, Inc. (b)....... 1,978 12,224
Pharmasset, Inc. (a)(b)....... 372 4,877
SIGA Technologies, Inc.
(a)(b)...................... 7,983 26,104
StemCells, Inc. (a)(b)........ 5,374 7,309
Threshold Pharmaceuticals,
Inc. (a).................... 119 65
Vanda Pharmaceuticals, Inc.
(a)(b)...................... 289 147
Vertex Pharmaceuticals, Inc.
(a)(b)...................... 2,074 63,008
------------
3,717,371
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp. (b)............... 5,987 66,635
Quanex Building Products
Corp. ...................... 566 5,303
Simpson Manufacturing Co.,
Inc. (b).................... 518 14,380
USG Corp. (a)(b).............. 1,063 8,547
------------
94,865
------------
CAPITAL MARKETS -- 2.1%
Affiliated Managers Group,
Inc. (a)(b)................. 474 19,870
Ameriprise Financial, Inc. ... 3,131 73,140
BlackRock, Inc. (b)........... 164 22,001
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Diamond Hill Investment Group,
Inc. (a)(b)................. 124 $ 8,060
E*TRADE Financial Corp.
(a)(b)...................... 8,647 9,944
Eaton Vance Corp. (b)......... 1,422 29,876
Franklin Resources, Inc. (b).. 2,350 149,883
International Assets Holding
Corp. (a)................... 2,660 22,823
Invesco, Ltd. (b)............. 5,370 77,543
Janus Capital Group, Inc.
(b)......................... 6,249 50,179
Jefferies Group, Inc. (a)(b).. 1,689 23,747
KBW, Inc. (a)(b).............. 780 17,940
Legg Mason, Inc. (b).......... 2,775 60,800
Merrill Lynch & Co., Inc. .... 17,633 205,248
Morgan Stanley................ 14,924 239,381
Northern Trust Corp. ......... 3,562 185,723
Raymond James Financial, Inc.
(b)......................... 1,250 21,413
SEI Investments Co. (b)....... 5,658 88,887
State Street Corp. (c)........ 6,037 237,435
T. Rowe Price Group, Inc.
(b)......................... 3,432 121,630
TD Ameritrade Holding Corp.
(a)......................... 3,995 56,929
The Bank of New York Mellon
Corp. ...................... 16,699 473,083
The Charles Schwab Corp. ..... 15,569 251,751
The Goldman Sachs Group,
Inc. ....................... 5,958 502,796
Waddell & Reed Financial, Inc.
(Class A) (b)............... 4,440 68,642
------------
3,018,724
------------
CHEMICALS -- 1.7%
Air Products & Chemicals, Inc.
(b)......................... 3,457 173,784
Airgas, Inc. ................. 779 30,373
Ashland, Inc. ................ 1,618 17,005
Cabot Corp. (b)............... 763 11,674
Celanese Corp. (Series A)
(b)......................... 1,724 21,429
CF Industries Holdings, Inc.
(b)......................... 473 23,253
Chemtura Corp. (b)............ 4,823 6,752
E. I. du Pont de Nemours &
Co. ........................ 13,471 340,816
Eastman Chemical Co. (b)...... 2,010 63,737
Ecolab, Inc. (b).............. 4,109 144,431
FMC Corp. (b)................. 821 36,723
Monsanto Co. ................. 8,278 582,357
Nalco Holding Co. ............ 1,146 13,225
PPG Industries, Inc. ......... 2,911 123,514
Praxair, Inc. ................ 5,267 312,649
Rohm & Haas Co. .............. 2,972 183,640
Sigma-Aldrich Corp. (b)....... 1,382 58,376
Terra Industries, Inc. ....... 1,551 25,855
The Dow Chemical Co. (b)...... 13,462 203,142
The Mosaic Co. ............... 2,167 74,978
------------
2,447,713
------------
COMMERCIAL BANKS -- 3.6%
Arrow Financial Corp. (b)..... 4,096 102,973
Bank of Hawaii Corp. (b)...... 763 34,465
BB&T Corp. (b)................ 7,189 197,410
Capitol Bancorp, Ltd. (b)..... 2,919 22,768
Cathay General Bancorp (b).... 566 13,443
Centerstate Banks of Florida,
Inc. ....................... 2,170 36,868
Citizens Republic Bancorp,
Inc. (b).................... 4,279 12,751
Columbia Banking System, Inc.
(b)......................... 4,162 49,653
Comerica, Inc. ............... 1,166 23,145
CVB Financial Corp. (b)....... 8,139 96,854
F.N.B. Corp. (b).............. 7,817 103,184
Farmers Capital Bank Corp.
(b)......................... 1,922 46,935
Fifth Third Bancorp (b)....... 6,530 53,938
First Bancorp- North Carolina
(b)......................... 2,445 44,866
First Commonwealth Financial
Corp. (b)................... 9,907 122,649
First Horizon National Corp.
(a)(b)...................... 3,237 34,217
First Merchants Corp. (b)..... 4,678 103,898
Horizon Financial Corp. (b)... 3,392 16,078
Huntington Bancshares, Inc.
(b)......................... 5,043 38,629
Independent Bank Corp.-
Massachusetts (b)........... 3,232 84,549
Integra Bank Corp. (b)........ 3,050 4,179
International Bancshares
Corp. ...................... 838 18,294
Keycorp....................... 5,402 46,025
Lakeland Financial Corp. (b).. 5,670 135,059
M&T Bank Corp. (b)............ 1,146 65,792
Marshall & Ilsley Corp. (b)... 3,173 43,280
National City Corp. (b)....... 7,637 13,823
National Penn Bancshares, Inc.
(b)......................... 6,440 93,444
Old National Bancorp (b)...... 948 17,216
PacWest Bancorp (b)........... 1,748 47,021
PNC Financial Services Group,
Inc. ....................... 4,679 229,271
Popular, Inc. (b)............. 3,425 17,673
Regions Financial Corp. (b)... 11,339 90,258
Renasant Corp. (b)............ 5,451 92,831
Sandy Spring Bancorp, Inc.
(b)......................... 3,274 71,471
Simmons First National Corp.
(b)......................... 3,551 104,648
StellarOne Corp. (b).......... 6,632 112,081
SunTrust Banks, Inc. (b)...... 4,340 128,204
Susquehanna Bancshares, Inc.
(b)......................... 5,734 91,228
Synovus Financial Corp. (b)... 1,382 11,471
The Colonial BancGroup, Inc.
(b)......................... 1,832 3,792
Trustmark Corp. (b)........... 689 14,876
U.S. Bancorp (b).............. 23,387 584,909
UCBH Holdings, Inc. (b)....... 4,840 33,299
Umpqua Holdings Corp. (b)..... 4,985 72,133
United Bankshares, Inc. (b)... 518 17,208
United Community Banks, Inc.
(b)......................... 3,585 48,683
Wachovia Corp. ............... 26,907 149,065
Wells Fargo & Co. ............ 49,367 1,455,339
Zions Bancorp (b)............. 763 18,701
------------
5,070,547
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.7%
ACCO Brands Corp. (a)(b)...... 568 1,960
Avery Dennison Corp. (b)...... 2,332 76,326
Cintas Corp. (b).............. 3,200 74,336
Courier Corp. (b)............. 2,767 49,529
Covanta Holding Corp. (a)(b).. 1,872 41,109
Ennis, Inc. (b)............... 5,502 66,629
Herman Miller, Inc. (b)....... 3,008 39,194
Iron Mountain, Inc. (a)(b).... 4,696 116,132
Kimball International, Inc.
(Class B) (b)............... 5,494 47,303
Pitney Bowes, Inc. ........... 3,858 98,302
R.R. Donnelley & Sons Co. .... 4,892 66,433
Republic Services, Inc. ...... 2,060 51,068
Waste Connections, Inc. (a)... 777 24,530
Waste Management, Inc. ....... 8,432 279,437
------------
1,032,288
------------
COMMUNICATIONS EQUIPMENT -- 2.3%
3Com Corp. (a)(b)............. 18,176 41,441
ADC Telecommunications, Inc.
(a)(b)...................... 3,548 19,408
Arris Group, Inc. (a)(b)...... 733 5,827
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Avocent Corp. (a)(b).......... 763 $ 13,665
Brocade Communications
Systems, Inc. (a)........... 3,425 9,590
CIENA Corp. (a)(b)............ 3,416 22,887
Cisco Systems, Inc. (a)....... 87,668 1,428,988
CommScope, Inc. (a)(b)........ 1,165 18,104
Comtech Telecommunications
Corp. (a)(b)................ 91 4,170
Corning, Inc. ................ 22,871 217,961
Digital Angel Corp. (a)....... 1,533 767
EchoStar Corp. (Class A)
(a)(b)...................... 947 14,082
F5 Networks, Inc. (a)(b)...... 1,295 29,604
Finisar Corp. (a)(b).......... 5,706 2,168
Harmonic, Inc. (a)............ 2,186 12,263
Harris Corp. ................. 3,275 124,614
InterDigital, Inc. (a)(b)..... 372 10,230
JDS Uniphase Corp. (a)(b)..... 4,903 17,896
Juniper Networks, Inc.
(a)(b)...................... 9,881 173,016
Motorola, Inc. (b)............ 34,164 151,347
MRV Communications, Inc. (a).. 6,655 5,124
Occam Networks, Inc. (a)(b)... 1,326 3,182
Phazar Corp. (a).............. 1,328 2,776
Plantronics, Inc. (b)......... 763 10,072
Polycom, Inc. (a)............. 1,679 22,683
Proxim Wireless Corp. (a)..... 10,269 2,054
QUALCOMM, Inc. (b)............ 23,819 853,435
Relm Wireless Corp. (a)....... 182 131
Tellabs, Inc. (a)............. 9,752 40,178
------------
3,257,663
------------
COMPUTERS & PERIPHERALS -- 3.7%
Apple, Inc. (a)(b)............ 12,930 1,103,575
Avid Technology, Inc. (a)(b).. 1,277 13,932
Dell, Inc. (a)................ 27,067 277,166
EMC Corp. (a)................. 35,491 371,591
Hewlett-Packard Co. .......... 35,688 1,295,118
Icad, Inc. (a)(b)............. 6,847 7,532
International Business
Machines Corp. ............. 19,440 1,636,070
Interphase Corp. (a)(b)....... 1,529 2,538
Lexmark International, Inc.
(Class A) (a)(b)............ 1,617 43,497
NCR Corp. (a)................. 3,560 50,338
NetApp, Inc. (a).............. 6,227 86,991
Novatel Wireless, Inc.
(a)(b)...................... 1,415 6,566
Palm, Inc. (a)(b)............. 1,146 3,518
QLogic Corp. (a)(b)........... 4,543 61,058
SanDisk Corp. (a)(b).......... 5,397 51,811
Seagate Technology (b)........ 7,748 34,324
Sun Microsystems, Inc. (a).... 12,817 48,961
Teradata Corp. (a)............ 3,252 48,227
Western Digital Corp. (a)(b).. 4,539 51,972
------------
5,194,785
------------
CONSTRUCTION & ENGINEERING -- 0.4%
EMCOR Group, Inc. (a)......... 764 17,136
Fluor Corp. .................. 3,518 157,853
Foster Wheeler, Ltd. (a)...... 2,399 56,089
Jacobs Engineering Group, Inc.
(a)(b)...................... 3,525 169,552
KBR, Inc. (b)................. 2,186 33,227
Quanta Services, Inc. (a)(b).. 2,642 52,312
The Shaw Group, Inc. (a)...... 1,372 28,085
URS Corp. (a)(b).............. 1,023 41,708
------------
555,962
------------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. (b)..... 566 10,420
Headwaters, Inc. (a)(b)....... 566 3,821
Martin Marietta Materials,
Inc. (b).................... 902 87,566
Vulcan Materials Co. (b)...... 1,786 124,270
------------
226,077
------------
CONSUMER FINANCE -- 0.5%
American Express Co. (b)...... 15,348 284,706
AmeriCredit Corp. (a)(b)...... 3,575 27,313
Capital One Financial Corp.
(b)......................... 5,680 181,135
Discover Financial Services... 6,979 66,510
SLM Corp. (a)(b).............. 8,066 71,787
The First Marblehead Corp.
(a)(b)...................... 372 480
------------
631,931
------------
CONTAINERS & PACKAGING -- 0.3%
Crown Holdings, Inc. (a)...... 4,672 89,703
Myers Industries, Inc. (b).... 518 4,144
Owens-Illinois, Inc. (a)...... 3,678 100,520
Pactiv Corp. (a)(b)........... 4,497 111,885
Sealed Air Corp. (b).......... 4,448 66,453
Smurfit-Stone Container Corp.
(a)......................... 6,883 1,755
Temple-Inland, Inc. (b)....... 2,219 10,651
------------
385,111
------------
DISTRIBUTORS -- 0.0% (d)
Genuine Parts Co. ............ 948 35,892
LKQ Corp. (a)(b).............. 2,267 26,433
------------
62,325
------------
DIVERSIFIED CONSUMER SERVICES -- 0.5%
Apollo Group, Inc. (a)........ 2,566 196,607
Career Education Corp.
(a)(b)...................... 2,487 44,617
Corinthian Colleges, Inc.
(a)(b)...................... 1,910 31,267
DeVry, Inc. .................. 867 49,774
H&R Block, Inc. (b)........... 4,850 110,192
ITT Educational Services, Inc.
(a)(b)...................... 1,579 149,973
Service Corp. International... 10,336 51,370
Sotheby's (b)................. 1,042 9,263
Strayer Education, Inc. (b)... 172 36,879
------------
679,942
------------
DIVERSIFIED FINANCIAL SERVICES -- 2.7%
Bank of America Corp. ........ 71,295 1,003,834
CIT Group, Inc. (b)........... 4,285 19,454
Citigroup, Inc. .............. 76,814 515,422
CME Group, Inc. .............. 1,028 213,937
Intercontinental Exchange,
Inc. (a).................... 1,248 102,885
JPMorgan Chase & Co. ......... 49,065 1,547,019
Leucadia National Corp. (a)... 4,517 89,437
Medallion Financial Corp.
(b)......................... 984 7,508
Moody's Corp. (b)............. 4,339 87,170
NYSE Euronext (b)............. 4,615 126,359
PHH Corp. (a)................. 1,029 13,099
The Nasdaq OMX Group, Inc.
(a)(b)...................... 2,610 64,493
------------
3,790,617
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.0%
AT&T, Inc. ................... 84,787 2,416,430
Cbeyond, Inc. (a)(b).......... 40 639
CenturyTel, Inc. (b).......... 1,712 46,789
Cogent Communications Group,
Inc. (a)(b)................. 2,660 17,370
Embarq Corp. ................. 1,881 67,641
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
FairPoint Communications, Inc.
(b)......................... 715 $ 2,345
Fibernet Telecom Group, Inc.
(a)(b)...................... 4,186 43,953
Frontier Communications Corp.
(b)......................... 9,163 80,085
GigOptix, Inc. (a)(b)......... 765 765
Level 3 Communications, Inc.
(a)(b)...................... 13,318 9,323
Qwest Communications
International, Inc. (b)..... 29,973 109,102
SureWest Communications (b)... 2,708 30,925
tw telecom, inc. (a)(b)....... 1,452 12,298
Verizon Communications,
Inc. ....................... 40,236 1,364,000
Windstream Corp. (b).......... 4,276 39,339
------------
4,241,004
------------
ELECTRIC UTILITIES -- 2.3%
Allegheny Energy, Inc. ....... 3,738 126,569
American Electric Power Co.,
Inc. (b).................... 6,302 209,731
Brookfield Infrastructure
Partners LP (b)............. 1,880 21,056
Central Vermont Public Service
Corp. (b)................... 5,176 123,499
DPL, Inc. .................... 124 2,832
Duke Energy Corp. (b)......... 15,722 235,987
Edison International.......... 5,125 164,615
Entergy Corp. ................ 2,748 228,441
Exelon Corp. ................. 9,770 543,310
FirstEnergy Corp. ............ 4,753 230,901
FPL Group, Inc. .............. 5,459 274,751
Maine & Maritimes Corp. ...... 124 4,817
MGE Energy, Inc. ............. 3,205 105,765
Northeast Utilities........... 1,412 33,973
Pepco Holdings, Inc. ......... 6,356 112,883
Pinnacle West Capital Corp. .. 310 9,960
PPL Corp. .................... 6,690 205,316
Progress Energy, Inc. ........ 2,887 115,047
The Southern Co. (b).......... 11,130 411,810
Unitil Corp. (b).............. 2,401 49,581
------------
3,210,844
------------
ELECTRICAL EQUIPMENT -- 0.7%
BTU International, Inc.
(a)(b)...................... 382 1,528
Capstone Turbine Corp.
(a)(b)...................... 7,983 6,706
Cooper Industries, Ltd. (Class
A) (b)...................... 3,930 114,874
Emerson Electric Co. ......... 11,513 421,491
Energy Conversion Devices,
Inc. (a)(b)................. 824 20,773
Evergreen Solar, Inc. (a)(b).. 860 2,743
First Solar, Inc. (a)(b)...... 650 89,674
GrafTech International, Ltd.
(a)......................... 2,105 17,514
Hubbell, Inc. (Class B) (b)... 2,134 69,739
PowerSecure International,
Inc. (a)(b)................. 3,045 10,018
Rockwell Automation, Inc. .... 2,919 94,108
Roper Industries, Inc. (b).... 2,495 108,308
SunPower Corp. (Class A)
(a)(b)...................... 1,076 39,812
------------
997,288
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6%
Agilent Technologies, Inc.
(a)......................... 6,554 102,439
American Technology Corp.
(a)(b)...................... 3,994 3,395
Amphenol Corp. (Class A)...... 4,411 105,776
Arrow Electronics, Inc. (a)... 3,472 65,412
Avnet, Inc. (a)............... 3,994 72,731
Benchmark Electronics, Inc.
(a)......................... 338 4,316
Dolby Laboratories, Inc.
(Class A) (a)(b)............ 954 31,253
FLIR Systems, Inc. (a)(b)..... 1,836 56,328
Itron, Inc. (a)(b)............ 557 35,503
Jabil Circuit, Inc. .......... 3,824 25,812
L-1 Identity Solutions, Inc.
(a)(b)...................... 2,217 14,943
Lightpath Technologies, Inc.
(a)(b)...................... 7,796 6,003
Mechanical Technology, Inc.
(a)(b)...................... 764 894
Molex, Inc. (b)............... 3,727 54,004
National Instruments Corp.
(b)......................... 763 18,587
RAE Systems, Inc. (a)......... 4,371 2,448
Sanmina-SCI Corp. (a)......... 14,254 6,699
Superconductor Technologies,
Inc. (a).................... 172 174
Tech Data Corp. (a)........... 336 5,994
Trimble Navigation, Ltd.
(a)(b)...................... 3,659 79,071
Tyco Electronics, Ltd. ....... 6,458 104,684
Vishay Intertechnology, Inc.
(a)(b)...................... 5,569 19,046
------------
815,512
------------
ENERGY EQUIPMENT & SERVICES -- 1.7%
Baker Hughes, Inc. (b)........ 4,536 145,470
BJ Services Co. .............. 5,433 63,403
Bronco Drilling Co., Inc.
(a)(b)...................... 439 2,836
Cal Dive International, Inc.
(a)(b)...................... 341 2,220
Cameron International Corp.
(a)(b)...................... 3,301 67,671
Diamond Offshore Drilling,
Inc. (b).................... 763 44,971
ENSCO International, Inc.
(b)......................... 3,287 93,318
Exterran Holdings, Inc.
(a)(b)...................... 382 8,137
FMC Technologies, Inc.
(a)(b)...................... 2,008 47,851
Global Industries, Ltd.
(a)(b)...................... 386 1,347
Halliburton Co. .............. 14,817 269,373
Helmerich & Payne, Inc. (b)... 1,146 26,072
IHS, Inc. (Class A) (a)(b).... 726 27,167
Matrix Service Co. (a)(b)..... 288 2,209
Nabors Industries, Ltd.
(a)(b)...................... 5,198 62,220
National-Oilwell Varco, Inc.
(a)......................... 7,929 193,785
Noble Corp. (b)............... 4,883 107,865
Omni Energy Services Corp.
(a)......................... 7,601 9,045
Patterson-UTI Energy, Inc.
(b)......................... 4,085 47,018
Precision Drilling Trust...... 1,566 13,139
Pride International, Inc.
(a)(b)...................... 2,094 33,462
Rowan Cos., Inc. (b).......... 3,412 54,251
Schlumberger, Ltd. ........... 17,280 731,462
Smith International, Inc.
(b)......................... 2,814 64,412
Superior Energy Services, Inc.
(a)......................... 4,358 69,423
TGC Industries, Inc. (a)...... 5,166 10,694
Tidewater, Inc. (b)........... 689 27,746
Weatherford International,
Ltd. (a)(b)................. 8,753 94,707
------------
2,321,274
------------
FOOD & STAPLES RETAILING -- 2.8%
Costco Wholesale Corp. ....... 7,125 374,062
CVS Caremark Corp. ........... 21,832 627,452
Safeway, Inc. (b)............. 7,275 172,927
SUPERVALU, Inc. (b)........... 4,001 58,414
Sysco Corp. (b)............... 9,613 220,522
The Kroger Co. (b)............ 8,843 233,544
Wal-Mart Stores, Inc. ........ 32,598 1,827,444
Walgreen Co. (b).............. 13,362 329,640
Whole Foods Market, Inc. (b).. 1,915 18,078
------------
3,862,083
------------
FOOD PRODUCTS -- 1.8%
Archer-Daniels-Midland Co.
(b)......................... 10,145 292,480
Bunge, Ltd. (b)............... 2,296 118,864
Campbell Soup Co. (b)......... 4,915 147,499
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ConAgra Foods, Inc. (b)....... 8,867 $ 146,305
Dean Foods Co. (a)(b)......... 3,486 62,643
Del Monte Foods Co. .......... 9,245 66,009
Flowers Foods, Inc. (b)....... 3,426 83,457
General Mills, Inc. .......... 5,393 327,625
H.J. Heinz Co. (b)............ 5,716 214,922
Kellogg Co. .................. 2,970 130,235
Kraft Foods, Inc. (b)......... 20,952 562,561
McCormick & Co., Inc. (b)..... 1,712 54,544
Sanderson Farms, Inc. (b)..... 178 6,152
Sara Lee Corp. ............... 12,668 124,020
Smithfield Foods, Inc.
(a)(b)...................... 1,769 24,890
The Hershey Co. (b)........... 2,686 93,312
The J.M. Smucker Co. (b)...... 821 35,599
TreeHouse Foods, Inc. (a)(b).. 638 17,379
Tyson Foods, Inc. (Class A)
(b)......................... 5,736 50,247
------------
2,558,743
------------
GAS UTILITIES -- 0.1%
Chesapeake Utilities Corp.
(b)......................... 3,657 115,122
Delta Natural Gas Co., Inc. .. 248 6,014
Energy West, Inc. ............ 490 4,048
Questar Corp. (b)............. 2,184 71,395
RGC Resources, Inc. .......... 124 3,162
------------
199,741
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2%
ABIOMED, Inc. (a)(b).......... 1,799 29,540
Advanced Medical Optics, Inc.
(a)(b)...................... 2,105 13,914
Align Technology, Inc.
(a)(b)...................... 313 2,739
American Medical Systems
Holdings, Inc. (a)(b)....... 178 1,600
Angeion Corp. (a)(b).......... 3,230 9,690
Baxter International, Inc. ... 9,338 500,423
Becton, Dickinson & Co. ...... 3,753 256,668
Boston Scientific Corp. (a)... 16,762 129,738
Bovie Medical Corp. (a)(b).... 1,232 7,626
C.R. Bard, Inc. (b)........... 1,964 165,487
Cambridge Heart, Inc. (a)(b).. 12,349 938
Covidien, Ltd. ............... 7,198 260,855
Daxor Corp. .................. 124 1,910
DENTSPLY International, Inc.
(b)......................... 1,540 43,490
Edwards Lifesciences Corp.
(a)(b)...................... 2,049 112,593
ev3, Inc. (a)(b).............. 2,606 15,897
Gen-Probe, Inc. (a)........... 720 30,845
Hologic, Inc. (a)(b).......... 6,403 83,687
Hospira, Inc. (a)............. 3,287 88,157
Immucor, Inc. (a)............. 1,084 28,813
Insite Vision, Inc. (a)(b).... 4,557 866
Intuitive Surgical, Inc.
(a)(b)...................... 517 65,654
Inverness Medical Innovations,
Inc. (a)(b)................. 1,413 26,720
Kinetic Concepts, Inc.
(a)(b)...................... 1,363 26,142
MAKO Surgical Corp. (a)(b).... 612 4,088
Masimo Corp. (a)(b)........... 901 26,877
Medtronic, Inc. .............. 16,148 507,370
Mentor Corp. ................. 1,345 41,601
NuVasive, Inc. (a)(b)......... 676 23,423
ResMed, Inc. (a)(b)........... 908 34,032
St. Jude Medical, Inc. (a).... 5,389 177,621
Stryker Corp. (b)............. 4,000 159,800
Thoratec Corp. (a)(b)......... 1,062 34,504
Varian Medical Systems, Inc.
(a)......................... 2,737 95,904
Vascular Solutions, Inc.
(a)(b)...................... 1,108 9,994
Volcano Corp. (a)............. 137 2,055
Zimmer Holdings, Inc. (a)..... 3,342 135,084
------------
3,156,345
------------
HEALTH CARE PROVIDERS & SERVICES -- 2.3%
Aetna, Inc. .................. 6,681 190,408
Almost Family, Inc. (a)(b).... 124 5,578
Amedisys, Inc. (a)(b)......... 515 21,290
AmerisourceBergen Corp. ...... 4,157 148,239
Cardinal Health, Inc. (b)..... 6,522 224,813
CIGNA Corp. .................. 5,632 94,899
Coventry Health Care, Inc.
(a)(b)...................... 2,866 42,646
DaVita, Inc. (a).............. 2,149 106,526
Dialysis Corp. of America
(a)......................... 372 2,604
Express Scripts, Inc. (Class
A) (a)...................... 3,904 214,642
Health Management Associates,
Inc. (Class A) (a)(b)....... 4,418 7,908
Health Net, Inc. (a)(b)....... 2,876 31,320
Healthsouth Corp. (a)(b)...... 372 4,077
Healthways, Inc. (a).......... 382 4,385
Henry Schein, Inc. (a)(b)..... 2,544 93,339
Humana, Inc. (a).............. 3,002 111,915
Laboratory Corp. of America
Holdings (a)(b)............. 2,553 164,439
Lincare Holdings, Inc. (a).... 2,360 63,555
McKesson Corp. (b)............ 4,715 182,612
Medco Health Solutions, Inc.
(a)......................... 8,700 364,617
Omnicare, Inc. (b)............ 2,477 68,762
Patterson Cos., Inc. (a)(b)... 2,479 46,481
PharMerica Corp. (a)(b)....... 346 5,422
PSS World Medical, Inc.
(a)(b)...................... 248 4,667
Psychiatric Solutions, Inc.
(a)(b)...................... 566 15,763
Quest Diagnostics, Inc. (b)... 2,016 104,651
Tenet Healthcare Corp. (a).... 9,041 10,397
UnitedHealth Group, Inc. ..... 18,059 480,369
VCA Antech, Inc. (a)(b)....... 2,614 51,966
WellCare Health Plans, Inc.
(a)......................... 336 4,321
WellPoint, Inc. (a)........... 8,092 340,916
------------
3,213,527
------------
HEALTH CARE TECHNOLOGY -- 0.1%
HLTH Corp. (a)(b)............. 2,228 23,305
IMS Health, Inc. ............. 5,272 79,924
Phase Forward, Inc. (a)....... 1,456 18,229
Transcend Services, Inc.
(a)(b)...................... 372 3,649
------------
125,107
------------
HOTELS, RESTAURANTS & LEISURE -- 1.7%
Bob Evans Farms, Inc. (b)..... 4,322 88,298
Brinker International, Inc. .. 1,574 16,590
Carnival Corp. ............... 6,288 152,924
Darden Restaurants, Inc. (b).. 3,254 91,698
Gaylord Entertainment Co.
(a)(b)...................... 566 6,135
International Game Technology
(b)......................... 6,060 72,053
Interval Leisure Group, Inc.
(a)......................... 850 4,581
Las Vegas Sands Corp. (a)(b).. 1,880 11,148
Marriott International, Inc.
(Class A)................... 5,809 112,985
McDonald's Corp. ............. 16,189 1,006,794
MGM Mirage, Inc. (a)(b)....... 2,276 31,318
Orient-Express Hotels, Ltd.
(Class A) (b)............... 416 3,187
Panera Bread Co. (Class A)
(a)(b)...................... 382 19,956
Penn National Gaming, Inc.
(a)......................... 1,276 27,281
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ruby Tuesday, Inc. (a)(b)..... 948 $ 1,479
Scientific Games Corp. (Class
A) (a)(b)................... 3,011 52,813
Starbucks Corp. (a)(b)........ 11,019 104,240
Starwood Hotels & Resorts
Worldwide, Inc. (b)......... 3,348 59,929
The Cheesecake Factory, Inc.
(a)(b)...................... 3,225 32,572
The Steak n Shake Co. (a)(b).. 3,983 23,699
Wendy's/Arby's Group, Inc. ... 8,854 43,739
Wyndham Worldwide Corp. (b)... 2,952 19,336
Wynn Resorts, Ltd. (a)(b)..... 1,638 69,222
Yum! Brands, Inc. ............ 8,558 269,577
------------
2,321,554
------------
HOUSEHOLD DURABLES -- 0.6%
American Greetings Corp.
(Class A) (b)............... 3,158 23,906
Bassett Furniture Industries,
Inc. (b).................... 5,066 16,971
Beazer Homes USA, Inc.
(a)(b)...................... 1,383 2,185
Centex Corp. (b).............. 5,329 56,701
D.R. Horton, Inc. (b)......... 5,390 38,107
Fortune Brands, Inc. ......... 2,263 93,417
Garmin, Ltd. (b).............. 2,084 39,950
Handheld Entertainment, Inc.
(a)......................... 518 14
Harman International
Industries, Inc. (b)........ 1,363 22,803
Hovnanian Enterprises, Inc.
(a)(b)...................... 592 1,018
Jarden Corp. (a)(b)........... 80 920
KB HOME (b)................... 3,189 43,434
Leggett & Platt, Inc. (b)..... 4,324 65,682
Lennar Corp. (Class A) (b).... 3,520 30,518
Mohawk Industries, Inc.
(a)(b)...................... 763 32,786
National Presto Industries,
Inc. (b).................... 676 52,052
Newell Rubbermaid, Inc. ...... 5,917 57,868
NVR, Inc. (a)(b).............. 129 58,856
Pulte Homes, Inc. (b)......... 6,247 68,280
Ryland Group, Inc. (b)........ 1,235 21,823
The Black & Decker Corp. (b).. 1,517 63,426
Toll Brothers, Inc. (a)(b).... 2,491 53,382
Whirlpool Corp. (b)........... 1,365 56,443
------------
900,542
------------
HOUSEHOLD PRODUCTS -- 2.7%
Church & Dwight Co., Inc.
(b)......................... 2,673 150,009
Colgate-Palmolive Co. ........ 7,421 508,635
Energizer Holdings, Inc.
(a)(b)...................... 1,793 97,073
Kimberly-Clark Corp. ......... 6,023 317,653
Procter & Gamble Co. (b)...... 42,101 2,602,684
The Clorox Co. ............... 2,020 112,231
------------
3,788,285
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
AMEN Properties, Inc. (a)(b).. 372 1,674
Calpine Corp. (a)(b).......... 2,556 18,608
Constellation Energy Group,
Inc. (b).................... 3,058 76,725
Mirant Corp. (a).............. 3,787 71,461
NRG Energy, Inc. (a)(b)....... 5,261 122,739
Reliant Energy, Inc. (a)...... 7,695 44,477
The AES Corp. (a)............. 11,054 91,085
------------
426,769
------------
INDUSTRIAL CONGLOMERATES -- 2.2%
3M Co. (b).................... 9,438 543,062
General Electric Co. ......... 142,485 2,308,257
McDermott International, Inc.
(a)(b)...................... 4,423 43,699
Textron, Inc. ................ 3,957 54,884
Tyco International, Ltd. (b).. 6,676 144,202
------------
3,094,104
------------
INSURANCE -- 3.9%
AFLAC, Inc. .................. 6,766 310,153
AMBAC Financial Group, Inc.
(b)......................... 2,084 2,709
American International Group,
Inc. (b).................... 32,442 50,934
American Physicians Service
Group, Inc. ................ 1,801 38,739
AON Corp. .................... 5,242 239,455
Arthur J. Gallagher & Co.
(b)......................... 490 12,696
Assurant, Inc. ............... 3,435 103,050
Berkshire Hathaway, Inc.
(Class A) (a)(b)............ 14 1,352,400
Chubb Corp. .................. 5,796 295,596
Cincinnati Financial Corp.
(b)......................... 2,146 62,384
Crawford & Co. (Class B)
(a)(b)...................... 490 7,125
Donegal Group, Inc. (Class A)
(b)......................... 2,092 35,083
Eastern Insurance Holdings,
Inc. ....................... 984 7,902
Everest Re Group, Ltd. ....... 910 69,287
Fidelity National Financial,
Inc. (Class A) (b).......... 4,258 75,579
Genworth Financial, Inc.
(Class A) (b)............... 5,183 14,668
Hartford Financial Services
Group, Inc. ................ 4,174 68,537
IPC Holdings, Ltd. ........... 1,655 49,484
Lincoln National Corp. (b).... 4,071 76,698
Loews Corp. .................. 7,363 208,005
Marsh & McLennan Cos., Inc. .. 7,095 172,196
MBIA, Inc. (a)(b)............. 2,621 10,667
Mercer Insurance Group,
Inc. ....................... 372 4,702
MetLife, Inc. (b)............. 6,381 222,442
Nationwide Financial Services,
Inc. (Class A) (b).......... 514 26,836
NYMAGIC, Inc. (b)............. 1,701 32,404
Old Republic International
Corp. (b)................... 2,408 28,703
PartnerRe, Ltd. .............. 303 21,595
PMA Capital Corp. (a)......... 3,499 24,773
Principal Financial Group,
Inc. (b).................... 4,770 107,659
ProAssurance Corp. (a)........ 2,090 110,310
Prudential Financial, Inc. ... 6,193 187,400
Reinsurance Group of America,
Inc. ....................... 856 36,654
RenaissanceRe Holdings,
Ltd. ....................... 1,044 53,829
SeaBright Insurance Holdings,
Inc. (a)(b)................. 2,443 28,681
Selective Insurance Group,
Inc. ....................... 4,652 106,670
The Allstate Corp. ........... 9,381 307,322
The Hanover Insurance Group,
Inc. ....................... 1,707 73,350
The Phoenix Cos., Inc. (b).... 6,906 22,583
The Progressive Corp. ........ 9,653 142,961
The Travelers Cos., Inc. ..... 9,272 419,094
Torchmark Corp. (b)........... 689 30,798
Transatlantic Holdings, Inc.
(b)......................... 346 13,861
Unico American Corp. (a)(b)... 4,715 41,539
Unum Group.................... 6,593 122,630
WR Berkley Corp. ............. 1,360 42,160
XL Capital, Ltd. (Class A)
(b)......................... 1,953 7,226
------------
5,479,529
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INTERNET & CATALOG RETAIL -- 0.3%
Amazon.com, Inc. (a)(b)....... 5,328 $ 273,220
Expedia, Inc. (a)............. 4,242 34,954
HSN, Inc. (a)(b).............. 850 6,179
Liberty Media Holding
Corp. -- Interactive (Series
A) (a)(b)................... 9,689 30,230
Priceline.com, Inc. (a)(b).... 427 31,449
Ticketmaster (a)(b)........... 850 5,457
------------
381,489
------------
INTERNET SOFTWARE & SERVICES -- 1.3%
Akamai Technologies, Inc.
(a)(b)...................... 4,400 66,396
Art Technology Group, Inc.
(a)......................... 5,516 10,646
EarthLink, Inc. (a)(b)........ 7,491 50,639
eBay, Inc. (a)................ 15,072 210,405
EDGAR Online, Inc. (a)(b)..... 568 710
Equinix, Inc. (a)(b).......... 417 22,180
Google, Inc. (Class A) (a).... 3,357 1,032,781
IAC/InterActiveCorp (a)(b).... 2,117 33,301
Internap Network Services
Corp. (a)(b)................ 4,443 11,108
Local.com Corp. (a)(b)........ 4,752 7,603
Move, Inc. (a)(b)............. 1,712 2,739
NaviSite, Inc. (a)............ 6,463 2,585
Quepasa Corp. (a)(b).......... 5,898 9,850
Terremark Worldwide, Inc.
(a)(b)...................... 3,124 12,152
VeriSign, Inc. (a)(b)......... 4,382 83,609
VistaPrint, Ltd. (a)(b)....... 1,016 18,908
Websense, Inc. (a)(b)......... 689 10,314
Yahoo!, Inc. (a)(b)........... 16,481 201,068
------------
1,786,994
------------
IT SERVICES -- 1.4%
Accenture, Ltd. (Class A)..... 6,393 209,627
Affiliated Computer Services,
Inc. (Class A) (a).......... 2,265 104,077
Alliance Data Systems Corp.
(a)(b)...................... 992 46,158
Automatic Data Processing,
Inc. (b).................... 8,109 319,008
Broadridge Financial
Solutions, Inc. ............ 2,021 25,343
Cognizant Technology Solutions
Corp. (Class A) (a)(b)...... 5,107 92,232
Computer Sciences Corp.
(a)(b)...................... 3,323 116,770
Fidelity National Information
Services, Inc. ............. 4,362 70,970
Fiserv, Inc. (a).............. 3,548 129,041
Lender Processing Services,
Inc. (b).................... 2,024 59,607
Mastercard, Inc. (Class A)
(b)......................... 1,196 170,944
Metavante Technologies, Inc.
(a)(b)...................... 510 8,216
Paychex, Inc. (b)............. 5,655 148,613
SAIC, Inc. (a)................ 1,232 23,999
The Western Union Co. (b)..... 9,934 142,454
Total System Services, Inc. .. 677 9,478
Unisys Corp. (a).............. 9,356 7,953
Visa, Inc. (Class A) (b)...... 6,087 319,263
------------
2,003,753
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Brunswick Corp. (b)........... 2,524 10,626
Eastman Kodak Co. (b)......... 5,284 34,769
Hasbro, Inc. (b).............. 3,520 102,678
Mattel, Inc. ................. 8,026 128,416
Pool Corp. (b)................ 2,432 43,703
------------
320,192
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.6%
Affymetrix, Inc. (a)(b)....... 1,641 4,907
AMAG Pharmaceuticals, Inc.
(a)(b)...................... 302 10,827
Charles River Laboratories
International, Inc. (a)(b).. 948 24,838
Covance, Inc. (a)(b).......... 763 35,121
Illumina, Inc. (a)(b)......... 1,187 30,921
Life Technologies Corp. (a)... 5,048 117,669
Medivation, Inc. (a)(b)....... 1,413 20,587
Millipore Corp. (a)(b)........ 1,668 85,935
Nektar Therapeutics (a)(b).... 1,146 6,372
PerkinElmer, Inc. ............ 4,329 60,216
Pure Bioscience (a)(b)........ 13,300 40,964
Sequenom, Inc. (a)(b)......... 1,872 37,140
Techne Corp. ................. 1,506 97,167
Thermo Fisher Scientific, Inc.
(a)(b)...................... 5,908 201,286
Waters Corp. (a)(b)........... 2,234 81,876
------------
855,826
------------
MACHINERY -- 2.0%
AGCO Corp. (a)(b)............. 555 13,092
Bucyrus International, Inc.
(Class A) (b)............... 1,107 20,502
Caterpillar, Inc. ............ 9,470 423,025
CLARCOR, Inc. (b)............. 763 25,316
Crane Co. .................... 763 13,154
Cummins, Inc. (b)............. 2,480 66,290
Danaher Corp. (b)............. 3,431 194,229
Deere & Co. .................. 6,253 239,615
Donaldson Co., Inc. (b)....... 687 23,118
Dover Corp. (b)............... 2,704 89,016
Eaton Corp. (b)............... 2,578 128,152
Federal Signal Corp. ......... 5,406 44,383
Flowserve Corp. (b)........... 783 40,325
Harsco Corp. ................. 3,323 91,981
IDEX Corp. (b)................ 4,410 106,502
Illinois Tool Works, Inc.
(b)......................... 6,870 240,794
Ingersoll-Rand Co., Ltd.
(Class A)................... 6,166 106,980
ITT Corp. .................... 3,379 155,400
John Bean Technologies
Corp. ...................... 431 3,521
Joy Global, Inc. ............. 3,573 81,786
Lincoln Electric Holdings,
Inc. (b).................... 566 28,826
Oshkosh Corp. (b)............. 948 8,428
PACCAR, Inc. (b).............. 4,991 142,743
Pall Corp. ................... 4,279 121,652
Parker-Hannifin Corp. ........ 3,549 150,974
Pentair, Inc. (b)............. 2,493 59,009
SPX Corp. .................... 1,531 62,082
Terex Corp. (a)(b)............ 1,619 28,041
The Manitowoc Co., Inc. (b)... 2,216 19,191
The Timken Co. ............... 3,634 71,335
Watts Water Technologies, Inc.
(b)......................... 2,576 64,323
------------
2,863,785
------------
MEDIA -- 2.5%
Ascent Media Corp. (Class A)
(a)......................... 211 4,608
Cablevision Systems Corp.
(Class A) (b)............... 4,225 71,149
CBS Corp. (b)................. 10,370 84,930
Charter Communications, Inc.
(a)(b)...................... 9,124 746
Citadel Broadcasting Corp.
(a)......................... 2,133 341
Comcast Corp. (Class A) (b)... 41,118 694,072
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Discovery Communications, Inc.
(Class A) (a)(b)............ 2,105 $ 29,807
DISH Network Corp. (Class A)
(a)(b)...................... 4,752 52,700
Gannett Co., Inc. (b)......... 3,259 26,072
Journal Communications,
Inc. ....................... 5,533 13,556
Knology, Inc. (a)(b).......... 3,802 19,618
Lamar Advertising Co. (a)(b).. 1,900 23,864
Liberty Global, Inc. (a)(b)... 6,316 100,551
Liberty Media
Corp. -- Entertainment
(Series A) (a).............. 7,758 135,610
Liberty Media Corp. -- Capital
(Series A) (a)(b)........... 1,935 9,114
Live Nation, Inc. (a)(b)...... 1,062 6,096
LodgeNet Interactive Corp.
(a)(b)...................... 261 183
McClatchy Co. (Class A) (b)... 372 298
News Corp. (Class A).......... 33,504 304,551
Omnicom Group, Inc. (b)....... 5,586 150,375
R.H. Donnelley Corp. (a)(b)... 610 226
Scripps Networks Interactive
(Class A) (b)............... 1,064 23,408
Sirius XM Radio, Inc. (a)(b).. 39,299 4,716
The DIRECTV Group, Inc.
(a)(b)...................... 9,783 224,128
The E.W. Scripps Co. (Class A)
(b)......................... 382 844
The Interpublic Group of Cos.,
Inc. (a)(b)................. 8,842 35,014
The McGraw-Hill Cos., Inc. ... 5,841 135,453
The New York Times Co. (Class
A) (b)...................... 1,759 12,893
The Walt Disney Co. .......... 25,294 573,921
Time Warner, Inc. (b)......... 56,357 566,951
Viacom, Inc. (a).............. 7,981 152,118
Virgin Media, Inc. (b)........ 4,646 23,184
------------
3,481,097
------------
METALS & MINING -- 0.8%
AK Steel Holding Corp. ....... 1,673 15,592
Alcoa, Inc. (b)............... 12,924 145,524
Allegheny Technologies, Inc.
(b)......................... 1,506 38,448
Cliffs Natural Resources,
Inc. ....................... 1,123 28,760
Commercial Metals Co. ........ 372 4,416
Freeport-McMoRan Copper &
Gold, Inc. ................. 6,551 160,107
Metalline Mining, Inc.
(a)(b)...................... 11,599 2,900
Newmont Mining Corp. (b)...... 8,772 357,020
Nucor Corp. (b)............... 5,183 239,455
Southern Copper Corp. (b)..... 3,124 50,172
Steel Dynamics, Inc. (b)...... 2,666 29,806
Titanium Metals Corp. (b)..... 1,910 16,827
United States Steel Corp. .... 2,316 86,155
Worthington Industries, Inc.
(b)......................... 864 9,521
------------
1,184,703
------------
MULTI-UTILITIES -- 1.2%
Ameren Corp. (b).............. 3,041 101,144
CMS Energy Corp. (b).......... 6,000 60,660
Consolidated Edison, Inc. .... 3,996 155,564
Dominion Resources, Inc. (b).. 9,162 328,366
DTE Energy Co. (b)............ 1,529 54,539
Florida Public Utilities
Co. ........................ 612 6,432
NiSource, Inc. ............... 1,896 20,799
PG&E Corp. (b)................ 6,549 253,512
PNM Resources, Inc. (b)....... 763 7,691
Public Service Enterprise
Group, Inc. ................ 6,591 192,260
Puget Energy, Inc. ........... 1,636 44,614
Sempra Energy................. 3,519 150,015
TECO Energy, Inc. (b)......... 6,337 78,262
Wisconsin Energy Corp. (b).... 1,506 63,222
Xcel Energy, Inc. ............ 8,359 155,059
------------
1,672,139
------------
MULTILINE RETAIL -- 0.8%
Big Lots, Inc. (a)............ 2,712 39,297
Dillard's, Inc. (Class A)
(b)......................... 948 3,763
Dollar Tree Stores, Inc.
(a)(b)...................... 3,377 141,159
Family Dollar Stores, Inc.
(b)......................... 3,647 95,077
J. C. Penney Co., Inc. (b).... 4,085 80,474
Kohl's Corp. (a).............. 4,618 167,172
Macy's, Inc. (b).............. 8,573 88,730
Nordstrom, Inc. (b)........... 4,103 54,611
Sears Holdings Corp. (a)(b)... 1,370 53,252
Target Corp. (b).............. 10,588 365,604
------------
1,089,139
------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. .................. 14,360 114,449
Zebra Technologies Corp.
(Class A) (a)(b)............ 1,755 35,556
------------
150,005
------------
OIL, GAS & CONSUMABLE FUELS -- 10.7%
Abraxas Petroleum Corp.
(a)(b)...................... 5,703 4,106
Adams Resources & Energy,
Inc. ....................... 372 6,324
Alpha Natural Resources, Inc.
(a)......................... 1,073 17,372
Anadarko Petroleum Corp. (b).. 6,659 256,704
Apache Corp. ................. 4,994 372,203
Approach Resources, Inc. (a).. 490 3,582
Arch Coal, Inc. (b)........... 3,046 49,619
Arena Resources, Inc. (a)(b).. 821 23,062
ATP Oil & Gas Corp. (a)(b).... 312 1,825
Barnwell Industries, Inc. .... 860 3,827
Blue Dolphin Energy Co. (a)... 15,014 5,255
BPZ Resources, Inc. (a)(b).... 1,232 7,885
Cano Petroleum, Inc. (a)(b)... 5,703 2,509
Cheniere Energy, Inc. (a)(b).. 907 2,585
Chesapeake Energy Corp. (b)... 7,603 122,940
Chevron Corp. ................ 29,972 2,217,029
Clayton Williams Energy, Inc.
(a)(b)...................... 124 5,634
Concho Resources, Inc.
(a)(b)...................... 1,124 25,650
ConocoPhillips (b)............ 20,762 1,075,472
CONSOL Energy, Inc. .......... 4,078 116,549
Contango Oil & Gas Co.
(a)(b)...................... 248 13,962
CREDO Petroleum Corp. (a)(b).. 490 4,126
Cross Timbers Royalty Trust
(b)......................... 2,388 66,506
Crosstex Energy LP............ 2,222 9,710
Delta Petroleum Corp. (a)(b).. 1,101 5,241
Denbury Resources, Inc.
(a)(b)...................... 9,827 107,311
Devon Energy Corp. ........... 6,630 435,657
Double Eagle Petroleum Co.
(a)(b)...................... 860 6,037
Dune Energy, Inc. (a)(b)...... 4,371 787
El Paso Corp. (b)............. 12,302 96,325
Encore Acquisition Co.
(a)(b)...................... 566 14,444
Energy Transfer Partners LP
(b)......................... 824 28,024
Enterprise Products Partners
LP.......................... 5,027 104,210
EOG Resources, Inc. .......... 3,912 260,461
Exxon Mobil Corp. ............ 73,889 5,898,559
Forest Oil Corp. (a)(b)....... 763 12,582
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Frontier Oil Corp. (b)........ 720 $ 9,094
Gasco Energy, Inc. (a)(b)..... 9,697 3,782
Genesis Energy LP (b)......... 2,776 24,234
GeoResources, Inc. (a)(b)..... 372 3,233
Global Energy Holdings Group
(a)......................... 8,496 1,104
GMX Resources, Inc. (a)(b).... 248 6,279
GreenHunter Energy, Inc.
(a)(b)...................... 372 1,830
Hess Corp. (b)................ 4,099 219,870
Hiland Partners LP (b)........ 490 2,514
Holly Corp. (b)............... 763 13,909
Holly Energy Partners LP...... 490 10,461
Houston American Energy Corp.
(b)......................... 7,798 26,357
Hugoton Royalty Trust (b)..... 352 5,650
Isramco, Inc. (a)............. 124 3,875
Kinder Morgan Energy Partners
LP (b)...................... 1,660 75,945
Linn Energy LLC (b)........... 2,810 42,066
Marathon Oil Corp. ........... 11,410 312,178
Massey Energy Co. (b)......... 2,183 30,104
Mexco Energy Corp. (a)........ 248 3,073
Murphy Oil Corp. (b).......... 3,002 133,139
Newfield Exploration Co.
(a)(b)...................... 1,622 32,034
Noble Energy, Inc. (b)........ 3,218 158,390
Occidental Petroleum Corp.
(b)......................... 12,012 720,600
ONEOK Partners LP (b)......... 696 31,703
Panhandle Oil & Gas, Inc.
(b)......................... 372 6,696
Patriot Coal Corp. (a)(b)..... 720 4,500
Peabody Energy Corp. ......... 4,116 93,639
Petrohawk Energy Corp.
(a)(b)...................... 3,555 55,565
Pioneer Natural Resources Co.
(b)......................... 2,844 46,016
Plains All American Pipeline
LP.......................... 2,537 88,008
Plains Exploration &
Production Co. (a)(b)....... 2,596 60,331
PrimeEnergy Corp. (a)(b)...... 124 6,442
Range Resources Corp. ........ 4,641 159,604
Rex Energy Corp. (a)(b)....... 1,108 3,257
SandRidge Energy, Inc.
(a)(b)...................... 167 1,027
Southwestern Energy Co.
(a)(b)...................... 5,470 158,466
Spectra Energy Corp. ......... 7,811 122,945
St. Mary Land & Exploration
Co. (b)..................... 3,002 60,971
Stone Energy Corp. (a)(b)..... 31 342
Sunoco, Inc. (b).............. 2,478 107,694
Tesoro Corp. (b).............. 3,543 46,661
The Williams Cos., Inc. (b)... 9,420 136,402
Toreador Resources Corp.
(a)(b)...................... 984 5,402
TransMontaigne Partners LP
(b)......................... 612 8,140
Ultra Petroleum Corp. (a)..... 1,872 64,603
Valero Energy Corp. .......... 9,144 197,876
Walter Industries, Inc. ...... 861 15,076
Whiting Petroleum Corp. (a)... 45 1,506
XTO Energy, Inc. ............. 7,752 273,413
Zion Oil & Gas, Inc. (a)...... 1,232 7,996
------------
14,988,076
------------
PAPER & FOREST PRODUCTS -- 0.2%
International Paper Co. (b)... 7,681 90,636
MeadWestvaco Corp. ........... 5,013 56,095
Weyerhaeuser Co. (b).......... 3,179 97,309
------------
244,040
------------
PERSONAL PRODUCTS -- 0.2%
Avon Products, Inc. .......... 7,095 170,493
The Estee Lauder Cos., Inc.
(Class A) (b)............... 2,861 88,576
------------
259,069
------------
PHARMACEUTICALS -- 6.6%
Abbott Laboratories........... 21,918 1,169,764
Allergan, Inc. ............... 4,454 179,585
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 911 25,909
Bristol-Myers Squibb Co. ..... 27,367 636,283
Cortex Pharmaceuticals, Inc.
(a)......................... 3,425 1,952
Eli Lilly & Co. .............. 13,627 548,759
Emisphere Technologies, Inc.
(a)......................... 767 606
Endo Pharmaceuticals Holdings,
Inc. (a)(b)................. 1,774 45,911
Forest Laboratories, Inc.
(a)......................... 6,016 153,228
Johnson & Johnson............. 39,923 2,388,593
King Pharmaceuticals, Inc.
(a)(b)...................... 2,889 30,681
Merck & Co., Inc. (b)......... 31,037 943,525
Middlebrook Pharmaceuticals,
Inc. (a)(b)................. 9,692 14,538
Mylan, Inc. (a)(b)............ 5,789 57,253
Penwest Pharmaceuticals Co.
(a)(b)...................... 510 801
Perrigo Co. (b)............... 1,255 40,549
Pfizer, Inc. ................. 97,230 1,721,943
Questcor Pharmaceuticals, Inc.
(a)(b)...................... 1,353 12,596
Replidyne, Inc. (a)(b)........ 2,277 2,118
Repros Therapeutics, Inc.
(a)(b)...................... 3,424 36,020
Schering-Plough Corp. (b)..... 23,433 399,064
Sepracor, Inc. (a)(b)......... 2,047 22,476
Spectrum Pharmaceuticals, Inc.
(a)(b)...................... 3,127 4,565
Sucampo Pharmaceuticals, Inc.
(Class A) (a)(b)............ 372 2,139
Valeant Pharmaceuticals
International (a)(b)........ 44 1,008
VIVUS, Inc. (a)(b)............ 3,930 20,908
Watson Pharmaceuticals, Inc.
(a)(b)...................... 2,614 69,454
Wyeth......................... 19,007 712,953
------------
9,243,181
------------
PROFESSIONAL SERVICES -- 0.3%
Equifax, Inc. (b)............. 3,113 82,557
Hudson Highland Group, Inc.
(a)......................... 209 700
Manpower, Inc. ............... 1,104 37,525
Monster Worldwide, Inc.
(a)(b)...................... 3,239 39,160
Robert Half International,
Inc. (b).................... 4,203 87,506
The Dun & Bradstreet Corp. ... 1,731 133,633
------------
381,081
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.8%
Agree Realty Corp. (b)........ 3,754 68,060
AMB Property Corp. (b)........ 1,146 26,839
American Campus Communities,
Inc. (b).................... 479 9,810
American Land Lease, Inc.
(b)......................... 3,293 45,509
Annaly Capital Management,
Inc. (b).................... 6,562 104,139
Anthracite Capital, Inc. (b).. 9,506 21,198
Apartment Investment &
Management Co. (Class A)
(b)......................... 2,378 27,466
Ashford Hospitality Trust,
Inc. (b).................... 8,373 9,629
Avalonbay Communities, Inc.
(b)......................... 932 56,461
BioMed Realty Trust, Inc.
(b)......................... 1,504 17,627
Boston Properties, Inc. (b)... 1,320 72,600
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
BRE Properties, Inc. (b)...... 907 $ 25,378
CapitalSource, Inc. (b)....... 1,626 7,512
Care Investment Trust, Inc.
(b)......................... 2,990 23,292
CBL & Associates Properties,
Inc. (b).................... 1,138 7,397
Cedar Shopping Centers, Inc.
(b)......................... 2,553 18,075
Cogdell Spencer, Inc. (b)..... 1,765 16,520
Corporate Office Properties
Trust (b)................... 3,114 95,600
Developers Diversified Realty
Corp. (b)................... 2,184 10,658
Digital Realty Trust, Inc.
(b)......................... 729 23,948
Duke Realty Corp. (b)......... 2,428 26,611
Equity Residential............ 5,451 162,549
Extra Space Storage, Inc.
(b)......................... 2,186 22,559
Friedman, Billings, Ramsey
Group, Inc. (a)(b).......... 6,294 1,070
General Growth Properties,
Inc. (b).................... 5,627 7,259
Glimcher Realty Trust (b)..... 4,502 12,651
Gramercy Capital Corp. (b).... 903 1,156
HCP, Inc. .................... 2,289 63,565
Home Properties, Inc. (b)..... 372 15,103
Hospitality Properties Trust
(b)......................... 1,283 19,078
Host Hotels & Resorts, Inc.
(b)......................... 10,706 81,044
Investors Real Estate Trust
(b)......................... 10,475 112,187
iStar Financial, Inc. (b)..... 687 1,532
Kimco Realty Corp. (b)........ 2,130 38,936
Kite Realty Group Trust (b)... 551 3,064
LaSalle Hotel Properties (b).. 3,512 38,808
Lexington Realty Trust (b).... 2,008 10,040
Liberty Property Trust........ 299 6,826
Maguire Properties, Inc.
(a)(b)...................... 729 1,064
Monmouth Real Estate
Investment Corp. (b)........ 6,374 44,618
National Retail Properties,
Inc. (b).................... 7,618 130,953
Nationwide Health Properties,
Inc. (b).................... 1,324 38,025
Pennsylvania Real Estate
Investment Trust (b)........ 3,000 22,350
Pittsburgh & West Virginia
Railroad (b)................ 2,751 39,477
Plum Creek Timber Co., Inc.
(b)......................... 4,728 164,251
Post Properties, Inc. (b)..... 566 9,339
ProLogis (b).................. 5,083 70,603
Public Storage (b)............ 937 74,491
Ramco-Gershenson Properties
Trust....................... 271 1,675
Realty Income Corp. (b)....... 2,186 50,606
Senior Housing Properties
Trust (b)................... 312 5,591
Simon Property Group, Inc.
(b)......................... 3,391 180,164
Tanger Factory Outlet Centers,
Inc. (b).................... 4,103 154,355
The Macerich Co. (b).......... 866 15,727
Transcontinental Realty
Investors, Inc. (a)(b)...... 844 9,706
UDR, Inc. (b)................. 1,199 16,534
Urstadt Biddle Properties
(Class A) (b)............... 5,760 91,757
Ventas, Inc. (b).............. 1,731 58,110
Vornado Realty Trust.......... 853 51,479
Weingarten Realty Investors
(b)......................... 1,713 35,442
------------
2,578,073
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
American Realty Investors,
Inc. (a).................... 248 2,220
Brookfield Properties Corp. .. 2,393 18,498
CB Richard Ellis Group, Inc.
(Class A) (a)............... 5,832 25,194
CKX Lands, Inc. .............. 1,297 17,574
Forestar Real Estate Group,
Inc. (a)(b)................. 810 7,711
Jones Lang LaSalle, Inc. (b).. 382 10,582
The St. Joe Co. (a)(b)........ 1,407 34,218
------------
115,997
------------
ROAD & RAIL -- 1.1%
Avis Budget Group, Inc. (a)... 2,262 1,583
Burlington Northern Santa Fe
Corp. (b)................... 4,815 364,544
CSX Corp. .................... 7,860 255,214
J.B. Hunt Transport Services,
Inc. (b).................... 4,701 123,495
Kansas City Southern (a)(b)... 948 18,059
Landstar Systems, Inc. (b).... 3,431 131,853
Norfolk Southern Corp. (b).... 6,761 318,105
Union Pacific Corp. (b)....... 6,827 326,331
YRC Worldwide, Inc. (a)(b).... 1,712 4,914
------------
1,544,098
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.2%
Advanced Micro Devices, Inc.
(a)(b)...................... 8,486 18,330
Aetrium, Inc. (a)(b).......... 7,417 14,463
Altera Corp. ................. 4,979 83,199
Amkor Technology, Inc.
(a)(b)...................... 764 1,666
Anadigics, Inc. (a)(b)........ 2,478 3,667
Analog Devices, Inc. ......... 5,733 109,042
Applied Materials, Inc. (b)... 24,687 250,079
Atheros Communications, Inc.
(a)(b)...................... 294 4,207
AXT, Inc. (a)................. 8,177 11,039
Broadcom Corp. (Class A) (a).. 7,678 130,296
Conexant Systems, Inc.
(a)(b)...................... 302 207
Cypress Semiconductor Corp.
(a)(b)...................... 2,560 11,443
FEI Co. (a)(b)................ 381 7,186
Intel Corp. (b)............... 80,755 1,183,868
International Rectifier Corp.
(a)(b)...................... 1,757 23,719
Intersil Corp. (Class A) (b).. 4,629 42,541
KLA-Tencor Corp. (b).......... 3,316 72,256
Lam Research Corp. (a)(b)..... 3,126 66,521
Linear Technology Corp. (b)... 4,662 103,123
LSI Logic Corp. (a)(b)........ 9,848 32,400
Marvell Technology Group, Ltd.
(a)......................... 6,968 46,477
MEMC Electronic Materials,
Inc. (a)(b)................. 4,410 62,975
Microchip Technology, Inc.
(b)......................... 3,855 75,288
Micron Technology, Inc.
(a)(b)...................... 11,982 31,632
Microsemi Corp. (a)........... 948 11,983
MKS Instruments, Inc. (a)(b).. 308 4,555
National Semiconductor Corp.
(b)......................... 6,227 62,706
Novellus Systems, Inc.
(a)(b)...................... 3,561 43,943
NVIDIA Corp. (a).............. 9,900 79,893
OmniVision Technologies, Inc.
