N-CSR 1 d360529dncsr.htm SSGA FUNDS SSGA FUNDS

 

 

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: 811-05430

 

 

SSGA FUNDS

 

 

(Exact name of registrant as specified in charter)

One Iron Street, Boston, Massachusetts 02210

(Address of principal executive offices)(Zip code)

 

 

 

 

(Name and Address of Agent for Service)   Copy to:

Sean O’Malley, Esq.

Senior Vice President and General Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

 

Timothy W. Diggins, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

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

Date of fiscal year end: August 31

Date of reporting period: August 31, 2022

 

 

 


Item 1. Reports to Stockholders.

(a) The Reports to Shareholders are attached herewith.


Annual Report
August 31, 2022
SSGA Funds
State Street S&P 500 Index Fund
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.





TABLE OF CONTENTS
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.ssga.com. Please read the prospectus carefully before you invest.


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State Street S&P 500 Index Fund
Management's Discussion of Fund Performance (Unaudited)
The State Street  S&P 500 Index Fund (the “Fund”) seeks to  replicate as closely as possible, before expenses, the performance of the Standard & Poor’s® 500 Index (the “Index”).
For the 12-month period ended August 31, 2022 (the “Reporting Period”), the total return for the Fund was 11.36%, and the Index was 11.23%. 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, managing cash inflows to and outflows from the Fund, and small security misweights contributed to the difference between the Fund’s performance and that of the Index.
The Fund’s performance was up nearly 6% in the first quarter of the Reporting Period as the economy continued its momentum with its further “reopening” post COVID-19 amid increasing vaccination rates.  However, supply chain issues continued and loomed as a possible headwind going forward.  Inflation was bubbling up a bit but the Federal Reserve believed it to be transitory at the time as a result of the continued bounce back from the COVID-19 shutdown.  The fourth quarter of 2021 was particularly strong for the equity markets as evidenced by the +11.03% return of the Index.  Earnings growth saw its fourth consecutive quarter of 20%+ increases.  The U.S. Congress was finally able to pass a bipartisan infrastructure spending bill as the Fed was just beginning to abandon the notion of inflation being transitory, paving the way for accelerated tapering and future rate hikes.
The Index dropped over 16% year-to-date in 2022, as it flirted with bear market territory. Commodity prices accelerated and supply side issues increased following the Russian invasion of Ukraine. Western countries ratcheted up sanctions against Russia in response to the invasion. Earnings saw their lowest level of growth in nearly two years.  On the monetary front, many Central Banks raised their hawkish tone amid the stubbornness of inflation as it reached a 40 year high in the U.S.  As a result, there were over 50 rate hikes initiated across the globe.  To make matters worse, fears of a recession permeated markets with U.S. housing and consumer spending numbers coming in especially weak.
Throughout the Reporting Period, eight of the eleven sectors posted negative returns. The top performing sectors (the only sectors with positive returns) were Energy, Utilities and Consumer Staples. The bottom performing sectors were Communication Services, Consumer Discretionary and Information Technology.
The Fund used futures in order to expose cash and dividends to the market during the Reporting Period. The Fund’s use of futures detracted from the Fund’s performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were: Exxon Mobil Corp., Chevron Corp., and UnitedHealth Group Inc. The top negative contributors to the Fund’s performance during the Reporting Period were: Meta Platforms Inc., Amazon.com Inc., Salesforce.com and Microsoft Corp.
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.
1


State Street S&P 500 Index Fund
Performance Summary (Unaudited)
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Past performance is not a guarantee of future results.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
Line graph is based on cumulative total return.
Average Annual Total Returns as of August 31, 2022
  Total Return
One Year Ended
August 31, 2022
Average Annual
Total Return
Five Years Ended
August 31, 2022
Average Annual
Total Return
Ten Years Ended
August 31, 2022
State Street S&P 500 Index Fund (11.36%) 11.71% 12.93%
S&P 500® Index (1) (11.23%) 11.82% 13.08%
(1) The State Street S&P 500 Index Fund seeks to replicate the total return of the S&P 500® Index.
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 of Fund shares. The gross expense ratio for the State Street S&P 500 Index Fund as stated in the Fees and Expenses table of the most recent prospectus is 0.18%.
“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “Standard & Poor’s 500” and “500” are trademarks of Standard & Poor’s Corporation and have been licensed for use by the SSGA Funds. The Product is not sponsored, endorsed, sold or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the Product.
Performance data reflects an expense limitation currently in effect, without which returns would have been lower.
See accompanying notes to financial statements.
2


State Street S&P 500 Index Fund
Portfolio Statistics (Unaudited)
Top Five Holdings as of August 31, 2022

