Semi Annual Report - SSGA · SPDR PORTFOLIOS&P 500 ETF PORTFOLIO STATISTICS (UNAUDITED) Top Ten...

Semi-Annual ReportDecember 31, 2019

SPDR® Series Trust - Equity FundsSPDR Portfolio S&P 500 ETF (formerly, SPDR Portfolio Large Cap ETF)

SPDR Portfolio S&P 400 Mid Cap ETF (formerly, SPDR Portfolio Mid Cap ETF)

SPDR Portfolio S&P 600 Small Cap ETF (formerly, SPDR Portfolio Small Cap ETF)

SPDR Portfolio S&P 1500 Composite Stock Market ETF (formerly, SPDR Portfolio Total Stock Market ETF)

SPDR Portfolio S&P 500 Growth ETF

SPDR Portfolio S&P 500 High Dividend ETF

SPDR Portfolio S&P 500 Value ETF

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The information contained in this report is intended for the general information of shareholders of the Trust. This reportis not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectuswhich contains important information concerning the Trust. You may obtain a current prospectus and SAI from theDistributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

TA B L E O F C O N T E N T S ( U N A U D I T E D )

Portfolio Statistics (Unaudited)SPDR Portfolio S&P 500 ETF (SPLG) (formerly, SPDR Portfolio Large Cap ETF) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1SPDR Portfolio S&P 400 Mid Cap ETF (SPMD) (formerly, SPDR Portfolio Mid Cap ETF) . . . . . . . . . . . . . . . . . . . . . . . 2SPDR Portfolio S&P 600 Small Cap ETF (SPSM) (formerly, SPDR Portfolio Small Cap ETF) . . . . . . . . . . . . . . . . . . . . . 3SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) (formerly, SPDR Portfolio Total Stock MarketETF) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4SPDR Portfolio S&P 500 Growth ETF (SPYG) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5SPDR Portfolio S&P 500 High Dividend ETF (SPYD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6SPDR Portfolio S&P 500 Value ETF (SPYV) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Schedules of Investments (Unaudited)SPDR Portfolio S&P 500 ETF (SPLG) (formerly, SPDR Portfolio Large Cap ETF) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8SPDR Portfolio S&P 400 Mid Cap ETF (SPMD) (formerly, SPDR Portfolio Mid Cap ETF) . . . . . . . . . . . . . . . . . . . . . . . 18SPDR Portfolio S&P 600 Small Cap ETF (SPSM) (formerly, SPDR Portfolio Small Cap ETF) (Summary) . . . . . . . . . . . 31SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) (formerly, SPDR Portfolio Total Stock Market ETF)(Summary) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36SPDR Portfolio S&P 500 Growth ETF (SPYG) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41SPDR Portfolio S&P 500 High Dividend ETF (SPYD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46SPDR Portfolio S&P 500 Value ETF (SPYV) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49

Financial Statements (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56Financial Highlights (Unaudited). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63Notes to Financial Statements (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70Other Information (Unaudited) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79


S P D R P O R T F O L I O S & P 5 0 0 E T FPORTFOLIO STATIST ICS (UNAUDITED)

Top Ten Holdings as of December 31, 2019

Description % of Net Assets

Apple, Inc. 4.9%Microsoft Corp. 4.4Amazon.com, Inc. 3.0Facebook, Inc. Class A 1.8JPMorgan Chase & Co. 1.6Alphabet, Inc. Class A 1.5Johnson & Johnson 1.4Visa, Inc. Class A 1.2Bank of America Corp. 1.2Procter & Gamble Co. 1.1

TOTAL 22.1%

(The ten largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested inany particular company.)

Sector Breakdown as of December 31, 2019

% of Net Assets

Information Technology 24.4%Health Care 14.2Financials 11.8Consumer Discretionary 10.5Industrials 9.7Communication Services 8.1Consumer Staples 7.2Energy 4.3Real Estate 3.7Utilities 3.5Materials 2.4Short-Term Investments 0.2Liabilities in Excess of Other Assets (0.0)*

TOTAL 100.0%

* Amount shown represents less than 0.05% of net assets.

(The Fund’s sector breakdown is expressed as a percentage of net assets and may change over time.)

See accompanying notes to financial statements.1

S P D R P O R T F O L I O S & P 4 0 0 M I D C A P E T FPORTFOLIO STATIST ICS (UNAUDITED)



Teledyne Technologies, Inc. 0.5%Domino’s Pizza, Inc. 0.5Tyler Technologies, Inc. 0.5Alleghany Corp. 0.4Teradyne, Inc. 0.4West Pharmaceutical Services, Inc. 0.4Medical Properties Trust, Inc. REIT 0.4Fair Isaac Corp. 0.4Trimble, Inc. 0.4Camden Property Trust REIT 0.4

TOTAL 4.3%



% of Net Assets

Financials 16.9%Industrials 16.3Information Technology 14.9Consumer Discretionary 13.6Health Care 10.5Real Estate 10.1Materials 5.6Utilities 3.9Consumer Staples 3.3Energy 2.8Communication Services 1.9Short-Term Investments 3.1Liabilities in Excess of Other Assets (2.9)

TOTAL 100.0%



S P D R P O R T F O L I O S & P 6 0 0 S M A L L C A P E T FPORTFOLIO STATIST ICS (UNAUDITED)



ITT, Inc. 0.3%Medicines Co. 0.3CACI International, Inc. Class A 0.2Cousins Properties, Inc. REIT 0.2TCF Financial Corp. 0.2Lumentum Holdings, Inc. 0.2Jabil, Inc. 0.2MKS Instruments, Inc. 0.2Teladoc Health, Inc. 0.2ACADIA Pharmaceuticals, Inc. 0.2

TOTAL 2.2%



% of Net Assets

Financials 17.7%Industrials 14.8Information Technology 14.5Health Care 14.1Consumer Discretionary 12.7Real Estate 8.4Materials 4.5Energy 3.7Utilities 3.3Consumer Staples 3.0Communication Services 3.0Short-Term Investments 7.3Liabilities in Excess of Other Assets (7.0)

TOTAL 100.0%



S P D R P O R T F O L I O S & P 1 5 0 0 C O M P O S I T E S T O C K M A R K E T E T FPORTFOLIO STATIST ICS (UNAUDITED)



Apple, Inc. 4.4%Microsoft Corp. 4.0Amazon.com, Inc. 2.7Facebook, Inc. Class A 1.6JPMorgan Chase & Co. 1.5Alphabet, Inc. Class A 1.4Johnson & Johnson 1.3Visa, Inc. Class A 1.1Bank of America Corp. 1.1Procter & Gamble Co. 1.0

TOTAL 20.1%



% of Net Assets

Information Technology 23.4%Health Care 14.0Financials 12.3Consumer Discretionary 10.6Industrials 10.2Communication Services 7.7Consumer Staples 7.0Real Estate 4.3Energy 4.2Utilities 3.5Materials 2.6Short-Term Investments 0.8Liabilities in Excess of Other Assets (0.6)

TOTAL 100.0%



S P D R P O R T F O L I O S & P 5 0 0 G R O W T H E T FPORTFOLIO STATIST ICS (UNAUDITED)



Apple, Inc. 8.6%Microsoft Corp. 8.5Amazon.com, Inc. 5.4Facebook, Inc. Class A 3.5Alphabet, Inc. Class A 2.8Alphabet, Inc. Class C 2.8Visa, Inc. Class A 2.2Mastercard, Inc. Class A 1.9JPMorgan Chase & Co. 1.5Procter & Gamble Co. 1.3

TOTAL 38.5%



% of Net Assets

Information Technology 36.9%Consumer Discretionary 13.5Communication Services 12.8Health Care 10.6Industrials 8.4Financials 5.3Consumer Staples 5.2Real Estate 2.6Materials 2.6Energy 1.2Utilities 0.7Short-Term Investments 0.2Liabilities in Excess of Other Assets (0.0)*

TOTAL 100.0%




S P D R P O R T F O L I O S & P 5 0 0 H I G H D I V I D E N D E T FPORTFOLIO STATIST ICS (UNAUDITED)



Nordstrom, Inc. 1.7%Newell Brands, Inc. 1.6AbbVie, Inc. 1.6Western Union Co. 1.6Leggett & Platt, Inc. 1.5Campbell Soup Co. 1.5Seagate Technology PLC 1.5Kellogg Co. 1.4PPL Corp. 1.4Weyerhaeuser Co. REIT 1.4

TOTAL 15.2%



% of Net Assets

Real Estate 17.6%Consumer Discretionary 16.9Energy 11.8Utilities 10.6Consumer Staples 10.2Financials 9.7Information Technology 6.7Communication Services 5.4Materials 5.3Health Care 3.0Industrials 2.4Short-Term Investments 0.5Liabilities in Excess of Other Assets (0.1)

TOTAL 100.0%



S P D R P O R T F O L I O S & P 5 0 0 VA L U E E T FPORTFOLIO STATIST ICS (UNAUDITED)



Berkshire Hathaway, Inc. Class B 3.5%Exxon Mobil Corp. 2.3AT&T, Inc. 2.3Bank of America Corp. 2.3UnitedHealth Group, Inc. 2.2Verizon Communications, Inc. 2.0Chevron Corp. 1.8JPMorgan Chase & Co. 1.8Johnson & Johnson 1.8Pfizer, Inc. 1.7

TOTAL 21.7%



% of Net Assets

Financials 21.3%Health Care 18.3Industrials 9.8Consumer Staples 9.4Energy 7.9Information Technology 7.8Communication Services 7.6Utilities 6.2Consumer Discretionary 5.5Real Estate 3.2Materials 2.8Short-Term Investments 0.2Liabilities in Excess of Other Assets (0.0)*

TOTAL 100.0%




Security Description Shares Value

COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 2.7%Arconic, Inc. . . . . . . . . . . . . . . . . 58,362 $ 1,795,799Boeing Co. . . . . . . . . . . . . . . . . . 72,808 23,717,934BWX Technologies, Inc. . . . . . . . . . 12,743 791,085Curtiss-Wright Corp. . . . . . . . . . . . 5,343 752,775General Dynamics Corp. . . . . . . . . . 37,338 6,584,556HEICO Corp. . . . . . . . . . . . . . . . . 5,462 623,487HEICO Corp. Class A . . . . . . . . . . 530 47,451Hexcel Corp. . . . . . . . . . . . . . . . . 10,858 796,000Huntington Ingalls Industries, Inc. . . . 5,510 1,382,349L3Harris Technologies, Inc. . . . . . . . 28,600 5,659,082Lockheed Martin Corp.. . . . . . . . . . 36,343 14,151,237Northrop Grumman Corp. . . . . . . . . 21,702 7,464,837Raytheon Co. . . . . . . . . . . . . . . . . 36,340 7,985,352Spirit AeroSystems Holdings, Inc.

Class A . . . . . . . . . . . . . . . . . . 13,619 992,553Teledyne Technologies, Inc. (a) . . . . . 4,445 1,540,370Textron, Inc.. . . . . . . . . . . . . . . . . 30,008 1,338,357TransDigm Group, Inc. . . . . . . . . . . 6,349 3,555,440United Technologies Corp.. . . . . . . . 111,589 16,711,569

95,890,233

AIR FREIGHT & LOGISTICS — 0.6%C.H. Robinson Worldwide, Inc.. . . . . 18,051 1,411,588Expeditors International of

Washington, Inc. . . . . . . . . . . . . 22,664 1,768,245FedEx Corp.. . . . . . . . . . . . . . . . . 31,156 4,711,099United Parcel Service, Inc. Class B . . 90,634 10,609,616XPO Logistics, Inc. (a) (b). . . . . . . . 11,944 951,937

19,452,485

AIRLINES — 0.4%Alaska Air Group, Inc. . . . . . . . . . . 16,807 1,138,674American Airlines Group, Inc. (b) . . . 57,398 1,646,175Delta Air Lines, Inc.. . . . . . . . . . . . 84,625 4,948,870Southwest Airlines Co. . . . . . . . . . . 70,215 3,790,206United Airlines Holdings, Inc. (a) . . . 33,107 2,916,395

14,440,320

AUTO COMPONENTS — 0.1%Autoliv, Inc. . . . . . . . . . . . . . . . . . 11,889 1,003,551BorgWarner, Inc. . . . . . . . . . . . . . . 27,455 1,190,998Gentex Corp. . . . . . . . . . . . . . . . . 34,554 1,001,375Lear Corp. . . . . . . . . . . . . . . . . . . 8,451 1,159,477

4,355,401

AUTOMOBILES — 0.6%Ford Motor Co. . . . . . . . . . . . . . . . 512,715 4,768,250General Motors Co. . . . . . . . . . . . . 174,563 6,389,006Harley-Davidson, Inc.. . . . . . . . . . . 21,444 797,502Tesla, Inc. (a) . . . . . . . . . . . . . . . . 17,440 7,295,675

19,250,433

BANKS — 5.9%Bank of America Corp. . . . . . . . . . . 1,170,385 41,220,960BOK Financial Corp. . . . . . . . . . . . 3,681 321,719Citigroup, Inc. . . . . . . . . . . . . . . . 282,871 22,598,564


Citizens Financial Group, Inc. . . . . . 57,905 $ 2,351,522Comerica, Inc. . . . . . . . . . . . . . . . 19,694 1,413,045Commerce Bancshares, Inc. . . . . . . . 14,640 994,642Cullen/Frost Bankers, Inc. . . . . . . . . 6,969 681,429East West Bancorp, Inc. . . . . . . . . . 19,042 927,345Fifth Third Bancorp . . . . . . . . . . . . 94,973 2,919,470Huntington Bancshares, Inc. . . . . . . 137,539 2,074,088JPMorgan Chase & Co.. . . . . . . . . . 410,201 57,182,019KeyCorp . . . . . . . . . . . . . . . . . . . 128,931 2,609,564M&T Bank Corp. . . . . . . . . . . . . . 16,590 2,816,153People’s United Financial, Inc. . . . . . 61,203 1,034,331PNC Financial Services Group, Inc. . . 57,405 9,163,560Regions Financial Corp. . . . . . . . . . 132,200 2,268,552Signature Bank . . . . . . . . . . . . . . . 7,574 1,034,684SVB Financial Group (a). . . . . . . . . 6,611 1,659,625Synovus Financial Corp. . . . . . . . . . 18,426 722,299Truist Financial Corp.. . . . . . . . . . . 174,284 9,815,675US Bancorp . . . . . . . . . . . . . . . . . 201,932 11,972,548Wells Fargo & Co. . . . . . . . . . . . . . 551,079 29,648,050Zions Bancorp NA. . . . . . . . . . . . . 24,328 1,263,110

206,692,954

BEVERAGES — 1.8%Brown-Forman Corp. Class B. . . . . . 10,832 732,243Coca-Cola Co. . . . . . . . . . . . . . . . 549,524 30,416,153Constellation Brands, Inc. Class A. . . 20,941 3,973,555Molson Coors Brewing Co. Class B . . 22,090 1,190,651Monster Beverage Corp. (a) . . . . . . . 51,361 3,263,991PepsiCo, Inc. . . . . . . . . . . . . . . . . 179,474 24,528,712

64,105,305

BIOTECHNOLOGY — 2.4%AbbVie, Inc. . . . . . . . . . . . . . . . . 190,801 16,893,520Alexion Pharmaceuticals, Inc. (a) . . . 29,367 3,176,041Alnylam Pharmaceuticals, Inc. (a) . . . 14,615 1,683,210Amgen, Inc. . . . . . . . . . . . . . . . . . 77,256 18,624,104Biogen, Inc. (a) . . . . . . . . . . . . . . . 24,126 7,158,908BioMarin Pharmaceutical, Inc. (a) . . . 22,702 1,919,454Bluebird Bio, Inc. (a) (b) . . . . . . . . . 6,513 571,516Exact Sciences Corp. (a) (b). . . . . . . 16,147 1,493,275Exelixis, Inc. (a) . . . . . . . . . . . . . . 37,257 656,468Gilead Sciences, Inc. . . . . . . . . . . . 162,002 10,526,890Incyte Corp. (a). . . . . . . . . . . . . . . 27,917 2,437,712Ionis Pharmaceuticals, Inc. (a) . . . . . 16,384 989,757Neurocrine Biosciences, Inc. (a) . . . . 12,094 1,299,984Regeneron Pharmaceuticals, Inc. (a) . 10,917 4,099,115Sage Therapeutics, Inc. (a) (b) . . . . . 6,441 464,976Sarepta Therapeutics, Inc. (a) (b). . . . 9,295 1,199,427Seattle Genetics, Inc. (a) . . . . . . . . . 20,715 2,366,896Vertex Pharmaceuticals, Inc. (a) . . . . 33,104 7,248,121

82,809,374

BUILDING PRODUCTS — 0.1%AO Smith Corp. . . . . . . . . . . . . . . 1,967 93,708Fortune Brands Home & Security,

Inc. . . . . . . . . . . . . . . . . . . . . 18,694 1,221,466Lennox International, Inc. . . . . . . . . 4,424 1,079,323

SPDR PORTFOLIO S&P 500 ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Masco Corp. . . . . . . . . . . . . . . . . 38,514 $ 1,848,287Owens Corning. . . . . . . . . . . . . . . 13,576 884,069

5,126,853

CAPITAL MARKETS — 2.9%Ameriprise Financial, Inc. . . . . . . . . 16,900 2,815,202Bank of New York Mellon Corp. . . . . 120,502 6,064,866BlackRock, Inc. . . . . . . . . . . . . . . 19,594 9,849,904Cboe Global Markets, Inc. . . . . . . . . 14,159 1,699,080Charles Schwab Corp. . . . . . . . . . . 152,669 7,260,938CME Group, Inc.. . . . . . . . . . . . . . 46,211 9,275,472E*TRADE Financial Corp. . . . . . . . 32,305 1,465,678FactSet Research Systems, Inc. (b) . . 5,213 1,398,648Franklin Resources, Inc. . . . . . . . . . 36,052 936,631Goldman Sachs Group, Inc. . . . . . . . 43,195 9,931,826Intercontinental Exchange, Inc.. . . . . 71,655 6,631,670Invesco, Ltd. . . . . . . . . . . . . . . . . 64,685 1,163,036LPL Financial Holdings, Inc. . . . . . . 10,839 999,898MarketAxess Holdings, Inc. . . . . . . . 4,691 1,778,405Moody’s Corp. . . . . . . . . . . . . . . . 24,227 5,751,732Morgan Stanley . . . . . . . . . . . . . . 159,333 8,145,103Morningstar, Inc.. . . . . . . . . . . . . . 2,631 398,097MSCI, Inc.. . . . . . . . . . . . . . . . . . 10,616 2,740,839Nasdaq, Inc. . . . . . . . . . . . . . . . . . 15,238 1,631,990Northern Trust Corp. . . . . . . . . . . . 27,186 2,888,241Raymond James Financial, Inc. . . . . . 16,312 1,459,271S&P Global, Inc. . . . . . . . . . . . . . . 31,726 8,662,784SEI Investments Co.. . . . . . . . . . . . 16,737 1,095,939T Rowe Price Group, Inc. . . . . . . . . 30,047 3,660,926TD Ameritrade Holding Corp. . . . . . 66,132 3,286,760

100,992,936

CHEMICALS — 1.5%Air Products & Chemicals, Inc.. . . . . 28,227 6,633,063Albemarle Corp. (b). . . . . . . . . . . . 13,579 991,810Axalta Coating Systems, Ltd. (a). . . . 31,232 949,453Celanese Corp. . . . . . . . . . . . . . . . 16,508 2,032,465CF Industries Holdings, Inc.. . . . . . . 29,028 1,385,797Corteva, Inc. . . . . . . . . . . . . . . . . 99,104 2,929,514Dow, Inc.. . . . . . . . . . . . . . . . . . . 96,210 5,265,573DuPont de Nemours, Inc. . . . . . . . . 97,010 6,228,042Eastman Chemical Co. . . . . . . . . . . 18,479 1,464,645Ecolab, Inc. . . . . . . . . . . . . . . . . . 37,135 7,166,684FMC Corp. . . . . . . . . . . . . . . . . . 16,574 1,654,417Huntsman Corp. . . . . . . . . . . . . . . 26,022 628,691International Flavors & Fragrances,

Inc. (b) . . . . . . . . . . . . . . . . . . 13,620 1,757,252Mosaic Co. . . . . . . . . . . . . . . . . . 46,373 1,003,512PPG Industries, Inc. . . . . . . . . . . . . 30,828 4,115,230RPM International, Inc. . . . . . . . . . 16,834 1,292,178Sherwin-Williams Co. . . . . . . . . . . 10,737 6,265,469Westlake Chemical Corp. . . . . . . . . 3,827 268,464

52,032,259

COMMERCIAL SERVICES & SUPPLIES —0.5%

Cintas Corp.. . . . . . . . . . . . . . . . . 11,142 2,998,089


Copart, Inc. (a) . . . . . . . . . . . . . . . 25,575 $ 2,325,791Republic Services, Inc. . . . . . . . . . . 41,501 3,719,735Rollins, Inc. . . . . . . . . . . . . . . . . . 18,928 627,652Waste Management, Inc. . . . . . . . . . 55,195 6,290,022

15,961,289

COMMUNICATIONS EQUIPMENT — 1.0%Arista Networks, Inc. (a) . . . . . . . . . 6,774 1,377,832Ciena Corp. (a) . . . . . . . . . . . . . . . 19,773 844,109Cisco Systems, Inc. . . . . . . . . . . . . 548,952 26,327,738F5 Networks, Inc. (a) . . . . . . . . . . . 7,388 1,031,734Juniper Networks, Inc. . . . . . . . . . . 43,302 1,066,528Motorola Solutions, Inc. . . . . . . . . . 21,400 3,448,396

34,096,337

CONSTRUCTION & ENGINEERING — 0.1%AECOM (a) . . . . . . . . . . . . . . . . . 20,163 869,630Jacobs Engineering Group, Inc. . . . . 17,548 1,576,337Quanta Services, Inc. . . . . . . . . . . . 18,640 758,834

3,204,801

CONSTRUCTION MATERIALS — 0.1%Martin Marietta Materials, Inc. . . . . . 8,089 2,262,008Vulcan Materials Co. . . . . . . . . . . . 16,597 2,389,802

4,651,810

CONSUMER FINANCE — 0.8%Ally Financial, Inc. . . . . . . . . . . . . 50,046 1,529,406American Express Co. . . . . . . . . . . 105,471 13,130,085Capital One Financial Corp.. . . . . . . 59,710 6,144,756Credit Acceptance Corp. (a) (b) . . . . 1,793 793,098Discover Financial Services . . . . . . . 41,739 3,540,302Santander Consumer USA Holdings,

Inc. . . . . . . . . . . . . . . . . . . . . 12,747 297,897Synchrony Financial . . . . . . . . . . . 86,646 3,120,122