(a)(b)...................... 395 2,074
ON Semiconductor Corp.
(a)(b)...................... 4,548 15,463
Rambus, Inc. (a)(b)........... 1,882 29,961
Sigma Designs, Inc. (a)(b).... 518 4,921
Sirf Technology Holdings, Inc.
(a)(b)...................... 673 861
Teradyne, Inc. (a)............ 5,140 21,691
Texas Instruments, Inc. ...... 21,132 327,969
Xilinx, Inc. (b).............. 4,228 75,343
------------
3,066,987
------------
SOFTWARE -- 3.7%
Activision Blizzard, Inc.
(a)......................... 12,522 108,190
Adobe Systems, Inc. (a)....... 10,418 221,799
Authentidate Holding Corp.
(a)......................... 7,983 2,004
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Autodesk, Inc. (a)(b)......... 4,069 $ 79,956
BMC Software, Inc. (a)(b)..... 5,270 141,816
CA, Inc. (b).................. 7,062 130,859
Cadence Design Systems, Inc.
(a)(b)...................... 7,242 26,506
Citrix Systems, Inc. (a)(b)... 4,534 106,866
Compuware Corp. (a)........... 8,742 59,008
Ebix, Inc. (a)................ 124 2,964
Electronic Arts, Inc. (a)(b).. 4,540 72,822
Intuit, Inc. (a)(b)........... 6,825 162,367
Jack Henry & Associates, Inc.
(b)......................... 1,146 22,244
McAfee, Inc. (a)(b)........... 3,487 120,546
Microsoft Corp. .............. 115,354 2,242,482
Novell, Inc. (a).............. 10,701 41,627
Nuance Communications, Inc.
(a)(b)...................... 3,034 31,432
Oracle Corp. (a)(b)........... 57,643 1,022,010
Parametric Technology Corp.
(a)......................... 4,887 61,820
Red Hat, Inc. (a)(b).......... 5,260 69,537
Salesforce.com, Inc. (a)(b)... 1,457 46,639
Smith Micro Software, Inc.
(a)(b)...................... 1,915 10,647
Soapstone Networks, Inc.
(a)(b)...................... 3,615 9,327
Symantec Corp. (a)(b)......... 17,658 238,736
Synopsys, Inc. (a)(b)......... 4,721 87,433
Versant Corp. (a)(b).......... 2,434 36,364
------------
5,156,001
------------
SPECIALTY RETAIL -- 2.0%
Abercrombie & Fitch Co. (Class
A) (b)...................... 1,667 38,458
Advance Auto Parts, Inc. ..... 2,360 79,414
American Eagle Outfitters,
Inc. (b).................... 4,153 38,872
AutoNation, Inc. (a)(b)....... 4,981 49,212
AutoZone, Inc. (a)(b)......... 1,165 162,483
Bed Bath & Beyond, Inc.
(a)(b)...................... 4,919 125,041
Best Buy Co., Inc. (b)........ 6,189 173,973
Borders Group, Inc. (a)(b).... 948 379
Chico's FAS, Inc. (a)(b)...... 3,254 13,602
Dick's Sporting Goods, Inc.
(a)(b)...................... 729 10,286
Foot Locker, Inc. (b)......... 3,390 24,883
GameStop Corp. (Class A)
(a)(b)...................... 2,178 47,176
Genesco, Inc. (a)(b).......... 373 6,311
Limited Brands, Inc. ......... 5,760 57,830
Lowe's Cos., Inc. ............ 20,156 433,757
Mens Wearhouse, Inc. (b)...... 763 10,331
O'Reilly Automotive, Inc.
(a)(b)...................... 3,287 101,042
Office Depot, Inc. (a)........ 5,836 17,391
PetSmart, Inc. ............... 3,430 63,284
RadioShack Corp. (b).......... 3,350 39,999
Rent-A-Center, Inc. (a)....... 1,146 20,227
Ross Stores, Inc. (b)......... 3,302 98,168
Staples, Inc. (b)............. 11,052 198,052
The Finish Line, Inc. (Class
A).......................... 125 700
The Gap, Inc. ................ 9,396 125,812
The Home Depot, Inc. (b)...... 25,634 590,095
The Sherwin-Williams Co. (b).. 689 41,168
The TJX Cos., Inc. (b)........ 5,995 123,317
Tiffany & Co. (b)............. 2,840 67,109
Urban Outfitters, Inc.
(a)(b)...................... 2,693 40,341
Williams-Sonoma, Inc. ........ 2,088 16,412
Zale Corp. (a)(b)............. 689 2,294
------------
2,817,419
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Carter's, Inc. (a)(b)......... 490 9,437
Coach, Inc. (a)............... 6,399 132,907
CROCS, Inc. (a)(b)............ 1,715 2,127
Hanesbrands, Inc. (a)(b)...... 1,582 20,171
Iconix Brand Group, Inc. (a).. 682 6,670
Jones Apparel Group, Inc.
(b)......................... 3,502 20,522
Liz Claiborne, Inc. (b)....... 3,030 7,878
NIKE, Inc. (Class B).......... 5,442 277,542
Quiksilver, Inc. (a).......... 5,066 9,321
Under Armour, Inc. (Class A)
(a)(b)...................... 867 20,669
V. F. Corp. (b)............... 518 28,371
Wolverine World Wide, Inc.
(b)......................... 3,648 76,754
------------
612,369
------------
THRIFTS & MORTGAGE FINANCE -- 0.5%
Astoria Financial Corp. ...... 1,332 21,951
Berkshire Hills Bancorp,
Inc. ....................... 2,544 78,508
Fannie Mae (b)................ 17,253 13,112
Freddie Mac (b)............... 12,220 8,921
Guaranty Financial Group, Inc.
(a)(b)...................... 810 2,114
Hudson City Bancorp, Inc. .... 4,704 75,076
MGIC Investment Corp. (b)..... 2,032 7,071
New York Community Bancorp,
Inc. (b).................... 2,073 24,793
NewAlliance Bancshares, Inc.
(b)......................... 8,753 115,277
OceanFirst Financial Corp.
(b)......................... 4,788 79,481
People's United Financial,
Inc. ....................... 7,411 132,138
Radian Group, Inc. (b)........ 2,397 8,821
Sovereign Bancorp, Inc.
(a)(b)...................... 5,965 17,776
TF Financial Corp. ........... 248 4,786
Tree.com, Inc. (a)(b)......... 136 354
TrustCo Bank Corp. NY (b)..... 8,792 83,612
WVS Financial Corp. .......... 124 1,972
------------
675,763
------------
TOBACCO -- 1.5%
Altria Group, Inc. ........... 29,910 450,445
Lorillard, Inc. .............. 1,460 82,271
Philip Morris International,
Inc. ....................... 29,384 1,278,498
Reynolds American, Inc. (b)... 3,069 123,711
UST, Inc. .................... 3,135 217,506
------------
2,152,431
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.2%
Fastenal Co. (b).............. 3,585 124,937
Kaman Corp. (Class A)......... 4,486 81,331
W.W. Grainger, Inc. (b)....... 518 40,839
Willis Lease Finance Corp.
(a)......................... 490 4,543
------------
251,650
------------
TRANSPORTATION INFRASTRUCTURE -- 0.0% (d)
Macquarie Infrastructure Co.
LLC (b)..................... 427 1,610
------------
WATER UTILITIES -- 0.2%
Aqua America, Inc. (b)........ 1,712 35,250
Artesian Resources Corp. (b).. 490 7,752
Cadiz, Inc. (a)(b)............ 858 10,734
Connecticut Water Service,
Inc. (b).................... 1,200 28,332
Middlesex Water Co. (b)....... 5,889 101,467
Pennichuck Corp. ............. 248 5,091
Southwest Water Co. (b)....... 2,467 7,944
The York Water Co. (b)........ 2,759 33,494
------------
230,064
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE TOTAL MARKET ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
American Tower Corp. (Class A)
(a)(b)...................... 6,714 $ 196,854
Crown Castle International
Corp. (a)(b)................ 5,184 91,135
FiberTower Corp. (a)(b)....... 4,370 699
Goamerica, Inc. (a)(b)........ 3,229 14,886
Leap Wireless International,
Inc. (a)(b)................. 566 15,220
MetroPCS Communications, Inc.
(a)(b)...................... 2,659 39,486
NII Holdings, Inc. (a)........ 2,872 52,213
SBA Communications Corp. (a).. 2,150 35,088
Sprint Nextel Corp. (a)(b).... 39,169 71,679
Telephone & Data Systems, Inc.
(b)......................... 2,225 70,644
------------
587,904
------------
TOTAL COMMON STOCKS --
(Cost $174,176,533)......... 139,702,060
------------
SHORT TERM INVESTMENTS -- 17.3%
MONEY MARKET FUNDS -- 17.3%
State Street Navigator
Securities Lending Prime
Portfolio (e)(f)............ 23,054,817 23,054,817
STIC Prime Portfolio.......... 1,248,503 1,248,503
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $24,303,320).......... 24,303,320
------------
TOTAL INVESTMENTS -- 116.7%
(Cost $198,479,853)......... 164,005,380
OTHER ASSET AND
LIABILITIES -- (16.7)%...... (23,511,395)
------------
NET ASSETS -- 100.0%.......... $140,493,985
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Affiliated issuer. (Note 3)
(d) Amount shown represents less than 0.05% of net assets.
(e) Investments of cash collateral for securities loaned.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.4%
Alliant Techsystems, Inc.
(a)(b)....................... 90 $ 7,718
Boeing Co. (b)................. 1,770 75,526
General Dynamics Corp. (b)..... 860 49,527
Goodrich Corp. ................ 335 12,402
Honeywell International,
Inc. ........................ 1,757 57,682
L-3 Communications Holdings,
Inc. ........................ 325 23,979
Lockheed Martin Corp. (b)...... 852 71,636
Northrop Grumman Corp. ........ 831 37,428
Precision Castparts Corp. ..... 373 22,186
Raytheon Co. (b)............... 1,115 56,910
Rockwell Collins, Inc. (b)..... 433 16,926
Spirit Aerosystems Holdings,
Inc. (a)(b).................. 270 2,746
United Technologies Corp. (b).. 2,363 126,657
-----------
561,323
-----------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b).......................... 455 25,038
Expeditors International
Washington, Inc. (b)......... 584 19,430
FedEx Corp. (b)................ 785 50,358
United Parcel Service, Inc.
(Class B) (b)................ 1,745 96,254
-----------
191,080
-----------
AIRLINES -- 0.2%
AMR Corp. (a)(b)............... 728 7,767
Delta Air Lines, Inc. (a)...... 1,641 18,806
Southwest Airlines Co. (b)..... 1,961 16,904
-----------
43,477
-----------
AUTO COMPONENTS -- 0.2%
BorgWarner, Inc. (b)........... 302 6,574
Johnson Controls, Inc. ........ 1,579 28,675
The Goodyear Tire & Rubber Co.
(a)(b)....................... 624 3,725
WABCO Holdings, Inc. .......... 177 2,795
-----------
41,769
-----------
AUTOMOBILES -- 0.1%
Ford Motor Co. (a)(b).......... 6,146 14,075
General Motors Corp. (b)....... 1,311 4,195
Harley-Davidson, Inc. (b)...... 632 10,725
-----------
28,995
-----------
BEVERAGES -- 2.5%
Brown-Forman Corp. (Class B)
(b).......................... 241 12,409
Coca-Cola Enterprises, Inc.
(b).......................... 836 10,057
Constellation Brands, Inc.
(Class A) (a)(b)............. 511 8,058
Dr. Pepper Snapple Group, Inc.
(a).......................... 677 11,001
Hansen Natural Corp. (a)....... 189 6,337
Molson Coors Brewing Co. (Class
B) (b)....................... 393 19,226
PepsiCo, Inc. ................. 4,195 229,760
The Coca-Cola Co. (b).......... 5,703 258,175
The Pepsi Bottling Group,
Inc. ........................ 372 8,374
-----------
563,397
-----------
BIOTECHNOLOGY -- 2.6%
Abraxis Bioscience, Inc.
(a)(b)....................... 11 725
Alexion Pharmaceuticals, Inc.
(a)(b)....................... 208 7,528
Amgen, Inc. (a)................ 2,831 163,490
Amylin Pharmaceuticals, Inc.
(a)(b)....................... 365 3,960
Biogen Idec, Inc. (a).......... 786 37,437
BioMarin Pharmaceutical, Inc.
(a)(b)....................... 254 4,521
Celgene Corp. (a)(b)........... 1,225 67,718
Cephalon, Inc. (a)(b).......... 184 14,175
Genentech, Inc. (a)............ 1,239 102,726
Genzyme Corp. (a)(b)........... 712 47,256
Gilead Sciences, Inc. (a)...... 2,454 125,498
Vertex Pharmaceuticals, Inc.
(a)(b)....................... 382 11,605
-----------
586,639
-----------
BUILDING PRODUCTS -- 0.1%
Masco Corp. (b)................ 983 10,941
USG Corp. (a)(b)............... 181 1,455
-----------
12,396
-----------
CAPITAL MARKETS -- 2.2%
Affiliated Managers Group, Inc.
(a)(b)....................... 109 4,569
AllianceBernstein Holding LP
(b).......................... 83 1,726
Ameriprise Financial, Inc.
(b).......................... 591 13,806
BlackRock, Inc. (b)............ 54 7,244
Eaton Vance Corp. (b).......... 307 6,450
Federated Investors, Inc.
(Class B) (b)................ 251 4,257
Franklin Resources, Inc. (b)... 424 27,043
Invesco, Ltd. (b).............. 1,038 14,989
Janus Capital Group, Inc. (b).. 437 3,509
Legg Mason, Inc. (b)........... 368 8,063
Merrill Lynch & Co., Inc. ..... 3,427 39,890
Morgan Stanley................. 2,549 40,886
Northern Trust Corp. (b)....... 589 30,710
Och-Ziff Capital Management
Group LLC.................... 115 592
Raymond James Financial, Inc.
(b).......................... 260 4,454
SEI Investments Co. (b)........ 370 5,813
State Street Corp. (c)......... 1,164 45,780
T. Rowe Price Group, Inc. (b).. 695 24,631
TD Ameritrade Holding Corp.
(a)(b)....................... 645 9,191
The Bank of New York Mellon
Corp. (b).................... 3,059 86,662
The Blackstone Group LP (b).... 379 2,475
The Charles Schwab Corp. ...... 2,543 41,120
The Goldman Sachs Group,
Inc. ........................ 1,072 90,466
-----------
514,326
-----------
CHEMICALS -- 1.8%
Air Products & Chemicals, Inc.
(b).......................... 526 26,442
Airgas, Inc. .................. 200 7,798
Albemarle Corp. (b)............ 242 5,397
Ashland, Inc. ................. 166 1,745
Celanese Corp. (b)............. 402 4,997
CF Industries Holdings, Inc.
(b).......................... 153 7,521
E. I. du Pont de Nemours & Co.
(b).......................... 2,416 61,125
Eastman Chemical Co. (b)....... 194 6,152
Ecolab, Inc. (b)............... 471 16,556
FMC Corp. (b).................. 198 8,856
Huntsman Corp. (b)............. 247 850
International Flavors &
Fragrances, Inc. (b)......... 211 6,271
Intrepid Potash, Inc. (a)(b)... 86 1,786
Lubrizol Corp. (b)............. 181 6,586
Monsanto Co. .................. 1,455 102,359
PPG Industries, Inc. (b)....... 437 18,542
Praxair, Inc. ................. 838 49,744
Rohm & Haas Co. (b)............ 329 20,329
Sigma-Aldrich Corp. (b)........ 284 11,996
Terra Industries, Inc. (b)..... 245 4,084
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Dow Chemical Co. (b)....... 2,489 $ 37,559
The Mosaic Co. (b)............. 392 13,563
-----------
420,258
-----------
COMMERCIAL BANKS -- 2.8%
BB&T Corp. (b)................. 1,479 40,613
City National Corp. (b)........ 111 5,406
Comerica, Inc. (b)............. 407 8,079
Commerce Bancshares, Inc. (b).. 163 7,164
Fifth Third Bancorp (b)........ 1,453 12,002
Huntington Bancshares, Inc.
(b).......................... 1,021 7,821
Keycorp........................ 1,345 11,459
M&T Bank Corp. (b)............. 209 11,999
Marshall & Ilsley Corp. (b).... 644 8,784
National City Corp. (b)........ 1,679 3,039
PNC Financial Services Group,
Inc. (b)..................... 931 45,619
Regions Financial Corp. (b).... 1,872 14,901
SunTrust Banks, Inc. (b)....... 949 28,033
Synovus Financial Corp. (b).... 736 6,109
U.S. Bancorp (b)............... 4,630 115,796
Wachovia Corp. ................ 5,768 31,955
Wells Fargo & Co. (b).......... 9,367 276,139
Zions Bancorp (b).............. 282 6,912
-----------
641,830
-----------
COMMERCIAL SERVICES & SUPPLIES -- 0.6%
Avery Dennison Corp. (b)....... 248 8,117
Cintas Corp. (b)............... 357 8,293
Copart, Inc. (a)(b)............ 172 4,677
Corrections Corp. of America
(a)(b)....................... 335 5,481
Covanta Holding Corp. (a)(b)... 328 7,203
Iron Mountain, Inc. (a)(b)..... 480 11,870
Pitney Bowes, Inc. ............ 563 14,345
R.R. Donnelley & Sons Co. (b).. 557 7,564
Republic Services, Inc. ....... 904 22,410
Stericycle, Inc. (a)(b)........ 238 12,395
Waste Management, Inc. (a)(b).. 1,340 44,408
-----------
146,763
-----------
COMMUNICATIONS EQUIPMENT -- 2.3%
Cisco Systems, Inc. (a)........ 15,822 257,899
Corning, Inc. (b).............. 4,191 39,940
EchoStar Corp. (Class A)
(a)(b)....................... 110 1,636
Harris Corp. .................. 357 13,584
JDS Uniphase Corp. (a)(b)...... 548 2,000
Juniper Networks, Inc. (a)(b).. 1,449 25,372
Motorola, Inc. (b)............. 5,636 24,967
QUALCOMM, Inc. (b)............. 4,391 157,330
-----------
522,728
-----------
COMPUTERS & PERIPHERALS -- 4.0%
Apple, Inc. (a)(b)............. 2,390 203,987
Dell, Inc. (a)(b).............. 4,559 46,684
EMC Corp. (a)(b)............... 5,526 57,857
Hewlett-Packard Co. ........... 6,605 239,695
International Business Machines
Corp. (b).................... 3,625 305,080
Lexmark International, Inc.
(Class A) (a)(b)............. 231 6,214
NCR Corp. (a)(b)............... 447 6,321
NetApp, Inc. (a)............... 874 12,210
SanDisk Corp. (a)(b)........... 604 5,798
Seagate Technology (b)......... 1,293 5,728
Sun Microsystems, Inc. (a)(b).. 2,021 7,720
Teradata Corp. (a)(b).......... 479 7,104
Western Digital Corp. (a)(b)... 582 6,664
-----------
911,062
-----------
CONSTRUCTION & ENGINEERING -- 0.3%
Fluor Corp. (b)................ 477 21,403
Foster Wheeler, Ltd. (a)....... 380 8,884
Jacobs Engineering Group, Inc.
(a)(b)....................... 327 15,729
KBR, Inc. (b).................. 441 6,703
Quanta Services, Inc. (a)(b)... 499 9,880
The Shaw Group, Inc. (a)....... 203 4,156
URS Corp. (a)(b)............... 227 9,255
-----------
76,010
-----------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials, Inc.
(b).......................... 111 10,776
Vulcan Materials Co. (b)....... 245 17,047
-----------
27,823
-----------
CONSUMER FINANCE -- 0.5%
American Express Co. (b)....... 2,741 50,846
Capital One Financial Corp.
(b).......................... 1,072 34,186
Discover Financial Services
(b).......................... 1,258 11,989
SLM Corp. (a)(b)............... 1,247 11,098
-----------
108,119
-----------
CONTAINERS & PACKAGING -- 0.3%
Ball Corp. (b)................. 266 11,063
Bemis Co., Inc. (b)............ 275 6,512
Crown Holdings, Inc. (a)(b).... 425 8,160
Owens-Illinois, Inc. (a)....... 457 12,490
Pactiv Corp. (a)(b)............ 349 8,683
Sealed Air Corp. (b)........... 425 6,349
Sonoco Products Co. ........... 261 6,045
-----------
59,302
-----------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. (b).......... 431 16,318
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Apollo Group, Inc. (a)(b)...... 352 26,970
DeVry, Inc. ................... 165 9,473
H&R Block, Inc. (b)............ 878 19,948
ITT Educational Services, Inc.
(a)(b)....................... 106 10,068
Weight Watchers International,
Inc. (b)..................... 102 3,001
-----------
69,460
-----------
DIVERSIFIED FINANCIAL SERVICES -- 3.1%
Bank of America Corp. ......... 13,412 188,841
CIT Group, Inc. (b)............ 964 4,377
Citigroup, Inc. ............... 14,571 97,771
CME Group, Inc. (b)............ 176 36,627
Intercontinental Exchange, Inc.
(a)(b)....................... 186 15,334
JPMorgan Chase & Co. .......... 10,025 316,088
Leucadia National Corp.
(a)(b)....................... 461 9,128
Moody's Corp. (b).............. 481 9,663
NYSE Euronext (b).............. 596 16,319
The Nasdaq OMX Group, Inc.
(a)(b)....................... 423 10,452
-----------
704,600
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4%
AT&T, Inc. .................... 15,897 453,065
CenturyTel, Inc. (b)........... 273 7,461
Embarq Corp. (b)............... 382 13,737
Frontier Communications Corp.
(b).......................... 838 7,324
Level 3 Communications, Inc.
(a)(b)....................... 4,197 2,938
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Qwest Communications
International, Inc. (b)...... 3,819 $ 13,901
Verizon Communications, Inc.
(b).......................... 7,662 259,742
Windstream Corp. (b)........... 1,182 10,874
-----------
769,042
-----------
ELECTRIC UTILITIES -- 2.3%
Allegheny Energy, Inc. (b)..... 452 15,305
American Electric Power Co.,
Inc. (b)..................... 1,088 36,209
DPL, Inc. (b).................. 302 6,898
Duke Energy Corp. (b).......... 3,352 50,313
Edison International (b)....... 799 25,664
Entergy Corp. ................. 515 42,812
Exelon Corp. (b)............... 1,764 98,096
FirstEnergy Corp. ............. 823 39,981
FPL Group, Inc. ............... 1,017 51,186
Northeast Utilities (b)........ 411 9,889
Pepco Holdings, Inc. (b)....... 540 9,590
Pinnacle West Capital Corp.
(b).......................... 286 9,189
PPL Corp. (b).................. 1,010 30,997
Progress Energy, Inc. (b)...... 704 28,054
The Southern Co. (b)........... 2,059 76,183
-----------
530,366
-----------
ELECTRICAL EQUIPMENT -- 0.6%
AMETEK, Inc. (b)............... 279 8,429
Cooper Industries, Ltd. (Class
A) (b)....................... 462 13,504
Emerson Electric Co. .......... 2,092 76,588
First Solar, Inc. (a)(b)....... 120 16,555
Hubbell, Inc. (Class B) (b).... 143 4,673
Rockwell Automation, Inc. (b).. 347 11,187
Roper Industries, Inc. (b)..... 236 10,245
SunPower Corp. (Class A)
(a)(b)....................... 228 8,436
-----------
149,617
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.5%
Agilent Technologies, Inc.
(a).......................... 959 14,989
Amphenol Corp. (Class A) (b)... 467 11,199
Arrow Electronics, Inc. (a).... 322 6,067
Avnet, Inc. (a)(b)............. 392 7,138
Dolby Laboratories, Inc.
(a)(b)....................... 141 4,619
FLIR Systems, Inc. (a)(b)...... 380 11,658
Ingram Micro, Inc. (Class A)
(a).......................... 379 5,075
Itron, Inc. (a)(b)............. 88 5,609
Jabil Circuit, Inc. (b)........ 484 3,267
Mettler-Toledo International,
Inc. (a)(b).................. 88 5,931
Molex, Inc. (b)................ 355 5,144
Trimble Navigation, Ltd.
(a)(b)....................... 345 7,456
Tyco Electronics, Ltd. ........ 1,257 20,376
-----------
108,528
-----------
ENERGY EQUIPMENT & SERVICES -- 1.6%
Baker Hughes, Inc. (b)......... 840 26,939
BJ Services Co. (b)............ 788 9,196
Cameron International Corp.
(a)(b)....................... 580 11,890
Diamond Offshore Drilling, Inc.
(b).......................... 176 10,373
ENSCO International, Inc. (b).. 386 10,959
Exterran Holdings, Inc.
(a)(b)....................... 172 3,664
FMC Technologies, Inc. (a)(b).. 344 8,197
Halliburton Co. ............... 2,358 42,868
Helmerich & Payne, Inc. (b).... 248 5,642
IHS, Inc. (Class A) (a)(b)..... 121 4,528
Nabors Industries, Ltd.
(a)(b)....................... 760 9,097
National-Oilwell Varco, Inc.
(a)(b)....................... 1,098 26,835
Noble Corp. (b)................ 717 15,838
Patterson-UTI Energy, Inc.
(b).......................... 413 4,754
Pride International, Inc.
(a)(b)....................... 456 7,287
Rowan Cos., Inc. (b)........... 292 4,643
Schlumberger, Ltd. (b)......... 3,190 135,033
Smith International, Inc. (b).. 579 13,253
Superior Energy Services, Inc.
(a)(b)....................... 217 3,457
Weatherford International, Ltd.
(a)(b)....................... 1,812 19,606
-----------
374,059
-----------
FOOD & STAPLES RETAILING -- 3.1%
Costco Wholesale Corp. (b)..... 1,143 60,007
CVS Caremark Corp. (b)......... 3,832 110,132
Safeway, Inc. (b).............. 1,179 28,025
SUPERVALU, Inc. (b)............ 563 8,220
Sysco Corp. ................... 1,608 36,887
The Kroger Co. (b)............. 1,633 43,128
Wal-Mart Stores, Inc. ......... 6,529 366,016
Walgreen Co. (b)............... 2,669 65,844
Whole Foods Market, Inc. (b)... 370 3,493
-----------
721,752
-----------
FOOD PRODUCTS -- 1.6%
Archer-Daniels-Midland Co.
(b).......................... 1,569 45,234
Bunge, Ltd. (b)................ 319 16,515
Campbell Soup Co. (b).......... 616 18,486
ConAgra Foods, Inc. (b)........ 1,211 19,981
Dean Foods Co. (a)............. 405 7,278
General Mills, Inc. ........... 859 52,184
H.J. Heinz Co. (b)............. 850 31,960
Hormel Foods Corp. (b)......... 195 6,061
Kellogg Co. ................... 636 27,888
Kraft Foods, Inc. (b).......... 3,618 97,143
McCormick & Co., Inc. (b)...... 306 9,749
Sara Lee Corp. (b)............. 1,729 16,927
Smithfield Foods, Inc. (a)(b).. 326 4,587
The Hershey Co. (b)............ 432 15,008
Tyson Foods, Inc. (Class A)
(b).......................... 735 6,439
-----------
375,440
-----------
GAS UTILITIES -- 0.2%
Energen Corp. (b).............. 171 5,016
Equitable Resources, Inc. (b).. 348 11,675
National Fuel Gas Co. (b)...... 182 5,702
ONEOK, Inc. ................... 264 7,688
Questar Corp. (b).............. 460 15,037
-----------
45,118
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.1%
Baxter International, Inc. .... 1,675 89,763
Beckman Coulter, Inc. (b)...... 162 7,118
Becton, Dickinson & Co. ....... 620 42,402
Boston Scientific Corp.
(a)(b)....................... 3,960 30,650
C.R. Bard, Inc. ............... 264 22,245
Covidien, Ltd. ................ 1,324 47,982
Dentsply International, Inc.
(b).......................... 369 10,421
Hologic, Inc. (a)(b)........... 672 8,783
Hospira, Inc. (a).............. 425 11,398
IDEXX Laboratories, Inc.
(a)(b)....................... 160 5,773
Intuitive Surgical, Inc.
(a)(b)....................... 107 13,588
Kinetic Concepts, Inc. (a)(b).. 136 2,608
Medtronic, Inc. ............... 3,020 94,888
St. Jude Medical, Inc. (a)..... 909 29,961
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Stryker Corp. (b).............. 849 $ 33,918
Varian Medical Systems, Inc.
(a)(b)....................... 338 11,844
Zimmer Holdings, Inc. (a)...... 601 24,292
-----------
487,634
-----------
HEALTH CARE PROVIDERS & SERVICES -- 2.1%
Aetna, Inc. (b)................ 1,257 35,824
AmerisourceBergen Corp. (b).... 426 15,191
Cardinal Health, Inc. (b)...... 965 33,264
CIGNA Corp. ................... 736 12,402
Community Health Systems, Inc.
(a)(b)....................... 246 3,587
Coventry Health Care, Inc.
(a)(b)....................... 396 5,892
DaVita, Inc. (a)............... 286 14,177
Express Scripts, Inc. (Class A)
(a)(b)....................... 557 30,624
Health Net, Inc. (a)(b)........ 281 3,060
Henry Schein, Inc. (a)(b)...... 250 9,173
Humana, Inc. (a)(b)............ 472 17,596
Laboratory Corp. of America
Holdings (a)(b).............. 295 19,001
Lincare Holdings, Inc. (a)(b).. 189 5,090
McKesson Corp. (b)............. 743 28,776
Medco Health Solutions, Inc.
(a)(b)....................... 1,317 55,195
Omnicare, Inc. (b)............. 292 8,106
Patterson Cos., Inc. (a)(b).... 303 5,681
Quest Diagnostics, Inc. (b).... 402 20,868
UnitedHealth Group, Inc. ...... 3,290 87,514
Universal Health Services, Inc.
(Class B).................... 130 4,884
WellPoint, Inc. (a)(b)......... 1,367 57,592
-----------
473,497
-----------
HEALTH CARE TECHNOLOGY -- 0.1%
Cerner Corp. (a)(b)............ 170 6,536
IMS Health, Inc. (b)........... 473 7,171
-----------
13,707
-----------
HOTELS, RESTAURANTS & LEISURE -- 1.5%
Burger King Holdings, Inc.
(b).......................... 242 5,779
Carnival Corp. (b)............. 1,127 27,409
Darden Restaurants, Inc. (b)... 333 9,384
International Game Technology
(b).......................... 800 9,512
Las Vegas Sands Corp. (a)(b)... 766 4,542
Marriott International, Inc.
(Class A) (b)................ 816 15,871
McDonald's Corp. (b)........... 2,998 186,446
MGM Mirage, Inc. (a)(b)........ 253 3,481
Penn National Gaming, Inc.
(a)(b)....................... 196 4,190
Royal Caribbean Cruises, Ltd.
(b).......................... 366 5,033
Starbucks Corp. (a)(b)......... 1,954 18,485
Starwood Hotels & Resorts
Worldwide, Inc. (b).......... 457 8,180
Wyndham Worldwide Corp. (b).... 487 3,190
Wynn Resorts, Ltd. (a)(b)...... 188 7,945
Yum! Brands, Inc. (b).......... 1,253 39,469
-----------
348,916
-----------
HOUSEHOLD DURABLES -- 0.4%
D.R. Horton, Inc. (b).......... 723 5,112
Fortune Brands, Inc. (b)....... 406 16,760
Garmin, Ltd. (b)............... 329 6,307
Leggett & Platt, Inc. (b)...... 427 6,486
Mohawk Industries, Inc.
(a)(b)....................... 143 6,145
Newell Rubbermaid, Inc. (b).... 731 7,149
NVR, Inc. (a)(b)............... 14 6,387
Pulte Homes, Inc. (b).......... 553 6,044
The Black & Decker Corp. (b)... 167 6,982
The Stanley Works (b).......... 211 7,195
Toll Brothers, Inc. (a)(b)..... 362 7,758
Whirlpool Corp. (b)............ 198 8,187
-----------
90,512
-----------
HOUSEHOLD PRODUCTS -- 3.0%
Church & Dwight Co., Inc. (b).. 185 10,382
Colgate-Palmolive Co. (b)...... 1,368 93,763
Energizer Holdings, Inc.
(a)(b)....................... 154 8,338
Kimberly-Clark Corp. .......... 1,118 58,963
Procter & Gamble Co. .......... 7,948 491,345
The Clorox Co. ................ 379 21,057
-----------
683,848
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
Calpine Corp. (a)(b)........... 936 6,814
Constellation Energy Group,
Inc. (b)..................... 477 11,968
Dynegy, Inc. (Class A) (a)(b).. 1,394 2,788
Mirant Corp. (a)............... 382 7,208
NRG Energy, Inc. (a)(b)........ 634 14,791
Reliant Energy, Inc. (a)(b).... 909 5,254
The AES Corp. (a)(b)........... 1,773 14,610
-----------
63,433
-----------
INDUSTRIAL CONGLOMERATES -- 2.5%
3M Co. (b)..................... 1,723 99,142
General Electric Co. .......... 26,720 432,864
McDermott International, Inc.
(a).......................... 609 6,017
Textron, Inc. ................. 662 9,182
Tyco International, Ltd. (b)... 1,269 27,410
-----------
574,615
-----------
INSURANCE -- 4.1%
AFLAC, Inc. ................... 1,267 58,079
American International Group,
Inc. (b)..................... 6,255 9,820
AON Corp. (b).................. 653 29,829
Arch Capital Group, Ltd.
(a)(b)....................... 134 9,393
Assurant, Inc. (b)............. 263 7,890
Axis Capital Holdings, Ltd.
(b).......................... 408 11,881
Berkshire Hathaway, Inc. (Class
A) (a)(b).................... 3 289,800
Brown & Brown, Inc. (b)........ 300 6,270
Chubb Corp. (b)................ 962 49,062
Cincinnati Financial Corp.
(b).......................... 401 11,657
CNA Financial Corp. (b)........ 71 1,167
Everest Re Group, Ltd. (b)..... 157 11,954
Fidelity National Financial,
Inc. (Class A) (b)........... 552 9,798
Genworth Financial, Inc. (Class
A) (b)....................... 1,159 3,280
Hartford Financial Services
Group, Inc. ................. 808 13,267
Lincoln National Corp. (b)..... 691 13,019
Loews Corp. (b)................ 944 26,668
Markel Corp. (a)(b)............ 25 7,475
Marsh & McLennan Cos., Inc. ... 1,367 33,177
MetLife, Inc. ................. 1,400 48,804
Nationwide Financial Services,
Inc. (Class A) (b)........... 143 7,466
Old Republic International
Corp. (b).................... 658 7,843
PartnerRe, Ltd. (b)............ 146 10,406
Principal Financial Group, Inc.
(b).......................... 644 14,535
Protective Life Corp. (b)...... 181 2,597
Prudential Financial, Inc.
(b).......................... 1,139 34,466
RenaissanceRe Holdings, Ltd.
(b).......................... 162 8,353
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Allstate Corp. (b)......... 1,444 $ 47,306
The Progressive Corp. (b)...... 1,730 25,621
The Travelers Cos., Inc. ...... 1,582 71,507
Torchmark Corp. (b)............ 233 10,415
Transatlantic Holdings, Inc.
(b).......................... 66 2,644
Unum Group (b)................. 934 17,372
W.R. Berkley Corp. (b)......... 386 11,966
White Mountains Insurance
Group, Ltd. (b).............. 22 5,877
XL Capital, Ltd. (Class A)
(b).......................... 837 3,097
-----------
933,761
-----------
INTERNET & CATALOG RETAIL -- 0.3%
Amazon.com, Inc. (a)(b)........ 830 42,562
Expedia, Inc. (a)(b)........... 553 4,557
Liberty Media Holding
Corp. -- Interactive (Series
A) (a)(b).................... 1,641 5,120
priceline.com, Inc. (a)(b)..... 118 8,691
-----------
60,930
-----------
INTERNET SOFTWARE & SERVICES -- 1.3%
Akamai Technologies, Inc.
(a)(b)....................... 446 6,730
eBay, Inc. (a)................. 2,990 41,740
Google, Inc. (Class A) (a)(b).. 607 186,744
IAC/InterActiveCorp (a)(b)..... 172 2,706
VeriSign, Inc. (a)(b).......... 518 9,883
Yahoo!, Inc. (a)(b)............ 3,443 42,005
-----------
289,808
-----------
IT SERVICES -- 1.6%
Accenture, Ltd. (Class A) (b).. 1,484 48,660
Affiliated Computer Services,
Inc. (Class A) (a)(b)........ 243 11,166
Alliance Data Systems Corp.
(a)(b)....................... 181 8,422
Automatic Data Processing, Inc.
(b).......................... 1,383 54,407
Cognizant Technology Solutions
Corp. (Class A) (a)(b)....... 767 13,852
Computer Sciences Corp.
(a)(b)....................... 404 14,197
DST Systems, Inc. (a)(b)....... 111 4,216
Fidelity National Information
Services, Inc. .............. 504 8,200
Fiserv, Inc. (a)(b)............ 437 15,894
Global Payments, Inc. (b)...... 217 7,115
Hewitt Associates, Inc. (Class
A) (a)(b).................... 237 6,726
Lender Processing Services,
Inc. (b)..................... 252 7,421
Mastercard, Inc. (Class A)
(b).......................... 229 32,731
Metavante Technologies, Inc.
(a)(b)....................... 240 3,866
Paychex, Inc. (b).............. 864 22,706
SAIC, Inc. (a)................. 495 9,643
The Western Union Co. (b)...... 1,953 28,006
Total System Services, Inc.
(b).......................... 535 7,490
Visa, Inc. (Class A)........... 1,138 59,688
-----------
364,406
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.1%
Eastman Kodak Co. (b).......... 752 4,948
Hasbro, Inc. (b)............... 338 9,860
Mattel, Inc. (b)............... 952 15,232
-----------
30,040
-----------
LIFE SCIENCES TOOLS & SERVICES -- 0.4%
Charles River Laboratories
International, Inc. (a)(b)... 185 4,847
Covance, Inc. (a)(b)........... 171 7,871
Illumina, Inc. (a)(b).......... 308 8,023
Life Technologies Corp (a)(b).. 429 10,000
Millipore Corp. (a)(b)......... 145 7,470
PerkinElmer, Inc. (b).......... 317 4,410
Pharmaceutical Product
Development, Inc. (b)........ 278 8,065
Thermo Fisher Scientific, Inc.
(a)(b)....................... 1,124 38,295
Waters Corp. (a)(b)............ 263 9,639
-----------
98,620
-----------
MACHINERY -- 1.8%
AGCO Corp. (a)(b).............. 238 5,614
Bucyrus International, Inc.
(Class A) (b)................ 198 3,667
Caterpillar, Inc. ............. 1,643 73,393
Cummins, Inc. ................. 491 13,125
Danaher Corp. (b).............. 658 37,249
Deere & Co. (b)................ 1,153 44,183
Donaldson Co., Inc. (b)........ 186 6,259
Dover Corp. (b)................ 507 16,691
Eaton Corp. (b)................ 438 21,773
Flowserve Corp. (b)............ 154 7,931
Harsco Corp. (b)............... 221 6,117
Illinois Tool Works, Inc. (b).. 1,189 41,675
Ingersoll-Rand Co., Ltd. (Class
A) (b)....................... 837 14,522
ITT Corp. (a)(b)............... 484 22,259
Joy Global, Inc. (b)........... 287 6,569
Lincoln Electric Holdings, Inc.
(b).......................... 109 5,551
Navistar International Corp.
(a)(b)....................... 165 3,528
PACCAR, Inc. (b)............... 932 26,655
Pall Corp. .................... 319 9,069
Parker-Hannifin Corp. ......... 452 19,228
Pentair, Inc. ................. 258 6,107
SPX Corp. (b).................. 143 5,799
Terex Corp. (a)(b)............. 266 4,607
The Manitowoc Co., Inc. (b).... 337 2,918
-----------
404,489
-----------
MEDIA -- 2.6%
Ascent Media Corp. (Series A)
(a).......................... 32 699
Cablevision Systems Corp.
(Class A) (b)................ 608 10,239
CBS Corp. (b).................. 1,622 13,284
Clear Channel Outdoor Holdings,
Inc. (Class A) (a)(b)........ 104 640
Comcast Corp. (Class A) (b).... 7,368 124,372
Discovery Communications, Inc.
(a)(b)....................... 747 10,577
DISH Network Corp. (Class A)
(a)(b)....................... 565 6,266
Gannett Co., Inc. (b).......... 614 4,912
Lamar Advertising Co. (Class A)
(a)(b)....................... 180 2,261
Liberty Global, Inc. (Series A)
(a)(b)....................... 826 13,150
Liberty Media
Corp. -- Entertainment
(Series A) (a)............... 1,387 24,245
News Corp. (Class A) (b)....... 6,201 56,367
Omnicom Group, Inc. (b)........ 807 21,724
Scripps Networks Interactive
(Class A) (b)................ 217 4,774
Sirius XM Radio, Inc. (a)(b)... 8,415 1,010
The DIRECTV Group, Inc.
(a)(b)....................... 1,433 32,830
The Interpublic Group of Cos.,
Inc. (a)(b).................. 1,310 5,188
The McGraw-Hill Cos., Inc.
(b).......................... 855 19,827
The Walt Disney Co. (b)........ 4,615 104,714
The Washington Post Co. (b).... 14 5,463
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Time Warner Cable, Inc. (Class
A) (a)(b).................... 413 $ 8,859
Time Warner, Inc. (b).......... 10,068 101,284
Viacom, Inc. (a)(b)............ 1,468 27,980
Virgin Media, Inc. (b)......... 791 3,947
-----------
604,612
-----------
METALS & MINING -- 0.8%
AK Steel Holding Corp. (b)..... 292 2,721
Alcoa, Inc. (b)................ 2,165 24,378
Allegheny Technologies, Inc.
(b).......................... 254 6,485
Cliffs Natural Resources, Inc.
(b).......................... 287 7,350
Freeport-McMoRan Copper & Gold,
Inc. (b)..................... 1,018 24,880
Newmont Mining Corp. .......... 1,178 47,945
Nucor Corp. (b)................ 764 35,297
Reliance Steel & Aluminum Co.
(b).......................... 170 3,390
Southern Copper Corp. (b)...... 595 9,556
Steel Dynamics, Inc. (b)....... 519 5,802
United States Steel Corp. (b).. 317 11,792
-----------
179,596
-----------
MULTI-UTILITIES -- 1.5%
Alliant Energy Corp. (b)....... 297 8,666
Ameren Corp. (b)............... 558 18,559
CenterPoint Energy, Inc. (b)... 828 10,449
CMS Energy Corp. (b)........... 584 5,904
Consolidated Edison, Inc. (b).. 723 28,146
Dominion Resources, Inc. (b)... 1,539 55,158
DTE Energy Co. (b)............. 437 15,588
Integrys Energy Group, Inc.
(b).......................... 203 8,725
MDU Resources Group, Inc. (b).. 450 9,711
NiSource, Inc. ................ 719 7,887
NSTAR (b)...................... 283 10,327
PG&E Corp. (b)................. 954 36,929
Public Service Enterprise
Group, Inc. ................. 1,375 40,109
Puget Energy, Inc. (b)......... 315 8,590
SCANA Corp. (b)................ 296 10,538
Sempra Energy (b).............. 614 26,175
TECO Energy, Inc. (b).......... 530 6,546
Wisconsin Energy Corp. (b)..... 312 13,098
Xcel Energy, Inc. ............. 1,241 23,021
-----------
344,126
-----------
MULTILINE RETAIL -- 0.6%
Dollar Tree Stores, Inc.
(a)(b)....................... 241 10,074
Family Dollar Stores, Inc.
(b).......................... 351 9,151
J. C. Penney Co., Inc. (b)..... 526 10,362
Kohl's Corp. (a)(b)............ 775 28,055
Macy's, Inc. (b)............... 1,110 11,488
Nordstrom, Inc. (b)............ 456 6,069
Sears Holdings Corp. (a)(b).... 145 5,636
Target Corp. (b)............... 1,811 62,534
-----------
143,369
-----------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp. (b)................ 2,330 18,570
-----------
OIL, GAS & CONSUMABLE FUELS -- 11.5%
Alpha Natural Resources, Inc.
(a)(b)....................... 187 3,028
Anadarko Petroleum Corp. ...... 1,248 48,110
Apache Corp. (b)............... 889 66,257
Arch Coal, Inc. (b)............ 380 6,190
Boardwalk Pipeline Partners LP
(b).......................... 131 2,329
Cabot Oil & Gas Corp. (b)...... 289 7,514
Chesapeake Energy Corp. (b).... 1,561 25,241
Chevron Corp. ................. 5,455 403,506
Cimarex Energy Co. (b)......... 215 5,758
CNX Gas Corp. (a)(b)........... 73 1,993
ConocoPhillips (b)............. 3,712 192,282
CONSOL Energy, Inc. (b)........ 491 14,033
Continental Resources, Inc.
(a)(b)....................... 88 1,822
Denbury Resources, Inc.
(a)(b)....................... 653 7,131
Devon Energy Corp. (b)......... 1,128 74,121
El Paso Corp. (b).............. 1,886 14,767
Enbridge Energy Partners LP
(b).......................... 165 4,207
Energy Transfer Equity LP (b).. 490 7,943
Energy Transfer Partners LP.... 230 7,822
Enterprise GP Holdings LP (b).. 90 1,569
Enterprise Products Partners LP
(b).......................... 762 15,796
EOG Resources, Inc. (b)........ 665 44,276
Exxon Mobil Corp. (b).......... 13,642 1,089,041
Forest Oil Corp. (a)(b)........ 212 3,496
Hess Corp. .................... 787 42,215
Kinder Morgan Energy Partners
LP (b)....................... 439 20,084
Kinder Morgan Management LLC
(a)(b)....................... 200 7,996
Marathon Oil Corp. ............ 1,919 52,504
Massey Energy Co. (b).......... 228 3,144
Murphy Oil Corp. (b)........... 505 22,397
Newfield Exploration Co.
(a)(b)....................... 344 6,794
Noble Energy, Inc. (b)......... 468 23,035
Occidental Petroleum Corp.
(b).......................... 2,201 132,038
ONEOK Partners LP (b).......... 142 6,468
Patriot Coal Corp. (a)(b)...... 162 1,013
Peabody Energy Corp. (b)....... 722 16,425
Petrohawk Energy Corp. (a)(b).. 659 10,300
Pioneer Natural Resources Co.
(b).......................... 320 5,178
Plains All American Pipeline LP
(b).......................... 285 9,887
Plains Exploration & Production
Co. (a)(b)................... 284 6,600
Quicksilver Resources, Inc.
(a)(b)....................... 291 1,621
Range Resources Corp. (b)...... 411 14,134
SandRidge Energy, Inc. (a)(b).. 243 1,494
Southwestern Energy Co. (a).... 912 26,421
Spectra Energy Corp. (b)....... 1,653 26,018
Sunoco, Inc. (b)............... 317 13,777
Teekay Corp. (b)............... 105 2,063
The Williams Cos., Inc. (b).... 1,541 22,314
Ultra Petroleum Corp. (a)(b)... 402 13,873
Valero Energy Corp. (b)........ 1,401 30,318
Walter Industries, Inc. (b).... 150 2,626
Whiting Petroleum Corp.
(a)(b)....................... 111 3,714
XTO Energy, Inc. (b)........... 1,525 53,787
-----------
2,626,470
-----------
PAPER & FOREST PRODUCTS -- 0.2%
Domtar Corp. (a)(b)............ 1,290 2,154
International Paper Co. (b).... 1,157 13,653
MeadWestvaco Corp. (b)......... 437 4,890
Weyerhaeuser Co. (b)........... 564 17,264
-----------
37,961
-----------
PERSONAL PRODUCTS -- 0.2%
Avon Products, Inc. (b)........ 1,142 27,442
The Estee Lauder Cos., Inc.
(Class A) (b)................ 288 8,917
-----------
36,359
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PHARMACEUTICALS -- 7.3%
Abbott Laboratories (b)........ 4,123 $ 220,044
Allergan, Inc. ................ 827 33,345
Bristol-Myers Squibb Co. ...... 5,293 123,062
Eli Lilly & Co. ............... 2,585 104,098
Endo Pharmaceuticals Holdings,
Inc. (a)(b).................. 301 7,790
Forest Laboratories, Inc. (a).. 817 20,809
Johnson & Johnson.............. 7,477 447,349
King Pharmaceuticals, Inc.
(a)(b)....................... 647 6,871
Merck & Co., Inc. (b).......... 5,689 172,946
Mylan, Inc. (a)(b)............. 856 8,466
Pfizer, Inc. .................. 18,038 319,453
Schering-Plough Corp. (b)...... 4,366 74,353
Warner Chilcott, Ltd. (Class A)
(a)(b)....................... 215 3,117
Wyeth.......................... 3,570 133,911
-----------
1,675,614
-----------
PROFESSIONAL SERVICES -- 0.2%
Equifax, Inc. (b).............. 340 9,017
FTI Consulting, Inc. (a)(b).... 132 5,898
Manpower, Inc. ................ 205 6,968
Monster Worldwide, Inc.
(a)(b)....................... 324 3,917
Robert Half International, Inc.
(b).......................... 425 8,848
The Dun & Bradstreet Corp. .... 154 11,889
-----------
46,537
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
AMB Property Corp. (b)......... 261 6,113
Annaly Capital Management, Inc.
(b).......................... 1,470 23,329
Apartment Investment &
Management Co. (Class A)
(b).......................... 251 2,899
Avalonbay Communities, Inc.
(b).......................... 205 12,419
Boston Properties, Inc. (b).... 319 17,545
Camden Property Trust (b)...... 143 4,482
CapitalSource, Inc. (b)........ 595 2,749
Developers Diversified Realty
Corp. (b).................... 320 1,562
Duke Realty Corp. (b).......... 383 4,198
Equity Residential............. 729 21,739
Federal Realty Investment Trust
(b).......................... 154 9,560
General Growth Properties, Inc.
(b).......................... 670 864
HCP, Inc. (b).................. 668 18,550
Health Care REIT, Inc. (b)..... 273 11,521
Host Hotels & Resorts, Inc.
(b).......................... 1,375 10,409
Kimco Realty Corp. (b)......... 592 10,822
Liberty Property Trust (a)..... 242 5,525
Mack-Cali Realty Corp. (b)..... 169 4,140
Plum Creek Timber Co., Inc.
(b).......................... 457 15,876
ProLogis (b)................... 702 9,751
Public Storage (b)............. 341 27,109
Rayonier, Inc. (b)............. 208 6,521
Regency Centers Corp. (b)...... 184 8,593
Simon Property Group, Inc.
(b).......................... 599 31,825
SL Green Realty Corp. (b)...... 157 4,066
The Macerich Co. (b)........... 195 3,541
UDR, Inc. (b).................. 337 4,647
Ventas, Inc. (b)............... 383 12,857
Vornado Realty Trust (a)(b).... 384 23,174
Weingarten Realty Investors
(b).......................... 205 4,241
-----------
320,627
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.0% (d)
Brookfield Properties Corp. ... 541 4,182
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............. 568 2,453
Forest City Enterprises, Inc.
(Class A) (b)................ 184 1,233
-----------
7,868
-----------
ROAD & RAIL -- 1.0%
Burlington Northern Santa Fe
Corp. (b).................... 761 57,615
CSX Corp. ..................... 1,035 33,607
Hertz Global Holdings, Inc.
(a)(b)....................... 357 1,810
J.B. Hunt Transport Services,
Inc. (b)..................... 295 7,750
Kansas City Southern (a)(b).... 242 4,610
Norfolk Southern Corp. (b)..... 1,007 47,379
Ryder Systems, Inc. (b)........ 153 5,933
Union Pacific Corp. (b)........ 1,370 65,486
-----------
224,190
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.1%
Advanced Micro Devices, Inc.
(a)(b)....................... 1,487 3,212
Altera Corp. (b)............... 792 13,234
Analog Devices, Inc. (b)....... 783 14,893
Applied Materials, Inc. (b).... 3,659 37,066
Broadcom Corp. (Class A)
(a)(b)....................... 1,183 20,075
Cypress Semiconductor Corp.
(a)(b)....................... 396 1,770
Intel Corp. (b)................ 14,953 219,211
Intersil Corp. (Class A) (b)... 339 3,115
KLA-Tencor Corp. (b)........... 467 10,176
Lam Research Corp. (a)(b)...... 342 7,278
Linear Technology Corp. (b).... 548 12,122
LSI Logic Corp. (a)(b)......... 1,705 5,609
Marvell Technology Group, Ltd.
(a).......................... 1,249 8,331
Maxim Integrated Products, Inc.
(b).......................... 855 9,764
MEMC Electronic Materials, Inc.
(a)(b)....................... 602 8,597
Microchip Technology, Inc.
(b).......................... 492 9,609
Micron Technology, Inc.
(a)(b)....................... 2,016 5,322
National Semiconductor Corp.
(b).......................... 612 6,163
NVIDIA Corp. (a)(b)............ 1,480 11,944
ON Semiconductor Corp. (a)(b).. 1,077 3,662
Texas Instruments, Inc. (b).... 3,499 54,304
Varian Semiconductor Equipment
Associates, Inc. (a)(b)...... 192 3,479
Xilinx, Inc. (b)............... 738 13,151
-----------
482,087
-----------
SOFTWARE -- 3.5%
Activision Blizzard, Inc.
(a)(b)....................... 1,567 13,539
Adobe Systems, Inc. (a)........ 1,428 30,402
Ansys, Inc. (a)(b)............. 239 6,666
Autodesk, Inc. (a)(b).......... 607 11,927
BMC Software, Inc. (a)(b)...... 531 14,289
CA, Inc. (b)................... 1,096 20,309
Citrix Systems, Inc. (a)....... 514 12,115
Electronic Arts, Inc. (a)(b)... 848 13,602
Intuit, Inc. (a)(b)............ 790 18,794
McAfee, Inc. (a)(b)............ 410 14,174
Microsoft Corp. ............... 21,240 412,906
Oracle Corp. (a)(b)............ 10,522 186,555
Red Hat, Inc. (a)(b)........... 501 6,623
Salesforce.com, Inc. (a)(b).... 272 8,707
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Symantec Corp. (a)(b).......... 2,258 $ 30,528
Synopsys, Inc. (a)(b).......... 373 6,908
VMware, Inc. (Class A) (a)(b).. 99 2,345
-----------
810,389
-----------
SPECIALTY RETAIL -- 1.8%
Abercrombie & Fitch Co. (Class
A) (b)....................... 228 5,260
Advance Auto Parts, Inc. (b)... 269 9,052
American Eagle Outfitters,
Inc. ........................ 479 4,483
AutoZone, Inc. (a)(b).......... 98 13,668
Bed Bath & Beyond, Inc.
(a)(b)....................... 718 18,252
Best Buy Co., Inc. (b)......... 895 25,159
CarMax, Inc. (a)(b)............ 530 4,176
GameStop Corp. (Class A)
(a)(b)....................... 402 8,707
Guess ?, Inc. (b).............. 164 2,517
Limited Brands, Inc. (b)....... 776 7,791
Lowe's Cos., Inc. (b).......... 3,924 84,445
O'Reilly Automotive, Inc.
(a)(b)....................... 360 11,066
PetSmart, Inc. (b)............. 345 6,365
Ross Stores, Inc. (b).......... 363 10,792
Staples, Inc. (b).............. 1,892 33,905
The Gap, Inc. (b).............. 1,402 18,773
The Home Depot, Inc. (b)....... 4,553 104,810
The Sherwin-Williams Co. (b)... 264 15,774
The TJX Cos., Inc. (b)......... 1,123 23,100
Tiffany & Co. (b).............. 332 7,845
Urban Outfitters, Inc. (a)(b).. 310 4,644
-----------
420,584
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.3%
Coach, Inc. (a)................ 896 18,610
NIKE, Inc. (Class B) (b)....... 706 36,006
Polo Ralph Lauren Corp. (b).... 154 6,993
V. F. Corp. (b)................ 229 12,542
-----------
74,151
-----------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Hudson City Bancorp, Inc. (b).. 1,304 20,812
New York Community Bancorp,
Inc. (b)..................... 898 10,740
People's United Financial, Inc.
(b).......................... 457 8,148
Sovereign Bancorp, Inc.
(a)(b)....................... 1,413 4,211
TFS Financial Corp. (b)........ 296 3,818
-----------
47,729
-----------
TOBACCO -- 1.7%
Altria Group, Inc. ............ 5,544 83,493
Lorillard, Inc. ............... 460 25,921
Philip Morris International,
Inc. (b)..................... 5,438 236,607
Reynolds American, Inc. (b).... 468 18,865
UST, Inc. (b).................. 373 25,879
-----------
390,765
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. (b)............... 383 13,348
W.W. Grainger, Inc. (b)........ 173 13,639
-----------
26,987
-----------
WATER UTILITIES(D) -- 0.0% (d)
American Water Works Co., Inc.
(b).......................... 154 3,216
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.4%
American Tower Corp. (Class A)
(a)(b)....................... 1,067 31,284
Crown Castle International
Corp. (a)(b)................. 645 11,339
Leap Wireless International,
Inc. (a)(b).................. 130 3,496
MetroPCS Communications, Inc.
(a).......................... 613 9,103
NII Holdings, Inc. (a)(b)...... 443 8,054
SBA Communications Corp. (Class
A) (a)....................... 276 4,504
Sprint Nextel Corp. (a)(b)..... 7,580 13,871
Telephone & Data Systems, Inc.
(b).......................... 272 8,636
US Cellular Corp. (a)(b)....... 44 1,903
-----------
92,190
-----------
TOTAL COMMON STOCKS --
(Cost $25,850,578)........... 22,853,810
-----------
SHORT TERM INVESTMENTS -- 24.6%
MONEY MARKET FUNDS -- 24.6%
State Street Navigator
Securities Lending Prime
Portfolio (e)(f)............. 5,408,269 5,408,269
STIC Prime Portfolio........... 235,398 235,398
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $5,643,667)............ 5,643,667
-----------
TOTAL INVESTMENTS -- 124.3%
(Cost $31,494,245)........... 28,497,477
OTHER ASSETS AND
LIABILITIES -- (24.3)%....... (5,573,637)
-----------
NET ASSETS -- 100.0%........... $22,923,840
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Affiliated issuer. (Note 3)
(d) Amount shown represents less than 0.05% of net assets.
(e) Investments of cash collateral for securities loaned.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.8%
Alliant Techsystems, Inc.
(a)(b)...................... 1,251 $ 107,286
General Dynamics Corp. ....... 12,520 721,027
L-3 Communications Holdings,
Inc. ....................... 4,670 344,553
Lockheed Martin Corp. ........ 12,280 1,032,502
Precision Castparts Corp. .... 5,341 317,683
Rockwell Collins, Inc. ....... 6,091 238,097
Spirit Aerosystems Holdings,
Inc. (a)(b)................. 3,774 38,381
United Technologies Corp.
(b)......................... 33,963 1,820,417
------------
4,619,946
------------
AIR FREIGHT & LOGISTICS -- 0.8%
C.H. Robinson Worldwide, Inc.
(b)......................... 6,578 361,987
Expeditors International
Washington, Inc. (b)........ 8,243 274,245
FedEx Corp. .................. 11,136 714,374
------------
1,350,606
------------
AIRLINES -- 0.2%
AMR Corp. (a)(b).............. 10,689 114,052
Southwest Airlines Co. (b).... 28,263 243,627
------------
357,679
------------
AUTO COMPONENTS -- 0.1%
BorgWarner, Inc. (b).......... 4,464 97,181
The Goodyear Tire & Rubber Co.
(a)(b)...................... 8,921 53,259
------------
150,440
------------
AUTOMOBILES -- 0.1%
Harley-Davidson, Inc. (b)..... 9,039 153,392
------------
BEVERAGES -- 2.3%
Brown-Forman Corp. (Class B)
(b)......................... 3,546 182,584
Constellation Brands, Inc.
(Class A) (a)(b)............ 7,219 113,844
Hansen Natural Corp. (a)...... 2,929 98,209
PepsiCo, Inc. ................ 60,202 3,297,264
The Pepsi Bottling Group,
Inc. ....................... 5,297 119,235
------------
3,811,136
------------
BIOTECHNOLOGY -- 5.1%
Abraxis Bioscience, Inc.
(a)(b)...................... 214 14,107
Alexion Pharmaceuticals, Inc.
(a)(b)...................... 2,878 104,155
Amgen, Inc. (a)............... 40,677 2,349,097
Amylin Pharmaceuticals, Inc.
(a)(b)...................... 4,857 52,698
Biogen Idec, Inc. (a)......... 11,255 536,076
BioMarin Pharmaceutical, Inc.
(a)(b)...................... 3,916 69,705
Celgene Corp. (a)............. 17,462 965,299
Cephalon, Inc. (a)(b)......... 2,588 199,379
Genentech, Inc. (a)........... 17,848 1,479,778
Genzyme Corp. (a)............. 10,297 683,412
Gilead Sciences, Inc. (a)(b).. 35,131 1,796,599
Vertex Pharmaceuticals, Inc.
(a)(b)...................... 5,787 175,809
------------
8,426,114
------------
CAPITAL MARKETS -- 1.3%
Affiliated Managers Group,
Inc. (a)(b)................. 1,528 64,054
BlackRock, Inc. (b)........... 720 96,588
Eaton Vance Corp. (b)......... 4,481 94,146
Franklin Resources, Inc. (b).. 6,171 393,586
Invesco, Ltd. (b)............. 14,911 215,315
Raymond James Financial, Inc.
