N-CSR 1 d403933dncsr.htm THE SELECT SECTOR SPDR TRUST THE SELECT SECTOR SPDR TRUST

 

 

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: 811-08837

 

 

THE SELECT SECTOR SPDR® TRUST

(Exact name of registrant as specified in charter)

 

 

One Iron Street, Boston, Massachusetts 02210

(Address of principal executive offices) (zip code)

 

 

Sean O’Malley, Esq.

Senior Vice President and General Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

(Name and address of agent for service)

 

 

Copy to:

W. John McGuire, Esq.

Morgan, Lewis, & Bockius, LLP

1111 Pennsylvania Avenue, NW

Washington, D.C. 20004

 

 

Registrant’s telephone number, including area code: (617) 664-1465

Date of fiscal year end: September 30

Date of reporting period: September 30, 2022

 

 

 


Item 1. Report to Shareholders.

(a) The Reports to Shareholders are attached herewith.


The Select Sector SPDR Trust
Annual Report

September 30, 2022


Select Sector SPDR Funds
The Select Sector SPDR Trust consists of eleven separate investment portfolios (each a “Select Sector SPDR Fund” or a “Fund” and collectively the “Select Sector SPDR Funds” or the “Funds”).
Select Sector SPDR Funds are “index funds” that unbundle the benchmark S&P 500® and give you ownership in particular sectors or groups of industries that are represented by a specified Select Sector Index. Through a single share, investors can buy or sell any of eleven major industry sectors that make up the S&P 500®, in the same way as they would buy or sell a share of stock. Select Sector SPDR Fund shares are different from the shares of conventional mutual funds. Select Sector SPDR Funds trade on NYSE Arca, Inc.
Eleven Select Sector SPDR Funds
Shares are available for exchange trading in the following Funds of The Select Sector SPDR Trust:
The Communication Services Select Sector SPDR Fund XLC
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 Real Estate Select Sector SPDR Fund XLRE
The Technology Select Sector SPDR Fund XLK
The Utilities Select Sector SPDR Fund XLU
Each of these Funds is designed to, before expenses, correspond generally to the price and yield performance of a Select Sector Index. Each Fund’s portfolio is comprised principally of shares of constituent companies in the S&P 500®. Each stock in the S&P 500® is allocated to one Select Sector Index. The combined companies of the eleven Select Sector Indexes represent all of the companies in the S& P 500®. Each Select Sector SPDR Fund can be expected to move up or down in value with its underlying Select Sector Index. Investors cannot invest directly in an index. Funds focused on a single sector generally experience greater price fluctuations than the overall stock market.
Objective
Select Sector SPDR Funds are designed to provide investors with an affordable way to invest in a portfolio of equity securities in a sector or group of industries in a single trade. Select Sector SPDR Funds allow you to tailor asset allocations to fit your particular investment needs or goals. One Fund may complement another; individual Select Sector SPDR Funds can be used to increase exposure to certain industries that may be outperforming the market or to hedge other holdings in your portfolio. Although an individual Select Sector SPDR Fund may bear a higher level of risk than a broad-market fund, because of less diversification, sector investments may also offer opportunities for returns greater than an investment in the entire constituents of the S&P 500®.
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 from the Distributor, ALPS Portfolio Solutions Distributor, Inc., by calling 1-866-SECTOR-ETF (1-866-732-8673). Please read the prospectus carefully before you invest.
S&P 500: the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged, index of common stock prices.


TABLE OF CONTENTS

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Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited)  

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Schedules of Investments  

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[This Page Intentionally Left Blank]


Notes to Performance Summaries (Unaudited)
The performance chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the value of one share of a 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 a Fund and the market return is based on the market price per share of a 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 a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions 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, a Fund’s performance is negatively impacted by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
The Communication Services Select Sector Index includes companies that have been identified as Communication Services companies by the Global Industry Classification Standard (GICS® ), including securities of companies from the following industries: diversified telecommunication services; wireless telecommunication services; media; entertainment; and interactive media & services.
The Consumer Discretionary Select Sector Index seeks to provide an effective representation of the consumer discretionary sector of the S&P 500 Index. The Index includes companies from the following industries: retail (specialty, multiline, internet and direct marketing); hotels, restaurants and leisure; textiles, apparel and luxury goods; household durables; automobiles; auto components; distributors; leisure products; and diversified consumer services.
The Consumer Staples Select Sector Index seeks to provide an effective representation of the consumer staple sector of the S&P 500 Index. The Index includes companies from the following industries: food and staples retailing; household products; food products; beverages; tobacco; and personal products.
The Energy Select Sector Index seeks to provide an effective representation of the energy sector of the S&P 500 Index. The Index includes companies from the following industries: oil, gas and consumable fuels; and energy equipment and services.
The Financials Select Sector Index seeks to provide an effective representation of the financial sector of the S&P 500 Index. The Index includes companies from the following industries: diversified financial services; insurance; banks; capital markets; mortgage real estate investment trusts ("REITs"); consumer finance; and thrifts and mortgage finance.
The Health Care Select Sector Index seeks to provide an effective representation of the health care sector of the S&P 500 Index. The Index includes companies from the following industries: pharmaceuticals; health care equipment and supplies; health care providers and services; biotechnology; life sciences tools and services; and health care technology.
The Industrials Select Sector Index seeks to provide an effective representation of the industrial sector of the S&P 500 Index. The Index includes companies from the following industries: aerospace and defense; industrial conglomerates; marine; transportation infrastructure; machinery; road and rail; air freight and logistics; commercial services and supplies; professional services; electrical equipment; construction and engineering; trading companies and distributors; airlines; and building products.
The Materials Select Sector Index seeks to provide an effective representation of the materials sector of the S&P 500 Index. The Index includes companies from the following industries: chemicals; metals and mining; paper and forest products; containers and packaging; and construction materials.
The Real Estate Select Sector Index seeks to provide an effective representation of the real estate sector of the S&P 500 Index. The Index includes companies from the following industries: real estate management and development and REITs, excluding mortgage REITs.
See accompanying notes to financial statements.
1


Notes to Performance Summaries (Unaudited)  (continued)
The Technology Select Sector Index seeks to provide an effective representation of the technology sector of the S&P 500 Index. The Index includes companies from the following industries: technology hardware, storage, and peripherals; software; communications equipment; semiconductors and semiconductor equipment; IT services; and electronic equipment, instruments and components.
The Utilities Select Sector Index seeks to provide an effective representation of the utilities sector of the S&P 500 Index. The Index includes companies from the following industries: electric utilities; water utilities; multi-utilities; independent power producers and renewable electricity producers; and gas utilities.
The S&P 500 Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups.
See accompanying notes to financial statements.
2


THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Communication Services Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Communication Services Select Sector Index. The Fund’s benchmark is the Communication Services Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –39.71%, and the Index was –39.69%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.
It was a difficult year for Communication Services as all four quarters of the Reporting Period had negative returns. The final quarter of 2021 ended only slightly in the red as top name Alphabet did enjoy gains from strengthening internet advertising business as people were spending more time using the google search function to shop online leading up to and during the holiday season. The first quarter of 2022, Facebook owner Meta Platforms retreated after the social media company revealed a weaker-than-anticipated forecast, thanks to Apple’s privacy changes and greater competition for users from rival social media platforms like TikTok., Meta also warned about extended slowing revenue growth over the Reporting Period due to heightened competition for users and shifts in online activity toward features like short videos, which generate less revenue.
Walt Disney Co. managed to enjoy increased subscription growth for its flagship Disney+ streaming service despite increased competition in an already crowded digital media market. Disney also saw record income from its theme parks and resorts as the worst of the pandemic subsided. Twitter shares benefited late spring as well on Elon Musk’s disclosed 9% stake in the social media company. Toward the end of the Reporting Period, Warner Bros. Discovery, the new company that combined Discovery with AT&T’s WarnerMedia earlier in 2022, laid out ambitious plans to expand, such as combined streaming service for HBO Max and Discovery+. Unfortunately, these successes were far outweighed by the continued struggles of the top names in the Communication Services Index. Meta Platforms and Alphabet fell by 60% and 28%, respectively, during the Reporting Period. Netflix also continued to lose subscribers to growing competitive streaming services. Overall, every name in the Index suffered negative returns for the Reporting Period, except for one. T-Mobile returned +5% for the Reporting Period as the company grabbed the 5G lead over Verizon, as the costly integration for the Sprint deal neared a close.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were News Corp. Class B, Discovery Inc. Class C and T-Mobile Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Alphabet Inc. Class C, Alphabet Inc. Class A and Meta Platforms Inc. Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
3


The Communication Services Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Communication Services Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Communication Services Select Sector Index S&P 500 Index  
    ONE YEAR   39.71% 39.67% 39.69% 15.47%   39.71% 39.67% 39.69% 15.47%  
    SINCE INCEPTION (1)   0.59% 0.54% 0.16% 39.31%   0.14% 0.13% 0.04% 8.04%  
(1) For the period June 18, 2018 to September 30, 2022.
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
* Inception date.
The total expense ratio for The Communication Services Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
4


The Communication Services Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Meta Platforms, Inc. Class A 1,340,924,490 17.7%  
  Alphabet, Inc. Class A 911,071,128 12.1  
  Alphabet, Inc. Class C 818,964,452 10.8  
  T-Mobile US, Inc. 349,998,545 4.6  
  Activision Blizzard, Inc. 342,617,449 4.5  
  TOTAL 3,763,576,064 49.7%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
5


THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Consumer Discretionary Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Discretionary Select Sector Index. The Fund’s benchmark is the Consumer Discretionary Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –20.06%, and the Index was –20.01%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.
The Fund started out the Reporting Period with positive returns the last quarter of 2021. Consumer confidence in the U.S. improved in December, helping out year-end sales during the holiday season. Increased confidence also suggested economic growth momentum will continue in 2022 despite the persistent inflation.
During the last three quarters of the Reporting Period, Amazon shares rallied in February after the e-commerce giant surprised investors with a near doubling in profit over the holiday period, especially after warning of supply chain problems.  Shortly thereafter, Amazon announced a 20:1 stock split was slated for June 2022 along with a $10 billion stock repurchase plan. Travel and leisure groups started to regain some profitability in April following the major slump caused by the COVID-19 pandemic.  Profit outlook for automotive companies even started to slowly improve.
Unfortunately, positive momentum was seriously trumped by negative news from Tesla, the Fund’s second largest weighted name, in the second quarter of 2022, helping the overall Fund’s performance to fall over 25%. Tesla had a difficult few months, thanks to concerns over inflation and possible recession. In addition, the zero-tolerance COVID-19 lockdown measures in Beijing weighed on Tesla’s ongoing supply-chain problems and surging raw material costs. CEO Elon Musk’s high-profile Twitter takeover bid also added to concern that he would sell off holdings to pay for this potential acquisition. Finally, the Fund was able to manage a small positive uptick toward the end of the Reporting Period, as names like Dollar Tree and Dollar General surged after the discount variety store chains revealed better-than-expected profits.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Dollar General Corp., O’Reilly Automotive and Autozone, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Nike Inc. Class B, Tesla and Amazon.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
6


The Consumer Discretionary Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Consumer Discretionary Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Consumer Discretionary Select Sector Index S&P 500 Index  
    ONE YEAR   20.06% 20.05% 20.01% 15.47%   20.06% 20.05% 20.01% 15.47%  
    FIVE YEARS   66.51% 66.60% 67.59% 55.55%   10.74% 10.75% 10.88% 9.24%  
    TEN YEARS   245.53% 245.63% 250.93% 202.44%   13.20% 13.20% 13.38% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Consumer Discretionary Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
7


The Consumer Discretionary Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Amazon.com, Inc. 3,154,805,303 22.4%  
  Tesla, Inc. 3,062,314,964 21.7  
  Home Depot, Inc. 670,102,078 4.7  
  McDonald's Corp. 647,235,622 4.6  
  Lowe's Cos., Inc. 574,151,322 4.1  
  TOTAL 8,108,609,289 57.5%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
8


THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Consumer Staples Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Consumer Staples Select Sector Index. The Fund’s benchmark is the Consumer Staples Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –0.63%, and the Index was –0.49%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
The Reporting Period was a volatile period for the securities markets as significantly heightened geopolitical issues, lingering and growing higher inflation readings, dramatic increases in the Federal Funds rate and declining consumer sentiment surveys collectively impacted market returns. The Consumer Staples Sector (the “Sector”) did relatively well in this environment posting a very modest decline. This Sector was helped by its relatively defensive nature as though consumers may delay some discretionary purchases the nature of this segment generally precludes appreciably delaying purchases. Slight easing of supply chains also helped this sector with continuing expectations of further improvements on the input side. In a reversal from the prior period, firms who’s business model involved supplying restaurants were helped by a more mobile consumer as the impacts from COVID-19 modestly waned in terms of foot traffic. In general, the firms that have pricing power and can pass on higher input costs to the end consumers were the best performing stocks within this sector during this Reporting Period. The markets “risk off” mindset during the last two quarters of the Reporting Period also contributed to this fund’s returns.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Coca-Cola Company, General Mills, Inc. and PepsiCo, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Procter & Gamble Company, Walgreens Boots Alliance, Inc. and Estee Lauder Companies Inc. Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
9


The Consumer Staples Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Consumer Staples Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Consumer Staples Select Sector Index S&P 500 Index  
    ONE YEAR   0.63% 0.57% 0.49% 15.47%   0.63% 0.57% 0.49% 15.47%  
    FIVE YEARS   41.37% 41.48% 42.31% 55.55%   7.17% 7.19% 7.31% 9.24%  
    TEN YEARS   143.07% 143.24% 146.93% 202.44%   9.29% 9.30% 9.46% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Consumer Staples Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
10


The Consumer Staples Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Procter & Gamble Co. 2,098,652,740 14.5%  
  PepsiCo, Inc. 1,567,382,365 10.8  
  Coca-Cola Co. 1,516,786,764 10.5  
  Costco Wholesale Corp. 1,455,261,279 10.1  
  Walmart, Inc. 679,026,062 4.7  
  TOTAL 7,317,109,210 50.6%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
11


THE ENERGY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Energy Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Energy Select Sector Index. The Fund’s benchmark is the Energy Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was 44.34%, and the Index was 44.49%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cumulative security misweights between the Fund and the Index and Fund expenses contributed to the difference between the Fund’s performance and that of the Index.
The energy sector proved to be the strongest sector over the last 12 months far outpacing Utilities as the only other positive performing sector which returned over 5%. Much of the strong performance in energy can be attributed to general inflation, higher oil prices, and the Russia-Ukraine war that exacerbated supply chain and inflation problems.
Within the last 12 months, the U.S. Federal Reserve took a more hawkish turn and began fighting inflation with its first rate hikes since 2018. Inflation has remained persistent as the U.S. Federal Reserve continues to raise interest rates. With gas prices peaking in the middle of the summer months, the U.S. government released oil reserves helping to relieve pressure and reduce gas price.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Occidental Petroleum Corporation, Exxon Mobil Corporation, and Chevron Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were E-mini SP 500 Energy (CME) Dec 21, E-mini SP 500 Energy (CME) Jun 22 and Baker Hughes Company Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
12


The Energy Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Energy Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Energy Select Sector Index S&P 500 Index  
    ONE YEAR   44.34% 44.42% 44.49% 15.47%   44.34% 44.42% 44.49% 15.47%  
    FIVE YEARS   33.58% 33.64% 34.47% 55.55%   5.96% 5.97% 6.10% 9.24%  
    TEN YEARS   41.17% 41.31% 42.93% 202.44%   3.51% 3.52% 3.64% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Energy Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
13


The Energy Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Exxon Mobil Corp. 7,640,126,683 22.8%  
  Chevron Corp. 6,556,871,802 19.6  
  ConocoPhillips 1,510,057,709 4.5  
  EOG Resources, Inc. 1,496,393,298 4.5  
  Pioneer Natural Resources Co. 1,490,246,722 4.4  
  TOTAL 18,693,696,214 55.8%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
14


THE FINANCIAL SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Financial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Financial Select Sector Index. The Fund’s benchmark is the Financial Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –17.67%, and the Index was –17.65%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
There were a number of factors that contributed to this Fund’s decline during the Reporting Period. The combination of declining loan growth and an inverted yield curve raised significant worries regarding potential revenue challenges for the banking segment. Additionally, this sector continued to be impacted by a heightened regulatory environment with a particular focus on ESG and lending standards. As markets declined during the Reporting Period, revenue concerns increased for the firms with an asset management business focus. Along with declining markets, recession concerns rose significantly bringing with it worries regarding an uptick of bad debt being on balance sheets although by many measures firms and consumers were better positioned relative to other sizable market down turns. Rising interest rates were not a negative for all constituents as there were expectations that insurance companies would be better positioned in regard to revenue and investment returns.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Progressive Corporation, Arthur J. Gallagher & Co. and M&T Bank Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were JPMorgan Chase & Co., Bank of America Corp. and Citigroup Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
15


The Financial Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Financial Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Financial Select Sector Index S&P 500 Index  
    ONE YEAR   17.67% 17.59% 17.65% 15.47%   17.67% 17.59% 17.65% 15.47%  
    FIVE YEARS   29.69% 29.81% 30.50% 55.55%   5.34% 5.36% 5.47% 9.24%  
    TEN YEARS   190.01% 190.27% 193.74% 202.44%   11.24% 11.24% 11.38% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Financial Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
16


The Financial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Berkshire Hathaway, Inc. Class B 3,906,129,039 14.5%  
  JPMorgan Chase & Co. 2,483,914,840 9.2  
  Bank of America Corp. 1,711,196,145 6.3  
  Wells Fargo & Co. 1,236,532,569 4.6  
  Charles Schwab Corp. 889,505,883 3.3  
  TOTAL 10,227,278,476 37.9%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
17


THE HEALTH CARE SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Health Care Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Health Care Select Sector Index. The Fund’s benchmark is the Health Care Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –3.47%, and the Index was –3.37%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
The COVID-19 pandemic and the policy and medical response to it continued to have an appreciable impact on many of the constituents of this Fund during the Reporting Period. This was most notably manifested on the demand side as the medical community continues to work down the backlog of deferred medical procedures. Additionally, market expectations are for a much higher run rate of government spending on healthcare and research than the historical norm. This change was heavily influenced by the pandemic and the responses to the pandemic. Another positive for this sector was a decline in regulatory concerns during the Reporting Period. Also, secular trends such as the continuing increased health care demands associated with the ongoing aging of the American population continue to make a positive contribution to many of this Fund’s constituents. This demographic trend is anticipated to lead to continued strong growth in the medical products, pharmaceuticals and medical services markets. Additionally, the return for many of the constituents of this Fund were helped by the sector’s continued dramatic innovation success as evidenced by a much quicker than anticipated response to the COVID-19 pandemic. This spirit and success at innovation has positively contributed to the Fund in the past and breakthroughs associated with the recent pandemic response are expected to contribute to returns in the future. Finally though slower than recent periods, mergers and acquisitions both completed and anticipated contributed to this Fund’s return.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were AbbVie, Inc., UnitedHealth Group Incorporated and Eli Lilly and Company. The top negative contributors to the Fund’s performance during the Reporting Period were Moderna, Inc., Intuitive Surgical, Inc. and Medtronic Plc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
18