28,555,666

CONTAINERS & PACKAGING — 0.4%AptarGroup, Inc. . . . . . . . . . . . . . . 8,455 977,567Avery Dennison Corp. . . . . . . . . . . 10,816 1,414,949Ball Corp. . . . . . . . . . . . . . . . . . . 43,664 2,823,751Berry Global Group, Inc. (a) . . . . . . 16,640 790,233Crown Holdings, Inc. (a) . . . . . . . . . 16,609 1,204,817International Paper Co. . . . . . . . . . . 51,114 2,353,800Packaging Corp. of America . . . . . . 12,709 1,423,281Sealed Air Corp. . . . . . . . . . . . . . . 20,090 800,185Sonoco Products Co. . . . . . . . . . . . 12,783 788,967Westrock Co. . . . . . . . . . . . . . . . . 31,912 1,369,344

13,946,894

DISTRIBUTORS — 0.1%Genuine Parts Co. . . . . . . . . . . . . . 18,823 1,999,567LKQ Corp. (a) . . . . . . . . . . . . . . . 40,865 1,458,881Pool Corp. . . . . . . . . . . . . . . . . . . 5,098 1,082,713

4,541,161

SPDR PORTFOLIO S&P 500 ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



DIVERSIFIED CONSUMER SERVICES —0.1%

Bright Horizons Family Solutions,Inc. (a) . . . . . . . . . . . . . . . . . . 7,204 $ 1,082,689

Service Corp. International . . . . . . . 22,857 1,052,108ServiceMaster Global Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . . 18,354 709,566

2,844,363

DIVERSIFIED FINANCIAL SERVICES —0.1%

AXA Equitable Holdings, Inc. . . . . . 60,795 1,506,500Jefferies Financial Group, Inc. . . . . . 32,272 689,653Voya Financial, Inc. . . . . . . . . . . . . 19,281 1,175,755

3,371,908

DIVERSIFIED TELECOMMUNICATIONSERVICES — 2.1%

AT&T, Inc. . . . . . . . . . . . . . . . . . 944,151 36,897,421CenturyLink, Inc. . . . . . . . . . . . . . 140,430 1,855,080GCI Liberty, Inc. Class A (a) . . . . . . 12,090 856,577Verizon Communications, Inc. . . . . . 534,621 32,825,729Zayo Group Holdings, Inc. (a) . . . . . 28,866 1,000,207

73,435,014

ELECTRIC UTILITIES — 2.1%Alliant Energy Corp. . . . . . . . . . . . 30,252 1,655,389American Electric Power Co., Inc. . . . 64,470 6,093,060Duke Energy Corp. . . . . . . . . . . . . 94,372 8,607,670Edison International . . . . . . . . . . . . 47,016 3,545,477Entergy Corp.. . . . . . . . . . . . . . . . 24,697 2,958,701Evergy, Inc. . . . . . . . . . . . . . . . . . 30,689 1,997,547Eversource Energy. . . . . . . . . . . . . 41,316 3,514,752Exelon Corp. . . . . . . . . . . . . . . . . 123,294 5,620,973FirstEnergy Corp. . . . . . . . . . . . . . 69,070 3,356,802IDACORP, Inc. . . . . . . . . . . . . . . . 5,816 621,149NextEra Energy, Inc. . . . . . . . . . . . 63,185 15,300,880OGE Energy Corp. . . . . . . . . . . . . 25,281 1,124,246Pinnacle West Capital Corp.. . . . . . . 14,121 1,269,901PPL Corp. . . . . . . . . . . . . . . . . . . 93,678 3,361,167Southern Co. . . . . . . . . . . . . . . . . 134,563 8,571,663Xcel Energy, Inc.. . . . . . . . . . . . . . 66,486 4,221,196

71,820,573

ELECTRICAL EQUIPMENT — 0.4%AMETEK, Inc. . . . . . . . . . . . . . . . 29,480 2,940,335Emerson Electric Co. . . . . . . . . . . . 78,850 6,013,101Hubbell, Inc. . . . . . . . . . . . . . . . . 6,299 931,118Rockwell Automation, Inc. . . . . . . . 14,684 2,976,006Sensata Technologies Holding PLC

(a) . . . . . . . . . . . . . . . . . . . . . 21,381 1,151,795

14,012,355

ELECTRONIC EQUIPMENT, INSTRUMENTS& COMPONENTS — 0.6%

Amphenol Corp. Class A. . . . . . . . . 39,069 4,228,438Arrow Electronics, Inc. (a). . . . . . . . 11,603 983,238CDW Corp. . . . . . . . . . . . . . . . . . 19,044 2,720,245


Cognex Corp. . . . . . . . . . . . . . . . . 21,779 $ 1,220,495Corning, Inc. . . . . . . . . . . . . . . . . 103,654 3,017,368FLIR Systems, Inc. . . . . . . . . . . . . 17,929 933,563IPG Photonics Corp. (a) . . . . . . . . . 4,393 636,634Keysight Technologies, Inc. (a) . . . . . 24,297 2,493,601National Instruments Corp. . . . . . . . 15,415 652,671Trimble, Inc. (a) . . . . . . . . . . . . . . 32,477 1,353,966Zebra Technologies Corp. Class A (a) . 6,822 1,742,612

19,982,831

ENERGY EQUIPMENT & SERVICES — 0.4%Baker Hughes Co. . . . . . . . . . . . . . 83,888 2,150,050Halliburton Co.. . . . . . . . . . . . . . . 115,885 2,835,706National Oilwell Varco, Inc. . . . . . . . 48,835 1,223,317Schlumberger, Ltd. . . . . . . . . . . . . 179,362 7,210,352

13,419,425

ENTERTAINMENT — 1.9%Activision Blizzard, Inc. . . . . . . . . . 97,081 5,768,553Electronic Arts, Inc. (a). . . . . . . . . . 37,868 4,071,189Liberty Media Corp.-Liberty Braves

Class A (a) . . . . . . . . . . . . . . . . 1,167 34,601Liberty Media Corp.-Liberty Formula

One Class A (a) . . . . . . . . . . . . . 3,520 154,106Live Nation Entertainment, Inc. (a) . . 18,332 1,310,188Madison Square Garden Co. Class A

(a) . . . . . . . . . . . . . . . . . . . . . 2,232 656,632Netflix, Inc. (a) . . . . . . . . . . . . . . . 55,086 17,824,177Roku, Inc. (a) (b). . . . . . . . . . . . . . 11,054 1,480,131Take-Two Interactive Software, Inc.

(a) . . . . . . . . . . . . . . . . . . . . . 14,880 1,821,758Walt Disney Co. . . . . . . . . . . . . . . 232,492 33,625,318

66,746,653

EQUITY REAL ESTATE INVESTMENTTRUSTS (REITS) — 3.6%

Alexandria Real Estate Equities, Inc.REIT . . . . . . . . . . . . . . . . . . . 14,531 2,347,919

American Campus Communities, Inc.REIT . . . . . . . . . . . . . . . . . . . 18,284 859,897

American Homes 4 Rent Class AREIT . . . . . . . . . . . . . . . . . . . 32,850 860,999

American Tower Corp. REIT . . . . . . 57,019 13,104,107Americold Realty Trust REIT (b) . . . 24,667 864,825Apartment Investment &

Management Co. Class A REIT. . . 18,883 975,307AvalonBay Communities, Inc. REIT . 17,988 3,772,084Boston Properties, Inc. REIT . . . . . . 19,478 2,685,237Brixmor Property Group, Inc. REIT. . 39,181 846,701Camden Property Trust REIT . . . . . . 12,505 1,326,780Crown Castle International Corp.

REIT . . . . . . . . . . . . . . . . . . . 53,395 7,590,099CubeSmart REIT. . . . . . . . . . . . . . 24,572 773,527CyrusOne, Inc. REIT . . . . . . . . . . . 12,604 824,680Digital Realty Trust, Inc. REIT (b). . . 27,234 3,260,999Douglas Emmett, Inc. REIT . . . . . . . 20,692 908,379Duke Realty Corp. REIT. . . . . . . . . 46,555 1,614,062EPR Properties REIT . . . . . . . . . . . 9,500 671,080




Equinix, Inc. REIT . . . . . . . . . . . . 10,927 $ 6,378,090Equity LifeStyle Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . . 21,743 1,530,490Equity Residential REIT . . . . . . . . . 47,162 3,816,349Essex Property Trust, Inc. REIT . . . . 8,623 2,594,316Extra Space Storage, Inc. REIT. . . . . 15,768 1,665,416Federal Realty Investment Trust

REIT . . . . . . . . . . . . . . . . . . . 9,645 1,241,601Gaming and Leisure Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . . 26,024 1,120,333Healthcare Trust of America, Inc.

Class A REIT . . . . . . . . . . . . . . 26,276 795,637Healthpeak Properties, Inc. REIT . . . 60,610 2,089,227Host Hotels & Resorts, Inc. REIT . . . 94,422 1,751,528Hudson Pacific Properties, Inc. REIT . 19,533 735,417Invitation Homes, Inc. REIT . . . . . . 72,598 2,175,762Iron Mountain, Inc. REIT (b) . . . . . . 35,759 1,139,639Kilroy Realty Corp. REIT . . . . . . . . 13,134 1,101,943Kimco Realty Corp. REIT . . . . . . . . 53,907 1,116,414Lamar Advertising Co. Class A REIT . 11,536 1,029,703Liberty Property Trust REIT . . . . . . 19,420 1,166,171Medical Properties Trust, Inc. REIT. . 70,788 1,494,335Mid-America Apartment

Communities, Inc. REIT . . . . . . . 15,059 1,985,680National Retail Properties, Inc. REIT . 20,404 1,094,062Omega Healthcare Investors, Inc.

REIT . . . . . . . . . . . . . . . . . . . 25,451 1,077,850Park Hotels & Resorts, Inc. REIT . . . 26,389 682,683Prologis, Inc. REIT . . . . . . . . . . . . 81,588 7,272,754Public Storage REIT . . . . . . . . . . . 19,066 4,060,295Realty Income Corp. REIT . . . . . . . 39,897 2,937,616Regency Centers Corp. REIT . . . . . . 20,357 1,284,323SBA Communications Corp. REIT . . 14,541 3,504,236Simon Property Group, Inc. REIT . . . 39,922 5,946,781SL Green Realty Corp. REIT . . . . . . 11,446 1,051,658STORE Capital Corp. REIT. . . . . . . 30,723 1,144,125Sun Communities, Inc. REIT . . . . . . 11,248 1,688,325UDR, Inc. REIT . . . . . . . . . . . . . . 35,764 1,670,179Ventas, Inc. REIT . . . . . . . . . . . . . 49,839 2,877,704VEREIT, Inc. . . . . . . . . . . . . . . . . 128,589 1,188,162VICI Properties, Inc. REIT (b) . . . . . 56,211 1,436,191Vornado Realty Trust REIT . . . . . . . 22,736 1,511,944Welltower, Inc. REIT . . . . . . . . . . . 51,625 4,221,892Weyerhaeuser Co. REIT . . . . . . . . . 99,104 2,992,941WP Carey, Inc. REIT . . . . . . . . . . . 21,615 1,730,065

127,588,519

FOOD & STAPLES RETAILING — 1.5%Costco Wholesale Corp. . . . . . . . . . 56,926 16,731,690Kroger Co.. . . . . . . . . . . . . . . . . . 103,584 3,002,900Sysco Corp. . . . . . . . . . . . . . . . . . 65,963 5,642,475US Foods Holding Corp. (a). . . . . . . 27,738 1,161,945Walmart, Inc. . . . . . . . . . . . . . . . . 180,870 21,494,591Walgreens Boots Alliance, Inc. . . . . . 98,764 5,823,125

53,856,726


FOOD PRODUCTS — 1.2%Archer-Daniels-Midland Co. . . . . . . 73,777 $ 3,419,564Beyond Meat, Inc. (a) (b) . . . . . . . . 2,990 226,044Bunge, Ltd. . . . . . . . . . . . . . . . . . 18,307 1,053,568Campbell Soup Co. . . . . . . . . . . . . 22,352 1,104,636Conagra Brands, Inc. . . . . . . . . . . . 64,840 2,220,122General Mills, Inc.. . . . . . . . . . . . . 77,835 4,168,843Hershey Co. . . . . . . . . . . . . . . . . . 19,017 2,795,119Hormel Foods Corp. (b) . . . . . . . . . 36,191 1,632,576Ingredion, Inc. . . . . . . . . . . . . . . . 9,347 868,804J.M. Smucker Co. . . . . . . . . . . . . . 14,754 1,536,334Kellogg Co. . . . . . . . . . . . . . . . . . 43,801 3,029,277Kraft Heinz Co. . . . . . . . . . . . . . . 123,002 3,952,054Lamb Weston Holdings, Inc. . . . . . . 17,878 1,538,044McCormick & Co., Inc. . . . . . . . . . 461 78,245Mondelez International, Inc. Class A . 185,941 10,241,630Post Holdings, Inc. (a) . . . . . . . . . . 8,607 939,024Tyson Foods, Inc. Class A . . . . . . . . 38,052 3,464,254

42,268,138

GAS UTILITIES — 0.1%Atmos Energy Corp. . . . . . . . . . . . 15,618 1,747,030UGI Corp. . . . . . . . . . . . . . . . . . . 27,721 1,251,880

2,998,910

HEALTH CARE EQUIPMENT & SUPPLIES— 3.1%

Abbott Laboratories . . . . . . . . . . . . 226,427 19,667,449ABIOMED, Inc. (a) . . . . . . . . . . . . 5,778 985,669Align Technology, Inc. (a) . . . . . . . . 9,353 2,609,861Baxter International, Inc.. . . . . . . . . 65,876 5,508,551Becton Dickinson and Co. . . . . . . . . 34,602 9,410,706Boston Scientific Corp. (a) . . . . . . . 178,242 8,060,103Cooper Cos., Inc. . . . . . . . . . . . . . 6,034 1,938,664Danaher Corp. . . . . . . . . . . . . . . . 81,934 12,575,230DENTSPLY SIRONA, Inc. . . . . . . . 29,114 1,647,561DexCom, Inc. (a). . . . . . . . . . . . . . 11,924 2,608,256Edwards Lifesciences Corp. (a). . . . . 26,846 6,262,903Haemonetics Corp. (a) . . . . . . . . . . 6,478 744,322Hill-Rom Holdings, Inc. . . . . . . . . . 8,598 976,131Hologic, Inc. (a) . . . . . . . . . . . . . . 34,812 1,817,535IDEXX Laboratories, Inc. (a) . . . . . . 11,229 2,932,229Insulet Corp. (a) . . . . . . . . . . . . . . 7,514 1,286,397Intuitive Surgical, Inc. (a) . . . . . . . . 14,776 8,734,832Masimo Corp. (a) . . . . . . . . . . . . . 5,774 912,638ResMed, Inc. . . . . . . . . . . . . . . . . 18,770 2,908,787Stryker Corp. . . . . . . . . . . . . . . . . 45,070 9,461,996Teleflex, Inc. . . . . . . . . . . . . . . . . 5,793 2,180,717Varian Medical Systems, Inc. (a) . . . . 12,145 1,724,712West Pharmaceutical Services, Inc. . . 9,603 1,443,619Zimmer Biomet Holdings, Inc. . . . . . 26,264 3,931,196

110,330,064

HEALTH CARE PROVIDERS & SERVICES —2.9%

AmerisourceBergen Corp. . . . . . . . . 20,057 1,705,246Anthem, Inc. . . . . . . . . . . . . . . . . 32,781 9,900,845




Cardinal Health, Inc. . . . . . . . . . . . 38,884 $ 1,966,753Centene Corp. (a) . . . . . . . . . . . . . 53,526 3,365,180Chemed Corp. . . . . . . . . . . . . . . . 1,959 860,510Cigna Corp. . . . . . . . . . . . . . . . . . 47,836 9,781,984CVS Health Corp. . . . . . . . . . . . . . 168,396 12,510,139DaVita, Inc. (a) . . . . . . . . . . . . . . . 21,221 1,592,212Encompass Health Corp. . . . . . . . . . 12,520 867,260Guardant Health, Inc. (a) (b) . . . . . . 5,124 400,389HCA Healthcare, Inc. . . . . . . . . . . . 34,549 5,106,688Henry Schein, Inc. (a) . . . . . . . . . . 19,300 1,287,696Humana, Inc. . . . . . . . . . . . . . . . . 17,191 6,300,845Laboratory Corp. of America

Holdings (a) . . . . . . . . . . . . . . . 13,095 2,215,281McKesson Corp. . . . . . . . . . . . . . . 24,186 3,345,407Molina Healthcare, Inc. (a) . . . . . . . 7,304 991,080Quest Diagnostics, Inc. . . . . . . . . . . 17,886 1,910,046UnitedHealth Group, Inc. . . . . . . . . 121,737 35,788,243Universal Health Services, Inc.

Class B . . . . . . . . . . . . . . . . . . 597 85,646WellCare Health Plans, Inc. (a) . . . . . 6,286 2,075,700

102,057,150

HEALTH CARE TECHNOLOGY — 0.2%Cerner Corp. . . . . . . . . . . . . . . . . 39,281 2,882,833Veeva Systems, Inc. Class A (a) . . . . 16,372 2,302,885

5,185,718

HOTELS, RESTAURANTS & LEISURE —2.0%

Aramark . . . . . . . . . . . . . . . . . . . 31,377 1,361,762Caesars Entertainment Corp. (a) . . . . 93,091 1,266,038Chipotle Mexican Grill, Inc. (a) . . . . 3,505 2,934,071Darden Restaurants, Inc. . . . . . . . . . 15,617 1,702,409Domino’s Pizza, Inc. . . . . . . . . . . . 5,458 1,603,451Dunkin’ Brands Group, Inc. . . . . . . . 10,664 805,559Hilton Worldwide Holdings, Inc. . . . . 36,939 4,096,904Las Vegas Sands Corp. . . . . . . . . . . 44,555 3,076,077Marriott International, Inc. Class A . . 36,347 5,504,026McDonald’s Corp. . . . . . . . . . . . . . 98,725 19,509,047MGM Resorts International . . . . . . . 64,625 2,150,074Norwegian Cruise Line Holdings,

Ltd. (a) . . . . . . . . . . . . . . . . . . 26,724 1,560,949Royal Caribbean Cruises, Ltd. . . . . . 21,791 2,909,316Starbucks Corp. . . . . . . . . . . . . . . 149,046 13,104,124Vail Resorts, Inc. . . . . . . . . . . . . . . 5,121 1,228,169Wynn Resorts, Ltd. . . . . . . . . . . . . 12,255 1,701,852Yum China Holdings, Inc. . . . . . . . . 45,391 2,179,222Yum! Brands, Inc. . . . . . . . . . . . . . 39,493 3,978,130

70,671,180

HOUSEHOLD DURABLES — 0.3%D.R. Horton, Inc.. . . . . . . . . . . . . . 44,579 2,351,542Leggett & Platt, Inc.. . . . . . . . . . . . 16,879 857,960Lennar Corp. Class A . . . . . . . . . . . 35,953 2,005,818Lennar Corp. Class B . . . . . . . . . . . 2,515 112,420Mohawk Industries, Inc. (a) . . . . . . . 7,435 1,013,985Newell Brands, Inc. . . . . . . . . . . . . 52,313 1,005,456


NVR, Inc. (a) . . . . . . . . . . . . . . . . 371 $ 1,412,920PulteGroup, Inc. . . . . . . . . . . . . . . 33,756 1,309,733Toll Brothers, Inc. . . . . . . . . . . . . . 17,971 710,034Whirlpool Corp. . . . . . . . . . . . . . . 8,424 1,242,793

12,022,661

HOUSEHOLD PRODUCTS — 1.7%Church & Dwight Co., Inc. . . . . . . . 31,218 2,195,874Clorox Co.. . . . . . . . . . . . . . . . . . 16,876 2,591,141Colgate-Palmolive Co. . . . . . . . . . . 111,008 7,641,791Kimberly-Clark Corp. . . . . . . . . . . 44,802 6,162,515Procter & Gamble Co. . . . . . . . . . . 323,410 40,393,909

58,985,230

INDEPENDENT POWER AND RENEWABLEELECTRICITY PRODUCERS — 0.1%

AES Corp.. . . . . . . . . . . . . . . . . . 89,360 1,778,264NRG Energy, Inc. . . . . . . . . . . . . . 31,722 1,260,949Vistra Energy Corp. . . . . . . . . . . . . 54,332 1,249,093

4,288,306

INDUSTRIAL CONGLOMERATES — 1.4%3M Co. . . . . . . . . . . . . . . . . . . . . 74,479 13,139,585Carlisle Cos., Inc. . . . . . . . . . . . . . 7,157 1,158,289General Electric Co.. . . . . . . . . . . . 1,124,797 12,552,734Honeywell International, Inc. . . . . . . 92,057 16,294,089Roper Technologies, Inc. . . . . . . . . . 13,120 4,647,498

47,792,195

INSURANCE — 2.0%Aflac, Inc. . . . . . . . . . . . . . . . . . . 91,240 4,826,596Alleghany Corp. (a) . . . . . . . . . . . . 1,747 1,396,849Allstate Corp. . . . . . . . . . . . . . . . . 42,795 4,812,298American Financial Group, Inc. . . . . 9,626 1,055,491American International Group, Inc. . . 111,403 5,718,316Arthur J Gallagher & Co. . . . . . . . . 23,198 2,209,146Assurant, Inc. . . . . . . . . . . . . . . . . 7,227 947,315Brown & Brown, Inc. . . . . . . . . . . . 30,397 1,200,074Cincinnati Financial Corp. . . . . . . . . 19,492 2,049,584Fidelity National Financial, Inc. . . . . 33,835 1,534,417First American Financial Corp. . . . . . 13,707 799,392Globe Life, Inc. . . . . . . . . . . . . . . 13,865 1,459,291Hartford Financial Services Group,

Inc. . . . . . . . . . . . . . . . . . . . . 47,052 2,859,350Lincoln National Corp. . . . . . . . . . . 26,323 1,553,320Loews Corp. . . . . . . . . . . . . . . . . 35,005 1,837,412Markel Corp. (a) . . . . . . . . . . . . . . 1,766 2,018,838Marsh & McLennan Cos., Inc. . . . . . 65,166 7,260,144MetLife, Inc. . . . . . . . . . . . . . . . . 104,155 5,308,780Old Republic International Corp.. . . . 35,955 804,313Principal Financial Group, Inc. . . . . . 35,968 1,978,240Progressive Corp. . . . . . . . . . . . . . 74,774 5,412,890Prudential Financial, Inc.. . . . . . . . . 52,781 4,947,691Reinsurance Group of America, Inc.. . 8,484 1,383,401Travelers Cos., Inc. . . . . . . . . . . . . 33,044 4,525,376Unum Group . . . . . . . . . . . . . . . . 28,411 828,465