(b)......................... 3,550 60,811
SEI Investments Co. (b)....... 5,170 81,221
T. Rowe Price Group, Inc.
(b)......................... 9,831 348,411
TD Ameritrade Holding Corp.
(a)......................... 9,516 135,603
The Charles Schwab Corp. ..... 36,085 583,494
------------
2,073,229
------------
CHEMICALS -- 1.9%
Airgas, Inc. ................. 2,616 101,998
Albemarle Corp. .............. 3,553 79,232
Celanese Corp. (Series A)
(b)......................... 5,518 68,589
Ecolab, Inc. ................. 6,640 233,396
Huntsman Corp. (b)............ 3,173 10,915
Intrepid Potash, Inc. (a)(b).. 1,518 31,529
Monsanto Co. ................. 20,789 1,462,506
Praxair, Inc. ................ 12,139 720,571
Sigma-Aldrich Corp. .......... 4,176 176,394
Terra Industries, Inc. ....... 3,902 65,046
The Mosaic Co. ............... 5,770 199,642
------------
3,149,818
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.8%
Cintas Corp. (b).............. 5,221 121,284
Copart, Inc. (a)(b)........... 2,373 64,522
Corrections Corp. of America
(a)......................... 4,662 76,270
Covanta Holding Corp. (a)(b).. 4,816 105,759
Iron Mountain, Inc. (a)(b).... 7,043 174,174
Stericycle, Inc. (a)(b)....... 3,350 174,468
Waste Management, Inc. (a).... 18,942 627,738
------------
1,344,215
------------
COMMUNICATIONS EQUIPMENT -- 4.5%
Cisco Systems, Inc. (a)....... 226,532 3,692,472
Corning, Inc. ................ 60,013 571,924
EchoStar Corp. (Class A)
(a)(b)...................... 1,494 22,216
Harris Corp. ................. 5,208 198,164
JDS Uniphase Corp. (a)(b)..... 8,362 30,521
Juniper Networks, Inc.
(a)(b)...................... 20,935 366,572
Motorola, Inc. (b)............ 81,232 359,858
QUALCOMM, Inc. ............... 63,164 2,263,166
------------
7,504,893
------------
COMPUTERS & PERIPHERALS -- 5.1%
Apple, Inc. (a)(b)............ 34,197 2,918,714
Dell, Inc. (a)................ 66,371 679,639
EMC Corp. (a)................. 79,034 827,486
Hewlett-Packard Co. .......... 94,897 3,443,812
NCR Corp. (a)................. 6,025 85,193
NetApp, Inc. (a).............. 12,588 175,854
SanDisk Corp. (a)(b).......... 8,621 82,762
Teradata Corp. (a)............ 6,701 99,376
Western Digital Corp. (a)..... 8,719 99,833
------------
8,412,669
------------
CONSTRUCTION & ENGINEERING -- 0.6%
Fluor Corp. .................. 6,920 310,501
Foster Wheeler, Ltd. (a)...... 5,371 125,574
Jacobs Engineering Group, Inc.
(a)(b)...................... 4,675 224,868
KBR, Inc. (b)................. 6,127 93,130
Quanta Services, Inc. (a)..... 7,588 150,242
The Shaw Group, Inc. (a)...... 2,837 58,073
------------
962,388
------------
CONSTRUCTION MATERIALS -- 0.1%
Martin Marietta Materials,
Inc. (b).................... 1,606 155,911
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CONSUMER FINANCE -- 0.6%
American Express Co. (b)...... 39,164 $ 726,492
Discover Financial Services... 18,411 175,457
------------
901,949
------------
CONTAINERS & PACKAGING -- 0.3%
Ball Corp. (b)................ 3,620 150,556
Crown Holdings, Inc. (a)...... 6,187 118,790
Pactiv Corp. (a)(b)........... 5,023 124,972
Sealed Air Corp. ............. 6,093 91,030
------------
485,348
------------
DIVERSIFIED CONSUMER SERVICES -- 0.6%
Apollo Group, Inc. (a)........ 5,053 387,161
DeVry, Inc. .................. 2,384 136,866
H&R Block, Inc. (b)........... 12,995 295,246
ITT Educational Services, Inc.
(a)(b)...................... 1,484 140,950
Weight Watchers International,
Inc. (b).................... 1,283 37,746
------------
997,969
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.9%
CME Group, Inc. .............. 2,573 535,467
Intercontinental Exchange,
Inc. (a).................... 2,811 231,739
Leucadia National Corp. (a)... 6,421 127,136
Moody's Corp. (b)............. 7,855 157,807
NYSE Euronext (b)............. 8,737 239,219
The Nasdaq OMX Group, Inc.
(a)(b)...................... 6,046 149,396
------------
1,440,764
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1%
Level 3 Communications, Inc.
(a)(b)...................... 59,436 41,605
Windstream Corp. (b).......... 16,363 150,540
------------
192,145
------------
ELECTRIC UTILITIES -- 0.1%
Allegheny Energy, Inc. ....... 6,513 220,530
------------
ELECTRICAL EQUIPMENT -- 1.2%
AMETEK, Inc. ................. 4,127 124,676
Cooper Industries, Ltd. (Class
A) (b)...................... 6,739 196,981
Emerson Electric Co. ......... 30,080 1,101,229
First Solar, Inc. (a)(b)...... 1,705 235,222
Roper Industries, Inc. (b).... 3,495 151,718
SunPower Corp. (Class A)
(a)(b)...................... 3,184 117,808
------------
1,927,634
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9%
Agilent Technologies, Inc.
(a)......................... 13,645 213,271
Amphenol Corp. (Class A) (b).. 6,506 156,014
Arrow Electronics, Inc. (a)... 4,505 84,874
Avnet, Inc. (a)............... 5,545 100,974
Dolby Laboratories, Inc.
(a)(b)...................... 1,956 64,079
FLIR Systems, Inc. (a)(b)..... 5,372 164,813
Itron, Inc. (a)(b)............ 1,276 81,332
Jabil Circuit, Inc. .......... 6,933 46,798
Mettler-Toledo International,
Inc. (a)(b)................. 1,322 89,103
Molex, Inc. (b)............... 5,289 76,638
Trimble Navigation, Ltd.
(a)(b)...................... 4,499 97,223
Tyco Electronics, Ltd. ....... 18,185 294,779
------------
1,469,898
------------
ENERGY EQUIPMENT & SERVICES -- 3.2%
Baker Hughes, Inc. (b)........ 11,810 378,747
BJ Services Co. (b)........... 10,954 127,833
Cameron International Corp.
(a)......................... 8,108 166,214
Diamond Offshore Drilling,
Inc. (b).................... 2,523 148,706
ENSCO International, Inc. .... 5,479 155,549
Exterran Holdings, Inc.
(a)(b)...................... 2,371 50,502
FMC Technologies, Inc. (a).... 4,925 117,363
Halliburton Co. .............. 34,435 626,028
Helmerich & Payne, Inc. (b)... 3,647 82,969
IHS, Inc. (Class A) (a)(b).... 1,653 61,855
Nabors Industries, Ltd.
(a)(b)...................... 10,727 128,402
National-Oilwell Varco, Inc.
(a)......................... 15,769 385,394
Noble Corp. .................. 10,303 227,593
Patterson-UTI Energy, Inc.
(b)......................... 5,809 66,862
Pride International, Inc.
(a)......................... 6,412 102,464
Rowan Cos., Inc. ............. 4,137 65,778
Schlumberger, Ltd. ........... 45,886 1,942,354
Smith International, Inc. .... 8,361 191,383
Superior Energy Services, Inc.
(a)......................... 2,961 47,169
Weatherford International,
Ltd. (a)(b)................. 26,120 282,619
------------
5,355,784
------------
FOOD & STAPLES RETAILING -- 5.6%
Costco Wholesale Corp. ....... 16,709 877,223
CVS Caremark Corp. ........... 55,063 1,582,511
Sysco Corp. .................. 23,135 530,717
Wal-Mart Stores, Inc. ........ 93,904 5,264,258
Walgreen Co. (b).............. 38,182 941,950
Whole Foods Market, Inc. ..... 5,137 48,493
------------
9,245,152
------------
FOOD PRODUCTS -- 0.5%
Archer-Daniels-Midland Co. ... 22,527 649,453
Dean Foods Co. (a)(b)......... 5,946 106,850
------------
756,303
------------
GAS UTILITIES -- 0.3%
Energen Corp. (b)............. 2,383 69,893
Equitable Resources, Inc.
(b)......................... 4,992 167,482
ONEOK, Inc. .................. 3,795 110,510
Questar Corp. (b)............. 6,697 218,925
------------
566,810
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 4.1%
Baxter International, Inc. ... 23,837 1,277,425
Beckman Coulter, Inc. (b)..... 2,330 102,380
Becton, Dickinson & Co. ...... 8,831 603,952
Boston Scientific Corp. (a)... 56,917 440,538
C.R. Bard, Inc. (b)........... 3,809 320,946
Covidien, Ltd. ............... 18,896 684,791
Dentsply International, Inc.
(b)......................... 5,175 146,142
Hologic, Inc. (a)(b).......... 9,982 130,465
IDEXX Laboratories, Inc.
(a)(b)...................... 2,204 79,520
Intuitive Surgical, Inc.
(a)(b)...................... 1,474 187,183
Kinetic Concepts, Inc.
(a)(b)...................... 1,855 35,579
Medtronic, Inc. .............. 43,186 1,356,904
St. Jude Medical, Inc. (a).... 13,091 431,479
Stryker Corp. ................ 12,047 481,278
Varian Medical Systems, Inc.
(a)(b)...................... 4,851 169,979
Zimmer Holdings, Inc. (a)..... 8,620 348,421
------------
6,796,982
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
HEALTH CARE PROVIDERS & SERVICES -- 3.8%
Aetna, Inc. .................. 17,831 $ 508,184
AmerisourceBergen Corp. ...... 6,095 217,348
Cardinal Health, Inc. ........ 13,698 472,170
Community Health Systems, Inc.
(a)(b)...................... 3,486 50,826
Coventry Health Care, Inc.
(a)(b)...................... 5,500 81,840
DaVita, Inc. (a).............. 4,032 199,866
Express Scripts, Inc. (Class
A) (a)...................... 8,032 441,599
Health Net, Inc. (a)(b)....... 3,944 42,950
Henry Schein, Inc. (a)........ 3,504 128,562
Humana, Inc. (a).............. 6,565 244,743
Lincare Holdings, Inc.
(a)(b)...................... 2,938 79,120
McKesson Corp. (b)............ 10,664 413,017
Medco Health Solutions, Inc.
(a)......................... 19,465 815,778
Omnicare, Inc. ............... 3,945 109,513
Patterson Cos., Inc. (a)(b)... 4,396 82,425
Quest Diagnostics, Inc. (b)... 5,774 299,728
UnitedHealth Group, Inc. ..... 47,279 1,257,621
WellPoint, Inc. (a)........... 19,642 827,518
------------
6,272,808
------------
HEALTH CARE TECHNOLOGY -- 0.1%
Cerner Corp. (a)(b)........... 2,407 92,549
IMS Health, Inc. ............. 6,999 106,105
------------
198,654
------------
HOTELS, RESTAURANTS & LEISURE -- 1.1%
Burger King Holdings, Inc.
(b)......................... 3,382 80,762
Darden Restaurants, Inc. (b).. 4,987 140,534
International Game Technology
(b)......................... 11,270 134,000
Las Vegas Sands Corp. (a)(b).. 10,731 63,635
Marriott International, Inc.
(Class A) (b)............... 11,762 228,771
MGM Mirage, Inc. (a)(b)....... 3,497 48,119
Penn National Gaming, Inc.
(a)......................... 2,655 56,764
Starbucks Corp. (a)........... 28,253 267,273
Starwood Hotels & Resorts
Worldwide, Inc. (b)......... 6,293 112,645
Wyndham Worldwide Corp. (b)... 6,358 41,645
Wynn Resorts, Ltd. (a)........ 2,548 107,678
Yum! Brands, Inc. ............ 17,945 565,267
------------
1,847,093
------------
HOUSEHOLD DURABLES -- 0.2%
Garmin, Ltd. (b).............. 4,607 88,316
Pulte Homes, Inc. (b)......... 8,120 88,752
Toll Brothers, Inc. (a)(b).... 4,750 101,792
------------
278,860
------------
HOUSEHOLD PRODUCTS -- 5.4%
Church & Dwight Co., Inc. .... 2,674 150,065
Colgate-Palmolive Co. (b)..... 19,577 1,341,807
Energizer Holdings, Inc.
(a)(b)...................... 2,133 115,481
Procter & Gamble Co. (b)...... 113,982 7,046,367
The Clorox Co. ............... 5,291 293,968
------------
8,947,688
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.5%
Calpine Corp. (a)(b).......... 13,921 101,345
Constellation Energy Group,
Inc. (b).................... 6,877 172,544
Dynegy, Inc. (Class A) (a).... 18,024 36,048
NRG Energy, Inc. (a)(b)....... 8,846 206,377
Reliant Energy, Inc. (a)...... 12,898 74,550
The AES Corp. (a)(b).......... 25,657 211,414
------------
802,278
------------
INDUSTRIAL CONGLOMERATES -- 0.1%
McDermott International, Inc.
(a)......................... 8,450 83,486
------------
INSURANCE -- 1.0%
AFLAC, Inc. .................. 18,109 830,116
Axis Capital Holdings, Ltd. .. 5,461 159,024
Brown & Brown, Inc. .......... 4,124 86,192
The Progressive Corp. ........ 24,338 360,446
W.R. Berkley Corp. ........... 5,299 164,269
------------
1,600,047
------------
INTERNET & CATALOG RETAIL -- 0.5%
Amazon.com, Inc. (a).......... 11,892 609,822
Expedia, Inc. (a)............. 7,442 61,322
Liberty Media Holding
Corp. -- Interactive (Series
A) (a)(b)................... 22,605 70,528
priceline.com, Inc. (a)(b).... 1,514 111,506
------------
853,178
------------
INTERNET SOFTWARE & SERVICES -- 2.5%
Akamai Technologies, Inc.
(a)(b)...................... 6,529 98,523
eBay, Inc. (a)................ 43,004 600,336
Google, Inc. (Class A) (a).... 8,723 2,683,631
IAC/InterActiveCorp (a)(b).... 2,359 37,107
VeriSign, Inc. (a)(b)......... 7,473 142,585
Yahoo!, Inc. (a)(b)........... 49,637 605,571
------------
4,167,753
------------
IT SERVICES -- 3.0%
Accenture, Ltd. (Class A)..... 21,278 697,706
Affiliated Computer Services,
Inc. (Class A) (a).......... 3,549 163,076
Alliance Data Systems Corp.
(a)(b)...................... 2,465 114,696
Automatic Data Processing,
Inc. (b).................... 19,787 778,420
Cognizant Technology Solutions
Corp. (Class A) (a)(b)...... 11,169 201,712
DST Systems, Inc. (a)(b)...... 1,599 60,730
Fidelity National Information
Services, Inc. ............. 7,026 114,313
Fiserv, Inc. (a).............. 6,396 232,622
Global Payments, Inc. ........ 3,058 100,272
Hewitt Associates, Inc. (Class
A) (a)...................... 3,489 99,018
Mastercard, Inc. (Class A)
(b)......................... 3,309 472,955
Metavante Technologies, Inc.
(a)(b)...................... 3,216 51,810
Paychex, Inc. (b)............. 12,445 327,055
SAIC, Inc. (a)................ 7,370 143,568
The Western Union Co. ........ 28,073 402,567
Total System Services, Inc. .. 7,721 108,094
Visa, Inc. (Class A) (b)...... 16,508 865,845
------------
4,934,459
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.9%
Charles River Laboratories
International, Inc. (a)(b).. 2,640 69,168
Covance, Inc. (a)............. 2,413 111,070
Illumina, Inc. (a)(b)......... 4,758 123,946
Life Technologies Corp
(a)(b)...................... 6,715 156,527
Millipore Corp. (a)(b)........ 2,175 112,056
PerkinElmer, Inc. ............ 4,406 61,287
Pharmaceutical Product
Development, Inc. .......... 3,958 114,822
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Thermo Fisher Scientific, Inc.
(a)(b)...................... 16,137 $ 549,788
Waters Corp. (a)(b)........... 3,825 140,186
------------
1,438,850
------------
MACHINERY -- 3.0%
AGCO Corp. (a)(b)............. 3,398 80,159
Bucyrus International, Inc.
(Class A) (b)............... 2,796 51,782
Caterpillar, Inc. ............ 23,430 1,046,618
Cummins, Inc. ................ 7,015 187,511
Danaher Corp. (b)............. 9,471 536,153
Deere & Co. (b)............... 16,620 636,879
Donaldson Co., Inc. .......... 2,597 87,389
Dover Corp. (b)............... 7,331 241,337
Harsco Corp. (b).............. 3,134 86,749
Illinois Tool Works, Inc.
(b)......................... 17,163 601,563
ITT Corp. .................... 7,025 323,080
Joy Global, Inc. ............. 4,036 92,384
Lincoln Electric Holdings,
Inc. (b).................... 1,528 77,821
Navistar International Corp.
(a)(b)...................... 2,274 48,618
PACCAR, Inc. (b).............. 13,410 383,526
Pall Corp. ................... 4,666 132,654
Parker-Hannifin Corp. ........ 6,471 275,276
Terex Corp. (a)............... 3,657 63,339
The Manitowoc Co., Inc. (b)... 4,767 41,282
------------
4,994,120
------------
MEDIA -- 5.0%
Ascent Media Corp. (Series A)
(a)......................... 493 10,767
Cablevision Systems Corp.
(Class A) (b)............... 8,645 145,582
Clear Channel Outdoor
Holdings, Inc. (Class A)
(b)......................... 1,342 8,253
Comcast Corp. (Class A)....... 106,074 1,790,529
Discovery Communications, Inc.
(Series A) (a)(b)........... 10,422 147,575
DISH Network Corp. (Class A)
(a)(b)...................... 7,875 87,334
Lamar Advertising Co. (Class
A) (a)(b)................... 2,569 32,267
Liberty Global, Inc. (Series
A) (a)(b)................... 11,573 184,242
Liberty Media
Corp. -- Entertainment
(Series A) (a).............. 19,920 348,202
News Corp. (Class A).......... 88,835 807,510
Omnicom Group, Inc. .......... 12,324 331,762
Scripps Networks Interactive
(Class A) (b)............... 3,030 66,660
Sirius XM Radio, Inc. (a)(b).. 118,371 14,204
The DIRECTV Group, Inc.
(a)(b)...................... 21,065 482,599
The McGraw-Hill Cos., Inc. ... 12,336 286,072
The Walt Disney Co. .......... 67,043 1,521,206
Time Warner Cable, Inc. (Class
A) (a)(b)................... 5,773 123,831
Time Warner, Inc. (b)......... 144,205 1,450,702
Viacom, Inc. (a)(b)........... 21,213 404,320
Virgin Media, Inc. (b)........ 11,524 57,505
------------
8,301,122
------------
METALS & MINING -- 1.2%
AK Steel Holding Corp. ....... 4,370 40,728
Allegheny Technologies, Inc.
(b)......................... 3,700 94,461
Freeport-McMoRan Copper &
Gold, Inc. ................. 14,684 358,877
Newmont Mining Corp. ......... 16,990 691,493
Nucor Corp. (b)............... 10,912 504,134
Reliance Steel & Aluminum
Co. ........................ 2,386 47,577
Southern Copper Corp. (b)..... 8,166 131,146
Steel Dynamics, Inc. ......... 7,408 82,822
------------
1,951,238
------------
MULTI-UTILITIES -- 0.3%
Public Service Enterprise
Group, Inc. ................ 19,436 566,948
------------
MULTILINE RETAIL -- 1.1%
Dollar Tree Stores, Inc. (a).. 3,559 148,766
Family Dollar Stores, Inc.
(b)......................... 5,206 135,720
J. C. Penney Co., Inc. (b).... 7,505 147,849
Kohl's Corp. (a)(b)........... 11,229 406,490
Nordstrom, Inc. (b)........... 6,194 82,442
Target Corp. (b).............. 26,258 906,689
------------
1,827,956
------------
OFFICE ELECTRONICS -- 0.2%
Xerox Corp. .................. 33,896 270,151
------------
OIL, GAS & CONSUMABLE FUELS -- 4.3%
Alpha Natural Resources, Inc.
(a)......................... 2,626 42,515
Anadarko Petroleum Corp. (b).. 17,900 690,045
Arch Coal, Inc. (b)........... 5,230 85,197
Cabot Oil & Gas Corp. ........ 3,790 98,540
Chesapeake Energy Corp. (b)... 23,108 373,656
Cimarex Energy Co. (b)........ 2,983 79,885
CNX Gas Corp. (a)(b).......... 1,008 27,518
CONSOL Energy, Inc. .......... 7,029 200,889
Continental Resources, Inc.
(a)(b)...................... 1,094 22,657
Denbury Resources, Inc.
(a)(b)...................... 9,376 102,386
Energy Transfer Equity LP
(b)......................... 7,620 123,520
EOG Resources, Inc. .......... 9,482 631,311
Hess Corp. ................... 11,190 600,232
Kinder Morgan Energy Partners
LP (b)...................... 6,453 295,225
Kinder Morgan Management LLC
(a)(b)...................... 2,705 108,146
Massey Energy Co. ............ 3,130 43,163
Murphy Oil Corp. ............. 7,282 322,957
Newfield Exploration Co. (a).. 5,064 100,014
Patriot Coal Corp. (a)(b)..... 1,949 12,181
Peabody Energy Corp. ......... 10,423 237,123
Petrohawk Energy Corp. (a).... 9,650 150,829
Plains Exploration &
Production Co. (a)(b)....... 3,894 90,497
Quicksilver Resources, Inc.
(a)(b)...................... 4,173 23,244
Range Resources Corp. ........ 5,952 204,689
SandRidge Energy, Inc.
(a)(b)...................... 3,438 21,144
Southwestern Energy Co.
(a)(b)...................... 13,163 381,332
Sunoco, Inc. (b).............. 4,547 197,613
The Williams Cos., Inc. (b)... 22,101 320,022
Ultra Petroleum Corp. (a)..... 5,685 196,189
Valero Energy Corp. .......... 20,094 434,834
Walter Industries, Inc. ...... 2,032 35,580
XTO Energy, Inc. ............. 22,178 782,218
------------
7,035,351
------------
PERSONAL PRODUCTS -- 0.3%
Avon Products, Inc. .......... 16,371 393,395
The Estee Lauder Cos., Inc.
(Class A) (b)............... 3,885 120,280
------------
513,675
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
PHARMACEUTICALS -- 5.2%
Allergan, Inc. ............... 11,822 $ 476,663
Endo Pharmaceuticals Holdings,
Inc. (a)(b)................. 4,596 118,944
Forest Laboratories, Inc.
(a)......................... 11,600 295,452
Johnson & Johnson............. 107,517 6,432,742
King Pharmaceuticals, Inc.
(a)......................... 9,198 97,683
Mylan, Inc. (a)(b)............ 11,104 109,819
Schering-Plough Corp. (b)..... 62,300 1,060,969
Warner Chilcott, Ltd. (Class
A) (a)(b)................... 2,950 42,775
------------
8,635,047
------------
PROFESSIONAL SERVICES -- 0.4%
Equifax, Inc. (b)............. 4,791 127,057
FTI Consulting, Inc. (a)(b)... 1,864 83,283
Manpower, Inc. ............... 3,040 103,330
Monster Worldwide, Inc.
(a)(b)...................... 4,517 54,611
Robert Half International,
Inc. (b).................... 5,927 123,400
The Dun & Bradstreet Corp. ... 2,149 165,903
------------
657,584
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Camden Property Trust (b)..... 1,948 61,050
CapitalSource, Inc. (b)....... 8,400 38,808
Simon Property Group, Inc.
(b)......................... 8,587 456,227
Ventas, Inc. (b).............. 5,347 179,499
------------
735,584
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Brookfield Properties Corp. .. 7,580 58,594
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............ 9,632 41,610
------------
100,204
------------
ROAD & RAIL -- 0.8%
CSX Corp. .................... 15,399 500,006
Hertz Global Holdings, Inc.
(a)(b)...................... 4,644 23,545
J.B. Hunt Transport Services,
Inc. (b).................... 4,221 110,886
Norfolk Southern Corp. (b).... 14,405 677,755
------------
1,312,192
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.3%
Advanced Micro Devices, Inc.
(a)(b)...................... 21,680 46,829
Altera Corp. ................. 11,415 190,745
Analog Devices, Inc. ......... 11,134 211,769
Applied Materials, Inc. (b)... 52,157 528,350
Broadcom Corp. (Class A) (a).. 16,664 282,788
Cypress Semiconductor Corp.
(a)(b)...................... 5,603 25,045
Intersil Corp. (Class A)...... 4,461 40,997
KLA-Tencor Corp. (b).......... 6,402 139,500
Lam Research Corp. (a)(b)..... 4,897 104,208
Linear Technology Corp. (b)... 7,883 174,372
LSI Logic Corp. (a)(b)........ 24,560 80,802
Marvell Technology Group, Ltd.
(a)......................... 18,229 121,587
Maxim Integrated Products,
Inc. ....................... 12,451 142,190
MEMC Electronic Materials,
Inc. (a)(b)................. 8,676 123,893
Microchip Technology, Inc.
(b)......................... 7,116 138,976
Micron Technology, Inc.
(a)(b)...................... 29,264 77,257
National Semiconductor Corp.
(b)......................... 8,802 88,636
NVIDIA Corp. (a).............. 21,378 172,520
ON Semiconductor Corp.
(a)(b)...................... 14,704 49,994
Texas Instruments, Inc. ...... 50,111 777,723
Varian Semiconductor Equipment
Associates, Inc. (a)(b)..... 2,660 48,199
Xilinx, Inc. (b).............. 10,564 188,251
------------
3,754,631
------------
SOFTWARE -- 7.0%
Activision Blizzard, Inc.
(a)......................... 22,866 197,562
Adobe Systems, Inc. (a)....... 20,341 433,060
Ansys, Inc. (a)(b)............ 3,313 92,399
Autodesk, Inc. (a)(b)......... 8,355 164,176
BMC Software, Inc. (a)(b)..... 7,475 201,152
CA, Inc. ..................... 15,904 294,701
Citrix Systems, Inc. (a)...... 7,175 169,115
Electronic Arts, Inc. (a)(b).. 12,258 196,618
Intuit, Inc. (a)(b)........... 11,330 269,541
McAfee, Inc. (a)(b)........... 5,845 202,062
Microsoft Corp. .............. 304,449 5,918,488
Oracle Corp. (a)(b)........... 151,019 2,677,567
Red Hat, Inc. (a)(b).......... 7,400 97,828
Salesforce.com, Inc. (a)(b)... 3,865 123,719
Symantec Corp. (a)............ 32,448 438,697
VMware, Inc. (Class A)
(a)(b)...................... 1,369 32,432
------------
11,509,117
------------
SPECIALTY RETAIL -- 3.4%
Abercrombie & Fitch Co. (Class
A) (b)...................... 3,252 75,024
Advance Auto Parts, Inc. ..... 3,672 123,563
American Eagle Outfitters,
Inc. ....................... 6,365 59,576
AutoZone, Inc. (a)............ 1,364 190,237
Bed Bath & Beyond, Inc.
(a)(b)...................... 10,108 256,945
Best Buy Co., Inc. (b)........ 12,953 364,109
CarMax, Inc. (a)(b)........... 7,114 56,058
GameStop Corp. (Class A)
(a)(b)...................... 5,841 126,516
Guess ?, Inc. ................ 2,213 33,970
Lowe's Cos., Inc. ............ 56,242 1,210,328
O'Reilly Automotive, Inc.
(a)(b)...................... 4,983 153,177
PetSmart, Inc. (b)............ 4,817 88,874
Ross Stores, Inc. (b)......... 4,982 148,115
Staples, Inc. (b)............. 27,121 486,008
The Gap, Inc. ................ 20,350 272,487
The Home Depot, Inc. (b)...... 65,318 1,503,620
The TJX Cos., Inc. ........... 16,158 332,370
Tiffany & Co. (b)............. 4,721 111,557
Urban Outfitters, Inc.
(a)(b)...................... 4,309 64,549
------------
5,657,083
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.5%
Coach, Inc. (a)............... 12,722 264,236
NIKE, Inc. (Class B).......... 10,383 529,533
Polo Ralph Lauren Corp. (b)... 2,165 98,313
------------
892,082
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Hudson City Bancorp, Inc.
(b)......................... 18,290 291,908
TFS Financial Corp. (b)....... 3,410 43,989
------------
335,897
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Fastenal Co. (b).............. 5,437 189,479
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
American Tower Corp. (Class A)
(a)(b)...................... 15,260 447,423
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Crown Castle International
Corp. (a)(b)................ 9,361 $ 164,566
Leap Wireless International,
Inc. (a)(b)................. 2,021 54,345
MetroPCS Communications, Inc.
(a)(b)...................... 9,508 141,194
NII Holdings, Inc. (a)........ 6,158 111,952
SBA Communications Corp.
(Class A) (a)............... 4,524 73,832
Telephone & Data Systems, Inc.
(b)......................... 3,859 122,523
US Cellular Corp. (a)......... 502 21,707
------------
1,137,542
------------
TOTAL COMMON STOCKS --
(Cost $247,837,734)......... 164,631,861
------------
SHORT TERM INVESTMENTS -- 18.1%
MONEY MARKET FUNDS -- 18.1%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............ 28,955,817 28,955,817
STIC Prime Portfolio.......... 1,045,590 1,045,590
------------
TOTAL SHORT TERM
INVESTMENTS -- (Cost
$30,001,407)................ 30,001,407
------------
TOTAL INVESTMENTS -- 117.8%
(Cost $277,839,141)......... 194,633,268
OTHER ASSETS AND
LIABILITIES -- (17.8)%...... (29,450,154)
------------
NET ASSETS -- 100.0%.......... $165,183,114
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan as of December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
AEROSPACE & DEFENSE -- 2.1%
Boeing Co. ................... 15,569 $ 664,329
Goodrich Corp. ............... 2,975 110,135
Honeywell International,
Inc. ....................... 15,797 518,616
Northrop Grumman Corp. ....... 7,183 323,522
Raytheon Co. (a).............. 9,857 503,101
------------
2,119,703
------------
AIR FREIGHT & LOGISTICS -- 0.8%
United Parcel Service, Inc.
(Class B)................... 15,375 848,085
------------
AIRLINES -- 0.2%
Delta Air Lines, Inc. (b)..... 15,013 172,049
------------
AUTO COMPONENTS -- 0.3%
Johnson Controls, Inc. (a).... 14,062 255,366
WABCO Holdings, Inc. ......... 1,633 25,785
------------
281,151
------------
AUTOMOBILES -- 0.2%
Ford Motor Co. (a)(b)......... 56,634 129,692
General Motors Corp. (a)...... 11,529 36,893
------------
166,585
------------
BEVERAGES -- 2.6%
Coca-Cola Enterprises, Inc.
(a)......................... 7,433 89,419
Dr. Pepper Snapple Group, Inc.
(b)......................... 6,048 98,280
Molson Coors Brewing Co.
(Class B) (a)............... 3,529 172,639
The Coca-Cola Co. ............ 50,502 2,286,225
------------
2,646,563
------------
BUILDING PRODUCTS -- 0.1%
Masco Corp. (a)............... 8,712 96,964
USG Corp. (a)(b).............. 1,592 12,800
------------
109,764
------------
CAPITAL MARKETS -- 3.2%
AllianceBernstein Holding LP
(a)......................... 760 15,800
Ameriprise Financial, Inc. ... 5,092 118,949
Federated Investors, Inc.
(Class B)................... 2,171 36,820
Janus Capital Group, Inc.
(a)......................... 3,811 30,602
Legg Mason, Inc. (a).......... 3,307 72,456
Merrill Lynch & Co., Inc. .... 30,609 356,289
Morgan Stanley................ 22,962 368,311
Northern Trust Corp. (a)...... 5,259 274,204
Och-Ziff Capital Management
Group LLC (a)............... 773 3,981
State Street Corp. (c)........ 10,312 405,571
The Bank of New York Mellon
Corp. ...................... 27,114 768,140
The Blackstone Group LP (a)... 3,479 22,718
The Goldman Sachs Group,
Inc. ....................... 9,538 804,912
------------
3,278,753
------------
CHEMICALS -- 1.8%
Air Products & Chemicals, Inc.
(a)......................... 4,711 236,822
Ashland, Inc. (a)............. 1,612 16,942
CF Industries Holdings, Inc.
(a)......................... 1,347 66,219
E. I. du Pont de Nemours &
Co. ........................ 21,407 541,597
Eastman Chemical Co. (a)...... 1,641 52,036
FMC Corp. (a)................. 1,788 79,977
International Flavors &
Fragrances, Inc. (a)........ 1,877 55,784
Lubrizol Corp. (a)............ 1,678 61,062
PPG Industries, Inc. (a)...... 3,948 167,514
Rohm & Haas Co. .............. 2,940 181,663
The Dow Chemical Co. ......... 22,223 335,345
------------
1,794,961
------------
COMMERCIAL BANKS -- 5.6%
BB&T Corp. (a)................ 13,166 361,538
City National Corp. (a)....... 972 47,336
Comerica, Inc. (a)............ 3,609 71,639
Commerce Bancshares, Inc.
(a)......................... 1,438 63,200
Fifth Third Bancorp (a)....... 12,764 105,431
Huntington Bancshares, Inc.
(a)......................... 8,533 65,363
Keycorp....................... 11,565 98,534
M&T Bank Corp. (a)............ 1,878 107,816
Marshall & Ilsley Corp. (a)... 5,800 79,112
National City Corp. (a)....... 14,766 26,727
PNC Financial Services Group,
Inc. ....................... 8,258 404,642
Regions Financial Corp. (a)... 16,597 132,112
SunTrust Banks, Inc. (a)...... 8,443 249,406
Synovus Financial Corp. (a)... 6,725 55,818
U.S. Bancorp (a).............. 41,012 1,025,710
Wachovia Corp. ............... 51,567 285,681
Wells Fargo & Co. (a)......... 83,086 2,449,375
Zions Bancorp (a)............. 2,575 63,113
------------
5,692,553
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.5%
Avery Dennison Corp. (a)...... 2,205 72,169
Pitney Bowes, Inc. ........... 4,954 126,228
R.R. Donnelley & Sons Co.
(a)......................... 5,002 67,927
Republic Services, Inc. ...... 7,982 197,874
------------
464,198
------------
COMPUTERS & PERIPHERALS -- 2.8%
International Business
Machines Corp. ............. 32,150 2,705,744
Lexmark International, Inc.
(Class A) (a)(b)............ 1,881 50,599
Seagate Technology (a)........ 11,307 50,090
Sun Microsystems, Inc. (b).... 17,945 68,550
------------
2,874,983
------------
CONSTRUCTION & ENGINEERING -- 0.1%
URS Corp. (a)(b).............. 2,018 82,274
------------
CONSTRUCTION MATERIALS -- 0.1%
Vulcan Materials Co. (a)...... 2,176 151,406
------------
CONSUMER FINANCE -- 0.4%
Capital One Financial Corp.
(a)......................... 9,253 295,078
SLM Corp. (a)(b).............. 11,147 99,208
------------
394,286
------------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. (a)........... 2,462 58,300
Owens-Illinois, Inc. (b)...... 4,043 110,495
Sonoco Products Co. .......... 2,376 55,028
------------
223,823
------------
DISTRIBUTORS -- 0.1%
Genuine Parts Co. ............ 3,759 142,316
------------
DIVERSIFIED FINANCIAL SERVICES -- 5.3%
Bank of America Corp. ........ 118,960 1,674,957
CIT Group, Inc. (a)........... 8,504 38,608
Citigroup, Inc. .............. 129,198 866,918
JPMorgan Chase & Co. ......... 88,605 2,793,716
------------
5,374,199
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
DIVERSIFIED TELECOMMUNICATION SERVICES -- 6.6%
AT&T, Inc. ................... 140,993 $ 4,018,300
CenturyTel, Inc. (a).......... 2,438 66,631
Embarq Corp. (a).............. 3,402 122,336
Frontier Communications Corp.
(a)......................... 7,532 65,830
Qwest Communications
International, Inc. (a)..... 33,643 122,460
Verizon Communications,
Inc. ....................... 67,911 2,302,183
------------
6,697,740
------------
ELECTRIC UTILITIES -- 4.5%
American Electric Power Co.,
Inc. (a).................... 9,574 318,623
DPL, Inc. (a)................. 2,735 62,467
Duke Energy Corp. (a)......... 29,947 449,505
Edison International.......... 7,145 229,497
Entergy Corp. (a)............. 4,485 372,838
Exelon Corp. (a).............. 15,615 868,350
FirstEnergy Corp. ............ 7,280 353,663
FPL Group, Inc. (a)........... 8,967 451,309
Northeast Utilities (a)....... 3,805 91,548
Pepco Holdings, Inc. (a)...... 5,120 90,931
Pinnacle West Capital Corp.
(a)......................... 2,407 77,337
PPL Corp. .................... 8,884 272,650
Progress Energy, Inc. (a)..... 6,241 248,704
The Southern Co. (a).......... 18,230 674,510
------------
4,561,932
------------
ELECTRICAL EQUIPMENT -- 0.1%
Hubbell, Inc. (Class B) (a)... 1,281 41,863
Rockwell Automation, Inc. .... 3,003 96,817
------------
138,680
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.0%
(d)
Ingram Micro, Inc. (Class A)
(b)......................... 3,424 45,847
------------
FOOD & STAPLES RETAILING -- 0.7%
Safeway, Inc. (a)............. 10,203 242,525
SUPERVALU, Inc. (a)........... 5,085 74,241
The Kroger Co. (a)............ 14,551 384,292
------------
701,058
------------
FOOD PRODUCTS -- 2.8%
Bunge, Ltd. (a)............... 2,882 149,201
Campbell Soup Co. (a)......... 5,282 158,513
ConAgra Foods, Inc. (a)....... 10,606 174,999
General Mills, Inc. .......... 7,580 460,485
H.J. Heinz Co. (a)............ 7,446 279,970
Hormel Foods Corp. (a)........ 1,816 56,441
Kellogg Co. .................. 5,691 249,550
Kraft Foods, Inc. (a)......... 31,906 856,676
McCormick & Co., Inc. (a)..... 2,814 89,654
Sara Lee Corp. ............... 16,013 156,767
Smithfield Foods, Inc.
(a)(b)...................... 3,055 42,984
The Hershey Co. (a)........... 3,808 132,290
Tyson Foods, Inc. (Class A)
(a)......................... 6,698 58,675
------------
2,866,205
------------
GAS UTILITIES -- 0.1%
National Fuel Gas Co. (a)..... 1,663 52,102
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.1%
Hospira, Inc. (b)............. 3,799 101,889
------------
HEALTH CARE PROVIDERS & SERVICES -- 0.3%
CIGNA Corp. .................. 6,558 110,502
Laboratory Corp. of America
Holdings (a)(b)............. 2,531 163,022
Universal Health Services,
Inc. (Class B) (a).......... 1,136 42,679
------------
316,203
------------
HOTELS, RESTAURANTS & LEISURE -- 1.9%
Carnival Corp. ............... 10,078 245,097
McDonald's Corp. ............. 26,444 1,644,553
Royal Caribbean Cruises, Ltd.
(a)......................... 3,047 41,896
------------
1,931,546
------------
HOUSEHOLD DURABLES -- 0.6%
D.R. Horton, Inc. (a)......... 6,519 46,089
Fortune Brands, Inc. (a)...... 3,580 147,782
Leggett & Platt, Inc. (a)..... 3,827 58,132
Mohawk Industries, Inc.
(a)(b)...................... 1,266 54,400
Newell Rubbermaid, Inc. ...... 6,753 66,044
NVR, Inc. (a)(b).............. 119 54,294
The Black & Decker Corp. (a).. 1,434 59,956
The Stanley Works (a)......... 1,851 63,119
Whirlpool Corp. (a)........... 1,776 73,438
------------
623,254
------------
HOUSEHOLD PRODUCTS -- 0.5%
Kimberly-Clark Corp. ......... 9,817 517,749
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Mirant Corp. (a)(b)........... 3,763 71,008
------------
INDUSTRIAL CONGLOMERATES -- 5.0%
3M Co. (a).................... 15,162 872,422
General Electric Co. ......... 236,927 3,838,217
Textron, Inc. ................ 5,745 79,683
Tyco International, Ltd. (a).. 11,340 244,944
------------
5,035,266
------------
INSURANCE -- 7.3%
American International Group,
Inc. (a).................... 55,916 87,788
AON Corp. (a)................. 5,631 257,224
Arch Capital Group, Ltd.
(a)(b)...................... 1,190 83,419
Assurant, Inc. ............... 2,354 70,620
Berkshire Hathaway, Inc.
(Class A) (a)(b)............ 28 2,704,800
Chubb Corp. .................. 8,395 428,145
Cincinnati Financial Corp.
(a)......................... 3,521 102,355
CNA Financial Corp. (a)....... 651 10,702
Everest Re Group, Ltd. ....... 1,410 107,357
Fidelity National Financial,
Inc. (Class A) (a).......... 5,175 91,856
Genworth Financial, Inc.
(Class A) (a)............... 10,327 29,225
Hartford Financial Services
Group, Inc. ................ 7,197 118,175
Lincoln National Corp. (a).... 6,190 116,620
Loews Corp. .................. 8,459 238,967
Markel Corp. (a)(b)........... 238 71,162
Marsh & McLennan Cos., Inc. .. 12,201 296,118
MetLife, Inc. ................ 12,031 419,401
Nationwide Financial Services,
Inc. (Class A) (a).......... 1,276 66,620
Old Republic International
Corp. (a)................... 5,361 63,903
PartnerRe, Ltd. (a)........... 1,332 94,932
Principal Financial Group,
Inc. (a).................... 5,737 129,484
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Protective Life Corp. (a)..... 1,540 $ 22,099
Prudential Financial, Inc.
(a)......................... 10,198 308,592
RenaissanceRe Holdings, Ltd.
(a)......................... 1,462 75,381
The Allstate Corp. ........... 12,719 416,674
The Travelers Cos., Inc. ..... 13,892 627,918
Torchmark Corp. (a)........... 2,078 92,887
Transatlantic Holdings, Inc.
(a)......................... 658 26,360
Unum Group.................... 7,837 145,768
White Mountains Insurance
Group, Ltd. ................ 193 51,552
XL Capital, Ltd. (Class A)
(a)......................... 7,495 27,732
------------
7,383,836
------------
IT SERVICES -- 0.2%
Computer Sciences Corp.
(a)(b)...................... 3,614 126,996
Lender Processing Services,
Inc. (a).................... 2,263 66,645
------------
193,641
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Eastman Kodak Co. (a)......... 6,418 42,231
Hasbro, Inc. (a).............. 3,031 88,414
Mattel, Inc. (a).............. 8,426 134,816
------------
265,461
------------
MACHINERY -- 0.5%
Eaton Corp. (a)............... 3,913 194,515
Flowserve Corp. (a)........... 1,378 70,967
Ingersoll-Rand Co., Ltd.
(Class A)................... 7,578 131,478
Pentair, Inc. (a)............. 2,382 56,382
SPX Corp. .................... 1,311 53,161
------------
506,503
------------
MEDIA -- 0.3%
CBS Corp. (a)................. 14,495 118,714
Gannett Co., Inc. (a)......... 5,322 42,576
The Interpublic Group of Cos.,
Inc. (a)(b)................. 11,378 45,057
The Washington Post Co. (a)... 132 51,513
------------
257,860
------------
METALS & MINING -- 0.4%
Alcoa, Inc. (a)............... 19,013 214,086
Cliffs Natural Resources,
Inc. ....................... 2,564 65,664
United States Steel Corp.
(a)......................... 2,823 105,016
------------
384,766
------------
MULTI-UTILITIES -- 2.7%
Alliant Energy Corp. ......... 2,703 78,874
Ameren Corp. (a).............. 4,894 162,774
CenterPoint Energy, Inc. ..... 7,258 91,596
CMS Energy Corp. (a).......... 5,350 54,089
Consolidated Edison, Inc.
(a)......................... 6,468 251,799
Dominion Resources, Inc. (a).. 13,756 493,015
DTE Energy Co. (a)............ 3,907 139,363
Integrys Energy Group, Inc.
(a)......................... 1,815 78,009
MDU Resources Group, Inc. .... 3,938 84,982
NiSource, Inc. ............... 6,620 72,621
NSTAR (a)..................... 2,566 93,633
PG&E Corp. (a)................ 8,507 329,306
Puget Energy, Inc. ........... 2,798 76,301
SCANA Corp. (a)............... 2,536 90,282
Sempra Energy................. 5,364 228,667
TECO Energy, Inc. (a)......... 4,591 56,699
Wisconsin Energy Corp. (a).... 2,822 118,468
Xcel Energy, Inc. ............ 10,688 198,262
------------
2,698,740
------------
MULTILINE RETAIL -- 0.2%
Macy's, Inc. (a).............. 10,022 103,728
Sears Holdings Corp. (a)(b)... 1,487 57,799
------------
161,527
------------
OIL, GAS & CONSUMABLE FUELS -- 18.7%
Apache Corp. ................. 7,857 585,582
Boardwalk Pipeline Partners LP
(a)......................... 1,209 21,496
Chevron Corp. ................ 48,202 3,565,502
ConocoPhillips (a)............ 32,726 1,695,207
Devon Energy Corp. ........... 9,906 650,923
El Paso Corp. (a)............. 16,843 131,881
Enbridge Energy Partners LP
(a)......................... 1,513 38,581
Energy Transfer Partners LP
(a)......................... 1,872 63,667
Enterprise GP Holdings LP
(a)......................... 859 14,972
Enterprise Products Partners
LP.......................... 6,705 138,995
Exxon Mobil Corp. ............ 120,653 9,631,729
Forest Oil Corp. (a)(b)....... 1,893 31,216
Marathon Oil Corp. ........... 16,960 464,026
Noble Energy, Inc. (a)........ 4,073 200,473
Occidental Petroleum Corp.
(a)......................... 19,486 1,168,965
ONEOK Partners LP (a)......... 1,175 53,521
Pioneer Natural Resources Co.
(a)......................... 2,851 46,129
Plains All American Pipeline
LP.......................... 2,570 89,153
Spectra Energy Corp. ......... 14,680 231,063
Teekay Corp. (a).............. 1,057 20,770
Whiting Petroleum Corp.
(a)(b)...................... 1,012 33,862
------------
18,877,713
------------
PAPER & FOREST PRODUCTS -- 0.3%
Domtar Corp. (a)(b)........... 11,720 19,573
International Paper Co. (a)... 10,260 121,068
MeadWestvaco Corp. (a)........ 3,853 43,115
Weyerhaeuser Co. (a).......... 5,007 153,264
------------
337,020
------------
PHARMACEUTICALS -- 9.4%
Abbott Laboratories........... 36,541 1,950,193
Bristol-Myers Squibb Co. ..... 46,661 1,084,868
Eli Lilly & Co. .............. 22,926 923,230
Merck & Co., Inc. (a)......... 50,141 1,524,287
Pfizer, Inc. ................. 159,963 2,832,945
Wyeth......................... 31,671 1,187,979
------------
9,503,502
------------
REAL ESTATE INVESTMENT TRUSTS -- 2.4%
AMB Property Corp. (a)........ 2,360 55,271
Annaly Capital Management,
Inc. (a).................... 12,837 203,723
Apartment Investment &
Management Co. (Class A)
(a)......................... 2,403 27,755
Avalonbay Communities, Inc.
(a)......................... 1,836 111,225
Boston Properties, Inc. (a)... 2,841 156,255
Developers Diversified Realty
Corp. (a)................... 2,855 13,932
Duke Realty Corp. (a)......... 3,316 36,343
Equity Residential (a)........ 6,471 192,965
Federal Realty Investment
Trust (a)................... 1,431 88,836
General Growth Properties,
Inc. (a).................... 6,006 7,748
HCP, Inc. (a)................. 5,873 163,093
Health Care REIT, Inc. (a).... 2,432 102,630
Host Hotels & Resorts, Inc.
(a)......................... 12,435 94,133
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE LARGE CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Kimco Realty Corp. (a)........ 5,266 $ 96,263
Liberty Property Trust........ 2,260 51,596
Mack-Cali Realty Corp. (a).... 1,453 35,599
Plum Creek Timber Co., Inc.
(a)......................... 3,999 138,925
ProLogis (a).................. 6,268 87,063
Public Storage (a)............ 3,068 243,906
Rayonier, Inc. (a)............ 1,874 58,750
Regency Centers Corp. (a)..... 1,597 74,580
SL Green Realty Corp. (a)..... 1,389 35,975
The Macerich Co. (a).......... 1,735 31,508
UDR, Inc. (a)................. 3,210 44,266
Vornado Realty Trust (a)...... 3,436 207,363
Weingarten Realty Investors
(a)......................... 1,873 38,752
------------
2,398,455
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.0% (d)
Forest City Enterprises, Inc.
(Class A) (a)............... 1,704 11,417
------------
ROAD & RAIL -- 1.2%
Burlington Northern Santa Fe
Corp. (a)................... 6,715 508,392
Kansas City Southern (a)(b)... 2,176 41,453
Ryder Systems, Inc. (a)....... 1,346 52,198
Union Pacific Corp. (a)....... 12,056 576,277
------------
1,178,320
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9%
Intel Corp. (a)............... 131,947 1,934,343
------------
SOFTWARE -- 0.1%
Synopsys, Inc. (a)(b)......... 3,452 63,931
------------
SPECIALTY RETAIL -- 0.2%
Limited Brands, Inc. ......... 6,943 69,708
The Sherwin-Williams Co. (a).. 2,360 141,010
------------
210,718
------------
TEXTILES, APPAREL & LUXURY GOODS -- 0.1%
V. F. Corp. (a)............... 2,014 110,307
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
New York Community Bancorp,
Inc. (a).................... 8,137 97,319
People's United Financial,
Inc. (a).................... 4,145 73,905
Sovereign Bancorp, Inc.
(a)(b)...................... 12,213 36,395
------------
207,619
------------
TOBACCO -- 3.4%
Altria Group, Inc. ........... 49,048 738,663
Lorillard, Inc. .............. 4,030 227,090
Philip Morris International,
Inc. ....................... 48,000 2,088,480
Reynolds American, Inc. ...... 4,076 164,304
UST, Inc. .................... 3,335 231,382
------------
3,449,919
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
W.W. Grainger, Inc. (a)....... 1,577 124,331
------------
WATER UTILITIES -- 0.0% (d)
American Water Works Co., Inc.
(a)......................... 1,385 28,919
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
Sprint Nextel Corp. (a)(b).... 67,912 124,279
------------
TOTAL COMMON STOCKS --
(Cost $139,624,421)......... 100,891,258
------------
SHORT TERM INVESTMENTS -- 16.1%
MONEY MARKET FUNDS -- 16.1%
State Street Navigator
Securities
Lending prime Portfolio
(e)(f)...................... 15,076,946 15,076,946
STIC Prime Portfolio.......... 1,177,060 1,177,060
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $16,254,006).......... 16,254,006
------------
TOTAL INVESTMENTS -- 115.8%
(Cost $155,878,427)......... 117,145,264
OTHER ASSETS AND
LIABILITIES -- (15.8)%...... (15,972,693)
------------
NET ASSETS -- 100.0%.......... $101,172,571
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Affiliated Issuer. (Note 3)
(d) Amount shown represents less than 0.05% of net assets.
(e) Investments of cash collateral for securities loaned.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 1.0%
Alliant Techsystems, Inc.
(a)(b)....................... 744 $ 63,805
BE Aerospace, Inc. (a)......... 2,254 17,333
Curtiss-Wright Corp. (b)....... 1,036 34,592
Moog, Inc. (Class A) (a)(b).... 864 31,597
Spirit Aerosystems Holdings,
Inc. (a)(b).................. 2,313 23,523
Teledyne Technologies, Inc.
(a)(b)....................... 770 34,304
-----------
205,154
-----------
AIRLINES -- 1.1%
AMR Corp. (a)(b)............... 6,339 67,637
Delta Air Lines, Inc. (a)...... 14,344 164,382
-----------
232,019
-----------
AUTO COMPONENTS -- 0.6%
BorgWarner, Inc. (b)........... 2,670 58,126
Gentex Corp. (b)............... 3,238 28,592
TRW Automotive Holdings Corp.
(a)(b)....................... 1,209 4,352
WABCO Holdings, Inc. .......... 1,567 24,743
-----------
115,813
-----------
BEVERAGES -- 0.9%
Central European Distribution
Corp. (a)(b)................. 872 17,179
Constellation Brands, Inc.
(Class A) (a)(b)............. 4,407 69,498
Hansen Natural Corp. (a)(b).... 1,668 55,928
PepsiAmericas, Inc. (b)........ 1,452 29,563
-----------
172,168
-----------
BIOTECHNOLOGY -- 2.2%
Abraxis Bioscience, Inc.
(a)(b)....................... 131 8,636
Alexion Pharmaceuticals, Inc.
(a)(b)....................... 1,766 63,912
Amylin Pharmaceuticals, Inc.
(a)(b)....................... 3,102 33,657
BioMarin Pharmaceutical, Inc.
(a)(b)....................... 2,253 40,103
Myriad Genetics, Inc. (a)(b)... 1,057 70,037
Onyx Pharmaceuticals, Inc.
(a)(b)....................... 1,259 43,007
OSI Pharmaceuticals, Inc.
(a)(b)....................... 1,316 51,390
United Therapeutics Corp.
(a)(b)....................... 517 32,338
Vertex Pharmaceuticals, Inc.
(a)(b)....................... 3,422 103,960
-----------
447,040
-----------
BUILDING PRODUCTS -- 0.5%
Armstrong World Industries,
Inc. ........................ 403 8,713
Lennox International, Inc.
(b).......................... 1,188 38,361
Owens Corning, Inc. (a)(b)..... 2,028 35,084
USG Corp. (a)(b)............... 1,496 12,028
-----------
94,186
-----------
CAPITAL MARKETS -- 2.1%
Affiliated Managers Group, Inc.
(a)(b)....................... 914 38,315
AllianceBernstein Holding LP
(b).......................... 743 15,447
Eaton Vance Corp. (b).......... 2,659 55,866
Federated Investors, Inc.
(Class B) (b)................ 2,172 36,837
GLG Partners, Inc. ............ 4,494 10,201
Janus Capital Group, Inc. (b).. 3,614 29,020
Jefferies Group, Inc. (b)...... 2,639 37,104
Lazard, Ltd. (Class A) (b)..... 1,728 51,391
Raymond James Financial, Inc.
(b).......................... 2,182 37,378
SEI Investments Co. (b)........ 3,206 50,366
The Blackstone Group LP (b).... 3,689 24,089
Waddell & Reed Financial, Inc.
(Class A).................... 1,949 30,132
-----------
416,146
-----------
CHEMICALS -- 2.6%
Airgas, Inc. (b)............... 1,588 61,916
Albemarle Corp. (b)............ 2,112 47,097
Ashland, Inc. ................. 1,511 15,881
Cytec Industries, Inc. ........ 1,068 22,663
Eastman Chemical Co. (b)....... 1,554 49,277
Huntsman Corp. (b)............. 2,172 7,472
International Flavors &
Fragrances, Inc. (b)......... 1,778 52,842
Intrepid Potash, Inc. (a)(b)... 783 16,263
Lubrizol Corp. ................ 1,554 56,550
Nalco Holding Co. (b).......... 3,129 36,109
Olin Corp. (b)................. 1,520 27,482
Rockwood Holdings, Inc.
(a)(b)....................... 1,024 11,059
RPM International, Inc. ....... 2,995 39,803
Terra Industries, Inc. ........ 2,322 38,708
Valhi, Inc. (b)................ 254 2,718
Valspar Corp. (b).............. 2,121 38,369
W.R. Grace & Co. (a)(b)........ 1,352 8,071
-----------
532,280
-----------
COMMERCIAL BANKS -- 4.3%
Associated Bancorp (b)......... 2,700 56,511
BancorpSouth, Inc. (b)......... 1,780 41,581
Bank of Hawaii Corp. (b)....... 1,085 49,009
BOK Financial Corp. (b)........ 514 20,766
City National Corp. (b)........ 896 43,635
Comerica, Inc. (b)............. 3,470 68,880
Commerce Bancshares, Inc. ..... 1,411 62,014
Cullen/Frost Bankers, Inc. .... 1,268 64,262
First Horizon National Corp.
(b).......................... 4,717 49,859
Fulton Financial Corp. (b)..... 3,928 37,787
Huntington Bancshares, Inc.
(b).......................... 8,335 63,846
Marshall & Ilsley Corp. (b).... 5,575 76,043
PNC Financial Services Group,
Inc. ........................ 1 49
Popular, Inc. (b).............. 5,752 29,680
Synovus Financial Corp. (b).... 6,204 51,493
UMB Financial Corp. (b)........ 719 35,332
Valley National Bancorp (b).... 3,068 62,127
Zions Bancorp (b).............. 2,622 64,265
-----------
877,139
-----------
COMMERCIAL SERVICES & SUPPLIES -- 1.5%
Cintas Corp. (b)............... 3,041 70,642
Copart, Inc. (a)(b)............ 1,408 38,284
Corrections Corp. of America
(a)(b)....................... 2,829 46,282
Covanta Holding Corp. (a)(b)... 2,802 61,532
The Brink's Co. ............... 894 24,031
Waste Connections, Inc.
(a)(b)....................... 1,789 56,479
-----------
297,250
-----------
COMMUNICATIONS EQUIPMENT -- 0.9%
Brocade Communications Systems,
Inc. (a)..................... 8,320 23,296
CommScope, Inc. (a)(b)......... 1,573 24,445
EchoStar Corp. (Class A)
(a)(b)....................... 945 14,052
F5 Networks, Inc. (a)(b)....... 1,848 42,245
JDS Uniphase Corp. (a)(b)...... 4,811 17,560
Polycom, Inc. (a)(b)........... 1,892 25,561
Tellabs, Inc. (a)(b)........... 8,420 34,690
-----------
181,849
-----------
COMPUTERS & PERIPHERALS -- 1.4%
Diebold, Inc. (b).............. 1,515 42,556
Lexmark International, Inc.
(Class A) (a)(b)............. 1,783 47,963
NCR Corp. (a).................. 3,589 50,748
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
QLogic Corp. (a)(b)............ 2,909 $ 39,097
SanDisk Corp. (a)(b)........... 5,081 48,778
Teradata Corp. (a)............. 4,002 59,350
-----------
288,492
-----------
CONSTRUCTION & ENGINEERING -- 1.3%
Aecom Technology Corp. (a)(b).. 1,696 52,118
EMCOR Group, Inc. (a).......... 1,466 32,882
KBR, Inc. ..................... 3,674 55,845
The Shaw Group, Inc. (a)(b).... 1,763 36,089
URS Corp. (a).................. 1,899 77,422
-----------
254,356
-----------
CONSTRUCTION MATERIALS -- 0.4%
Martin Marietta Materials, Inc.
(b).......................... 938 91,061
-----------
CONSUMER FINANCE -- 0.0% (c)
The Student Loan Corp. ........ 90 3,690
-----------
CONTAINERS & PACKAGING -- 2.6%
Aptargroup, Inc. .............. 1,451 51,133
Ball Corp. .................... 2,151 89,460
Bemis Co., Inc. (b)............ 2,278 53,943
Crown Holdings, Inc. (a)....... 3,617 69,446
Greif, Inc. (Class A).......... 694 23,201
Packaging Corp. of America
(b).......................... 2,329 31,348
Pactiv Corp. (a)............... 2,965 73,769
Sealed Air Corp. .............. 3,578 53,455
Silgan Holdings, Inc. ......... 564 26,965
Sonoco Products Co. ........... 2,253 52,180
-----------
524,900
-----------
DISTRIBUTORS -- 0.2%
LKQ Corp. (a)(b)............... 3,124 36,426
-----------
DIVERSIFIED CONSUMER SERVICES -- 1.5%
Brink's Home Security Holdings,
Inc. (a)..................... 940 20,605
DeVry, Inc. (b)................ 1,409 80,891
ITT Educational Services, Inc.
(a)(b)....................... 889 84,437
Service Corp. International
(b).......................... 5,847 29,059
Strayer Education, Inc. (b).... 326 69,898
Weight Watchers International,
Inc. (b)..................... 820 24,124
-----------
309,014
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
CIT Group, Inc. (b)............ 8,208 37,265
MSCI, Inc. (Class A) (a)(b).... 1,578 28,025
-----------
65,290
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8%
CenturyTel, Inc. (b)........... 2,277 62,230
Frontier Communications Corp.
(b).......................... 7,079 61,871
tw telecom, inc. (a)(b)........ 3,434 29,086
-----------
153,187
-----------
ELECTRIC UTILITIES -- 2.3%
DPL, Inc. (b).................. 2,637 60,229
Great Plains Energy, Inc. ..... 2,681 51,824
Hawaiian Electric Industries,
Inc. (b)..................... 2,050 45,387
ITC Holdings Corp. (b)......... 1,119 48,878
Northeast Utilities............ 3,557 85,581
NV Energy, Inc. ............... 5,295 52,368
Pinnacle West Capital Corp.
(b).......................... 2,288 73,513
Westar Energy, Inc. ........... 2,463 50,516
-----------
468,296
-----------
ELECTRICAL EQUIPMENT -- 1.0%
Brady Corp. (Class A) (b)...... 1,084 25,962
Energy Conversion Devices, Inc.
(a)(b)....................... 1,021 25,739
General Cable Corp. (a)(b)..... 1,189 21,033
GrafTech International, Ltd.