     
  Description % of Net Assets  
  Apple, Inc. 7.3%  
  Microsoft Corp. 5.9  
  Amazon.com, Inc. 3.3  
  Tesla, Inc. 2.1  
  Alphabet, Inc. Class A 2.0  
  TOTAL 20.6%  
(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 August 31, 2022

     
    % of Net Assets  
  Software 8.8%  
  Technology Hardware, Storage & Peripherals 7.5  
  Semiconductors & Semiconductor Equipment 5.1  
  Interactive Media & Services 5.0  
  IT Services 4.4  
  Oil, Gas & Consumable Fuels 4.3  
  Pharmaceuticals 4.2  
  Banks 3.7  
  Health Care Providers & Services 3.5  
  Internet & Direct Marketing Retail 3.4  
  Capital Markets 3.0  
  Equity Real Estate Investment Trusts (REITs) 2.8  
  Health Care Equipment & Supplies 2.6  
  Automobiles 2.4  
  Insurance 2.1  
  Specialty Retail 2.1  
  Biotechnology 2.0  
  Electric Utilities 2.0  
  Hotels, Restaurants & Leisure 1.9  
  Life Sciences Tools & Services 1.9  
  Beverages 1.8  
  Chemicals 1.8  
  Aerospace & Defense 1.7  
  Machinery 1.6  
  Food & Staples Retailing 1.6  
  Diversified Financial Services 1.5  
  Household Products 1.4  
  Entertainment 1.4  
  Food Products 1.1  
  Multi-Utilities 1.0  
  Diversified Telecommunication Services 0.9  
  Road & Rail 0.9  
  Industrial Conglomerates 0.8  
  Media 0.8  
  Communications Equipment 0.8  
  Tobacco 0.7  
  Air Freight & Logistics 0.7  
  Electronic Equipment, Instruments & Components 0.7  
  Consumer Finance 0.5  
  Electrical Equipment 0.5  
  Textiles, Apparel & Luxury Goods 0.5  
  Commercial Services & Supplies 0.5  
  Multiline Retail 0.5  
  Building Products 0.4  
  Metals & Mining 0.3  
  Household Durables 0.3  
  Energy Equipment & Services 0.3  
  Professional Services 0.3  
  Containers & Packaging 0.3  
  Wireless Telecommunication Services 0.3  
  Trading Companies & Distributors 0.2  
  Airlines 0.2  
  Personal Products 0.2  
  Distributors 0.2  
  Construction Materials 0.1  
  Auto Components 0.1  
  Water Utilities 0.1  
  Real Estate Management & Development 0.1  
  Construction & Engineering 0.1  
  Independent Power & Renewable Electricity Producers 0.1  
  Gas Utilities 0.0*  
  Leisure Equipment & Products 0.0*  
See accompanying notes to financial statements.
3


State Street S&P 500 Index Fund
Portfolio Statistics (Unaudited)  (continued)

     
    % of Net Assets  
  Short-Term Investments 0.2%  
  Liabilities in Excess of Other Assets (0.2)  
  TOTAL 100.0%  
    
* Amount shown represents less than 0.05% of net assets.  
(The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS
August 31, 2022

Security Description     Shares   Value
COMMON STOCKS — 100.0%          
COMMUNICATION SERVICES — 8.4%      
Activision Blizzard, Inc.

    31,700   $ 2,488,133
Alphabet, Inc. Class A (a)

    246,460   26,671,901
Alphabet, Inc. Class C (a)

    226,900   24,766,135
AT&T, Inc.

    295,400   5,181,316
Charter Communications, Inc. Class A (a)

    4,800   1,980,624
Comcast Corp. Class A

    184,930   6,692,617
DISH Network Corp. Class A (a)(b)

    11,017   191,145
Electronic Arts, Inc.

    11,421   1,448,982
Fox Corp. Class A

    12,603   430,771
Fox Corp. Class B

    5,600   177,072
Interpublic Group of Cos., Inc.

    15,428   426,430
Live Nation Entertainment, Inc. (a)

    5,300   478,908
Lumen Technologies, Inc. (b)

    35,987   358,430
Match Group, Inc. (a)

    11,500   650,095
Meta Platforms, Inc. Class A (a)

    94,007   15,316,560
Netflix, Inc. (a)

    18,296   4,090,254
News Corp. Class A

    14,614   247,269
News Corp. Class B

    3,800   65,512
Omnicom Group, Inc.

    8,450   565,305
Paramount Global Class B (b)

    25,531   597,170
Take-Two Interactive Software, Inc. (a)

    6,500   796,640
T-Mobile US, Inc. (a)

    23,850   3,433,446
Twitter, Inc. (a)

    30,000   1,162,500
Verizon Communications, Inc.