WR Berkley Corp.. . . . . . . . . . . . . 18,457 $ 1,275,379

70,002,368

INTERACTIVE MEDIA & SERVICES — 3.4%Alphabet, Inc. Class A (a) . . . . . . . . 38,733 51,878,593Facebook, Inc. Class A (a) . . . . . . . . 307,164 63,045,411IAC/InterActiveCorp (a) . . . . . . . . . 9,910 2,468,680Twitter, Inc. (a) . . . . . . . . . . . . . . . 95,732 3,068,211Zillow Group, Inc. Class A (a) (b) . . . 6,188 283,039

120,743,934

INTERNET & DIRECT MARKETINGRETAIL — 3.6%

Amazon.com, Inc. (a) . . . . . . . . . . . 56,622 104,628,397Booking Holdings, Inc. (a). . . . . . . . 5,491 11,277,031eBay, Inc. . . . . . . . . . . . . . . . . . . 104,764 3,783,028Etsy, Inc. (a). . . . . . . . . . . . . . . . . 15,460 684,878Expedia Group, Inc. . . . . . . . . . . . . 16,082 1,739,107GrubHub, Inc. (a) (b) . . . . . . . . . . . 12,331 599,780MercadoLibre, Inc. (a) . . . . . . . . . . 5,854 3,348,137Wayfair, Inc. Class A (a) (b) . . . . . . . 8,191 740,221

126,800,579

IT SERVICES — 5.3%Akamai Technologies, Inc. (a) . . . . . 21,340 1,843,349Alliance Data Systems Corp. . . . . . . 6,340 711,348Amdocs, Ltd. . . . . . . . . . . . . . . . . 18,871 1,362,298Automatic Data Processing, Inc. . . . . 56,243 9,589,432Black Knight, Inc. (a) . . . . . . . . . . . 17,988 1,159,866Booz Allen Hamilton Holding Corp. . 18,336 1,304,240Broadridge Financial Solutions, Inc. . 15,062 1,860,759Cognizant Technology Solutions

Corp. Class A . . . . . . . . . . . . . . 69,824 4,330,484DXC Technology Co. . . . . . . . . . . . 35,063 1,318,018EPAM Systems, Inc. (a) . . . . . . . . . 6,627 1,405,984Euronet Worldwide, Inc. (a) . . . . . . . 6,269 987,744Fidelity National Information

Services, Inc. . . . . . . . . . . . . . . 80,046 11,133,598Fiserv, Inc. (a) . . . . . . . . . . . . . . . 72,433 8,375,428FleetCor Technologies, Inc. (a) . . . . . 11,231 3,231,383Gartner, Inc. (a) . . . . . . . . . . . . . . 11,772 1,814,065Global Payments, Inc.. . . . . . . . . . . 39,169 7,150,693GoDaddy, Inc. Class A (a) . . . . . . . . 21,978 1,492,746International Business Machines

Corp. . . . . . . . . . . . . . . . . . . . 114,087 15,292,222Jack Henry & Associates, Inc. . . . . . 9,695 1,412,271Leidos Holdings, Inc. . . . . . . . . . . . 18,547 1,815,566Mastercard, Inc. Class A . . . . . . . . . 115,054 34,353,974Okta, Inc. (a) . . . . . . . . . . . . . . . . 13,246 1,528,191Paychex, Inc. . . . . . . . . . . . . . . . . 41,970 3,569,968PayPal Holdings, Inc. (a) . . . . . . . . . 144,607 15,642,139Sabre Corp. . . . . . . . . . . . . . . . . . 32,705 733,900Square, Inc. Class A (a). . . . . . . . . . 42,295 2,645,975Twilio, Inc. Class A (a) (b). . . . . . . . 15,749 1,547,812VeriSign, Inc. (a) . . . . . . . . . . . . . . 15,500 2,986,540Visa, Inc. Class A . . . . . . . . . . . . . 223,299 41,957,882Western Union Co. (b) . . . . . . . . . . 57,212 1,532,137


WEX, Inc. (a). . . . . . . . . . . . . . . . 5,619 $ 1,176,956

185,266,968

LEISURE EQUIPMENT & PRODUCTS —0.1%

Hasbro, Inc. . . . . . . . . . . . . . . . . . 15,251 1,610,658Polaris, Inc. . . . . . . . . . . . . . . . . . 7,209 733,155

2,343,813

LIFE SCIENCES TOOLS & SERVICES —1.2%

Agilent Technologies, Inc. . . . . . . . . 40,370 3,443,965Avantor, Inc. (a) . . . . . . . . . . . . . . 70,956 1,287,851Bio-Rad Laboratories, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . . 110 40,703Bio-Techne Corp. . . . . . . . . . . . . . 5,011 1,099,965Bruker Corp. . . . . . . . . . . . . . . . . 13,198 672,702Charles River Laboratories

International, Inc. (a) . . . . . . . . . 5,674 866,760Illumina, Inc. (a) . . . . . . . . . . . . . . 18,880 6,263,251IQVIA Holdings, Inc. (a) . . . . . . . . 23,865 3,687,381Mettler-Toledo International, Inc. (a) . 3,140 2,490,899PerkinElmer, Inc. . . . . . . . . . . . . . 14,415 1,399,697PRA Health Sciences, Inc. (a). . . . . . 7,427 825,511Thermo Fisher Scientific, Inc. . . . . . 51,687 16,791,556Waters Corp. (a) . . . . . . . . . . . . . . 8,724 2,038,363

40,908,604

MACHINERY — 1.8%AGCO Corp. . . . . . . . . . . . . . . . . 8,525 658,556Allison Transmission Holdings, Inc.. . 16,147 780,223Caterpillar, Inc.. . . . . . . . . . . . . . . 72,190 10,661,019Cummins, Inc. . . . . . . . . . . . . . . . 19,758 3,535,892Deere & Co.. . . . . . . . . . . . . . . . . 40,944 7,093,958Donaldson Co., Inc. . . . . . . . . . . . . 16,000 921,920Dover Corp. . . . . . . . . . . . . . . . . . 18,898 2,178,184Flowserve Corp. . . . . . . . . . . . . . . 16,892 840,715Fortive Corp. . . . . . . . . . . . . . . . . 38,739 2,959,272Gardner Denver Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . . 18,393 674,655Graco, Inc.. . . . . . . . . . . . . . . . . . 21,903 1,138,956IDEX Corp. . . . . . . . . . . . . . . . . . 9,666 1,662,552Illinois Tool Works, Inc. . . . . . . . . . 42,281 7,594,936Lincoln Electric Holdings, Inc. . . . . . 7,737 748,400Middleby Corp. (a) . . . . . . . . . . . . 6,922 758,097Nordson Corp. . . . . . . . . . . . . . . . 6,289 1,024,101Oshkosh Corp. . . . . . . . . . . . . . . . 9,280 878,352PACCAR, Inc. . . . . . . . . . . . . . . . 44,511 3,520,820Parker-Hannifin Corp. . . . . . . . . . . 16,700 3,437,194Snap-on, Inc. . . . . . . . . . . . . . . . . 7,001 1,185,969Stanley Black & Decker, Inc. . . . . . . 19,873 3,293,751Toro Co. . . . . . . . . . . . . . . . . . . . 13,500 1,075,545WABCO Holdings, Inc. (a) . . . . . . . 6,611 895,791Westinghouse Air Brake Technologies

Corp. . . . . . . . . . . . . . . . . . . . 21,891 1,703,120Woodward, Inc. . . . . . . . . . . . . . . . 6,901 817,354




Xylem, Inc. . . . . . . . . . . . . . . . . . 23,528 $ 1,853,771

61,893,103

MEDIA — 0.6%Cable One, Inc. . . . . . . . . . . . . . . . 500 744,235Charter Communications, Inc.

Class A (a) . . . . . . . . . . . . . . . . 21,077 10,224,031Comcast Corp. Class A . . . . . . . . . . 37,768 1,698,427Discovery, Inc. Class A (a) (b) . . . . . 17,745 580,971DISH Network Corp. Class A (a) . . . 29,203 1,035,830Fox Corp. Class A . . . . . . . . . . . . . 45,331 1,680,420Fox Corp. Class B . . . . . . . . . . . . . 20,965 763,126Interpublic Group of Cos., Inc. . . . . . 50,787 1,173,180Liberty Broadband Corp. Class A (a) . 3,492 434,964Liberty Media Corp.-Liberty

SiriusXM Class A (a) . . . . . . . . . 13,227 639,393News Corp. Class B . . . . . . . . . . . . 14,405 209,017Omnicom Group, Inc.. . . . . . . . . . . 27,758 2,248,953Sirius XM Holdings, Inc. (b) . . . . . . 164,834 1,178,563ViacomCBS, Inc. Class B . . . . . . . . 1,197 50,238

22,661,348

METALS & MINING — 0.4%Freeport-McMoRan, Inc.. . . . . . . . . 187,369 2,458,281Newmont Goldcorp Corp. . . . . . . . . 105,891 4,600,964Nucor Corp. . . . . . . . . . . . . . . . . . 40,284 2,267,184Reliance Steel & Aluminum Co. . . . . 8,624 1,032,810Royal Gold, Inc. . . . . . . . . . . . . . . 8,655 1,058,074Steel Dynamics, Inc. . . . . . . . . . . . 28,275 962,481

12,379,794

MORTGAGE REAL ESTATE INVESTMENTTRUST (REITS) — 0.1%

AGNC Investment Corp. REIT . . . . . 65,117 1,151,269Annaly Capital Management, Inc.

REIT . . . . . . . . . . . . . . . . . . . 187,463 1,765,901New Residential Investment Corp.

REIT (b) . . . . . . . . . . . . . . . . . 57,711 929,724Starwood Property Trust, Inc. REIT . . 33,160 824,358

4,671,252

MULTI-UTILITIES — 1.1%Ameren Corp.. . . . . . . . . . . . . . . . 30,951 2,377,037CenterPoint Energy, Inc. . . . . . . . . . 62,382 1,701,157CMS Energy Corp. . . . . . . . . . . . . 36,183 2,273,740Consolidated Edison, Inc. . . . . . . . . 44,127 3,992,170Dominion Energy, Inc. . . . . . . . . . . 107,349 8,890,644DTE Energy Co. . . . . . . . . . . . . . . 23,824 3,094,023MDU Resources Group, Inc. . . . . . . 24,112 716,367NiSource, Inc. . . . . . . . . . . . . . . . 50,278 1,399,739Public Service Enterprise Group, Inc. . 65,483 3,866,771Sempra Energy . . . . . . . . . . . . . . . 35,069 5,312,252WEC Energy Group, Inc. . . . . . . . . 39,955 3,685,050

37,308,950

MULTILINE RETAIL — 0.5%Dollar General Corp. . . . . . . . . . . . 33,445 5,216,751Dollar Tree, Inc. (a) . . . . . . . . . . . . 30,459 2,864,669


Kohl’s Corp. . . . . . . . . . . . . . . . . 21,583 $ 1,099,654Nordstrom, Inc. (b) . . . . . . . . . . . . 13,239 541,872Target Corp.. . . . . . . . . . . . . . . . . 65,485 8,395,832

18,118,778

OIL, GAS & CONSUMABLE FUELS — 3.9%Apache Corp. . . . . . . . . . . . . . . . . 49,834 1,275,252Cabot Oil & Gas Corp. . . . . . . . . . . 56,585 985,145Cheniere Energy, Inc. (a) . . . . . . . . . 33,889 2,069,601Chevron Corp. . . . . . . . . . . . . . . . 245,333 29,565,080Concho Resources, Inc.. . . . . . . . . . 26,303 2,303,354ConocoPhillips . . . . . . . . . . . . . . . 142,502 9,266,905Devon Energy Corp. . . . . . . . . . . . 47,270 1,227,602Diamondback Energy, Inc.. . . . . . . . 21,280 1,976,061EOG Resources, Inc. . . . . . . . . . . . 74,644 6,252,181Exxon Mobil Corp. . . . . . . . . . . . . 546,300 38,120,814Hess Corp.. . . . . . . . . . . . . . . . . . 35,108 2,345,565HollyFrontier Corp. . . . . . . . . . . . . 22,398 1,135,803Kinder Morgan, Inc.. . . . . . . . . . . . 252,415 5,343,625Marathon Oil Corp. . . . . . . . . . . . . 107,894 1,465,200Marathon Petroleum Corp.. . . . . . . . 85,355 5,142,639Noble Energy, Inc. . . . . . . . . . . . . . 62,745 1,558,586Occidental Petroleum Corp. . . . . . . . 115,662 4,766,431ONEOK, Inc. . . . . . . . . . . . . . . . . 52,389 3,964,276Phillips 66 . . . . . . . . . . . . . . . . . . 58,199 6,483,951Pioneer Natural Resources Co. . . . . . 21,685 3,282,458Targa Resources Corp. . . . . . . . . . . 28,453 1,161,736Valero Energy Corp. . . . . . . . . . . . 52,973 4,960,921Williams Cos., Inc. . . . . . . . . . . . . 156,783 3,718,893

138,372,079

PERSONAL PRODUCTS — 0.2%Coty, Inc. Class A . . . . . . . . . . . . . 44,694 502,807Estee Lauder Cos., Inc. Class A . . . . 28,988 5,987,182

6,489,989

PHARMACEUTICALS — 4.4%Bristol-Myers Squibb Co. . . . . . . . . 302,238 19,400,657Catalent, Inc. (a) . . . . . . . . . . . . . . 17,390 979,057Elanco Animal Health, Inc. (a) . . . . . 48,262 1,421,316Eli Lilly & Co. . . . . . . . . . . . . . . . 109,119 14,341,510Johnson & Johnson . . . . . . . . . . . . 341,078 49,753,048Merck & Co., Inc. . . . . . . . . . . . . . 330,695 30,076,710Mylan NV (a). . . . . . . . . . . . . . . . 63,855 1,283,486Pfizer, Inc.. . . . . . . . . . . . . . . . . . 716,754 28,082,422Zoetis, Inc. . . . . . . . . . . . . . . . . . 61,344 8,118,878

153,457,084

PROFESSIONAL SERVICES — 0.4%CoStar Group, Inc. (a) . . . . . . . . . . 4,639 2,775,514Equifax, Inc. . . . . . . . . . . . . . . . . 15,427 2,161,631ManpowerGroup, Inc.. . . . . . . . . . . 7,505 728,736Nielsen Holdings PLC . . . . . . . . . . 48,057 975,557Robert Half International, Inc. . . . . . 15,256 963,416TransUnion . . . . . . . . . . . . . . . . . 24,513 2,098,558Verisk Analytics, Inc. . . . . . . . . . . . 21,065 3,145,847

12,849,259




REAL ESTATE MANAGEMENT &DEVELOPMENT — 0.1%

CBRE Group, Inc. Class A (a) . . . . . 43,745 $ 2,681,131Howard Hughes Corp. (a) . . . . . . . . 5,631 714,011Jones Lang LaSalle, Inc. . . . . . . . . . 5,968 1,038,969

4,434,111

ROAD & RAIL — 1.1%AMERCO . . . . . . . . . . . . . . . . . . 1,111 417,536CSX Corp.. . . . . . . . . . . . . . . . . . 102,336 7,405,033JB Hunt Transport Services, Inc. . . . . 11,174 1,304,900Kansas City Southern . . . . . . . . . . . 13,258 2,030,595Knight-Swift Transportation

Holdings, Inc. (b). . . . . . . . . . . . 16,265 582,937Lyft, Inc. Class A (a) (b) . . . . . . . . . 24,797 1,066,767Norfolk Southern Corp. . . . . . . . . . 34,297 6,658,077Old Dominion Freight Line, Inc. . . . . 9,536 1,809,742Uber Technologies, Inc. (a) . . . . . . . 94,152 2,800,080Union Pacific Corp. . . . . . . . . . . . . 89,282 16,141,293

40,216,960

SEMICONDUCTORS & SEMICONDUCTOREQUIPMENT — 4.4%

Advanced Micro Devices, Inc. (a) . . . 135,031 6,192,522Analog Devices, Inc. . . . . . . . . . . . 47,375 5,630,045Applied Materials, Inc. . . . . . . . . . . 117,962 7,200,400Broadcom, Inc. . . . . . . . . . . . . . . . 50,096 15,831,338Cree, Inc. (a) . . . . . . . . . . . . . . . . 13,240 611,026Cypress Semiconductor Corp. . . . . . 45,075 1,051,600Entegris, Inc. . . . . . . . . . . . . . . . . 17,231 863,101First Solar, Inc. (a) (b) . . . . . . . . . . 9,552 534,530Intel Corp. . . . . . . . . . . . . . . . . . . 572,577 34,268,733KLA Corp. . . . . . . . . . . . . . . . . . 20,893 3,722,506Lam Research Corp. . . . . . . . . . . . 18,797 5,496,243Maxim Integrated Products, Inc. . . . . 35,554 2,186,927Mellanox Technologies, Ltd. (a) . . . . 6,419 752,178Microchip Technology, Inc. (b) . . . . . 29,297 3,067,982Micron Technology, Inc. (a) . . . . . . . 142,742 7,676,665Monolithic Power Systems, Inc. . . . . 5,260 936,385NVIDIA Corp. . . . . . . . . . . . . . . . 75,547 17,776,209ON Semiconductor Corp. (a) . . . . . . 53,240 1,297,991Qorvo, Inc. (a) . . . . . . . . . . . . . . . 15,668 1,821,092QUALCOMM, Inc. . . . . . . . . . . . . 146,915 12,962,310Skyworks Solutions, Inc. . . . . . . . . . 22,895 2,767,548Teradyne, Inc.. . . . . . . . . . . . . . . . 22,799 1,554,664Texas Instruments, Inc. . . . . . . . . . . 120,107 15,408,527Universal Display Corp. . . . . . . . . . 5,578 1,149,458Xilinx, Inc. . . . . . . . . . . . . . . . . . 32,160 3,144,283

153,904,263

SOFTWARE — 7.8%Adobe, Inc. (a) . . . . . . . . . . . . . . . 62,291 20,544,195Anaplan, Inc. (a) . . . . . . . . . . . . . . 12,285 643,734ANSYS, Inc. (a) . . . . . . . . . . . . . . 10,785 2,776,167Aspen Technology, Inc. (a). . . . . . . . 9,244 1,117,877Autodesk, Inc. (a) . . . . . . . . . . . . . 28,211 5,175,590Cadence Design Systems, Inc. (a) . . . 36,908 2,559,939


CDK Global, Inc. . . . . . . . . . . . . . 16,066 $ 878,489Ceridian HCM Holding, Inc. (a) (b) . . 12,919 876,942Citrix Systems, Inc. . . . . . . . . . . . . 16,802 1,863,342Coupa Software, Inc. (a) (b) . . . . . . . 7,936 1,160,640DocuSign, Inc. (a) . . . . . . . . . . . . . 15,015 1,112,762Elastic NV (a) . . . . . . . . . . . . . . . 3,971 255,335Fair Isaac Corp. (a) . . . . . . . . . . . . 3,540 1,326,367Fortinet, Inc. (a) . . . . . . . . . . . . . . 18,924 2,020,326Guidewire Software, Inc. (a) . . . . . . 10,548 1,157,854HubSpot, Inc. (a). . . . . . . . . . . . . . 5,110 809,935Intuit, Inc. . . . . . . . . . . . . . . . . . . 32,260 8,449,862Microsoft Corp. . . . . . . . . . . . . . . 981,679 154,810,778NortonLifeLock, Inc. . . . . . . . . . . . 81,762 2,086,566Oracle Corp. . . . . . . . . . . . . . . . . 275,712 14,607,222Palo Alto Networks, Inc. (a) . . . . . . . 12,418 2,871,662Paycom Software, Inc. (a) . . . . . . . . 6,154 1,629,333Proofpoint, Inc. (a) . . . . . . . . . . . . 7,427 852,471PTC, Inc. (a) . . . . . . . . . . . . . . . . 13,913 1,041,945RealPage, Inc. (a) (b) . . . . . . . . . . . 10,109 543,359RingCentral, Inc. Class A (a) . . . . . . 9,050 1,526,463salesforce.com, Inc. (a) . . . . . . . . . . 109,140 17,750,530ServiceNow, Inc. (a). . . . . . . . . . . . 24,009 6,778,221Slack Technologies, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . . 27,523 618,717Splunk, Inc. (a) . . . . . . . . . . . . . . . 19,599 2,935,342SS&C Technologies Holdings, Inc. . . 27,397 1,682,176Synopsys, Inc. (a) . . . . . . . . . . . . . 19,428 2,704,378Trade Desk, Inc. Class A (a) (b) . . . . 4,499 1,168,750Tyler Technologies, Inc. (a) . . . . . . . 5,072 1,521,701VMware, Inc. Class A (a) . . . . . . . . 9,441 1,433,049Workday, Inc. Class A (a) . . . . . . . . 21,525 3,539,786Zendesk, Inc. (a) . . . . . . . . . . . . . . 13,913 1,066,153Zscaler, Inc. (a) (b) . . . . . . . . . . . . 8,358 388,647

274,286,605

SPECIALTY RETAIL — 2.3%Advance Auto Parts, Inc. . . . . . . . . . 9,464 1,515,754AutoZone, Inc. (a) . . . . . . . . . . . . . 3,151 3,753,818Best Buy Co., Inc. . . . . . . . . . . . . . 30,521 2,679,744Burlington Stores, Inc. (a) . . . . . . . . 8,819 2,010,997CarMax, Inc. (a) . . . . . . . . . . . . . . 22,082 1,935,929Five Below, Inc. (a) . . . . . . . . . . . . 6,469 827,126Gap, Inc. . . . . . . . . . . . . . . . . . . . 30,717 543,077Home Depot, Inc. . . . . . . . . . . . . . 141,450 30,889,851Lowe’s Cos., Inc. . . . . . . . . . . . . . 99,155 11,874,803O’Reilly Automotive, Inc. (a) . . . . . . 9,657 4,232,277Ross Stores, Inc. . . . . . . . . . . . . . . 46,437 5,406,195Tiffany & Co. . . . . . . . . . . . . . . . . 15,750 2,104,987TJX Cos., Inc. . . . . . . . . . . . . . . . 158,469 9,676,117Tractor Supply Co. . . . . . . . . . . . . 15,398 1,438,789Ulta Salon Cosmetics & Fragrance,