The Health Care Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Health Care Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Health Care Select Sector Index S&P 500 Index  
    ONE YEAR   3.47% 3.38% 3.37% 15.47%   3.47% 3.38% 3.37% 15.47%  
    FIVE YEARS   61.16% 61.31% 62.25% 55.55%   10.01% 10.04% 10.16% 9.24%  
    TEN YEARS   255.21% 255.62% 260.63% 202.44%   13.51% 13.53% 13.69% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Health Care Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
19


The Health Care Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  UnitedHealth Group, Inc. 3,710,878,873 10.4%  
  Johnson & Johnson 3,373,879,307 9.4  
  Eli Lilly & Co. 2,003,166,831 5.6  
  Pfizer, Inc. 1,929,242,832 5.4  
  AbbVie, Inc. 1,864,038,529 5.2  
  TOTAL 12,881,206,372 36.0%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
20


THE INDUSTRIAL SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Industrial Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Industrial Select Sector Index. The Fund’s benchmark is the Industrial Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –13.95%, and the Index was –13.87%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.
After a promising first fiscal quarter (+8.6%), the Index retreated for the rest of the Reporting Period leading to an overall loss of 13.95% for the fiscal year and giving back much of the previous fiscal year’s 29% gain. The good times early in the Reporting Period led by humanity’s re-emergence from the COVID-19 pandemic gave way to conflict, global inflation, and supply chain shortcomings that were primary drivers of Fund’s performance during the Reporting Period. The slide started as the calendar turned to 2022. Investor sentiment was weighed down by concerns around the Russia-Ukraine war and the tightening stance adopted by the U.S. Federal Reserve in the wake of surging inflation. The third fiscal quarter was the primary source for the overall return losing 14.8% alone during that three month stretch. During that quarter, energy and commodity prices were pushed to extreme levels as a result of the war and the trickle effect of higher fuel prices led to increased supply chain disruptions.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Waste Management, Inc., Northrop Grumman Corp. and Lockheed Martin Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were 3M Company, Boeing Company and General Electric Company.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
21


The Industrial Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Industrial Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Industrial Select Sector Index S&P 500 Index  
    ONE YEAR   13.95% 13.84% 13.87% 15.47%   13.95% 13.84% 13.87% 15.47%  
    FIVE YEARS   27.53% 27.66% 28.51% 55.55%   4.98% 5.01% 5.14% 9.24%  
    TEN YEARS   174.67% 174.98% 179.02% 202.44%   10.63% 10.64% 10.81% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Industrial Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
22


The Industrial Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Union Pacific Corp. 568,364,946 5.1%  
  Raytheon Technologies Corp. 564,644,903 5.1  
  United Parcel Service, Inc. Class B 552,290,398 5.0  
  Honeywell International, Inc. 525,493,160 4.7  
  Deere & Co. 433,841,307 3.9  
  TOTAL 2,644,634,714 23.8%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
23


THE MATERIALS SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Materials Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Materials Select Sector Index. The Fund’s benchmark is the Materials Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –12.23%, and the Index was –12.15%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cumulative security misweights between the Fund and the Index and Fund expenses contributed to the difference between the Fund’s performance and that of the Index.
Global economic activity continued to expand in the fourth quarter of 2021, albeit at a measurably moderate pace, with several factors contributing to multiple headwinds. Supply chain bottlenecks continued to persist and sapped growth momentum during the quarter. Rising COVID-19 cases toward the end of the quarter triggered disruption to services and created further bottlenecks related to labor, transportation and goods. Key central banks across regions pivoted to a hawkish stance amid persistent high inflation, thereby increasing the risk to growth momentum in early 2022.
On the fiscal front, the U.S. Congress passed a bipartisan infrastructure bill, whereas the more ambitious “build back better” spending bill did not find enough support in the Senate. On the monetary policy front, global central banks, led by the U.S. Federal Reserve, turned mostly hawkish by varying degrees. The U.S. Federal Reserve abandoned its notion of ‘transitory inflation’, as inflation is now expected to persist longer than expected and announced that it would double the pace of tapering, paving the way for a rate hike in early 2022. With fiscal stimulus in place, this proved to be the only quarter for the Reporting Period where the Fund generated positive returns. During this quarter, the Fund was up 15.1%.
Global economic growth and equity markets faced multiple headwinds in the first quarter of 2022. Commodity prices accelerated the trend as western countries imposed strict sanctions on Russia’s economy. Hawkish pivot by western central banks amid rising inflation also weighed on stocks and bonds. The Russia-Ukraine war further exacerbated the supply chain and inflation problems at the end of February.
On the monetary policy front, the major central banks adopted a more hawkish tone in the quarter amid stubbornly high inflation. The U.S. Federal Reserve delivered its first rate hike since 2018 but surprised the markets, signaling a much more hawkish pivot with expectations of six further 25 bp hikes this year. With the back drop of rising inflation and continued supply disruptions and the Fund dropped –2.4% for the quarter.
Persistent inflation pressure forced central banks to accelerate tightening, risking a hard landing. Incoming data from key developed markets pointed toward broad-based deceleration in economic activities. However, China’s rebound helped soften the pace of the global slowdown. Geopolitical risks remained elevated amid the ongoing Russia-Ukraine war and continued escalations between the United States (U.S.) and China over Taiwan.
Markets remained volatile in the second quarter of 2022 and equities and bonds posted sharp declines. Concerns over persistent inflation, hawkish central bank actions and the ongoing Russia-Ukraine war weighed heavily on sentiment. Combined, this help drive performance down for the quarter. The Fund returned –15.9% during this quarter.
Global markets declined and growth stumbled in the third quarter of 2022 as inflation remained persistently high, geopolitical tensions escalated, and central banks raised aggressively, signaling larger-than-expected future hikes. After the Fund rallied early in the quarter, risk assets declined in August and September as central banks struggled with inflation amid slowing economic growth. This again weighed on performance for the Fund. For the quarter, the Fund returned –7.1%.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
See accompanying notes to financial statements.
24