(a)(b)....................... 2,682 22,314
Hubbell, Inc. (Class B) (b).... 1,210 39,543
Sunpower Corp. (Class B) (a)... 1 31
Thomas & Betts Corp. (a)....... 1,271 30,530
Woodward Governor Co. ......... 1,319 30,363
-----------
195,515
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.4%
Anixter International, Inc.
(a)(b)....................... 695 20,933
Arrow Electronics, Inc. (a).... 2,707 51,000
Avnet, Inc. (a)(b)............. 3,399 61,896
Dolby Laboratories, Inc. (a)... 1,196 39,181
Ingram Micro, Inc. (Class A)
(a).......................... 3,265 43,718
Itron, Inc. (a)(b)............. 774 49,335
Jabil Circuit, Inc. (b)........ 4,150 28,012
Mettler-Toledo International,
Inc. (a)(b).................. 763 51,426
Molex, Inc. (b)................ 3,032 43,934
National Instruments Corp.
(b).......................... 1,279 31,156
Trimble Navigation, Ltd. (a)... 2,732 59,039
-----------
479,630
-----------
ENERGY EQUIPMENT & SERVICES -- 2.0%
Atwood Oceanics, Inc. (a)(b)... 1,245 19,024
Complete Production Services,
Inc. (a)(b).................. 1,104 8,998
Dresser-Rand Group, Inc. (a)... 1,892 32,637
Dril-Quip, Inc. (a)(b)......... 705 14,459
Exterran Holdings, Inc.
(a)(b)....................... 1,491 31,758
Helix Energy Solutions Group,
Inc. (a)(b).................. 1,891 13,691
IHS, Inc. (Class A) (a)(b)..... 1,020 38,168
Key Energy Services, Inc. (a).. 2,814 12,410
Oceaneering International, Inc.
(a)(b)....................... 1,248 36,367
Oil States International, Inc.
(a).......................... 1,109 20,727
Patterson-UTI Energy, Inc.
(b).......................... 3,554 40,906
Rowan Cos., Inc. (b)........... 2,548 40,513
Superior Energy Services, Inc.
(a)(b)....................... 1,763 28,085
Tidewater, Inc. (b)............ 1,186 47,760
Unit Corp. (a)................. 1,069 28,564
-----------
414,067
-----------
FOOD & STAPLES RETAILING -- 0.4%
BJ'S Wholesale Club, Inc.
(a)(b)....................... 1,374 47,073
Whole Foods Market, Inc. (b)... 3,145 29,689
-----------
76,762
-----------
FOOD PRODUCTS -- 2.2%
Corn Products International,
Inc. (b)..................... 1,678 48,410
Dean Foods Co. (a)(b).......... 3,500 62,895
Flowers Foods, Inc. (b)........ 1,913 46,601
Hormel Foods Corp. ............ 1,661 51,624
Ralcorp Holdings, Inc. (a)..... 1,283 74,927
Smithfield Foods, Inc. (a)(b).. 2,942 41,394
The J.M. Smucker Co. .......... 2,683 116,335
-----------
442,186
-----------
GAS UTILITIES -- 2.0%
AGL Resources, Inc. (b)........ 1,738 54,486
Atmos Energy Corp. (b)......... 2,050 48,585
Energen Corp. (b).............. 1,505 44,142
National Fuel Gas Co. (b)...... 1,595 49,971
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Nicor, Inc. ................... 1,033 $ 35,887
ONEOK, Inc. ................... 2,227 64,850
Piedmont Natural Gas Co.,
Inc. ........................ 1,584 50,165
UGI Corp. ..................... 2,445 59,707
-----------
407,793
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5%
Beckman Coulter, Inc. ......... 1,425 62,615
Edwards Lifesciences Corp.
(a)(b)....................... 1,266 69,567
Gen-Probe, Inc. (a)............ 1,223 52,393
IDEXX Laboratories, Inc.
(a)(b)....................... 1,345 48,528
Immucor, Inc. (a).............. 1,595 42,395
Inverness Medical Innovations,
Inc. (a)(b).................. 1,747 33,036
Kinetic Concepts, Inc. (a)(b).. 1,211 23,227
Masimo Corp. (a)(b)............ 1,093 32,604
ResMed, Inc. (a)............... 1,721 64,503
STERIS Corp. .................. 1,360 32,490
Teleflex, Inc. ................ 901 45,140
-----------
506,498
-----------
HEALTH CARE PROVIDERS & SERVICES -- 1.8%
Brookdale Senior Living, Inc.
(b).......................... 933 5,206
Community Health Systems, Inc.
(a)(b)....................... 2,165 31,566
Health Net, Inc. (a)(b)........ 2,421 26,365
Lincare Holdings, Inc. (a)(b).. 1,659 44,677
Omnicare, Inc. (b)............. 2,416 67,068
Patterson Cos., Inc. (a)(b).... 2,275 42,656
Pediatrix Medical Group, Inc.
(a).......................... 1,037 32,873
Psychiatric Solutions, Inc.
(a)(b)....................... 1,205 33,559
Tenet Healthcare Corp. (a)(b).. 10,715 12,322
Universal Health Services, Inc.
(Class B) (b)................ 1,075 40,388
VCA Antech, Inc. (a)(b)........ 1,885 37,474
-----------
374,154
-----------
HEALTH CARE TECHNOLOGY -- 0.7%
Cerner Corp. (a)(b)............ 1,445 55,560
HLTH Corp. (a)(b).............. 2,045 21,391
IMS Health, Inc. (b)........... 4,155 62,990
-----------
139,941
-----------
HOTELS, RESTAURANTS & LEISURE -- 1.6%
Brinker International, Inc. ... 2,276 23,989
Burger King Holdings, Inc.
(b).......................... 2,123 50,697
Chipotle Mexican Grill, Inc.
(a)(b)....................... 750 46,485
Darden Restaurants, Inc. ...... 2,944 82,962
International Speedway Corp.
(Class A) (b)................ 723 20,772
Orient-Express Hotels, Ltd.
(Class A) (b)................ 900 6,894
Penn National Gaming, Inc.
(a)(b)....................... 1,527 32,647
Scientific Games Corp. (Class
A) (a)(b).................... 1,568 27,503
Wyndham Worldwide Corp. (b).... 4,046 26,501
-----------
318,450
-----------
HOUSEHOLD DURABLES -- 2.7%
D.R. Horton, Inc. (b).......... 6,191 43,770
Harman International
Industries, Inc. ............ 1,309 21,900
Leggett & Platt, Inc. (b)...... 3,552 53,955
Mohawk Industries, Inc.
(a)(b)....................... 1,266 54,400
NVR, Inc. (a)(b)............... 112 51,100
Pulte Homes, Inc. (b).......... 4,771 52,147
Snap-on, Inc. (b).............. 1,300 51,194
The Black & Decker Corp. (b)... 1,364 57,029
The Stanley Works.............. 1,774 60,493
Toll Brothers, Inc. (a)(b)..... 2,898 62,104
Tupperware Brands Corp. ....... 1,428 32,416
-----------
540,508
-----------
HOUSEHOLD PRODUCTS -- 0.8%
Church & Dwight Co., Inc. (b).. 1,592 89,343
Energizer Holdings, Inc.
(a)(b)....................... 1,317 71,302
-----------
160,645
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.2%
Dynegy, Inc. (Class A) (a)(b).. 11,514 23,028
Ormat Technologies, Inc. ...... 403 12,844
-----------
35,872
-----------
INDUSTRIAL CONGLOMERATES -- 0.2%
Carlisle Cos., Inc. (b)........ 1,393 28,835
Seaboard Corp. (b)............. 9 10,746
-----------
39,581
-----------
INSURANCE -- 7.0%
Alleghany Corp. (a)............ 137 38,634
American Financial Group,
Inc. ........................ 1,756 40,177
American National Insurance Co.
(b).......................... 358 26,395
Arch Capital Group, Ltd.
(a)(b)....................... 1,131 79,283
Arthur J. Gallagher & Co. (b).. 2,160 55,966
Aspen Insurance Holdings, Ltd.
(b).......................... 1,629 39,503
Brown & Brown, Inc. ........... 2,567 53,650
Cincinnati Financial Corp.
(b).......................... 3,454 100,408
Endurance Specialty Holdings,
Ltd. (b)..................... 1,161 35,445
Erie Indemnity Co. (Class A)
(b).......................... 719 27,056
Fidelity National Financial,
Inc. (Class A)............... 4,809 85,360
First American Corp. (b)....... 1,862 53,793
HCC Insurance Holdings, Inc.
(b).......................... 2,603 69,630
Markel Corp. (a)............... 228 68,172
MBIA, Inc. (a)(b).............. 5,264 21,425
Mercury General Corp. (b)...... 593 27,272
Odyssey Re Holdings Corp. (b).. 403 20,880
Old Republic International
Corp. (b).................... 5,237 62,425
PartnerRe, Ltd. (b)............ 1,244 88,660
Protective Life Corp. (b)...... 1,577 22,630
Reinsurance Group of America,
Inc. ........................ 1,404 60,119
RenaissanceRe Holdings, Ltd. .. 1,392 71,772
StanCorp Financial Group, Inc.
(b).......................... 1,117 46,657
The Hanover Insurance Group,
Inc. ........................ 1,189 51,091
Transatlantic Holdings, Inc.
(b).......................... 597 23,916
W.R. Berkley Corp. ............ 3,205 99,355
Wesco Financial Corp. ......... 32 9,213
White Mountains Insurance
Group, Ltd. (b).............. 176 47,011
-----------
1,425,898
-----------
INTERNET & CATALOG RETAIL -- 0.3%
Priceline.com, Inc. (a)(b)..... 923 67,979
-----------
INTERNET SOFTWARE & SERVICES -- 0.5%
Akamai Technologies, Inc.
(a)(b)....................... 3,823 57,689
Equinix, Inc. (a)(b)........... 732 38,935
-----------
96,624
-----------
IT SERVICES -- 3.4%
Affiliated Computer Services,
Inc. (Class A) (a)(b)........ 2,090 96,036
Broadridge Financial Solutions,
Inc. (b)..................... 3,128 39,225
DST Systems, Inc. (a)(b)....... 900 34,182
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Fidelity National Information
Services, Inc. .............. 4,314 $ 70,189
Gartner, Inc. (a)(b)........... 1,431 25,515
Genpact, Ltd. (a)(b)........... 1,256 10,324
Global Payments, Inc. ......... 1,815 59,514
Hewitt Associates, Inc. (Class
A) (a)(b).................... 1,953 55,426
Lender Processing Services,
Inc. (b)..................... 2,145 63,170
Mantech International Corp.
(Class A) (a)(b)............. 468 25,361
Metavante Technologies, Inc.
(a)(b)....................... 2,066 33,283
Perot Systems Corp. (Class A)
(a)(b)....................... 1,938 26,492
SAIC, Inc. (a)................. 4,377 85,264
Total System Services, Inc. ... 4,561 63,854
-----------
687,835
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Eastman Kodak Co. (b).......... 6,105 40,171
-----------
LIFE SCIENCES TOOLS & SERVICES -- 1.6%
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 436 32,835
Bruker Corp. (a)(b)............ 1,136 4,589
Charles River Laboratories
International, Inc. (a)(b)... 1,531 40,112
Life Technologies Corp.
(a)(b)....................... 3,919 91,352
Millipore Corp. (a)(b)......... 1,241 63,936
PerkinElmer, Inc. ............. 2,682 37,307
Techne Corp. .................. 874 56,391
-----------
326,522
-----------
MACHINERY -- 3.2%
Bucyrus International, Inc.
(Class A) (b)................ 1,688 31,262
CLARCOR, Inc. (b).............. 1,176 39,020
Crane Co. ..................... 1,182 20,378
Donaldson Co., Inc. (b)........ 1,534 51,619
Gardner Denver, Inc. (a)....... 1,176 27,448
Graco, Inc. (b)................ 1,349 32,012
Harsco Corp. .................. 1,903 52,675
IDEX Corp. (b)................. 1,848 44,629
Kennametal, Inc. .............. 1,698 37,678
Lincoln Electric Holdings, Inc.
(b).......................... 918 46,754
Navistar International Corp.
(a)(b)....................... 1,432 30,616
Nordson Corp. (b).............. 689 22,248
Pentair, Inc. ................. 2,260 53,494
The Manitowoc Co., Inc. ....... 2,934 25,408
The Timken Co. (b)............. 1,760 34,549
Trinity Industries, Inc. (b)... 1,839 28,983
Valmont Industries, Inc. (b)... 421 25,832
Wabtec Corp. (b)............... 1,097 43,606
-----------
648,211
-----------
MARINE -- 0.3%
Alexander & Baldwin, Inc. (b).. 927 23,231
Genco Shipping & Trading, Ltd.
(b).......................... 709 10,493
Kirby Corp. (a)(b)............. 1,216 33,270
-----------
66,994
-----------
MEDIA -- 1.7%
DreamWorks Animation SKG, Inc.
(Class A) (a)................ 1,317 33,267
Gannett Co., Inc. (b).......... 5,202 41,616
Hearst-Argyle Television, Inc.
(b).......................... 571 3,460
Interactive Data Corp. ........ 817 20,147
John Wiley & Sons, Inc. (Class
A) (b)....................... 1,170 41,629
Lamar Advertising Co. (Class A)
(a)(b)....................... 1,502 18,865
Liberty Media Corp.-Interactive
(Class A) (a)(b)............. 2,098 9,881
Marvel Entertainment, Inc.
(a)(b)....................... 1,176 36,162
Morningstar, Inc. (a)(b)....... 396 14,058
Regal Entertainment Group...... 1,770 18,072
Sirius XM Radio, Inc. (a)(b)... 79,895 9,587
The Interpublic Group of Cos.,
Inc. (a)(b).................. 10,808 42,800
The New York Times Co. (Class
A) (b)....................... 2,599 19,051
Virgin Media, Inc. (b)......... 6,623 33,049
-----------
341,644
-----------
METALS & MINING -- 0.9%
Century Aluminum Co. (a)(b).... 785 7,850
Commercial Metals Co. (b)...... 2,570 30,506
Compass Minerals International,
Inc. (b)..................... 749 43,936
Reliance Steel & Aluminum
Co. ......................... 1,443 28,773
Steel Dynamics, Inc. (b)....... 4,132 46,196
Titanium Metals Corp. (b)...... 2,208 19,453
-----------
176,714
-----------
MULTI-UTILITIES -- 3.3%
Alliant Energy Corp. .......... 2,509 73,213
CMS Energy Corp. (b)........... 5,079 51,349
Integrys Energy Group, Inc.
(b).......................... 1,738 74,699
NiSource, Inc. ................ 6,228 68,321
NSTAR (b)...................... 2,441 89,072
OGE Energy Corp. .............. 2,075 53,493
Puget Energy, Inc. ............ 2,655 72,402
SCANA Corp. (b)................ 2,395 85,262
TECO Energy, Inc. (b).......... 4,556 56,266
Vectren Corp. (b).............. 1,865 46,644
-----------
670,721
-----------
MULTILINE RETAIL -- 0.9%
Big Lots, Inc. (a)(b).......... 1,875 27,169
Dollar Tree Stores, Inc.
(a)(b)....................... 2,059 86,066
Family Dollar Stores, Inc.
(b).......................... 3,014 78,575
-----------
191,810
-----------
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp. (Class
A) (a)(b).................... 1,458 29,539
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.6%
Atlas Energy Resources LLC..... 757 9,667
Boardwalk Pipeline Partners LP
(b).......................... 1,262 22,438
Buckeye Partners LP (b)........ 1,095 35,314
Cabot Oil & Gas Corp. (b)...... 2,361 61,386
Cimarex Energy Co. ............ 1,905 51,016
CNX Gas Corp. (a)(b)........... 627 17,117
Comstock Resources, Inc.
(a)(b)....................... 1,049 49,565
Concho Resources, Inc. (a)(b).. 1,445 32,975
Continental Resources, Inc.
(a)(b)....................... 697 14,435
Enbridge Energy Partners LP
(b).......................... 1,398 35,649
Encore Acquisition Co. (a)(b).. 1,166 29,756
Enterprise GP Holdings LP (b).. 808 14,083
EXCO Resources, Inc. (a)(b).... 3,868 35,044
Forest Oil Corp. (a)(b)........ 1,993 32,865
Foundation Coal Holdings, Inc.
(b).......................... 1,028 14,413
Kinder Morgan Management LLC
(a)(b)....................... 1,646 65,807
Linn Energy LLC (b)............ 2,518 37,694
Magellan Midstream Partners LP
(b).......................... 1,504 45,436
Mariner Energy, Inc. (a)....... 1,851 18,880
Massey Energy Co. (b).......... 1,915 26,408
Natural Resource Partners LP
(b).......................... 724 12,634
NuStar Energy LP (b)........... 982 40,321
Overseas Shipholding Group,
Inc. (b)..................... 516 21,729
Patriot Coal Corp. (a)(b)...... 1,192 7,450
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Penn Virginia Corp. ........... 965 $ 25,071
Quicksilver Resources, Inc.
(a)(b)....................... 2,549 14,198
SandRidge Energy, Inc. (a)(b).. 2,099 12,909
Ship Finance International,
Ltd. (b)..................... 901 9,956
Southern Union Co. (b)......... 2,361 30,787
St. Mary Land & Exploration Co.
(b).......................... 1,385 28,129
Sunoco, Inc. (b)............... 2,673 116,169
Teekay Corp. (b)............... 950 18,668
TEPPCO Partners LP (b)......... 1,935 37,868
Tesoro Corp. (b)............... 3,095 40,761
W&T Offshore, Inc. (b)......... 616 8,821
Walter Industries, Inc. (b).... 1,259 22,045
Whiting Petroleum Corp. (a).... 963 32,222
-----------
1,129,686
-----------
PAPER & FOREST PRODUCTS -- 0.3%
Domtar Corp. (a)(b)............ 11,111 18,555
MeadWestvaco Corp. (b)......... 3,653 40,877
-----------
59,432
-----------
PERSONAL PRODUCTS -- 0.5%
Alberto-Culver Co. ............ 1,992 48,824
Herbalife, Ltd. (b)............ 1,444 31,306
NBTY, Inc. (a)(b).............. 1,255 19,641
-----------
99,771
-----------
PHARMACEUTICALS -- 1.9%
Endo Pharmaceuticals Holdings,
Inc. (a)(b).................. 2,722 70,445
King Pharmaceuticals, Inc.
(a).......................... 5,603 59,504
Mylan, Inc. (a)(b)............. 6,876 68,004
Perrigo Co. (b)................ 1,924 62,164
Sepracor, Inc. (a)(b).......... 2,422 26,594
Warner Chilcott, Ltd. (Class A)
(a)(b)....................... 1,927 27,941
Watson Pharmaceuticals, Inc.
(a)(b)....................... 2,372 63,024
-----------
377,676
-----------
PROFESSIONAL SERVICES -- 1.7%
Equifax, Inc. ................. 2,872 76,165
FTI Consulting, Inc. (a)(b).... 1,151 51,427
Manpower, Inc. ................ 1,773 60,264
Monster Worldwide, Inc.
(a)(b)....................... 2,824 34,142
Robert Half International, Inc.
(b).......................... 3,545 73,807
Watson Wyatt Worldwide, Inc.
(Class A).................... 962 46,003
-----------
341,808
-----------
REAL ESTATE INVESTMENT TRUSTS -- 5.9%
Alexander's, Inc. (b).......... 58 14,784
Alexandria Real Estate
Equities, Inc. (b)........... 720 43,445
AMB Property Corp. (b)......... 2,210 51,758
Apartment Investment &
Management Co. (Class A)
(b).......................... 2,309 26,669
BRE Properties, Inc. (b)....... 1,158 32,401
Camden Property Trust (b)...... 1,188 37,232
CapitalSource, Inc. (b)........ 5,107 23,594
Developers Diversified Realty
Corp. (b).................... 2,694 13,147
Digital Realty Trust, Inc.
(b).......................... 1,532 50,326
Douglas Emmett, Inc. (b)....... 2,522 32,937
Duke Realty Corp. (b).......... 3,299 36,157
Essex Property Trust, Inc.
(b).......................... 609 46,741
Federal Realty Investment Trust
(b).......................... 1,344 83,436
Health Care REIT, Inc. (b)..... 2,339 98,706
Highwoods Properties, Inc.
(b).......................... 1,445 39,535
Hospitality Properties Trust... 2,125 31,599
Liberty Property Trust......... 2,230 50,911
Mack-Cali Realty Corp. (b)..... 1,497 36,676
Nationwide Health Properties,
Inc. (b)..................... 2,259 64,878
Rayonier, Inc. (b)............. 1,805 56,587
Realty Income Corp. (b)........ 2,371 54,889
Regency Centers Corp. (b)...... 1,573 73,459
Senior Housing Properties Trust
(b).......................... 2,605 46,682
Taubman Centers, Inc. (b)...... 1,192 30,348
The Macerich Co. (b)........... 1,694 30,763
UDR, Inc. (b).................. 3,093 42,652
Weingarten Realty Investors
(b).......................... 1,837 38,008
-----------
1,188,320
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............. 5,225 22,572
Forest City Enterprises, Inc.
(Class A) (b)................ 1,559 10,446
The St. Joe Co. (a)(b)......... 2,104 51,169
-----------
84,187
-----------
ROAD & RAIL -- 1.2%
Con-way, Inc. (b).............. 1,056 28,090
Hertz Global Holdings, Inc.
(a)(b)....................... 3,018 15,301
J.B. Hunt Transport Services,
Inc. (b)..................... 2,517 66,122
Kansas City Southern (a)(b).... 2,067 39,376
Landstar Systems, Inc. (b)..... 1,198 46,039
Ryder Systems, Inc. (b)........ 1,276 49,483
-----------
244,411
-----------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.0%
Advanced Micro Devices, Inc.
(a)(b)....................... 12,565 27,140
Atheros Communications, Inc.
(a)(b)....................... 1,329 19,018
Cree, Inc. (a)................. 1,845 29,280
Cypress Semiconductor Corp.
(a)(b)....................... 3,380 15,109
Integrated Device Technology,
Inc. (a)..................... 3,844 21,565
Intersil Corp. (Class A)....... 2,784 25,585
Lam Research Corp. (a)(b)...... 2,871 61,095
LSI Logic Corp. (a)(b)......... 14,662 48,238
Micron Technology, Inc.
(a)(b)....................... 17,092 45,123
Microsemi Corp. (a)............ 1,788 22,600
Novellus Systems, Inc. (a)(b).. 2,237 27,604
ON Semiconductor Corp. (a)(b).. 9,364 31,838
Varian Semiconductor Equipment
Associates, Inc. (a)(b)...... 1,686 30,550
-----------
404,745
-----------
SOFTWARE -- 2.8%
Ansys, Inc. (a)................ 2,035 56,756
Cadence Design Systems, Inc.
(a)(b)....................... 5,800 21,228
Compuware Corp. (a)(b)......... 5,605 37,834
Concur Technologies, Inc.
(a)(b)....................... 1,123 36,857
Factset Research Systems, Inc.
(b).......................... 986 43,621
Jack Henry & Associates,
Inc. ........................ 1,940 37,655
MICROS Systems, Inc. (a)(b).... 1,859 30,339
Novell, Inc. (a)(b)............ 7,907 30,758
Nuance Communications, Inc.
(a)(b)....................... 4,291 44,455
Parametric Technology Corp.
(a)(b)....................... 2,686 33,978
Red Hat, Inc. (a)(b)........... 4,384 57,956
Sybase, Inc. (a)(b)............ 1,843 45,651
Synopsys, Inc. (a)............. 3,260 60,375
VMware, Inc. (Class A) (a)(b).. 872 20,658
-----------
558,121
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SPECIALTY RETAIL -- 2.6%
Abercrombie & Fitch Co. (Class
A) (b)....................... 1,973 $ 45,517
Advance Auto Parts, Inc. ...... 2,150 72,347
Aeropostale, Inc. (a)(b)....... 1,517 24,424
American Eagle Outfitters, Inc.
(b).......................... 4,060 38,002
AutoNation, Inc. (a)(b)........ 2,528 24,977
CarMax, Inc. (a)(b)............ 4,556 35,901
Dick's Sporting Goods, Inc.
(a)(b)....................... 1,878 26,499
Foot Locker, Inc. ............. 3,602 26,439
Guess ?, Inc. ................. 1,363 20,922
O'Reilly Automotive, Inc.
(a)(b)....................... 3,043 93,542
PetSmart, Inc. ................ 2,920 53,874
RadioShack Corp. (b)........... 2,845 33,969
Signet Jewelers, Ltd. ......... 1,914 16,594
Williams-Sonoma, Inc. (b)...... 2,165 17,017
-----------
530,024
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Fossil, Inc. (a)(b)............ 1,108 18,504
Hanesbrands, Inc. (a)(b)....... 2,106 26,851
Phillips-Van Heusen Corp. ..... 1,154 23,230
The Warnaco Group, Inc. (a).... 1,031 20,239
-----------
88,824
-----------
THRIFTS & MORTGAGE FINANCE -- 0.4%
Astoria Financial Corp. (b).... 1,975 32,548
Capitol Federal Financial (b).. 479 21,843
TFS Financial Corp. (b)........ 2,249 29,012
-----------
83,403
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
GATX Corp. (b)................. 962 29,793
MSC Industrial Direct Co., Inc.
(Class A) (b)................ 982 36,167
-----------
65,960
-----------
WATER UTILITIES -- 0.4%
American Water Works Co., Inc.
(b).......................... 1,302 27,186
Aqua America, Inc. (b)......... 3,071 63,232
-----------
90,418
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.8%
Leap Wireless International,
Inc. (a)(b).................. 1,130 30,386
SBA Communications Corp. (Class
A) (a)(b).................... 2,651 43,264
Telephone & Data Systems,
Inc. ........................ 2,333 74,073
US Cellular Corp. (a).......... 351 15,177
-----------
162,900
-----------
TOTAL COMMON STOCKS --
(Cost $29,509,045)........... 20,177,706
-----------
SHORT TERM INVESTMENTS -- 26.1%
MONEY MARKET FUNDS -- 26.1%
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............. 5,154,190 5,154,190
STIC Prime Portfolio........... 132,336 132,336
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $5,286,526)............ 5,286,526
-----------
TOTAL INVESTMENTS -- 125.7%
(Cost $34,795,571)........... 25,464,232
OTHER ASSETS AND
LIABILITIES -- (25.7)%....... (5,203,130)
-----------
NET ASSETS -- 100.0%........... $20,261,102
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Amount shown represents less than 0.05% of net assets.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
Alliant Techsystems, Inc.
(a)(b)....................... 1,850 $ 158,656
BE Aerospace, Inc. (a)......... 5,590 42,987
Moog, Inc. (Class A) (a)(b).... 2,174 79,503
Spirit Aerosystems Holdings,
Inc. (a)(b).................. 5,749 58,467
Teledyne Technologies, Inc.
(a)(b)....................... 1,870 83,309
-----------
422,922
-----------
AIRLINES -- 0.6%
AMR Corp. (a)(b)............... 15,654 167,028
-----------
AUTO COMPONENTS -- 0.8%
BorgWarner, Inc. (b)........... 6,538 142,332
Gentex Corp. .................. 7,885 69,625
-----------
211,957
-----------
BEVERAGES -- 1.3%
Central European Distribution
Corp. (a)(b)................. 2,167 42,690
Constellation Brands, Inc.
(Class A) (a)(b)............. 10,901 171,909
Hansen Natural Corp. (a)....... 4,130 138,479
-----------
353,078
-----------
BIOTECHNOLOGY -- 4.1%
Abraxis Bioscience, Inc.
(a)(b)....................... 338 22,281
Alexion Pharmaceuticals, Inc.
(a).......................... 4,383 158,621
Amylin Pharmaceuticals, Inc.
(a)(b)....................... 7,747 84,055
BioMarin Pharmaceutical, Inc.
(a)(b)....................... 5,615 99,947
Myriad Genetics, Inc. (a)(b)... 2,625 173,932
Onyx Pharmaceuticals, Inc.
(a)(b)....................... 3,135 107,092
OSI Pharmaceuticals, Inc.
(a)(b)....................... 3,224 125,897
United Therapeutics Corp.
(a)(b)....................... 1,288 80,564
Vertex Pharmaceuticals, Inc.
(a)(b)....................... 8,437 256,316
-----------
1,108,705
-----------
CAPITAL MARKETS -- 2.2%
Affiliated Managers Group, Inc.
(a)(b)....................... 2,302 96,500
Eaton Vance Corp. (b).......... 6,515 136,880
Lazard, Ltd. (Class A) (b)..... 4,245 126,247
Raymond James Financial, Inc.
(b).......................... 5,448 93,324
SEI Investments Co. (b)........ 7,875 123,716
-----------
576,667
-----------
CHEMICALS -- 2.0%
Airgas, Inc. (b)............... 3,944 153,777
Albemarle Corp. (b)............ 5,153 114,912
Huntsman Corp. (b)............. 5,443 18,724
Intrepid Potash, Inc. (a)(b)... 1,954 40,585
Nalco Holding Co. (b).......... 7,785 89,839
Rockwood Holdings, Inc.
(a)(b)....................... 2,533 27,356
Terra Industries, Inc. (b)..... 5,765 96,102
-----------
541,295
-----------
COMMERCIAL SERVICES & SUPPLIES -- 2.7%
Cintas Corp. .................. 7,501 174,248
Copart, Inc. (a)(b)............ 3,506 95,328
Corrections Corp. of America
(a)(b)....................... 7,039 115,158
Covanta Holding Corp. (a)(b)... 6,883 151,151
The Brink's Co. ............... 2,192 58,921
Waste Connections, Inc. (a).... 4,461 140,834
-----------
735,640
-----------
COMMUNICATIONS EQUIPMENT -- 1.4%
Brocade Communications Systems,
Inc. (a)..................... 20,865 58,422
CommScope, Inc. (a)(b)......... 3,963 61,585
EchoStar Corp. (Class A)
(a)(b)....................... 2,380 35,391
F5 Networks, Inc. (a)(b)....... 4,522 103,373
JDS Uniphase Corp. (a)(b)...... 12,051 43,986
Polycom, Inc. (a)(b)........... 4,634 62,605
-----------
365,362
-----------
COMPUTERS & PERIPHERALS -- 1.8%
NCR Corp. (a).................. 8,917 126,086
QLogic Corp. (a)(b)............ 7,202 96,795
SanDisk Corp. (a)(b)........... 12,634 121,287
Teradata Corp. (a)............. 9,912 146,995
-----------
491,163
-----------
CONSTRUCTION & ENGINEERING -- 1.3%
Aecom Technology Corp. (a)(b).. 4,221 129,711
KBR, Inc. (b).................. 9,064 137,773
The Shaw Group, Inc. (a)(b).... 4,398 90,027
-----------
357,511
-----------
CONSTRUCTION MATERIALS -- 0.8%
Martin Marietta Materials, Inc.
(b).......................... 2,333 226,488
-----------
CONTAINERS & PACKAGING -- 2.7%
Ball Corp. .................... 5,316 221,092
Crown Holdings, Inc. (a)....... 9,039 173,549
Pactiv Corp. (a)............... 7,376 183,515
Sealed Air Corp. (b)........... 8,906 133,056
-----------
711,212
-----------
DISTRIBUTORS -- 0.3%
LKQ Corp. (a)(b)............... 7,838 91,391
-----------
DIVERSIFIED CONSUMER SERVICES -- 2.6%
Brink's Home Security Holdings,
Inc. (a)..................... 2,411 52,849
DeVry, Inc. (b)................ 3,503 201,107
ITT Educational Services, Inc.
(a)(b)....................... 2,196 208,576
Strayer Education, Inc. (b).... 804 172,386
Weight Watchers International,
Inc. ........................ 2,031 59,752
-----------
694,670
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.3%
MSCI, Inc. (Class A) (a)(b).... 3,943 70,028
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.3%
tw telecom, inc. (a)(b)........ 8,306 70,352
-----------
ELECTRIC UTILITIES -- 0.5%
ITC Holdings Corp. (b)......... 2,784 121,605
-----------
ELECTRICAL EQUIPMENT -- 0.7%
Energy Conversion Devices, Inc.
(a)(b)....................... 2,547 64,210
General Cable Corp. (a)(b)..... 2,981 52,734
Woodward Governor Co. (b)...... 3,225 74,239
-----------
191,183
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 3.8%
Arrow Electronics, Inc. (a).... 6,747 127,114
Avnet, Inc. (a)(b)............. 8,421 153,346
Dolby Laboratories, Inc.
(a)(b)....................... 2,916 95,528
Itron, Inc. (a)(b)............. 1,921 122,445
Jabil Circuit, Inc. (b)........ 10,322 69,674
Mettler-Toledo International,
Inc. (a)(b).................. 1,926 129,812
Molex, Inc. (b)................ 7,520 108,965
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
National Instruments Corp.
(b).......................... 3,201 $ 77,976
Trimble Navigation, Ltd.
(a)(b)....................... 6,771 146,321
-----------
1,031,181
-----------
ENERGY EQUIPMENT & SERVICES -- 3.4%
Atwood Oceanics, Inc. (a)(b)... 3,097 47,322
Complete Production Services,
Inc. (a)(b).................. 2,740 22,331
Dresser-Rand Group, Inc.
(a)(b)....................... 4,634 79,937
Dril-Quip, Inc. (a)(b)......... 1,694 34,744
Exterran Holdings, Inc.
(a)(b)....................... 3,614 76,978
Helix Energy Solutions Group,
Inc. (a)(b).................. 4,748 34,376
IHS, Inc. (Class A) (a)(b)..... 2,559 95,758
Key Energy Services, Inc. (a).. 6,857 30,239
Oceaneering International, Inc.
(a).......................... 3,115 90,771
Oil States International, Inc.
(a).......................... 2,783 52,014
Patterson-UTI Energy, Inc.
(b).......................... 8,730 100,482
Rowan Cos., Inc. (b)........... 6,344 100,870
Superior Energy Services, Inc.
(a)(b)....................... 4,352 69,327
Unit Corp. (a)................. 2,661 71,102
-----------
906,251
-----------
FOOD & STAPLES RETAILING -- 0.7%
BJ'S Wholesale Club, Inc.
(a)(b)....................... 3,367 115,354
Whole Foods Market, Inc. (b)... 7,855 74,151
-----------
189,505
-----------
FOOD PRODUCTS -- 1.0%
Dean Foods Co. (a)(b).......... 8,668 155,764
Flowers Foods, Inc. (b)........ 4,853 118,219
-----------
273,983
-----------
GAS UTILITIES -- 1.0%
Energen Corp. ................. 3,674 107,758
ONEOK, Inc. (b)................ 5,491 159,898
-----------
267,656
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7%
Beckman Coulter, Inc. (b)...... 3,529 155,064
Edwards Lifesciences Corp.
(a).......................... 3,122 171,554
Gen-Probe, Inc. (a)............ 3,032 129,891
IDEXX Laboratories, Inc.
(a)(b)....................... 3,349 120,832
Immucor, Inc. (a).............. 3,943 104,805
Kinetic Concepts, Inc. (a)(b).. 3,014 57,809
Masimo Corp. (a)(b)............ 2,650 79,049
ResMed, Inc. (a)............... 4,273 160,152
-----------
979,156
-----------
HEALTH CARE PROVIDERS & SERVICES -- 3.0%
Brookdale Senior Living, Inc.
(b).......................... 2,329 12,996
Community Health Systems, Inc.
(a)(b)....................... 5,211 75,976
Health Net, Inc. (a)(b)........ 5,866 63,881
Lincare Holdings, Inc. (a)(b).. 4,227 113,833
Omnicare, Inc. (b)............. 6,013 166,921
Patterson Cos., Inc. (a)(b).... 5,672 106,350
Pediatrix Medical Group, Inc.
(a).......................... 2,558 81,089
Psychiatric Solutions, Inc.
(a)(b)....................... 2,950 82,158
VCA Antech, Inc. (a)(b)........ 4,696 93,356
-----------
796,560
-----------
HEALTH CARE TECHNOLOGY -- 1.3%
Cerner Corp. (a)(b)............ 3,594 138,189
HLTH Corp. (a)(b).............. 5,505 57,582
IMS Health, Inc. (b)........... 10,216 154,875
-----------
350,646
-----------
HOTELS, RESTAURANTS & LEISURE-- 2.7%
Brinker International, Inc. ... 5,646 59,509
Burger King Holdings, Inc.
(b).......................... 5,182 123,746
Chipotle Mexican Grill, Inc.
(a)(b)....................... 1,860 115,283
Darden Restaurants, Inc. (b)... 7,266 204,756
Orient-Express Hotels, Ltd.
(Class A) (b)................ 2,220 17,005
Penn National Gaming, Inc.
(a)(b)....................... 3,791 81,051
Scientific Games Corp. (Class
A) (a)(b).................... 3,902 68,441
Wyndham Worldwide Corp. (b).... 10,094 66,116
-----------
735,907
-----------
HOUSEHOLD DURABLES -- 1.3%
Harman International
Industries, Inc. ............ 3,278 54,841
Pulte Homes, Inc. (b).......... 11,871 129,750
Toll Brothers, Inc. (a)(b)..... 7,238 155,110
-----------
339,701
-----------
HOUSEHOLD PRODUCTS -- 1.5%
Church & Dwight Co., Inc. (b).. 3,956 222,011
Energizer Holdings, Inc.
(a)(b)....................... 3,290 178,120
-----------
400,131
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
Dynegy, Inc. (Class A) (a)(b).. 28,117 56,234
Ormat Technologies, Inc. (b)... 1,023 32,603
-----------
88,837
-----------
INDUSTRIAL CONGLOMERATES -- 0.1%
Seaboard Corp. (b)............. 21 25,074
-----------
INSURANCE -- 1.4%
Brown & Brown, Inc. (b)........ 6,387 133,488
W.R. Berkley Corp. ............ 7,898 244,838
-----------
378,326
-----------
INTERNET & CATALOG RETAIL -- 0.6%
Priceline.com, Inc. (a)(b)..... 2,263 166,670
-----------
INTERNET SOFTWARE & SERVICES -- 0.9%
Akamai Technologies, Inc.
(a)(b)....................... 9,520 143,657
Equinix, Inc. (a)(b)........... 1,814 96,487
-----------
240,144
-----------
IT SERVICES -- 5.8%
Affiliated Computer Services,
Inc. (Class A) (a)(b)........ 5,255 241,467
Broadridge Financial Solutions,
Inc. (b)..................... 7,789 97,674
DST Systems, Inc. (a)(b)....... 2,246 85,303
Fidelity National Information
Services, Inc. .............. 10,632 172,983
Gartner, Inc. (a).............. 3,594 64,081
Genpact, Ltd. (a)(b)........... 3,247 26,690
Global Payments, Inc. ......... 4,515 148,047
Hewitt Associates, Inc. (Class
A) (a)....................... 4,802 136,281
Mantech International Corp.
(Class A) (a)(b)............. 1,174 63,619
Metavante Technologies, Inc.
(a)(b)....................... 5,032 81,066
Perot Systems Corp. (Class A)
(a)(b)....................... 4,866 66,518
SAIC, Inc. (a)................. 10,828 210,929
Total System Services, Inc.
(b).......................... 11,151 156,114
-----------
1,550,772
-----------
LIFE SCIENCES TOOLS & SERVICES -- 3.0%
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 1,085 81,711
Bruker Corp. (a)(b)............ 2,823 11,405
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Charles River Laboratories
International, Inc. (a)(b)... 3,826 $ 100,241
Life Technologies Corp. (a).... 9,647 224,872
Millipore Corp. (a)(b)......... 3,075 158,424
PerkinElmer, Inc. ............. 6,674 92,835
Techne Corp. .................. 2,177 140,460
-----------
809,948
-----------
MACHINERY -- 3.7%
Bucyrus International, Inc.
(Class A) (b)................ 4,229 78,321
CLARCOR, Inc. (b).............. 2,875 95,393
Donaldson Co., Inc. (b)........ 3,768 126,793
Gardner Denver, Inc. (a)....... 2,904 67,779
Graco, Inc. (b)................ 3,389 80,421
Harsco Corp. .................. 4,737 131,120
Lincoln Electric Holdings, Inc.
(b).......................... 2,287 116,477
Navistar International Corp.
(a)(b)....................... 3,576 76,455
Nordson Corp. (b).............. 1,729 55,829
The Manitowoc Co., Inc. (b).... 7,314 63,339
Wabtec Corp. (b)............... 2,734 108,677
-----------
1,000,604
-----------
MARINE -- 0.3%
Kirby Corp. (a)................ 3,031 82,928
-----------
MEDIA -- 1.7%
Interactive Data Corp. (b)..... 2,040 50,306
John Wiley & Sons, Inc. (Class
A) (b)....................... 2,854 101,545
Lamar Advertising Co. (Class A)
(a)(b)....................... 3,719 46,711
Liberty Media Corp.-Interactive
(Class A) (a)(b)............. 5,211 24,544
Marvel Entertainment, Inc.
(a)(b)....................... 2,927 90,005
Morningstar, Inc. (a)(b)....... 1,006 35,713
Sirius XM Radio, Inc. (a)(b)... 197,640 23,717
Virgin Media, Inc. (b)......... 16,495 82,310
-----------
454,851
-----------
METALS & MINING -- 0.9%
Reliance Steel & Aluminum
Co. ......................... 3,616 72,103
Steel Dynamics, Inc. (b)....... 10,223 114,293
Titanium Metals Corp. (b)...... 5,489 48,358
-----------
234,754
-----------
MULTILINE RETAIL -- 1.5%
Dollar Tree Stores, Inc.
(a)(b)....................... 5,089 212,720
Family Dollar Stores, Inc.
(b).......................... 7,495 195,395
-----------
408,115
-----------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp. (Class
A) (a)(b).................... 3,568 72,288
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.7%
Atlas Energy Resources LLC..... 1,881 24,020
Cabot Oil & Gas Corp. (b)...... 5,810 151,060
Cimarex Energy Co. (b)......... 4,656 124,688
CNX Gas Corp. (a)(b)........... 1,574 42,970
Comstock Resources, Inc.
(a)(b)....................... 2,568 121,338
Concho Resources, Inc. (a)(b).. 3,517 80,258
Continental Resources, Inc.
(a)(b)....................... 1,766 36,574
EXCO Resources, Inc. (a)(b).... 9,657 87,492
Foundation Coal Holdings, Inc.
(b).......................... 2,581 36,186
Kinder Morgan Management, LLC.. 4,095 163,718
Mariner Energy, Inc. (a)(b).... 4,603 46,951
Massey Energy Co. (b).......... 4,778 65,889
Patriot Coal Corp. (a)(b)...... 2,961 18,506
Penn Virginia Corp. (b)........ 2,350 61,053
Quicksilver Resources, Inc.
(a)(b)....................... 6,381 35,542
SandRidge Energy, Inc. (a)(b).. 5,322 32,730
St. Mary Land & Exploration Co.
(b).......................... 3,466 70,394
Sunoco, Inc. (b)............... 6,648 288,922
Walter Industries, Inc. (b).... 3,052 53,441
-----------
1,541,732
-----------
PERSONAL PRODUCTS -- 0.5%
Herbalife, Ltd. (b)............ 3,588 77,788
NBTY, Inc. (a)(b).............. 3,178 49,736
-----------
127,524
-----------
PHARMACEUTICALS -- 2.3%
Endo Pharmaceuticals Holdings,
Inc. (a)(b).................. 6,741 174,457
King Pharmaceuticals, Inc.
(a).......................... 13,864 147,236
Mylan, Inc. (a)(b)............. 17,007 168,199
Sepracor, Inc. (a)(b).......... 6,083 66,791
Warner Chilcott, Ltd. (Class A)
(a)(b)....................... 4,771 69,180
-----------
625,863
-----------
PROFESSIONAL SERVICES -- 2.7%
Equifax, Inc. ................. 7,133 189,167
FTI Consulting, Inc. (a)(b).... 2,825 126,221
Manpower, Inc. ................ 4,390 149,216
Monster Worldwide, Inc.
(a)(b)....................... 7,082 85,621
Robert Half International, Inc.
(b).......................... 8,820 183,633
-----------
733,858
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.5%
Alexander's, Inc. (b).......... 147 37,470
Camden Property Trust (b)...... 2,973 93,174
CapitalSource, Inc. (b)........ 12,678 58,572
Digital Realty Trust, Inc.
(b).......................... 3,744 122,991
Taubman Centers, Inc. (b)...... 2,974 75,718
-----------
387,925
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.2%
CB Richard Ellis Group, Inc.
(Class A) (a)(b)............. 12,985 56,095
-----------
ROAD & RAIL -- 1.2%
Hertz Global Holdings, Inc.
(a)(b)....................... 7,426 37,650
J.B. Hunt Transport Services,
Inc. (b)..................... 6,217 163,321
Landstar Systems, Inc. (b)..... 2,970 114,137
-----------
315,108
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.7%
Advanced Micro Devices, Inc.
(a)(b)....................... 31,341 67,697
Atheros Communications, Inc.
(a)(b)....................... 3,330 47,652
Cree, Inc. (a)(b).............. 4,509 71,558
Cypress Semiconductor Corp.
(a)(b)....................... 8,162 36,484
Integrated Device Technology,
Inc. (a)(b).................. 9,650 54,136
Intersil Corp. (Class A)....... 6,973 64,082
Lam Research Corp. (a)(b)...... 7,071 150,471
LSI Logic Corp. (a)(b)......... 35,913 118,154
Micron Technology, Inc.
(a)(b)....................... 42,621 112,519
Microsemi Corp. (a)............ 4,411 55,755
Novellus Systems, Inc. (a)(b).. 5,622 69,375
ON Semiconductor Corp. (a)(b).. 22,857 77,714
Varian Semiconductor Equipment
Associates, Inc. (a)(b)...... 4,098 74,256
-----------
999,853
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SOFTWARE -- 3.5%
Ansys, Inc. (a)................ 4,989 $ 139,143
Cadence Design Systems, Inc.
(a)(b)....................... 14,527 53,169
Concur Technologies, Inc.
(a)(b)....................... 2,786 91,437
Factset Research Systems, Inc.
(b).......................... 2,477 109,582
Jack Henry & Associates,
Inc. ........................ 4,752 92,236
MICROS Systems, Inc. (a)....... 4,543 74,142
Nuance Communications, Inc.
(a)(b)....................... 10,603 109,847
Parametric Technology Corp.
(a).......................... 6,545 82,794
Red Hat, Inc. (a)(b)........... 10,749 142,102
VMware, Inc. (Class A) (a)(b).. 2,204 52,213
-----------
946,665
-----------
SPECIALTY RETAIL -- 4.1%
Abercrombie & Fitch Co. (Class
A) (b)....................... 4,934 113,827
Advance Auto Parts, Inc. ...... 5,347 179,927
Aeropostale, Inc. (a)(b)....... 3,771 60,713
American Eagle Outfitters, Inc.
(b).......................... 9,932 92,964
CarMax, Inc. (a)(b)............ 11,074 87,263
Dick's Sporting Goods, Inc.
(a)(b)....................... 4,695 66,246
Guess ?, Inc. ................. 3,440 52,804
O'Reilly Automotive, Inc.
(a)(b)....................... 7,568 232,640
PetSmart, Inc. (b)............. 7,175 132,379
Signet Jewelers, Ltd. ......... 4,846 42,015
Williams-Sonoma, Inc. (b)...... 5,368 42,193
-----------
1,102,971
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Fossil, Inc. (a)(b)............ 2,650 44,255
The Warnaco Group, Inc. (a).... 2,610 51,234
-----------
95,489
-----------
THRIFTS & MORTGAGE FINANCE -- 0.3%
TFS Financial Corp. (b)........ 5,487 70,782
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
MSC Industrial Direct Co., Inc.
(Class A) (b)................ 2,476 91,191
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 1.5%
Leap Wireless International,
Inc. (a)(b).................. 2,816 75,722
SBA Communications Corp. (Class
A) (a)....................... 6,555 106,977
Telephone & Data Systems, Inc.
(b).......................... 5,789 183,801
US Cellular Corp. (a).......... 890 38,484
-----------
404,984
-----------
TOTAL COMMON STOCKS --
(Cost $43,417,484)........... 26,792,285
-----------
SHORT TERM INVESTMENTS -- 27.8%
MONEY MARKET FUNDS -- 27.8%
State Street Navigator
Securities Lending Prime
Portfolio (c)(d)............. 7,368,056 7,368,056
STIC Prime Portfolio........... 98,663 98,663
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $7,466,719)............ 7,466,719
-----------
TOTAL INVESTMENTS -- 127.6%
(Cost $50,884,203)........... 34,259,004
OTHER ASSETS AND
LIABILITIES -- (27.6)%....... (7,411,235)
-----------
NET ASSETS -- 100.0%........... $26,847,769
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Investments of cash collateral for securities loaned.
(d) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 0.4%
Curtiss-Wright Corp. (a)....... 1,157 $ 38,632
-----------
AIRLINES -- 1.7%
Delta Air Lines, Inc. (b)...... 16,363 187,520
-----------
AUTO COMPONENTS -- 0.3%
TRW Automotive Holdings Corp.
(a)(b)....................... 1,396 5,026
WABCO Holdings, Inc. (a)....... 1,799 28,406
-----------
33,432
-----------
BEVERAGES -- 0.3%
PepsiAmericas, Inc. (a)........ 1,644 33,472
-----------
BUILDING PRODUCTS -- 1.0%
Armstrong World Industries,
Inc. ........................ 457 9,880
Lennox International, Inc.
(a).......................... 1,346 43,462
Owens Corning, Inc. (a)(b)..... 2,254 38,994
USG Corp. (a)(b)............... 1,713 13,773
-----------
106,109
-----------
CAPITAL MARKETS -- 1.9%
AllianceBernstein Holding LP
(a).......................... 852 17,713
Federated Investors, Inc.
(Class B) (a)................ 2,472 41,925
GLG Partners, Inc. (a)......... 5,106 11,591
Janus Capital Group, Inc. (a).. 4,105 32,963
Jefferies Group, Inc. (a)...... 3,001 42,194
The Blackstone Group LP (a).... 4,182 27,309
Waddell & Reed Financial, Inc.
(Class A) (a)................ 2,187 33,811
-----------
207,506
-----------
CHEMICALS -- 3.3%
Ashland, Inc. ................. 1,714 18,014
Cytec Industries, Inc. (a)..... 1,243 26,376
Eastman Chemical Co. (a)....... 1,761 55,841
International Flavors &
Fragrances, Inc. (a)......... 2,026 60,213
Lubrizol Corp. (a)............. 1,769 64,374
Olin Corp. (a)................. 1,772 32,038
RPM International,Inc. ........ 3,356 44,601
Valhi, Inc. (a)................ 281 3,007
Valspar Corp. (a).............. 2,417 43,724
W.R. Grace & Co. (a)(b)........ 1,551 9,259
-----------
357,447
-----------
COMMERCIAL BANKS -- 9.3%
Associated Bancorp (a)......... 3,072 64,297
BancorpSouth, Inc. (a)......... 1,990 46,486
Bank of Hawaii Corp. (a)....... 1,231 55,604
BOK Financial Corp. (a)........ 579 23,392
City National Corp. (a)........ 1,025 49,917
Comerica, Inc. (a)............. 3,933 78,070
Commerce Bancshares, Inc. ..... 1,588 69,793
Cullen/Frost Bankers, Inc.
(a).......................... 1,447 73,334
First Horizon National Corp.
(a).......................... 5,297 55,994
Fulton Financial Corp. (a)..... 4,469 42,992
Huntington Bancshares, Inc.
(a).......................... 9,450 72,387
Marshall & Ilsley Corp. (a).... 6,320 86,205
PNC Financial Services Group,
Inc. ........................ 1 49
Popular, Inc. (a).............. 6,596 34,035
Synovus Financial Corp. (a).... 7,059 58,590
UMB Financial Corp. (a)........ 800 39,312
Valley National Bancorp (a).... 3,479 70,450
Zions Bancorp.................. 3,005 73,653
-----------
994,560
-----------
COMMUNICATIONS EQUIPMENT -- 0.4%
Tellabs, Inc. (a)(b)........... 9,384 38,662
-----------
COMPUTERS & PERIPHERALS -- 0.9%
Diebold, Inc. (a).............. 1,692 47,528
Lexmark International, Inc.
(Class A) (a)(b)............. 2,021 54,365
-----------
101,893
-----------
CONSTRUCTION & ENGINEERING -- 1.2%
EMCOR Group, Inc. (a)(b)....... 1,685 37,795
URS Corp. (a)(b)............... 2,173 88,593
-----------
126,388
-----------
CONSUMER FINANCE -- 0.0% (c)
The Student Loan Corp. (a)..... 100 4,100
-----------
CONTAINERS & PACKAGING -- 2.5%
Aptargroup, Inc. .............. 1,650 58,146
Bemis Co., Inc. (a)............ 2,591 61,355
Greif, Inc. (Class A) (a)...... 789 26,376
Packaging Corp. of America
(a).......................... 2,640 35,535
Silgan Holdings, Inc. ......... 647 30,933
Sonoco Products Co. ........... 2,564 59,382
-----------
271,727
-----------
DIVERSIFIED CONSUMER SERVICES -- 0.3%
Service Corp. International
(a).......................... 6,629 32,946
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
CIT Group, Inc. (a)............ 9,443 42,871
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3%
CenturyTel, Inc. (a)........... 2,582 70,566
Frontier Communications Corp.
(a).......................... 8,026 70,147
-----------
140,713
-----------
ELECTRIC UTILITIES -- 4.5%
DPL, Inc. ..................... 2,989 68,269
Great Plains Energy, Inc. (a).. 3,040 58,763
Hawaiian Electric Industries,
Inc. (a)..................... 2,325 51,476
Northeast Utilities (a)........ 4,067 97,852
NV Energy, Inc. ............... 6,024 59,577
Pinnacle West Capital Corp.
(a).......................... 2,619 84,148
Westar Energy, Inc. (a)........ 2,792 57,264
-----------
477,349
-----------
ELECTRICAL EQUIPMENT -- 1.3%
Brady Corp. (Class A) (a)...... 1,245 29,818
GrafTech International, Ltd.
(b).......................... 3,076 25,592
Hubbell, Inc. (Class B)........ 1,351 44,151
Thomas & Betts Corp. (a)(b).... 1,441 34,613
-----------
134,174
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7%
Anixter International, Inc.
(a)(b)....................... 788 23,735
Ingram Micro, Inc. (Class A)
(b).......................... 3,698 49,516
-----------
73,251
-----------
ENERGY EQUIPMENT & SERVICES -- 0.5%
Tidewater, Inc. (a)............ 1,328 53,479
-----------
FOOD PRODUCTS -- 3.6%
Corn Products International,
Inc. (a)..................... 1,908 55,046
Hormel Foods Corp. ............ 1,892 58,803
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ralcorp Holdings, Inc. (b)..... 1,468 $ 85,731
Smithfield Foods, Inc. (a)(b).. 3,413 48,021
The J.M. Smucker Co. (a)....... 3,064 132,855
-----------
380,456
-----------
GAS UTILITIES -- 3.2%
AGL Resources, Inc. (a)........ 1,972 61,822
Atmos Energy Corp. ............ 2,325 55,103
National Fuel Gas Co. (a)...... 1,834 57,459
Nicor, Inc. ................... 1,159 40,264
Piedmont Natural Gas Co.,
Inc. ........................ 1,777 56,278
UGI Corp. ..................... 2,775 67,765
-----------
338,691
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2%
Inverness Medical Innovations,
Inc. (a)(b).................. 1,992 37,669
STERIS Corp. .................. 1,528 36,504
Teleflex, Inc. (a)............. 1,023 51,252
-----------
125,425
-----------
HEALTH CARE PROVIDERS & SERVICES -- 0.6%
Tenet Healthcare Corp. (a)(b).. 12,229 14,063
Universal Health Services, Inc.
(Class B) (a)................ 1,229 46,174
-----------
60,237
-----------
HOTELS RESTAURANTS & LEISURE -- 0.2%
International Speedway Corp.
(Class A).................... 826 23,731
-----------
HOUSEHOLD DURABLES -- 4.3%
D.R. Horton, Inc. (a).......... 7,045 49,808
Leggett & Platt, Inc. (a)...... 4,027 61,170
Mohawk Industries, Inc.
(a)(b)....................... 1,423 61,147
NVR, Inc. (a)(b)............... 129 58,856
Snap-on, Inc. (a).............. 1,481 58,322
The Black & Decker Corp. (a)... 1,546 64,638
The Stanley Works (a).......... 2,018 68,814
Tupperware Brands Corp. (a).... 1,590 36,093
-----------
458,848
-----------
INDUSTRIAL CONGLOMERATES -- 0.3%
Carlisle Cos., Inc. (a)........ 1,573 32,561
-----------
INSURANCE -- 13.6%
Alleghany Corp. (a)(b)......... 155 43,710
American Financial Group,
Inc. ........................ 2,022 46,263
American National Insurance Co.
(a).......................... 410 30,229
Arch Capital Group, Ltd.
(a)(b)....................... 1,294 90,710
Arthur J. Gallagher & Co. (a).. 2,449 63,454
Aspen Insurance Holdings, Ltd.
(a).......................... 1,815 44,014
Cincinnati Financial Corp.
(a).......................... 3,946 114,710
Endurance Specialty Holdings,
Ltd. (a)..................... 1,316 40,178
Erie Indemnity Co. (Class A)
(a).......................... 826 31,082
Fidelity National Financial,
Inc. (Class A) (a)........... 5,499 97,607
First American Corp. .......... 2,111 60,987
HCC Insurance Holdings, Inc.
(a).......................... 2,991 80,009
Markel Corp. (a)(b)............ 257 76,843
MBIA, Inc. (a)(b).............. 6,011 24,465
Mercury General Corp. (a)...... 678 31,181
Odyssey Re Holdings Corp. (a).. 456 23,625
Old Republic International
Corp. (a).................... 6,024 71,806
PartnerRe, Ltd. ............... 1,431 101,987
Protective Life Corp. (a)...... 1,791 25,701
Reinsurance Group of America,
Inc. ........................ 1,616 69,197
RenaissanceRe Holdings, Ltd. .. 1,594 82,187
StanCorp Financial Group, Inc.
(a).......................... 1,263 52,756
The Hanover Insurance Group,
Inc. ........................ 1,329 57,107
Transatlantic Holdings, Inc. .. 678 27,161
Wesco Financial Corp. (a)...... 36 10,364
White Mountains Insurance
Group, Ltd. (a).............. 198 52,888
-----------
1,450,221
-----------
IT SERVICES -- 0.7%
Lender Processing Services,
Inc. ........................ 2,445 72,005
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.4%
Eastman Kodak Co. (a).......... 6,921 45,540
-----------
MACHINERY -- 2.6%
Crane Co. (a).................. 1,343 23,153
IDEX Corp. (a)................. 2,139 51,657
Kennametal, Inc. .............. 1,901 42,183
Pentair, Inc. ................. 2,572 60,879
The Timken Co. ................ 1,991 39,083
Trinity Industries, Inc. (a)... 2,051 32,324
Valmont Industries, Inc. (a)... 479 29,392
-----------
278,671
-----------
MARINE -- 0.4%
Alexander & Baldwin, Inc. (a).. 1,065 26,689
Genco Shipping & Trading, Ltd.
(a).......................... 812 12,017
-----------
38,706
-----------
MEDIA -- 1.7%
DreamWorks Animation SKG, Inc.
(Class A) (b)................ 1,494 37,738
Gannett Co., Inc. (a).......... 5,925 47,400
Hearst-Argyle Television, Inc.
(a).......................... 681 4,127
Regal Entertainment Group...... 2,006 20,481
The Interpublic Group of Cos.,
Inc. (b)..................... 12,283 48,641
The New York Times Co. (Class
A) (a)....................... 2,979 21,836
-----------
180,223
-----------
METALS & MINING -- 0.9%
Century Aluminum Co. (a)(b).... 991 9,910
Commercial Metals Co. (a)...... 2,954 35,064
Compass Minerals International,
Inc. (a)..................... 836 49,040
-----------
94,014
-----------
MULTI-UTILITIES -- 7.1%
Alliant Energy Corp. .......... 2,871 83,776
CMS Energy Corp. (a)........... 5,779 58,426
Integrys Energy Group, Inc.
(a).......................... 1,970 84,671
NiSource, Inc. ................ 7,131 78,227
NSTAR.......................... 2,774 101,223
OGE Energy Corp. .............. 2,361 60,866
Puget Energy, Inc. ............ 3,053 83,255
SCANA Corp. (a)................ 2,738 97,473
TECO Energy, Inc. (a).......... 5,128 63,331
Vectren Corp. (a).............. 2,087 52,196
-----------
763,444
-----------
MULTILINE RETAIL -- 0.3%
Big Lots, Inc. (a)(b).......... 2,098 30,400
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.4%
Boardwalk Pipeline Partners LP
(a).......................... 1,430 25,425
Buckeye Partners LP (a)........ 1,258 40,571
Enbridge Energy Partners LP
(a).......................... 1,591 40,571
Encore Acquisition Co. (a)(b).. 1,300 33,176
Enterprise GP Holdings LP...... 924 16,105
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE MID CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Forest Oil Corp. (a)(b)........ 2,260 $ 37,267
Linn Energy LLC (a)............ 2,843 42,560
Magellan Midstream Partners LP
(a).......................... 1,710 51,659
Natural Resource Partners LP... 823 14,361
NuStar Energy LP (a)........... 1,098 45,084
Overseas Shipholding Group,
Inc. (a)..................... 586 24,676
Ship Finance International,
Ltd. (a)..................... 1,022 11,293
Southern Union Co. (a)......... 2,698 35,182
Teekay Corp. (a)............... 1,095 21,517
TEPPCO Partners LP (a)......... 2,194 42,937
Tesoro Corp. (a)............... 3,522 46,385
W&T Offshore, Inc. (a)......... 698 9,995
Whiting Petroleum Corp.