    171,751   7,180,909
Walt Disney Co. (a)

    74,538   8,354,219
Warner Bros Discovery, Inc. (a)

    91,819   1,215,684
          114,968,027
CONSUMER DISCRETIONARY — 11.4%      
Advance Auto Parts, Inc.

    2,500   421,600
Amazon.com, Inc. (a)

    360,040   45,642,271
Aptiv PLC (a)

    11,281   1,053,984
AutoZone, Inc. (a)

    788   1,669,937
Bath & Body Works, Inc.

    8,646   322,755
Best Buy Co., Inc.

    8,913   630,060
Booking Holdings, Inc. (a)

    1,608   3,016,302
BorgWarner, Inc.

    10,723   404,257
Caesars Entertainment, Inc. (a)

    8,800   379,456
CarMax, Inc. (a)

    6,697   592,283
Carnival Corp. (a)(b)

    31,149   294,670
Chipotle Mexican Grill, Inc. (a)

    1,114   1,778,835
D.R. Horton, Inc.

    13,479   959,031
Darden Restaurants, Inc.

    5,317   657,766
Dollar General Corp.

    9,587   2,276,146
Dollar Tree, Inc. (a)

    8,982   1,218,678
Domino's Pizza, Inc.

    1,500   557,790
eBay, Inc.

    23,058   1,017,550
Etsy, Inc. (a)

    5,200   549,172
Expedia Group, Inc. (a)

    5,975   613,334
Ford Motor Co.

    161,360   2,459,126
Security Description     Shares   Value
Garmin, Ltd.

    6,560   $ 580,494
General Motors Co.

    60,177   2,299,363
Genuine Parts Co.

    6,120   954,781
Hasbro, Inc.

    5,628   443,599
Hilton Worldwide Holdings, Inc.

    11,600   1,477,376
Home Depot, Inc.

    42,310   12,203,050
Las Vegas Sands Corp. (a)

    14,800   556,924
Lennar Corp. Class A

    10,225   791,926
LKQ Corp.

    9,900   526,878
Lowe's Cos., Inc.

    26,912   5,224,696
Marriott International, Inc. Class A

    11,352   1,745,256
McDonald's Corp.

    30,215   7,622,640
MGM Resorts International

    15,500   505,920
Mohawk Industries, Inc. (a)

    2,169   239,371
Newell Brands, Inc.

    17,050   304,343
NIKE, Inc. Class B

    51,802   5,514,323
Norwegian Cruise Line Holdings, Ltd. (a)

    16,300   213,204
NVR, Inc. (a)

    140   579,608
O'Reilly Automotive, Inc. (a)

    2,620   1,826,454
Penn Entertainment, Inc. (a)

    6,700   209,241
Pool Corp.

    1,600   542,704
PulteGroup, Inc.

    10,343   420,546
PVH Corp.

    2,951   165,994
Ralph Lauren Corp.

    2,236   204,214
Ross Stores, Inc.

    14,444   1,246,084
Royal Caribbean Cruises, Ltd. (a)

    8,900   363,565
Starbucks Corp.

    47,692   4,009,466
Tapestry, Inc.

    11,000   382,030
Target Corp.

    18,744   3,005,413
Tesla, Inc. (a)

    103,500   28,525,635
TJX Cos., Inc.

    48,450   3,020,858
Tractor Supply Co.

    4,574   846,876
Ulta Beauty, Inc. (a)

    2,100   881,727
Under Armour, Inc. Class A (a)

    8,476   71,368
Under Armour, Inc. Class C (a)

    9,278   70,420
VF Corp.

    13,328   552,446
Whirlpool Corp.

    2,359   369,419
Wynn Resorts, Ltd. (a)(b)

    4,559   276,230
Yum! Brands, Inc.

    11,890   1,322,644
          156,612,089
CONSUMER STAPLES — 6.8%      
Altria Group, Inc.

    75,670   3,414,230
Archer-Daniels-Midland Co.

    23,092   2,029,556
Brown-Forman Corp. Class B

    7,127   518,133
Campbell Soup Co.

    8,783   442,488
Church & Dwight Co., Inc.

    10,100   845,471
Clorox Co.

    4,979   718,669
Coca-Cola Co.

    160,822   9,924,326
Colgate-Palmolive Co.

    34,879   2,727,887
Conagra Brands, Inc.

    20,751   713,419
Constellation Brands, Inc. Class A

    6,676   1,642,630
Costco Wholesale Corp.

    18,134   9,467,761
 
See accompanying notes to financial statements.
5


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS  (continued)
August 31, 2022

Security Description     Shares   Value
Estee Lauder Cos., Inc. Class A

    9,563   $ 2,432,636
General Mills, Inc.