THE MATERIALS SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)  (continued)
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Albemarle Corporation, Corteva Inc, and CF Industries Holdings, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were Ball Corporation, Ecolab Inc. and Sherwin-Williams Company.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
25


The Materials Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Materials Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Materials Select Sector Index S&P 500 Index  
    ONE YEAR   12.23% 12.14% 12.15% 15.47%   12.23% 12.14% 12.15% 15.47%  
    FIVE YEARS   32.35% 32.51% 32.82% 55.55%   5.77% 5.79% 5.84% 9.24%  
    TEN YEARS   127.29% 127.62% 129.74% 202.44%   8.56% 8.57% 8.67% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Materials Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
26


The Materials Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Linde PLC 833,406,752 17.7%  
  Air Products & Chemicals, Inc. 320,191,330 6.8  
  Sherwin-Williams Co. 299,552,321 6.4  
  Corteva, Inc. 254,745,211 5.4  
  Freeport-McMoRan, Inc. 242,426,338 5.2  
  TOTAL 1,950,321,952 41.5%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
27


THE REAL ESTATE SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Real Estate Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Real Estate Select Sector Index. The Fund’s benchmark is the Real Estate Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –16.46%, and the Index was –16.37%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees contributed to the difference between the Fund’s performance and that of the Index.
Fueled by the expansion of global activity, the real estate sector advanced nearly 17% over the first quarter of the Reporting Period and was the top performing sector in the S&P 500 Index. At the start of 2022 however, the sector along with the rest of the equity markets began to face multiple headwinds, rising COVID-19 cases, supply chain bottlenecks that sapped growth momentum and the pivot to a hawkish stance by key central banks. Amid persistent high inflation, central banks raised interest rates aggressively. Signs of higher interest rates weighed on the housing market – home prices were observed to be 40% higher compared with the start of 2020 and the number of home sales declined as 30-year mortgage rates topped 6%. These headwinds weighed on the real estate sector and the Fund declined over 30% over the last three quarters of the Reporting Period.
All sub-industries posted negative returns over the Reporting Period. Within the Specialized REITs sub-industry, self-storage REITs tend to have low economic sensitivity and performed well as demand remained strong. The Real Estate Services sub-industry performed the worst. After observing strong growth over the prior year, the stock price of CBRE Group showed weakness from the headwinds and declined over 30%.
The Fund used index equity futures in order to equitize cash and dividend receivables during the Reporting Period. The Fund’s use of index futures helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Public Storage, Extra Space Storage Inc. and Duke Realty Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were Prologis, Inc., Equinix, Inc. and American Tower Corporation.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
28


The Real Estate Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Real Estate Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Real Estate Select Sector Index S&P 500 Index  
    ONE YEAR   16.46% 16.42% 16.37% 15.47%   16.46% 16.42% 16.37% 15.47%  
    FIVE YEARS   31.79% 31.88% 32.62% 55.55%   5.68% 5.69% 5.81% 9.24%  
    SINCE INCEPTION (1)   52.57% 52.66% 54.01% 104.75%   6.23% 6.24% 6.38% 10.81%  
(1) For the period October 7, 2015 to September 30, 2021.
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
* Inception date.
The total expense ratio for The Real Estate Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
29


The Real Estate Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  American Tower Corp. REIT 542,577,602 11.8%  
  Prologis, Inc. REIT 408,294,942 8.8  
  Crown Castle, Inc. REIT 339,755,668 7.4  
  Equinix, Inc. REIT 281,207,192 6.1  
  Public Storage REIT 251,159,242 5.4  
  TOTAL 1,822,994,646 39.5%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
30


THE TECHNOLOGY SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Technology Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Technology Select Sector Index. The Fund’s benchmark is the Technology Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was –19.82%, and the Index was –19.73%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Management fees, cash drag, and cumulative effects of individual security misweights contributed to the difference between the Fund’s performance and that of the Index.
The Fund had positive performance in one of the four quarters of the Reporting Period. Performance in the first quarter of the Reporting Period was positive due to the signing of the $1.2 trillion bipartisan Infrastructure Investment and Jobs Act, strong earnings growth, and progress in the fight against COVID-19 despite the emergence of the highly infectious Omicron variant. Performance in the last three quarters of the Reporting Period was negative on the back of rising inflation, tighter monetary policy, declining consumer sentiment, ongoing supply chain issues, the Russia-Ukraine war and recessionary fears despite lower levels of unemployment and positive earnings were primary drivers of the Fund’s overall performance during the Reporting Period.
The Fund used index futures contracts in order to equitize cash and receivables during the Reporting Period. The Fund’s use of index futures contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Xilinx, Inc., Automatic Data Processing, Inc. and Enphase Energy, Inc. The top negative contributors to the Fund’s performance during the Reporting Period were PayPal Holdings, Inc. and Microsoft Corporation and Apple Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
31


The Technology Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Technology Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Technology Select Sector Index S&P 500 Index  
    ONE YEAR   19.82% 19.77% 19.73% 15.47%   19.82% 19.77% 19.73% 15.47%  
    FIVE YEARS   112.63% 112.74% 114.43% 55.55%   16.29% 16.30% 16.48% 9.24%  
    TEN YEARS   346.79% 347.01% 354.78% 202.54%   16.15% 16.15% 16.35% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Technology Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
32


The Technology Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  Apple, Inc. 8,308,046,125 23.3%  
  Microsoft Corp. 8,099,263,092 22.7  
  NVIDIA Corp. 1,417,350,975 4.0  
  Visa, Inc. Class A 1,354,390,809 3.8  
  Mastercard, Inc. Class A 1,131,256,642 3.2  
  TOTAL 20,310,307,643 57.0%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
33