Inc. (a) . . . . . . . . . . . . . . . . . . 6,884 1,742,616

80,632,080

TECHNOLOGY HARDWARE, STORAGE &PERIPHERALS — 5.3%

Apple, Inc.. . . . . . . . . . . . . . . . . . 584,565 171,657,512




Dell Technologies, Inc. Class C (a) . . 29,189 $ 1,500,023Hewlett Packard Enterprise Co. . . . . 170,635 2,706,271HP, Inc. . . . . . . . . . . . . . . . . . . . . 187,808 3,859,455NetApp, Inc. . . . . . . . . . . . . . . . . 31,229 1,944,005Western Digital Corp.. . . . . . . . . . . 37,558 2,383,806Xerox Holdings Corp. . . . . . . . . . . 28,907 1,065,801

185,116,873

TEXTILES, APPAREL & LUXURY GOODS —0.8%

Columbia Sportswear Co. . . . . . . . . 3,684 369,100Hanesbrands, Inc. (b) . . . . . . . . . . . 45,565 676,640Lululemon Athletica, Inc. (a) . . . . . . 15,343 3,554,513NIKE, Inc. Class B . . . . . . . . . . . . 155,977 15,802,030PVH Corp. . . . . . . . . . . . . . . . . . 9,778 1,028,157Tapestry, Inc. . . . . . . . . . . . . . . . . 36,708 990,015Under Armour, Inc. Class A (a) (b) . . 23,029 497,426VF Corp.. . . . . . . . . . . . . . . . . . . 50,786 5,061,333

27,979,214

THRIFTS & MORTGAGE FINANCE — 0.0%(c)

New York Community Bancorp, Inc. . 59,933 720,395

TOBACCO — 0.8%Altria Group, Inc. . . . . . . . . . . . . . 243,252 12,140,707Philip Morris International, Inc. . . . . 202,199 17,205,113

29,345,820

TRADING COMPANIES & DISTRIBUTORS— 0.2%

Fastenal Co. . . . . . . . . . . . . . . . . . 75,346 2,784,035HD Supply Holdings, Inc. (a) . . . . . . 22,615 909,575United Rentals, Inc. (a) . . . . . . . . . . 10,183 1,698,219W.W. Grainger, Inc. . . . . . . . . . . . . 5,851 1,980,680Watsco, Inc. . . . . . . . . . . . . . . . . . 3,858 695,019

8,067,528

WATER UTILITIES — 0.1%American Water Works Co., Inc. . . . . 23,951 2,942,380


Aqua America, Inc. . . . . . . . . . . . . 29,765 $ 1,397,169

4,339,549

WIRELESS TELECOMMUNICATIONSERVICES — 0.1%

T-Mobile US, Inc. (a) . . . . . . . . . . . 39,752 3,117,352

TOTAL COMMON STOCKS(Cost $3,201,896,220) . . . . . . . 3,500,213,082

SHORT-TERM INVESTMENTS — 0.2%State Street Institutional Liquid

Reserves Fund, Premier Class1.73% (d) (e). . . . . . . . . . . . . 3,293,900 3,294,230

State Street Navigator SecuritiesLending Portfolio II (f) (g) . . . . 5,894,871 5,894,871

TOTAL SHORT-TERM INVESTMENTS(Cost $9,189,048) . . . . . . . . . . . . . . . . . . . . 9,189,101

TOTAL INVESTMENTS — 100.0%(Cost $3,211,085,268). . . . . . . . . . . . . . . . . . 3,509,402,183

LIABILITIES IN EXCESS OF OTHERASSETS — (0.0)% (c) . . . . . . . . . . . . . . . . . (1,490,968)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 3,507,911,215

(a) Non-income producing security.(b) All or a portion of the shares of the security are on loan at

December 31, 2019.(c) Amount is less than 0.05% of net assets.(d) The Fund invested in certain money market funds managed by

SSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(e) The rate shown is the annualized seven-day yield at December 31,2019.

(f) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(g) Investment of cash collateral for securities loaned.

REIT Real Estate Investment Trust

At December 31, 2019, open futures contracts were as follows:

DescriptionNumber ofContracts

ExpirationDate

NotionalAmount Value

UnrealizedAppreciation/Depreciation

E-Mini S&P 500 Index (long) 28 03/20/2020 $4,449,596 $4,523,540 $73,944

E-Mini Russell 1000 Index (long) 4 03/20/2020 347,433 356,980 9,547

Total unrealized appreciation/depreciation on open futures contracts. $83,491

During the period ended December 31, 2019, average notional value related to futures contracts was $4,583,731or less than0.5% of net assets.



The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31,2019.

DescriptionLevel 1 –

Quoted Prices

Level 2 –Other SignificantObservable Inputs

Level 3 –Significant

Unobservable Inputs Total

ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,500,213,082 $— $— $3,500,213,082

Short-Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,189,101 — — 9,189,101

TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,509,402,183 $— $— $3,509,402,183

OTHER FINANCIAL INSTRUMENTS:

Futures Contracts(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,491 — — 83,491

TOTAL OTHER FINANCIAL INSTRUMENTS:. . . . . . . . . . . . $ 83,491 $— $— $ 83,491

TOTAL INVESTMENTS AND OTHER FINANCIALINSTRUMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,509,485,674 $— $— $3,509,485,674

(a) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table

Number ofShares Held

at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized

Appreciation/Depreciation


at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund, PremierClass . . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ — $ 54,849,040 $ 51,554,586 $(277) $53 3,293,900 $3,294,230 $25,920

State Street Institutional U.S. Government Money MarketFund, Class G Shares . . . . . . . . . . . . . . . . . . . 4,064,633 4,064,633 11,904,096 15,968,729 — — — — 12,456

State Street Navigator Securities Lending Portfolio II . . . — — 33,114,272 27,219,401 — — 5,894,871 5,894,871 7,024

State Street Navigator Securities Lending Portfolio III . . . 2,442,518 2,442,518 26,493,677 28,936,195 — — — — 4,404

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $6,507,151 $126,361,085 $123,678,911 $(277) $53 $9,189,101 $49,804




COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 1.5%AAR Corp. . . . . . . . . . . . . . . . . 24,113 $ 1,087,496Aerojet Rocketdyne Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 52,420 2,393,497AeroVironment, Inc. (a) . . . . . . . . 16,165 998,027Axon Enterprise, Inc. (a) (b) . . . . . 43,077 3,156,683Cubic Corp.. . . . . . . . . . . . . . . . 22,551 1,433,567Curtiss-Wright Corp. . . . . . . . . . . 31,044 4,373,789Mercury Systems, Inc. (a) . . . . . . . 40,252 2,781,816Moog, Inc. Class A . . . . . . . . . . . 23,302 1,988,360National Presto Industries, Inc. (b) . 3,573 315,817Park Aerospace Corp. . . . . . . . . . 14,632 238,063Teledyne Technologies, Inc. (a). . . . 26,665 9,240,489Triumph Group, Inc. . . . . . . . . . . 37,596 950,051

28,957,655

AIR FREIGHT & LOGISTICS — 0.5%Atlas Air Worldwide Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 19,747 544,425Echo Global Logistics, Inc. (a) . . . . 21,117 437,122Forward Air Corp. . . . . . . . . . . . . 20,778 1,453,421Hub Group, Inc. Class A (a). . . . . . 24,837 1,273,890XPO Logistics, Inc. (a) (b) . . . . . . 68,003 5,419,839

9,128,697

AIRLINES — 0.5%Allegiant Travel Co.. . . . . . . . . . . 9,495 1,652,510Hawaiian Holdings, Inc. . . . . . . . . 35,147 1,029,456JetBlue Airways Corp. (a) . . . . . . . 210,917 3,948,366SkyWest, Inc. . . . . . . . . . . . . . . . 36,473 2,357,250

8,987,582

AUTO COMPONENTS — 1.6%Adient PLC (a). . . . . . . . . . . . . . 64,742 1,375,767American Axle & Manufacturing

Holdings, Inc. (a) . . . . . . . . . . 80,150 862,414Cooper Tire & Rubber Co. . . . . . . 35,957 1,033,764Cooper-Standard Holdings, Inc. (a) . 12,630 418,811Dana, Inc. . . . . . . . . . . . . . . . . . 104,041 1,893,546Delphi Technologies PLC (a) . . . . . 64,753 830,781Dorman Products, Inc. (a) . . . . . . . 21,675 1,641,231Fox Factory Holding Corp. (a) . . . . 27,958 1,945,038Garrett Motion, Inc. (a) . . . . . . . . 56,885 568,281Gentex Corp. . . . . . . . . . . . . . . . 184,882 5,357,880Gentherm, Inc. (a) . . . . . . . . . . . . 24,525 1,088,665Goodyear Tire & Rubber Co. . . . . . 168,513 2,621,220LCI Industries . . . . . . . . . . . . . . 18,054 1,934,125Lear Corp.. . . . . . . . . . . . . . . . . 40,066 5,497,055Motorcar Parts of America, Inc. (a) . 14,528 320,052Standard Motor Products, Inc. . . . . 14,923 794,202Visteon Corp. (a) (b) . . . . . . . . . . 20,737 1,795,617

29,978,449

AUTOMOBILES — 0.2%Thor Industries, Inc. (b) . . . . . . . . 40,357 2,998,121


Winnebago Industries, Inc. (b) . . . . 25,013 $ 1,325,189

4,323,310

BANKS — 8.0%Allegiance Bancshares, Inc. (a) (b) . 14,436 542,794Ameris Bancorp . . . . . . . . . . . . . 48,538 2,064,806Associated Banc-Corp.. . . . . . . . . 115,449 2,544,496Banc of California, Inc. . . . . . . . . 33,103 568,710BancorpSouth Bank. . . . . . . . . . . 69,397 2,179,760Bank of Hawaii Corp. . . . . . . . . . 29,167 2,775,532Bank OZK . . . . . . . . . . . . . . . . 88,677 2,705,092Banner Corp. . . . . . . . . . . . . . . . 27,573 1,560,356Berkshire Hills Bancorp, Inc. . . . . . 30,813 1,013,131Boston Private Financial Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 60,908 732,723Brookline Bancorp, Inc. . . . . . . . . 58,182 957,676Cadence BanCorp . . . . . . . . . . . . 95,419 1,729,946Cathay General Bancorp . . . . . . . . 54,760 2,083,618Central Pacific Financial Corp.. . . . 21,168 626,149City Holding Co. . . . . . . . . . . . . 12,269 1,005,445Columbia Banking System, Inc. . . . 52,186 2,123,187Commerce Bancshares, Inc.. . . . . . 75,392 5,122,132Community Bank System, Inc. . . . . 38,071 2,700,757Cullen/Frost Bankers, Inc. . . . . . . . 41,360 4,044,181Customers Bancorp, Inc. (a) . . . . . 20,552 489,343CVB Financial Corp. . . . . . . . . . . 96,285 2,077,830Dime Community Bancshares, Inc. . 23,718 495,469Eagle Bancorp, Inc. . . . . . . . . . . . 24,083 1,171,156East West Bancorp, Inc. . . . . . . . . 105,879 5,156,307First BanCorp . . . . . . . . . . . . . . 161,625 1,711,609First Commonwealth Financial

Corp. . . . . . . . . . . . . . . . . . . 73,272 1,063,177First Financial Bancorp . . . . . . . . 73,287 1,864,421First Financial Bankshares, Inc. (b) . 98,594 3,460,649First Horizon National Corp. . . . . . 226,000 3,742,560First Midwest Bancorp, Inc.. . . . . . 81,243 1,873,464FNB Corp. . . . . . . . . . . . . . . . . 235,754 2,994,076Franklin Financial Network, Inc.. . . 10,432 358,131Fulton Financial Corp. . . . . . . . . . 118,755 2,069,900Glacier Bancorp, Inc. . . . . . . . . . . 62,139 2,857,773Great Western Bancorp, Inc. . . . . . 41,750 1,450,395Hancock Whitney Corp. . . . . . . . . 63,648 2,792,874Hanmi Financial Corp. . . . . . . . . . 22,044 440,770Heritage Financial Corp.. . . . . . . . 26,079 738,036Home BancShares, Inc. . . . . . . . . 112,269 2,207,208Hope Bancorp, Inc. . . . . . . . . . . . 91,234 1,355,737Independent Bank Corp.

(Massachusetts) . . . . . . . . . . . 24,865 2,070,011International Bancshares Corp.. . . . 41,455 1,785,467National Bank Holdings Corp.

Class A . . . . . . . . . . . . . . . . . 23,663 833,411NBT Bancorp, Inc. . . . . . . . . . . . 32,536 1,319,660OFG Bancorp . . . . . . . . . . . . . . 38,926 919,043Old National Bancorp . . . . . . . . . 123,053 2,250,639Opus Bank . . . . . . . . . . . . . . . . 15,326 396,484Pacific Premier Bancorp, Inc. . . . . 42,791 1,395,201PacWest Bancorp . . . . . . . . . . . . 87,885 3,363,359

SPDR PORTFOLIO S&P 400 MID CAP ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Pinnacle Financial Partners, Inc. . . . 52,240 $ 3,343,360Preferred Bank . . . . . . . . . . . . . . 10,054 604,145Prosperity Bancshares, Inc. . . . . . . 68,674 4,936,974S&T Bancorp, Inc. . . . . . . . . . . . 28,655 1,154,510Seacoast Banking Corp. of Florida

(a) . . . . . . . . . . . . . . . . . . . . 38,216 1,168,263ServisFirst Bancshares, Inc.. . . . . . 33,705 1,270,004Signature Bank. . . . . . . . . . . . . . 39,474 5,392,543Simmons First National Corp.

Class A . . . . . . . . . . . . . . . . . 82,449 2,208,809Southside Bancshares, Inc. . . . . . . 22,708 843,375Sterling Bancorp. . . . . . . . . . . . . 147,444 3,108,119Synovus Financial Corp. . . . . . . . . 107,379 4,209,257TCF Financial Corp. . . . . . . . . . . 111,545 5,220,306Texas Capital Bancshares, Inc. (a) . . 37,052 2,103,442Tompkins Financial Corp. . . . . . . . 9,030 826,245Triumph Bancorp, Inc. (a) . . . . . . . 17,401 661,586Trustmark Corp. . . . . . . . . . . . . . 47,393 1,635,532UMB Financial Corp. . . . . . . . . . 31,258 2,145,549Umpqua Holdings Corp. . . . . . . . . 159,696 2,826,619United Bankshares, Inc. . . . . . . . . 73,610 2,845,763United Community Banks, Inc. . . . 57,034 1,761,210Valley National Bancorp. . . . . . . . 284,492 3,257,433Veritex Holdings, Inc. . . . . . . . . . 33,856 986,225Webster Financial Corp. . . . . . . . . 66,869 3,568,130Westamerica Bancorporation . . . . . 19,784 1,340,762Wintrust Financial Corp.. . . . . . . . 42,134 2,987,301

152,190,113

BEVERAGES — 0.2%Boston Beer Co., Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 6,669 2,519,882Coca-Cola Consolidated, Inc. . . . . . 3,469 985,369MGP Ingredients, Inc. (b) . . . . . . . 9,911 480,188National Beverage Corp. (a) (b) . . . 9,068 462,649

4,448,088

BIOTECHNOLOGY — 1.5%Acorda Therapeutics, Inc. (a) (b). . . 30,830 62,893AMAG Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 26,634 324,136Anika Therapeutics, Inc. (a). . . . . . 10,462 542,455Arrowhead Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 73,546 4,665,023Cytokinetics, Inc. (a) (b) . . . . . . . . 45,246 480,060Eagle Pharmaceuticals, Inc. (a) (b) . 7,451 447,656Emergent BioSolutions, Inc. (a) . . . 32,599 1,758,716Enanta Pharmaceuticals, Inc. (a) . . . 11,672 721,096Exelixis, Inc. (a) . . . . . . . . . . . . . 220,753 3,889,668Ligand Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 12,705 1,325,004Medicines Co. (a) (b) . . . . . . . . . . 53,756 4,566,035Momenta Pharmaceuticals, Inc. (a) . 82,834 1,634,315Myriad Genetics, Inc. (a) . . . . . . . 55,537 1,512,272Progenics Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 62,350 317,361REGENXBIO, Inc. (a) (b). . . . . . . 23,573 965,786


Spectrum Pharmaceuticals, Inc. (a) . 82,356 $ 299,776United Therapeutics Corp. (a) . . . . 31,846 2,804,996Vanda Pharmaceuticals, Inc. (a) (b) . 40,266 660,765Xencor, Inc. (a) (b) . . . . . . . . . . . 36,384 1,251,246

28,229,259

BUILDING PRODUCTS — 1.5%AAON, Inc. . . . . . . . . . . . . . . . . 30,222 1,493,269American Woodmark Corp. (a). . . . 11,524 1,204,373Apogee Enterprises, Inc. . . . . . . . . 19,737 641,453Gibraltar Industries, Inc. (a). . . . . . 23,572 1,188,972Griffon Corp. . . . . . . . . . . . . . . . 30,869 627,567Insteel Industries, Inc. . . . . . . . . . 14,011 301,096Lennox International, Inc. . . . . . . . 25,624 6,251,487Owens Corning . . . . . . . . . . . . . 79,118 5,152,164Patrick Industries, Inc. . . . . . . . . . 15,981 837,884PGT Innovations, Inc. (a) . . . . . . . 44,306 660,602Quanex Building Products Corp.. . . 24,549 419,297Resideo Technologies, Inc. (a) . . . . 92,504 1,103,573Simpson Manufacturing Co., Inc. . . 29,177 2,340,871Trex Co., Inc. (a) (b) . . . . . . . . . . 42,381 3,809,204Universal Forest Products, Inc. . . . . 44,405 2,118,118

28,149,930

CAPITAL MARKETS — 2.1%Affiliated Managers Group, Inc. . . . 35,738 3,028,438Blucora, Inc. (a) . . . . . . . . . . . . . 36,656 958,188Donnelley Financial Solutions, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 23,230 243,218Eaton Vance Corp. . . . . . . . . . . . 82,167 3,836,377Evercore, Inc. Class A . . . . . . . . . 28,260 2,112,717FactSet Research Systems, Inc. (b) . 27,739 7,442,374Federated Investors, Inc. Class B. . . 69,600 2,268,264Greenhill & Co., Inc. . . . . . . . . . . 11,758 200,827Interactive Brokers Group, Inc.

Class A (b). . . . . . . . . . . . . . . 55,662 2,594,962INTL. FCStone, Inc. (a) . . . . . . . . 12,117 591,673Janus Henderson Group PLC (b). . . 113,437 2,773,535Legg Mason, Inc. . . . . . . . . . . . . 59,075 2,121,383Piper Jaffray Cos. . . . . . . . . . . . . 10,599 847,284SEI Investments Co. . . . . . . . . . . 92,308 6,044,328Stifel Financial Corp. . . . . . . . . . . 49,833 3,022,371Virtus Investment Partners, Inc. . . . 4,861 591,681Waddell & Reed Financial, Inc.

Class A (b). . . . . . . . . . . . . . . 50,237 839,963WisdomTree Investments, Inc. . . . . 89,757 434,424

39,952,007

CHEMICALS — 2.6%AdvanSix, Inc. (a) . . . . . . . . . . . . 20,699 413,152American Vanguard Corp. . . . . . . . 20,173 392,768Ashland Global Holdings, Inc. . . . . 43,707 3,344,897Balchem Corp. . . . . . . . . . . . . . . 23,327 2,370,723Cabot Corp.. . . . . . . . . . . . . . . . 41,217 1,958,632Chemours Co. (b) . . . . . . . . . . . . 118,322 2,140,445Ferro Corp. (a) . . . . . . . . . . . . . . 59,394 880,813FutureFuel Corp. . . . . . . . . . . . . 19,593 242,757

SPDR PORTFOLIO S&P 400 MID CAP ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



GCP Applied Technologies, Inc. (a) . 39,911 $ 906,379Hawkins, Inc.. . . . . . . . . . . . . . . 7,351 336,749HB Fuller Co. . . . . . . . . . . . . . . 37,835 1,951,151Ingevity Corp. (a) . . . . . . . . . . . . 30,333 2,650,498Innophos Holdings, Inc. . . . . . . . . 14,103 451,014Innospec, Inc. . . . . . . . . . . . . . . 18,046 1,866,678Koppers Holdings, Inc. (a) . . . . . . 16,172 618,094Kraton Corp. (a) . . . . . . . . . . . . . 23,561 596,565Livent Corp. (a) (b) . . . . . . . . . . . 103,689 886,541LSB Industries, Inc. (a) (b) . . . . . . 12,342 51,836Minerals Technologies, Inc. . . . . . . 25,088 1,445,822NewMarket Corp. . . . . . . . . . . . . 5,364 2,609,693Olin Corp.. . . . . . . . . . . . . . . . . 115,523 1,992,772PolyOne Corp. . . . . . . . . . . . . . . 55,595 2,045,340Quaker Chemical Corp. (b) . . . . . . 9,334 1,535,630Rayonier Advanced Materials, Inc. . 37,599 144,380RPM International, Inc. . . . . . . . . 94,865 7,281,837Scotts Miracle-Gro Co.. . . . . . . . . 28,720 3,049,490Sensient Technologies Corp. . . . . . 30,935 2,044,494Stepan Co. . . . . . . . . . . . . . . . . 14,390 1,474,112Tredegar Corp. . . . . . . . . . . . . . . 17,449 389,985Trinseo SA . . . . . . . . . . . . . . . . 28,149 1,047,424Valvoline, Inc. . . . . . . . . . . . . . . 136,647 2,925,612

50,046,283


ABM Industries, Inc. . . . . . . . . . . 48,027 1,811,098Brady Corp. Class A . . . . . . . . . . 36,810 2,107,741Brink’s Co. . . . . . . . . . . . . . . . . 36,348 3,296,037Clean Harbors, Inc. (a) . . . . . . . . . 37,769 3,238,692Deluxe Corp. . . . . . . . . . . . . . . . 30,397 1,517,418Harsco Corp. (a) . . . . . . . . . . . . . 58,006 1,334,718Healthcare Services Group, Inc. (b) . 55,156 1,341,394Herman Miller, Inc. . . . . . . . . . . . 42,673 1,777,330HNI Corp.. . . . . . . . . . . . . . . . . 31,916 1,195,573Interface, Inc.. . . . . . . . . . . . . . . 43,394 719,907KAR Auction Services, Inc. (b) . . . 93,084 2,028,300Matthews International Corp.