    25,122   1,929,370
Hershey Co.

    6,015   1,351,390
Hormel Foods Corp.

    11,598   583,147
J.M. Smucker Co.

    4,255   595,657
Kellogg Co.

    10,307   749,731
Keurig Dr. Pepper, Inc.

    30,400   1,158,848
Kimberly-Clark Corp.

    13,973   1,781,837
Kraft Heinz Co.

    30,051   1,123,907
Kroger Co.

    28,010   1,342,799
Lamb Weston Holdings, Inc.

    5,700   453,321
McCormick & Co., Inc.

    10,022   842,550
Molson Coors Beverage Co. Class B

    7,409   382,823
Mondelez International, Inc. Class A

    56,394   3,488,533
Monster Beverage Corp. (a)

    15,487   1,375,710
PepsiCo, Inc.

    56,638   9,757,028
Philip Morris International, Inc.

    63,287   6,043,276
Procter & Gamble Co.

    98,413   13,575,089
Sysco Corp.

    21,235   1,745,942
Tyson Foods, Inc. Class A

    11,691   881,268
Walgreens Boots Alliance, Inc.

    29,713   1,041,738
Walmart, Inc.

    57,899   7,674,512
          92,755,682
ENERGY — 4.6%      
APA Corp.

    14,370   562,011
Baker Hughes Co.

    36,294   916,786
Chevron Corp.

    80,998   12,802,544
ConocoPhillips

    53,027   5,803,805
Coterra Energy, Inc.

    33,622   1,039,256
Devon Energy Corp.

    24,380   1,721,716
Diamondback Energy, Inc.

    7,000   932,960
EOG Resources, Inc.

    23,963   2,906,712
Exxon Mobil Corp.

    172,772   16,515,276
Halliburton Co.

    35,967   1,083,686
Hess Corp.

    11,144   1,345,972
Kinder Morgan, Inc.

    79,576   1,457,832
Marathon Oil Corp.

    30,689   785,332
Marathon Petroleum Corp.

    22,284   2,245,113
Occidental Petroleum Corp.

    35,937   2,551,527
ONEOK, Inc.

    18,304   1,120,754
Phillips 66

    18,892   1,690,078
Pioneer Natural Resources Co.

    9,324   2,361,023
Schlumberger NV

    57,893   2,208,618
Valero Energy Corp.

    16,686   1,954,264
Williams Cos., Inc.

    49,610   1,688,228
          63,693,493
FINANCIALS — 10.9%      
Aflac, Inc.

    23,974   1,424,535
Allstate Corp.

    11,767   1,417,923
American Express Co.

    24,752   3,762,304
American International Group, Inc.

    31,532   1,631,781
Security Description     Shares   Value
Ameriprise Financial, Inc.

    4,663   $ 1,249,731
Aon PLC Class A

    8,647   2,414,761
Arthur J Gallagher & Co.

    8,600   1,561,502
Assurant, Inc.

    2,246   355,968
Bank of America Corp.

    291,466   9,796,172
Bank of New York Mellon Corp.

    31,291   1,299,515
Berkshire Hathaway, Inc. Class B (a)

    74,519   20,924,935
BlackRock, Inc.

    5,918   3,943,696
Brown & Brown, Inc.

    10,200   643,008
Capital One Financial Corp.

    16,668   1,763,808
Cboe Global Markets, Inc.

    4,700   554,459
Charles Schwab Corp.

    62,189   4,412,309
Chubb, Ltd.

    17,141   3,240,506
Cincinnati Financial Corp.

    6,005   582,245
Citigroup, Inc.

    78,793   3,845,886
Citizens Financial Group, Inc.

    20,200   740,936
CME Group, Inc.

    14,892   2,913,024
Comerica, Inc.

    5,417   434,985
Discover Financial Services

    11,977   1,203,569
Everest Re Group, Ltd.

    1,600   430,480
FactSet Research Systems, Inc.

    1,600   693,344
Fifth Third Bancorp

    28,254   964,874
First Republic Bank

    7,300   1,108,359
Franklin Resources, Inc.

    10,551   275,065
Globe Life, Inc.

    3,684   358,048
Goldman Sachs Group, Inc.

    14,188   4,719,922
Hartford Financial Services Group, Inc.

    13,730   882,976
Huntington Bancshares, Inc.

    60,065   804,871
Intercontinental Exchange, Inc.

    22,625   2,281,731
Invesco, Ltd.

    12,889   212,282
JPMorgan Chase & Co.

    120,372   13,689,908
KeyCorp.

    38,779   686,000
Lincoln National Corp.

    7,410   341,305
Loews Corp.

    8,312   459,737
M&T Bank Corp.