THE UTILITIES SELECT SECTOR SPDR FUND
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The Utilities Select Sector SPDR Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of publicly traded equity securities of companies in the Utilities Select Sector Index. The Fund’s benchmark is the Utilities Select Sector Index (the “Index”).
For the 12-month period ended September 30, 2022 (the “Reporting Period”), the total return for the Fund was 5.46%, and the Index was 5.58%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Expenses and cash contributed to the difference between the Fund’s performance and that of the Index.
Despite a challenging market environment especially during the last two quarters of the Reporting Period, this Fund was still able to generate a positive return. One factor that positively contributed to this Fund’s return was a pickup in electricity demand owing to both more extreme weather conditions and a continued uptick in activity as the COVID-19 pandemic’s impact waned appreciably during the Reporting Period. Another positive contributing factor was the government’s continued support for green energy initiatives. This Fund’s returns were also buoyed by a general “risk off” market environment as investors seemed to appreciate the relative defensive nature of this sector. The last two quarters have been marked by increased investor appetite for funds with comparatively higher dividend yields which has helped this Fund as the Utilities Sector has historically from a sector perspective had one of the higher dividend yields. This Reporting Period saw dramatic increases in the Federal Funds rate which has typically hurt this Fund but in this case the relative predictability of the constituents’ businesses has over shadowed profitability concerns associated with higher interest rates. There’s also an expectation that higher input costs can be passed on to the end users in the current inflationary environment.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Exelon Corporation, Sempra Energy, and Southern Company. The top negative contributors to the Fund’s performance during the Reporting Period were Public Service Enterprise Group Inc, American Water Works Company, Inc. and PPL Corporation.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
34


The Utilities Select Sector SPDR Fund
Performance Summary (Unaudited)
Performance as of September 30, 2022
        Cumulative Total Return   Average Annual Total Return    
        Net
Asset
Value
Market
Value
Utilities Select Sector Index S&P 500 Index   Net
Asset
Value
Market
Value
Utilities Select Sector Index S&P 500 Index  
    ONE YEAR   5.46% 5.60% 5.58% 15.47%   5.46% 5.60% 5.58% 15.47%  
    FIVE YEARS   44.89% 44.05% 45.75% 55.55%   7.70% 7.72% 7.83% 9.24%  
    TEN YEARS   152.13% 152.42% 156.22% 202.44%   9.69% 9.70% 9.87% 11.70%  
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
The total expense ratio for The Utilities Select Sector SPDR Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended September 30, 2022.
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.ssga.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 or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
35


The Utilities Select Sector SPDR Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of September 30, 2022

       
  Description Market Value % of Net Assets  
  NextEra Energy, Inc. 2,624,605,306 16.3%  
  Southern Co. 1,231,461,300 7.6  
  Duke Energy Corp. 1,220,194,222 7.6  
  Dominion Energy, Inc. 980,181,878 6.1  
  Sempra Energy 802,888,666 5.0  
  TOTAL 6,859,331,372 42.6%  
(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 September 30, 2022*
* The Fund’s industry breakdown is expressed as a percentage of total common stock and may change over time.
See accompanying notes to financial statements.
36


THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.9%   
DIVERSIFIED TELECOMMUNICATION SERVICES — 9.8%  
AT&T, Inc.

  22,217,498   $ 340,816,419
Lumen Technologies, Inc. (a)

  9,006,112   65,564,495
Verizon Communications, Inc.

  8,929,579   339,056,115
          745,437,029
ENTERTAINMENT — 23.9%  
Activision Blizzard, Inc.

  4,608,790   342,617,449
Electronic Arts, Inc.

  2,497,487   288,984,221
Live Nation Entertainment, Inc. (b)

  1,343,354   102,148,638
Netflix, Inc. (b)

  1,439,688   338,960,143
Take-Two Interactive Software, Inc. (b)

  1,481,538   161,487,642
Walt Disney Co. (b)

  3,540,258   333,952,537
Warner Bros Discovery, Inc. (b)

  20,887,481   240,206,031
          1,808,356,661
INTERACTIVE MEDIA & SERVICES — 45.9%  
Alphabet, Inc. Class A (b)

  9,525,051   911,071,128
Alphabet, Inc. Class C (b)

  8,517,571   818,964,452
Match Group, Inc. (b)

  2,675,646   127,762,097
Meta Platforms, Inc. Class A (b)

  9,882,993   1,340,924,490
Twitter, Inc. (b)

  6,357,247   278,701,708
          3,477,423,875
MEDIA — 15.7%  
Charter Communications, Inc. Class A (b)

  1,048,164   317,960,549
Comcast Corp. Class A

  11,337,650   332,533,274
DISH Network Corp. Class A (b)

  2,373,283   32,822,504
Fox Corp. Class A

  2,897,780   88,903,890
Fox Corp. Class B

  1,330,635   37,923,098
Interpublic Group of Cos., Inc.

  3,697,241   94,649,370
News Corp. Class A

  3,645,907   55,089,655
News Corp. Class B

  1,129,421   17,415,672
Security Description     Shares   Value
Omnicom Group, Inc.

  1,936,778   $ 122,191,324
Paramount Global Class B (a)

  4,774,523   90,906,918
          1,190,396,254
WIRELESS TELECOMMUNICATION SERVICES — 4.6%  
T-Mobile US, Inc. (b)

  2,608,620   349,998,545
TOTAL COMMON STOCKS

(Cost $11,756,270,028)

        7,571,612,364
SHORT-TERM INVESTMENTS — 0.8%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  5,928,151   5,929,337
State Street Navigator Securities Lending Portfolio II (e)  (f)

  51,992,399   51,992,399
TOTAL SHORT-TERM INVESTMENTS

(Cost $57,920,761)

  57,921,736  
TOTAL INVESTMENTS — 100.7%

(Cost $11,814,190,789)

  7,629,534,100  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)%

  (51,484,165)  
NET ASSETS — 100.0%

  $ 7,578,049,935  
(a) All or a portion of the shares of the security are on loan at September 30, 2022.
(b) Non-income producing security.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(f) Investment of cash collateral for securities loaned.
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $7,571,612,364   $—   $—   $7,571,612,364
Short-Term Investments

  57,921,736       57,921,736
TOTAL INVESTMENTS

  $7,629,534,100   $—   $—   $7,629,534,100
See accompanying notes to financial statements.
37


THE COMMUNICATION SERVICES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Affiliate Table
  Number of
Shares Held
at
9/30/21
  Value at

9/30/21
  Cost of
Purchases
  Proceeds
from
Shares Sold
  Realized
Gain (Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number of
Shares Held
at
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

3,600,221   $ 3,600,941   $ 183,394,089   $ 181,067,106   $438   $975   5,928,151   $ 5,929,337   $ 92,653
State Street Navigator Securities Lending Portfolio II

76,583,434   76,583,434   1,349,498,553   1,374,089,588       51,992,399   51,992,399   252,418
Total

    $80,184,375   $1,532,892,642   $1,555,156,694   $438   $975       $57,921,736   $345,071
See accompanying notes to financial statements.
38


THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.9%   
AUTO COMPONENTS — 1.0%  
Aptiv PLC (a)

  1,295,914   $ 101,353,434
BorgWarner, Inc.