Class A . . . . . . . . . . . . . . . . . 23,518 897,682Mobile Mini, Inc. . . . . . . . . . . . . 31,676 1,200,837MSA Safety, Inc. . . . . . . . . . . . . 25,854 3,266,911Pitney Bowes, Inc. (b) . . . . . . . . . 123,159 496,331RR Donnelley & Sons Co. (b) . . . . 48,776 192,665Stericycle, Inc. (a) (b) . . . . . . . . . 66,264 4,228,306Team, Inc. (a). . . . . . . . . . . . . . . 23,148 369,674Tetra Tech, Inc. . . . . . . . . . . . . . . 39,611 3,412,884UniFirst Corp. . . . . . . . . . . . . . . 11,128 2,247,633US Ecology, Inc. . . . . . . . . . . . . . 18,166 1,051,993Viad Corp. . . . . . . . . . . . . . . . . 15,118 1,020,465

38,753,589

COMMUNICATIONS EQUIPMENT — 1.1%ADTRAN, Inc.. . . . . . . . . . . . . . 36,908 365,020Applied Optoelectronics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 14,706 174,707CalAmp Corp. (a) . . . . . . . . . . . . 21,876 209,572


Ciena Corp. (a). . . . . . . . . . . . . . 112,440 $ 4,800,063Comtech Telecommunications

Corp. . . . . . . . . . . . . . . . . . . 18,269 648,367Digi International, Inc. (a). . . . . . . 20,780 368,222Extreme Networks, Inc. (a) . . . . . . 92,084 678,659Harmonic, Inc. (a) . . . . . . . . . . . . 65,147 508,147InterDigital, Inc. . . . . . . . . . . . . . 22,781 1,241,337Lumentum Holdings, Inc. (a) . . . . . 56,590 4,487,587NETGEAR, Inc. (a). . . . . . . . . . . 23,123 566,745NetScout Systems, Inc. (a) . . . . . . 47,256 1,137,452Plantronics, Inc. (b) . . . . . . . . . . . 23,606 645,388ViaSat, Inc. (a) . . . . . . . . . . . . . . 41,862 3,064,089Viavi Solutions, Inc. (a) . . . . . . . . 166,475 2,497,125

21,392,480

CONSTRUCTION & ENGINEERING — 1.1%AECOM (a). . . . . . . . . . . . . . . . 114,778 4,950,375Aegion Corp. (a). . . . . . . . . . . . . 22,958 513,570Arcosa, Inc. . . . . . . . . . . . . . . . . 34,952 1,557,112Comfort Systems USA, Inc. . . . . . 27,428 1,367,286Dycom Industries, Inc. (a) . . . . . . . 23,469 1,106,563EMCOR Group, Inc. . . . . . . . . . . 40,798 3,520,867Fluor Corp. . . . . . . . . . . . . . . . . 104,062 1,964,691Granite Construction, Inc. (b) . . . . 34,231 947,172MasTec, Inc. (a) . . . . . . . . . . . . . 43,697 2,803,600MYR Group, Inc. (a) . . . . . . . . . . 12,626 411,481Valmont Industries, Inc. . . . . . . . . 15,570 2,332,075

21,474,792

CONSTRUCTION MATERIALS — 0.2%Eagle Materials, Inc. . . . . . . . . . . 30,164 2,734,668US Concrete, Inc. (a) . . . . . . . . . . 11,807 491,880

3,226,548

CONSUMER FINANCE — 0.6%Encore Capital Group, Inc. (a) (b) . . 19,451 687,788Enova International, Inc. (a) . . . . . 24,484 589,085EZCORP, Inc. Class A (a) (b). . . . . 39,606 270,113FirstCash, Inc. . . . . . . . . . . . . . . 30,968 2,496,950Green Dot Corp. Class A (a) . . . . . 35,927 837,099Navient Corp. . . . . . . . . . . . . . . 141,496 1,935,665PRA Group, Inc. (a) . . . . . . . . . . 33,744 1,224,907SLM Corp. . . . . . . . . . . . . . . . . 306,067 2,727,057World Acceptance Corp. (a) (b) . . . 3,882 335,405

11,104,069

CONTAINERS & PACKAGING — 0.7%AptarGroup, Inc.. . . . . . . . . . . . . 46,742 5,404,310Greif, Inc. Class A. . . . . . . . . . . . 19,067 842,761Myers Industries, Inc. . . . . . . . . . 26,198 436,983O-I Glass, Inc. . . . . . . . . . . . . . . 111,993 1,336,076Silgan Holdings, Inc. . . . . . . . . . . 55,944 1,738,740Sonoco Products Co. . . . . . . . . . . 72,765 4,491,056

14,249,926

DISTRIBUTORS — 0.4%Core-Mark Holding Co., Inc. . . . . . 34,140 928,267




Pool Corp.. . . . . . . . . . . . . . . . . 29,166 $ 6,194,275

7,122,542


Adtalem Global Education, Inc. (a) . 38,868 1,359,214American Public Education, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 10,586 289,951Graham Holdings Co. Class B . . . . 3,226 2,061,382Grand Canyon Education, Inc. (a) . . 35,031 3,355,620Perdoceo Education Corp. (a). . . . . 50,955 937,062Regis Corp. (a) . . . . . . . . . . . . . . 17,632 315,084Service Corp. International . . . . . . 133,048 6,124,199Strategic Education, Inc. . . . . . . . . 15,918 2,529,370WW International, Inc. (a) . . . . . . 34,486 1,317,710

18,289,592


FGL Holdings (b) . . . . . . . . . . . . 97,340 1,036,671Jefferies Financial Group, Inc. . . . . 182,946 3,909,556

4,946,227


ATN International, Inc.. . . . . . . . . 8,261 457,577Cincinnati Bell, Inc. (a) (b) . . . . . . 39,747 416,151Cogent Communications Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 30,731 2,022,407Consolidated Communications

Holdings, Inc. (b) . . . . . . . . . . 51,970 201,644Iridium Communications, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 70,049 1,726,007Vonage Holdings Corp. (a) . . . . . . 168,093 1,245,569

6,069,355

ELECTRIC UTILITIES — 1.2%ALLETE, Inc. . . . . . . . . . . . . . . 37,457 3,040,385El Paso Electric Co.. . . . . . . . . . . 29,788 2,022,307Hawaiian Electric Industries, Inc. . . 79,098 3,706,532IDACORP, Inc.. . . . . . . . . . . . . . 36,597 3,908,560OGE Energy Corp. . . . . . . . . . . . 146,457 6,512,943PNM Resources, Inc. . . . . . . . . . . 57,768 2,929,415

22,120,142

ELECTRICAL EQUIPMENT — 1.1%Acuity Brands, Inc. . . . . . . . . . . . 28,801 3,974,538AZZ, Inc. . . . . . . . . . . . . . . . . . 19,034 874,612Encore Wire Corp. . . . . . . . . . . . 15,467 887,806EnerSys . . . . . . . . . . . . . . . . . . 30,568 2,287,403Hubbell, Inc. . . . . . . . . . . . . . . . 40,065 5,922,408nVent Electric PLC . . . . . . . . . . . 112,864 2,887,061Powell Industries, Inc. . . . . . . . . . 6,931 339,550Regal Beloit Corp. . . . . . . . . . . . 29,810 2,552,034Vicor Corp. (a) (b) . . . . . . . . . . . 14,098 658,659

20,384,071



Anixter International, Inc. (a). . . . . 21,897 $ 2,016,714Arlo Technologies, Inc. (a) . . . . . . 59,841 251,931Arrow Electronics, Inc. (a) . . . . . . 59,612 5,051,521Avnet, Inc.. . . . . . . . . . . . . . . . . 73,671 3,126,597Badger Meter, Inc. . . . . . . . . . . . 21,696 1,408,721Bel Fuse, Inc. Class B . . . . . . . . . 7,616 156,128Belden, Inc. . . . . . . . . . . . . . . . . 28,664 1,576,520Benchmark Electronics, Inc. . . . . . 27,350 939,746Cognex Corp.. . . . . . . . . . . . . . . 125,030 7,006,681Coherent, Inc. (a) (b) . . . . . . . . . . 17,794 2,960,032CTS Corp.. . . . . . . . . . . . . . . . . 24,329 730,113Daktronics, Inc. . . . . . . . . . . . . . 30,152 183,626ePlus, Inc. (a). . . . . . . . . . . . . . . 9,751 821,912Fabrinet (a) . . . . . . . . . . . . . . . . 26,752 1,734,600FARO Technologies, Inc. (a) . . . . . 13,188 664,016II-VI, Inc. (a) (b). . . . . . . . . . . . . 63,354 2,133,129Insight Enterprises, Inc. (a) . . . . . . 25,891 1,819,878Itron, Inc. (a) . . . . . . . . . . . . . . . 25,688 2,156,507Jabil, Inc. . . . . . . . . . . . . . . . . . 100,911 4,170,652KEMET Corp. . . . . . . . . . . . . . . 41,683 1,127,525Knowles Corp. (a) . . . . . . . . . . . . 63,704 1,347,339Littelfuse, Inc. . . . . . . . . . . . . . . 17,739 3,393,471Methode Electronics, Inc. . . . . . . . 27,576 1,085,116MTS Systems Corp. . . . . . . . . . . 12,721 610,990National Instruments Corp. . . . . . . 85,644 3,626,167OSI Systems, Inc. (a) . . . . . . . . . . 12,454 1,254,616Plexus Corp. (a) . . . . . . . . . . . . . 21,735 1,672,291Rogers Corp. (a) . . . . . . . . . . . . . 13,819 1,723,644Sanmina Corp. (a) . . . . . . . . . . . . 51,754 1,772,057ScanSource, Inc. (a). . . . . . . . . . . 18,790 694,290SYNNEX Corp. . . . . . . . . . . . . . 29,720 3,827,936Tech Data Corp. (a) . . . . . . . . . . . 25,705 3,691,238Trimble, Inc. (a) . . . . . . . . . . . . . 182,388 7,603,756TTM Technologies, Inc. (a) . . . . . . 71,925 1,082,471Vishay Intertechnology, Inc. . . . . . 95,727 2,038,028

75,459,959

ENERGY EQUIPMENT & SERVICES — 1.0%Apergy Corp. (a). . . . . . . . . . . . . 57,592 1,945,458Archrock, Inc. . . . . . . . . . . . . . . 96,673 970,597Core Laboratories NV . . . . . . . . . 32,993 1,242,846Diamond Offshore Drilling, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 49,642 356,926DMC Global, Inc. (b). . . . . . . . . . 10,890 489,397Dril-Quip, Inc. (a) . . . . . . . . . . . . 27,060 1,269,385Era Group, Inc. (a) . . . . . . . . . . . 15,589 158,540Exterran Corp. (a) . . . . . . . . . . . . 20,708 162,144Geospace Technologies Corp. (a) . . 10,131 169,897Helix Energy Solutions Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 105,901 1,019,827KLX Energy Services Holdings,

Inc. (a) . . . . . . . . . . . . . . . . . 17,665 113,763Matrix Service Co. (a) . . . . . . . . . 20,639 472,220McDermott International, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 139,313 94,259




Nabors Industries, Ltd. . . . . . . . . . 250,530 $ 721,526Newpark Resources, Inc. (a) . . . . . 68,973 432,461Noble Corp. PLC (a) (b) . . . . . . . . 186,310 227,298Oceaneering International, Inc. (a) . 73,551 1,096,645Oil States International, Inc. (a) . . . 42,671 695,964Patterson-UTI Energy, Inc. . . . . . . 140,165 1,471,732ProPetro Holding Corp. (a) . . . . . . 63,266 711,742RPC, Inc. (b) . . . . . . . . . . . . . . . 35,240 184,658SEACOR Holdings, Inc. (a). . . . . . 13,206 569,839TETRA Technologies, Inc. (a) . . . . 93,282 182,833Transocean, Ltd. (a) (b) . . . . . . . . 416,757 2,867,288US Silica Holdings, Inc. (b). . . . . . 55,797 343,152Valaris PLC (b) . . . . . . . . . . . . . 150,374 986,453

18,956,850

ENTERTAINMENT — 0.3%Cinemark Holdings, Inc. (b) . . . . . 77,256 2,615,116Glu Mobile, Inc. (a) . . . . . . . . . . . 79,760 482,548Marcus Corp. . . . . . . . . . . . . . . . 17,228 547,333World Wrestling Entertainment, Inc.

Class A (b). . . . . . . . . . . . . . . 34,353 2,228,479

5,873,476


Acadia Realty Trust REIT . . . . . . . 65,117 1,688,484Agree Realty Corp. REIT . . . . . . . 31,143 2,185,304Alexander & Baldwin, Inc. REIT . . 50,561 1,059,759American Assets Trust, Inc. REIT . . 34,636 1,589,792American Campus Communities,

Inc. REIT . . . . . . . . . . . . . . . 99,876 4,697,168Armada Hoffler Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 39,836 730,991Brixmor Property Group, Inc.

REIT . . . . . . . . . . . . . . . . . . 216,547 4,679,581Camden Property Trust REIT. . . . . 70,855 7,517,716CareTrust REIT, Inc. . . . . . . . . . . 68,844 1,420,252CBL & Associates Properties, Inc.

REIT (b) . . . . . . . . . . . . . . . . 132,829 139,470Cedar Realty Trust, Inc. REIT . . . . 63,418 187,083Chatham Lodging Trust REIT . . . . 35,499 651,052Community Healthcare Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 13,548 580,667CoreCivic, Inc. REIT . . . . . . . . . . 88,609 1,540,024CoreSite Realty Corp. REIT . . . . . 27,415 3,073,770Corporate Office Properties Trust

REIT . . . . . . . . . . . . . . . . . . 81,196 2,385,539Cousins Properties, Inc. REIT . . . . 106,656 4,394,227CyrusOne, Inc. REIT . . . . . . . . . . 82,340 5,387,506DiamondRock Hospitality Co.

REIT . . . . . . . . . . . . . . . . . . 148,882 1,649,613Diversified Healthcare Trust REIT . 176,856 1,492,665Douglas Emmett, Inc. REIT. . . . . . 119,917 5,264,356Easterly Government Properties,

Inc. REIT . . . . . . . . . . . . . . . 52,943 1,256,337EastGroup Properties, Inc. REIT. . . 28,387 3,766,103EPR Properties REIT . . . . . . . . . . 57,237 4,043,222


Essential Properties Realty Trust,Inc. REIT (b) . . . . . . . . . . . . . 60,823 $ 1,509,019

First Industrial Realty Trust, Inc.REIT . . . . . . . . . . . . . . . . . . 92,257 3,829,588

Four Corners Property Trust, Inc.REIT . . . . . . . . . . . . . . . . . . 50,167 1,414,208

Franklin Street Properties Corp.REIT . . . . . . . . . . . . . . . . . . 77,656 664,735

GEO Group, Inc. REIT. . . . . . . . . 87,374 1,451,282Getty Realty Corp. REIT . . . . . . . 25,500 838,185Global Net Lease, Inc. REIT . . . . . 67,285 1,364,540Healthcare Realty Trust, Inc. REIT . 98,996 3,303,497Hersha Hospitality Trust REIT . . . . 25,980 378,009Highwoods Properties, Inc. REIT . . 75,293 3,682,581Independence Realty Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 67,061 944,219Industrial Logistics Properties Trust

REIT . . . . . . . . . . . . . . . . . . 48,340 1,083,783Innovative Industrial Properties, Inc.

REIT (b) . . . . . . . . . . . . . . . . 8,602 652,634iStar, Inc. REIT . . . . . . . . . . . . . 43,979 638,135JBG SMITH Properties REIT (b) . . 85,687 3,418,054Kilroy Realty Corp. REIT . . . . . . . 71,751 6,019,909Kite Realty Group Trust REIT . . . . 62,430 1,219,258Lamar Advertising Co. Class A

REIT . . . . . . . . . . . . . . . . . . 62,609 5,588,479Lexington Realty Trust REIT . . . . . 184,174 1,955,928Liberty Property Trust REIT . . . . . 115,419 6,930,911Life Storage, Inc. REIT . . . . . . . . 33,873 3,667,768LTC Properties, Inc. REIT. . . . . . . 29,694 1,329,400Macerich Co. REIT (b). . . . . . . . . 79,732 2,146,385Mack-Cali Realty Corp. REIT . . . . 67,672 1,565,253Medical Properties Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 380,214 8,026,318National Retail Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 125,515 6,730,114National Storage Affiliates Trust

REIT . . . . . . . . . . . . . . . . . . 42,736 1,436,784Office Properties Income Trust

REIT . . . . . . . . . . . . . . . . . . 35,165 1,130,203Omega Healthcare Investors, Inc.

REIT (b) . . . . . . . . . . . . . . . . 160,749 6,807,720Park Hotels & Resorts, Inc. REIT . . 174,046 4,502,570Pebblebrook Hotel Trust REIT (b) . . 94,666 2,537,995Pennsylvania Real Estate

Investment Trust (b) . . . . . . . . . 38,176 203,478PotlatchDeltic Corp. REIT . . . . . . 48,639 2,104,610PS Business Parks, Inc. REIT. . . . . 14,503 2,391,110Rayonier, Inc. REIT. . . . . . . . . . . 93,822 3,073,609Retail Opportunity Investments

Corp. REIT . . . . . . . . . . . . . . 85,996 1,518,689RPT Realty REIT . . . . . . . . . . . . 58,436 878,877Sabra Health Care REIT, Inc. . . . . . 141,618 3,022,128Safehold, Inc. REIT . . . . . . . . . . . 9,150 368,745Saul Centers, Inc. REIT . . . . . . . . 8,923 470,956Service Properties Trust REIT . . . . 119,329 2,903,275Spirit Realty Capital, Inc. REIT . . . 72,379 3,559,599




Summit Hotel Properties, Inc. REIT(b) . . . . . . . . . . . . . . . . . . . . 76,645 $ 945,799

Tanger Factory Outlet Centers, Inc.REIT (b) . . . . . . . . . . . . . . . . 69,556 1,024,560

Taubman Centers, Inc. REIT . . . . . 44,089 1,370,727Uniti Group, Inc. REIT (b) . . . . . . 138,435 1,136,551Universal Health Realty Income

Trust REIT . . . . . . . . . . . . . . 9,467 1,111,047Urban Edge Properties REIT . . . . . 85,634 1,642,460Urstadt Biddle Properties, Inc.

Class A REIT . . . . . . . . . . . . . 23,040 572,314Washington Prime Group, Inc.

REIT (b) . . . . . . . . . . . . . . . . 140,665 512,021Washington Real Estate Investment

Trust . . . . . . . . . . . . . . . . . . 59,509 1,736,473Weingarten Realty Investors REIT . 87,711 2,740,092Whitestone REIT (b) . . . . . . . . . . 30,358 413,476Xenia Hotels & Resorts, Inc. REIT . 83,777 1,810,421

183,659,162

FOOD & STAPLES RETAILING — 0.6%Andersons, Inc. . . . . . . . . . . . . . 23,465 593,195BJ’s Wholesale Club Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 90,295 2,053,308Casey’s General Stores, Inc. . . . . . 26,717 4,247,736Chefs’ Warehouse, Inc. (a) . . . . . . 19,478 742,306PriceSmart, Inc. . . . . . . . . . . . . . 16,540 1,174,671SpartanNash Co.. . . . . . . . . . . . . 27,945 397,937Sprouts Farmers Market, Inc. (a). . . 85,241 1,649,413United Natural Foods, Inc. (a) . . . . 39,510 346,108

11,204,674

FOOD PRODUCTS — 1.7%B&G Foods, Inc. (b) . . . . . . . . . . 47,675 854,813Calavo Growers, Inc. (b) . . . . . . . . 11,950 1,082,551Cal-Maine Foods, Inc. . . . . . . . . . 22,135 946,271Darling Ingredients, Inc. (a). . . . . . 118,776 3,335,230Flowers Foods, Inc. . . . . . . . . . . . 141,641 3,079,275Fresh Del Monte Produce, Inc. . . . . 22,632 791,667Hain Celestial Group, Inc. (a) (b) . . 59,750 1,550,811Ingredion, Inc. . . . . . . . . . . . . . . 48,545 4,512,258J&J Snack Foods Corp. . . . . . . . . 11,038 2,033,972John B Sanfilippo & Son, Inc. . . . . 6,241 569,678Lancaster Colony Corp. . . . . . . . . 14,300 2,289,430Pilgrim’s Pride Corp. (a). . . . . . . . 38,808 1,269,604Post Holdings, Inc. (a) . . . . . . . . . 48,655 5,308,260Sanderson Farms, Inc. . . . . . . . . . 14,247 2,510,606Seneca Foods Corp. Class A (a) . . . 5,402 220,348Tootsie Roll Industries, Inc. (b) . . . 12,570 429,140TreeHouse Foods, Inc. (a) . . . . . . . 40,627 1,970,410

32,754,324

GAS UTILITIES — 1.4%National Fuel Gas Co. . . . . . . . . . 62,570 2,912,008New Jersey Resources Corp. . . . . . 70,365 3,136,168Northwest Natural Holding Co. . . . 22,452 1,655,386ONE Gas, Inc. . . . . . . . . . . . . . . 38,256 3,579,614South Jersey Industries, Inc. (b) . . . 66,834 2,204,185


Southwest Gas Holdings, Inc. . . . . 39,646 $ 3,011,907Spire, Inc. . . . . . . . . . . . . . . . . . 36,980 3,080,804UGI Corp.. . . . . . . . . . . . . . . . . 152,951 6,907,267

26,487,339


AngioDynamics, Inc. (a). . . . . . . . 28,429 455,148Avanos Medical, Inc. (a) . . . . . . . . 35,446 1,194,530Cantel Medical Corp. (b) . . . . . . . 27,293 1,935,074Cardiovascular Systems, Inc. (a) . . . 25,268 1,227,772CONMED Corp.. . . . . . . . . . . . . 20,984 2,346,641CryoLife, Inc. (a) . . . . . . . . . . . . 27,102 734,193Cutera, Inc. (a) . . . . . . . . . . . . . . 10,666 381,949Globus Medical, Inc. Class A (a) . . 55,903 3,291,569Haemonetics Corp. (a) . . . . . . . . . 37,389 4,295,996Heska Corp. (a) . . . . . . . . . . . . . 5,293 507,810Hill-Rom Holdings, Inc. . . . . . . . . 49,147 5,579,659ICU Medical, Inc. (a) . . . . . . . . . . 13,908 2,602,465Inogen, Inc. (a) (b) . . . . . . . . . . . 13,521 923,890Integer Holdings Corp. (a). . . . . . . 23,977 1,928,470Integra LifeSciences Holdings

Corp. (a) . . . . . . . . . . . . . . . . 51,720 3,014,242Invacare Corp. . . . . . . . . . . . . . . 25,425 229,334Lantheus Holdings, Inc. (a) . . . . . . 29,336 601,681LeMaitre Vascular, Inc. (b) . . . . . . 12,251 440,423LivaNova PLC (a) . . . . . . . . . . . . 35,045 2,643,444Masimo Corp. (a) . . . . . . . . . . . . 36,153 5,714,343Meridian Bioscience, Inc. . . . . . . . 32,631 318,805Merit Medical Systems, Inc. (a) . . . 39,684 1,238,935Mesa Laboratories, Inc. (b) . . . . . . 3,046 759,672Natus Medical, Inc. (a) . . . . . . . . . 25,821 851,835Neogen Corp. (a) . . . . . . . . . . . . 38,016 2,480,924NuVasive, Inc. (a) . . . . . . . . . . . . 38,201 2,954,465OraSure Technologies, Inc. (a) . . . . 47,417 380,759Orthofix Medical, Inc. (a) . . . . . . . 14,280 659,450Penumbra, Inc. (a) (b) . . . . . . . . . 23,366 3,838,333Surmodics, Inc. (a) . . . . . . . . . . . 10,192 422,255Tactile Systems Technology, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 14,486 977,950Varex Imaging Corp. (a) . . . . . . . . 27,401 816,824West Pharmaceutical Services, Inc. . 53,929 8,107,147