    7,344   1,334,992
MarketAxess Holdings, Inc.

    1,500   372,885
Marsh & McLennan Cos., Inc.

    20,834   3,361,983
MetLife, Inc.

    28,226   1,815,779
Moody's Corp.

    6,634   1,887,506
Morgan Stanley

    57,861   4,930,914
MSCI, Inc.

    3,400   1,527,416
Nasdaq, Inc.

    15,075   897,415
Northern Trust Corp.

    8,210   780,689
PNC Financial Services Group, Inc.

    16,642   2,629,436
Principal Financial Group, Inc.

    10,126   757,020
Progressive Corp.

    24,152   2,962,243
Prudential Financial, Inc.

    15,537   1,487,668
Raymond James Financial, Inc.

    7,500   782,775
Regions Financial Corp.

    39,343   852,563
S&P Global, Inc.

    14,109   4,968,908
Signature Bank

    2,600   453,336
State Street Corp. (c)

    15,047   1,028,462
 
See accompanying notes to financial statements.
6


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS  (continued)
August 31, 2022

Security Description     Shares   Value
SVB Financial Group (a)

    2,400   $ 975,648
Synchrony Financial

    22,071   722,825
T Rowe Price Group, Inc.

    9,120   1,094,400
Travelers Cos., Inc.

    9,698   1,567,585
Truist Financial Corp.

    54,798   2,566,738
US Bancorp

    55,730   2,541,845
Wells Fargo & Co.

    154,646   6,759,577
Willis Towers Watson PLC

    4,328   895,160
WR Berkley Corp.

    9,150   592,920
Zions Bancorp NA

    5,758   316,863
          148,892,011
HEALTH CARE — 14.1%      
Abbott Laboratories

    73,049   7,498,480
AbbVie, Inc.

    72,552   9,755,342
ABIOMED, Inc. (a)

    1,800   466,704
Agilent Technologies, Inc.

    12,275   1,574,269
Align Technology, Inc. (a)

    3,000   731,100
AmerisourceBergen Corp.

    6,052   886,981
Amgen, Inc.

    21,991   5,284,437
Baxter International, Inc.

    20,770   1,193,444
Becton Dickinson & Co.

    11,777   2,972,750
Biogen, Inc. (a)

    6,147   1,201,001
Bio-Rad Laboratories, Inc. Class A (a)

    900   436,536
Bio-Techne Corp.

    1,700   564,077
Boston Scientific Corp. (a)

    58,877   2,373,332
Bristol-Myers Squibb Co.

    86,977   5,863,119
Cardinal Health, Inc.

    11,124   786,689
Catalent, Inc. (a)

    7,200   633,600
Centene Corp. (a)

    24,278   2,178,708
Charles River Laboratories International, Inc. (a)

    2,200   451,550
Cigna Corp.

    12,884   3,651,970
Cooper Cos., Inc.

    2,000   574,880
CVS Health Corp.

    53,533   5,254,264
Danaher Corp.

    26,278   7,092,695
DaVita, Inc. (a)

    2,072   176,721
DENTSPLY SIRONA, Inc.

    8,566   280,708
DexCom, Inc. (a)

    16,000   1,315,360
Edwards Lifesciences Corp. (a)

    26,070   2,348,907
Elevance Health, Inc.

    10,019   4,860,317
Eli Lilly & Co.

    32,562   9,808,651
Gilead Sciences, Inc.

    52,146   3,309,707
HCA Healthcare, Inc.

    9,100   1,800,617
Henry Schein, Inc. (a)

    5,200   381,732
Hologic, Inc. (a)

    10,300   695,868
Humana, Inc.

    5,317   2,561,624
IDEXX Laboratories, Inc. (a)

    3,500   1,216,670
Illumina, Inc. (a)

    6,500   1,310,660
Incyte Corp. (a)

    8,200   577,526
Intuitive Surgical, Inc. (a)

    14,768   3,038,368
IQVIA Holdings, Inc. (a)

    8,000   1,701,280
Johnson & Johnson

    108,241   17,463,603
Laboratory Corp. of America Holdings

    3,647   821,560
McKesson Corp.

    5,929   2,175,943
Security Description     Shares   Value
Medtronic PLC

    55,504   $ 4,879,912
Merck & Co., Inc.

    103,398   8,826,053
Mettler-Toledo International, Inc. (a)

    900   1,091,214
Moderna, Inc. (a)

    14,200   1,878,234
Molina Healthcare, Inc. (a)

    2,400   809,688
Organon & Co.

    11,149   318,081
PerkinElmer, Inc.

    5,332   720,140
Pfizer, Inc.

    230,248   10,414,117
Quest Diagnostics, Inc.