(a)(b)....................... 1,098 36,739
-----------
575,503
-----------
PAPER & FOREST PRODUCTS -- 0.6%
Domtar Corp. (a)(b)............ 12,707 21,221
MeadWestvaco Corp. (a)......... 4,161 46,561
-----------
67,782
-----------
PERSONAL PRODUCT -- 0.5%
Alberto-Culver Co. (a)......... 2,259 55,368
-----------
PHARMACEUTICALS -- 1.3%
Perrigo Co. (a)................ 2,182 70,500
Watson Pharmaceuticals, Inc.
(a)(b)....................... 2,721 72,297
-----------
142,797
-----------
PROFESSIONAL SERVICES -- 0.5%
Watson Wyatt Worldwide, Inc.
(Class A) (a)................ 1,093 52,267
-----------
REAL ESTATE INVESTMENT TRUSTS -- 11.0%
Alexandria Real Estate
Equities, Inc. (a)........... 824 49,720
AMB Property Corp. (a)......... 2,524 59,112
Apartment Investment &
Management Co. (Class A)
(a).......................... 2,610 30,145
BRE Properties, Inc. (a)....... 1,318 36,878
Developers Diversified Realty
Corp. (a).................... 3,090 15,079
Douglas Emmett, Inc. (a)....... 2,810 36,699
Duke Realty Corp. (a).......... 3,764 41,253
Essex Property Trust, Inc.
(a).......................... 691 53,034
Federal Realty Investment Trust
(a).......................... 1,528 94,858
Health Care REIT, Inc. (a)..... 2,688 113,434
Highwoods Properties, Inc.
(a).......................... 1,638 44,816
Hospitality Properties Trust
(a).......................... 2,419 35,971
Liberty Property Trust......... 2,529 57,737
Mack-Cali Realty Corp. (a)..... 1,699 41,625
Nationwide Health Properties,
Inc. (a)..................... 2,589 74,356
Rayonier, Inc. (a)............. 2,021 63,358
Realty Income Corp. (a)........ 2,688 62,227
Regency Centers Corp. (a)...... 1,802 84,153
Senior Housing Properties Trust
(a).......................... 2,993 53,635
The Macerich Co. (a)........... 1,962 35,630
UDR, Inc. (a).................. 3,507 48,362
Weingarten Realty Investors
(a).......................... 2,082 43,077
-----------
1,175,159
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.6%
Forest City Enterprises, Inc.
(Class A) (a)................ 1,776 11,899
The St. Joe Co. (a)(b)......... 2,364 57,493
-----------
69,392
-----------
ROAD & RAIL -- 1.2%
Con-way, Inc. (a).............. 1,178 31,335
Kansas City Southern (a)(b).... 2,351 44,787
Ryder Systems, Inc. (a)........ 1,434 55,610
-----------
131,732
-----------
SOFTWARE -- 1.9%
Compuware Corp. (a)(b)......... 6,355 42,896
Novell, Inc. (a)(b)............ 8,900 34,621
Sybase, Inc. (a)(b)............ 2,090 51,769
Synopsys, Inc. (a)(b).......... 3,755 69,543
-----------
198,829
-----------
SPECIALTY RETAIL -- 0.9%
AutoNation, Inc. (a)(b)........ 2,863 28,286
Foot Locker, Inc. (a).......... 4,035 29,617
RadioShack Corp. (a)........... 3,224 38,495
-----------
96,398
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 0.5%
Hanesbrands, Inc. (a)(b)....... 2,417 30,817
Phillips-Van Heusen Corp. ..... 1,322 26,612
-----------
57,429
-----------
THRIFTS & MORTGAGE FINANCE -- 0.6%
Astoria Financial Corp. (a).... 2,271 37,426
Capitol Federal Financial (a).. 548 24,989
-----------
62,415
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.3%
GATX Corp. (a)................. 1,117 34,593
-----------
WATER UTILITIES -- 1.0%
American Water Works Co., Inc.
(a).......................... 1,495 31,216
Aqua America, Inc. (a)......... 3,483 71,715
-----------
102,931
-----------
TOTAL COMMON STOCKS --
(Cost $14,722,874)........... 10,651,999
-----------
SHORT TERM INVESTMENTS -- 22.6%
MONEY MARKET FUNDS -- 22.6%
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............. 2,325,652 2,325,652
STIC Prime Portfolio........... 83,286 83,286
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $2,408,938)............ 2,408,938
-----------
TOTAL INVESTMENTS -- 122.2%
(Cost $17,131,812)........... 13,060,937
OTHER ASSETS AND
LIABILITIES -- (22.2)%....... (2,369,494)
-----------
NET ASSETS -- 100.0%........... $10,691,443
===========
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Amount represents less than 0.05% of net assets.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
REIT = Real Estate Investment Trust
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.5%
AEROSPACE & DEFENSE -- 1.5%
AAR Corp. (a)(b)............... 627 $ 11,543
Aerovironment, Inc. (a)(b)..... 224 8,246
American Science & Engineering,
Inc. (b)..................... 145 10,724
Argon ST, Inc. (a)(b).......... 227 4,281
Axsys Technologies, Inc.
(a)(b)....................... 148 8,119
BE Aerospace, Inc. (a)......... 1,519 11,681
Ceradyne, Inc. (a)(b).......... 431 8,754
Cubic Corp. ................... 243 6,610
Curtiss-Wright Corp.(b)........ 744 24,842
DynCorp International, Inc.
(a).......................... 436 6,614
Esterline Technologies Corp.
(a).......................... 464 17,581
GenCorp, Inc. (a)(b)........... 850 3,128
Heico Corp. ................... 318 9,209
Hexcel Corp. (a)(b)............ 1,570 11,602
Ladish Co., Inc. (a)(b)........ 229 3,172
Moog, Inc. (Class A)(a)........ 639 23,368
Orbital Sciences Corp. (a)(b).. 969 18,925
Stanley, Inc. (a).............. 286 10,359
Taser International, Inc.
(a)(b)....................... 1,057 5,581
Teledyne Technologies, Inc.
(a)(b)....................... 548 24,413
TransDigm Group, Inc. (a)...... 414 13,898
Triumph Group, Inc. (b)........ 271 11,507
-----------
254,157
-----------
AIR FREIGHT & LOGISTICS -- 0.3%
Atlas Air Worldwide Holdings,
Inc. (a)(b).................. 214 4,045
Forward Air Corp. (b).......... 466 11,310
HUB Group, Inc. (Class A)
(a)(b)....................... 636 16,873
Pacer International, Inc. (b).. 559 5,830
UTI Worldwide, Inc. ........... 1,473 21,123
-----------
59,181
-----------
AIRLINES -- 0.9%
AirTran Holdings, Inc. (a)(b).. 1,849 8,210
Alaska Air Group, Inc. (a)..... 587 17,170
Allegiant Travel Co. (a)(b).... 221 10,734
Continental Airlines, Inc.
(Class B) (a)(b)............. 1,782 32,183
Hawaiian Holdings, Inc.
(a)(b)....................... 688 4,389
JetBlue Airways Corp. (a)...... 2,977 21,137
Republic Airways Holdings, Inc.
(a)(b)....................... 587 6,263
SkyWest, Inc. (b).............. 940 17,484
UAL Corp. (b).................. 2,054 22,635
US Airways Group, Inc. (a)(b).. 1,695 13,102
-----------
153,307
-----------
AUTO COMPONENTS -- 0.4%
American Axle & Manufacturing
Holdings, Inc. (b)........... 750 2,168
ArvinMeritor, Inc. (b)......... 1,195 3,406
Cooper Tire & Rubber Co. (b)... 954 5,877
Dana Holding Corp. (a)(b)...... 1,173 868
Drew Industries, Inc. (a)(b)... 332 3,984
Exide Technologies (a)(b)...... 745 3,941
Federal-Mogul Corp. (Class A)
(a)(b)....................... 409 1,730
Fuel Systems Solutions, Inc.
(a)(b)....................... 188 6,159
Gentex Corp. (b)............... 2,339 20,653
Lear Corp. (a)(b).............. 1,460 2,059
Modine Manufacturing Co. (b)... 527 2,566
Superior Industries
International, Inc. (b)...... 354 3,724
Tenneco Automotive, Inc.
(a)(b)....................... 755 2,227
TRW Automotive Holdings Corp.
(a).......................... 878 3,161
Visteon Corp. (a)(b)........... 2,064 722
-----------
63,245
-----------
AUTOMOBILES -- 0.1%
Fleetwood Enterprises, Inc.
(a).......................... 1,231 123
Thor Industries, Inc. (b)...... 621 8,185
Winnebago Industries, Inc. .... 464 2,798
-----------
11,106
-----------
BEVERAGES -- 0.2%
Boston Beer Co., Inc. (a)(b)... 160 4,544
Central European Distribution
Corp. (a)(b)................. 623 12,273
Coca-Cola Hellenic Bottling Co.
SA (b)....................... 64 2,941
National Beverage Corp. (a).... 167 1,503
PepsiAmericas, Inc. ........... 1,041 21,195
-----------
42,456
-----------
BIOTECHNOLOGY -- 2.8%
Acorda Therapeutics, Inc.
(a)(b)....................... 620 12,716
Affymax, Inc. (a).............. 125 1,249
Alkermes, Inc. (a)(b).......... 1,583 16,859
Allos Therapeutics, Inc. (a)... 918 5,618
Alnylam Pharmaceuticals, Inc.
(a)(b)....................... 595 14,714
Arena Pharmaceuticals, Inc.
(a)(b)....................... 1,228 5,121
Ariad Pharmaceuticals, Inc.
(a)(b)....................... 1,063 904
Celera Corp. (a)(b)............ 1,298 14,447
Cepheid, Inc. (a)(b)........... 923 9,581
Cougar Biotechnology, Inc.
(a)(b)....................... 276 7,176
Cubist Pharmaceuticals, Inc.
(a)(b)....................... 938 22,662
CV Therapeutics, Inc. (a)(b)... 944 8,694
Dendreon Corp. (a)(b).......... 1,458 6,678
Enzon Pharmaceuticals, Inc.
(a)(b)....................... 661 3,854
Facet Biotech Corp. (a)........ 396 3,794
Genomic Health, Inc. (a)(b).... 257 5,006
Geron Corp. (a)(b)............. 1,398 6,529
GTx, Inc. (a)(b)............... 285 4,799
Halozyme Therapeutics, Inc.
(a)(b)....................... 1,109 6,210
Human Genome Sciences, Inc.
(a)(b)....................... 2,198 4,660
Idenix Pharmaceuticals, Inc.
(a)(b)....................... 332 1,922
Incyte Corp. (a)(b)............ 1,542 5,844
Indevus Pharmaceuticals, Inc.
(a)(b)....................... 1,152 3,617
InterMune, Inc. (a)(b)......... 502 5,311
Isis Pharmaceuticals, Inc.
(a).......................... 1,473 20,887
Lexicon Genetics, Inc. (a)(b).. 1,491 2,087
Ligand Pharmaceuticals, Inc.
(Class B) (a)(b)............. 1,125 3,083
MannKind Corp. (a)(b).......... 841 2,885
Martek Biosciences Corp. (b)... 552 16,731
Maxygen, Inc. (a)(b)........... 461 4,112
Medarex, Inc. (a).............. 2,072 11,562
Momenta Pharmaceuticals, Inc.
(a)(b)....................... 479 5,556
Myriad Genetics, Inc. (a)(b)... 767 50,822
Neurocrine Biosciences, Inc.
(a)(b)....................... 587 1,878
Onyx Pharmaceuticals, Inc.
(a)(b)....................... 919 31,393
Opko Health, Inc. (a).......... 1,736 2,812
OSI Pharmaceuticals, Inc.
(a)(b)....................... 949 37,059
Osiris Therapeutics, Inc. (a).. 295 5,652
PDL BioPharma, Inc. (b)........ 1,978 12,224
Pharmasset, Inc. (a)........... 267 3,500
Progenics Pharmaceuticals, Inc.
(a)(b)....................... 411 4,238
Regeneron Pharmaceuticals, Inc.
(a)(b)....................... 1,011 18,562
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Rigel Pharmaceuticals, Inc.
(a)(b)....................... 594 $ 4,752
Sangamo Biosciences, Inc.
(a)(b)....................... 607 2,112
Savient Pharmaceuticals, Inc.
(a)(b)....................... 877 5,078
Seattle Genetics, Inc. (a)(b).. 910 8,136
Theravance, Inc. (a)(b)........ 849 10,519
United Therapeutics Corp.
(a)(b)....................... 373 23,331
Zymogenetics, Inc. (a)(b)...... 615 1,845
-----------
468,781
-----------
BUILDING PRODUCTS -- 0.7%
American Woodmark Corp. ....... 151 2,753
Ameron International Corp. .... 139 8,746
Apogee Enterprises, Inc. (b)... 459 4,755
Armstrong World Industries,
Inc. (b)..................... 298 6,443
Builders FirstSource, Inc.
(a)(b)....................... 263 402
Gibraltar Industries, Inc. .... 444 5,301
Griffon Corp. (a)(b)........... 1,128 10,524
Lennox International, Inc.
(b).......................... 837 27,027
NCI Building Systems, Inc.
(a)(b)....................... 317 5,167
Owens Corning, Inc. (a)(b)..... 1,457 25,206
Quanex Building Products Corp.
(b).......................... 607 5,688
Simpson Manufacturing Co.,
Inc. ........................ 616 17,100
Universal Forest Products, Inc.
(b).......................... 289 7,777
-----------
126,889
-----------
CAPITAL MARKETS -- 1.6%
BGC Partners, Inc. (b)......... 484 1,336
Calamos Asset Management, Inc.
(Class A) (b)................ 323 2,390
Cohen & Steers, Inc. (b)....... 270 2,967
E*TRADE Financial Corp.
(a)(b)....................... 7,214 8,296
FBR Capital Markets Corp.
(a)(b)....................... 506 2,459
FCStone Group, Inc. (a)(b)..... 431 1,909
Fortress Investment Group LLC
(Class A) (b)................ 644 644
GAMCO Investors, Inc. (b)...... 103 2,814
GFI Group, Inc. (b)............ 1,057 3,742
GLG Partners, Inc. (b)......... 3,240 7,355
Greenhill & Co., Inc. (b)...... 209 14,582
Investment Technology Group,
Inc. (a)..................... 728 16,540
Jefferies Group, Inc. (b)...... 1,894 26,630
KBW, Inc. (a)(b)............... 543 12,489
Knight Capital Group, Inc.
(Class A) (a)................ 1,448 23,385
LaBranche & Co., Inc. (a)(b)... 932 4,464
Lazard, Ltd. (Class A) (b)..... 1,224 36,402
MF Global, Ltd. (a)(b)......... 1,596 3,256
optionsXpress Holdings, Inc. .. 757 10,113
Penson Worldwide, Inc. (a)(b).. 338 2,576
Piper Jaffray Cos., Inc.
(a)(b)....................... 303 12,047
Pzena Investment Management,
Inc. (Class A) (b)........... 87 367
Riskmetrics Group, Inc.
(a)(b)....................... 495 7,370
Stifel Financial Corp. (a)(b).. 408 18,707
SWS Group, Inc. (b)............ 442 8,376
Thomas Weisel Partners Group,
Inc. (a)(b).................. 362 1,709
TradeStation Group, Inc. (a)... 577 3,722
W.P. Carey & Co. LLC (b)....... 442 10,356
Waddell & Reed Financial, Inc.
(Class A).................... 1,404 21,706
-----------
268,709
-----------
CHEMICALS -- 2.0%
A. Schulman, Inc. (b).......... 381 6,477
American Vanguard Corp.(b)..... 334 3,908
Arch Chemicals, Inc. (b)....... 427 11,132
Balchem Corp. (b).............. 296 7,373
Cabot Corp. (b)................ 820 12,546
Calgon Carbon Corp. (a)(b)..... 850 13,056
Chemtura Corp. ................ 3,887 5,442
Cytec Industries, Inc. ........ 777 16,488
Ferro Corp. (b)................ 713 5,027
Flotek Industries, Inc.
(a)(b)....................... 366 922
H.B. Fuller Co. (b)............ 791 12,743
Innophos Holdings, Inc. (b).... 170 3,368
Koppers Holdings, Inc. (b)..... 335 7,243
Kronos Worldwide, Inc. (b)..... 50 583
LSB Industries, Inc. (a)(b).... 247 2,055
Minerals Technologies, Inc. ... 314 12,843
Nalco Holding Co. ............. 2,206 25,457
NewMarket Corp. ............... 179 6,249
NL Industries, Inc. (b)........ 117 1,568
Olin Corp. .................... 1,105 19,978
OM Group, Inc. (a)(b).......... 499 10,534
PolyOne Corp. (a).............. 1,370 4,315
Rockwood Holdings, Inc.
(a)(b)....................... 735 7,938
RPM International, Inc. ....... 2,088 27,750
Sensient Technologies Corp.
(b).......................... 789 18,841
Solutia, Inc. (a)(b)........... 1,071 4,819
Spartech Corp. ................ 486 3,042
Stepan Co. (b)................. 116 5,451
Terra Nitrogen Co. LP (b)...... 119 11,276
The Scotts Miracle-Gro Co.
(Class A) (b)................ 710 21,101
Valhi, Inc. (b)................ 185 1,979
Valspar Corp. (b).............. 1,490 26,954
W.R. Grace & Co. (a)(b)........ 973 5,809
Westlake Chemical Corp. (b).... 323 5,262
Zep, Inc. (b).................. 336 6,488
Zoltek Cos., Inc. (a)(b)....... 445 4,001
-----------
340,018
-----------
COMMERCIAL BANKS -- 7.6%
1st Source Corp. (b)........... 227 5,364
AMCORE Financial, Inc. (b)..... 335 1,213
Associated Banc-Corp (b)....... 1,922 40,227
Bancfirst Corp. (b)............ 127 6,721
BancorpSouth, Inc. (b)......... 1,237 28,896
Bank of Hawaii Corp. (b)....... 768 34,691
Bank of the Ozarks, Inc. (b)... 201 5,958
Banner Corp. (b)............... 235 2,211
BOK Financial Corp. ........... 369 14,908
Boston Private Financial
Holdings, Inc. (b)........... 920 6,293
Capital City Bank Group,
Inc. ........................ 215 5,857
Capitol Bancorp, Ltd. (b)...... 254 1,981
Cascade Bancorp (b)............ 345 2,329
Cathay General Bancorp (b)..... 812 19,285
Central Pacific Financial Corp.
(b).......................... 460 4,618
Chemical Financial Corp. (b)... 358 9,981
Citizens Republic Bancorp, Inc.
(b).......................... 2,166 6,455
City Bank (b).................. 219 1,139
City Holding Co. .............. 269 9,356
CoBiz, Inc. (b)................ 347 3,380
Columbia Banking System, Inc.
(b).......................... 285 3,400
Community Bank System, Inc.
(b).......................... 494 12,049
Community Trust Bancorp, Inc.
(b).......................... 216 7,938
Cullen/Frost Bankers, Inc. .... 915 46,372
CVB Financial Corp. (b)........ 1,103 13,126
East West Bancorp, Inc. (b).... 1,033 16,497
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
F.N.B. Corp. (b)............... 1,425 $ 18,810
First Bancorp- North Carolina.. 266 4,881
First BanCorp- Puerto Rico
(b).......................... 1,265 14,092
First Busey Corp. (b).......... 456 8,317
First Citizens Bancshares, Inc.
(Class A).................... 97 14,822
First Commonwealth Financial
Corp. (b).................... 1,297 16,057
First Community Bancshares,
Inc. (b)..................... 161 5,614
First Financial Bancorp (b).... 622 7,707
First Financial Bankshares,
Inc. (b)..................... 291 16,066
First Financial Corp. (b)...... 167 6,845
First Horizon National Corp.
(b).......................... 3,408 36,028
First Merchants Corp. (b)...... 371 8,240
First Midwest Bancorp, Inc.
(b).......................... 796 15,896
FirstMerit Corp. (b)........... 1,221 25,140
Frontier Financial Corp. (b)... 771 3,362
Fulton Financial Corp. (b)..... 2,881 27,715
Glacier Bancorp, Inc. (b)...... 976 18,563
Guaranty Bancorp (a)(b)........ 829 1,658
Hancock Holding Co. (b)........ 435 19,775
Hanmi Financial Corp. (b)...... 720 1,483
Harleysville National Corp.
(b).......................... 663 9,574
Home Bancshares, Inc. (b)...... 260 7,007
IBERIABANK Corp. (b)........... 238 11,424
Independent Bank Corp.-
Massachusetts (b)............ 262 6,854
Independent Bank Corp.-
Michigan (b)................. 340 734
International Bancshares Corp.
(b).......................... 885 19,319
Investors Bancorp, Inc. (a).... 733 9,844
MB Financial, Inc. (b)......... 581 16,239
Midwest Banc Holdings, Inc.
(b).......................... 383 536
Nara Bancorp, Inc. (b)......... 382 3,755
National Penn Bancshares, Inc.
(b).......................... 1,302 18,892
NBT Bancorp, Inc. (b).......... 527 14,735
Northfield Bancorp, Inc. ...... 329 3,701
Old National Bancorp (b)....... 1,088 19,758
Old Second Bancorp, Inc. (b)... 216 2,506
Oriental Financial Group (b)... 365 2,208
Pacific Capital Bancorp (b).... 761 12,846
PacWest Bancorp (b)............ 429 11,540
Park National Corp. (b)........ 184 13,202
Pinnacle Financial Partners,
Inc. (a)(b).................. 368 10,970
Popular, Inc. (b).............. 4,147 21,398
PrivateBancorp, Inc. (b)....... 510 16,555
Prosperity Bancshares, Inc.
(b).......................... 752 22,252
Provident Bankshares Corp.
(b).......................... 586 5,661
Renasant Corp. (b)............. 341 5,807
Republic Bancorp, Inc.-
Kentucky (b)................. 164 4,461
S&T Bancorp, Inc. (b).......... 447 15,868
S.Y. Bancorp, Inc. (b)......... 192 5,280
Sandy Spring Bancorp, Inc.
(b).......................... 290 6,331
Santander Bancorp (b).......... 86 1,074
Seacoast Banking Corp. of
Florida(b)................... 237 1,564
Signature Bank (a)(b).......... 556 15,952
Simmons First National
Corp.(b)..................... 206 6,071
South Financial Group, Inc.
(b).......................... 1,194 5,158
Sterling Bancorp (b)........... 321 4,504
Sterling Bancshares, Inc. (b).. 1,210 7,357
Sterling Financial
Corp. -- Washington (b)...... 840 7,392
Suffolk Bancorp (b)............ 154 5,533
Sun Bancorp, Inc. (a).......... 302 2,262
Susquehanna Bancshares, Inc.
(b).......................... 1,403 22,322
SVB Financial Group (a)(b)..... 528 13,849
TCF Financial Corp. (b)........ 2,056 28,085
Texas Capital Bancshares, Inc.
(a).......................... 456 6,092
The Colonial BancGroup, Inc.
(b).......................... 3,295 6,821
Tompkins Trustco, Inc. (b)..... 131 7,591
TowneBank (b).................. 396 9,817
Trico Bancshares (b)........... 242 6,043
Trustmark Corp. (b)............ 827 17,855
UCBH Holdings, Inc. (b)........ 1,831 12,597
UMB Financial Corp. ........... 513 25,209
Umpqua Holdings Corp. (b)...... 983 14,224
United Bankshares, Inc. (b).... 706 23,453
United Community Banks, Inc.
(b).......................... 790 10,729
Valley National Bancorp (b).... 2,176 44,064
W Holding Co, Inc. (b)......... 39 402
Washington Trust Bancorp, Inc.
(b).......................... 186 3,673
Webster Financial Corp. (b).... 858 11,823
WesBanco, Inc. (b)............. 429 11,673
West Coast Bancorp (b)......... 237 1,562
Westamerica Bancorp (b)........ 474 24,245
Western Alliance Bancorp
(a)(b)....................... 383 3,864
Whitney Holding Corp. (b)...... 1,072 17,141
Wilmington Trust Corp. (b)..... 1,119 24,887
Wintrust Financial Corp. (b)... 383 7,878
-----------
1,293,339
-----------
COMMERCIAL SERVICES & SUPPLIES -- 2.1%
ABM Industries, Inc. (b)....... 741 14,116
ACCO Brands Corp. (a)(b)....... 884 3,050
American Ecology Corp. ........ 258 5,219
American Reprographics Co.
(a).......................... 648 4,471
ATC Technology Corp. (a)(b).... 339 4,960
Bowne & Co., Inc. (b).......... 450 2,646
Cenveo, Inc. (a)(b)............ 816 3,631
Clean Harbors, Inc. (a)........ 329 20,872
Comfort Systems USA, Inc. ..... 641 6,833
Consolidated Graphics, Inc.
(a)(b)....................... 161 3,645
Courier Corp. (b).............. 175 3,132
Deluxe Corp. (b)............... 841 12,581
EnergySolutions, Inc. (b)...... 1,115 6,300
EnerNOC, Inc. (a)(b)........... 168 1,250
Ennis, Inc. ................... 410 4,965
Fuel Tech, Inc. (a)(b)......... 306 3,240
G & K Services, Inc. (Class A)
(b).......................... 326 6,592
GeoEye, Inc. (a)(b)............ 290 5,577
Healthcare Services Group, Inc.
(b).......................... 635 10,116
Herman Miller, Inc. (b)........ 909 11,844
HNI Corp. (b).................. 546 8,649
Innerworkings, Inc. (a)(b)..... 459 3,006
Interface, Inc. (Class A) (b).. 873 4,051
Kimball International, Inc.
(Class B) (b)................ 403 3,470
Knoll, Inc. ................... 793 7,153
M&F Worldwide Corp. (a)(b)..... 204 3,152
McGrath Rentcorp............... 352 7,519
Metalico, Inc. (a)(b).......... 429 665
Mine Safety Appliances Co.
(b).......................... 517 12,361
Mobile Mini, Inc. (a)(b)....... 560 8,075
Rollins, Inc. (b).............. 845 15,278
Schawk, Inc. (b)............... 216 2,475
Standard Parking Corp. (a)(b).. 144 2,785
Steelcase, Inc. (Class A) (b).. 1,092 6,137
Sykes Enterprises, Inc. (a).... 561 10,726
Team, Inc. (a)(b).............. 299 8,282
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Tetra Tech, Inc. (a)(b)........ 971 $ 23,450
The Brink's Co. ............... 664 17,848
The Geo Group, Inc. (a)(b)..... 830 14,965
United Stationers, Inc.
(a)(b)....................... 379 12,693
Viad Corp. .................... 308 7,620
Waste Connections, Inc. (a).... 1,277 40,315
-----------
355,715
-----------
COMMUNICATIONS EQUIPMENT -- 2.3%
3Com Corp. (a)(b).............. 6,552 14,939
Acme Packet, Inc. (a)(b)....... 531 2,793
ADC Telecommunications, Inc.
(a)(b)....................... 1,997 10,924
Adtran, Inc. (b)............... 981 14,597
Airvana, Inc. (a)(b)........... 557 3,409
Arris Group, Inc. (a)(b)....... 1,931 15,351
Aruba Networks, Inc. (a)(b).... 1,148 2,927
Avocent Corp. (a)(b)........... 762 13,647
Bel Fuse, Inc. (Class B)....... 185 3,922
BigBand Networks, Inc. (a)..... 662 3,654
Black Box Corp. (b)............ 279 7,287
Blue Coat Systems, Inc.
(a)(b)....................... 622 5,225
Brocade Communications Systems,
Inc. (a)..................... 6,061 16,971
CIENA Corp. (a)(b)............. 1,473 9,869
CommScope, Inc. (a)(b)......... 1,141 17,731
Comtech Telecommunications
Corp. (a)(b)................. 394 18,053
Emulex Corp. (a)............... 1,373 9,583
Extreme Networks, Inc. (a)(b).. 2,102 4,919
F5 Networks, Inc. (a)(b)....... 1,314 30,038
Finisar Corp. (a)(b)........... 6,797 2,583
Harmonic, Inc. (a)(b).......... 1,529 8,578
Harris Stratex Networks, Inc.
(a)(b)....................... 363 1,873
Hughes Communications, Inc.
(a)(b)....................... 140 2,232
Infinera Corp. (a)(b).......... 1,492 13,368
InterDigital, Inc. (a)......... 686 18,865
Ixia (a)(b).................... 601 3,474
Loral Space & Communications,
Ltd. (a)(b).................. 196 2,848
Netgear, Inc. (a)(b)........... 575 6,561
Neutral Tandem, Inc. (a)....... 339 5,499
OpNext, Inc. (a)(b)............ 332 581
Plantronics, Inc. ............. 794 10,481
Polycom, Inc. (a).............. 1,324 17,887
Powerwave Technologies, Inc.
(a)(b)....................... 2,134 1,067
Riverbed Technology, Inc.
(a)(b)....................... 879 10,012
ShoreTel, Inc. (a)............. 314 1,410
Sonus Networks, Inc. (a)(b).... 4,417 6,979
Starent Networks Corp. (a)(b).. 520 6,204
Sycamore Networks, Inc.
(a)(b)....................... 3,134 8,430
Tekelec (a)(b)................. 931 12,419
Tellabs, Inc. (a).............. 5,826 24,003
Utstarcom, Inc. (a)(b)......... 1,589 2,940
ViaSat, Inc. (a)(b)............ 468 11,269
-----------
385,402
-----------
COMPUTERS & PERIPHERALS -- 0.8%
3PAR, Inc. (a)................. 479 3,674
Adaptec, Inc. (a)(b)........... 1,729 5,706
Avid Technology, Inc. (a)(b)... 487 5,313
Data Domain, Inc. (a)(b)....... 575 10,810
Diebold, Inc. ................. 1,090 30,618
Electronics for Imaging, Inc.
(a).......................... 855 8,174
Hutchinson Technology, Inc.
(a)(b)....................... 385 1,340
Hypercom Corp. (a)............. 810 875
Imation Corp. (b).............. 511 6,934
Intermec, Inc. (a)(b).......... 782 10,385
Isilon Systems, Inc. (a)....... 393 1,293
Novatel Wireless, Inc. (a)(b).. 508 2,357
Palm, Inc. (a)(b).............. 1,636 5,023
QLogic Corp. (a)............... 2,051 27,566
Quantum Corp. (a)(b)........... 3,454 1,243
Rackable Systems, Inc. (a)(b).. 476 1,875
STEC, Inc. (a)(b).............. 419 1,785
Stratasys, Inc. (a)(b)......... 348 3,741
Synaptics, Inc. (a)(b)......... 574 9,505
-----------
138,217
-----------
CONSTRUCTION & ENGINEERING -- 0.8%
Aecom Technology Corp. (a)(b).. 1,251 38,443
Dycom Industries, Inc. (a)..... 659 5,417
EMCOR Group, Inc. (a).......... 1,079 24,202
Furmanite Corp. (a)(b)......... 595 3,207
Granite Construction, Inc.
(b).......................... 531 23,327
Great Lakes Dredge & Dock Corp.
(b).......................... 712 2,955
Insituform Technologies, Inc.
(a)(b)....................... 456 8,979
Layne Christensen Co. (a)(b)... 309 7,419
Mastec, Inc. (a)............... 778 9,009
Northwest Pipe Co. (a)(b)...... 145 6,179
Perini Corp. (a)(b)............ 456 10,661
Pike Electric Corp. (a)........ 287 3,530
-----------
143,328
-----------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. (b)...... 716 13,181
Headwaters, Inc. (a)(b)........ 693 4,678
Texas Industries, Inc. (b)..... 442 15,249
-----------
33,108
-----------
CONSUMER FINANCE -- 0.4%
Advance America Cash Advance
Centers, Inc. ............... 837 1,582
Advanta Corp. (Class B) (b).... 668 1,396
AmeriCredit Corp. (a)(b)....... 1,874 14,317
Cardtronics, Inc. (a).......... 237 306
Cash America International,
Inc. ........................ 494 13,511
CompuCredit Corp. (a)(b)....... 507 2,804
Credit Acceptance Corp.
(a)(b)....................... 34 466
Dollar Financial Corp. (a)(b).. 424 4,367
Ezcorp, Inc. (a)............... 636 9,673
First Cash Financial Services,
Inc. (a)(b).................. 418 7,967
Nelnet, Inc. (b)............... 463 6,635
The First Marblehead Corp.
(a)(b)....................... 1,047 1,351
The Student Loan Corp. ........ 64 2,624
World Acceptance Corp. (a)(b).. 244 4,821
-----------
71,820
-----------
CONTAINERS & PACKAGING -- 0.8%
Aptargroup, Inc. .............. 1,031 36,333
Boise, Inc. (a)(b)............. 484 208
Graphic Packaging Holding Co.
(a)(b)....................... 1,305 1,488
Greif, Inc. (Class A).......... 500 16,715
Myers Industries, Inc. ........ 452 3,616
Packaging Corp. of America
(b).......................... 1,714 23,070
Rock-Tenn Co. (b).............. 622 21,260
Silgan Holdings, Inc. ......... 419 20,032
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Smurfit-Stone Container Corp.
(a).......................... 4,162 $ 1,061
Temple-Inland, Inc. (b)........ 1,461 7,013
-----------
130,796
-----------
DISTRIBUTORS -- 0.2%
Audiovox Corp. (Class A)
(a)(b)....................... 286 1,433
LKQ Corp. (a)(b)............... 2,273 26,503
-----------
27,936
-----------
DIVERSIFIED CONSUMER SERVICES -- 1.5%
American Public Education, Inc.
(a).......................... 214 7,959
Brink's Home Security Holdings,
Inc. (a)..................... 664 14,555
Capella Education Co. (a)(b)... 233 13,691
Career Education Corp. (a)(b).. 1,485 26,641
Coinstar, Inc. (a)(b).......... 423 8,253
Corinthian Colleges, Inc. (a).. 1,389 22,738
Grand Canyon Education, Inc.
(a).......................... 171 3,211
Hillenbrand, Inc. ............. 1,011 16,864
Jackson Hewitt Tax Service,
Inc. (b)..................... 415 6,511
Lincoln Educational Services
Corp. (a)(b)................. 40 530
Matthews International Corp.
(Class A).................... 506 18,560
Pre-Paid Legal Services, Inc.
(a)(b)....................... 134 4,997
Regis Corp. ................... 699 10,156
Service Corp. International
(b).......................... 4,262 21,182
Sotheby's (b).................. 1,096 9,743
Steiner Leisure, Ltd. (a)(b)... 220 6,494
Stewart Enterprises, Inc.
(Class A) (b)................ 1,365 4,109
Strayer Education, Inc. (b).... 230 49,314
thinkorswim Group, Inc.
(a)(b)....................... 772 4,339
Universal Technical Institute,
Inc. (a)(b).................. 357 6,130
-----------
255,977
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
Asset Acceptance Capital Corp.
(a)(b)....................... 225 1,150
Financial Federal Corp. (b).... 415 9,657
Interactive Brokers Group, Inc.
(Class A) (a)(b)............. 657 11,754
KKR Financial Holdings LLC
(b).......................... 2,442 3,858
MarketAxess Holdings, Inc.
(a).......................... 452 3,688
MSCI, Inc. (Class A) (a)(b).... 1,158 20,566
NewStar Financial, Inc.
(a)(b)....................... 386 1,540
PHH Corp. (a)(b)............... 886 11,279
Pico Holdings, Inc. (a)(b)..... 267 7,097
Portfolio Recovery Associates,
Inc. (a)(b).................. 247 8,359
Resource America, Inc. ........ 237 948
-----------
79,896
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7%
Alaska Communications Systems
Group, Inc. (b).............. 741 6,951
Atlantic Tele-Network, Inc. ... 155 4,115
Cbeyond, Inc. (a)(b)........... 398 6,360
Cincinnati Bell, Inc. (a)(b)... 3,949 7,622
Cogent Communications Group,
Inc. (a)(b).................. 715 4,669
Consolidated Communications
Holdings, Inc. (b)........... 372 4,419
FairPoint Communications, Inc.
(b).......................... 1,452 4,763
General Communication, Inc.
(Class A) (a)................ 621 5,024
Global Crossing, Ltd. (a)(b)... 425 3,374
Globalstar, Inc. (a)(b)........ 1,146 229
Iowa Telecommunications
Services, Inc. (b)........... 517 7,383
NTELOS Holdings Corp. ......... 475 11,713
PAETEC Holding Corp. (a)....... 2,055 2,959
Premiere Global Services, Inc.
(a)(b)....................... 921 7,930
Shenandoah Telecommunications
Co. (b)...................... 384 10,771
SureWest Communications (b).... 249 2,844
tw telecom, Inc. (a)(b)........ 2,406 20,379
Vonage Holdings Corp. (a)(b)... 1,323 873
-----------
112,378
-----------
ELECTRIC UTILITIES -- 1.9%
ALLETE, Inc. (b)............... 419 13,521
Brookfield Infrastructure
Partners LP (b).............. 349 3,909
Cleco Corp. (b)................ 991 22,625
El Paso Electric Co. (a)(b).... 710 12,844
Empire District Electric Co. .. 561 9,874
Great Plains Energy, Inc. ..... 1,900 36,727
Hawaiian Electric Industries,
Inc. (b)..................... 1,487 32,922
IDACORP, Inc. ................. 745 21,940
ITC Holdings Corp. (b)......... 820 35,818
MGE Energy, Inc. .............. 363 11,979
NV Energy, Inc. ............... 3,763 37,216
Portland General Electric
Co. ......................... 1,038 20,210
UIL Holdings Corp. (b)......... 378 11,351
Unisource Energy Corp. (b)..... 570 16,735
Westar Energy, Inc. ........... 1,740 35,687
-----------
323,358
-----------
ELECTRICAL EQUIPMENT -- 1.6%
A.O. Smith Corp. (b)........... 341 10,066
Acuity Brands, Inc. (b)........ 663 23,145
Advanced Battery Technologies,
Inc. (a)(b).................. 653 1,737
American Superconductor Corp.
(a)(b)....................... 667 10,879
AZZ, Inc. (a)(b)............... 198 4,970
Baldor Electric Co. (b)........ 682 12,174
Belden CDT, Inc. (b)........... 715 14,929
Brady Corp. (Class A) (b)...... 800 19,160
Encore Wire Corp. (b).......... 308 5,840
Ener1, Inc. (a)(b)............. 913 6,528
Energy Conversion Devices, Inc.
(a)(b)....................... 735 18,529
EnerSys (a)(b)................. 691 7,601
Evergreen Solar, Inc. (a)(b)... 2,471 7,882
Franklin Electric Co., Inc.
(b).......................... 291 8,180
FuelCell Energy, Inc. (a)(b)... 1,028 3,989
General Cable Corp. (a)(b)..... 861 15,231
GrafTech International, Ltd.
(a)(b)....................... 1,951 16,232
GT Solar International, Inc.
(a)(b)....................... 490 1,416
II-VI, Inc. (a)(b)............. 409 7,808
Orion Energy Systems, Inc.
(a)(b)....................... 366 1,980
Plug Power, Inc. (a)(b)........ 1,164 1,187
Polypore International, Inc.
(a).......................... 307 2,321
Powell Industries, Inc. (a).... 124 3,598
Power-One, Inc. (a)(b)......... 1,266 1,507
Regal-Beloit Corp. (b)......... 535 20,325
Thomas & Betts Corp. (a)....... 892 21,426
Valence Technology, Inc.
(a)(b)....................... 985 1,793
Vicor Corp. (b)................ 288 1,904
Woodward Governor Co. ......... 954 21,961
-----------
274,298
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5%
Agilysys, Inc. (b)............. 367 $ 1,574
Anixter International, Inc.
(a)(b)....................... 499 15,030
AVX Corp. (b).................. 834 6,622
Benchmark Electronics, Inc.
(a).......................... 1,095 13,983
Brightpoint, Inc. (a)(b)....... 856 3,724
Checkpoint Systems, Inc. (a)... 652 6,416
Cogent, Inc. (a)(b)............ 641 8,698
Cognex Corp. .................. 619 9,161
Coherent, Inc. (a)(b).......... 362 7,769
CTS Corp. (b).................. 549 3,025
Daktronics, Inc. (b)........... 617 5,775
DTS Inc. (a)(b)................ 296 5,432
Echelon Corp. (a)(b)........... 540 4,401
Electro Scientific Industries,
Inc. (a)(b).................. 424 2,879
FARO Technologies, Inc.
(a)(b)....................... 243 4,097
ICx Technologies, Inc. (a)(b).. 197 1,558
Insight Enterprises, Inc.
(a)(b)....................... 764 5,272
IPG Photonics Corp. (a)(b)..... 386 5,087
KEMET Corp. (a)(b)............. 1,282 346
L-1 Identity Solutions, Inc.
(a)(b)....................... 1,167 7,866
Littelfuse, Inc. (a)(b)........ 351 5,827
Measurement Specialties, Inc.
(a).......................... 252 1,751
Methode Electronics, Inc.
(Class A).................... 610 4,111
MTS Systems Corp. ............. 282 7,512
Multi-Fineline Electronix, Inc.
(a)(b)....................... 148 1,730
National Instruments Corp. .... 940 22,898
Newport Corp. (a)(b)........... 599 4,061
OSI Systems, Inc. (a)(b)....... 266 3,684
Park Electrochemical Corp.
(b).......................... 309 5,859
Plexus Corp. (a)(b)............ 641 10,865
Rofin-Sinar Technologies, Inc.
(a)(b)....................... 480 9,878
Rogers Corp. (a)(b)............ 291 8,081
Sanmina-SCI Corp. (a)(b)....... 8,720 4,098
Scansource, Inc. (a)(b)........ 425 8,190
Smart Modular Technologies
(WWH), Inc. (a).............. 591 910
SYNNEX Corp. (a)(b)............ 284 3,218
Tech Data Corp. (a)............ 797 14,219
Technitrol, Inc. (b)........... 666 2,318
TTM Technologies, Inc. (a)(b).. 671 3,496
Universal Display Corp.
(a)(b)....................... 528 4,990
Vishay Intertechnology, Inc.
(a).......................... 2,762 9,446
-----------
255,857
-----------
ENERGY EQUIPMENT & SERVICES -- 1.9%
Allis-Chalmers Energy, Inc.
(a)(b)....................... 465 2,558
Atwood Oceanics, Inc. (a)(b)... 909 13,890
Basic Energy Services, Inc.
(a)(b)....................... 386 5,034
Bristow Group, Inc. (a)(b)..... 449 12,029
Bronco Drilling Co., Inc.
(a)(b)....................... 471 3,043
Cal Dive International, Inc.
(a)(b)....................... 639 4,160
CARBO Ceramics, Inc. (b)....... 359 12,755
Complete Production Services,
Inc. (a)(b).................. 796 6,487
Dawson Geophysical Co. (a)(b).. 117 2,084
Dresser-Rand Group, Inc. (a)... 1,369 23,615
Dril-Quip, Inc. (a)(b)......... 511 10,481
ENGlobal Corp. (a)(b).......... 293 952
Exterran Partners LP........... 167 1,875
Global Industries, Ltd.
(a)(b)....................... 1,407 4,910
Gulf Island Fabrication, Inc.
(b).......................... 199 2,868
Gulfmark Offshore, Inc.
(a)(b)....................... 365 8,683
Helix Energy Solutions Group,
Inc. (a)..................... 1,363 9,868
Hercules Offshore, Inc.
(a)(b)....................... 1,436 6,821
Hornbeck Offshore Services,
Inc. (a)..................... 388 6,340
ION Geophysical Corp. (a)(b)... 1,368 4,692
Key Energy Services, Inc. (a).. 2,035 8,974
Lufkin Industries, Inc. (b).... 237 8,177
Matrix Service Co. (a)(b)...... 432 3,313
NATCO Group, Inc. (a)(b)....... 327 4,964
Newpark Resources, Inc. (a).... 1,445 5,347
Oceaneering International, Inc.
(a)(b)....................... 900 26,226
Oil States International, Inc.
(a).......................... 834 15,588
Parker Drilling Co. (a)........ 1,806 5,237
PHI, Inc. (a)(b)............... 224 3,138
Pioneer Drilling Co. (a)(b).... 815 4,540
Precision Drilling Trust (b)... 504 4,227
RPC, Inc. (b).................. 528 5,153
SEACOR Holdings, Inc. (a)(b)... 319 21,261
Superior Well Services, Inc.
(a)(b)....................... 239 2,390
T-3 Energy Services, Inc. (a).. 202 1,907
Tesco Corp. (a)................ 451 3,220
Tetra Technologies, Inc.
(a)(b)....................... 1,201 5,837
Tidewater, Inc. (b)............ 829 33,384
Trico Marine Services, Inc.
(a)(b)....................... 211 943
Unit Corp. (a)................. 770 20,574
-----------
327,545
-----------
FOOD & STAPLES RETAILING -- 0.9%
Arden Group, Inc. (Class
A)(b)........................ 19 2,394
BJ'S Wholesale Club, Inc.
(a)(b)....................... 991 33,952
Casey's General Stores, Inc.
(b).......................... 830 18,899
Great Atlantic & Pacific Tea
Co. (a)(b)................... 571 3,580
Ingles Markets, Inc. (b)....... 191 3,360
Nash Finch Co. (b)............. 209 9,382
Pantry, Inc. (a)............... 384 8,237
Pricesmart, Inc. (b)........... 236 4,876
Rite Aid Corp. (a)(b).......... 9,405 2,916
Ruddick Corp.(b)............... 701 19,383
Spartan Stores, Inc. (b)....... 358 8,323
The Andersons, Inc. (b)........ 292 4,812
United Natural Foods, Inc.
(a)(b)....................... 635 11,316
Weis Markets, Inc. (b)......... 196 6,591
Winn-Dixie Stores, Inc.
(a)(b)....................... 885 14,248
-----------
152,269
-----------
FOOD PRODUCTS -- 2.2%
Alico, Inc. (b)................ 58 2,377
American Italian Pasta Co.
(a).......................... 318 7,104
B&G Foods, Inc. (b)............ 577 3,116
Cal-Maine Foods, Inc. (b)...... 184 5,281
Chiquita Brands International,
Inc. (a)(b).................. 698 10,316
Corn Products International,
Inc. (b)..................... 1,222 35,255
Darling International, Inc.
(a)(b)....................... 1,324 7,269
Del Monte Foods Co. ........... 3,302 23,576
Farmer Brothers Co. (b)........ 98 2,444
Flowers Foods, Inc. ........... 1,399 34,080
Fresh Del Monte Produce, Inc.
(a).......................... 770 17,263
Green Mountain Coffee Roasters,
Inc. (a)(b).................. 295 11,417
Hain Celestial Group, Inc.
(a)(b)....................... 641 12,237
J&J Snack Foods Corp. ......... 226 8,109
Lancaster Colony Corp. ........ 336 11,525
Lance, Inc. (b)................ 512 11,745
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ralcorp Holdings, Inc. (a)..... 927 $ 54,137
Reddy Ice Holdings, Inc. (b)... 337 485
Sanderson Farms, Inc. (b)...... 286 9,884
The J.M. Smucker Co. .......... 1,915 83,034
Tootsie Roll Industries,
Inc. ........................ 361 9,245
TreeHouse Foods, Inc. (a)(b)... 504 13,729
-----------
373,628
-----------
GAS UTILITIES -- 2.1%
AGL Resources, Inc. (b)........ 1,232 38,623
Amerigas Partners LP (b)....... 530 14,909
Atmos Energy Corp. ............ 1,496 35,455
Ferrellgas Partners LP......... 645 9,456
Laclede Group, Inc. ........... 331 15,504
New Jersey Resources Corp. .... 679 26,719
Nicor, Inc. (b)................ 746 25,916
Northwest Natural Gas Co. (b).. 436 19,284
Piedmont Natural Gas Co., Inc.
(b).......................... 1,143 36,199
South Jersey Industries, Inc.
(b).......................... 481 19,168
Southwest Gas Corp. ........... 720 18,158
Spectra Energy Partners LP..... 255 5,044
Suburban Propane Partners LP
(b).......................... 535 18,966
UGI Corp. ..................... 1,738 42,442
WGL Holdings, Inc. (b)......... 813 26,577
-----------
352,420
-----------
HEALTH CARE EQUIPMENT & SUPPLIES -- 3.8%
Abaxis, Inc. (a)(b)............ 354 5,675
ABIOMED, Inc. (a)(b)........... 553 9,080
Accuray, Inc. (a)(b)........... 625 3,225
Advanced Medical Optics, Inc.
(a)(b)....................... 983 6,498
Align Technology, Inc. (a)(b).. 987 8,636
American Medical Systems
Holdings, Inc. (a)(b)........ 1,181 10,617
Analogic Corp. (b)............. 217 5,920
Arthrocare Corp. (a)(b)........ 431 2,056
Conceptus, Inc. (a)(b)......... 361 5,494
CONMED Corp. (a)(b)............ 463 11,084
CryoLife, Inc. (a)............. 417 4,049
Cyberonics, Inc. (a)(b)........ 372 6,164
Datascope Corp. (b)............ 222 11,597
Edwards Lifesciences Corp.
(a)(b)....................... 913 50,169
ev3, Inc. (a)(b)............... 1,040 6,344
Gen-Probe, Inc. (a)............ 891 38,171
Greatbatch, Inc. (a)(b)........ 380 10,055
Haemonetics Corp. (a)(b)....... 420 23,730
Hill-Rom Holdings, Inc. (b).... 1,011 16,641
I-Flow Corp. (a)(b)............ 400 1,920
ICU Medical, Inc. (a)(b)....... 217 7,191
Immucor, Inc. (a).............. 1,123 29,849
Insulet Corp. (a)(b)........... 335 2,586
Integra LifeSciences Holdings
Corp. (a)(b)................. 338 12,023
Invacare Corp. (b)............. 526 8,164
Inverness Medical Innovations,
Inc. (a)(b).................. 1,258 23,789
Kensey Nash Corp. (a)(b)....... 138 2,679
Masimo Corp. (a)(b)............ 767 22,880
Mentor Corp. (b)............... 555 17,166
Meridian Bioscience, Inc. (b).. 652 16,606
Merit Medical Systems, Inc.
(a).......................... 469 8,409
Natus Medical, Inc. (a)........ 439 5,685
NuVasive, Inc. (a)(b).......... 580 20,097
OraSure Technologies, Inc.
(a)(b)....................... 892 3,283
Orthofix International N.V.
(a)(b)....................... 277 4,246
Palomar Medical Technologies,
Inc. (a)..................... 310 3,574
Quidel Corp. (a)............... 490 6,404
ResMed, Inc. (a)(b)............ 1,222 45,801
RTI Biologics, Inc. (a)(b)..... 784 2,164
Sirona Dental Systems, Inc.
(a)(b)....................... 280 2,940
SonoSite, Inc. (a)............. 279 5,323
STERIS Corp. .................. 981 23,436
SurModics, Inc. (a)(b)......... 257 6,494
Symmetry Medical, Inc. (a)..... 536 4,272
Teleflex, Inc. (b)............. 649 32,515
The Cooper Cos., Inc. (b)...... 735 12,054
Thoratec Corp. (a)(b).......... 915 29,728
TomoTherapy, Inc. (a)(b)....... 892 2,123
Trans1, Inc. (a)(b)............ 152 1,096
Volcano Corp. (a)(b)........... 531 7,965
West Pharmaceutical Services,
Inc. (b)..................... 535 20,207
Wright Medical Group, Inc.
(a)(b)....................... 616 12,585
Zoll Medical Corp. (a)(b)...... 340 6,423
-----------
646,882
-----------
HEALTH CARE PROVIDERS & SERVICES -- 3.0%
Air Methods Corp. (a)(b)....... 177 2,830
Alliance Imaging, Inc. (a)..... 458 3,650
Amedisys, Inc. (a)(b).......... 437 18,066
AMERIGROUP Corp. (a)........... 847 25,003
AMN Healthcare Services, Inc.
(a)(b)....................... 548 4,636
AmSurg Corp. (a)(b)............ 530 12,370
Assisted Living Concepts, Inc.
(a)(b)....................... 884 3,669
athenahealth, Inc. (a)(b)...... 345 12,979
Brookdale Senior Living, Inc.
(b).......................... 666 3,716
CardioNet, Inc. (a)............ 354 8,726
Centene Corp. (a).............. 732 14,428
Chemed Corp. .................. 374 14,874
Corvel Corp. (a)(b)............ 132 2,901
Cross Country Healthcare, Inc.
(a)(b)....................... 457 4,017
Emeritus Corp. (a)(b).......... 330 3,310
Genoptix, Inc. (a)(b).......... 157 5,351
Gentiva Health Services, Inc.
(a).......................... 460 13,460
Hanger Orthopedic Group, Inc.
(a)(b)....................... 575 8,343
Health Management Associates,
Inc. (Class A) (a)(b)........ 3,971 7,108
HealthExtras, Inc. (a)......... 554 13,490
Healthsouth Corp. (a)(b)....... 1,452 15,914
Healthspring, Inc. (a)(b)...... 866 17,294
Healthways, Inc. (a)(b)........ 557 6,394
HMS Holdings Corp. (a)(b)...... 396 12,482
inVentiv Health, Inc. (a)...... 534 6,162
IPC The Hospitalist Co.
(a)(b)....................... 181 3,046
Kindred Healthcare, Inc. (a)... 520 6,770
Landauer, Inc. ................ 152 11,142
LHC Group, Inc. (a)(b)......... 235 8,460
LifePoint Hospitals, Inc.
(a)(b)....................... 848 19,368
Magellan Health Services, Inc.
(a)(b)....................... 635 24,867
Medcath Corp. (a)(b)........... 260 2,714
Molina Healthcare, Inc.
(a)(b)....................... 221 3,892
MWI Veterinary Supply, Inc.
(a)(b)....................... 197 5,311
National Healthcare Corp. (b).. 145 7,343
Nighthawk Radiology Holdings,
Inc. (a)(b).................. 383 1,861
Odyssey Healthcare, Inc. (a)... 586 5,421
Owens & Minor, Inc. (b)........ 677 25,489
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Pediatrix Medical Group, Inc.
(a).......................... 729 $ 23,109
PharMerica Corp. (a)(b)........ 458 7,177
PSS World Medical, Inc.
(a)(b)....................... 962 18,105
Psychiatric Solutions, Inc.
(a)(b)....................... 854 23,784
RehabCare Group, Inc. (a)...... 305 4,624
Res-Care, Inc. (a)............. 440 6,609
Skilled Healthcare Group, Inc.
(Class A) (a)(b)............. 310 2,616
Sun Healthcare Group, Inc.
(a).......................... 650 5,753
Sunrise Assisted Living, Inc.
(a)(b)....................... 722 1,213
Tenet Healthcare Corp. (a)(b).. 7,723 8,881
Triple-S Management Corp.
(Class B) (a)(b)............. 297 3,416
Universal American Financial
Corp. (a)(b)................. 679 5,989
VCA Antech, Inc. (a)(b)........ 1,332 26,480
Virtual Radiologic Corp.
(a)(b)....................... 117 992
WellCare Health Plans, Inc.
(a)(b)....................... 691 8,886
-----------
514,491
-----------
HEALTH CARE TECHNOLOGY -- 0.4%
Allscripts-Misys Healthcare
Solutions, Inc. (b).......... 934 9,265
Eclipsys Corp. (a)(b).......... 887 12,587
HLTH Corp. (a)(b).............. 1,562 16,338
MedAssets, Inc. (a)(b)......... 475 6,935
Omnicell, Inc. (a)(b).......... 539 6,581
Phase Forward, Inc. (a)........ 696 8,714
-----------
60,420
-----------
HOTELS, RESTAURANTS & LEISURE -- 2.5%
AFC Enterprises, Inc. (a)(b)... 430 2,017
Ambassadors Group, Inc. (b).... 309 2,843
Ameristar Casinos, Inc. (b).... 371 3,205
Bally Technologies, Inc.
(a)(b)....................... 920 22,108
BJ's Restaurants, Inc. (a)(b).. 286 3,080
Bob Evans Farms, Inc. (b)...... 502 10,256
Boyd Gaming Corp. (b).......... 943 4,460
Brinker International, Inc. ... 1,651 17,402
Buffalo Wild Wings, Inc.
(a)(b)....................... 268 6,874
California Pizza Kitchen, Inc.
(a).......................... 410 4,395
CEC Entertainment, Inc.
(a)(b)....................... 351 8,512
Cedar Fair LP (b).............. 858 10,751
Chipotle Mexican Grill, Inc.
(a)(b)....................... 531 32,911
Choice Hotels International,
Inc. (b)..................... 535 16,082
Churchill Downs, Inc. ......... 165 6,669
CKE Restaurants, Inc. (b)...... 800 6,944
Cracker Barrel Old Country
Store, Inc. ................. 357 7,351
DineEquity, Inc. (b)........... 249 2,878
Domino's Pizza, Inc. (a)....... 686 3,231
Gaylord Entertainment Co.
(a)(b)....................... 670 7,263
Great Wolf Resorts, Inc.
(a)(b)....................... 482 742
International Speedway Corp.
(Class A).................... 528 15,169
Interval Leisure Group, Inc.
(a).......................... 636 3,428
Isle of Capri Casinos, Inc.
(a)(b)....................... 301 963
Jack in the Box, Inc. (a)(b)... 926 20,455
Krispy Kreme Doughnuts, Inc.
(a)(b)....................... 890 1,495
Landry's Restaurants, Inc.
(a).......................... 170 1,972
Life Time Fitness, Inc.
(a)(b)....................... 568 7,356
Marcus Corp. (b)............... 365 5,924
Morgans Hotel Group Co.
(a)(b)....................... 472 2,200
O'Charleys, Inc. (b)........... 333 666
Orient-Express Hotels, Ltd.
(Class A) (b)................ 645 4,941
P F Chang's China Bistro, Inc.
(a)(b)....................... 366 7,664
Panera Bread Co. (Class A)
(a)(b)....................... 500 26,120
Papa John's International, Inc.
(a)(b)....................... 364 6,709
Peet's Coffee & Tea, Inc.
(a)(b)....................... 243 5,650
Pinnacle Entertainment, Inc.
(a)(b)....................... 978 7,511
Red Robin Gourmet Burgers, Inc.
(a)(b)....................... 244 4,107
Ruby Tuesday, Inc. (a)(b)...... 874 1,363
Scientific Games Corp. (Class
A) (a)(b).................... 1,148 20,136
Shuffle Master, Inc. (a)(b).... 867 4,300
Sonic Corp. (a)(b)............. 996 12,121
Speedway Motorsports, Inc. .... 233 3,754
Texas Roadhouse, Inc. (Class A)
(a)(b)....................... 862 6,680
The Cheesecake Factory, Inc.
(a)(b)....................... 869 8,777
The Steak n Shake Co. (a)(b)... 478 2,844
Vail Resorts, Inc. (a)(b)...... 453 12,050
Wendy's/Arby's Group, Inc.
(b).......................... 6,390 31,567
WMS Industries, Inc. (a)(b).... 708 19,045
-----------
424,941
-----------
HOUSEHOLD DURABLES -- 1.4%
American Greetings Corp. (Class
A) (b)....................... 736 5,572
Beazer Homes USA, Inc. (a)(b).. 611 965
Blyth, Inc. (b)................ 438 3,434
Brookfield Homes Corp .(b)..... 169 730
Centex Corp. .................. 2,017 21,461
Champion Enterprises, Inc.
(a)(b)....................... 1,256 703
CSS Industries, Inc. (b)....... 139 2,466
Ethan Allen Interiors, Inc.
(b).......................... 444 6,380
Furniture Brands International,
Inc. (b)..................... 592 1,308
Harman International
Industries, Inc. (b)......... 949 15,877
Helen of Troy, Ltd. (a)........ 484 8,402
Hovnanian Enterprises, Inc.
(a)(b)....................... 962 1,655
iRobot Corp. (a)............... 312 2,817
Jarden Corp. (a)(b)............ 1,167 13,421
KB HOME (b).................... 1,236 16,834
La-Z-Boy, Inc. ................ 846 1,836
Lennar Corp. (Class A) (b)..... 2,271 19,690
M.D.C. Holdings, Inc. ......... 587 17,786
M/I Homes, Inc. (b)............ 226 2,382
Meritage Homes Corp. (a)(b).... 459 5,586
National Presto Industries,
Inc. (b)..................... 80 6,160
Russ Berrie & Co., Inc.
(a)(b)....................... 200 594
Ryland Group, Inc. (b)......... 699 12,351
Sealy Corp. ................... 723 1,815
Skyline Corp. (b).............. 107 2,139
Snap-on, Inc. (b).............. 925 36,426
Standard Pacific Corp. (a)(b).. 2,019 3,594
Tempur-Pedic International,
Inc. (b)..................... 1,157 8,203
Tupperware Brands Corp. (b).... 1,028 23,336
-----------
243,923
-----------
HOUSEHOLD PRODUCTS -- 0.1%
Central Garden & Pet Co. (Class
A) (a)(b).................... 1,051 6,201
WD-40 Co. (b).................. 247 6,988
-----------
13,189
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. (b)... 291 9,274
Synthesis Energy Systems, Inc.