63,855,987


Acadia Healthcare Co., Inc. (a) (b) . 64,076 2,128,605Addus HomeCare Corp. (a) . . . . . . 9,782 951,006Amedisys, Inc. (a) . . . . . . . . . . . . 23,412 3,907,931AMN Healthcare Services, Inc. (a) . 33,764 2,103,835BioTelemetry, Inc. (a) (b) . . . . . . . 25,137 1,163,843Chemed Corp. . . . . . . . . . . . . . . 11,669 5,125,725Community Health Systems, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 86,778 251,656CorVel Corp. (a) . . . . . . . . . . . . . 6,698 585,137Covetrus, Inc. (a) (b) . . . . . . . . . . 72,801 960,973Cross Country Healthcare, Inc. (a) . 27,826 323,338




Diplomat Pharmacy, Inc. (a) . . . . . 40,391 $ 161,564Encompass Health Corp.. . . . . . . . 71,710 4,967,352Ensign Group, Inc. . . . . . . . . . . . 36,197 1,642,258Hanger, Inc. (a) . . . . . . . . . . . . . 27,734 765,736HealthEquity, Inc. (a) . . . . . . . . . . 52,159 3,863,417LHC Group, Inc. (a) . . . . . . . . . . 21,465 2,957,018Magellan Health, Inc. (a) . . . . . . . 16,199 1,267,572MEDNAX, Inc. (a) . . . . . . . . . . . 62,654 1,741,155Molina Healthcare, Inc. (a) . . . . . . 45,833 6,219,080Owens & Minor, Inc. . . . . . . . . . . 47,724 246,733Patterson Cos., Inc. (b) . . . . . . . . . 63,790 1,306,419Providence Service Corp. (a) . . . . . 8,640 511,315RadNet, Inc. (a) . . . . . . . . . . . . . 30,873 626,722Select Medical Holdings Corp. (a) . 77,626 1,811,791Tenet Healthcare Corp. (a) . . . . . . 75,318 2,864,343The Pennant Group, Inc. (a). . . . . . 18,610 615,433Tivity Health, Inc. (a) (b) . . . . . . . 32,063 652,322US Physical Therapy, Inc. . . . . . . . 9,379 1,072,488

50,794,767

HEALTH CARE TECHNOLOGY — 0.4%Allscripts Healthcare Solutions, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 116,571 1,144,144Computer Programs & Systems,

Inc. . . . . . . . . . . . . . . . . . . . 9,277 244,913HealthStream, Inc. (a) . . . . . . . . . 19,637 534,126HMS Holdings Corp. (a). . . . . . . . 64,993 1,923,793NextGen Healthcare, Inc. (a) . . . . . 36,603 588,210Omnicell, Inc. (a) . . . . . . . . . . . . 31,011 2,534,219Tabula Rasa HealthCare, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 15,008 730,590

7,699,995


BJ’s Restaurants, Inc.. . . . . . . . . . 13,720 520,811Bloomin’ Brands, Inc. . . . . . . . . . 63,691 1,405,660Boyd Gaming Corp. (b) . . . . . . . . 57,768 1,729,574Brinker International, Inc. (b). . . . . 27,949 1,173,858Caesars Entertainment Corp. (a) . . . 406,037 5,522,103Cheesecake Factory, Inc. (b) . . . . . 30,516 1,185,852Choice Hotels International, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 22,960 2,374,753Churchill Downs, Inc. . . . . . . . . . 25,752 3,533,174Chuy’s Holdings, Inc. (a) . . . . . . . 11,661 302,253Cracker Barrel Old Country Store,

Inc. (b) . . . . . . . . . . . . . . . . . 17,445 2,681,994Dave & Buster’s Entertainment,

Inc. (b) . . . . . . . . . . . . . . . . . 22,014 884,302Dine Brands Global, Inc. (b) . . . . . 12,048 1,006,249Domino’s Pizza, Inc. . . . . . . . . . . 29,907 8,786,078Dunkin’ Brands Group, Inc.. . . . . . 60,205 4,547,886El Pollo Loco Holdings, Inc. (a) (b) . 13,262 200,787Eldorado Resorts, Inc. (a) (b) . . . . . 48,137 2,870,891Fiesta Restaurant Group, Inc. (a). . . 17,806 176,101Jack in the Box, Inc. . . . . . . . . . . 17,062 1,331,348


Marriott Vacations WorldwideCorp. . . . . . . . . . . . . . . . . . . 27,302 $ 3,515,406

Monarch Casino & Resort, Inc. (a) . 8,987 436,319Papa John’s International, Inc. . . . . 16,349 1,032,439Penn National Gaming, Inc. (a) . . . 80,080 2,046,845Red Robin Gourmet Burgers, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 10,031 331,224Ruth’s Hospitality Group, Inc. . . . . 20,643 449,295Scientific Games Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 40,125 1,074,548Shake Shack, Inc. Class A (a) (b) . . 22,721 1,353,490Six Flags Entertainment Corp. . . . . 56,954 2,569,195Texas Roadhouse, Inc. . . . . . . . . . 47,251 2,661,176Wendy’s Co. . . . . . . . . . . . . . . . 133,513 2,965,324Wingstop, Inc. . . . . . . . . . . . . . . 21,314 1,837,906Wyndham Destinations, Inc. . . . . . 66,164 3,420,017Wyndham Hotels & Resorts, Inc. . . 69,552 4,368,561

68,295,419

HOUSEHOLD DURABLES — 1.4%Cavco Industries, Inc. (a) . . . . . . . 6,148 1,201,196Century Communities, Inc. (a) . . . . 19,487 532,969Ethan Allen Interiors, Inc. . . . . . . . 18,896 360,158Helen of Troy, Ltd. (a) . . . . . . . . . 18,356 3,300,225Installed Building Products, Inc. (a). 15,635 1,076,783iRobot Corp. (a) (b) . . . . . . . . . . . 20,612 1,043,586KB Home . . . . . . . . . . . . . . . . . 61,911 2,121,690La-Z-Boy, Inc. . . . . . . . . . . . . . . 34,138 1,074,664LGI Homes, Inc. (a) (b) . . . . . . . . 15,067 1,064,484M/I Homes, Inc. (a) . . . . . . . . . . . 20,718 815,253MDC Holdings, Inc. . . . . . . . . . . 36,863 1,406,692Meritage Homes Corp. (a). . . . . . . 26,802 1,637,870Tempur Sealy International, Inc. (a) . 32,953 2,868,888Toll Brothers, Inc. . . . . . . . . . . . . 93,848 3,707,935TopBuild Corp. (a) . . . . . . . . . . . 24,554 2,531,026TRI Pointe Group, Inc. (a) (b) . . . . 100,366 1,563,702Tupperware Brands Corp. . . . . . . . 36,450 312,741Universal Electronics, Inc. (a) . . . . 10,007 522,966William Lyon Homes Class A (a) . . 23,683 473,186

27,616,014

HOUSEHOLD PRODUCTS — 0.3%Central Garden & Pet Co. (a) . . . . . 8,008 248,808Central Garden & Pet Co. Class A

(a) . . . . . . . . . . . . . . . . . . . . 28,688 842,280Energizer Holdings, Inc. (b). . . . . . 46,791 2,349,844WD-40 Co. (b) . . . . . . . . . . . . . . 10,179 1,976,151

5,417,083

INDUSTRIAL CONGLOMERATES — 0.4%Carlisle Cos., Inc. . . . . . . . . . . . . 41,281 6,680,917Raven Industries, Inc.. . . . . . . . . . 26,721 920,806

7,601,723

INSURANCE — 4.4%Alleghany Corp. (a) . . . . . . . . . . . 10,545 8,431,466Ambac Financial Group, Inc. (a) . . . 34,839 751,477




American Equity Investment LifeHolding Co. . . . . . . . . . . . . . . 66,894 $ 2,002,137

American Financial Group, Inc. . . . 55,122 6,044,127AMERISAFE, Inc. . . . . . . . . . . . 14,297 944,031Brighthouse Financial, Inc. (a) . . . . 79,723 3,127,533Brown & Brown, Inc.. . . . . . . . . . 170,257 6,721,746CNO Financial Group, Inc. . . . . . . 109,990 1,994,119eHealth, Inc. (a) (b) . . . . . . . . . . . 14,684 1,410,839Employers Holdings, Inc. . . . . . . . 23,973 1,000,873First American Financial Corp.. . . . 81,680 4,763,578Genworth Financial, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 374,340 1,647,096Hanover Insurance Group, Inc. . . . . 28,632 3,913,136HCI Group, Inc. (b) . . . . . . . . . . . 4,448 203,051Horace Mann Educators Corp. . . . . 30,593 1,335,690James River Group Holdings, Ltd.. . 22,549 929,244Kemper Corp. . . . . . . . . . . . . . . 45,488 3,525,320Kinsale Capital Group, Inc. . . . . . . 15,274 1,552,755Mercury General Corp. . . . . . . . . 20,241 986,344Old Republic International Corp. . . 207,466 4,641,014Primerica, Inc. . . . . . . . . . . . . . . 30,231 3,946,959ProAssurance Corp.. . . . . . . . . . . 40,018 1,446,251Reinsurance Group of America,

Inc. . . . . . . . . . . . . . . . . . . . 45,824 7,472,062RenaissanceRe Holdings, Ltd. . . . . 32,506 6,371,826RLI Corp. . . . . . . . . . . . . . . . . . 28,955 2,606,529Safety Insurance Group, Inc. . . . . . 10,947 1,012,926Selective Insurance Group, Inc. . . . 43,098 2,809,559Stewart Information Services Corp. . 16,742 682,906Third Point Reinsurance, Ltd. (a) . . 58,129 611,517United Fire Group, Inc. . . . . . . . . 15,611 682,669United Insurance Holdings Corp. . . 15,879 200,234Universal Insurance Holdings, Inc. . 23,373 654,210

84,423,224

INTERACTIVE MEDIA & SERVICES — 0.2%Care.com, Inc. (a) . . . . . . . . . . . . 19,715 296,317QuinStreet, Inc. (a) (b) . . . . . . . . . 32,884 503,454TripAdvisor, Inc. . . . . . . . . . . . . 76,111 2,312,252Yelp, Inc. (a) . . . . . . . . . . . . . . . 46,064 1,604,409

4,716,432


Etsy, Inc. (a) . . . . . . . . . . . . . . . 86,073 3,813,034GrubHub, Inc. (a) (b) . . . . . . . . . . 66,333 3,226,437Liquidity Services, Inc. (a) . . . . . . 20,145 120,064PetMed Express, Inc. (b). . . . . . . . 15,819 372,063Shutterstock, Inc. (a) . . . . . . . . . . 14,450 619,616Stamps.com, Inc. (a) . . . . . . . . . . 12,100 1,010,592

9,161,806

IT SERVICES — 2.4%CACI International, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 18,197 4,549,068Cardtronics PLC Class A (a) . . . . . 25,971 1,159,605CoreLogic, Inc. (a) . . . . . . . . . . . 57,651 2,519,925CSG Systems International, Inc. . . . 24,595 1,273,529


EVERTEC, Inc. . . . . . . . . . . . . . 44,419 $ 1,512,023ExlService Holdings, Inc. (a) . . . . . 24,584 1,707,605KBR, Inc. . . . . . . . . . . . . . . . . . 102,804 3,135,522LiveRamp Holdings, Inc. (a) . . . . . 49,004 2,355,622ManTech International Corp.

Class A . . . . . . . . . . . . . . . . . 19,435 1,552,468MAXIMUS, Inc.. . . . . . . . . . . . . 46,430 3,453,928NIC, Inc.. . . . . . . . . . . . . . . . . . 49,771 1,112,382Perficient, Inc. (a) . . . . . . . . . . . . 24,476 1,127,609Perspecta, Inc. . . . . . . . . . . . . . . 99,626 2,634,111Sabre Corp. . . . . . . . . . . . . . . . . 199,108 4,467,984Science Applications International

Corp. . . . . . . . . . . . . . . . . . . 35,623 3,099,913Sykes Enterprises, Inc. (a). . . . . . . 28,761 1,063,869TTEC Holdings, Inc. . . . . . . . . . . 13,904 550,876Unisys Corp. (a) . . . . . . . . . . . . . 39,103 463,762Virtusa Corp. (a). . . . . . . . . . . . . 21,544 976,590WEX, Inc. (a) . . . . . . . . . . . . . . 31,711 6,642,186

45,358,577


Brunswick Corp.. . . . . . . . . . . . . 59,603 3,574,988Callaway Golf Co.. . . . . . . . . . . . 68,966 1,462,079Mattel, Inc. (a) (b). . . . . . . . . . . . 251,638 3,409,695Polaris, Inc. . . . . . . . . . . . . . . . . 41,796 4,250,653Sturm Ruger & Co., Inc. . . . . . . . . 12,306 578,751Vista Outdoor, Inc. (a) . . . . . . . . . 47,493 355,248

13,631,414


Bio-Rad Laboratories, Inc. Class A(a) . . . . . . . . . . . . . . . . . . . . 15,884 5,877,557

Bio-Techne Corp. . . . . . . . . . . . . 28,082 6,164,280Cambrex Corp. (a) (c) . . . . . . . . . 184 11,040Charles River Laboratories

International, Inc. (a) . . . . . . . . 35,545 5,429,854Luminex Corp. . . . . . . . . . . . . . . 31,868 738,063Medpace Holdings, Inc. (a) . . . . . . 19,959 1,677,754NeoGenomics, Inc. (a) . . . . . . . . . 75,489 2,208,053PRA Health Sciences, Inc. (a) . . . . 46,023 5,115,456Repligen Corp. (a). . . . . . . . . . . . 34,210 3,164,425Syneos Health, Inc. (a) (b). . . . . . . 45,127 2,683,928

33,070,410

MACHINERY — 4.8%Actuant Corp. Class A . . . . . . . . . 38,639 1,005,773AGCO Corp. . . . . . . . . . . . . . . . 45,780 3,536,505Alamo Group, Inc. . . . . . . . . . . . 7,230 907,727Albany International Corp. Class A . 22,560 1,712,755Astec Industries, Inc. . . . . . . . . . . 17,433 732,186Barnes Group, Inc. . . . . . . . . . . . 34,451 2,134,584Briggs & Stratton Corp. (b) . . . . . . 33,273 221,598Chart Industries, Inc. (a) . . . . . . . . 26,638 1,797,799CIRCOR International, Inc. (a). . . . 14,797 684,213Colfax Corp. (a) (b). . . . . . . . . . . 60,478 2,200,190Crane Co. . . . . . . . . . . . . . . . . . 36,964 3,192,950




Donaldson Co., Inc. . . . . . . . . . . . 92,529 $ 5,331,521EnPro Industries, Inc.. . . . . . . . . . 15,275 1,021,592ESCO Technologies, Inc. . . . . . . . 18,759 1,735,207Federal Signal Corp. . . . . . . . . . . 44,893 1,447,799Franklin Electric Co., Inc. . . . . . . . 27,769 1,591,719Graco, Inc. (b) . . . . . . . . . . . . . . 122,017 6,344,884Greenbrier Cos., Inc. . . . . . . . . . . 24,116 782,082Hillenbrand, Inc. . . . . . . . . . . . . . 55,018 1,832,650ITT, Inc. . . . . . . . . . . . . . . . . . . 63,784 4,714,275John Bean Technologies Corp. . . . . 22,902 2,580,139Kennametal, Inc.. . . . . . . . . . . . . 60,660 2,237,747Lincoln Electric Holdings, Inc.. . . . 44,666 4,320,542Lindsay Corp. (b) . . . . . . . . . . . . 8,214 788,462Lydall, Inc. (a) . . . . . . . . . . . . . . 13,365 274,250Mueller Industries, Inc. . . . . . . . . 41,477 1,316,895Nordson Corp. . . . . . . . . . . . . . . 37,682 6,136,137Oshkosh Corp. . . . . . . . . . . . . . . 49,511 4,686,216Proto Labs, Inc. (a) . . . . . . . . . . . 19,644 1,994,848SPX Corp. (a) . . . . . . . . . . . . . . 32,285 1,642,661SPX FLOW, Inc. (a). . . . . . . . . . . 31,614 1,544,976Standex International Corp. . . . . . . 9,331 740,415Tennant Co. . . . . . . . . . . . . . . . . 13,728 1,069,686Terex Corp. . . . . . . . . . . . . . . . . 47,994 1,429,261Timken Co. . . . . . . . . . . . . . . . . 49,171 2,768,819Titan International, Inc. . . . . . . . . 38,446 139,175Toro Co. . . . . . . . . . . . . . . . . . . 78,027 6,216,411Trinity Industries, Inc. . . . . . . . . . 71,223 1,577,589Wabash National Corp.. . . . . . . . . 39,314 577,523Watts Water Technologies, Inc.

Class A . . . . . . . . . . . . . . . . . 19,960 1,991,210Woodward, Inc. . . . . . . . . . . . . . 41,018 4,858,172

91,819,143

MARINE — 0.3%Kirby Corp. (a). . . . . . . . . . . . . . 43,578 3,901,538Matson, Inc. . . . . . . . . . . . . . . . 31,870 1,300,296

5,201,834

MEDIA — 0.9%AMC Networks, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 32,806 1,295,837Cable One, Inc. . . . . . . . . . . . . . 3,730 5,551,993EW Scripps Co. Class A . . . . . . . . 40,514 636,475Gannett Co., Inc. (b) . . . . . . . . . . 92,324 589,027John Wiley & Sons, Inc. Class A. . . 31,493 1,528,040Meredith Corp.. . . . . . . . . . . . . . 29,805 967,768New York Times Co. Class A (b). . . 104,408 3,358,806Scholastic Corp. . . . . . . . . . . . . . 21,959 844,324TechTarget, Inc. (a) . . . . . . . . . . . 16,768 437,645TEGNA, Inc. . . . . . . . . . . . . . . . 157,213 2,623,885

17,833,800

METALS & MINING — 1.7%AK Steel Holding Corp. (a) (b) . . . 240,495 791,229Allegheny Technologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 91,089 1,881,899Carpenter Technology Corp. . . . . . 35,512 1,767,787


Century Aluminum Co. (a) (b) . . . . 38,365 $ 288,313Cleveland-Cliffs, Inc. (b) . . . . . . . 194,910 1,637,244Commercial Metals Co. . . . . . . . . 87,664 1,952,277Compass Minerals International,

Inc. (b) . . . . . . . . . . . . . . . . . 25,163 1,533,936Haynes International, Inc. . . . . . . . 9,722 347,853Kaiser Aluminum Corp. . . . . . . . . 11,434 1,267,916Materion Corp.. . . . . . . . . . . . . . 14,846 882,595Olympic Steel, Inc. . . . . . . . . . . . 7,066 126,623Reliance Steel & Aluminum Co. . . . 48,726 5,835,426Royal Gold, Inc. (b) . . . . . . . . . . . 48,315 5,906,509Steel Dynamics, Inc. . . . . . . . . . . 157,566 5,363,547SunCoke Energy, Inc.. . . . . . . . . . 60,211 375,114TimkenSteel Corp. (a) (b) . . . . . . . 30,167 237,113United States Steel Corp. (b) . . . . . 122,669 1,399,653Warrior Met Coal, Inc. . . . . . . . . . 38,232 807,842Worthington Industries, Inc. . . . . . 27,518 1,160,709

33,563,585


Apollo Commercial Real EstateFinance, Inc. REIT . . . . . . . . . 104,996 1,920,377

ARMOUR Residential REIT, Inc.(b) . . . . . . . . . . . . . . . . . . . . 41,940 749,468

Capstead Mortgage Corp. REIT . . . 66,705 528,304Granite Point Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 41,777 767,861Invesco Mortgage Capital, Inc.

REIT . . . . . . . . . . . . . . . . . . 104,937 1,747,201KKR Real Estate Finance Trust, Inc.

REIT (b) . . . . . . . . . . . . . . . . 18,903 385,999New York Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 219,223 1,365,759PennyMac Mortgage Investment

Trust REIT . . . . . . . . . . . . . . 73,097 1,629,332Ready Capital Corp. REIT . . . . . . 28,251 435,631Redwood Trust, Inc. REIT. . . . . . . 83,384 1,379,171

10,909,103

MULTI-UTILITIES — 0.7%Avista Corp. . . . . . . . . . . . . . . . 48,437 2,329,335Black Hills Corp. . . . . . . . . . . . . 44,623 3,504,690MDU Resources Group, Inc. . . . . . 145,611 4,326,103NorthWestern Corp. . . . . . . . . . . 36,589 2,622,334

12,782,462

MULTILINE RETAIL — 0.2%Big Lots, Inc. . . . . . . . . . . . . . . . 29,032 833,799Dillard’s, Inc. Class A (b) . . . . . . . 7,576 556,685JC Penney Co., Inc. (a) (b) . . . . . . 202,060 226,307Ollie’s Bargain Outlet Holdings,

Inc. (a) (b) . . . . . . . . . . . . . . . 40,098 2,618,800

4,235,591

OIL, GAS & CONSUMABLE FUELS — 1.8%Antero Midstream Corp. (b) . . . . . 214,063 1,624,738Bonanza Creek Energy, Inc. (a) . . . 13,882 324,006




Callon Petroleum Co. (a) (b) . . . . . 283,528 $ 1,369,441Chesapeake Energy Corp. (a) (b) . . 903,025 745,537CNX Resources Corp. (a) . . . . . . . 139,469 1,234,301CONSOL Energy, Inc. (a) . . . . . . . 20,293 294,451Denbury Resources, Inc. (a) (b) . . . 353,675 498,682EQT Corp. . . . . . . . . . . . . . . . . 184,832 2,014,669Equitrans Midstream Corp. (b) . . . . 147,246 1,967,207Green Plains, Inc. (b) . . . . . . . . . . 25,566 394,483Gulfport Energy Corp. (a) . . . . . . . 112,581 342,246HighPoint Resources Corp. (a) . . . . 79,930 135,082Jagged Peak Energy, Inc. (a) (b) . . . 44,272 375,869Laredo Petroleum, Inc. (a). . . . . . . 126,619 363,397Matador Resources Co. (a) (b) . . . . 79,111 1,421,625Murphy Oil Corp. (b). . . . . . . . . . 108,965 2,920,262Oasis Petroleum, Inc. (a). . . . . . . . 207,425 676,206Par Pacific Holdings, Inc. (a) . . . . . 28,033 651,487PBF Energy, Inc. Class A . . . . . . . 73,715 2,312,440PDC Energy, Inc. (a) . . . . . . . . . . 43,805 1,146,377Penn Virginia Corp. (a). . . . . . . . . 10,401 315,670QEP Resources, Inc. . . . . . . . . . . 179,164 806,238Range Resources Corp. (b) . . . . . . 158,835 770,350Renewable Energy Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 27,665 745,572REX American Resources Corp.