    5,058   633,818
Regeneron Pharmaceuticals, Inc. (a)

    4,358   2,532,259
ResMed, Inc.

    5,900   1,297,528
STERIS PLC

    4,100   825,658
Stryker Corp.

    13,795   2,830,734
Teleflex, Inc.

    2,000   452,520
Thermo Fisher Scientific, Inc.

    16,112   8,786,196
UnitedHealth Group, Inc.

    38,522   20,005,630
Universal Health Services, Inc. Class B

    3,200   313,088
Vertex Pharmaceuticals, Inc. (a)

    10,548   2,972,004
Viatris, Inc.

    49,672   474,368
Waters Corp. (a)

    2,415   721,119
West Pharmaceutical Services, Inc.

    3,100   919,739
Zimmer Biomet Holdings, Inc.

    8,327   885,327
Zoetis, Inc.

    19,528   3,056,718
          192,915,895
INDUSTRIALS — 7.9%      
3M Co. (b)

    23,743   2,952,442
A.O. Smith Corp.

    5,200   293,540
Alaska Air Group, Inc. (a)

    5,200   226,512
Allegion PLC

    3,737   355,389
American Airlines Group, Inc. (a)

    28,800   374,112
AMETEK, Inc.

    9,301   1,117,608
Boeing Co. (a)

    22,124   3,545,371
C.H. Robinson Worldwide, Inc.

    5,382   614,355
Carrier Global Corp.

    36,079   1,411,410
Caterpillar, Inc.

    22,055   4,073,779
Cintas Corp.

    3,622   1,473,575
Copart, Inc. (a)

    8,800   1,052,920
CSX Corp.

    87,677   2,774,977
Cummins, Inc.

    5,844   1,258,622
Deere & Co.

    11,454   4,183,574
Delta Air Lines, Inc. (a)

    25,766   800,550
Dover Corp.

    5,845   730,391
Eaton Corp. PLC

    16,599   2,268,087
Emerson Electric Co.

    24,369   1,991,922
Equifax, Inc.

    5,095   961,681
Expeditors International of Washington, Inc.

    6,844   704,179
Fastenal Co.

    24,284   1,222,214
FedEx Corp.

    9,650   2,034,317
Fortive Corp.

    14,781   936,081
 
See accompanying notes to financial statements.
7


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS  (continued)
August 31, 2022

Security Description     Shares   Value
Fortune Brands Home & Security, Inc.

    5,400   $ 331,722
Generac Holdings, Inc. (a)

    2,600   573,066
General Dynamics Corp.

    9,489   2,172,317
General Electric Co.

    45,193   3,318,974
Honeywell International, Inc.

    27,703   5,245,563
Howmet Aerospace, Inc.

    14,463   512,424
Huntington Ingalls Industries, Inc.

    1,800   414,468
IDEX Corp.

    3,100   623,751
Illinois Tool Works, Inc.

    11,671   2,273,861
Ingersoll Rand, Inc.

    16,791   795,390
Jacobs Solutions, Inc.

    5,457   679,833
JB Hunt Transport Services, Inc.

    3,400   591,668
Johnson Controls International PLC

    28,093   1,520,955
L3Harris Technologies, Inc.

    8,012   1,828,258
Leidos Holdings, Inc.

    5,500   522,775
Lockheed Martin Corp.

    9,590   4,028,855
Masco Corp.

    9,439   480,162
Nielsen Holdings PLC

    14,775   411,336
Nordson Corp.

    2,200   499,774
Norfolk Southern Corp.

    9,668   2,350,581
Northrop Grumman Corp.

    5,986   2,861,248
Old Dominion Freight Line, Inc.

    3,900   1,058,499
Otis Worldwide Corp.

    17,289   1,248,612
PACCAR, Inc.

    13,935   1,219,452
Parker-Hannifin Corp.

    5,314   1,408,210
Pentair PLC

    7,291   324,450
Quanta Services, Inc.

    6,093   860,941
Raytheon Technologies Corp.

    60,652   5,443,517
Republic Services, Inc.

    8,614   1,229,390
Robert Half International, Inc.

    4,374   336,667
Rockwell Automation, Inc.

    4,879   1,156,030
Rollins, Inc.

    9,325   314,812
Snap-on, Inc.

    2,272   494,978
Southwest Airlines Co. (a)

    23,527   863,441
Stanley Black & Decker, Inc.

    6,750   594,675
Textron, Inc.

    9,106   568,032
Trane Technologies PLC

    9,316   1,435,316
TransDigm Group, Inc.

    2,200   1,320,858
Union Pacific Corp.