  1,132,827   35,570,768
          136,924,202
AUTOMOBILES — 24.8%  
Ford Motor Co.

  18,890,582   211,574,518
General Motors Co.

  6,974,153   223,800,570
Tesla, Inc. (a)

  11,545,014   3,062,314,964
          3,497,690,052
DISTRIBUTORS — 1.6%  
Genuine Parts Co.

  676,560   101,023,939
LKQ Corp.

  1,246,812   58,787,186
Pool Corp.

  189,343   60,250,836
          220,061,961
HOTELS, RESTAURANTS & LEISURE — 18.2%  
Booking Holdings, Inc. (a)

  189,972   312,163,890
Caesars Entertainment, Inc. (a)

  1,025,586   33,085,404
Carnival Corp. (a)  (b)

  4,721,403   33,191,463
Chipotle Mexican Grill, Inc. (a)

  132,827   199,607,103
Darden Restaurants, Inc.

  586,254   74,055,605
Domino's Pizza, Inc.

  171,602   53,230,940
Expedia Group, Inc. (a)

  727,207   68,132,024
Hilton Worldwide Holdings, Inc.

  1,311,924   158,244,273
Las Vegas Sands Corp. (a)

  1,571,705   58,970,372
Marriott International, Inc. Class A

  1,319,446   184,907,162
McDonald's Corp.

  2,805,043   647,235,622
MGM Resorts International

  1,560,666   46,382,994
Norwegian Cruise Line Holdings, Ltd. (a)  (b)

  2,015,511   22,896,205
Royal Caribbean Cruises, Ltd. (a)  (b)

  1,049,168   39,763,467
Starbucks Corp.

  5,488,181   462,434,131
Wynn Resorts, Ltd. (a)  (b)

  495,114   31,207,035
Yum! Brands, Inc.

  1,360,914   144,719,595
          2,570,227,285
HOUSEHOLD DURABLES — 3.1%  
D.R. Horton, Inc.

  1,512,480   101,865,528
Garmin, Ltd.

  737,976   59,266,853
Lennar Corp. Class A

  1,219,603   90,921,404
Mohawk Industries, Inc. (a)

  252,175   22,995,838
Newell Brands, Inc.

  1,800,220   25,005,056
NVR, Inc. (a)

  14,792   58,976,887
PulteGroup, Inc. (a)

  1,107,348   41,525,550
Whirlpool Corp. (b)

  260,721   35,147,798
          435,704,914
INTERNET & DIRECT MARKETING RETAIL — 23.5%  
Amazon.com, Inc. (a)

  27,918,631   3,154,805,303
eBay, Inc.

  2,627,775   96,728,397
Etsy, Inc. (a)  (b)

  605,637   60,642,433
          3,312,176,133
Security Description     Shares   Value
LEISURE EQUIPMENT & PRODUCTS — 0.3%  
Hasbro, Inc.

  620,889   $ 41,860,336
MULTILINE RETAIL — 5.1%  
Dollar General Corp.

  1,085,807   260,441,667
Dollar Tree, Inc. (a)

  1,009,580   137,403,838
Target Corp.

  2,217,912   329,115,962
          726,961,467
SPECIALTY RETAIL — 18.0%  
Advance Auto Parts, Inc.

  290,023   45,342,196
AutoZone, Inc. (a)

  93,271   199,779,953
Bath & Body Works, Inc.

  1,091,997   35,599,102
Best Buy Co., Inc.

  958,518   60,712,530
CarMax, Inc. (a)  (b)

  761,319   50,262,281
Home Depot, Inc.

  2,428,434   670,102,078
Lowe's Cos., Inc.

  3,057,086   574,151,322
O'Reilly Automotive, Inc. (a)

  304,995   214,518,233
Ross Stores, Inc.

  1,673,767   141,048,345
TJX Cos., Inc.

  5,604,125   348,128,245
Tractor Supply Co.

  530,909   98,685,365
Ulta Beauty, Inc. (a)

  247,865   99,440,959
          2,537,770,609
TEXTILES, APPAREL & LUXURY GOODS — 4.3%  
NIKE, Inc. Class B

  6,044,221   502,395,650
Ralph Lauren Corp. (b)

  205,122   17,421,011
Tapestry, Inc.

  1,204,454   34,242,627
VF Corp.

  1,579,467   47,241,858
          601,301,146
TOTAL COMMON STOCKS

(Cost $17,778,929,785)

        14,080,678,105
SHORT-TERM INVESTMENTS — 0.9%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  17,296,217   17,299,677
State Street Navigator Securities Lending Portfolio II (e)  (f)

  115,679,767   115,679,767
TOTAL SHORT-TERM INVESTMENTS

(Cost $132,977,073)

  132,979,444  
TOTAL INVESTMENTS — 100.8%

(Cost $17,911,906,858)

  14,213,657,549  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)%

  (115,018,628)  
NET ASSETS — 100.0%

  $ 14,098,638,921  
(a) Non-income producing security.
(b) All or a portion of the shares of the security are on loan at September 30, 2022.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
 
See accompanying notes to financial statements.
39


THE CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(f) Investment of cash collateral for securities loaned.
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $14,080,678,105   $—   $—   $14,080,678,105
Short-Term Investments

  132,979,444       132,979,444
TOTAL INVESTMENTS

  $14,213,657,549   $—   $—   $14,213,657,549
Affiliate Table
  Number of
Shares Held
at
9/30/21
  Value at

9/30/21
  Cost of
Purchases
  Proceeds
from
Shares Sold
  Realized
Gain (Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number of
Shares Held
at
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

5,827,718   $ 5,828,883   $ 203,085,891   $ 191,616,109   $(1,359)   $2,371   17,296,217   $ 17,299,677   $138,429
State Street Navigator Securities Lending Portfolio II

88,081,524   88,081,524   1,685,126,436   1,657,528,193       115,679,767   115,679,767   178,845
Total

    $93,910,407   $1,888,212,327   $1,849,144,302   $(1,359)   $2,371       $132,979,444   $317,274
See accompanying notes to financial statements.
40


THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.6%   
BEVERAGES — 28.1%  
Brown-Forman Corp. Class B

  1,471,234   $ 97,940,048
Coca-Cola Co.