(a) . . . . . . . . . . . . . . . . . . . . 4,270 349,969Ring Energy, Inc. (a) (b) . . . . . . . . 44,527 117,551SM Energy Co.. . . . . . . . . . . . . . 79,843 897,435Southwestern Energy Co. (a) (b) . . . 386,574 935,509SRC Energy, Inc. (a) . . . . . . . . . . 181,119 746,210Talos Energy, Inc. (a) . . . . . . . . . . 14,926 450,019Whiting Petroleum Corp. (a) (b) . . . 69,328 508,868World Fuel Services Corp. . . . . . . 47,289 2,053,288WPX Energy, Inc. (a) . . . . . . . . . . 302,756 4,159,867

33,669,052

PAPER & FOREST PRODUCTS — 0.4%Boise Cascade Co. . . . . . . . . . . . 28,952 1,057,617Clearwater Paper Corp. (a) . . . . . . 12,053 257,452Domtar Corp.. . . . . . . . . . . . . . . 42,064 1,608,527Louisiana-Pacific Corp. . . . . . . . . 85,591 2,539,485Mercer International, Inc. . . . . . . . 29,793 366,454Neenah, Inc. . . . . . . . . . . . . . . . 12,318 867,557PH Glatfelter Co. . . . . . . . . . . . . 31,672 579,598Schweitzer-Mauduit International,

Inc. . . . . . . . . . . . . . . . . . . . 23,268 977,023

8,253,713

PERSONAL PRODUCTS — 0.4%Avon Products, Inc. . . . . . . . . . . . 320,096 1,805,341Edgewell Personal Care Co. (a) . . . 40,312 1,248,059Inter Parfums, Inc.. . . . . . . . . . . . 13,305 967,407Medifast, Inc. (b) . . . . . . . . . . . . 8,650 947,867Nu Skin Enterprises, Inc. Class A . . 41,270 1,691,245USANA Health Sciences, Inc. (a) . . 9,349 734,364

7,394,283


PHARMACEUTICALS — 0.9%Akorn, Inc. (a) . . . . . . . . . . . . . . 70,091 $ 105,136Amphastar Pharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 24,769 477,794ANI Pharmaceuticals, Inc. (a) . . . . 6,473 399,190Catalent, Inc. (a) . . . . . . . . . . . . . 106,462 5,993,811Corcept Therapeutics, Inc. (a) (b) . . 76,128 921,149Endo International PLC (a) . . . . . . 151,207 709,161Innoviva, Inc. (a). . . . . . . . . . . . . 49,709 703,879Lannett Co., Inc. (a) (b) . . . . . . . . 25,907 228,500Nektar Therapeutics (a) (b) . . . . . . 129,902 2,803,935Pacira BioSciences, Inc. (a) . . . . . . 30,868 1,398,320Phibro Animal Health Corp.

Class A . . . . . . . . . . . . . . . . . 15,631 388,118Prestige Consumer Healthcare, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 37,397 1,514,578Supernus Pharmaceuticals, Inc. (a) . 39,040 926,029

16,569,600

PROFESSIONAL SERVICES — 1.0%ASGN, Inc. (a) . . . . . . . . . . . . . . 38,260 2,715,312Exponent, Inc. . . . . . . . . . . . . . . 37,543 2,590,842Forrester Research, Inc. . . . . . . . . 7,718 321,841FTI Consulting, Inc. (a) . . . . . . . . 27,308 3,021,903Heidrick & Struggles International,

Inc. . . . . . . . . . . . . . . . . . . . 14,470 470,275Insperity, Inc. . . . . . . . . . . . . . . . 27,223 2,342,267Kelly Services, Inc. Class A. . . . . . 23,860 538,759Korn Ferry . . . . . . . . . . . . . . . . 39,899 1,691,718ManpowerGroup, Inc. . . . . . . . . . 43,080 4,183,068Resources Connection, Inc. . . . . . . 22,664 370,103TrueBlue, Inc. (a) . . . . . . . . . . . . 29,631 712,922

18,959,010


Jones Lang LaSalle, Inc. . . . . . . . . 37,560 6,538,820Marcus & Millichap, Inc. (a) . . . . . 17,963 669,122RE/MAX Holdings, Inc. Class A . . 13,613 523,964Realogy Holdings Corp. (b). . . . . . 80,745 781,612St. Joe Co. (a) (b) . . . . . . . . . . . . 23,504 466,084

8,979,602

ROAD & RAIL — 0.8%ArcBest Corp. . . . . . . . . . . . . . . 18,475 509,910Avis Budget Group, Inc. (a) . . . . . . 40,897 1,318,519Heartland Express, Inc. . . . . . . . . 33,899 713,574Knight-Swift Transportation

Holdings, Inc. (b) . . . . . . . . . . 89,127 3,194,312Landstar System, Inc.. . . . . . . . . . 28,680 3,265,792Marten Transport, Ltd. . . . . . . . . . 28,015 602,042Ryder System, Inc. . . . . . . . . . . . 38,579 2,095,225Saia, Inc. (a) . . . . . . . . . . . . . . . 18,720 1,743,206Werner Enterprises, Inc. . . . . . . . . 33,258 1,210,259

14,652,839





Advanced Energy Industries, Inc.(a) . . . . . . . . . . . . . . . . . . . . 27,690 $ 1,971,528

Axcelis Technologies, Inc. (a) . . . . 23,095 556,474Brooks Automation, Inc. . . . . . . . . 52,303 2,194,634Cabot Microelectronics Corp. . . . . 21,135 3,050,203CEVA, Inc. (a) . . . . . . . . . . . . . . 16,320 439,987Cirrus Logic, Inc. (a) . . . . . . . . . . 41,986 3,460,066Cohu, Inc. . . . . . . . . . . . . . . . . . 31,037 709,196Cree, Inc. (a) . . . . . . . . . . . . . . . 78,184 3,608,192Cypress Semiconductor Corp. . . . . 270,167 6,302,996Diodes, Inc. (a). . . . . . . . . . . . . . 30,012 1,691,776DSP Group, Inc. (a) . . . . . . . . . . . 18,284 287,790First Solar, Inc. (a) (b) . . . . . . . . . 55,051 3,080,654FormFactor, Inc. (a) . . . . . . . . . . . 54,946 1,426,948Ichor Holdings, Ltd. (a) . . . . . . . . 16,970 564,592Kulicke & Soffa Industries, Inc. . . . 47,141 1,282,235MaxLinear, Inc. (a) (b) . . . . . . . . . 47,744 1,013,128MKS Instruments, Inc. . . . . . . . . . 39,635 4,360,246Monolithic Power Systems, Inc. . . . 29,765 5,298,765Onto Innovation, Inc. (a) . . . . . . . . 36,204 1,322,894PDF Solutions, Inc. (a) . . . . . . . . . 19,462 328,713Photronics, Inc. (a) . . . . . . . . . . . 48,398 762,753Power Integrations, Inc. . . . . . . . . 21,320 2,108,761Rambus, Inc. (a) . . . . . . . . . . . . . 81,221 1,118,819Semtech Corp. (a) . . . . . . . . . . . . 47,954 2,536,767Silicon Laboratories, Inc. (a) . . . . . 31,533 3,657,197SMART Global Holdings, Inc. (a). . 10,372 393,514SolarEdge Technologies, Inc. (a) . . . 35,672 3,392,051Synaptics, Inc. (a) (b). . . . . . . . . . 24,555 1,614,982Teradyne, Inc. . . . . . . . . . . . . . . 122,731 8,369,027Ultra Clean Holdings, Inc. (a) (b) . . 28,330 664,905Universal Display Corp. . . . . . . . . 30,953 6,378,485Veeco Instruments, Inc. (a) . . . . . . 37,697 553,580Xperi Corp. . . . . . . . . . . . . . . . . 37,151 687,294

75,189,152

SOFTWARE — 3.4%8x8, Inc. (a) (b) . . . . . . . . . . . . . 72,824 1,332,679ACI Worldwide, Inc. (a) . . . . . . . . 83,846 3,176,506Agilysys, Inc. (a) . . . . . . . . . . . . 15,704 399,039Alarm.com Holdings, Inc. (a). . . . . 26,768 1,150,221Blackbaud, Inc.. . . . . . . . . . . . . . 35,641 2,837,024Bottomline Technologies DE, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 28,204 1,511,734CDK Global, Inc. . . . . . . . . . . . . 88,285 4,827,424Ceridian HCM Holding, Inc. (a) (b). 73,601 4,996,036CommVault Systems, Inc. (a). . . . . 30,543 1,363,439Ebix, Inc. (b) . . . . . . . . . . . . . . . 16,090 537,567Fair Isaac Corp. (a) . . . . . . . . . . . 21,268 7,968,694j2 Global, Inc. (b) . . . . . . . . . . . . 33,625 3,150,999LivePerson, Inc. (a) (b) . . . . . . . . . 45,803 1,694,711LogMeIn, Inc. . . . . . . . . . . . . . . 35,415 3,036,482Manhattan Associates, Inc. (a) . . . . 46,443 3,703,829MicroStrategy, Inc. Class A (a) . . . . 6,090 868,617OneSpan, Inc. (a) . . . . . . . . . . . . 24,321 416,375


Progress Software Corp. . . . . . . . . 33,189 $ 1,379,003PTC, Inc. (a) . . . . . . . . . . . . . . . 75,635 5,664,305Qualys, Inc. (a). . . . . . . . . . . . . . 24,118 2,010,718SPS Commerce, Inc. (a) . . . . . . . . 25,900 1,435,378Teradata Corp. (a) . . . . . . . . . . . . 81,408 2,179,292TiVo Corp. . . . . . . . . . . . . . . . . 95,189 807,203Tyler Technologies, Inc. (a) . . . . . . 28,534 8,560,771

65,008,046

SPECIALTY RETAIL — 2.7%Aaron’s, Inc. . . . . . . . . . . . . . . . 48,741 2,783,599Abercrombie & Fitch Co. Class A . . 46,940 811,593American Eagle Outfitters, Inc. (b) . 118,169 1,737,084Asbury Automotive Group, Inc. (a) . 14,172 1,584,288AutoNation, Inc. (a). . . . . . . . . . . 43,028 2,092,452Barnes & Noble Education, Inc. (a) . 28,166 120,269Bed Bath & Beyond, Inc. . . . . . . . 91,255 1,578,711Boot Barn Holdings, Inc. (a) . . . . . 21,533 958,864Buckle, Inc. (b) . . . . . . . . . . . . . 21,520 581,901Caleres, Inc. . . . . . . . . . . . . . . . 28,891 686,161Cato Corp. Class A . . . . . . . . . . . 15,268 265,663Chico’s FAS, Inc. . . . . . . . . . . . . 82,721 315,167Children’s Place, Inc. (b) . . . . . . . 11,624 726,732Conn’s, Inc. (a) (b) . . . . . . . . . . . 14,198 175,913Designer Brands, Inc. Class A (b) . . 41,028 645,781Dick’s Sporting Goods, Inc. (b) . . . 46,312 2,291,981Express, Inc. (a) . . . . . . . . . . . . . 57,094 278,048Five Below, Inc. (a) . . . . . . . . . . . 40,530 5,182,166Foot Locker, Inc.. . . . . . . . . . . . . 77,694 3,029,289GameStop Corp. Class A (b) . . . . . 64,059 389,479Genesco, Inc. (a). . . . . . . . . . . . . 11,233 538,285Group 1 Automotive, Inc. . . . . . . . 12,960 1,296,000Guess?, Inc. (b) . . . . . . . . . . . . . 31,733 710,185Haverty Furniture Cos., Inc. . . . . . 13,862 279,458Hibbett Sports, Inc. (a) . . . . . . . . . 12,521 351,089Lithia Motors, Inc. Class A . . . . . . 16,435 2,415,945Lumber Liquidators Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 22,728 222,053MarineMax, Inc. (a). . . . . . . . . . . 17,991 300,270Michaels Cos., Inc. (a) (b) . . . . . . . 60,077 486,023Monro, Inc. (b). . . . . . . . . . . . . . 24,040 1,879,928Murphy USA, Inc. (a) . . . . . . . . . 21,061 2,464,137Office Depot, Inc. . . . . . . . . . . . . 408,956 1,120,539Rent-A-Center, Inc. . . . . . . . . . . . 37,392 1,078,385RH (a) . . . . . . . . . . . . . . . . . . . 12,092 2,581,642Sally Beauty Holdings, Inc. (a) (b) . 83,884 1,530,883Shoe Carnival, Inc. (b) . . . . . . . . . 6,824 254,399Signet Jewelers, Ltd. (b) . . . . . . . . 36,950 803,293Sleep Number Corp. (a) . . . . . . . . 20,377 1,003,363Sonic Automotive, Inc. Class A (b) . 17,459 541,229Tailored Brands, Inc. (b) . . . . . . . . 38,638 159,961Urban Outfitters, Inc. (a) (b) . . . . . 51,218 1,422,324Williams-Sonoma, Inc. (b) . . . . . . 56,711 4,164,856Zumiez, Inc. (a) . . . . . . . . . . . . . 15,021 518,825

52,358,213





3D Systems Corp. (a) (b) . . . . . . . 87,250 $ 763,438Diebold Nixdorf, Inc. (a) (b) . . . . . 56,795 599,755NCR Corp. (a) (b) . . . . . . . . . . . . 94,070 3,307,501

4,670,694


Carter’s, Inc. . . . . . . . . . . . . . . . 32,195 3,520,201Columbia Sportswear Co. . . . . . . . 21,040 2,107,998Crocs, Inc. (a) . . . . . . . . . . . . . . 49,644 2,079,587Deckers Outdoor Corp. (a) . . . . . . 20,396 3,444,069Fossil Group, Inc. (a) (b). . . . . . . . 35,113 276,690G-III Apparel Group, Ltd. (a) . . . . . 32,409 1,085,702Kontoor Brands, Inc. (a) (b). . . . . . 33,724 1,416,071Movado Group, Inc.. . . . . . . . . . . 12,172 264,619Oxford Industries, Inc. (b) . . . . . . . 12,657 954,591Skechers U.S.A., Inc. Class A (a) . . 97,275 4,201,307Steven Madden, Ltd. . . . . . . . . . . 56,028 2,409,764Unifi, Inc. (a). . . . . . . . . . . . . . . 11,077 279,805Vera Bradley, Inc. (a) . . . . . . . . . . 16,202 191,184Wolverine World Wide, Inc. . . . . . . 59,496 2,007,395

24,238,983

THRIFTS & MORTGAGE FINANCE — 0.9%Axos Financial, Inc. (a) . . . . . . . . 39,658 1,200,844Flagstar Bancorp, Inc. . . . . . . . . . 25,112 960,534HomeStreet, Inc. (a) . . . . . . . . . . 17,866 607,444LendingTree, Inc. (a) (b). . . . . . . . 5,680 1,723,539Meta Financial Group, Inc. . . . . . . 25,888 945,171New York Community Bancorp,

Inc. . . . . . . . . . . . . . . . . . . . 339,541 4,081,283NMI Holdings, Inc. Class A (a) . . . 50,256 1,667,494Northfield Bancorp, Inc.. . . . . . . . 32,264 547,197Northwest Bancshares, Inc. . . . . . . 74,558 1,239,900Provident Financial Services, Inc. . . 45,113 1,112,035TrustCo Bank Corp. NY . . . . . . . . 74,142 642,811Walker & Dunlop, Inc. . . . . . . . . . 21,314 1,378,590Washington Federal, Inc.. . . . . . . . 56,701 2,078,092

18,184,934

TOBACCO — 0.1%Universal Corp. . . . . . . . . . . . . . 17,754 1,013,043Vector Group, Ltd. (b) . . . . . . . . . 86,330 1,155,959

2,169,002


Applied Industrial Technologies,Inc. . . . . . . . . . . . . . . . . . . . 28,692 1,913,469

DXP Enterprises, Inc. (a) . . . . . . . 12,218 486,399Foundation Building Materials, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 13,800 267,030GATX Corp. (b) . . . . . . . . . . . . . 25,441 2,107,787GMS, Inc. (a). . . . . . . . . . . . . . . 31,017 839,940Kaman Corp. . . . . . . . . . . . . . . . 20,704 1,364,808


MSC Industrial Direct Co., Inc.Class A . . . . . . . . . . . . . . . . . 32,998 $ 2,589,353

NOW, Inc. (a). . . . . . . . . . . . . . . 81,922 920,803Veritiv Corp. (a) . . . . . . . . . . . . . 9,278 182,498Watsco, Inc.. . . . . . . . . . . . . . . . 24,097 4,341,075

15,013,162

WATER UTILITIES — 0.6%American States Water Co. . . . . . . 27,033 2,342,139Aqua America, Inc. . . . . . . . . . . . 157,954 7,414,361California Water Service Group . . . 35,756 1,843,579

11,600,079


Shenandoah TelecommunicationsCo. . . . . . . . . . . . . . . . . . . . 34,832 1,449,359

Spok Holdings, Inc. . . . . . . . . . . . 12,924 158,061Telephone & Data Systems, Inc. . . . 71,068 1,807,259

3,414,679

TOTAL COMMON STOCKS(Cost $1,810,905,640) . . . . . 1,906,233,902

RIGHTS — 0.0% (d)BIOTECHNOLOGY — 0.0%

(d)Omthera Pharmaceuticals, Inc.

(CVR) (a) (b) (e) . . . . . . . . . 212 —

CHEMICALS — 0.0% (d)A Schulman, Inc. (CVR) (a). . . . 11,090 5,800

TOTAL RIGHTS(Cost $4,802) . . . . . . . . . . . 5,800


Reserves Fund, Premier Class1.73% (f) (g). . . . . . . . . . . . 1,224,497 1,224,619

State Street Navigator SecuritiesLending Portfolio II (h) (i) . . . 59,317,976 59,317,976

TOTAL SHORT-TERM INVESTMENTS(Cost $60,542,581). . . . . . . . . . . . . . . . . . . . 60,542,595


LIABILITIES IN EXCESS OF OTHERASSETS — (2.9)% . . . . . . . . . . . . . . . . . . (56,357,457)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 1,910,424,840


December 31, 2019.(c) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. As of December 31, 2019, total aggregatefair value of securities is $11,040, representing less than 0.05% ofnet assets.

(d) Amount is less than 0.05% of net assets.



(e) Fair valued as determined in good faith by the Trust’s OversightCommittee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the security is $0, representing less than 0.05% of theFund’s net assets.

(f) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(g) The rate shown is the annualized seven-day yield at December 31,2019.

(h) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(i) Investment of cash collateral for securities loaned.

CVR Contingent Value RightsREIT Real Estate Investment Trust



Quoted Prices




ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,906,222,862 $11,040 $— $1,906,233,902

Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 5,800 0(a) 5,800


TOTAL INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,966,765,457 $16,840 $ 0 $1,966,782,297

(a) The Fund held a Level 3 security that was valued at $0 at December 31, 2019.

Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund, PremierClass . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ — $ 40,628,138 $ 39,404,675 $1,142 $14 1,224,497 $ 1,224,619 $ 15,195

State Street Institutional U.S. Government MoneyMarket Fund, Class G Shares . . . . . . . . . . . . . 1,329,540 1,329,540 3,884,458 5,213,998 — — — — 1,870

State Street Navigator Securities Lending Portfolio II . . — — 108,465,862 49,147,886 — — 59,317,976 59,317,976 93,108

State Street Navigator Securities Lending Portfolio III . 22,889,111 22,889,111 83,926,748 106,815,859 — — — — 131,700

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $24,218,651 $236,905,206 $200,582,418 $1,142 $14 $60,542,595 $241,873




COMMON STOCKS — 99.7%AEROSPACE & DEFENSE — 1.0%Other Securities . . . . . . . . . . . $ 15,997,757

AIR FREIGHT & LOGISTICS — 0.2%Other Securities . . . . . . . . . . . 3,970,316

AIRLINES — 0.5%JetBlue Airways Corp. (a) . . . . . 153,364 2,870,974Other Securities . . . . . . . . . . . 5,557,181

8,428,155

AUTO COMPONENTS — 1.0%Other Securities . . . . . . . . . . . 15,517,210

AUTOMOBILES — 0.2%Other Securities . . . . . . . . . . . 3,369,419

BANKS — 9.8%Popular, Inc.. . . . . . . . . . . . . . 56,523 3,320,726Prosperity Bancshares, Inc. . . . . 46,116 3,315,279TCF Financial Corp. . . . . . . . . 76,597 3,584,740Western Alliance Bancorp . . . . . 51,770 2,950,890Other Securities . . . . . . . . . . . 146,889,674

160,061,309

BEVERAGES — 0.2%Other Securities . . . . . . . . . . . 3,894,883

BIOTECHNOLOGY — 6.3%ACADIA Pharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . 81,409 3,482,677Arrowhead Pharmaceuticals, Inc.

(a)(b) . . . . . . . . . . . . . . . . 46,455 2,946,641Global Blood Therapeutics, Inc.