    26,038   5,845,791
United Airlines Holdings, Inc. (a)

    13,400   469,134
United Parcel Service, Inc. Class B

    30,155   5,865,449
United Rentals, Inc. (a)

    3,000   876,120
Verisk Analytics, Inc.

    6,700   1,253,972
W.W. Grainger, Inc.

    1,812   1,005,551
Waste Management, Inc.

    15,904   2,688,253
Westinghouse Air Brake Technologies Corp.

    7,982   699,622
Xylem, Inc.

    7,234   659,017
          108,635,378
Security Description     Shares   Value
INFORMATION TECHNOLOGY — 27.4%      
Accenture PLC Class A

    26,082   $ 7,523,614
Adobe, Inc. (a)

    19,313   7,212,247
Advanced Micro Devices, Inc. (a)

    66,223   5,620,346
Akamai Technologies, Inc. (a)

    6,734   607,945
Amphenol Corp. Class A

    24,660   1,813,250
Analog Devices, Inc.

    21,407   3,243,803
ANSYS, Inc. (a)

    3,600   893,880
Apple, Inc.

    632,318   99,413,036
Applied Materials, Inc.

    36,053   3,391,506
Arista Networks, Inc. (a)

    9,300   1,114,884
Autodesk, Inc. (a)

    9,170   1,849,956
Automatic Data Processing, Inc.

    17,365   4,244,180
Broadcom, Inc.

    16,835   8,402,517
Broadridge Financial Solutions, Inc.

    4,700   804,499
Cadence Design Systems, Inc. (a)

    11,300   1,963,601
CDW Corp.

    5,700   972,990
Ceridian HCM Holding, Inc. (a)

    5,900   351,876
Cisco Systems, Inc.

    169,729   7,590,281
Citrix Systems, Inc.

    4,678   480,758
Cognizant Technology Solutions Corp. Class A

    21,927   1,385,129
Corning, Inc.

    31,250   1,072,500
DXC Technology Co. (a)

    8,991   222,797
Enphase Energy, Inc. (a)

    5,500   1,575,420
EPAM Systems, Inc. (a)

    2,400   1,023,600
F5, Inc. (a)

    2,659   417,623
Fidelity National Information Services, Inc.

    25,186   2,301,245
Fiserv, Inc. (a)

    23,484   2,376,346
FleetCor Technologies, Inc. (a)

    3,200   680,096
Fortinet, Inc. (a)

    26,500   1,290,285
Gartner, Inc. (a)

    3,400   970,088
Global Payments, Inc.

    11,918   1,480,573
Hewlett Packard Enterprise Co.

    55,063   748,857
HP, Inc.

    44,863   1,288,017
Intel Corp.

    168,020   5,363,198
International Business Machines Corp.

    36,947   4,745,842
Intuit, Inc.

    11,526   4,976,696
Jack Henry & Associates, Inc.

    3,100   595,820
Juniper Networks, Inc.

    14,244   404,814
Keysight Technologies, Inc. (a)

    7,700   1,261,953
KLA Corp.

    6,273   2,158,727
Lam Research Corp.

    5,781   2,531,558
Mastercard, Inc. Class A

    35,449   11,498,592
Microchip Technology, Inc.

    23,212   1,514,583
Micron Technology, Inc.

    46,028   2,601,963
Microsoft Corp.

    307,534   80,410,915
Monolithic Power Systems, Inc.

    1,700   770,406
Motorola Solutions, Inc.

    7,028   1,710,685
NetApp, Inc.

    8,943   645,059
NortonLifeLock, Inc.

    22,603   510,602
 
See accompanying notes to financial statements.
8


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS  (continued)
August 31, 2022

Security Description     Shares   Value
NVIDIA Corp.

    102,848   $ 15,523,877
NXP Semiconductors NV

    11,000   1,810,380
ON Semiconductor Corp. (a)

    17,900   1,230,983
Oracle Corp.

    65,270   4,839,770
Paychex, Inc.

    13,231   1,631,912
Paycom Software, Inc. (a)

    2,000   702,400
PayPal Holdings, Inc. (a)

    47,358   4,425,131
PTC, Inc. (a)

    4,400   505,516
Qorvo, Inc. (a)

    4,500   404,010
QUALCOMM, Inc.

    46,085   6,095,663
Roper Technologies, Inc.

    4,335   1,745,184
Salesforce, Inc. (a)

    41,005   6,401,701
Seagate Technology Holdings PLC

    8,276   554,161
ServiceNow, Inc. (a)

    8,200   3,563,884
Skyworks Solutions, Inc.

    6,800   670,140
SolarEdge Technologies, Inc. (a)

    2,200   607,134
Synopsys, Inc. (a)

    6,400   2,214,528
TE Connectivity, Ltd.