  27,075,808   1,516,786,764
Constellation Brands, Inc. Class A

  1,282,271   294,512,003
Keurig Dr. Pepper, Inc.

  6,837,973   244,936,193
Molson Coors Beverage Co. Class B

  1,516,167   72,760,854
Monster Beverage Corp. (a)

  3,095,447   269,180,071
PepsiCo, Inc.

  9,600,529   1,567,382,365
          4,063,498,298
FOOD & STAPLES RETAILING — 19.6%  
Costco Wholesale Corp.

  3,081,418   1,455,261,279
Kroger Co.

  5,240,516   229,272,575
Sysco Corp.

  4,100,261   289,929,455
Walgreens Boots Alliance, Inc.

  5,778,566   181,446,973
Walmart, Inc.

  5,235,359   679,026,062
          2,834,936,344
FOOD PRODUCTS — 19.1%  
Archer-Daniels-Midland Co.

  4,511,436   362,945,026
Campbell Soup Co. (b)

  1,627,209   76,674,088
Conagra Brands, Inc.

  3,867,919   126,210,197
General Mills, Inc.

  4,794,275   367,289,408
Hershey Co.

  1,182,008   260,597,304
Hormel Foods Corp.

  2,329,189   105,838,348
JM Smucker Co.

  857,632   117,847,213
Kellogg Co.

  2,042,302   142,266,757
Kraft Heinz Co.

  6,410,522   213,790,909
Lamb Weston Holdings, Inc.

  1,156,603   89,497,940
McCormick & Co., Inc.

  2,016,903   143,744,677
Mondelez International, Inc. Class A

  11,030,320   604,792,445
Tyson Foods, Inc. Class A

  2,330,901   153,676,303
          2,765,170,615
HOUSEHOLD PRODUCTS — 21.7%  
Church & Dwight Co., Inc.

  1,956,848   139,797,221
Clorox Co.

  992,067   127,371,482
Colgate-Palmolive Co.

  6,712,946   471,584,456
Security Description     Shares   Value
Kimberly-Clark Corp.

  2,715,583   $ 305,611,711
Procter & Gamble Co.

  16,622,992   2,098,652,740
          3,143,017,610
PERSONAL PRODUCTS — 2.8%  
Estee Lauder Cos., Inc. Class A

  1,865,573   402,777,211
TOBACCO — 8.3%  
Altria Group, Inc.

  14,493,098   585,231,297
Philip Morris International, Inc.

  7,381,172   612,711,088
          1,197,942,385
TOTAL COMMON STOCKS

(Cost $16,983,902,439)

        14,407,342,463
SHORT-TERM INVESTMENTS — 0.3%      
State Street Institutional Liquid Reserves Fund, Premier Class 3.01% (c)  (d)

  16,130,664   16,133,890
State Street Navigator Securities Lending Portfolio II (e)  (f)

  24,693,312   24,693,312
TOTAL SHORT-TERM INVESTMENTS

(Cost $40,826,695)

  40,827,202  
TOTAL INVESTMENTS — 99.9%

(Cost $17,024,729,134)

  14,448,169,665  
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%

  17,788,409  
NET ASSETS — 100.0%

  $ 14,465,958,074  
(a) Non-income producing security.
(b) All or a portion of the shares of the security are on loan at September 30, 2022.
(c) The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(d) The rate shown is the annualized seven-day yield at September 30, 2022.
(e) The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2022 are shown in the Affiliate Table below.
(f) Investment of cash collateral for securities loaned.
 
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2022.
Description   Level 1 –
Quoted Prices
  Level 2 –
Other Significant
Observable Inputs
  Level 3 –
Significant
Unobservable Inputs
  Total
ASSETS:                
INVESTMENTS:                
Common Stocks

  $14,407,342,463   $—   $—   $14,407,342,463
Short-Term Investments

  40,827,202       40,827,202
TOTAL INVESTMENTS

  $14,448,169,665   $—   $—   $14,448,169,665
See accompanying notes to financial statements.
41


THE CONSUMER STAPLES SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS  (continued)
September 30, 2022

Affiliate Table
  Number of
Shares Held
at
9/30/21
  Value at

9/30/21
  Cost of
Purchases
  Proceeds
from
Shares Sold
  Realized
Gain (Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number of
Shares Held
at
9/30/22
  Value at

9/30/22
  Dividend
Income
State Street Institutional Liquid Reserves Fund, Premier Class

15,187,963   $15,191,001   $ 611,594,894   $ 610,653,175   $663   $507   16,130,664   $16,133,890   $206,665
State Street Navigator Securities Lending Portfolio II

3,227,202   3,227,202   739,892,856   718,426,746       24,693,312   24,693,312   29,648
Total

    $18,418,203   $1,351,487,750   $1,329,079,921   $663   $507       $40,827,202   $236,313
See accompanying notes to financial statements.
42


THE ENERGY SELECT SECTOR SPDR FUND
SCHEDULE OF INVESTMENTS
September 30, 2022

Security Description     Shares   Value
COMMON STOCKS — 99.8%   
ENERGY EQUIPMENT & SERVICES — 8.1%  
Baker Hughes Co.

  29,175,539   $ 611,519,297
Halliburton Co.

  26,153,222   643,892,326
Schlumberger NV (a)

  40,786,143   1,464,222,534
          2,719,634,157
OIL, GAS & CONSUMABLE FUELS — 91.7%  
APA Corp. (a)

  9,416,033   321,934,168
Chevron Corp. (a)

  45,638,420   6,556,871,802
ConocoPhillips (a)

  14,755,303   1,510,057,709
Coterra Energy, Inc.

  22,942,245   599,251,439
Devon Energy Corp. (a)

  18,882,207   1,135,387,107
Diamondback Energy, Inc.

  5,125,776   617,450,977
EOG Resources, Inc.

  13,392,941   1,496,393,298
EQT Corp.

  8,987,600   366,244,700
Exxon Mobil Corp.

  87,505,746   7,640,126,683
Hess Corp. (a)

  8,035,398   875,778,028
Kinder Morgan, Inc. (a)

  57,172,697   951,353,678
Marathon Oil Corp. (a)

  19,539,200   441,195,136
Marathon Petroleum Corp. (a)

  14,378,660   1,428,232,298
Occidental Petroleum Corp. (a)

  21,488,922   1,320,494,257
ONEOK, Inc. (a)

  12,885,980   660,277,615
Phillips 66