(a)(b)....................... 484 329
-----------
9,603
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INDUSTRIAL CONGLOMERATES -- 0.4%
Carlisle Cos., Inc. ........... 997 $ 20,638
Icahn Enterprises LP (b)....... 100 2,645
Otter Tail Corp. .............. 505 11,782
Raven Industries, Inc. (b)..... 299 7,206
Seaboard Corp. (b)............. 6 7,164
Standex International Corp. ... 201 3,988
Tredegar Corp. (b)............. 397 7,217
-----------
60,640
-----------
INSURANCE -- 5.6%
Alleghany Corp. (a)(b)......... 99 27,918
Allied World Assurance
Holdings, Ltd. .............. 571 23,183
AMBAC Financial Group, Inc.
(b).......................... 4,703 6,114
American Equity Investment Life
Holding Co. (b).............. 878 6,146
American Financial Group,
Inc. ........................ 1,256 28,737
American National Insurance
Co. ......................... 262 19,317
American Physicians Capital,
Inc. (b)..................... 144 6,926
Amtrust Financial Services,
Inc. (b)..................... 670 7,772
Argo Group International
Holdings, Ltd. (a)(b)........ 502 17,028
Arthur J. Gallagher & Co. ..... 1,527 39,565
Aspen Insurance Holdings, Ltd.
(b).......................... 1,150 27,887
Assured Guaranty, Ltd. ........ 963 10,978
Baldwin & Lyons, Inc. (Class B)
(b).......................... 175 3,183
Castlepoint Holdings, Ltd.
(b).......................... 577 7,824
CNA Surety Corp. (a)........... 260 4,992
Conseco, Inc. (a)(b)........... 2,989 15,483
Crawford & Co. (a)(b).......... 404 5,874
Delphi Financial Group (b)..... 665 12,263
Donegal Group, Inc. (b)........ 212 3,555
eHealth, Inc. (a)(b)........... 407 5,405
Employers Holdings, Inc. ...... 808 13,332
Endurance Specialty Holdings,
Ltd. ........................ 817 24,943
Enstar Group, Ltd. (a)......... 116 6,860
Erie Indemnity Co. (Class A)
(b).......................... 532 20,019
FBL Financial Group, Inc.
(Class A) (b)................ 207 3,198
First American Corp. .......... 1,336 38,597
Flagstone Reinsurance Holdings,
Ltd. (b)..................... 755 7,376
FPIC Insurance Group, Inc.
(a).......................... 135 5,910
Greenlight Capital Re, Ltd.
(a).......................... 484 6,287
Harleysville Group, Inc. (b)... 224 7,780
HCC Insurance Holdings, Inc.
(b).......................... 1,857 49,675
Hilltop Holdings, Inc. (a)(b).. 825 8,036
Horace Mann Educators Corp. ... 646 5,937
Infinity Property & Casualty
Corp. ....................... 223 10,421
IPC Holdings, Ltd. (b)......... 746 22,305
Kansas City Life Insurance Co.
(b).......................... 73 3,165
Maiden Holdings Ltd. .......... 769 2,407
Max Re Capital, Ltd. (b)....... 763 13,505
MBIA, Inc. (a)(b).............. 3,796 15,450
Mercury General Corp. ......... 436 20,052
Montpelier Re Holdings, Ltd.
(b).......................... 1,400 23,506
National Financial Partners
Corp. (b).................... 640 1,946
National Interstate Corp. (b).. 94 1,680
National Western Life Insurance
Co. (Class A)................ 39 6,598
Navigators Group, Inc. (a)(b).. 220 12,080
Odyssey Re Holdings Corp. (b).. 279 14,455
OneBeacon Insurance Group, Ltd.
(b).......................... 371 3,873
Platinum Underwriters Holdings,
Ltd. ........................ 765 27,601
Presidential Life Corp. (b).... 362 3,580
ProAssurance Corp. (a)(b)...... 491 25,915
Reinsurance Group of America,
Inc. ........................ 1,000 42,820
RLI Corp. ..................... 313 19,143
Safety Insurance Group, Inc.
(b).......................... 263 10,010
Selective Insurance Group,
Inc. ........................ 876 20,087
StanCorp Financial Group, Inc.
(b).......................... 788 32,915
State Auto Financial Corp.
(b).......................... 237 7,124
Stewart Information Services
Corp. ....................... 273 6,413
The Hanover Insurance Group,
Inc. ........................ 830 35,665
The Phoenix Cos., Inc. (b)..... 1,767 5,778
Tower Group, Inc. (b).......... 348 9,817
United America Indemnity, Ltd.
(a).......................... 284 3,638
United Fire & Casualty Co.
(b).......................... 342 10,626
Unitrin, Inc. ................. 744 11,859
Validus Holdings, Ltd. ........ 528 13,812
Wesco Financial Corp. ......... 22 6,334
Zenith National Insurance
Corp. ....................... 610 19,258
-----------
941,938
-----------
INTERNET & CATALOG RETAIL -- 0.3%
1-800-FLOWERS.COM, Inc. (Class
A) (a)(b).................... 376 1,436
Blue Nile, Inc. (a)(b)......... 254 6,221
Gaiam, Inc. (Class A) (a)(b)... 216 998
HSN, Inc. (a)(b)............... 636 4,624
Netflix, Inc. (a)(b)........... 738 22,059
NutriSystem, Inc. (b).......... 468 6,828
Orbitz Worldwide, Inc. (a)(b).. 599 2,324
Overstock.com, Inc. (a)(b)..... 257 2,770
Shutterfly, Inc. (a)(b)........ 208 1,454
Stamps.com, Inc. (a)........... 262 2,575
Ticketmaster (a)(b)............ 636 4,083
-----------
55,372
-----------
INTERNET SOFTWARE & SERVICES -- 1.5%
Ariba, Inc. (a)(b)............. 1,374 9,907
Art Technology Group, Inc.
(a)(b)....................... 2,091 4,036
Bankrate, Inc. (a)(b).......... 241 9,158
comScore, Inc. (a)(b).......... 267 3,404
Constant Contact, Inc. (a)(b).. 214 2,835
DealerTrack Holdings, Inc.
(a)(b)....................... 647 7,693
Dice Holdings, Inc. (a)(b)..... 377 1,538
Digital River, Inc. (a)........ 624 15,475
DivX, Inc. (a)................. 440 2,301
EarthLink, Inc. (a)(b)......... 1,817 12,283
Equinix, Inc. (a)(b)........... 526 27,978
GSI Commerce, Inc. (a)(b)...... 339 3,566
Infospace, Inc. (b)............ 581 4,387
Internap Network Services Corp.
(a)(b)....................... 787 1,967
Interwoven, Inc. (a)........... 742 9,349
j2 Global Communications, Inc.
(a)(b)....................... 714 14,309
Limelight Networks, Inc.
(a)(b)....................... 632 1,548
LoopNet, Inc. (a)(b)........... 446 3,042
Marchex, Inc. (Class B) (b).... 462 2,693
ModusLink Global Solutions,
Inc. (a)..................... 801 2,315
Move, Inc. (a)(b).............. 2,405 3,848
NIC, Inc. (b).................. 641 2,949
Omniture, Inc. (a)(b).......... 1,162 12,364
Perficient, Inc. (a)(b)........ 500 2,390
Rackspace Hosting, Inc.
(a)(b)....................... 242 1,302
RealNetworks, Inc. (a)(b)...... 1,523 5,376
S1 Corp. (a)................... 815 6,430
SAVVIS, Inc. (a)(b)............ 632 4,354
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SonicWALL, Inc. (a)(b)......... 941 $ 3,745
Switch & Data Facilities Co.,
Inc. (a)(b).................. 364 2,690
TechTarget, Inc. (a)(b)........ 121 523
Terremark Worldwide, Inc.
(a)(b)....................... 677 2,634
The Knot, Inc. (a)............. 516 4,293
United Online, Inc. (b)........ 1,324 8,037
ValueClick, Inc. (a)........... 1,347 9,213
Vignette Corp. (a)(b).......... 406 3,820
VistaPrint, Ltd. (a)(b)........ 672 12,506
Vocus, Inc. (a)(b)............. 331 6,028
WebMD Health Corp. (Class A)
(a)(b)....................... 130 3,067
Websense, Inc. (a)(b).......... 735 11,003
-----------
246,356
-----------
IT SERVICES -- 1.7%
Acxiom Corp. (b)............... 1,072 8,694
BearingPoint, Inc. (a)......... 74 100
Broadridge Financial Solutions,
Inc. ........................ 2,295 28,779
CACI International, Inc. (Class
A) (a)(b).................... 498 22,455
CIBER, Inc. (a)(b)............. 836 4,021
Convergys Corp. (a)............ 1,926 12,346
CSG Systems International, Inc.
(a)(b)....................... 580 10,133
CyberSource Corp. (a)(b)....... 1,174 14,076
Euronet Worldwide, Inc.
(a)(b)....................... 756 8,777
ExlService Holdings, Inc. (a).. 238 2,040
Forrester Research, Inc. (a)... 246 6,940
Gartner, Inc. (a)(b)........... 1,058 18,864
Genpact, Ltd. (a)(b)........... 922 7,579
Global Cash Access, Inc.
(a)(b)....................... 687 1,525
Heartland Payment Systems, Inc.
(b).......................... 462 8,085
iGate Corp. (a)................ 623 4,056
infoUSA, Inc. ................. 538 2,550
Integral Systems Inc. (a)...... 279 3,362
Lionbridge Technologies, Inc.
(a)(b)....................... 862 1,078
Mantech International Corp.
(Class A) (a)(b)............. 341 18,479
MAXIMUS, Inc. ................. 303 10,638
MoneyGram International, Inc.
(a).......................... 1,314 1,327
NeuStar, Inc. (Class A) (a).... 1,280 24,486
Perot Systems Corp. (Class A)
(a).......................... 1,431 19,562
RightNow Technologies, Inc.
(a)(b)....................... 396 3,061
Sapient Corp. (a)(b)........... 1,372 6,092
SRA International, Inc.
(a)(b)....................... 702 12,109
Syntel, Inc. (b)............... 197 4,555
TeleTech Holdings, Inc.
(a)(b)....................... 651 5,436
TNS, Inc. (a)(b)............... 391 3,671
Unisys Corp. (a)............... 5,464 4,644
VeriFone Holdings, Inc.
(a)(b)....................... 1,088 5,331
Wright Express Corp. (a)....... 628 7,913
-----------
292,764
-----------
LEISURE EQUIPMENT & PRODUCTS -- 0.4%
Brunswick Corp. (b)............ 1,417 5,966
Callaway Golf Co. (b).......... 1,073 9,968
JAKKS Pacific, Inc. (a)(b)..... 442 9,118
Leapfrog Enterprises, Inc.
(a)(b)....................... 563 1,970
Marine Products Corp.(b)....... 231 1,298
Polaris Industries, Inc. (b)... 537 15,385
Pool Corp. (b)................. 778 13,981
RC2 Corp. (a)(b)............... 283 3,020
Smith & Wesson Holding Corp.
(a)(b)....................... 612 1,389
-----------
62,095
-----------
LIFE SCIENCES TOOLS & SERVICES -- 1.1%
Affymetrix, Inc. (a)........... 1,129 3,376
Albany Molecular Research, Inc.
(a)(b)....................... 364 3,545
AMAG Pharmaceuticals, Inc.
(a)(b)....................... 280 10,038
Bio-Rad Laboratories, Inc.
(Class A) (a)................ 322 24,250
Bruker Corp. (a)(b)............ 830 3,353
Cambrex Corp. (a)(b)........... 464 2,144
Dionex Corp. (a)(b)............ 304 13,634
Enzo Biochem, Inc. (a)(b)...... 647 3,164
eResearch Technology, Inc.
(a)(b)....................... 700 4,641
Exelixis, Inc. (a)(b).......... 1,715 8,609
Kendle International, Inc.
(a)(b)....................... 212 5,453
Luminex Corp. (a).............. 663 14,162
Medivation, Inc. (a)(b)........ 397 5,784
Nektar Therapeutics (a)(b)..... 1,588 8,829
PAREXEL International Corp.
(a).......................... 917 8,904
PharmaNet Development Group,
Inc. (a)(b).................. 304 277
Sequenom, Inc. (a)(b).......... 824 16,348
Techne Corp. .................. 623 40,196
Varian, Inc. (a)(b)............ 494 16,554
-----------
193,261
-----------
MACHINERY -- 3.4%
Actuant Corp. (Class A) (b).... 932 17,727
Albany International Corp.
(Class A) (b)................ 412 5,290
Altra Holdings, Inc. (a)(b).... 429 3,393
American Railcar Industries,
Inc. (b)..................... 138 1,453
Ampco-Pittsburgh Corp. (b)..... 136 2,951
Astec Industries, Inc. (a)(b).. 281 8,804
Badger Meter, Inc. (b)......... 235 6,820
Barnes Group, Inc. (b)......... 704 10,208
Blount International, Inc.
(a)(b)....................... 673 6,380
Briggs & Stratton Corp. (b).... 809 14,230
Cascade Corp. (b).............. 165 4,927
Chart Industries, Inc. (a)..... 458 4,869
CIRCOR International, Inc.
(b).......................... 272 7,480
CLARCOR, Inc. (b).............. 829 27,506
Colfax Corp. (a)(b)............ 465 4,831
Columbus McKinnon Corp. (a).... 309 4,218
Crane Co. ..................... 879 15,154
Dynamic Materials Corp. (b).... 203 3,920
Energy Recovery, Inc. (a)(b)... 485 3,676
EnPro Industries, Inc. (a)(b).. 327 7,044
ESCO Technologies, Inc. (a).... 410 16,789
Federal Signal Corp. .......... 774 6,354
Force Protection, Inc. (a)..... 1,017 6,082
Freightcar America, Inc. (b)... 188 3,435
Gardner Denver, Inc. (a)....... 868 20,259
Graco, Inc. (b)................ 982 23,303
Graham Corp. .................. 164 1,774
IDEX Corp. (b)................. 1,345 32,482
K-Tron International, Inc.
(a)(b)....................... 43 3,436
Kaydon Corp. (b)............... 544 18,686
Kennametal, Inc. .............. 1,200 26,628
L.B. Foster Co. (a)............ 180 5,630
Lindsay Manufacturing Co. (b).. 184 5,849
Middleby Corp. (a)............. 275 7,499
Mueller Industries, Inc. (b)... 607 15,224
Mueller Water Products, Inc.
(Class B) (b)................ 1,877 15,842
NACCO Industries, Inc. ........ 88 3,292
Nordson Corp. (b).............. 510 16,468
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Oshkosh Corp. (b).............. 1,212 $ 10,775
RBC Bearings, Inc. (a)(b)...... 358 7,260
Robbins & Myers, Inc. ......... 440 7,115
Sauer-Danfoss, Inc. (b)........ 177 1,549
Sun Hydraulics Corp. (b)....... 196 3,693
Tecumseh Products Co. (Class A)
(a)(b)....................... 250 2,395
Tennant Co. (b)................ 263 4,050
The Gorman-Rupp Co. (b)........ 236 7,344
The Greenbrier Cos., Inc. (b).. 245 1,683
The Timken Co. ................ 1,261 24,753
The Toro Co. (b)............... 565 18,645
Titan International, Inc. (b).. 556 4,587
Trinity Industries, Inc. (b)... 1,329 20,945
Valmont Industries, Inc. (b)... 296 18,163
Wabash National Corp. ......... 496 2,232
Wabtec Corp. (b)............... 780 31,005
Watts Water Technologies, Inc.
(b).......................... 481 12,011
Xerium Technologies, Inc.
(a)(b)....................... 303 200
-----------
568,318
-----------
MARINE -- 0.4%
Alexander & Baldwin, Inc. (b).. 685 17,166
American Commercial Lines, Inc.
(a)(b)....................... 619 3,033
Eagle Bulk Shipping, Inc. (b).. 764 5,210
Excel Maritime Carriers, Ltd.
(b).......................... 618 4,351
Genco Shipping & Trading, Ltd.
(b).......................... 511 7,563
Horizon Lines, Inc. (b)........ 495 1,727
Kirby Corp. (a)................ 877 23,995
TBS International, Ltd.
(a)(b)....................... 258 2,588
-----------
65,633
-----------
MEDIA -- 1.3%
Arbitron, Inc. (b)............. 442 5,870
Belo Corp. .................... 1,488 2,321
Charter Communications, Inc.
(a)(b)....................... 6,135 502
Cinemark Holdings, Inc. (b).... 577 4,287
Citadel Broadcasting Corp.
(a)(b)....................... 2,795 447
CKX, Inc. (a)(b)............... 1,093 4,011
Cox Radio, Inc. (Class A)
(a)(b)....................... 403 2,422
Crown Media Holdings, Inc.
(Class A) (a)(b)............. 148 422
Cumulus Media, Inc. (a)(b)..... 524 1,305
Dolan Media Co. (a)(b)......... 407 2,682
DreamWorks Animation SKG, Inc.
(Class A) (a)(b)............. 926 23,391
Entercom Communications Corp.
(b).......................... 461 567
Entravision Communications
Corp. (a)(b)................. 907 1,415
Fisher Communications, Inc.
(b).......................... 102 2,105
Harte-Hanks, Inc. (b).......... 622 3,881
Hearst-Argyle Television, Inc.
(b).......................... 410 2,485
Interactive Data Corp. ........ 589 14,525
John Wiley & Sons, Inc. (Class
A) (b)....................... 812 28,891
Journal Communications, Inc.
(b).......................... 682 1,671
Lee Enterprises, Inc. (b)...... 636 261
Liberty Media Corp.-Interactive
(Series A) (a)(b)............ 1,351 6,363
Lin TV Corp. (Class A) (a)(b).. 415 452
Live Nation, Inc. (a)(b)....... 1,235 7,089
Martha Stewart Living
Omnimedia, Inc. (Class A)
(a)(b)....................... 452 1,175
Marvel Entertainment, Inc.
(a)(b)....................... 859 26,414
McClatchy Co. (Class A) (b).... 864 691
Media General, Inc. (Class A)(
b)........................... 209 366
Mediacom Communications Corp.
(a)(b)....................... 640 2,752
Meredith Corp. (b)............. 598 10,238
Morningstar, Inc. (a)(b)....... 285 10,117
National CineMedia, Inc. (b)... 688 6,976
Primedia, Inc. ................ 294 638
R.H. Donnelley Corp. (a)(b).... 1,141 422
RCN Corp. (a).................. 611 3,605
Regal Entertainment Group...... 1,279 13,059
Scholastic Corp. (b)........... 535 7,265
Sinclair Broadcast Group, Inc.
(b).......................... 835 2,589
The New York Times Co. (Class
A) (b)....................... 1,891 13,861
Valassis Communications, Inc.
(a)(b)....................... 757 999
Warner Music Group Corp. (b)... 981 2,963
World Wrestling Entertainment,
Inc. (Class A) (b)........... 322 3,568
-----------
225,063
-----------
METALS & MINING -- 1.2%
AM Castle & Co. (b)............ 283 3,065
AMCOL International Corp. (b).. 417 8,736
Brush Engineered Materials,
Inc. (a)..................... 332 4,223
Carpenter Technology Corp.
(b).......................... 703 14,440
Century Aluminum Co. (a)(b).... 571 5,710
Coeur d' Alene Mines Corp.
(a)(b)....................... 8,911 7,842
Commercial Metals Co. (b)...... 1,864 22,126
Compass Minerals International,
Inc. (b)..................... 539 31,618
General Moly, Inc. (a)(b)...... 994 1,173
Haynes International, Inc.
(a).......................... 195 4,801
Hecla Mining Co. (a)(b)........ 2,589 7,249
Horsehead Holding Corp.
(a)(b)....................... 564 2,651
Kaiser Aluminum Corp. (b)...... 255 5,743
Olympic Steel, Inc. (b)........ 154 3,137
Royal Gold, Inc. (b)........... 506 24,900
RTI International Metals, Inc.
(a)(b)....................... 378 5,409
Schnitzer Steel Industries,
Inc. (Class A) (b)........... 339 12,763
Stillwater Mining Co. (a)(b)... 710 3,507
Titanium Metals Corp. (b)...... 1,608 14,166
WHX Corp. (a).................. 416 3,328
Worthington Industries, Inc.
(b).......................... 1,096 12,078
-----------
198,665
-----------
MULTI-UTILITIES -- 0.9%
Avista Corp. (b)............... 863 16,725
Black Hills Corp. (b).......... 644 17,362
CH Energy Group, Inc. (b)...... 261 13,413
NorthWestern Corp. (b)......... 564 13,237
OGE Energy Corp. .............. 1,476 38,051
PNM Resources, Inc. (b)........ 1,281 12,913
Vectren Corp. ................. 1,344 33,613
-----------
145,314
-----------
MULTILINE RETAIL -- 0.3%
99 Cents Only Stores (a)(b).... 898 9,815
Big Lots, Inc. (a)............. 1,329 19,258
Dillard's, Inc. (Class A) (b).. 1,000 3,970
Fred's, Inc. (Class A) (b)..... 620 6,671
Retail Ventures, Inc. (a)...... 451 1,565
Saks, Inc. (a)................. 2,029 8,887
Tuesday Morning Corp. (a)...... 462 753
-----------
50,919
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
OFFICE ELECTRONICS -- 0.1%
Zebra Technologies Corp. (Class
A) (a)....................... 1,010 $ 20,463
-----------
OIL, GAS & CONSUMABLE FUELS -- 5.3%
Alliance Holdings GP LP........ 196 2,901
Alliance Resource Partners LP
(b).......................... 334 8,978
Alon USA Energy, Inc. (b)...... 201 1,839
APCO Argentina, Inc. (b)....... 150 3,995
Arena Resources, Inc. (a)(b)... 626 17,584
Atlas America, Inc. (b)........ 618 9,177
Atlas Energy Resources LLC..... 546 6,972
Atlas Pipeline Holdings LP
(b).......................... 162 612
Atlas Pipeline Partners LP
(b).......................... 645 3,870
ATP Oil & Gas Corp. (a)(b)..... 461 2,697
Aventine Renewable Energy
Holdings, Inc. (a)(b)........ 463 301
Berry Petroleum Co. (Class A).. 672 5,080
Bill Barrett Corp. (a)(b)...... 534 11,283
BP Prudhoe Bay Royalty Trust... 350 25,669
BPZ Resources, Inc. (a)(b)..... 904 5,786
BreitBurn Energy Partners LP... 862 6,038
Brigham Exploration Co.
(a)(b)....................... 555 1,776
Buckeye GP Holdings LP......... 197 2,522
Buckeye Partners LP (b)........ 804 25,929
Calumet Specialty Products
Partners LP (b).............. 228 1,997
Capital Product Partners LP.... 194 1,513
Carrizo Oil & Gas, Inc.
(a)(b)....................... 445 7,165
Cheniere Energy Partners LP
(b).......................... 219 813
Cheniere Energy, Inc. (a)(b)... 760 2,166
Clayton Williams Energy, Inc.
(a)(b)....................... 158 7,180
Clean Energy Fuels Corp.
(a)(b)....................... 335 2,023
Comstock Resources, Inc.
(a)(b)....................... 756 35,721
Concho Resources, Inc. (a)(b).. 994 22,683
Contango Oil & Gas Co. (a)(b).. 228 12,836
Copano Energy LLC.............. 726 8,472
Crosstex Energy LP............. 638 2,788
Crosstex Energy, Inc. (b)...... 743 2,898
CVR Energy, Inc. (a)(b)........ 889 3,556
DCP Midstream Partners LP (b).. 399 3,751
Delek US Holdings, Inc. (b).... 234 1,238
Delta Petroleum Corp. (a)(b)... 1,063 5,060
DHT Maritime, Inc. ............ 638 3,535
Dorchester Minerals LP......... 429 6,808
Duncan Energy Partners LP (b).. 239 3,250
Eagle Rock Energy Partners LP.. 638 3,005
El Paso Pipeline Partners LP
(b).......................... 401 6,256
Enbridge Energy Management LLC
(a)(b)....................... 196 4,792
Encore Acquisition Co. (a)(b).. 820 20,926
Encore Energy Partners LP...... 454 5,893
Energy Partners, Ltd. (a)(b)... 442 597
EV Energy Partner LP (b)....... 193 2,831
EXCO Resources, Inc. (a)(b).... 2,789 25,268
Foundation Coal Holdings, Inc.
(b).......................... 735 10,305
Frontier Oil Corp. (b)......... 1,690 21,345
Gastar Exploration Ltd. (a).... 2,566 847
General Maritime Corp (b)...... 1,108 11,966
Genesis Energy LP.............. 386 3,370
GeoMet, Inc. (a)............... 344 592
GMX Resources, Inc. (a)(b)..... 306 7,748
Goodrich Petroleum Corp.
(a)(b)....................... 447 13,388
Gulfport Energy Corp. (a)(b)... 426 1,683
Harvest Natural Resources, Inc.
(a)(b)....................... 589 2,533
Hiland Holdings GP LP.......... 126 297
Hiland Partners LP (b)......... 81 416
Holly Corp. (b)................ 679 12,378
Holly Energy Partners LP....... 132 2,818
Hugoton Royalty Trust (b)...... 672 10,786
Inergy Holdings LP (b)......... 190 4,117
Inergy LP (b).................. 735 12,524
International Coal Group, Inc.
(a)(b)....................... 1,730 3,979
James River Coal Co. (a)(b).... 407 6,239
K-Sea Transportation Partners
LP........................... 202 2,606
Legacy Reserves LP............. 316 2,947
Linn Energy LLC (b)............ 1,808 27,066
Magellan Midstream Holdings
LP........................... 382 5,298
Magellan Midstream Partners LP
(b).......................... 1,101 33,261
Mariner Energy, Inc. (a)....... 1,333 13,597
Markwest Energy Partners LP.... 801 6,392
Martin Midstream Partners LP... 144 2,117
McMoRan Exploration Co.
(a)(b)....................... 1,053 10,319
Natural Resource Partners LP... 523 9,126
NuStar Energy LP (b)........... 705 28,947
NuStar GP Holdings LLC (b)..... 552 9,759
OSG America LP................. 113 556
Overseas Shipholding Group,
Inc. (b)..................... 358 15,075
Parallel Petroleum Corp.
(a)(b)....................... 679 1,365
Penn Virginia Corp. ........... 680 17,666
Penn Virginia GP Holdings LP
(b).......................... 340 3,376
Penn Virginia Resource Partners
LP (b)....................... 505 5,742
Petroleum Development Corp.
(a)(b)....................... 242 5,825
Petroquest Energy, Inc.
(a)(b)....................... 708 4,786
Pioneer Southwest Energy
Partners, L.P. .............. 138 1,891
Regency Energy Partners LP
(b).......................... 607 4,886
Rentech, Inc. (a)(b)........... 2,779 1,890
Rex Energy Corp. (a)(b)........ 392 1,152
Rosetta Resources, Inc.
(a)(b)....................... 835 5,912
SemGroup Energy Partners LP.... 344 867
Ship Finance International,
Ltd. (b)..................... 652 7,205
Southern Union Co. (b)......... 1,704 22,220
St. Mary Land & Exploration Co.
(b).......................... 1,004 20,391
Stone Energy Corp. (a)(b)...... 557 6,138
Sunoco Logistics Partners LP... 269 12,143
Swift Energy Co. (a)(b)........ 495 8,321
Targa Resources Partners LP
(b).......................... 552 4,278
TC Pipelines LP................ 271 6,301
Teekay LNG Partners LP (b)..... 280 4,186
Teekay Offshore Partners LP
(b).......................... 244 2,660
TEPPCO Partners LP (b)......... 1,365 26,713
Tesoro Corp. (b)............... 2,231 29,382
USEC, Inc. (a)(b).............. 1,794 8,055
Venoco, Inc. (a)(b)............ 349 946
VeraSun Energy Corp. (a)(b).... 366 20
W&T Offshore, Inc. (b)......... 439 6,287
Warren Resources, Inc. (a)..... 960 1,910
Western Gas Partners LP (b).... 367 4,709
Western Refining, Inc. (b)..... 443 3,438
Williams Partners LP (b)....... 661 7,892
Williams Pipeline Partners LP
(b).......................... 257 3,644
World Fuel Services Corp. (b).. 472 17,464
-----------
902,088
-----------
PAPER & FOREST PRODUCTS -- 0.2%
AbitibiBowater, Inc. (a)(b).... 860 404
Buckeye Technologies, Inc.
(a)(b)....................... 618 2,250
Clearwater Paper Corp. (a)(b).. 184 1,544
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Deltic Timber Corp. (b)........ 188 $ 8,601
Glatfelter..................... 728 6,770
Louisiana-Pacific Corp. (b).... 1,709 2,666
Neenah Paper, Inc. (b)......... 232 2,051
Schweitzer-Mauduit
International, Inc. ......... 249 4,985
Verso Paper Corp. (b).......... 227 234
Wausau-Mosinee Paper Corp. .... 792 9,060
-----------
38,565
-----------
PERSONAL PRODUCTS -- 0.7%
Alberto-Culver Co. ............ 1,410 34,559
Bare Escentuals, Inc. (a)(b)... 1,094 5,722
Chattem, Inc. (a)(b)........... 279 19,957
Elizabeth Arden, Inc. (a)(b)... 431 5,435
Herbalife, Ltd. ............... 1,063 23,046
Inter Parfums, Inc. (b)........ 231 1,774
NBTY, Inc. (a)(b).............. 927 14,508
Nu Skin Enterprises, Inc.
(Class A).................... 850 8,865
Prestige Brands Holdings, Inc.
(a).......................... 567 5,982
Revlon, Inc. (a)............... 318 2,121
USANA Health Sciences, Inc.
(a)(b)....................... 134 4,588
-----------
126,557
-----------
PHARMACEUTICALS -- 1.4%
Akorn, Inc. (a)(b)............. 829 1,907
Auxilium Pharmaceuticals, Inc.
(a)(b)....................... 656 18,657
Biodel, Inc. (a)(b)............ 232 1,118
BioForm Medical, Inc. (a)(b)... 158 144
Caraco Pharmaceutical
Laboratories, Ltd. (a)(b).... 174 1,030
Jazz Pharmaceuticals, Inc.
(a)(b)....................... 296 571
KV Pharmaceutical Co. (Class A)
(a)(b)....................... 611 1,760
Medicis Pharmaceutical Corp.
(Class A) (b)................ 919 12,774
Noven Pharmaceuticals, Inc.
(a)(b)....................... 395 4,345
Pain Therapeutics, Inc.
(a)(b)....................... 555 3,285
Par Pharmaceutical Cos., Inc.
(a)(b)....................... 562 7,536
Perrigo Co. (b)................ 1,367 44,168
Salix Pharmaceuticals, Ltd.
(a)(b)....................... 796 7,029
Sepracor, Inc. (a)(b).......... 1,759 19,314
Sucampo Pharmaceuticals, Inc.
(a)(b)....................... 111 638
The Medicines Co. (a)(b)....... 848 12,491
Valeant Pharmaceuticals
International (a)(b)......... 1,117 25,579
Viropharma, Inc. (a)(b)........ 1,294 16,848
VIVUS, Inc. (a)(b)............. 1,124 5,980
Watson Pharmaceuticals, Inc.
(a)(b)....................... 1,686 44,797
Xenoport, Inc. (a)(b).......... 362 9,079
-----------
239,050
-----------
PROFESSIONAL SERVICES -- 1.2%
Administaff, Inc. (b).......... 373 8,087
Advisory Board Co. (a)(b)...... 239 5,330
CBIZ, Inc. (a)(b).............. 863 7,465
CDI Corp. (b).................. 229 2,963
CoStar Group, Inc. (a)(b)...... 318 10,475
CRA International, Inc.
(a)(b)....................... 174 4,686
Diamond Management & Technology
Consultants, Inc. (b)........ 448 1,886
Duff & Phelps Corp. (Class A)
(a)(b)....................... 176 3,365
Exponent, Inc. (a)............. 242 7,279
First Advantage Corp. (Class A)
(a).......................... 187 2,646
Heidrick & Struggles
International, Inc. (b)...... 275 5,924
Hill International, Inc.
(a)(b)....................... 499 3,513
Huron Consulting Group, Inc.
(a)(b)....................... 347 19,873
Kelly Services, Inc. (Class A)
(b).......................... 443 5,763
Kforce, Inc. (a)(b)............ 611 4,693
Korn/Ferry International
(a)(b)....................... 756 8,634
LECG Corp. (a)(b).............. 393 2,637
MPS Group, Inc. (a)(b)......... 1,526 11,491
Navigant Consulting, Inc.
(a)(b)....................... 787 12,490
Resources Connection, Inc.
(a)(b)....................... 777 12,727
School Specialty, Inc. (a)(b).. 270 5,162
Spherion Corp. (a)(b).......... 906 2,002
The Corporate Executive Board
Co. ......................... 572 12,618
TrueBlue, Inc. (a)(b).......... 721 6,900
Volt Information Sciences, Inc.
(a)(b)....................... 227 1,641
Watson Wyatt Worldwide, Inc.
(Class A).................... 682 32,613
-----------
202,863
-----------
REAL ESTATE INVESTMENT TRUSTS -- 6.0%
Acadia Realty Trust (b)........ 494 7,049
Alexander's, Inc. (b).......... 43 10,961
Alexandria Real Estate
Equities, Inc. (b)........... 530 31,980
American Campus Communities,
Inc. (b)..................... 690 14,131
Anthracite Capital, Inc. (b)... 1,207 2,692
Anworth Mortgage Asset
Corp.(b)..................... 1,335 8,584
Arbor Realty Trust, Inc. (b)... 404 1,192
Ashford Hospitality Trust, Inc.
(b).......................... 1,197 1,377
BioMed Realty Trust, Inc. ..... 1,305 15,295
Brandywine Realty Trust (b).... 1,447 11,156
BRE Properties, Inc. (b)....... 834 23,335
Capital Lease Funding, Inc.
(b).......................... 713 1,233
Capital Trust, Inc. (Class A)
(b).......................... 268 965
Capstead Mortgage Corp. (b).... 914 9,844
CBL & Associates Properties,
Inc. (b)..................... 1,078 7,007
Cedar Shopping Centers, Inc.
(b).......................... 736 5,211
Chimera Investment Corp. (b)... 3,000 10,350
Colonial Properties Trust (b).. 677 5,639
Corporate Office Properties
Trust (b).................... 886 27,200
Cousins Properties, Inc. (b)... 670 9,280
DCT Industrial Trust, Inc.
(b).......................... 2,783 14,082
DiamondRock Hospitality Co.
(b).......................... 1,540 7,808
Digital Realty Trust, Inc.
(b).......................... 1,102 36,201
Douglas Emmett, Inc. (b)....... 1,816 23,717
DuPont Fabros Technology,
Inc. ........................ 582 1,205
EastGroup Properties, Inc.
(b).......................... 419 14,908
Education Realty Trust, Inc.
(b).......................... 444 2,318
Entertainment Properties Trust
(b).......................... 506 15,079
Equity Lifestyle Properties,
Inc. (b)..................... 370 14,193
Equity One, Inc. (b)........... 535 9,469
Essex Property Trust, Inc.
(b).......................... 443 34,000
Extra Space Storage, Inc. (b).. 1,338 13,808
FelCor Lodging Trust, Inc.
(b).......................... 1,022 1,880
First Industrial Realty Trust,
Inc. (b)..................... 720 5,436
First Potomac Realty Trust
(b).......................... 465 4,325
Franklin Street Properties
Corp. ....................... 1,047 15,443
Friedman, Billings, Ramsey
Group, Inc. (a)(b)........... 2,493 424
Getty Realty Corp. (b)......... 304 6,402
Glimcher Realty Trust (b)...... 599 1,683
Gramercy Capital Corp. (b)..... 631 808
Hatteras Financial Corp. ...... 552 14,683
Healthcare Realty Trust,
Inc. ........................ 939 22,048
Highwoods Properties, Inc.
(b).......................... 1,017 27,825
Home Properties, Inc. (b)...... 527 21,396
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Hospitality Properties Trust
(b).......................... 1,533 $ 22,796
HRPT Properties Trust.......... 3,647 12,290
Inland Real Estate Corp. (b)... 970 12,591
Investors Real Estate Trust
(b).......................... 929 9,950
iStar Financial, Inc. (b)...... 2,187 4,877
JER Investors Trust, Inc. (b).. 382 355
Kilroy Realty Corp. (b)........ 534 17,868
Kite Realty Group Trust (b).... 598 3,325
LaSalle Hotel Properties (b)... 655 7,238
Lexington Realty Trust (b)..... 1,347 6,735
LTC Properties, Inc. (b)....... 337 6,834
Maguire Properties, Inc.
(a)(b)....................... 620 905
Medical Properties Trust, Inc.
(b).......................... 1,074 6,777
MFA Mortgage Investments, Inc.
(b).......................... 3,230 19,025
Mid-America Apartment
Communities, Inc. ........... 449 16,685
National Health Investors, Inc.
(b).......................... 414 11,356
National Retail Properties,
Inc. (b)..................... 1,307 22,467
Nationwide Health Properties,
Inc. (b)..................... 1,599 45,923
Newcastle Investment Corp.
(b).......................... 833 700
NorthStar Realty Finance Corp.
(b).......................... 932 3,644
Omega Healthcare Investors,
Inc. ........................ 1,303 20,809
Parkway Properties, Inc. (b)... 246 4,428
Pennsylvania Real Estate
Investment Trust (b)......... 643 4,790
Post Properties, Inc. (b)...... 715 11,797
Potlatch Corp. ................ 644 16,750
PS Business Parks, Inc. ....... 260 11,612
RAIT Investment Trust (b)...... 943 2,452
Ramco-Gershenson Properties
Trust (b).................... 299 1,848
Realty Income Corp. (b)........ 1,677 38,823
Redwood Trust, Inc. (b)........ 454 6,769
Saul Centers, Inc. (b)......... 174 6,873
Senior Housing Properties
Trust........................ 1,829 32,776
Sovran Self Storage, Inc. (b).. 355 12,780
Strategic Hotels & Resorts,
Inc. (b)..................... 1,218 2,046
Sun Communities, Inc. (b)...... 274 3,836
Sunstone Hotel Investors, Inc.
(b).......................... 841 5,206
Tanger Factory Outlet Centers,
Inc. (b)..................... 516 19,412
Taubman Centers, Inc. (b)...... 859 21,870
U-Store-It Trust (b)........... 754 3,355
Universal Health Realty Income
Trust (b).................... 184 6,055
Urstadt Biddle Properties...... 55 784
Urstadt Biddle Properties
(Class A) (b)................ 326 5,193
Washington Real Estate
Investment Trust (b)......... 817 23,121
-----------
1,009,348
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.4%
Avatar Holdings, Inc. (a)...... 90 2,387
Forestar Real Estate Group,
Inc. (a)(b).................. 535 5,093
Jones Lang LaSalle, Inc. (b)... 537 14,875
Meruelo Maddux Properties, Inc.
(a).......................... 598 741
Tejon Ranch Co. (a)(b)......... 216 5,344
The St. Joe Co. (a)(b)......... 1,478 35,945
-----------
64,385
-----------
ROAD & RAIL -- 0.9%
Amerco, Inc. (a)............... 105 3,626
Arkansas Best Corp. (b)........ 370 11,141
Avis Budget Group, Inc.
(a)(b)....................... 1,669 1,168
Con-way, Inc. (b).............. 746 19,844
Genesee & Wyoming, Inc. (Class
A) (a)....................... 516 15,738
Heartland Express, Inc. (b).... 958 15,098
Knight Transportation, Inc.
(b).......................... 920 14,830
Landstar Systems, Inc. (b)..... 875 33,626
Marten Transport, Ltd. (a)..... 246 4,664
Old Dominion Freight Line, Inc.
(a)(b)....................... 512 14,572
Werner Enterprises, Inc. (b)... 836 14,496
YRC Worldwide, Inc. (a)(b)..... 922 2,646
-----------
151,449
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7%
Actel Corp. (a)(b)............. 411 4,817
Advanced Analogic Technologies,
Inc. (a)(b).................. 737 2,226
Advanced Energy Industries,
Inc. (a)..................... 547 5,443
Amkor Technology, Inc. (a)(b).. 1,723 3,756
Anadigics, Inc. (a)(b)......... 1,018 1,507
Applied Micro Circuits Corp.
(a)(b)....................... 1,051 4,130
Atheros Communications, Inc.
(a)(b)....................... 999 14,296
Atmel Corp. (a)(b)............. 7,425 23,240
ATMI, Inc. (a)(b).............. 513 7,916
Axcelis Technologies, Inc.
(a).......................... 1,621 827
Brooks Automation, Inc.
(a)(b)....................... 967 5,618
Cabot Microelectronics Corp.
(a)(b)....................... 384 10,011
Cavium Networks, Inc. (a)(b)... 582 6,117
Cirrus Logic, Inc. (a)(b)...... 949 2,543
Cohu, Inc. .................... 346 4,204
Conexant Systems, Inc. (a)(b).. 757 519
Cree, Inc. (a)(b).............. 1,333 21,155
Cymer, Inc. (a)................ 500 10,955
Diodes, Inc. (a)(b)............ 501 3,036
DSP Group, Inc. (a)(b)......... 394 3,160
EMCORE Corp. (a)(b)............ 1,064 1,383
Entegris, Inc. (a)(b).......... 1,851 4,054
Exar Corp. (a)(b).............. 622 4,149
Fairchild Semiconductor
International, Inc. (a)...... 2,008 9,819
FEI Co. (a)(b)................. 593 11,184
Formfactor, Inc. (a)(b)........ 796 11,622
Hittite Microwave Corp.
(a)(b)....................... 272 8,013
Integrated Device Technology,
Inc. (a)..................... 2,712 15,214
International Rectifier Corp.
(a).......................... 1,209 16,322
IXYS Corp. (b)................. 405 3,345
Kulicke & Soffa Industries,
Inc. (a)(b).................. 856 1,455
Lattice Semiconductor Corp.
(a)(b)....................... 1,798 2,715
Mattson Technology, Inc. (a)... 809 1,141
Micrel, Inc. .................. 837 6,119
Microsemi Corp. (a)(b)......... 1,360 17,190
MKS Instruments, Inc. (a)(b)... 715 10,575
Monolithic Power Systems, Inc.
(a)(b)....................... 486 6,128
Netlogic Microsystems, Inc.
(a)(b)....................... 298 6,559
Novellus Systems, Inc. (a)(b).. 1,626 20,065
OmniVision Technologies, Inc.
(a)(b)....................... 837 4,394
PMC-Sierra, Inc. (a)(b)........ 3,436 16,699
Power Integrations, Inc. (b)... 492 9,781
Rambus, Inc. (a)(b)............ 1,683 26,793
RF Micro Devices, Inc. (a)(b).. 3,945 3,077
Rubicon Technology, Inc.
(a)(b)....................... 224 954
Semtech Corp. (a)(b)........... 1,057 11,912
Sigma Designs, Inc. (a)(b)..... 430 4,085
Silicon Image, Inc. (a)........ 1,185 4,977
Silicon Laboratories, Inc.
(a)(b)....................... 735 18,213
Silicon Storage Technology,
Inc. (a)..................... 1,532 3,508
Skyworks Solutions, Inc., (a).. 2,737 15,163
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Spansion, Inc. (a)(b).......... 2,072 $ 392
Standard Microsystems Corp.
(a)(b)....................... 377 6,160
Teradyne, Inc. (a)............. 2,775 11,711
Tessera Technologies, Inc.
(a)(b)....................... 823 9,777
Trident Microsystems, Inc.
(a)(b)....................... 963 1,820
TriQuint Semiconductor, Inc.
(a).......................... 2,326 8,001
Ultratech, Inc. (a)............ 298 3,564
Veeco Instruments, Inc. (a).... 489 3,100
Zoran Corp. (a)(b)............. 841 5,744
-----------
462,353
-----------
SOFTWARE -- 3.4%
ACI Worldwide, Inc. (a)(b)..... 561 8,920
Advent Software, Inc. (a)(b)... 294 5,871
Blackbaud, Inc. (b)............ 723 9,761
Blackboard, Inc. (a)(b)........ 479 12,564
Cadence Design Systems, Inc.
(a)(b)....................... 4,209 15,405
Commvault Systems, Inc.
(a)(b)....................... 526 7,054
Compuware Corp. (a)............ 3,950 26,662
Concur Technologies, Inc.
(a)(b)....................... 806 26,453
Deltek, Inc. (a)(b)............ 177 821
Epicor Software Corp. (a)(b)... 884 4,243
Factset Research Systems, Inc.
(b).......................... 697 30,835
Fair Isaac Corp. .............. 801 13,505
FalconStor Software, Inc. (a).. 628 1,746
i2 Technologies, Inc. (a)(b)... 286 1,828
Informatica Corp. (a)(b)....... 1,468 20,156
Jack Henry & Associates,
Inc. ........................ 1,439 27,931
JDA Software Group, Inc. (a)... 492 6,460
Kenexa Corp. (a)(b)............ 321 2,562
Lawson Software, Inc. (a)(b)... 2,149 10,186
Macrovision Solutions Corp.
(a)(b)....................... 1,303 16,483
Magma Design Automation, Inc.
(a)(b)....................... 611 623
Manhattan Associates, Inc.
(a)(b)....................... 401 6,340
Mentor Graphics Corp. (a)...... 1,483 7,667
MICROS Systems, Inc. (a)....... 1,342 21,901
MicroStrategy, Inc. (a)(b)..... 155 5,755
Midway Games, Inc. (a)(b)...... 165 31
Monotype Imaging Holdings, Inc.
(a)(b)....................... 371 2,152
MSC Software Corp. (a)......... 727 4,856
Netscout Systems, Inc. (a)..... 422 3,638
NetSuite, Inc. (a)............. 298 2,515
Novell, Inc. (a)(b)............ 5,784 22,500
Nuance Communications, Inc.
(a)(b)....................... 3,001 31,090
Parametric Technology Corp.
(a).......................... 1,916 24,237
Pegasystems, Inc. (b).......... 252 3,115
Progress Software Corp. (a).... 625 12,038
Quality Systems, Inc. (b)...... 296 12,912
Quest Software, Inc. (a)....... 1,187 14,944
Radiant Systems, Inc. (a)(b)... 451 1,520
Renaissance Learning, Inc. .... 118 1,061
Solera Holdings, Inc. (a)(b)... 1,138 27,426
SPSS, Inc. (a)(b).............. 295 7,953
SuccessFactors, Inc. (a)(b).... 416 2,388
Sybase, Inc. (a)(b)............ 1,303 32,275
Symyx Technologies, Inc. (a)... 563 3,344
Synchronoss Technologies, Inc.
(a)(b)....................... 303 3,230
Take-Two Interactive Software,
Inc. (b)..................... 1,209 9,140
Taleo Corp. (a)................ 434 3,398
THQ, Inc. (a)(b)............... 1,096 4,592
TIBCO Software, Inc. (a)....... 2,992 15,528
TiVo, Inc. (a)(b).............. 1,654 11,843
Tyler Technologies, Inc.
(a)(b)....................... 620 7,428
Ultimate Software Group, Inc.
(a)(b)....................... 401 5,855
Vasco Data Security
International (a)(b)......... 486 5,020
Wind River Systems, Inc.
(a)(b)....................... 1,210 10,926
-----------
578,687
-----------
SPECIALTY RETAIL -- 2.5%
Aaron Rents, Inc. (b).......... 803 21,376
AC Moore Arts & Crafts, Inc.
(a).......................... 320 448
Aeropostale, Inc. (a).......... 1,093 17,597
AnnTaylor Stores Corp. (a)(b).. 972 5,608
Asbury Automotive Group,
Inc. ........................ 513 2,344
AutoNation, Inc. (a)(b)........ 1,812 17,903
Barnes & Noble, Inc. (b)....... 610 9,150
Bebe Stores, Inc. (b).......... 482 3,601
Big 5 Sporting Goods Corp.
(b).......................... 307 1,599
Blockbuster, Inc. (Class A)
(a)(b)....................... 2,995 3,774
Borders Group, Inc. (a)........ 788 315
Brown Shoe Co., Inc. (b)....... 685 5,802
Cabela's, Inc. (a)(b).......... 664 3,871
Charlotte Russe Holding, Inc.
(a).......................... 338 2,194
Charming Shoppes, Inc. (a)(b).. 1,578 3,850
Chico's FAS, Inc. (a)(b)....... 2,877 12,026
Christopher & Banks Corp.(b)... 555 3,108
Coldwater Creek, Inc. (a)(b)... 955 2,722
Collective Brands, Inc.
(a)(b)....................... 1,035 12,130
Conn's, Inc. (a)(b)............ 181 1,535
Dick's Sporting Goods, Inc.
(a)(b)....................... 1,380 19,472
DSW, Inc. (Class A) (a)(b)..... 229 2,853
Foot Locker, Inc. (b).......... 2,597 19,062
Genesco, Inc. (a)(b)........... 313 5,296
Group 1 Automotive, Inc. (b)... 381 4,103
Gymboree Corp. (a)(b).......... 491 12,810
hhgregg, Inc. (a)(b)........... 254 2,205
Hibbett Sports, Inc. (a)(b).... 460 7,227
Hot Topic, Inc. (a)(b)......... 749 6,943
J. Crew Group, Inc. (a)(b)..... 874 10,663
Jo-Ann Stores, Inc. (a)(b)..... 408 6,320
Jos. A. Bank Clothiers, Inc.
(a)(b)....................... 292 7,636
Mens Wearhouse, Inc. (b)....... 753 10,196
New York & Co., Inc. (a)(b).... 425 986
Office Depot, Inc. (a)(b)...... 4,454 13,273
OfficeMax, Inc. (b)............ 1,231 9,405
Pacific Sunwear of California,
Inc. (a)..................... 1,140 1,813
Penske Automotive Group, Inc.
(b).......................... 687 5,276
Pier 1 Imports, Inc. (a)(b).... 1,265 468
RadioShack Corp. (b)........... 2,001 23,892
Rent-A-Center, Inc. (a)........ 1,111 19,609
Sally Beauty Holdings, Inc.
(a)(b)....................... 1,392 7,920
Signet Jewelers, Ltd. (b)...... 1,392 12,069
Sonic Automotive, Inc. (Class
A) (b)....................... 469 1,867
Stage Stores, Inc. ............ 637 5,255
Stein Mart, Inc. (a)(b)........ 409 462
Systemax, Inc. (b)............. 210 2,262
Talbots, Inc. (b).............. 364 870
The Buckle, Inc. (b)........... 386 8,422
The Cato Corp. (Class A) (b)... 448 6,765
The Children's Place Retail
Stores, Inc. (a)............. 405 8,780
The Dress Barn, Inc. (a)(b).... 721 7,743
The Finish Line, Inc. (Class
A)........................... 725 4,060
The Pep Boys -- Manny, Moe &
Jack (b)..................... 743 3,069
Tractor Supply Co. (a)(b)...... 500 18,070
Tween Brands, Inc. (a)(b)...... 393 1,698
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Ulta Salon Cosmetics &
Fragrance, Inc. (a)(b)....... 450 $ 3,726
Williams-Sonoma, Inc. (b)...... 1,599 12,568
Zale Corp. (a)(b).............. 230 766
Zumiez, Inc. (a)(b)............ 327 2,436
-----------
429,269
-----------
TEXTILES, APPAREL & LUXURY GOODS -- 1.3%
American Apparel, Inc. (a)(b).. 549 1,093
Carter's, Inc. (a)(b).......... 946 18,220
Columbia Sportswear Co. (b).... 244 8,630
Crocs, Inc. (a)(b)............. 1,347 1,670
Deckers Outdoor Corp. (a)(b)... 216 17,252
Fossil, Inc. (a)............... 789 13,176
Hanesbrands, Inc. (a)(b)....... 1,537 19,597
Iconix Brand Group, Inc. (a)... 932 9,115
Jones Apparel Group, Inc. (b).. 1,384 8,110
K-Swiss, Inc. (Class A) (b).... 420 4,788
Kenneth Cole Productions, Inc.
(Class A) (b)................ 135 956
Liz Claiborne, Inc. (b)........ 1,534 3,988
Maidenform Brands, Inc. (a).... 294 2,984
Movado Group, Inc. (b)......... 299 2,808
Oxford Industries, Inc. (b).... 227 1,991
Phillips-Van Heusen Corp. ..... 839 16,889
Quiksilver, Inc. (a)........... 2,052 3,776
Skechers USA, Inc. (a)(b)...... 537 6,884
Steven Madden, Ltd. (a)........ 260 5,543
The Timberland Co. (Class A)
(a).......................... 811 9,367
The Warnaco Group, Inc. (a).... 751 14,742
True Religion Apparel, Inc.
(a).......................... 263 3,272
Under Armour, Inc. (Class A)
(a)(b)....................... 552 13,160
UniFirst Corp. (b)............. 231 6,858
Volcom, Inc. (a)(b)............ 240 2,616
Wolverine World Wide, Inc. .... 800 16,832
-----------
214,317
-----------
THRIFTS & MORTGAGE FINANCE -- 1.6%
Anchor Bancorp Wisconsin, Inc.
(b).......................... 303 836
Astoria Financial Corp. ....... 1,443 23,781
Bank Mutual Corp. (b).......... 797 9,197
Beneficial Mutual Bancorp, Inc.
(a).......................... 609 6,851
Brookline Bancorp, Inc. (b).... 965 10,277
Capitol Federal Financial...... 350 15,960
Clifton Savings Bancorp, Inc.
(b).......................... 184 2,182
Corus Bankshares, Inc. (b)..... 481 534
Dime Community Bancshares (b).. 539 7,169
Doral Financial Corp. (a)(b)... 78 585
Fannie Mae (b)................. 18,107 13,761
First Financial Holdings, Inc.
(b).......................... 210 4,250
First Niagara Financial Group,
Inc. (b)..................... 1,904 30,788
First Place Financial Corp.
(b).......................... 301 1,153
Flagstar Bancorp, Inc. (a)(b).. 1,006 714
Flushing Financial Corp. ...... 330 3,947
Freddie Mac (b)................ 10,548 7,700
Guaranty Financial Group, Inc.
(a)(b)....................... 1,279 3,338
Kearny Financial Corp. (b)..... 363 4,646
MGIC Investment Corp. (b)...... 2,020 7,030
NewAlliance Bancshares, Inc. .. 1,658 21,836
Northwest Bancorp, Inc. ....... 321 6,863
Ocwen Financial Corp. (a)(b)... 655 6,013
Oritani Financial Corp.
(a)(b)....................... 157 2,646
Provident Financial Services,
Inc. ........................ 910 13,923
Provident New York Bancorp
(b).......................... 610 7,564
Radian Group, Inc. (b)......... 1,409 5,185
Roma Financial Corp.(b)........ 130 1,637
The PMI Group, Inc. (b)........ 1,266 2,469
TrustCo Bank Corp. NY (b)...... 1,238 11,773
ViewPoint Financial Group (b).. 186 2,985
Washington Federal, Inc. (b)... 1,413 21,139
Waterstone Financial, Inc.
(a)(b)....................... 148 496
WSFS Financial Corp. (b)....... 100 4,799
-----------
264,027
-----------
TOBACCO -- 0.1%
Alliance One International,
Inc. (a)(b).................. 1,468 4,316
Universal Corp. (b)............ 414 12,366
Vector Group, Ltd.(b).......... 588 8,009
-----------
24,691
-----------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aircastle, Ltd. (b)............ 729 3,485
Applied Industrial
Technologies, Inc. (b)....... 634 11,995
Beacon Roofing Supply, Inc.
(a)(b)....................... 716 9,938
GATX Corp. (b)................. 699 21,648
H&E Equipment Services, Inc.
(a).......................... 288 2,220
Interline Brands, Inc. (a)(b).. 522 5,549
Kaman Corp. (Class A).......... 407 7,379
Lawson Products, Inc. (b)...... 68 1,554
MSC Industrial Direct Co., Inc.
(Class A) (b)................ 692 25,486
RSC Holdings, Inc. (a)(b)...... 802 6,833
Rush Enterprises, Inc. (a)..... 532 4,559
TAL International Group, Inc.
(b).......................... 178 2,510
Textainer Group Holdings, Ltd.
(b).......................... 297 3,148
United Rentals, Inc. (a)(b).... 830 7,570
Watsco, Inc. (b)............... 403 15,475
WESCO International, Inc.
(a)(b)....................... 682 13,115
-----------
142,464
-----------
TRANSPORTATION INFRASTRUCTURE -- 0.0% (c)
Macquarie Infrastructure Co.
LLC (b)...................... 736 2,775
-----------
WATER UTILITIES -- 0.4%
American States Water Co. (b).. 293 9,663
Aqua America, Inc. (b)......... 2,201 45,319
California Water Service
Group........................ 326 15,136
SJW Corp. (b).................. 208 6,227
-----------
76,345
-----------
WIRELESS TELECOMMUNICATION SERVICES -- 0.2%
Centennial Communications Corp.
(a)(b)....................... 1,092 8,802
Clearwire Corp (a)(b).......... 1,156 5,699
FiberTower Corp. (a)(b)........ 1,864 298
ICO Global Communications
Holdings, Ltd. (a)(b)........ 1,802 2,036
iPCS, Inc. (a)................. 253 1,736
Syniverse Holdings, Inc.
(a)(b)....................... 482 5,755
TerreStar Corp. (a)(b)......... 1,546 618
USA Mobility, Inc. (a)......... 368 4,258
-----------
29,202
-----------
TOTAL COMMON STOCKS --
(Cost $24,592,157)........... 16,873,821
-----------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
WARRANTS -- 0.0%
COMMUNICATIONS EQUIPMENT -- 0.0%
Pegasus Wireless Corp. expiring 12/18/2009 (a)(d)
(Cost $0).................... 97 $ 0
-----------
SHORT TERM INVESTMENTS -- 27.7%
MONEY MARKET FUNDS -- 27.7%
State Street Navigator
Securities Lending Prime
Portfolio (e)(f)............. 4,572,151 4,572,151
STIC Prime Portfolio........... 131,883 131,883
-----------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $4,704,034)............ 4,704,034
-----------
TOTAL INVESTMENTS -- 127.2%
(Cost $29,296,191)........... 21,577,855
OTHER ASSETS AND
LIABILITIES -- (27.2)%....... (4,619,205)
-----------
NET ASSETS -- 100.0%........... $16,958,650
===========
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Amount represents less than 0.05% of net assets.
(d) Security is valued at fair value as determined in good faith by Trust's
Pricing and Investment Committee in accordance with procedures approved
by the Board of Trustees.
(e) Investments of cash collateral for securities loaned.
(f) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.2%
AEROSPACE & DEFENSE -- 2.2%
AAR Corp. (a)(b).............. 5,911 $ 108,821
Aerovironment, Inc. (a)(b).... 2,101 77,338
American Science &
Engineering, Inc. (b)....... 1,316 97,331
Argon ST, Inc. (a)(b)......... 2,031 38,305
Axsys Technologies, Inc.
(a)(b)...................... 1,360 74,610
BE Aerospace, Inc. (a)........ 14,688 112,951
Ceradyne, Inc. (a)............ 3,972 80,671
DynCorp International, Inc.
(a)(b)...................... 3,868 58,678
Hexcel Corp. (a).............. 14,483 107,029
Ladish Co., Inc. (a)(b)....... 2,236 30,969
Moog, Inc. (Class A) (a)...... 5,809 212,435
Orbital Sciences Corp.
(a)(b)...................... 8,840 172,645
Stanley, Inc. (a)............. 2,622 94,969
Taser International, Inc.
(a)(b)...................... 8,869 46,828
Teledyne Technologies, Inc.
(a)(b)...................... 5,059 225,378
TransDigm Group, Inc. (a)(b).. 3,882 130,319
------------
1,669,277
------------
AIR FREIGHT & LOGISTICS -- 0.7%
Atlas Air Worldwide Holdings,
Inc. (a)(b)................. 1,985 37,516
Forward Air Corp. (b)......... 4,364 105,914
HUB Group, Inc. (Class A)
(a)......................... 5,684 150,797
Pacer International, Inc.
(b)......................... 5,197 54,205
UTI Worldwide, Inc. .......... 13,592 194,909
------------
543,341
------------
AIRLINES -- 1.7%
AirTran Holdings, Inc.
(a)(b)...................... 17,315 76,879
Allegiant Travel Co. (a)(b)... 1,991 96,703
Continental Airlines, Inc.
(Class B) (a)(b)............ 16,518 298,315
Hawaiian Holdings, Inc.
(a)(b)...................... 6,357 40,558
JetBlue Airways Corp. (a)(b).. 27,142 192,708
Republic Airways Holdings,
Inc. (a).................... 5,094 54,353
SkyWest, Inc. ................ 8,464 157,430
UAL Corp. (b)................. 19,063 210,074
US Airways Group, Inc.
(a)(b)...................... 15,649 120,967
------------
1,247,987
------------
AUTO COMPONENTS -- 0.4%
Dana Holding Corp. (a)(b)..... 10,868 8,042
Drew Industries, Inc. (a)(b).. 2,918 35,016
Exide Technologies (a)(b)..... 7,483 39,585
Fuel Systems Solutions, Inc.
(a)(b)...................... 1,738 56,937
Gentex Corp. (b).............. 20,773 183,426
Visteon Corp. (a)(b).......... 19,668 6,884
------------
329,890
------------
AUTOMOBILES -- 0.1%
Fleetwood Enterprises, Inc.
(a)......................... 11,056 1,106
Thor Industries, Inc. (b)..... 5,631 74,216
------------
75,322
------------
BEVERAGES -- 0.2%
Boston Beer Co., Inc. (a)..... 1,427 40,527
Central European Distribution
Corp. (a)................... 5,731 112,900
------------
153,427
------------
BIOTECHNOLOGY -- 5.5%
Acorda Therapeutics, Inc.
(a)(b)...................... 5,612 115,102
Affymax, Inc. (a)(b).......... 1,028 10,270
Alkermes, Inc. (a)(b)......... 14,249 151,752
Allos Therapeutics, Inc.