    13,449   1,697,398
Teledyne Technologies, Inc. (a)

    1,926   709,461
Teradyne, Inc. (b)

    6,700   567,088
Texas Instruments, Inc.

    38,106   6,295,492
Trimble, Inc. (a)

    10,400   657,800
Tyler Technologies, Inc. (a)

    1,700   631,567
VeriSign, Inc. (a)

    4,020   732,524
Visa, Inc. Class A

    67,440   13,401,002
Western Digital Corp. (a)

    13,106   553,860
Zebra Technologies Corp. Class A (a)

    2,200   663,608
          374,865,332
MATERIALS — 2.6%      
Air Products & Chemicals, Inc.

    9,107   2,299,062
Albemarle Corp.

    4,900   1,313,004
Amcor PLC

    61,430   737,774
Avery Dennison Corp.

    3,618   664,337
Ball Corp.

    13,216   737,585
Celanese Corp.

    4,500   498,870
CF Industries Holdings, Inc.

    8,630   892,860
Corteva, Inc.

    29,277   1,798,486
Dow, Inc.

    30,410   1,550,910
DuPont de Nemours, Inc.

    21,174   1,178,122
Eastman Chemical Co.

    5,572   507,052
Ecolab, Inc.

    10,489   1,718,413
FMC Corp.

    5,222   564,394
Freeport-McMoRan, Inc.

    60,564   1,792,695
International Flavors & Fragrances, Inc.

    10,744   1,186,997
International Paper Co.

    15,108   628,795
Linde PLC (a)

    20,729   5,863,405
LyondellBasell Industries NV Class A

    11,122   923,126
Martin Marietta Materials, Inc.

    2,655   923,170
Mosaic Co.

    15,516   835,847
Newmont Corp.

    32,673   1,351,355
Nucor Corp.

    10,706   1,423,256
Security Description     Shares   Value
Packaging Corp. of America

    3,700   $ 506,604
PPG Industries, Inc.

    9,788   1,242,880
Sealed Air Corp.

    6,569   353,478
Sherwin-Williams Co.

    9,861   2,288,738
Vulcan Materials Co.

    5,290   880,732
Westrock Co.

    11,048   448,438
          35,110,385
REAL ESTATE — 2.8%      
Alexandria Real Estate Equities, Inc. REIT

    6,200   951,080
American Tower Corp. REIT

    18,782   4,771,567
AvalonBay Communities, Inc. REIT

    5,829   1,171,104
Boston Properties, Inc. REIT

    6,121   486,191
Camden Property Trust REIT

    4,200   539,742
CBRE Group, Inc. Class A (a)

    13,808   1,090,280
Crown Castle, Inc. REIT

    17,842   3,047,949
Digital Realty Trust, Inc. REIT

    11,700   1,446,471
Duke Realty Corp. REIT

    15,700   923,945
Equinix, Inc. REIT

    3,738   2,457,249
Equity Residential REIT

    14,238   1,041,937
Essex Property Trust, Inc. REIT

    2,655   703,734
Extra Space Storage, Inc. REIT

    5,500   1,093,015
Federal Realty Investment Trust REIT

    2,800   283,556
Healthpeak Properties, Inc. REIT

    22,877   600,521
Host Hotels & Resorts, Inc. REIT

    28,759   511,048
Iron Mountain, Inc. REIT

    11,274   593,125
Kimco Realty Corp. REIT

    26,816   565,281
Mid-America Apartment Communities, Inc. REIT

    4,700   778,649
Prologis, Inc. REIT

    30,045   3,740,903
Public Storage REIT

    6,352   2,101,432
Realty Income Corp. REIT

    23,700   1,618,236
Regency Centers Corp. REIT

    5,799   352,811
SBA Communications Corp. REIT

    4,500   1,463,625
Simon Property Group, Inc. REIT

    13,435   1,370,101
UDR, Inc. REIT

    12,200   547,414
Ventas, Inc. REIT

    16,603   794,620
VICI Properties, Inc. REIT

    39,700   1,309,703
Vornado Realty Trust REIT

    6,046   158,526
Welltower, Inc. REIT

    18,181   1,393,574
Weyerhaeuser Co. REIT

    31,198   1,065,724
          38,973,113
UTILITIES — 3.1%      
AES Corp.

    29,159   742,097
Alliant Energy Corp.

    9,800   598,192
Ameren Corp.

    10,856   1,005,483
American Electric Power Co., Inc.

    20,243   2,028,349
 
See accompanying notes to financial statements.
9


STATE STREET S&P 500 INDEX FUND
SCHEDULE OF INVESTMENTS  (continued)
August 31, 2022

Security Description     Shares   Value
American Water Works Co., Inc.