(a)(b)...................... 8,540 52,265
Alnylam Pharmaceuticals, Inc.
(a)(b)...................... 5,215 128,967
Arena Pharmaceuticals, Inc.
(a)(b)...................... 10,945 45,641
Ariad Pharmaceuticals, Inc.
(a)(b)...................... 9,230 7,846
Celera Corp. (a)(b)........... 11,950 133,003
Cepheid, Inc. (a)(b).......... 8,461 87,825
Cubist Pharmaceuticals, Inc.
(a)(b)...................... 8,373 202,292
CV Therapeutics, Inc. (a)(b).. 8,488 78,174
Enzon Pharmaceuticals, Inc.
(a)(b)...................... 5,709 33,283
Facet Biotech Corp. (a)....... 3,594 34,463
Genomic Health, Inc. (a)(b)... 2,422 47,181
Geron Corp. (a)(b)............ 12,146 56,722
GTx, Inc. (a)(b).............. 2,662 44,828
Halozyme Therapeutics, Inc.
(a)(b)...................... 9,967 55,815
Human Genome Sciences, Inc.
(a)(b)...................... 19,865 42,114
Idenix Pharmaceuticals, Inc.
(a)(b)...................... 3,085 17,862
Incyte Corp. (a)(b)........... 13,788 52,257
Indevus Pharmaceuticals, Inc.
(a)(b)...................... 10,710 33,629
InterMune, Inc. (a)(b)........ 4,718 49,916
Isis Pharmaceuticals, Inc.
(a)(b)...................... 13,624 193,188
Lexicon Genetics, Inc.
(a)(b)...................... 13,607 19,050
Ligand Pharmaceuticals,
Inc. (Class B) (a)(b)....... 13,305 36,456
MannKind Corp. (a)(b)......... 8,100 27,783
Martek Biosciences Corp. (b).. 4,942 149,792
Maxygen, Inc. (a)(b).......... 4,388 39,141
Medarex, Inc. (a)(b).......... 18,683 104,251
Momenta Pharmaceuticals, Inc.
(a)(b)...................... 4,236 49,138
Myriad Genetics, Inc. (a)(b).. 6,916 458,254
Neurocrine Biosciences, Inc.
(a)(b)...................... 5,116 16,371
Onyx Pharmaceuticals, Inc.
(a)(b)...................... 8,343 284,997
Opko Health, Inc. (a)......... 16,097 26,077
OSI Pharmaceuticals, Inc.
(a)(b)...................... 8,569 334,619
Osiris Therapeutics, Inc.
(a)(b)...................... 2,720 52,115
PDL BioPharma, Inc. (b)....... 17,972 111,067
Pharmasset, Inc. (a)(b)....... 2,471 32,395
Progenics Pharmaceuticals,
Inc. (a)(b)................. 4,123 42,508
Regeneron Pharmaceuticals,
Inc. (a)(b)................. 9,300 170,748
Rigel Pharmaceuticals, Inc.
(a)(b)...................... 5,452 43,616
Sangamo Biosciences, Inc.
(a)(b)...................... 5,608 19,516
Savient Pharmaceuticals, Inc.
(a)(b)...................... 7,935 45,944
Seattle Genetics, Inc.
(a)(b)...................... 8,627 77,125
Theravance, Inc. (a)(b)....... 7,691 95,291
United Therapeutics Corp.
(a)(b)...................... 3,449 215,735
Zymogenetics, Inc. (a)(b)..... 5,948 17,844
------------
4,144,228
------------
BUILDING PRODUCTS -- 0.4%
Griffon Corp. (a)(b).......... 9,815 91,574
Quanex Building Products
Corp. ...................... 5,567 52,163
Simpson Manufacturing Co.,
Inc. (b).................... 5,679 157,649
------------
301,386
------------
CAPITAL MARKETS -- 1.6%
Calamos Asset Management, Inc.
(Class A) (b)............... 2,970 21,978
E*TRADE Financial Corp.
(a)(b)...................... 66,655 76,653
Fortress Investment Group LLC
(Class A) (b)............... 5,940 5,940
GFI Group, Inc. (b)........... 9,387 33,230
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Greenhill & Co., Inc. (b)..... 1,873 $ 130,679
KBW, Inc. (a)(b).............. 4,977 114,471
Knight Capital Group,
Inc. (Class A) (a)(b)....... 13,545 218,752
Lazard, Ltd. (Class A) (b).... 11,395 338,887
MF Global, Ltd. (a)(b)........ 14,711 30,011
optionsXpress Holdings,
Inc. ....................... 7,022 93,814
Penson Worldwide, Inc. (a).... 3,123 23,797
Pzena Investment Management,
Inc. (Class A).............. 875 3,693
Riskmetrics Group, Inc.
(a)(b)...................... 4,619 68,777
TradeStation Group, Inc.
(a)(b)...................... 5,045 32,540
------------
1,193,222
------------
CHEMICALS -- 1.1%
American Vanguard Corp. (b)... 2,878 33,673
Balchem Corp. (b)............. 2,723 67,830
Calgon Carbon Corp. (a)....... 8,064 123,863
Flotek Industries, Inc.
(a)(b)...................... 3,227 8,132
LSB Industries, Inc. (a)(b)... 2,191 18,229
Nalco Holding Co. ............ 20,564 237,308
PolyOne Corp. (a)(b).......... 13,066 41,158
Rockwood Holdings, Inc. (a)... 6,882 74,326
The Scotts Miracle-Gro Co.
(Class A)................... 6,573 195,349
Zoltek Cos., Inc. (a)(b)...... 4,215 37,893
------------
837,761
------------
COMMERCIAL BANKS -- 1.2%
Bank of the Ozarks, Inc. (b).. 1,896 56,197
Cascade Bancorp (b)........... 2,898 19,562
CoBiz, Inc. (b)............... 3,014 29,356
East West Bancorp, Inc. (b)... 9,368 149,607
Nara Bancorp, Inc. (b)........ 3,486 34,267
Pinnacle Financial Partners,
Inc. (a)(b)................. 3,464 103,262
PrivateBancorp, Inc. (b)...... 4,683 152,010
Signature Bank (a)(b)......... 5,242 150,393
Texas Capital Bancshares, Inc.
(a)......................... 4,555 60,855
UCBH Holdings, Inc. (b)....... 16,867 116,045
Western Alliance Bancorp
(a)(b)...................... 3,954 39,896
------------
911,450
------------
COMMERCIAL SERVICES & SUPPLIES -- 3.1%
American Ecology Corp. (b).... 2,355 47,642
American Reprographics Co.
(a)......................... 5,477 37,791
Cenveo, Inc. (a)(b)........... 7,035 31,306
Clean Harbors, Inc. (a)(b).... 3,019 191,525
EnergySolutions, Inc. (b)..... 10,300 58,195
EnerNOC, Inc. (a)(b).......... 1,703 12,670
Fuel Tech, Inc. (a)(b)........ 2,850 30,181
GeoEye, Inc. (a)(b)........... 2,616 50,306
Healthcare Services Group,
Inc. (b).................... 5,863 93,398
HNI Corp. (b)................. 5,072 80,340
Innerworkings, Inc. (a)(b).... 3,921 25,683
Interface, Inc. (Class A)..... 8,002 37,129
Knoll, Inc. .................. 7,230 65,215
M&F Worldwide Corp. (a)(b).... 1,940 29,973
Metalico, Inc. (a)(b)......... 3,964 6,144
Mine Safety Appliances Co.
(b)......................... 4,806 114,911
Mobile Mini, Inc. (a)(b)...... 5,255 75,777
Rollins, Inc. ................ 7,770 140,482
Schawk, Inc. (b).............. 1,943 22,267
Standard Parking Corp.
(a)(b)...................... 1,349 26,090
Steelcase, Inc. (Class A)
(b)......................... 9,402 52,839
Sykes Enterprises, Inc.
(a)(b)...................... 4,884 93,382
Team, Inc. (a)(b)............. 2,740 75,898
Tetra Tech, Inc. (a)(b)....... 8,965 216,505
The Brink's Co. .............. 5,821 156,468
The Geo Group, Inc. (a)(b).... 7,729 139,354
Waste Connections, Inc. (a)... 11,947 377,167
------------
2,288,638
------------
COMMUNICATIONS EQUIPMENT -- 3.9%
Acme Packet, Inc. (a)(b)...... 4,688 24,659
ADC Telecommunications, Inc.
(a)(b)...................... 17,704 96,841
Adtran, Inc. (b).............. 9,199 136,881
Airvana, Inc. (a)(b).......... 4,960 30,355
Arris Group, Inc. (a)(b)...... 18,513 147,178
Aruba Networks, Inc. (a)(b)... 8,966 22,863
Avocent Corp. (a)............. 6,615 118,475
BigBand Networks, Inc.
(a)(b)...................... 5,889 32,507
Blue Coat Systems, Inc.
(a)(b)...................... 5,706 47,930
Brocade Communications
Systems, Inc. (a)(b)........ 55,886 156,481
CIENA Corp. (a)(b)............ 13,610 91,187
CommScope, Inc. (a)........... 10,515 163,403
Comtech Telecommunications
Corp. (a)(b)................ 3,658 167,610
Extreme Networks, Inc.
(a)(b)...................... 16,498 38,605
F5 Networks, Inc. (a)(b)...... 12,078 276,103
Finisar Corp. (a)(b).......... 60,414 22,957
Harmonic, Inc. (a)(b)......... 13,867 77,794
Harris Stratex Networks, Inc.
(a)(b)...................... 3,167 16,342
Hughes Communications, Inc.
(a)(b)...................... 1,238 19,734
Infinera Corp. (a)(b)......... 13,857 124,159
InterDigital, Inc. (a)(b)..... 6,476 178,090
Ixia (a)(b)................... 4,821 27,865
Netgear, Inc. (a)(b).......... 5,284 60,291
Neutral Tandem, Inc. (a)...... 2,969 48,157
OpNext, Inc. (a)(b)........... 2,917 5,105
Plantronics, Inc. ............ 7,352 97,046
Polycom, Inc. (a)............. 12,408 167,632
Riverbed Technology, Inc.
(a)(b)...................... 7,885 89,810
ShoreTel, Inc. (a)(b)......... 2,575 11,562
Sonus Networks, Inc. (a)(b)... 40,957 64,712
Starent Networks Corp.
(a)(b)...................... 4,786 57,097
Sycamore Networks, Inc. (a)... 28,243 75,974
Tekelec (a)(b)................ 8,415 112,256
Utstarcom, Inc. (a)(b)........ 13,925 25,761
ViaSat, Inc. (a).............. 4,594 110,624
------------
2,944,046
------------
COMPUTERS & PERIPHERALS -- 1.0%
3PAR, Inc. (a)(b)............. 4,780 36,663
Data Domain, Inc. (a)(b)...... 5,454 102,535
Hypercom Corp. (a)............ 6,792 7,335
Intermec, Inc. (a)(b)......... 7,320 97,210
Isilon Systems, Inc. (a)(b)... 3,388 11,147
Novatel Wireless, Inc.
(a)(b)...................... 4,597 21,330
Palm, Inc. (a)(b)............. 14,274 43,821
QLogic Corp. (a)(b)........... 19,063 256,207
Quantum Corp. (a)(b).......... 30,886 11,119
Rackable Systems, Inc.
(a)(b)...................... 4,397 17,324
STEC, Inc. (a)(b)............. 3,840 16,358
Stratasys, Inc. (a)(b)........ 2,986 32,100
Synaptics, Inc. (a)(b)........ 5,124 84,853
------------
738,002
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CONSTRUCTION & ENGINEERING -- 1.0%
Aecom Technology Corp.
(a)(b)...................... 11,289 $ 346,911
Dycom Industries, Inc.
(a)(b)...................... 6,049 49,723
Furmanite Corp. (a)(b)........ 5,453 29,391
Great Lakes Dredge & Dock
Corp. (b)................... 6,559 27,220
Layne Christensen Co. (a)(b).. 2,772 66,556
Mastec, Inc. (a)(b)........... 7,287 84,383
Perini Corp. (a)(b)........... 4,226 98,804
Pike Electric Corp. (a)(b).... 2,636 32,423
------------
735,411
------------
CONSTRUCTION MATERIALS -- 0.2%
Eagle Materials, Inc. (b)..... 6,489 119,463
Headwaters, Inc. (a)(b)....... 6,459 43,598
------------
163,061
------------
CONSUMER FINANCE -- 0.7%
AmeriCredit Corp. (a)(b)...... 16,928 129,330
Cardtronics, Inc. (a)(b)...... 2,323 2,997
Cash America International,
Inc. (b).................... 4,395 120,203
CompuCredit Corp. (a)(b)...... 4,306 23,812
Credit Acceptance Corp.
(a)(b)...................... 277 3,795
Ezcorp, Inc. (a).............. 5,652 85,967
First Cash Financial Services,
Inc. (a)(b)................. 3,760 71,666
Nelnet, Inc. (b).............. 4,152 59,498
The First Marblehead Corp.
(a)(b)...................... 9,603 12,388
World Acceptance Corp.
(a)(b)...................... 2,162 42,721
------------
552,377
------------
CONTAINERS & PACKAGING -- 0.1%
Boise, Inc. (a)(b)............ 5,467 2,351
Graphic Packaging Holding Co.
(a)(b)...................... 11,757 13,403
Myers Industries, Inc. ....... 3,721 29,768
------------
45,522
------------
DISTRIBUTORS -- 0.3%
LKQ Corp. (a)(b).............. 20,788 242,388
------------
DIVERSIFIED CONSUMER SERVICES -- 2.7%
American Public Education,
Inc. (a)(b)................. 2,030 75,496
Brink's Home Security
Holdings, Inc. (a).......... 6,365 139,521
Capella Education Co. (a)(b).. 2,244 131,858
Career Education Corp.
(a)(b)...................... 13,343 239,373
Coinstar, Inc. (a)(b)......... 3,834 74,801
Corinthian Colleges, Inc.
(a)(b)...................... 12,688 207,703
Grand Canyon Education, Inc.
(a)......................... 1,740 32,677
Hillenbrand, Inc. (b)......... 9,387 156,575
Lincoln Educational Services
Corp. (a)(b)................ 672 8,904
Matthews International Corp.
(Class A)................... 4,663 171,039
Pre-Paid Legal Services, Inc.
(a)(b)...................... 1,184 44,151
Sotheby's (b)................. 10,252 91,140
Steiner Leisure, Ltd. (a)(b).. 2,186 64,531
Strayer Education, Inc. (b)... 2,141 459,052
thinkorswim Group, Inc.
(a)(b)...................... 7,192 40,419
Universal Technical Institute,
Inc. (a)(b)................. 3,349 57,502
------------
1,994,742
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
Asset Acceptance Capital Corp.
(a)(b)...................... 2,194 11,211
MarketAxess Holdings, Inc.
(a)......................... 4,127 33,676
MSCI, Inc. (Class A) (a)(b)... 10,518 186,800
NewStar Financial, Inc.
(a)(b)...................... 3,466 13,829
Portfolio Recovery Associates,
Inc. (a)(b)................. 2,216 74,990
------------
320,506
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.9%
Cbeyond, Inc. (a)(b).......... 3,678 58,774
General Communication,
Inc. (Class A) (a)(b)....... 5,978 48,362
Global Crossing, Ltd. (a)(b).. 3,992 31,697
Globalstar, Inc. (a)(b)....... 9,896 1,979
NTELOS Holdings Corp. ........ 4,381 108,035
PAETEC Holding Corp. (a)(b)... 18,322 26,384
Premiere Global Services, Inc.
(a)......................... 8,402 72,341
Shenandoah Telecommunications
Co. (b)..................... 3,580 100,419
tw telecom, inc. (a)(b)....... 22,225 188,246
Vonage Holdings Corp. (a)(b).. 9,733 6,424
------------
642,661
------------
ELECTRIC UTILITIES -- 0.4%
ITC Holdings Corp. (b)........ 7,448 325,329
------------
ELECTRICAL EQUIPMENT -- 1.5%
Advanced Battery Technologies,
Inc. (a)(b)................. 5,892 15,673
American Superconductor Corp.
(a)(b)...................... 5,947 96,996
AZZ, Inc. (a)(b).............. 1,850 46,435
Encore Wire Corp. (b)......... 2,747 52,083
Energy Conversion Devices,
Inc. (a)(b)................. 6,850 172,688
EnerSys (a)(b)................ 6,223 68,453
Evergreen Solar, Inc. (a)(b).. 22,871 72,958
Franklin Electric Co., Inc.
(b)......................... 2,679 75,307
FuelCell Energy, Inc. (a)(b).. 9,369 36,352
General Cable Corp. (a)(b).... 8,010 141,697
GT Solar International, Inc.
(a)(b)...................... 4,677 13,516
II-VI, Inc. (a)............... 3,629 69,278
Orion Energy Systems, Inc.
(a)(b)...................... 3,243 17,545
Plug Power, Inc. (a)(b)....... 11,065 11,286
Polypore International, Inc.
(a)......................... 2,844 21,501
Power-One, Inc. (a)(b)........ 13,472 16,032
Valence Technology, Inc.
(a)(b)...................... 9,182 16,711
Vicor Corp. (b)............... 2,832 18,719
Woodward Governor Co. (b)..... 8,652 199,169
------------
1,162,399
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.1%
Benchmark Electronics, Inc.
(a)......................... 9,671 123,499
Brightpoint, Inc. (a)......... 8,011 34,848
Cogent, Inc. (a)(b)........... 5,667 76,901
Cognex Corp. ................. 5,552 82,170
CTS Corp. (b)................. 4,722 26,018
Daktronics, Inc. (b).......... 5,724 53,577
DTS Inc. (a)(b)............... 2,717 49,857
Echelon Corp. (a)(b).......... 4,969 40,497
Electro Scientific Industries,
Inc. (a).................... 3,843 26,094
FARO Technologies, Inc.
(a)(b)...................... 2,242 37,800
ICx Technologies, Inc.
(a)(b)...................... 2,084 16,484
Insight Enterprises, Inc.
(a)(b)...................... 6,872 47,417
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
IPG Photonics Corp. (a)(b).... 3,284 $ 43,283
KEMET Corp. (a)(b)............ 12,117 3,272
L-1 Identity Solutions, Inc.
(a)(b)...................... 11,796 79,505
Measurement Specialties, Inc.
(a)(b)...................... 1,996 13,872
MTS Systems Corp. (b)......... 2,590 68,998
Multi-Fineline Electronix,
Inc. (a)(b)................. 1,192 13,934
National Instruments Corp.
(b)......................... 8,518 207,499
Newport Corp. (a)............. 5,328 36,124
OSI Systems, Inc. (a)......... 2,467 34,168
Plexus Corp. (a)(b)........... 5,859 99,310
Rofin-Sinar Technologies, Inc.
(a)......................... 4,299 88,473
Rogers Corp. (a)(b)........... 2,732 75,868
Sanmina-SCI Corp. (a)(b)...... 78,573 36,929
Scansource, Inc. (a)(b)....... 3,964 76,386
Smart Modular Technologies
(WWH), Inc. (a)............. 4,960 7,638
TTM Technologies, Inc.
(a)(b)...................... 6,358 33,125
Universal Display Corp.
(a)(b)...................... 4,516 42,676
------------
1,576,222
------------
ENERGY EQUIPMENT & SERVICES -- 3.0%
Allis-Chalmers Energy, Inc.
(a)(b)...................... 4,236 23,298
Atwood Oceanics, Inc. (a)(b).. 8,327 127,237
Basic Energy Services, Inc.
(a)(b)...................... 3,687 48,078
Bronco Drilling Co., Inc.
(a)(b)...................... 4,307 27,823
Cal Dive International, Inc.
(a)(b)...................... 6,167 40,147
CARBO Ceramics, Inc. (b)...... 3,170 112,630
Complete Production Services,
Inc. (a)(b)................. 7,389 60,220
Dawson Geophysical Co.
(a)(b)...................... 1,107 19,716
Dresser-Rand Group, Inc.
(a)(b)...................... 12,188 210,243
Dril-Quip, Inc. (a)(b)........ 4,438 91,023
ENGlobal Corp. (a)(b)......... 2,752 8,944
Exterran Partners LP (b)...... 1,570 17,631
Global Industries, Ltd.
(a)(b)...................... 12,550 43,799
Gulf Island Fabrication, Inc.
(b)......................... 1,855 26,731
Helix Energy Solutions Group,
Inc. (a)(b)................. 12,590 91,152
Hercules Offshore, Inc.
(a)(b)...................... 12,967 61,593
Hornbeck Offshore Services,
Inc. (a)(b)................. 3,509 57,337
ION Geophysical Corp. (a)(b).. 12,381 42,467
Key Energy Services, Inc.
(a)......................... 18,059 79,640
Lufkin Industries, Inc. ...... 2,222 76,659
Matrix Service Co. (a)........ 3,807 29,200
NATCO Group, Inc. (a)(b)...... 3,030 45,995
Newpark Resources, Inc. (a)... 12,902 47,737
Oceaneering International,
Inc. (a)(b)................. 8,313 242,241
Oil States International, Inc.
(a)......................... 7,474 139,689
Parker Drilling Co. (a)(b).... 16,922 49,074
Pioneer Drilling Co. (a)(b)... 7,374 41,073
Precision Drilling Trust (b).. 3,896 32,689
RPC, Inc. (b)................. 4,685 45,726
Superior Well Services, Inc.
(a)(b)...................... 2,177 21,770
T-3 Energy Services, Inc.
(a)......................... 1,766 16,671
Tesco Corp. (a)(b)............ 4,668 33,330
Tetra Technologies, Inc.
(a)(b)...................... 11,201 54,437
Unit Corp. (a)(b)............. 7,062 188,697
------------
2,254,697
------------
FOOD & STAPLES RETAILING -- 0.9%
Arden Group, Inc. (Class A)
(b)......................... 187 23,562
BJ'S Wholesale Club, Inc.
(a)(b)...................... 8,922 305,668
Great Atlantic & Pacific Tea
Co. (a)(b).................. 5,311 33,300
Pantry, Inc. (a)(b)........... 3,326 71,343
Pricesmart, Inc. (b).......... 2,232 46,113
Rite Aid Corp. (a)(b)......... 89,277 27,676
Spartan Stores, Inc. (b)...... 3,294 76,585
United Natural Foods, Inc.
(a)(b)...................... 5,896 105,067
------------
689,314
------------
FOOD PRODUCTS -- 0.8%
Cal-Maine Foods, Inc. (b)..... 1,713 49,163
Darling International, Inc.
(a)......................... 11,643 63,920
Flowers Foods, Inc. (b)....... 12,719 309,835
Green Mountain Coffee
Roasters, Inc. (a)(b)....... 2,642 102,246
J&J Snack Foods Corp. ........ 2,090 74,989
------------
600,153
------------
GAS UTILITIES -- 0.1%
Spectra Energy Partners LP.... 2,282 45,138
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 6.1%
Abaxis, Inc. (a)(b)........... 3,182 51,007
ABIOMED, Inc. (a)(b).......... 5,074 83,315
Accuray, Inc. (a)(b).......... 5,437 28,055
Align Technology, Inc.
(a)(b)...................... 8,730 76,387
American Medical Systems
Holdings, Inc. (a)(b)....... 10,874 97,757
Analogic Corp. (b)............ 1,985 54,151
Arthrocare Corp. (a)(b)....... 4,006 19,109
Conceptus, Inc. (a)(b)........ 3,317 50,485
CryoLife, Inc. (a)(b)......... 3,839 37,277
Cyberonics, Inc. (a)(b)....... 3,239 53,670
Edwards Lifesciences Corp.
(a)(b)...................... 8,391 461,085
ev3, Inc. (a)................. 9,972 60,829
Gen-Probe, Inc. (a)........... 8,105 347,218
Greatbatch, Inc. (a)(b)....... 3,417 90,414
Haemonetics Corp. (a)(b)...... 3,761 212,496
I-Flow Corp. (a)(b)........... 3,775 18,120
ICU Medical, Inc. (a)......... 1,986 65,816
Immucor, Inc. (a)............. 10,539 280,127
Insulet Corp. (a)(b).......... 3,147 24,295
Integra LifeSciences Holdings
Corp. (a)(b)................ 3,095 110,089
Kensey Nash Corp. (a)......... 1,302 25,272
Masimo Corp. (a)(b)........... 7,108 212,032
Mentor Corp. (b).............. 5,048 156,135
Meridian Bioscience, Inc.
(b)......................... 5,865 149,381
Merit Medical Systems, Inc.
(a)......................... 4,176 74,876
Natus Medical, Inc. (a)....... 4,087 52,927
NuVasive, Inc. (a)(b)......... 5,353 185,481
OraSure Technologies, Inc.
(a)......................... 6,317 23,247
Palomar Medical Technologies,
Inc. (a)(b)................. 2,581 29,759
Quidel Corp. (a).............. 4,240 55,417
ResMed, Inc. (a)(b)........... 11,262 422,100
RTI Biologics, Inc. (a)(b).... 7,283 20,101
Sirona Dental Systems, Inc.
(a)......................... 2,662 27,951
SonoSite, Inc. (a)............ 2,526 48,196
SurModics, Inc. (a)(b)........ 2,343 59,208
Symmetry Medical, Inc.
(a)(b)...................... 4,841 38,583
Thoratec Corp. (a)(b)......... 8,393 272,689
TomoTherapy, Inc. (a)(b)...... 6,677 15,891
Trans1, Inc. (a)(b)........... 1,488 10,728
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Volcano Corp. (a)(b).......... 4,765 $ 71,475
West Pharmaceutical Services,
Inc. (b).................... 4,862 183,638
Wright Medical Group, Inc.
(a)(b)...................... 5,643 115,286
Zoll Medical Corp. (a)(b)..... 3,046 57,539
------------
4,529,614
------------
HEALTH CARE PROVIDERS & SERVICES -- 4.7%
Air Methods Corp. (a)(b)...... 1,599 25,568
Alliance Imaging, Inc.
(a)(b)...................... 4,285 34,151
Amedisys, Inc. (a)(b)......... 4,036 166,848
AMERIGROUP Corp. (a).......... 7,864 232,145
AMN Healthcare Services, Inc.
(a)......................... 4,802 40,625
AmSurg Corp. (a).............. 4,646 108,438
Assisted Living Concepts, Inc.
(a)(b)...................... 7,901 32,789
athenahealth, Inc. (a)(b)..... 3,152 118,578
Brookdale Senior Living, Inc.
(b)......................... 6,057 33,798
CardioNet, Inc. (a)(b)........ 3,394 83,662
Centene Corp. (a)............. 6,468 127,484
Chemed Corp. (b).............. 3,354 133,389
Corvel Corp. (a).............. 1,228 26,991
Cross Country Healthcare, Inc.
(a)......................... 4,361 38,333
Emeritus Corp. (a)(b)......... 2,933 29,418
Genoptix, Inc. (a)............ 1,275 43,452
Gentiva Health Services, Inc.
(a)(b)...................... 4,310 126,111
Health Management Associates,
Inc. (Class A) (a)(b)....... 36,848 65,958
HealthExtras, Inc. (a)........ 5,189 126,352
Healthsouth Corp. (a)(b)...... 13,225 144,946
Healthspring, Inc. (a)(b)..... 7,835 156,465
Healthways, Inc. (a)(b)....... 4,981 57,182
HMS Holdings Corp. (a)(b)..... 3,516 110,824
inVentiv Health, Inc. (a)(b).. 4,840 55,854
IPC The Hospitalist Co.
(a)(b)...................... 1,707 28,729
LHC Group, Inc. (a)(b)........ 2,220 79,920
Molina Healthcare, Inc.
(a)(b)...................... 1,974 34,762
MWI Veterinary Supply, Inc.
(a)(b)...................... 1,637 44,134
Nighthawk Radiology Holdings,
Inc. (a)(b)................. 3,168 15,396
Odyssey Healthcare, Inc.
(a)(b)...................... 4,896 45,288
Pediatrix Medical Group, Inc.
(a)......................... 6,791 215,275
PharMerica Corp. (a)(b)....... 4,210 65,971
PSS World Medical, Inc.
(a)(b)...................... 9,023 169,813
Psychiatric Solutions, Inc.
(a)(b)...................... 7,886 219,625
Skilled Healthcare Group, Inc.
(Class A) (a)(b)............ 2,822 23,818
Sun Healthcare Group, Inc.
(a)......................... 5,549 49,109
Sunrise Assisted Living, Inc.
(a)(b)...................... 6,473 10,875
Triple-S Management Corp.
(Class B) (a)(b)............ 2,589 29,773
Universal American Financial
Corp. (a)(b)................ 5,877 51,835
VCA Antech, Inc. (a)(b)....... 12,564 249,772
Virtual Radiologic Corp.
(a)(b)...................... 1,068 9,057
WellCare Health Plans, Inc.
(a)(b)...................... 6,333 81,442
------------
3,543,955
------------
HEALTH CARE TECHNOLOGY -- 0.7%
Allscripts-Misys Healthcare
Solutions, Inc. (b)......... 8,773 87,028
Eclipsys Corp. (a)(b)......... 8,170 115,932
HLTH Corp. (a)(b)............. 13,375 139,903
MedAssets, Inc. (a)(b)........ 4,507 65,802
Omnicell, Inc. (a)(b)......... 4,553 55,592
Phase Forward, Inc. (a)(b).... 6,305 78,939
------------
543,196
------------
HOTELS, RESTAURANTS & LEISURE -- 3.3%
Ambassadors Group, Inc. (b)... 2,888 26,570
Bally Technologies, Inc.
(a)(b)...................... 8,139 195,580
BJ's Restaurants, Inc.
(a)(b)...................... 2,920 31,448
Brinker International, Inc. .. 15,300 161,262
Buffalo Wild Wings, Inc.
(a)(b)...................... 2,591 66,459
California Pizza Kitchen, Inc.
(a)......................... 3,776 40,479
CEC Entertainment, Inc.
(a)(b)...................... 3,331 80,777
Chipotle Mexican Grill, Inc.
(a)(b)...................... 4,964 307,669
Choice Hotels International,
Inc. (b).................... 5,099 153,276
CKE Restaurants, Inc. ........ 6,992 60,691
Gaylord Entertainment Co.
(a)(b)...................... 6,148 66,644
Great Wolf Resorts, Inc.
(a)(b)...................... 4,109 6,328
Interval Leisure Group, Inc.
(a)......................... 5,927 31,947
Life Time Fitness, Inc.
(a)(b)...................... 5,285 68,441
Morgans Hotel Group Co.
(a)(b)...................... 4,430 20,644
Orient-Express Hotels, Ltd.
(Class A) (b)............... 6,007 46,014
P F Chang's China Bistro, Inc.
(a)(b)...................... 3,456 72,369
Panera Bread Co. (Class A)
(a)......................... 4,531 236,699
Papa John's International,
Inc. (a)(b)................. 3,224 59,418
Peet's Coffee & Tea, Inc.
(a)(b)...................... 2,113 49,127
Red Robin Gourmet Burgers,
Inc. (a)(b)................. 2,050 34,501
Scientific Games Corp. (Class
A) (a)(b)................... 10,489 183,977
Shuffle Master, Inc. (a)(b)... 7,614 37,765
Sonic Corp. (a)(b)............ 9,005 109,591
Texas Roadhouse,
Inc. (Class A) (a)(b)....... 7,588 58,807
The Cheesecake Factory, Inc.
(a)(b)...................... 8,372 84,557
The Steak n Shake Co. (a)(b).. 4,251 25,293
WMS Industries, Inc. (a)(b)... 6,674 179,531
------------
2,495,864
------------
HOUSEHOLD DURABLES -- 0.5%
Champion Enterprises, Inc.
(a)(b)...................... 11,894 6,661
Harman International
Industries, Inc. (b)........ 8,777 146,839
iRobot Corp. (a)(b)........... 2,789 25,185
Jarden Corp. (a)(b)........... 10,471 120,416
Tempur-Pedic International,
Inc. ....................... 10,507 74,495
------------
373,596
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.1%
Ormat Technologies, Inc. (b).. 2,753 87,738
Synthesis Energy Systems, Inc.
(a)(b)...................... 4,547 3,092
------------
90,830
------------
INDUSTRIAL CONGLOMERATES -- 0.2%
Raven Industries, Inc. (b).... 2,738 65,986
Seaboard Corp. (b)............ 54 64,476
------------
130,462
------------
INSURANCE -- 0.3%
Crawford & Co. (a)(b)......... 3,719 54,074
Donegal Group, Inc. (b)....... 1,975 33,121
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
eHealth, Inc. (a)(b).......... 3,797 $ 50,424
Tower Group, Inc. (b)......... 3,087 87,084
------------
224,703
------------
INTERNET & CATALOG RETAIL -- 0.7%
1-800-FLOWERS.COM,
Inc. (Class A) (a)(b)....... 3,152 12,041
Blue Nile, Inc. (a)(b)........ 2,210 54,123
Gaiam, Inc. (Class A) (a)(b).. 2,113 9,762
HSN, Inc. (a)(b).............. 5,927 43,089
Netflix, Inc. (a)(b).......... 6,873 205,434
NutriSystem, Inc. (b)......... 4,155 60,621
Orbitz Worldwide, Inc.
(a)(b)...................... 5,367 20,824
Overstock.com, Inc. (a)(b).... 2,268 24,449
Shutterfly, Inc. (a)(b)....... 1,870 13,071
Stamps.com, Inc. (a).......... 2,514 24,713
Ticketmaster (a)(b)........... 5,941 38,141
------------
506,268
------------
INTERNET SOFTWARE & SERVICES -- 2.9%
Ariba, Inc. (a)(b)............ 12,871 92,800
Art Technology Group, Inc.
(a)......................... 19,305 37,259
Bankrate, Inc. (a)(b)......... 2,196 83,448
comScore, Inc. (a)(b)......... 2,524 32,181
Constant Contact, Inc.
(a)(b)...................... 1,936 25,652
DealerTrack Holdings, Inc.
(a)......................... 5,500 65,395
Dice Holdings, Inc. (a)(b).... 3,470 14,158
Digital River, Inc. (a)....... 5,654 140,219
DivX, Inc. (a)(b)............. 4,047 21,166
EarthLink, Inc. (a)(b)........ 16,111 108,910
Equinix, Inc. (a)(b).......... 4,815 256,110
GSI Commerce, Inc. (a)(b)..... 3,174 33,390
Infospace, Inc. (b)........... 5,280 39,864
Internap Network Services
Corp. (a)(b)................ 7,058 17,645
Interwoven, Inc. (a).......... 6,859 86,423
j2 Global Communications, Inc.
(a)......................... 6,667 133,607
Limelight Networks, Inc.
(a)(b)...................... 5,356 13,122
LoopNet, Inc. (a)(b).......... 3,952 26,953
Marchex, Inc. (Class B) (b)... 4,149 24,189
ModusLink Global Solutions,
Inc. (a).................... 7,267 21,002
Move, Inc. (a)(b)............. 21,329 34,126
NIC, Inc. (b)................. 5,830 26,818
Omniture, Inc. (a)(b)......... 10,843 115,370
Perficient, Inc. (a)(b)....... 4,718 22,552
Rackspace Hosting, Inc.
(a)(b)...................... 2,434 13,095
RealNetworks, Inc. (a)(b)..... 13,556 47,853
S1 Corp. (a).................. 7,010 55,309
SAVVIS, Inc. (a)(b)........... 5,593 38,536
SonicWALL, Inc. (a)(b)........ 7,747 30,833
Switch & Data Facilities Co.,
Inc. (a)(b)................. 3,226 23,840
TechTarget, Inc. (a).......... 1,056 4,562
Terremark Worldwide, Inc.
(a)(b)...................... 6,296 24,491
The Knot, Inc. (a)(b)......... 4,398 36,591
ValueClick, Inc. (a).......... 12,799 87,545
Vignette Corp. (a)(b)......... 3,745 35,240
VistaPrint, Ltd. (a)(b)....... 6,213 115,624
Vocus, Inc. (a)............... 2,831 51,553
WebMD Health Corp. (Class A)
(a)(b)...................... 1,182 27,883
Websense, Inc. (a)(b)......... 6,621 99,116
------------
2,164,430
------------
IT SERVICES -- 3.1%
Acxiom Corp. (b).............. 9,689 78,578
Broadridge Financial
Solutions, Inc. ............ 20,857 261,547
CACI International,
Inc. (Class A) (a)(b)....... 4,507 203,221
CIBER, Inc. (a)............... 7,924 38,114
CyberSource Corp. (a)(b)...... 10,530 126,255
Euronet Worldwide, Inc.
(a)(b)...................... 7,047 81,816
ExlService Holdings, Inc.
(a)(b)...................... 2,408 20,637
Forrester Research, Inc. (a).. 2,121 59,833
Gartner, Inc. (a)(b).......... 9,597 171,114
Genpact, Ltd. (a)(b).......... 8,244 67,766
Global Cash Access, Inc.
(a)(b)...................... 6,103 13,549
Heartland Payment Systems,
Inc. (b).................... 4,357 76,247
iGate Corp. (a)............... 5,798 37,745
Integral Systems Inc. (a)..... 2,595 31,270
Lionbridge Technologies, Inc.
(a)......................... 7,712 9,640
Mantech International Corp.
(Class A) (a)(b)............ 3,100 167,989
NeuStar, Inc. (Class A) (a)... 11,662 223,094
Perot Systems Corp. (Class A)
(a)......................... 13,048 178,366
RightNow Technologies, Inc.
(a)......................... 3,700 28,601
Sapient Corp. (a)(b).......... 12,007 53,311
SRA International, Inc.
(a)(b)...................... 6,194 106,846
Syntel, Inc. (b).............. 1,814 41,940
TeleTech Holdings, Inc.
(a)(b)...................... 5,765 48,138
TNS, Inc. (a)(b).............. 3,654 34,311
VeriFone Holdings, Inc.
(a)(b)...................... 10,959 53,699
Wright Express Corp. (a)...... 5,829 73,445
------------
2,287,072
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.2%
Leapfrog Enterprises, Inc.
(a)(b)...................... 4,915 17,202
Marine Products Corp. (b)..... 1,998 11,229
Pool Corp. (b)................ 7,178 128,989
Smith & Wesson Holding Corp.
(a)(b)...................... 6,052 13,738
------------
171,158
------------
LIFE SCIENCES TOOLS & SERVICES -- 2.0%
Affymetrix, Inc. (a)(b)....... 10,158 30,372
Albany Molecular Research,
Inc. (a)(b)................. 3,229 31,450
Bio-Rad Laboratories,
Inc. (Class A) (a).......... 2,876 216,592
Bruker Corp. (a)(b)........... 7,686 31,051
Dionex Corp. (a).............. 2,670 119,749
Enzo Biochem, Inc. (a)(b)..... 5,448 26,641
eResearch Technology, Inc.
(a)(b)...................... 6,270 41,570
Exelixis, Inc. (a)(b)......... 15,789 79,261
Kendle International, Inc.
(a)(b)...................... 1,891 48,636
Luminex Corp. (a)(b).......... 6,099 130,275
Medivation, Inc. (a)(b)....... 3,719 54,186
Nektar Therapeutics (a)(b).... 13,720 76,283
PAREXEL International Corp.
(a)......................... 8,524 82,768
PharmaNet Development Group,
Inc. (a)(b)................. 2,704 2,461
Sequenom, Inc. (a)(b)......... 7,683 152,431
Techne Corp. ................. 5,811 374,926
------------
1,498,652
------------
MACHINERY -- 3.3%
Actuant Corp. (Class A) (b)... 8,425 160,244
Altra Holdings, Inc. (a)(b)... 3,957 31,300
American Railcar Industries,
Inc. (b).................... 1,213 12,773
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Badger Meter, Inc. (b)........ 2,151 $ 62,422
Chart Industries, Inc. (a).... 4,138 43,987
CLARCOR, Inc. ................ 7,654 253,960
Columbus McKinnon Corp.
(a)(b)...................... 2,959 40,390
Dynamic Materials Corp. (b)... 1,873 36,168
Energy Recovery, Inc. (a)(b).. 4,821 36,543
ESCO Technologies, Inc.
(a)(b)...................... 3,930 160,933
Force Protection, Inc.
(a)(b)...................... 10,492 62,742
Gardner Denver, Inc. (a)...... 7,710 179,951
Graco, Inc. (b)............... 8,960 212,621
Graham Corp. (b).............. 1,490 16,122
K-Tron International, Inc.
(a)(b)...................... 375 29,963
L.B. Foster Co. (a)........... 1,610 50,361
Lindsay Manufacturing Co.
(b)......................... 1,728 54,933
Middleby Corp. (a)(b)......... 2,474 67,466
Nordson Corp. (b)............. 4,589 148,179
Oshkosh Corp. (b)............. 11,242 99,941
RBC Bearings, Inc. (a)(b)..... 3,248 65,869
Sun Hydraulics Corp. (b)...... 1,845 34,760
The Gorman-Rupp Co. (b)....... 2,158 67,157
The Toro Co. (b).............. 5,295 174,735
Titan International, Inc.
(b)......................... 5,233 43,172
Wabash National Corp. (b)..... 4,685 21,083
Wabtec Corp. (b).............. 7,298 290,095
------------
2,457,870
------------
MARINE -- 0.4%
American Commercial Lines,
Inc. (a).................... 5,484 26,872
Horizon Lines, Inc. (b)....... 4,460 15,565
Kirby Corp. (a)(b)............ 8,089 221,315
TBS International, Ltd.
(a)(b)...................... 2,353 23,601
------------
287,353
------------
MEDIA -- 1.6%
Arbitron, Inc. ............... 4,081 54,196
Charter Communications, Inc.
(a)(b)...................... 56,130 4,592
Cinemark Holdings, Inc. (b)... 5,187 38,539
CKX, Inc. (a)................. 9,970 36,590
Crown Media Holdings,
Inc. (Class A) (a)(b)....... 1,333 3,799
Dolan Media Co. (a)(b)........ 3,769 24,838
Entravision Communications
Corp. (a)(b)................ 8,038 12,539
Interactive Data Corp. (b).... 5,431 133,929
John Wiley & Sons, Inc. (Class
A) (b)...................... 7,607 270,657
Liberty Media Corp.-
Interactive (Series A)
(a)(b)...................... 13,494 63,557
Live Nation, Inc. (a)(b)...... 11,465 65,809
Martha Stewart Living
Omnimedia,
Inc. (Class A) (a)(b)....... 3,429 8,915
Marvel Entertainment, Inc.
(a)(b)...................... 7,768 238,866
Mediacom Communications Corp.
(a)(b)...................... 5,704 24,527
Morningstar, Inc. (a)(b)...... 2,702 95,921
National CineMedia, Inc. (b).. 6,317 64,054
Primedia, Inc. ............... 2,712 5,885
R.H. Donnelley Corp. (a)(b)... 10,735 3,972
Warner Music Group Corp. ..... 8,762 26,461
------------
1,177,646
------------
METALS & MINING -- 0.8%
AM Castle & Co. (b)........... 2,536 27,465
Brush Engineered Materials,
Inc. (a).................... 3,090 39,305
Coeur d' Alene Mines Corp.
(a)(b)...................... 82,205 72,340
General Moly, Inc. (a)(b)..... 9,124 10,766
Hecla Mining Co. (a)(b)....... 24,086 67,441
Royal Gold, Inc. (b).......... 4,775 234,978
Stillwater Mining Co. (a)(b).. 6,582 32,515
Titanium Metals Corp. (b)..... 14,841 130,749
------------
615,559
------------
MULTILINE RETAIL -- 0.2%
99 Cents Only Stores (a)...... 8,120 88,751
Fred's, Inc. (Class A) (b).... 5,622 60,493
Retail Ventures, Inc. (a)(b).. 3,794 13,165
------------
162,409
------------
OFFICE ELECTRONICS -- 0.3%
Zebra Technologies Corp.
(Class A) (a)(b)............ 9,483 192,125
------------
OIL, GAS & CONSUMABLE FUELS -- 5.1%
Alliance Holdings GP LP....... 1,771 26,211
Alon USA Energy, Inc. (b)..... 1,741 15,930
Arena Resources, Inc. (a)(b).. 5,673 159,355
Atlas America, Inc. (b)....... 5,482 81,408
Atlas Energy Resources LLC.... 4,913 62,739
Atlas Pipeline Holdings LP
(b)......................... 1,412 5,337
ATP Oil & Gas Corp. (a)(b).... 4,122 24,114
Aventine Renewable Energy
Holdings, Inc. (a)(b)....... 4,049 2,632
Berry Petroleum Co. (Class A)
(b)......................... 5,948 44,967
Bill Barrett Corp. (a)(b)..... 4,956 104,720
BPZ Resources, Inc. (a)(b).... 8,397 53,741
BreitBurn Energy Partners LP.. 7,750 54,289
Brigham Exploration Co.
(a)(b)...................... 5,182 16,582
Carrizo Oil & Gas, Inc.
(a)(b)...................... 3,993 64,287
Cheniere Energy Partners LP
(b)......................... 2,114 7,843
Cheniere Energy, Inc. (a)(b).. 6,840 19,494
Clean Energy Fuels Corp.
(a)(b)...................... 4,184 25,271
Comstock Resources, Inc.
(a)(b)...................... 6,848 323,568
Concho Resources, Inc. (a).... 9,415 214,850
Crosstex Energy, Inc. (b)..... 6,906 26,933
CVR Energy, Inc. (a)(b)....... 7,967 31,868
Delek US Holdings, Inc. (b)... 2,268 11,998
Delta Petroleum Corp. (a)(b).. 9,872 46,991
Duncan Energy Partners LP
(b)......................... 2,276 30,954
Eagle Rock Energy Partners
LP.......................... 5,988 28,203
El Paso Pipeline Partners LP
(b)......................... 3,736 58,282
Enbridge Energy Management LLC
(a)(b)...................... 1,790 43,765
Energy Partners, Ltd. (a)(b).. 3,791 5,118
EXCO Resources, Inc. (a)...... 25,826 233,984
Foundation Coal Holdings,
Inc. ....................... 6,846 95,981
Frontier Oil Corp. (b)........ 15,585 196,839
Gastar Exploration Ltd. (a)... 22,922 7,564
Genesis Energy LP (b)......... 3,600 31,428
GeoMet, Inc. (a)(b)........... 2,991 5,144
GMX Resources, Inc. (a)(b).... 2,845 72,035
Goodrich Petroleum Corp.
(a)(b)...................... 4,005 119,950
Gulfport Energy Corp. (a)(b).. 3,858 15,239
Hiland Holdings GP LP (b)..... 1,256 2,964
Holly Corp. (b)............... 6,365 116,034
International Coal Group, Inc.
(a)(b)...................... 15,433 35,496
Legacy Reserves LP............ 2,406 22,436
Magellan Midstream Holdings LP
(b)......................... 3,164 43,885
Mariner Energy, Inc. (a)(b)... 12,365 126,123
McMoRan Exploration Co.
(a)(b)...................... 9,557 93,659
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Parallel Petroleum Corp.
(a)(b)...................... 6,076 $ 12,213
Penn Virginia Corp. .......... 6,258 162,583
Penn Virginia GP Holdings LP
(b)......................... 2,886 28,658
Petroleum Development Corp.
(a)......................... 2,183 52,545
Petroquest Energy, Inc.
(a)(b)...................... 6,269 42,378
Regency Energy Partners LP
(b)......................... 5,626 45,289
Rentech, Inc. (a)(b).......... 24,641 16,756
Rex Energy Corp. (a)(b)....... 3,592 10,560
Rosetta Resources, Inc.
(a)(b)...................... 7,535 53,348
SemGroup Energy Partners LP... 3,084 7,772
St. Mary Land & Exploration
Co. (b)..................... 9,337 189,634
Targa Resources Partners LP
(b)......................... 5,023 38,928
Teekay Offshore Partners LP
(b)......................... 2,486 27,097
Venoco, Inc. (a)(b)........... 3,143 8,518
VeraSun Energy Corp. (a)(b)... 2,894 159
Warren Resources, Inc.
(a)(b)...................... 8,361 16,638
Western Gas Partners LP....... 3,106 39,850
Western Refining, Inc. (b).... 4,018 31,180
Williams Pipeline Partners
LP.......................... 2,542 36,046
World Fuel Services Corp.
(b)......................... 4,355 161,135
------------
3,791,498
------------
PERSONAL PRODUCTS -- 1.0%
Bare Escentuals, Inc. (a)(b).. 10,132 52,990
Chattem, Inc. (a)(b).......... 2,530 180,971
Elizabeth Arden, Inc. (a)(b).. 4,008 50,541
Herbalife, Ltd. .............. 9,630 208,778
Inter Parfums, Inc. (b)....... 2,107 16,182
NBTY, Inc. (a)(b)............. 8,422 131,804
Prestige Brands Holdings, Inc.
(a)......................... 5,225 55,124
USANA Health Sciences, Inc.
(a)(b)...................... 1,006 34,446
------------
730,836
------------
PHARMACEUTICALS -- 1.7%
Akorn, Inc. (a)(b)............ 7,556 17,379
Auxilium Pharmaceuticals, Inc.
(a)(b)...................... 5,917 168,280
Biodel, Inc. (a).............. 2,110 10,170
BioForm Medical, Inc. (a)(b).. 1,473 1,340
Caraco Pharmaceutical
Laboratories, Ltd. (a)...... 1,772 10,490
Jazz Pharmaceuticals, Inc.
(a)......................... 2,738 5,284
Medicis Pharmaceutical Corp.
(Class A) (b)............... 8,316 115,592
Noven Pharmaceuticals, Inc.
(a)(b)...................... 3,838 42,218
Pain Therapeutics, Inc.
(a)(b)...................... 5,182 30,677
Salix Pharmaceuticals, Ltd.
(a)(b)...................... 7,118 62,852
Sepracor, Inc. (a)(b)......... 16,309 179,073
Sucampo Pharmaceuticals, Inc.
(a)(b)...................... 1,179 6,779
The Medicines Co. (a)......... 7,807 114,997
Valeant Pharmaceuticals
International (a)(b)........ 10,375 237,588
Viropharma, Inc. (a).......... 11,691 152,217
VIVUS, Inc. (a)(b)............ 10,389 55,270
Xenoport, Inc. (a)(b)......... 3,265 81,886
------------
1,292,092
------------
PROFESSIONAL SERVICES -- 1.6%
Administaff, Inc. ............ 3,302 71,587
Advisory Board Co. (a)(b)..... 2,328 51,914
CBIZ, Inc. (a)(b)............. 7,430 64,270
CoStar Group, Inc. (a)(b)..... 2,912 95,921
CRA International, Inc.
(a)(b)...................... 1,641 44,192
Diamond Management &
Technology Consultants, Inc.
(b)......................... 4,007 16,870
Exponent, Inc. (a)............ 2,016 60,641
First Advantage Corp. (Class
A) (a)(b)................... 1,660 23,489
Hill International, Inc.
(a)(b)...................... 4,580 32,243
Huron Consulting Group, Inc.
(a)(b)...................... 3,066 175,590
Kforce, Inc. (a)(b)........... 5,435 41,741
Korn/Ferry International
(a)(b)...................... 6,903 78,832
LECG Corp. (a)(b)............. 3,195 21,439
Navigant Consulting, Inc.
(a)(b)...................... 7,258 115,185
Resources Connection, Inc.
(a)......................... 6,777 111,007
Spherion Corp. (a)............ 7,505 16,586
The Corporate Executive Board
Co. ........................ 5,185 114,381
TrueBlue, Inc. (a)(b)......... 6,365 60,913
------------
1,196,801
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.8%
Alexander's, Inc. (b)......... 396 100,940
BioMed Realty Trust, Inc.
(b)......................... 11,811 138,425
Cedar Shopping Centers, Inc.
(b)......................... 6,677 47,273
Corporate Office Properties
Trust (b)................... 7,724 237,127
Digital Realty Trust, Inc.
(b)......................... 10,015 328,993
Equity Lifestyle Properties,
Inc. (b).................... 3,455 132,534
Tanger Factory Outlet Centers,
Inc. (b).................... 4,731 177,980
Taubman Centers, Inc. (b)..... 7,965 202,789
------------
1,366,061
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Tejon Ranch Co. (a)........... 1,855 45,893
------------
ROAD & RAIL -- 1.2%
Genesee & Wyoming, Inc. (Class
A) (a)...................... 4,761 145,211
Heartland Express, Inc. (b)... 8,883 139,996
Knight Transportation, Inc.
(b)......................... 8,502 137,052
Landstar Systems, Inc. (b).... 7,936 304,980
Marten Transport, Ltd. (a).... 2,235 42,376
Old Dominion Freight Line,
Inc. (a).................... 4,530 128,924
------------
898,539
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.1%
Advanced Analogic
Technologies, Inc. (a)...... 7,436 22,457
Advanced Energy Industries,
Inc. (a).................... 4,970 49,452
Amkor Technology, Inc. (a).... 15,564 33,930
Anadigics, Inc. (a)(b)........ 9,109 13,481
Applied Micro Circuits Corp.
(a)(b)...................... 9,612 37,775
Atheros Communications, Inc.
(a)(b)...................... 8,966 128,304
Atmel Corp. (a)(b)............ 67,818 212,270
ATMI, Inc. (a)(b)............. 4,664 71,966
Axcelis Technologies, Inc.
(a)......................... 14,725 7,510
Brooks Automation, Inc.
(a)(b)...................... 8,653 50,274
Cabot Microelectronics Corp.
(a)......................... 3,508 91,454
Cavium Networks, Inc. (a)(b).. 5,188 54,526
Cirrus Logic, Inc. (a)(b)..... 8,440 22,619
Conexant Systems, Inc. (a).... 6,859 4,698
Cree, Inc. (a)(b)............. 11,936 189,424
Cymer, Inc. (a)(b)............ 4,489 98,354
Diodes, Inc. (a)(b)........... 4,589 27,809
EMCORE Corp. (a)(b)........... 9,805 12,747
FEI Co. (a)(b)................ 5,452 102,825
Formfactor, Inc. (a)(b)....... 7,248 105,821
Hittite Microwave Corp.
(a)(b)...................... 2,418 71,234
Integrated Device Technology,
Inc. (a).................... 25,887 145,226
International Rectifier Corp.
(a)......................... 10,765 145,328
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
IXYS Corp. ................... 3,721 $ 30,735
Kulicke & Soffa Industries,
Inc. (a)(b)................. 7,544 12,825
Mattson Technology, Inc.
(a)(b)...................... 6,920 9,757
Micrel, Inc. ................. 7,440 54,386
Microsemi Corp. (a)........... 11,702 147,913
MKS Instruments, Inc. (a)..... 6,420 94,952
Monolithic Power Systems, Inc.
(a)(b)...................... 4,500 56,745
Netlogic Microsystems, Inc.
(a)(b)...................... 2,656 58,459
Novellus Systems, Inc.
(a)(b)...................... 15,074 186,013
OmniVision Technologies, Inc.
(a)(b)...................... 7,997 41,984
PMC-Sierra, Inc. (a)(b)....... 32,764 159,233
Power Integrations, Inc. (b).. 4,465 88,764
Rambus, Inc. (a)(b)........... 15,880 252,810
RF Micro Devices, Inc.
(a)(b)...................... 37,642 29,361
Rubicon Technology, Inc.
(a)(b)...................... 1,990 8,477
Semtech Corp. (a)(b).......... 9,171 103,357
Sigma Designs, Inc. (a)(b).... 3,796 36,062
Silicon Image, Inc. (a)(b).... 10,587 44,465
Silicon Laboratories, Inc.
(a)(b)...................... 6,887 170,660
Silicon Storage Technology,
Inc. (a).................... 13,425 30,743
Skyworks Solutions, Inc. (a).. 24,508 135,774
Spansion, Inc. (a)(b)......... 19,342 3,661
Teradyne, Inc. (a)............ 24,960 105,331
Tessera Technologies, Inc.
(a)......................... 7,232 85,916
Trident Microsystems, Inc.
(a)(b)...................... 8,834 16,696
TriQuint Semiconductor, Inc.
(a)......................... 21,637 74,431
Ultratech, Inc. (a)(b)........ 2,781 33,261
Zoran Corp. (a)............... 7,691 52,530
------------
3,824,785
------------
SOFTWARE -- 5.9%
ACI Worldwide, Inc. (a)(b).... 5,145 81,805
Advent Software, Inc. (a)(b).. 2,700 53,919
Blackbaud, Inc. .............. 6,418 86,643
Blackboard, Inc. (a)(b)....... 4,346 113,996
Cadence Design Systems, Inc.
(a)(b)...................... 38,939 142,517
Commvault Systems, Inc.
(a)(b)...................... 4,772 63,993
Concur Technologies, Inc.
(a)(b)...................... 7,437 244,082
Deltek, Inc. (a)(b)........... 1,338 6,208
Epicor Software Corp. (a)(b).. 6,377 30,610
Factset Research Systems, Inc.
(b)......................... 6,433 284,596
Fair Isaac Corp. (b).......... 7,235 121,982
FalconStor Software, Inc.
(a)(b)...................... 5,591 15,543
i2 Technologies, Inc. (a)(b).. 2,419 15,457
Informatica Corp. (a)......... 13,374 183,625
Jack Henry & Associates, Inc.
(b)......................... 12,750 247,477
JDA Software Group, Inc. (a).. 4,413 57,943
Kenexa Corp. (a)(b)........... 2,842 22,679
Lawson Software, Inc. (a)(b).. 18,351 86,984
Macrovision Solutions Corp.
(a)(b)...................... 12,390 156,733
Magma Design Automation, Inc.
(a)(b)...................... 5,481 5,591
Manhattan Associates, Inc.
(a)......................... 3,551 56,141
Mentor Graphics Corp. (a)..... 13,719 70,927
MICROS Systems, Inc. (a)...... 12,036 196,428
MicroStrategy, Inc. (a)(b).... 1,415 52,539
Midway Games, Inc. (a)(b)..... 1,534 291
Monotype Imaging Holdings,
Inc. (a)(b)................. 3,478 20,172
MSC Software Corp. (a)........ 6,720 44,890
Netscout Systems, Inc. (a).... 3,945 34,006
NetSuite, Inc. (a)............ 2,748 23,193
Nuance Communications, Inc.
(a)(b)...................... 28,126 291,385
Parametric Technology Corp.
(a)......................... 17,544 221,932
Pegasystems, Inc. ............ 2,347 29,009
Progress Software Corp. (a)... 5,934 114,289
Quality Systems, Inc. (b)..... 2,705 117,992
Quest Software, Inc. (a)(b)... 9,012 113,461
Radiant Systems, Inc. (a)..... 3,848 12,968
Solera Holdings, Inc. (a)..... 10,339 249,170
SPSS, Inc. (a)(b)............. 2,673 72,064
SuccessFactors, Inc. (a)(b)... 3,683 21,140
Symyx Technologies, Inc. (a).. 4,684 27,823
Synchronoss Technologies, Inc.
(a)(b)...................... 2,713 28,921
Taleo Corp. (a)(b)............ 4,484 35,110
THQ, Inc. (a)(b).............. 9,857 41,301
TIBCO Software, Inc. (a)(b)... 26,637 138,246
TiVo, Inc. (a)(b)............. 15,512 111,066
Tyler Technologies, Inc.
(a)(b)...................... 5,360 64,213
Ultimate Software Group, Inc.
(a)(b)...................... 3,783 55,232
Vasco Data Security
International (a)(b)........ 4,089 42,239
Wind River Systems, Inc.
(a)(b)...................... 11,183 100,982
------------
4,409,513
------------
SPECIALTY RETAIL -- 3.0%
Aaron Rents, Inc. (Class B)
(b)......................... 7,203 191,744
AC Moore Arts & Crafts, Inc.
(a)(b)...................... 2,742 3,839
Aeropostale, Inc. (a)(b)...... 10,071 162,143
AnnTaylor Stores Corp. (a).... 8,738 50,418
Bebe Stores, Inc. (b)......... 4,769 35,624
Big 5 Sporting Goods Corp.
(b)......................... 2,758 14,369
Cabela's, Inc. (a)(b)......... 5,928 34,560
Charming Shoppes, Inc.
(a)(b)...................... 14,046 34,272
Chico's FAS, Inc. (a)(b)...... 25,985 108,617
Christopher & Banks Corp.
(b)......................... 4,951 27,726
Coldwater Creek, Inc. (a)(b).. 8,135 23,185
Conn's, Inc. (a)(b)........... 1,598 13,551
Dick's Sporting Goods, Inc.
(a)(b)...................... 12,601 177,800
DSW, Inc. (Class A) (a)(b).... 2,393 29,817
Gymboree Corp. (a)(b)......... 4,397 114,718
hhgregg, Inc. (a)(b).......... 2,509 21,778
Hibbett Sports, Inc. (a)(b)... 4,168 65,479
Hot Topic, Inc. (a)(b)........ 6,622 61,386
J. Crew Group, Inc. (a)(b).... 7,786 94,989
Jos. A. Bank Clothiers, Inc.
(a)(b)...................... 2,732 71,442
Mens Wearhouse, Inc. (b)...... 6,848 92,722
New York & Co., Inc. (a)(b)... 4,187 9,714
Office Depot, Inc. (a)........ 41,169 122,684
Pacific Sunwear of California,
Inc. (a).................... 10,357 16,468
Signet Jewelers, Ltd. ........ 12,859 111,487
Systemax, Inc. (b)............ 1,475 15,886
The Children's Place Retail
Stores, Inc. (a)(b)......... 3,646 79,045
The Dress Barn, Inc. (a)(b)... 6,878 73,870
The Finish Line, Inc. (Class
A).......................... 6,682 37,419
Tractor Supply Co. (a)(b)..... 4,687 169,388
Tween Brands, Inc. (a)(b)..... 3,532 15,258
Ulta Salon Cosmetics &
Fragrance, Inc. (a)(b)...... 4,031 33,377
Williams-Sonoma, Inc. (b)..... 14,079 110,661
Zumiez, Inc. (a)(b)........... 2,540 18,923
------------
2,244,359
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP GROWTH ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TEXTILES, APPAREL & LUXURY GOODS -- 1.4%
American Apparel, Inc.
(a)(b)...................... 4,858 $ 9,668
Carter's, Inc. (a)(b)......... 8,517 164,038
Crocs, Inc. (a)(b)............ 12,479 15,474
Deckers Outdoor Corp. (a)(b).. 1,964 156,865
Fossil, Inc. (a)(b)........... 7,170 119,739
Iconix Brand Group, Inc. (a).. 8,463 82,768
K-Swiss, Inc. (Class A) (b)... 3,756 42,818
Maidenform Brands, Inc.
(a)(b)...................... 2,716 27,567
Quiksilver, Inc. (a).......... 18,374 33,808
Steven Madden, Ltd. (a)....... 2,335 49,782
The Warnaco Group, Inc. (a)... 6,925 135,938
True Religion Apparel, Inc.
(a)(b)...................... 2,330 28,985
Under Armour, Inc. (Class A)
(a)(b)...................... 5,156 122,919
Volcom, Inc. (a)(b)........... 2,446 26,661
------------
1,017,030
------------
THRIFTS & MORTGAGE FINANCE -- 0.5%
Beneficial Mutual Bancorp,
Inc. (a).................... 5,552 62,460
NewAlliance Bancshares,
Inc. ....................... 14,892 196,128
Ocwen Financial Corp. (a)(b).. 5,484 50,343
Oritani Financial Corp. (a)... 1,814 30,566
ViewPoint Financial Group
(b)......................... 1,727 27,718
Waterstone Financial, Inc.
(a)(b)...................... 1,370 4,589
------------
371,804
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.9%
Beacon Roofing Supply, Inc.
(a)(b)...................... 6,514 90,414
H&E Equipment Services, Inc.
(a)(b)...................... 2,167 16,708
Interline Brands, Inc.
(a)(b)...................... 4,776 50,769
MSC Industrial Direct Co.,
Inc. (Class A) (b).......... 6,429 236,780
RSC Holdings, Inc. (a)(b)..... 7,156 60,969
Rush Enterprises, Inc. (a).... 4,766 40,845
TAL International Group, Inc.
(b)......................... 1,914 26,987
WESCO International, Inc.
(a)(b)...................... 6,329 121,707
------------
645,179
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.3%
Centennial Communications
Corp. (a)................... 10,091 81,335
Clearwire Corp. (Class A)
(a)(b)...................... 10,642 52,465
FiberTower Corp. (a)(b)....... 18,384 2,941
ICO Global Communications
Holdings, Ltd. (a)(b)....... 16,391 18,522
iPCS, Inc. (a)(b)............. 2,306 15,819
Syniverse Holdings, Inc.
(a)(b)...................... 4,214 50,315
------------
221,397
------------
TOTAL COMMON STOCKS --
(Cost $119,377,123)......... 74,236,446
------------
WARRANTS -- 0.0% (C)
COMMUNICATIONS EQUIPMENT -- 0.0%
Pegasus Wireless Corp. expiring 12/18/2009
(a)(c)
(Cost $0)................... 569 0.00
------------
SHORT TERM INVESTMENTS -- 23.5%
MONEY MARKET FUNDS -- 23.5%
State Street Navigator
Securities Lending Prime
Portfolio (d)(e)............ 16,990,202 16,990,202
STIC Prime Portfolio.......... 558,580 558,580
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $17,548,782).......... 17,548,782
------------
TOTAL INVESTMENTS -- 122.7%
(Cost $136,925,905)......... 91,785,228
OTHER ASSETS AND
LIABILITIES -- (22.7)%...... (16,992,242)
------------
NET ASSETS -- 100.0%...................... $ 74,792,986
============
</Table>
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at December 31, 2008.
(c) Security is valued at fair value as determined in good faith by
Trust's Pricing and Investment Committee in accordance with
procedures approved by the Board of Trustees.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.6%
AEROSPACE & DEFENSE -- 0.8%
Cubic Corp. .................. 1,975 $ 53,720
Curtiss-Wright Corp. (a)...... 5,540 184,980
Esterline Technologies Corp.
(b)......................... 3,564 135,040
GenCorp, Inc. (a)(b).......... 6,498 23,913
Heico Corp. .................. 2,390 69,214
Triumph Group, Inc. (a)....... 2,019 85,727
------------
552,594
------------
AIRLINES -- 0.2%
Alaska Air Group, Inc. (b).... 4,473 130,835
------------
AUTO COMPONENTS -- 0.3%
American Axle & Manufacturing
Holdings, Inc. (a).......... 5,630 16,271
ArvinMeritor, Inc. (a)........ 9,057 25,812
Cooper Tire & Rubber Co. (a).. 7,303 44,987
Federal-Mogul Corp. (Class A)
(a)(b)...................... 3,099 13,109
Lear Corp. (a)(b)............. 9,816 13,841
Modine Manufacturing Co. (a).. 3,930 19,139
Superior Industries
International, Inc. (a)..... 2,633 27,699
Tenneco Automotive, Inc.
(a)(b)...................... 5,582 16,467
TRW Automotive Holdings Corp.
(a)(b)...................... 6,599 23,756
------------
201,081
------------
AUTOMOBILES -- 0.0% (C)
Winnebago Industries, Inc. ... 3,660 22,070
------------
BEVERAGES -- 0.3%
Coca-Cola Hellenic Bottling
Co. SA (a).................. 516 23,715
National Beverage Corp.
(a)(b)...................... 1,340 12,060
PepsiAmericas, Inc. .......... 7,921 161,272
------------
197,047
------------
BIOTECHNOLOGY -- 0.2%
Cougar Biotechnology, Inc.
(a)(b)...................... 2,066 53,716
Dendreon Corp. (a)(b)......... 10,834 49,620
------------
103,336
------------
BUILDING PRODUCTS -- 1.1%
American Woodmark Corp. ...... 1,174 21,402
Ameron International Corp. ... 1,042 65,563
Apogee Enterprises, Inc. (a).. 3,598 37,275
Armstrong World Industries,
Inc. (a).................... 2,202 47,607
Builders FirstSource, Inc.
(a)(b)...................... 1,868 2,858
Gibraltar Industries, Inc.
(a)......................... 3,444 41,121
Lennox International, Inc.
(a)......................... 6,420 207,302
NCI Building Systems, Inc.
(a)(b)...................... 2,463 40,147
Owens Corning, Inc. (a)(b).... 10,855 187,791
Universal Forest Products,
Inc. (a).................... 2,172 58,449
------------
709,515
------------
CAPITAL MARKETS -- 1.6%
BGC Partners, Inc. (a)........ 3,916 10,808
Cohen & Steers, Inc. (a)...... 2,042 22,442
FBR Capital Markets Corp.
(b)......................... 3,789 18,414
FCStone Group, Inc. (a)(b).... 3,112 13,786
GAMCO Investors, Inc. (a)..... 784 21,419
GLG Partners, Inc. (a)........ 24,873 56,462
Investment Technology Group,
Inc. (a)(b)................. 5,340 121,325
Jefferies Group, Inc. (a)..... 14,226 200,017
LaBranche & Co., Inc. (a)(b).. 7,100 34,009
Piper Jaffray Cos., Inc.
(a)(b)...................... 2,376 94,470
Stifel Financial Corp.
(a)(b)...................... 3,105 142,364
SWS Group, Inc. (a)........... 3,422 64,847
Thomas Weisel Partners Group,
Inc. (a)(b)................. 2,872 13,556
W.P. Carey & Co. LLC (a)...... 3,632 85,098
Waddell & Reed Financial,
Inc. (Class A).............. 10,389 160,614
------------
1,059,631
------------
CHEMICALS -- 2.9%
A. Schulman, Inc. ............ 2,843 48,331
Arch Chemicals, Inc. (a)...... 3,068 79,983
Cabot Corp. (a)............... 6,189 94,692
Chemtura Corp. ............... 30,271 42,379
Cytec Industries, Inc. ....... 5,926 125,750
Ferro Corp. (a)............... 5,382 37,943
H.B. Fuller Co. (a)........... 5,893 94,936
Innophos Holdings, Inc. (a)... 1,241 24,584
Koppers Holdings, Inc. (a).... 2,525 54,590
Kronos Worldwide, Inc. (a).... 402 4,683
Minerals Technologies, Inc. .. 2,285 93,456
NewMarket Corp. .............. 1,378 48,106
NL Industries, Inc. (a)....... 890 11,926
Olin Corp. ................... 8,407 151,999
OM Group, Inc. (a)(b)......... 3,814 80,514
RPM International, Inc. ...... 15,974 212,294
Sensient Technologies Corp. .. 5,903 140,964
Solutia, Inc. (a)(b).......... 8,800 39,600
Spartech Corp. ............... 3,833 23,995
Stepan Co. (a)................ 928 43,607
Terra Nitrogen Co. LP (a)..... 900 85,284
Valhi, Inc. (a)............... 1,382 14,787
Valspar Corp. (a)............. 11,488 207,818
W.R. Grace & Co. (a)(b)....... 7,578 45,241
Westlake Chemical Corp. (a)... 2,309 37,614
Zep, Inc. (a)................. 2,552 49,279
------------
1,894,355
------------
COMMERCIAL BANKS -- 13.6%
1st Source Corp. ............. 1,702 40,218
AMCORE Financial, Inc. (a).... 2,611 9,452
Associated Banc-Corp (a)...... 14,664 306,918
Bancfirst Corp. (a)........... 885 46,834
BancorpSouth, Inc. (a)........ 9,496 221,827
Bank of Hawaii Corp. (a)...... 5,879 265,554
Banner Corp. (a).............. 1,816 17,089
BOK Financial Corp. (a)....... 2,763 111,625
Boston Private Financial
Holdings, Inc. (a).......... 7,222 49,398
Capital City Bank Group,
Inc. ....................... 1,573 42,849
Capitol Bancorp, Ltd. (a)..... 1,903 14,843
Cathay General Bancorp (a).... 6,109 145,089
Central Pacific Financial
Corp. (a)................... 3,539 35,532
Chemical Financial Corp. (a).. 2,715 75,694
Citizens Republic Bancorp,
Inc. (a).................... 15,292 45,570
City Bank (a)................. 1,726 8,975
City Holding Co. (a).......... 1,960 68,169
Columbia Banking System, Inc.
(a)......................... 2,190 26,127
Community Bank System, Inc.
(a)......................... 3,953 96,414
Community Trust Bancorp, Inc.
(a)......................... 1,680 61,740
Cullen/Frost Bankers, Inc.
(a)......................... 6,904 349,895
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
CVB Financial Corp. (a)....... 8,207 $ 97,663
F.N.B. Corp. (a).............. 10,755 141,966
First Bancorp- North Carolina
(a)......................... 2,012 36,920
First BanCorp- Puerto Rico
(a)......................... 9,526 106,120
First Busey Corp. (a)......... 3,507 63,968
First Citizens Bancshares,
Inc. (Class A).............. 716 109,405
First Commonwealth Financial
Corp. ...................... 9,487 117,449
First Community Bancshares,
Inc. (a).................... 1,237 43,134
First Financial Bancorp (a)... 4,620 57,242
First Financial Bankshares,
Inc. (a).................... 2,176 120,137
First Financial Corp. (a)..... 1,188 48,696
First Horizon National Corp.
(a)......................... 25,432 268,814
First Merchants Corp. (a)..... 2,669 59,278
First Midwest Bancorp, Inc.
(a)......................... 6,006 119,940
FirstMerit Corp. (a).......... 9,243 190,313
Frontier Financial Corp. (a).. 5,752 25,079
Fulton Financial Corp. (a).... 21,307 204,973
Glacier Bancorp, Inc. (a)..... 7,409 140,919
Guaranty Bancorp (a)(b)....... 5,794 11,588
Hancock Holding Co. (a)....... 3,288 149,472
Hanmi Financial Corp. (a)..... 5,879 12,111
Harleysville National Corp.
(a)......................... 5,285 76,315
Home Bancshares, Inc. (a)..... 1,961 52,849
IBERIABANK Corp. (a).......... 1,749 83,952
Independent Bank Corp.-
Massachusetts (a)........... 1,985 51,928
Independent Bank Corp.-
Michigan (a)................ 2,684 5,797
International Bancshares
Corp. ...................... 6,639 144,929
Investors Bancorp, Inc. (b)... 5,575 74,872
MB Financial, Inc. (a)........ 4,279 119,598
Midwest Banc Holdings, Inc.
(a)......................... 2,896 4,054
National Penn Bancshares, Inc.
(a)......................... 9,826 142,575
NBT Bancorp, Inc. (a)......... 3,967 110,917
Northfield Bancorp, Inc. ..... 2,463 27,709
Old National Bancorp (a)...... 8,268 150,147
Old Second Bancorp, Inc. (a).. 1,493 17,319
Oriental Financial Group (a).. 2,765 16,728
Pacific Capital Bancorp (a)... 5,789 97,718
PacWest Bancorp (a)........... 3,100 83,390
Park National Corp. (a)....... 1,401 100,522
Popular, Inc. (a)............. 31,292 161,467
Prosperity Bancshares, Inc.
(a)......................... 5,664 167,598
Provident Bankshares Corp.
(a)......................... 4,001 38,650
Renasant Corp. (a)............ 2,580 43,937
Republic Bancorp, Inc.-
Kentucky (a)................ 1,291 35,115
S&T Bancorp, Inc. (a)......... 3,370 119,635
S.Y. Bancorp, Inc. (a)........ 1,459 40,123
Sandy Spring Bancorp, Inc.
(a)......................... 1,991 43,464
Santander Bancorp (a)......... 694 8,668
Seacoast Banking Corp. of
Florida (a)................. 1,852 12,223
Simmons First National Corp.
(a)......................... 1,572 46,327
South Financial Group, Inc.
(a)......................... 8,996 38,863
Sterling Bancorp (a).......... 2,166 30,389
Sterling Bancshares, Inc. .... 8,978 54,586
Sterling Financial
Corp. -- Washington (a)..... 6,317 55,590
Suffolk Bancorp (a)........... 1,186 42,613
Sun Bancorp, Inc. (a)(b)...... 2,414 18,081
Susquehanna Bancshares,
Inc. ....................... 10,519 167,357
SVB Financial Group (a)(b).... 3,955 103,740
TCF Financial Corp. (a)....... 15,182 207,386
The Colonial BancGroup, Inc.
(a)......................... 25,047 51,847
Tompkins Trustco, Inc. (a).... 865 50,127
TowneBank (a)................. 2,994 74,221
Trico Bancshares (a).......... 1,823 45,520
Trustmark Corp. (a)........... 6,278 135,542
UMB Financial Corp. (a)....... 3,833 188,354
Umpqua Holdings Corp. (a)..... 7,341 106,224
United Bankshares, Inc. (a)... 5,320 176,730
United Community Banks, Inc.
(a)......................... 5,964 80,985
Valley National Bancorp (a)... 16,604 336,231
W Holding Co, Inc. (a)........ 318 3,275
Washington Trust Bancorp, Inc.
(a)......................... 1,474 29,112
Webster Financial Corp. (a)... 6,475 89,226
WesBanco, Inc. (a)............ 3,102 84,405
West Coast Bancorp............ 1,897 12,501
Westamerica Bancorp (a)....... 3,573 182,759
Whitney Holding Corp. (a)..... 7,861 125,697
Wilmington Trust Corp. (a).... 8,265 183,814
Wintrust Financial Corp. (a).. 2,890 59,447
------------
8,978,147
------------
COMMERCIAL SERVICES & SUPPLIES -- 1.2%
ABM Industries, Inc. ......... 5,653 107,690
ACCO Brands Corp. (a)(b)...... 6,309 21,766
ATC Technology Corp. (b)...... 2,472 36,165
Bowne & Co., Inc. (a)......... 3,274 19,251
Comfort Systems USA, Inc. .... 4,986 53,151
Consolidated Graphics, Inc.
(b)......................... 1,165 26,376
Courier Corp. (a)............. 1,381 24,720
Deluxe Corp. ................. 6,254 93,560
Ennis, Inc. .................. 3,166 38,340
G & K Services, Inc. (Class A)
(a)......................... 2,301 46,526
Herman Miller, Inc. .......... 6,518 84,929
Kimball International, Inc.
(Class B) (a)............... 3,193 27,492
McGrath Rentcorp.............. 2,687 57,394
United Stationers, Inc.
(a)(b)...................... 2,877 96,351
Viad Corp. ................... 2,385 59,005
------------
792,716
------------
COMMUNICATIONS EQUIPMENT -- 0.7%
3Com Corp. (a)(b)............. 49,267 112,329
Bel Fuse, Inc. (Class B) (a).. 1,386 29,383
Black Box Corp. (a)........... 2,173 56,759
Emulex Corp. (b).............. 9,995 69,765
Loral Space & Communications,
Ltd. (a)(b)................. 1,555 22,594
Powerwave Technologies, Inc.
(a)(b)...................... 16,062 8,031
Tellabs, Inc. (b)............. 44,616 183,818
------------
482,679
------------
COMPUTERS & PERIPHERALS -- 0.7%
Adaptec, Inc. (a)(b).......... 12,642 41,719
Avid Technology, Inc. (a)(b).. 3,817 41,643
Diebold, Inc. ................ 8,086 227,136
Electronics for Imaging, Inc.
(b)......................... 6,453 61,691
Hutchinson Technology, Inc.
(b)......................... 2,927 10,186
Imation Corp. (a)............. 3,962 53,764
------------
436,139
------------
CONSTRUCTION & ENGINEERING -- 0.7%
EMCOR Group, Inc. (a)(b)...... 8,094 181,549
Granite Construction, Inc.
(a)......................... 3,854 169,306
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Insituform Technologies, Inc.
(a)(b)...................... 3,432 $ 67,576
Northwest Pipe Co. (a)(b)..... 1,135 48,362
------------
466,793
------------
CONSTRUCTION MATERIALS -- 0.2%
Texas Industries, Inc. (a).... 3,343 115,333
------------
CONSUMER FINANCE -- 0.1%
Advance America Cash Advance
Centers, Inc. (a)........... 6,303 11,913
Advanta Corp. (Class B) (a)... 4,562 9,534
Dollar Financial Corp.
(a)(b)...................... 2,987 30,766
The Student Loan Corp. ....... 492 20,172
------------
72,385
------------
CONTAINERS & PACKAGING -- 1.4%
Aptargroup, Inc. ............. 7,845 276,458
Greif, Inc. (Class A) (a)..... 3,728 124,627
Packaging Corp. of America
(a)......................... 12,511 168,398
Rock-Tenn Co. (a)............. 4,650 158,937
Silgan Holdings, Inc. ........ 3,101 148,259
Smurfit-Stone Container Corp.
(a)(b)...................... 30,503 7,778
Temple-Inland, Inc. (a)....... 11,074 53,155
------------
937,612
------------
DISTRIBUTORS -- 0.0% (c)
Audiovox Corp. (Class A)
(a)(b)...................... 2,284 11,443
------------
DIVERSIFIED CONSUMER SERVICES -- 0.5%
Jackson Hewitt Tax Service,
Inc. (a).................... 3,100 48,639
Regis Corp. (a)............... 5,277 76,675
Service Corp. International
(a)......................... 31,545 156,779
Stewart Enterprises, Inc.
(Class A) (a)............... 10,516 31,653
------------
313,746
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.5%
Financial Federal Corp. (a)... 3,148 73,254
Interactive Brokers Group,
Inc. (Class A) (a)(b)....... 5,012 89,665
KKR Financial Holdings LLC
(a)......................... 18,486 29,208
PHH Corp. (b)................. 6,684 85,087
Pico Holdings, Inc. (a)(b).... 2,030 53,957
Resource America, Inc. (a).... 1,893 7,572
------------
338,743
------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
Alaska Communications Systems
Group, Inc. (a)............. 5,450 51,121
Atlantic Tele-Network, Inc. .. 1,212 32,179
Cincinnati Bell, Inc. (a)(b).. 28,017 54,073
Cogent Communications Group,
Inc. (a)(b)................. 5,072 33,120
Consolidated Communications
Holdings, Inc. (a).......... 2,877 34,179
FairPoint Communications, Inc.
(a)......................... 10,920 35,817
Iowa Telecommunications
Services, Inc. (a).......... 3,984 56,891
SureWest Communications (a)... 1,680 19,186
------------
316,566
------------
ELECTRIC UTILITIES -- 3.3%
ALLETE, Inc. (a).............. 3,167 102,199
Brookfield Infrastructure
Partners LP (a)............. 2,673 29,938
Cleco Corp. (a)............... 7,387 168,645
El Paso Electric Co. (b)...... 5,622 101,702
Empire District Electric Co.
(a)......................... 4,165 73,304
Great Plains Energy, Inc.
(a)......................... 14,512 280,517
Hawaiian Electric Industries,
Inc. (a).................... 11,098 245,710
IDACORP, Inc. (a)............. 5,547 163,359
MGE Energy, Inc. ............. 2,784 91,872
NV Energy, Inc. .............. 28,710 283,942
Portland General Electric
Co. ........................ 7,726 150,425
UIL Holdings Corp. (a)........ 2,797 83,994
Unisource Energy Corp. (a).... 4,235 124,339
Westar Energy, Inc. .......... 13,298 272,742
------------
2,172,688
------------
ELECTRICAL EQUIPMENT -- 1.7%
A.O. Smith Corp. (a).......... 2,522 74,449
Acuity Brands, Inc. (a)....... 4,958 173,084
Baldor Electric Co. (a)....... 5,235 93,445
Belden CDT, Inc. (a).......... 5,734 119,726
Brady Corp. (Class A) (a)..... 5,948 142,454
Ener1, Inc. (a)(b)............ 6,358 45,460
GrafTech International, Ltd.
(a)(b)...................... 14,892 123,901
Powell Industries, Inc. (b)... 930 26,989
Regal-Beloit Corp. (a)........ 3,908 148,465
Thomas & Betts Corp. (b)...... 6,904 165,834
------------
1,113,807
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.9%
Agilysys, Inc. ............... 2,891 12,402
Anixter International, Inc.
(a)(b)...................... 3,790 114,155
AVX Corp. (a)................. 6,323 50,205
Checkpoint Systems, Inc. (b).. 4,706 46,307
Coherent, Inc. (a)(b)......... 2,812 60,345
Littelfuse, Inc. (a)(b)....... 2,657 44,106
Methode Electronics, Inc.
(Class A)................... 4,588 30,923
Park Electrochemical Corp. ... 2,331 44,196
SYNNEX Corp. (a)(b)........... 2,023 22,921
Tech Data Corp. (b)........... 6,211 110,804
Technitrol, Inc. (a).......... 4,943 17,202
Vishay Intertechnology, Inc.
(a)(b)...................... 21,392 73,161
------------
626,727
------------
ENERGY EQUIPMENT & SERVICES -- 0.9%
Bristow Group, Inc. (a)(b).... 3,380 90,550
Gulfmark Offshore, Inc.
(a)(b)...................... 2,812 66,897
PHI, Inc. (a)(b).............. 1,654 23,173
SEACOR Holdings, Inc. (a)(b).. 2,444 162,893
Tidewater, Inc. (a)........... 6,308 254,023
Trico Marine Services, Inc.
(b)......................... 1,450 6,481
------------
604,017
------------
FOOD & STAPLES RETAILING -- 0.9%
Casey's General Stores,
Inc. ....................... 6,257 142,472
Ingles Markets, Inc. ......... 1,456 25,611
Nash Finch Co. (a)............ 1,585 71,151
Ruddick Corp. (a)............. 5,193 143,586
The Andersons, Inc. (a)....... 2,220 36,586
Weis Markets, Inc. ........... 1,381 46,443
Winn-Dixie Stores, Inc.
(a)(b)...................... 6,611 106,437
------------
572,286
------------
FOOD PRODUCTS -- 3.5%
Alico, Inc. (a)............... 438 17,954
American Italian Pasta Co.
(b)......................... 2,400 53,616
B&G Foods, Inc. (a)........... 4,548 24,559
Chiquita Brands International,
Inc. (a)(b)................. 5,372 79,398
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Corn Products International,
Inc. ....................... 9,169 $ 264,526
Del Monte Foods Co. .......... 24,418 174,344
Farmer Brothers Co. (a)....... 797 19,877
Fresh Del Monte Produce, Inc.
(a)(b)...................... 5,664 126,987
Hain Celestial Group, Inc.
(a)(b)...................... 4,685 89,437
Lancaster Colony Corp. ....... 2,517 86,333
Lance, Inc. (a)............... 3,879 88,984
Ralcorp Holdings, Inc. (b).... 6,886 402,142
Reddy Ice Holdings, Inc. (a).. 2,649 3,815
Sanderson Farms, Inc. (a)..... 2,194 75,825
The J.M. Smucker Co. ......... 14,522 629,674
Tootsie Roll Industries, Inc.
(a)......................... 2,771 70,965
TreeHouse Foods, Inc. (a)(b).. 3,867 105,337
------------
2,313,773
------------
GAS UTILITIES -- 3.9%
AGL Resources, Inc. (a)....... 9,342 292,872
Amerigas Partners LP (a)...... 3,965 111,535
Atmos Energy Corp. ........... 11,086 262,738
Ferrellgas Partners LP........ 4,900 71,834
Laclede Group, Inc. .......... 2,480 116,163
New Jersey Resources Corp. ... 5,107 200,960
Nicor, Inc. (a)............... 5,492 190,792
Northwest Natural Gas Co. .... 3,298 145,871
Piedmont Natural Gas Co., Inc.
(a)......................... 8,427 266,883
South Jersey Industries, Inc.
(a)......................... 3,607 143,739
Southwest Gas Corp. .......... 5,360 135,179
Suburban Propane Partners LP
(a)......................... 4,024 142,651
UGI Corp. .................... 13,219 322,808
WGL Holdings, Inc. (a)........ 6,059 198,069
------------
2,602,094
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.7%
Advanced Medical Optics, Inc.
(a)(b)...................... 7,714 50,990
CONMED Corp. (a)(b)........... 3,530 84,508
Datascope Corp. .............. 1,650 86,196
Hill-Rom Holdings, Inc. (a)... 7,642 125,787
Invacare Corp. (a)............ 3,953 61,351
Inverness Medical Innovations,
Inc. (a)(b)................. 9,500 179,645
Orthofix International N.V.
(b)......................... 2,165 33,190
STERIS Corp. ................. 7,327 175,042
Teleflex, Inc. (a)............ 4,824 241,682
The Cooper Cos., Inc. (a)..... 5,521 90,544
------------
1,128,935
------------
HEALTH CARE PROVIDERS & SERVICES -- 1.4%
Hanger Orthopedic Group, Inc.
(a)(b)...................... 3,789 54,978
Kindred Healthcare, Inc. (b).. 3,972 51,715
Landauer, Inc. ............... 1,124 82,389
LifePoint Hospitals, Inc.
(a)(b)...................... 6,570 150,059
Magellan Health Services, Inc.
(b)......................... 4,703 184,170
Medcath Corp. (a)(b).......... 1,861 19,429
National Healthcare Corp.
(a)......................... 1,033 52,311
Owens & Minor, Inc. (a)....... 5,022 189,078
RehabCare Group, Inc. (b)..... 2,179 33,034
Res-Care, Inc. (a)(b)......... 3,103 46,607
Tenet Healthcare Corp.
(a)(b)...................... 58,871 67,702
------------
931,472
------------
HOTELS, RESTAURANTS & LEISURE -- 1.8%
AFC Enterprises, Inc. (b)..... 3,395 15,923
Ameristar Casinos, Inc. (a)... 2,793 24,132
Bob Evans Farms, Inc. ........ 3,799 77,614
Boyd Gaming Corp. (a)......... 7,325 34,647
Cedar Fair LP (a)............. 6,388 80,042
Churchill Downs, Inc. (a)..... 1,315 53,152
Cracker Barrel Old Country
Store, Inc. (a)............. 2,780 57,240
DineEquity, Inc. (a).......... 1,879 21,721
Domino's Pizza, Inc. (a)(b)... 5,257 24,760
International Speedway Corp.
(Class A)................... 3,924 112,736
Isle of Capri Casinos, Inc.
(a)(b)...................... 1,765 5,648
Jack in the Box, Inc. (a)(b).. 7,043 155,580
Krispy Kreme Doughnuts, Inc.
(a)(b)...................... 7,220 12,130
Landry's Restaurants, Inc.
(b)......................... 1,424 16,518
Marcus Corp. ................. 2,562 41,581
O'Charleys, Inc. (a).......... 2,388 4,776
Pinnacle Entertainment, Inc.
(a)(b)...................... 7,314 56,172
Ruby Tuesday, Inc. (a)(b)..... 6,325 9,867
Speedway Motorsports, Inc.
(a)......................... 1,719 27,693
Vail Resorts, Inc. (a)(b)..... 3,547 94,350
Wendy's/Arby's Group, Inc.
(a)......................... 47,095 232,649
------------
1,158,931
------------
HOUSEHOLD DURABLES -- 2.3%
American Greetings Corp.
(Class A) (a)............... 5,138 38,895
Beazer Homes USA, Inc.
(a)(b)...................... 4,834 7,638
Blyth, Inc. (a)............... 3,425 26,852
Brookfield Homes Corp. (a).... 1,239 5,352
Centex Corp. (a).............. 15,181 161,526
CSS Industries, Inc. ......... 995 17,651
Ethan Allen Interiors, Inc.
(a)......................... 3,368 48,398
Furniture Brands
International, Inc. ........ 4,417 9,762
Helen of Troy, Ltd. (b)....... 3,531 61,298
Hovnanian Enterprises, Inc.
(a)(b)...................... 7,311 12,575
KB HOME (a)................... 9,510 129,526
La-Z-Boy, Inc. (a)............ 6,420 13,931
Lennar Corp. (Class A) (a).... 17,043 147,763
M.D.C. Holdings, Inc. ........ 4,399 133,290
M/I Homes, Inc. (a)........... 1,676 17,665
Meritage Homes Corp. (a)(b)... 3,488 42,449
National Presto Industries,
Inc. ....................... 619 47,663
Russ Berrie & Co., Inc.
(a)(b)...................... 1,480 4,396
Ryland Group, Inc. (a)........ 5,291 93,492
Sealy Corp. .................. 5,427 13,622
Skyline Corp. (a)............. 894 17,871
Snap-on, Inc. (a)............. 7,034 276,999
Standard Pacific Corp.
(a)(b)...................... 15,045 26,780
Tupperware Brands Corp. (a)... 7,582 172,111
------------
1,527,505
------------
HOUSEHOLD PRODUCTS -- 0.2%
Central Garden & Pet Co.
(Class A) (a)(b)............ 8,193 48,339
WD-40 Co. (a)................. 1,973 55,816
------------
104,155
------------
INDUSTRIAL CONGLOMERATES -- 0.5%
Carlisle Cos., Inc. .......... 7,538 156,037
Icahn Enterprises LP (a)...... 724 19,150
Otter Tail Corp. (a).......... 3,848 89,774
Standex International Corp. .. 1,497 29,700
Tredegar Corp. (a)............ 3,050 55,449
------------
350,110
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INSURANCE -- 10.5%
Alleghany Corp. (b)........... 736 $ 207,552
Allied World Assurance
Holdings, Ltd. ............. 4,291 174,215
AMBAC Financial Group, Inc.
(a)......................... 35,344 45,947
American Equity Investment
Life Holding Co. (a)........ 6,706 46,942
American Financial Group,
Inc. ....................... 9,404 215,164
American National Insurance
Co. (a)..................... 1,911 140,898
American Physicians Capital,
Inc. (a).................... 1,014 48,773
Amtrust Financial Services,
Inc. (a).................... 5,195 60,262
Argo Group International
Holdings, Ltd. (a)(b)....... 3,750 127,200
Arthur J. Gallagher & Co.
(a)......................... 11,702 303,199
Aspen Insurance Holdings, Ltd.
(a)......................... 8,732 211,751
Assured Guaranty, Ltd. (a).... 7,298 83,197
Baldwin & Lyons, Inc. (Class
B) (a)...................... 1,192 21,682
Castlepoint Holdings, Ltd.
(a)......................... 4,314 58,498
CNA Surety Corp. (b).......... 1,975 37,920
Conseco, Inc. (a)(b).......... 22,704 117,607
Delphi Financial Group........ 4,976 91,757
Employers Holdings, Inc. ..... 6,183 102,020
Endurance Specialty Holdings,
Ltd. (a).................... 6,309 192,614
Enstar Group, Ltd. (a)(b)..... 852 50,387
Erie Indemnity Co. (Class A)
(a)......................... 3,948 148,563
FBL Financial Group, Inc.
(Class A) (a)............... 1,647 25,446
First American Corp. (a)...... 10,019 289,449
Flagstone Reinsurance
Holdings, Ltd. (a).......... 5,358 52,348
FPIC Insurance Group, Inc.
(a)(b)...................... 1,031 45,137
Greenlight Capital Re, Ltd.
(b)......................... 3,636 47,232
Harleysville Group, Inc. (a).. 1,584 55,012
HCC Insurance Holdings,
Inc. ....................... 14,158 378,726
Hilltop Holdings, Inc.
(a)(b)...................... 5,891 57,378
Horace Mann Educators Corp. .. 4,925 45,261
Infinity Property & Casualty
Corp. ...................... 1,712 80,002
IPC Holdings, Ltd. ........... 5,749 171,895
Kansas City Life Insurance Co.
(a)......................... 495 21,458
Maiden Holdings Ltd........... 6,600 20,658
Max Re Capital, Ltd. (a)...... 5,869 103,881
MBIA, Inc. (a)(b)............. 28,787 117,163
Mercury General Corp. ........ 3,212 147,720
Montpelier Re Holdings, Ltd.
(a)......................... 10,470 175,791
National Financial Partners
Corp. (a)................... 4,764 14,483
National Interstate Corp.
(a)......................... 723 12,920
National Western Life
Insurance Co. (Class A)
(a)......................... 284 48,044
Navigators Group, Inc.
(a)(b)...................... 1,632 89,613
Odyssey Re Holdings Corp. .... 2,132 110,459
OneBeacon Insurance Group,
Ltd. (a).................... 2,895 30,224
Platinum Underwriters
Holdings, Ltd. (a).......... 5,860 211,429
Presidential Life Corp. (a)... 2,643 26,139
ProAssurance Corp. (a)(b)..... 3,788 199,931
Reinsurance Group of America,
Inc. ....................... 7,608 325,775
RLI Corp. .................... 2,367 144,766
Safety Insurance Group, Inc.
(a)......................... 2,040 77,642
Selective Insurance Group,
Inc. (a).................... 6,485 148,701
StanCorp Financial Group, Inc.
(a)......................... 6,010 251,038
State Auto Financial Corp.
(a)......................... 1,685 50,651
Stewart Information Services
Corp. (a)................... 2,138 50,222
The Hanover Insurance Group,
Inc. ....................... 6,350 272,860
The Phoenix Cos., Inc. (a).... 13,293 43,468
United America Indemnity, Ltd.
(a)(b)...................... 2,188 28,028
United Fire & Casualty Co.
(a)......................... 2,574 79,974
Unitrin, Inc. (a)............. 5,678 90,507
Validus Holdings, Ltd. ....... 3,989 104,352
Wesco Financial Corp. ........ 175 50,383
Zenith National Insurance
Corp. (a)................... 4,589 144,875
------------
6,927,189
------------
INTERNET SOFTWARE & SERVICES -- 0.1%
United Online, Inc. (a)....... 10,164 61,695
------------
IT SERVICES -- 0.5%
Convergys Corp. (b)........... 14,301 91,670
CSG Systems International,
Inc. (a)(b)................. 4,313 75,348
infoUSA, Inc. (a)............. 4,131 19,581
MAXIMUS, Inc. ................ 2,283 80,156
MoneyGram International, Inc.
(a)(b)...................... 10,822 10,930
Unisys Corp. (b).............. 39,198 33,318
------------
311,003
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.5%
Brunswick Corp. (a)........... 10,519 44,285
Callaway Golf Co. ............ 8,117 75,407
JAKKS Pacific, Inc. (a)(b).... 3,412 70,390
Polaris Industries, Inc. ..... 3,986 114,199
RC2 Corp. (b)................. 2,157 23,015
------------
327,296
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
AMAG Pharmaceuticals, Inc.
(a)(b)...................... 2,067 74,102
Cambrex Corp. (b)............. 3,560 16,447
Varian, Inc. (b).............. 3,648 122,245
------------
212,794
------------
MACHINERY -- 3.4%
Albany International Corp.
(Class A) (a)............... 3,112 39,958
Ampco-Pittsburgh Corp. (a).... 1,033 22,416
Astec Industries, Inc.
(a)(b)...................... 2,067 64,759
Barnes Group, Inc. (a)........ 5,454 79,083
Blount International, Inc.
(b)......................... 4,748 45,011
Briggs & Stratton Corp. (a)... 6,156 108,284
Cascade Corp. (a)............. 1,198 35,772
CIRCOR International, Inc. ... 2,070 56,925
Colfax Corp. (a)(b)........... 3,179 33,030
Crane Co. .................... 6,451 111,215
EnPro Industries, Inc.
(a)(b)...................... 2,467 53,139
Federal Signal Corp. ......... 5,928 48,669
Freightcar America, Inc. ..... 1,501 27,423
IDEX Corp. (a)................ 10,108 244,108
Kaydon Corp. (a).............. 4,238 145,575
Kennametal, Inc. ............. 9,038 200,553
Mueller Industries, Inc. (a).. 4,605 115,494
Mueller Water Products, Inc.
(Class B) (a)............... 14,346 121,080
NACCO Industries, Inc. ....... 657 24,579
Robbins & Myers, Inc. (a)..... 3,369 54,477
Sauer-Danfoss, Inc. (a)....... 1,387 12,136
Tecumseh Products Co. (Class
A) (a)(b)................... 1,930 18,490
Tennant Co. (a)............... 1,999 30,785
The Greenbrier Cos., Inc.
(a)......................... 1,836 12,613
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
The Timken Co. ............... 9,584 $ 188,134
Trinity Industries, Inc. ..... 9,755 153,739
Valmont Industries, Inc. (a).. 2,308 141,619
Watts Water Technologies, Inc.
(a)......................... 3,592 89,692
Xerium Technologies, Inc.
(a)(b)...................... 2,682 1,770
------------
2,280,528
------------
MARINE -- 0.4%
Alexander & Baldwin, Inc.
(a)......................... 5,101 127,831
Eagle Bulk Shipping, Inc.
(a)......................... 5,828 39,747
Excel Maritime Carriers, Ltd.
(a)......................... 4,678 32,933
Genco Shipping & Trading, Ltd.
(a)......................... 3,823 56,581
------------
257,092
------------
MEDIA -- 1.1%
Belo Corp. ................... 11,199 17,470
Citadel Broadcasting Corp.
(a)(b)...................... 21,972 3,516
Cox Radio, Inc. (Class A)
(a)(b)...................... 2,261 13,589
Cumulus Media, Inc. (a)(b).... 4,153 10,341
DreamWorks Animation SKG, Inc.
(Class A) (b)............... 7,128 180,053
Entercom Communications Corp.
(a)......................... 2,643 3,251
Fisher Communications, Inc.
(a)......................... 825 17,028
Harte-Hanks, Inc. ............ 4,850 30,264
Hearst-Argyle Television, Inc.
(a)......................... 3,085 18,695
Journal Communications, Inc.
(a)......................... 4,643 11,375
Lee Enterprises, Inc. (a)..... 5,149 2,111
Lin TV Corp. (Class A)
(a)(b)...................... 3,359 3,661
McClatchy Co. (Class A) (a)... 6,787 5,430
Media General, Inc. (Class A)
(a)......................... 1,479 2,588
Meredith Corp. (a)............ 4,518 77,348
RCN Corp. (a)(b).............. 4,660 27,494
Regal Entertainment Group..... 9,696 98,996
Scholastic Corp. (a).......... 4,073 55,311
Sinclair Broadcast Group, Inc.
(a)......................... 6,434 19,945
The New York Times Co. (Class
A) (a)...................... 14,351 105,193
Valassis Communications, Inc.
(a)(b)...................... 5,486 7,242
World Wrestling Entertainment,
Inc. (Class A) (a).......... 2,383 26,404
------------
737,305
------------
METALS & MINING -- 1.5%
AMCOL International Corp.
(a)......................... 3,178 66,579
Carpenter Technology Corp.
(a)......................... 5,432 111,573
Century Aluminum Co. (a)(b)... 4,357 43,570
Commercial Metals Co. (a)..... 14,080 167,130
Compass Minerals
International, Inc. (a)..... 3,961 232,352
Haynes International, Inc.
(b)......................... 1,486 36,585
Horsehead Holding Corp.
(a)(b)...................... 4,183 19,660
Kaiser Aluminum Corp. (a)..... 1,974 44,455
Olympic Steel, Inc. (a)....... 1,136 23,140
RTI International Metals, Inc.
(a)(b)...................... 2,828 40,469
Schnitzer Steel Industries,
Inc. (Class A) (a).......... 2,531 95,292
WHX Corp (b).................. 3,600 28,800
Worthington Industries, Inc.
(a)......................... 7,872 86,750
------------
996,355
------------
MULTI-UTILITIES -- 1.7%
Avista Corp. (a).............. 6,531 126,571
Black Hills Corp. (a)......... 4,729 127,494
CH Energy Group, Inc. (a)..... 1,879 96,562
NorthWestern Corp. (a)........ 4,438 104,160
OGE Energy Corp. ............. 11,286 290,953
PNM Resources, Inc. (a)....... 9,568 96,445
Vectren Corp. ................ 10,027 250,775
------------
1,092,960
------------
MULTILINE RETAIL -- 0.4%
Big Lots, Inc. (a)(b)......... 9,979 144,596
Dillard's, Inc. (Class A)
(a)......................... 7,539 29,930
Saks, Inc. (a)(b)............. 15,474 67,776
Tuesday Morning Corp. (a)(b).. 3,728 6,076
------------
248,378
------------
OIL, GAS & CONSUMABLE FUELS -- 5.5%
Alliance Resource Partners
LP.......................... 2,519 67,711
Atlas Pipeline Partners LP
(a)......................... 4,881 29,286
BP Prudhoe Bay Royalty Trust
(a)......................... 2,648 194,204
Buckeye GP Holdings LP (a).... 1,547 19,802
Buckeye Partners LP (a)....... 5,919 190,888
Calumet Specialty Products
Partners LP (a)............. 1,765 15,461
Capital Product Partners LP... 1,414 11,029
Clayton Williams Energy, Inc.
(b)......................... 1,138 51,711
Contango Oil & Gas Co.
(a)(b)...................... 1,753 98,694
Copano Energy LLC............. 5,264 61,431
Crosstex Energy LP............ 4,877 21,312
DCP Midstream Partners LP
(a)......................... 3,034 28,520
DHT Maritime, Inc. (a)........ 4,728 26,193
Dorchester Minerals LP........ 3,268 51,863
Encore Acquisition Co. (b).... 6,196 158,122
Encore Energy Partners LP..... 3,509 45,547
EV Energy Partner LP (a)...... 1,406 20,626
General Maritime Corp (a)..... 5,901 63,731
Harvest Natural Resources,
Inc. (a)(b)................. 4,312 18,542
Hiland Partners LP (a)........ 757 3,883
Holly Energy Partners LP...... 1,033 22,055
Hugoton Royalty Trust (a)..... 4,970 79,768
Inergy Holdings LP (a)........ 1,430 30,988
Inergy LP (a)................. 5,518 94,027
James River Coal Co. (a)(b)... 3,298 50,558
K-Sea Transportation Partners
LP (a)...................... 1,468 18,937
Linn Energy LLC (a)........... 13,553 202,888
Magellan Midstream Partners LP
(a)......................... 8,162 246,574
Markwest Energy Partners LP
(a)......................... 5,995 47,840
Martin Midstream Partners LP
(a)......................... 1,104 16,229
Natural Resource Partners LP.. 3,966 69,207
NuStar Energy LP (a).......... 5,232 214,826
NuStar GP Holdings LLC (a).... 4,233 74,839
OSG America LP................ 728 3,582
Overseas Shipholding Group,
Inc. (a).................... 2,731 115,002
Penn Virginia Resource
Partners LP (a)............. 3,842 43,684
Pioneer Southwest Energy
Partners, L.P. (a).......... 1,134 15,536
Ship Finance International,
Ltd. (a).................... 4,968 54,896
Southern Union Co. (a)........ 12,963 169,038
Stone Energy Corp. (a)(b)..... 4,218 46,482
Sunoco Logistics Partners LP.. 2,015 90,957
Swift Energy Co. (a)(b)....... 3,796 63,811
TC Pipelines LP (a)........... 1,982 46,081
Teekay LNG Partners LP (a).... 2,157 32,247
TEPPCO Partners LP............ 10,469 204,878
Tesoro Corp. (a).............. 16,933 223,008
USEC, Inc. (a)(b)............. 13,617 61,140
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
W&T Offshore, Inc. (a)........ 3,405 $ 48,760
Williams Partners LP (a)...... 4,969 59,330
------------
3,625,724
------------
PAPER & FOREST PRODUCTS -- 0.4%
AbitibiBowater, Inc. (a)(b)... 6,488 3,049
Buckeye Technologies, Inc.
(a)(b)...................... 4,766 17,348
Clearwater Paper Corp (a)(b).. 1,398 11,729
Deltic Timber Corp. (a)....... 1,335 61,076
Glatfelter (a)................ 5,565 51,755
Louisiana-Pacific Corp. (a)... 12,866 20,071
Neenah Paper, Inc. (a)........ 1,780 15,735
Schweitzer-Mauduit
International, Inc. ........ 1,979 39,620
Verso Paper Corp. (a)......... 1,599 1,647
Wausau-Mosinee Paper Corp.
(a)......................... 5,975 68,354
------------
290,384
------------
PERSONAL PRODUCTS -- 0.5%
Alberto-Culver Co. (a)........ 10,764 263,826
Nu Skin Enterprises, Inc.
(Class A)................... 6,445 67,221
------------
331,047
------------
PHARMACEUTICALS -- 1.1%
KV Pharmaceutical Co. (Class
A) (a)(b)................... 4,638 13,357
Par Pharmaceutical Cos., Inc.
(a)(b)...................... 4,334 58,119
Perrigo Co. (a)............... 10,404 336,153
Watson Pharmaceuticals, Inc.
(a)(b)...................... 12,873 342,036
------------
749,665
------------
PROFESSIONAL SERVICES -- 0.8%
CDI Corp. (a)................. 1,588 20,549
Duff & Phelps Corp. (Class A)
(a)(b)...................... 1,267 24,225
Heidrick & Struggles
International, Inc. (a)..... 1,995 42,972
Kelly Services, Inc. (Class
A).......................... 3,296 42,881
MPS Group, Inc. (b)........... 11,307 85,141
School Specialty, Inc.
(a)(b)...................... 1,998 38,202
Volt Information Sciences,
Inc. (a)(b)................. 1,234 8,922
Watson Wyatt Worldwide, Inc.
(Class A)................... 5,251 251,103
------------
513,995
------------
REAL ESTATE INVESTMENT TRUSTS -- 9.8%
Acadia Realty Trust (a)....... 3,755 53,584
Alexandria Real Estate
Equities, Inc. (a).......... 3,878 233,999
American Campus Communities,
Inc. (a).................... 5,267 107,868
Anthracite Capital, Inc. (a).. 9,039 20,157
Anworth Mortgage Asset Corp.
(a)......................... 10,321 66,364
Arbor Realty Trust, Inc. (a).. 2,971 8,764
Ashford Hospitality Trust,
Inc. (a).................... 10,980 12,627
Brandywine Realty Trust (a)... 10,925 84,232
BRE Properties, Inc. (a)...... 6,260 175,155
Capital Lease Funding, Inc.
(a)......................... 5,439 9,409
Capital Trust, Inc. (Class
A).......................... 2,042 7,351
Capstead Mortgage Corp. (a)... 6,894 74,248
CBL & Associates Properties,
Inc. (a).................... 8,098 52,637
Chimera Investment Corp. (a).. 21,633 74,634
Colonial Properties Trust
(a)......................... 5,115 42,608
Cousins Properties, Inc. (a).. 5,127 71,009
DCT Industrial Trust, Inc.
(a)......................... 21,110 106,817
DiamondRock Hospitality Co.
(a)......................... 10,959 55,562
Douglas Emmett, Inc. (a)...... 13,539 176,819
DuPont Fabros Technology, Inc.
(a)......................... 4,138 8,566
EastGroup Properties, Inc.
(a)......................... 3,092 110,013
Education Realty Trust, Inc.
(a)......................... 3,489 18,213
Entertainment Properties Trust
(a)......................... 4,024 119,915
Equity One, Inc. (a).......... 4,165 73,720
Essex Property Trust, Inc.
(a)......................... 3,240 248,670
Extra Space Storage, Inc.
(a)......................... 10,101 104,242
FelCor Lodging Trust, Inc.
(a)......................... 7,687 14,144
First Industrial Realty Trust,
Inc. (a).................... 5,433 41,019
First Potomac Realty Trust
(a)......................... 3,286 30,560
Franklin Street Properties
Corp. (a)................... 7,884 116,289
Friedman, Billings, Ramsey
Group, Inc. (a)(b).......... 17,218 2,927
Getty Realty Corp. (a)........ 2,095 44,121
Glimcher Realty Trust (a)..... 4,642 13,044
Gramercy Capital Corp. (a).... 4,747 6,076
Hatteras Financial Corp. ..... 4,322 114,965
Healthcare Realty Trust, Inc.
(a)......................... 7,154 167,976
Highwoods Properties, Inc. ... 7,833 214,311
Home Properties, Inc. (a)..... 3,988 161,913
Hospitality Properties Trust
(a)......................... 11,666 173,473
HRPT Properties Trust (a)..... 28,246 95,189
Inland Real Estate Corp. (a).. 7,467 96,922
Investors Real Estate Trust
(a)......................... 7,229 77,423
iStar Financial, Inc. (a)..... 15,922 35,506
JER Investors Trust, Inc.
(a)......................... 2,993 2,783
Kilroy Realty Corp. (a)....... 4,117 137,755
Kite Realty Group Trust (a)... 4,203 23,369
LaSalle Hotel Properties (a).. 5,089 56,233
Lexington Realty Trust (a).... 9,456 47,280
LTC Properties, Inc. (a)...... 2,570 52,120
Maguire Properties, Inc.
(a)(b)...................... 4,244 6,196
Medical Properties Trust, Inc.
(a)......................... 8,319 52,493
MFA Mortgage Investments, Inc.
(a)......................... 25,372 149,441
Mid-America Apartment
Communities, Inc. .......... 3,397 126,233
National Health Investors,
Inc. (a).................... 3,079 84,457
National Retail Properties,
Inc. (a).................... 9,585 164,766
Nationwide Health Properties,
Inc. (a).................... 12,215 350,815
Newcastle Investment Corp.
(a)......................... 6,464 5,430
NorthStar Realty Finance Corp.
(a)......................... 7,100 27,761
Omega Healthcare Investors,
Inc. ....................... 10,042 160,371
Parkway Properties, Inc. (a).. 1,898 34,164
Pennsylvania Real Estate
Investment Trust (a)........ 4,837 36,036
Post Properties, Inc. (a)..... 5,440 89,760
Potlatch Corp. (a)............ 4,895 127,319
PS Business Parks, Inc. ...... 1,846 82,442
RAIT Investment Trust (a)..... 7,496 19,490
Ramco-Gershenson Properties
Trust (a)................... 2,272 14,041
Realty Income Corp. (a)....... 12,822 296,829
Redwood Trust, Inc. .......... 3,522 52,513
Saul Centers, Inc. ........... 1,402 55,379
Senior Housing Properties
Trust (a)................... 13,968 250,307
Sovran Self Storage, Inc. .... 2,730 98,280
Strategic Hotels & Resorts,
Inc. (a).................... 9,161 15,390
Sun Communities, Inc. (a)..... 2,034 28,476
Sunstone Hotel Investors, Inc.
(a)......................... 5,860 36,273
U-Store-It Trust (a).......... 5,840 25,988
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
Universal Health Realty Income
Trust (a)................... 1,385 $ 45,580
Urstadt Biddle Properties
(a)......................... 514 7,325
Urstadt Biddle Properties
(Class A)................... 2,280 36,320
Washington Real Estate
Investment Trust (a)........ 6,179 174,866
------------
6,497,322
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7%
Avatar Holdings, Inc. (a)(b).. 712 18,882
Forestar Real Estate Group,
Inc. (a)(b)................. 3,991 37,994
Jones Lang LaSalle, Inc. (a).. 4,223 116,977
Meruelo Maddux Properties,
Inc. (b).................... 4,856 6,022
The St. Joe Co. (a)(b)........ 11,258 273,795
------------
453,670
------------
ROAD & RAIL -- 0.6%
Amerco, Inc. (b).............. 697 24,067
Arkansas Best Corp. (a)....... 2,766 83,284
Avis Budget Group, Inc.
(a)(b)...................... 12,807 8,965
Con-way, Inc. ................ 5,646 150,184
Werner Enterprises, Inc. (a).. 6,343 109,988
YRC Worldwide, Inc. (a)(b).... 7,132 20,469
------------
396,957
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.5%
Actel Corp. (b)............... 3,210 37,621
Cohu, Inc. ................... 2,685 32,623
DSP Group, Inc. (a)(b)........ 2,695 21,614
Entegris, Inc. (a)(b)......... 14,281 31,275
Exar Corp. (a)(b)............. 4,470 29,815
Fairchild Semiconductor
International, Inc. (a)(b).. 15,321 74,920
Lattice Semiconductor Corp.
(a)(b)...................... 14,547 21,966
Standard Microsystems Corp.
(a)(b)...................... 2,778 45,392
Veeco Instruments, Inc.
(a)(b)...................... 3,590 22,761
------------
317,987
------------
SOFTWARE -- 1.0%
Compuware Corp. (a)(b)........ 30,269 204,316
Novell, Inc. (a)(b)........... 42,348 164,734
Renaissance Learning, Inc. ... 929 8,352
Sybase, Inc. (a)(b)........... 9,910 245,470
Take-Two Interactive Software,
Inc. (a).................... 9,289 70,225
------------
693,097
------------
SPECIALTY RETAIL -- 2.1%
Asbury Automotive Group,
Inc. ....................... 3,916 17,896
AutoNation, Inc. (b).......... 13,632 134,684
Barnes & Noble, Inc. (a)...... 4,686 70,290
Blockbuster, Inc. (Class A)
(a)(b)...................... 21,715 27,361
Borders Group, Inc. (b)....... 5,835 2,334
Brown Shoe Co., Inc. (a)...... 5,349 45,306
Charlotte Russe Holding, Inc.
(a)(b)...................... 2,682 17,406
Collective Brands, Inc.
(a)(b)...................... 7,841 91,897
Foot Locker, Inc. (a)......... 19,383 142,271
Genesco, Inc. (a)(b).......... 2,374 40,168
Group 1 Automotive, Inc. (a).. 2,792 30,070
Jo-Ann Stores, Inc. (a)(b).... 3,068 47,523
OfficeMax, Inc. .............. 9,347 71,411
Penske Automotive Group, Inc.
(a)......................... 5,068 38,922
Pier 1 Imports, Inc. (a)(b)... 9,913 3,668
RadioShack Corp. (a).......... 15,379 183,625
Rent-A-Center, Inc. (a)(b).... 8,245 145,524
Sally Beauty Holdings, Inc.
(a)(b)...................... 10,394 59,142
Sonic Automotive, Inc. (Class
A) (a)...................... 3,503 13,942
Stage Stores, Inc. ........... 4,638 38,264
Stein Mart, Inc. (a)(b)....... 2,702 3,053
Talbots, Inc. (a)............. 2,810 6,716
The Buckle, Inc. (a).......... 2,957 64,522
The Cato Corp. (Class A)...... 3,387 51,144
The Pep Boys -- Manny, Moe &
Jack (a).................... 5,514 22,773
Zale Corp. (a)(b)............. 2,701 8,994
------------
1,378,906
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.2%
Columbia Sportswear Co. (a)... 1,863 65,894
Hanesbrands, Inc. (a)(b)...... 11,668 148,767
Jones Apparel Group, Inc.
(a)......................... 10,383 60,844
Kenneth Cole Productions, Inc.
(Class A) (a)............... 995 7,045
Liz Claiborne, Inc. (a)....... 11,594 30,144
Movado Group, Inc. (a)........ 2,293 21,531
Oxford Industries, Inc. (a)... 1,719 15,076
Phillips-Van Heusen Corp. .... 6,411 129,054
Skechers USA, Inc. (a)(b)..... 4,006 51,357
The Timberland Co. (Class A)
(b)......................... 5,787 66,840
UniFirst Corp. (a)............ 1,720 51,067
Wolverine World Wide, Inc.
(a)......................... 6,107 128,491
------------
776,110
------------
THRIFTS & MORTGAGE FINANCE -- 2.5%
Anchor Bancorp Wisconsin,
Inc. ....................... 2,320 6,403
Astoria Financial Corp. ...... 10,805 178,066
Bank Mutual Corp. (a)......... 6,096 70,348
Brookline Bancorp, Inc. (a)... 7,331 78,075
Capitol Federal Financial
(a)......................... 2,568 117,101
Clifton Savings Bancorp, Inc.
(a)......................... 1,348 15,987
Corus Bankshares, Inc. (a).... 3,163 3,511
Dime Community Bancshares
(a)......................... 3,818 50,779
Doral Financial Corp. (a)(b).. 538 4,035
Fannie Mae (a)................ 131,610 100,024
First Financial Holdings, Inc.
(a)......................... 1,482 29,996
First Niagara Financial Group,
Inc. (a).................... 14,528 234,918
First Place Financial Corp.
(a)......................... 1,950 7,468
Flagstar Bancorp, Inc.
(a)(b)...................... 7,051 5,006
Flushing Financial Corp. (a).. 2,461 29,434
Freddie Mac (a)............... 81,114 59,213
Guaranty Financial Group, Inc.
(a)(b)...................... 8,016 20,922
Kearny Financial Corp. (a).... 2,661 34,061
MGIC Investment Corp. (a)..... 15,027 52,294
Northwest Bancorp, Inc. (a)... 2,463 52,659
Provident Financial Services,
Inc. ....................... 6,940 106,182
Provident New York Bancorp
(a)......................... 4,666 57,858
Radian Group, Inc. (a)........ 9,863 36,296
Roma Financial Corp. (a)...... 996 12,540
The PMI Group, Inc. (a)....... 9,961 19,424
TrustCo Bank Corp. NY (a)..... 9,437 89,746
Washington Federal, Inc. (a).. 10,740 160,670
WSFS Financial Corp. (a)...... 762 36,568
------------
1,669,584
------------
</Table>
See accompanying notes to financial statements.
SPDR DJ WILSHIRE SMALL CAP VALUE ETF
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
TOBACCO -- 0.3%
Alliance One International,
Inc. (b).................... 11,163 $ 32,819
Universal Corp. (a)........... 3,173 94,778
Vector Group, Ltd. (a)........ 4,636 63,142
------------
190,739
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.8%
Aircastle, Ltd. (a)........... 5,356 25,602
Applied Industrial
Technologies, Inc. (a)...... 4,789 90,608
GATX Corp. (a)................ 5,286 163,707
Kaman Corp. (Class A)......... 3,141 56,946
Lawson Products, Inc. (a)..... 533 12,179
Textainer Group Holdings, Ltd.
(a)......................... 2,189 23,203
United Rentals, Inc. (a)(b)... 6,279 57,265
Watsco, Inc. (a).............. 2,992 114,893
------------
544,403
------------
TRANSPORTATION INFRASTRUCTURE -- 0.0% (c)
Macquarie Infrastructure Co.
LLC (a)..................... 5,551 20,927
------------
WATER UTILITIES -- 0.8%
American States Water Co.
(a)......................... 2,085 68,763
Aqua America, Inc. (a)........ 16,398 337,635
California Water Service
Group....................... 2,324 107,903
SJW Corp. (a)................. 1,577 47,216
------------
561,517
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
TerreStar Corp. (a)(b)........ 10,668 4,267
USA Mobility, Inc. (a)(b)..... 2,862 33,114
------------
37,381
------------
TOTAL COMMON STOCKS --
(Cost $108,627,174)......... 65,841,276
------------
SHORT TERM INVESTMENTS -- 26.6%
MONEY MARKET FUNDS -- 26.6%
State Street Navigator
Securities Lending prime
Portfolio (d)(e)............ 16,940,317 16,940,317
STIC Prime Portfolio.......... 615,434 615,434
------------
TOTAL SHORT TERM
INVESTMENTS --
(Cost $17,555,751).......... 17,555,751
------------
TOTAL INVESTMENTS -- 126.2%
(Cost $126,182,925)......... 83,397,027
OTHER ASSETS AND
LIABILITIES -- (26.2)%...... (17,337,134)
------------
NET ASSETS -- 100.0%.......... $ 66,059,893
============
</Table>
(a) Security, or portion thereof, was on loan at December 31, 2008.
(b) Non-income producing security.
(c) Amount represents less than 0.05% of net assets.
(d) Investments of cash collateral for securities loaned.
(e) Affiliated Fund managed by SSgA Funds Management, Inc.
See accompanying notes to financial statements.
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 20, 2009
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 20, 2009
By: /s/ Gary L. French
------------------------------------
Gary L. French
Treasurer and Principal Financial Officer
Date: February 20, 2009