(a)(b) . . . . . . . . . . . . . . . . 36,111 2,870,463Medicines Co. (a)(b) . . . . . . . . 43,091 3,660,150Mirati Therapeutics, Inc. (a)(b) . . 23,146 2,982,594Other Securities . . . . . . . . . . . 87,411,134

103,353,659

BUILDING PRODUCTS — 1.4%Trex Co., Inc. (a)(b) . . . . . . . . . 34,403 3,092,142Other Securities . . . . . . . . . . . 19,615,550

22,707,692

CAPITAL MARKETS — 1.5%Other Securities . . . . . . . . . . . 24,479,731

CHEMICALS — 2.3%Other Securities . . . . . . . . . . . 37,460,501


IAA, Inc. (a) . . . . . . . . . . . . . 70,566 3,320,836Stericycle, Inc. (a)(b) . . . . . . . . 46,822 2,987,712Other Securities . . . . . . . . . . . 36,466,938

42,775,486

COMMUNICATIONS EQUIPMENT — 1.2%Lumentum Holdings, Inc. (a) . . . 44,799 3,552,561


Other Securities . . . . . . . . . . . $ 15,554,814

19,107,375

CONSTRUCTION & ENGINEERING — 1.0%Other Securities . . . . . . . . . . . 15,508,303

CONSTRUCTION MATERIALS — 0.3%Other Securities . . . . . . . . . . . 4,444,223

CONSUMER FINANCE — 0.8%Other Securities . . . . . . . . . . . 12,772,192

CONTAINERS & PACKAGING — 0.4%Other Securities . . . . . . . . . . . 5,923,240

DISTRIBUTORS — 0.0% (c)Other Securities . . . . . . . . . . . 721,101


Other Securities . . . . . . . . . . . 19,798,379





ELECTRIC UTILITIES — 1.1%Hawaiian Electric Industries,

Inc. . . . . . . . . . . . . . . . . . 64,627 3,028,421PG&E Corp. (a)(b) . . . . . . . . . 291,230 3,165,670Other Securities . . . . . . . . . . . 11,682,806

17,876,897

ELECTRICAL EQUIPMENT — 0.9%Generac Holdings, Inc. (a) . . . . . 32,047 3,223,608Other Securities . . . . . . . . . . . 12,088,804

15,312,412


Jabil, Inc. . . . . . . . . . . . . . . . 85,551 3,535,823Tech Data Corp. (a) . . . . . . . . . 20,996 3,015,026Other Securities . . . . . . . . . . . 41,030,916

47,581,765

ENERGY EQUIPMENT & SERVICES — 1.0%Other Securities . . . . . . . . . . . 15,920,187

ENTERTAINMENT — 0.5%Zynga, Inc. Class A (a) . . . . . . . 505,687 3,094,804Other Securities . . . . . . . . . . . 5,488,474

8,583,278


Cousins Properties, Inc. REIT . . 87,099 3,588,479EastGroup Properties, Inc. REIT . 21,890 2,904,146First Industrial Realty Trust, Inc.

REIT . . . . . . . . . . . . . . . . 74,400 3,088,344JBG SMITH Properties REIT. . . 71,812 2,864,581Life Storage, Inc. REIT. . . . . . . 27,412 2,968,171

SPDR PORTFOLIO S&P 600 SMALL CAP ETFSUMMARY SCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)




128,465,575

FOOD & STAPLES RETAILING — 0.8%Casey’s General Stores, Inc.. . . . 19,240 3,058,967Performance Food Group Co. (a). 60,812 3,130,602Other Securities . . . . . . . . . . . 7,203,598

13,393,167

FOOD PRODUCTS — 1.2%Other Securities . . . . . . . . . . . 20,110,363

GAS UTILITIES — 1.0%Other Securities . . . . . . . . . . . 15,680,101


Penumbra, Inc. (a)(b) . . . . . . . . 19,038 3,127,372Other Securities . . . . . . . . . . . 41,289,499

44,416,871


Amedisys, Inc. (a) . . . . . . . . . . 18,737 3,127,580HealthEquity, Inc. (a) . . . . . . . . 40,920 3,030,944Other Securities . . . . . . . . . . . 26,094,434

32,252,958

HEALTH CARE TECHNOLOGY — 0.8%Teladoc Health, Inc. (a)(b) . . . . . 41,812 3,500,501Other Securities . . . . . . . . . . . 10,225,365

13,725,866


Marriott Vacations WorldwideCorp. . . . . . . . . . . . . . . . . 23,102 2,974,613

Planet Fitness, Inc. Class A (a) . . 44,459 3,320,198Wyndham Hotels & Resorts,

Inc. . . . . . . . . . . . . . . . . . 49,855 3,131,393Other Securities . . . . . . . . . . . 43,138,032

52,564,236

HOUSEHOLD DURABLES — 1.3%Other Securities . . . . . . . . . . . 21,049,574

HOUSEHOLD PRODUCTS — 0.3%Other Securities . . . . . . . . . . . 4,918,575



INDUSTRIAL CONGLOMERATES — 0.0% (c)Other Security . . . . . . . . . . . . 465,141

INSURANCE — 2.4%Kemper Corp.. . . . . . . . . . . . . 37,743 2,925,082Primerica, Inc. . . . . . . . . . . . . 24,750 3,231,360Other Securities . . . . . . . . . . . 32,584,338

38,740,780


INTERACTIVE MEDIA & SERVICES — 0.7%Other Securities . . . . . . . . . . . $ 11,308,589



IT SERVICES — 2.1%CACI International, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . 14,481 3,620,105MongoDB, Inc. (a)(b). . . . . . . . 25,084 3,301,305Other Securities . . . . . . . . . . . 27,787,211

34,708,621





MACHINERY — 3.4%ITT, Inc. . . . . . . . . . . . . . . . . 51,659 3,818,117Other Securities . . . . . . . . . . . 51,971,814

55,789,931

MARINE — 0.2%Other Securities . . . . . . . . . . . 3,819,454

MEDIA — 1.2%Nexstar Media Group, Inc.

Class A . . . . . . . . . . . . . . . 26,437 3,099,738Other Securities . . . . . . . . . . . 16,286,247

19,385,985

METALS & MINING — 1.1%Ferroglobe Representation &

Warranty Insurance Trust(a)(d) . . . . . . . . . . . . . . . . 5,429 —


18,524,594


Blackstone Mortgage Trust, Inc.Class A REIT (b) . . . . . . . . . 77,179 2,872,602


22,566,211

MULTI-UTILITIES — 0.4%Other Securities . . . . . . . . . . . 7,316,140

MULTILINE RETAIL — 0.4%Other Securities . . . . . . . . . . . 6,196,531

OIL, GAS & CONSUMABLE FUELS — 2.7%WPX Energy, Inc. (a) . . . . . . . . 216,498 2,974,682Other Securities . . . . . . . . . . . 40,870,734

43,845,416

PAPER & FOREST PRODUCTS — 0.4%Other Securities . . . . . . . . . . . 6,879,445

SPDR PORTFOLIO S&P 600 SMALL CAP ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



PERSONAL PRODUCTS — 0.4%Other Securities . . . . . . . . . . . $ 6,531,197

PHARMACEUTICALS — 1.5%Elanco Animal Health, Inc.

(a)(d) . . . . . . . . . . . . . . . . 34,895 —Other Securities . . . . . . . . . . . 24,070,226

24,070,226

PROFESSIONAL SERVICES — 1.3%Other Securities . . . . . . . . . . . 20,596,236



ROAD & RAIL — 0.8%Other Securities . . . . . . . . . . . 12,501,273


MKS Instruments, Inc. . . . . . . . 31,858 3,504,699Other Securities . . . . . . . . . . . 37,729,717

41,234,416

SOFTWARE — 5.4%Manhattan Associates, Inc. (a) . . 37,547 2,994,373Other Securities . . . . . . . . . . . 85,601,476

88,595,849

SPECIALTY RETAIL — 3.1%Williams-Sonoma, Inc. (b). . . . . 45,613 3,349,819Other Securities . . . . . . . . . . . 46,586,154

49,935,973




Ralph Lauren Corp. . . . . . . . . . 25,523 2,991,806Skechers U.S.A., Inc. Class A (a). 77,563 3,349,946Other Securities . . . . . . . . . . . 15,260,867

21,602,619

THRIFTS & MORTGAGE FINANCE — 1.7%MGIC Investment Corp. . . . . . . 207,195 2,935,953Radian Group, Inc. . . . . . . . . . 120,852 3,040,636Other Securities . . . . . . . . . . . 21,100,473

27,077,062

TOBACCO — 0.1%Other Securities . . . . . . . . . . . 1,901,945


Air Lease Corp. . . . . . . . . . . . 61,739 2,933,837Other Securities . . . . . . . . . . . 19,999,184

22,933,021


TRANSPORTATION INFRASTRUCTURE —0.1%

Other Security . . . . . . . . . . . . $ 1,858,571

WATER UTILITIES — 0.4%Other Securities . . . . . . . . . . . 5,983,697




RIGHTS — 0.0% (c)BIOTECHNOLOGY — 0.0%

(c)Omthera Pharmaceuticals, Inc.

(CVR) (a)(d) . . . . . . . . . . . 24 —Other Securities. . . . . . . . . . 18,530

18,530

CHEMICALS — 0.0% (c)Other Security. . . . . . . . . . . 9,762

DIVERSIFIED FINANCIALSERVICES — 0.0% (c)Other Security. . . . . . . . . . . 982

MEDIA — 0.0% (c)Other Security. . . . . . . . . . . 1,071

PHARMACEUTICALS —0.0% (c)Other Security. . . . . . . . . . . 3,955

TOTAL RIGHTS(Cost $21,293) . . . . . . . . . . . . 34,300

WARRANTS — 0.0% (c)OIL, GAS & CONSUMABLE

FUELS — 0.0% (c)Halcon Resources Corp.

(expiring 09/09/20) (a)(d) . . . 1,596 —Halcon Resources Corp.

(expiring 09/09/20) (a)(d) . . . 1,277 —Halcon Resources Corp.

(expiring 09/09/20) (a)(b)(d). . 2,055 —

0

SHORT-TERMINVESTMENTS — 7.3%State Street Institutional

Liquid Reserves Fund,Premier Class 1.73% (e)(f) . 2,152,632 2,152,848




State Street NavigatorSecurities LendingPortfolio II (g)(h) . . . . . . . 117,437,304 $ 117,437,304

TOTAL SHORT-TERMINVESTMENTS(Cost $119,590,080) . . . . . . . . 119,590,152

TOTAL INVESTMENTS —107.0%(Cost $1,810,332,409) . . . . . 1,749,069,149

LIABILITIES IN EXCESS OFOTHER ASSETS — (7.0)%

(115,029,246)

NET ASSETS — 100.0%. . . . . $ 1,634,039,903

The Summary Schedule of Investments does not reflect the completeportfolio holdings. It includes the Fund’s 50 largest holdings and eachinvestment of any issuer that exceeds 1% of the Fund’s net assets. “OtherSecurities” represent all issues not required to be disclosed under therules adopted by the U.S. Securities and Exchange Commission(“SEC”). In certain instances, securities for which footnotes listed belowmay otherwise apply are included in the Other Securities caption. Thecomplete schedule of portfolio holdings is available on the Fund’swebsite at www.spdrs.com, without charge, upon request by calling1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.


December 31, 2019.(c) Amount is less than 0.05% of net assets.

(d) Fair valued as determined in good faith by the Trust’sOversight Committee in accordance with policy and proceduresapproved by the Board of Trustees. Security value isdetermined based on Level 3 inputs. As of December 31, 2019,total aggregate fair value of the securities is $0, representingless than 0.05% of the Fund’s net assets.

(e) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(f) The rate shown is the annualized seven-day yield atDecember 31, 2019.

(g) The Fund invested in an affiliated entity. Amounts related tothese transactions during the period ended December 31, 2019are shown in the Affiliate Table below.

(h) Investment of cash collateral for securities loaned.CVR Contingent Value RightsREIT Real Estate Investment Trust



ExpirationDate



E-Mini Russell 2000 Index (long) 18 03/20/2020 $1,479,204 $1,503,540 $24,337






Quoted Prices




ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,629,442,328 $ 2,369 $ 0(a) $1,629,444,697

Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 34,300 0(a) 34,300

Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 0(a) 0




Futures Contracts(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,337 — — 24,337

TOTAL OTHER FINANCIAL INSTRUMENTS:. . . . . . . . . . . . $ 24,337 $ — $— $ 24,337

TOTAL INVESTMENTS AND OTHER FINANCIALINSTRUMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,749,056,817 $36,669 $— $1,749,093,486

(a) Fund held Level 3 securities that were valued at $0 at December 31, 2019.(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund,Premier Class . . . . . . . . . . . . . . . . . . . . . — $ — $ 36,783,486 $ 34,631,659 $949 $72 2,152,632 $ 2,152,848 $ 22,318


State Street Navigator Securities Lending Portfolio II . — — 164,383,410 46,946,106 — — 117,437,304 117,437,304 286,795


Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . $37,892,273 $349,473,054 $267,776,196 $949 $72 $119,590,152 $836,328




COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 2.6%Boeing Co. . . . . . . . . . . . . . . 79,663 $ 25,951,019United Technologies Corp.. . . . . 123,032 18,425,272Other Securities . . . . . . . . . . . 64,765,882

109,142,173

AIR FREIGHT & LOGISTICS — 0.5%Other Securities . . . . . . . . . . . 22,778,741

AIRLINES — 0.4%Other Securities . . . . . . . . . . . 18,111,772

AUTO COMPONENTS — 0.2%Other Securities . . . . . . . . . . . 8,328,763

AUTOMOBILES — 0.5%Other Securities . . . . . . . . . . . 21,684,754

BANKS — 6.3%Bank of America Corp. . . . . . . . 1,283,772 45,214,450Citigroup, Inc. . . . . . . . . . . . . 308,119 24,615,627JPMorgan Chase & Co.. . . . . . . 452,051 63,015,909Wells Fargo & Co. . . . . . . . . . . 603,894 32,489,497Other Securities . . . . . . . . . . . 103,080,163

268,415,646

BEVERAGES — 1.7%Coca-Cola Co. . . . . . . . . . . . . 606,425 33,565,624PepsiCo, Inc. . . . . . . . . . . . . . 198,540 27,134,462Other Securities . . . . . . . . . . . 10,676,360

71,376,446

BIOTECHNOLOGY — 2.7%AbbVie, Inc. . . . . . . . . . . . . . 209,559 18,554,354Amgen, Inc. . . . . . . . . . . . . . . 84,946 20,477,932Other Securities . . . . . . . . . . . 76,862,306

115,894,592

BUILDING PRODUCTS — 0.3%Other Securities . . . . . . . . . . . 11,078,063

CAPITAL MARKETS — 2.7%Other Securities . . . . . . . . . . . 116,179,927

CHEMICALS — 1.6%Other Securities . . . . . . . . . . . 67,873,630



COMMUNICATIONS EQUIPMENT — 1.0%Cisco Systems, Inc. . . . . . . . . . 599,639 28,758,686Other Securities . . . . . . . . . . . 13,326,918

42,085,604

CONSTRUCTION & ENGINEERING — 0.2%Other Securities . . . . . . . . . . . 7,546,764

CONSTRUCTION MATERIALS — 0.2%Other Securities . . . . . . . . . . . 6,480,191


CONSUMER FINANCE — 0.8%Other Securities . . . . . . . . . . . $ 34,418,343

CONTAINERS & PACKAGING — 0.4%Other Securities . . . . . . . . . . . 16,790,553

DISTRIBUTORS — 0.1%Other Securities . . . . . . . . . . . 5,417,944






AT&T, Inc. . . . . . . . . . . . . . . 1,041,948 40,719,328Verizon Communications, Inc. . . 585,351 35,940,551Other Securities . . . . . . . . . . . 5,256,509

81,916,388

ELECTRIC UTILITIES — 2.0%NextEra Energy, Inc. . . . . . . . . 69,705 16,879,763Other Securities . . . . . . . . . . . 67,172,147

84,051,910

ELECTRICAL EQUIPMENT — 0.5%Other Securities . . . . . . . . . . . 19,922,945



ENERGY EQUIPMENT & SERVICES — 0.4%Other Securities . . . . . . . . . . . 18,765,283

ENTERTAINMENT — 1.8%Netflix, Inc. (a) . . . . . . . . . . . . 60,715 19,645,553Walt Disney Co. . . . . . . . . . . . 256,807 37,141,996Other Securities . . . . . . . . . . . 18,797,620

75,585,169



FOOD & STAPLES RETAILING — 1.5%Costco Wholesale Corp. . . . . . . 62,237 18,292,699Walmart, Inc. . . . . . . . . . . . . . 198,143 23,547,314Other Securities . . . . . . . . . . . 20,504,873

62,344,886

FOOD PRODUCTS — 1.2%Other Securities . . . . . . . . . . . 51,203,784

GAS UTILITIES — 0.2%Other Securities . . . . . . . . . . . 6,662,516


Abbott Laboratories . . . . . . . . . 247,135 21,466,146

SPDR PORTFOLIO S&P 1500 COMPOSITE STOCK MARKET ETFSUMMARY SCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)




133,150,916


UnitedHealth Group, Inc. . . . . . 133,584 39,271,024Other Securities . . . . . . . . . . . 80,384,217

119,655,241

HEALTH CARE TECHNOLOGY — 0.2%Other Securities . . . . . . . . . . . 8,879,511


McDonald’s Corp.. . . . . . . . . . 107,378 21,218,967Other Securities . . . . . . . . . . . 70,206,912

91,425,879

HOUSEHOLD DURABLES — 0.4%Other Securities . . . . . . . . . . . 18,112,988

HOUSEHOLD PRODUCTS — 1.6%Procter & Gamble Co. . . . . . . . 354,848 44,320,515Other Securities . . . . . . . . . . . 21,839,611

66,160,126



INDUSTRIAL CONGLOMERATES — 1.2%Honeywell International, Inc. . . . 101,273 17,925,321Other Securities . . . . . . . . . . . 35,203,610

53,128,931

INSURANCE — 2.0%Other Securities . . . . . . . . . . . 87,155,590

INTERACTIVE MEDIA & SERVICES — 3.2%Alphabet, Inc. Class A (a) . . . . . 42,467 56,879,875Facebook, Inc. Class A (a) . . . . . 337,249 69,220,357Other Securities . . . . . . . . . . . 8,739,918

134,840,150


Amazon.com, Inc. (a) . . . . . . . . 62,013 114,590,102Other Securities . . . . . . . . . . . 26,032,919

140,623,021

IT SERVICES — 5.0%International Business Machines

Corp. . . . . . . . . . . . . . . . . 125,024 16,758,217Mastercard, Inc. Class A . . . . . . 126,028 37,630,701PayPal Holdings, Inc. (a) . . . . . . 159,698 17,274,533Visa, Inc. Class A . . . . . . . . . . 244,821 46,001,866Other Securities . . . . . . . . . . . 94,372,611

212,037,928





Thermo Fisher Scientific, Inc. . . 56,398 $ 18,322,018Other Securities . . . . . . . . . . . 28,898,352

47,220,370

MACHINERY — 1.9%Other Securities . . . . . . . . . . . 82,595,965

MARINE — 0.0% (b)Other Securities . . . . . . . . . . . 1,000,462

MEDIA — 0.7%Other Securities . . . . . . . . . . . 29,835,908

METALS & MINING — 0.4%Ferroglobe Representation &

Warranty Insurance Trust(a)(c) . . . . . . . . . . . . . . . . 929 —


17,779,583



MULTI-UTILITIES — 1.0%Other Securities . . . . . . . . . . . 41,889,168

MULTILINE RETAIL — 0.5%Other Securities . . . . . . . . . . . 21,410,630

OIL, GAS & CONSUMABLE FUELS — 3.8%Chevron Corp. . . . . . . . . . . . . 269,607 32,490,340Exxon Mobil Corp. . . . . . . . . . 600,299 41,888,864Other Securities . . . . . . . . . . . 89,249,329

163,628,533

PAPER & FOREST PRODUCTS — 0.0% (b)Other Securities . . . . . . . . . . . 1,775,600

PERSONAL PRODUCTS — 0.2%Other Securities . . . . . . . . . . . 8,229,395

PHARMACEUTICALS — 4.1%Bristol-Myers Squibb Co. . . . . . 331,876 21,303,120Elanco Animal Health, Inc.

(a)(c) . . . . . . . . . . . . . . . . 6,058 —Johnson & Johnson . . . . . . . . . 374,043 54,561,652Merck & Co., Inc. . . . . . . . . . . 363,056 33,019,943Pfizer, Inc.. . . . . . . . . . . . . . . 784,235 30,726,327Other Securities . . . . . . . . . . . 34,771,363

174,382,405

PROFESSIONAL SERVICES — 0.4%Other Securities . . . . . . . . . . . 18,990,598



ROAD & RAIL — 1.1%Union Pacific Corp. . . . . . . . . . 99,238 17,941,238

SPDR PORTFOLIO S&P 1500 COMPOSITE STOCK MARKET ETFSUMMARY SCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)




47,089,880


Broadcom, Inc. . . . . . . . . . . . . 54,977 17,373,832Intel Corp. . . . . . . . . . . . . . . . 628,273 37,602,139NVIDIA Corp. . . . . . . . . . . . . 82,652 19,448,016Texas Instruments, Inc. . . . . . . . 133,033 17,066,804Other Securities . . . . . . . . . . . 87,203,909

178,694,700

SOFTWARE — 7.6%Adobe, Inc. (a) . . . . . . . . . . . . 68,951 22,740,729Microsoft Corp. . . . . . . . . . . . 1,077,345 169,897,306Oracle Corp. . . . . . . . . . . . . . 306,607 16,244,039salesforce.com, Inc. (a) . . . . . . . 119,436 19,425,071Other Securities . . . . . . . . . . . 93,685,768

321,992,913

SPECIALTY RETAIL — 2.3%Home Depot, Inc. . . . . . . . . . . 155,193 33,891,047Other Securities . . . . . . . . . . . 66,107,336

99,998,383


Apple, Inc.. . . . . . . . . . . . . . . 641,488 188,372,951Other Securities . . . . . . . . . . . 16,328,008

204,700,959


NIKE, Inc. Class B . . . . . . . . . 173,290 17,556,010Other Securities . . . . . . . . . . . 19,298,166

36,854,176

THRIFTS & MORTGAGE FINANCE — 0.2%Other Securities . . . . . . . . . . . 7,523,313

TOBACCO — 0.8%Philip Morris International, Inc. . 219,980 18,718,098Other Securities . . . . . . . . . . . 13,791,013

32,509,111



TRANSPORTATION INFRASTRUCTURE —0.0% (b)

Other Security . . . . . . . . . . . . 576,798

WATER UTILITIES — 0.2%Other Securities . . . . . . . . . . . 6,445,119





PREFERRED STOCKS —0.0% (b)

DIVERSIFIEDTELECOMMUNICATIONSERVICES — 0.0% (b)Other Security

(Cost: $14) . . . . . . . . . . . $ 27

RIGHTS — 0.0% (b)BIOTECHNOLOGY — 0.0%

(b)Other Security. . . . . . . . . . . 2,080

CHEMICALS — 0.0% (b)Other Security. . . . . . . . . . . 1,413

DIVERSIFIED FINANCIALSERVICES — 0.0% (b)Other Security. . . . . . . . . . . 211

MEDIA — 0.0% (b)Other Security. . . . . . . . . . . 132

PHARMACEUTICALS —0.0% (b)Other Security. . . . . . . . . . . 564

TOTAL RIGHTS(Cost $4,026) . . . . . . . . . . . . . 4,400

WARRANTS — 0.0% (b)OIL, GAS & CONSUMABLE

FUELS — 0.0% (b)Halcon Resources Corp.

(expiring 09/09/20) (a)(c) . . . 310 —Halcon Resources Corp.

(expiring 09/09/20) (a)(c) . . . 248 —Halcon Resources Corp.

(expiring 09/09/20) (a)(d) . . . 398 —

0

SHORT-TERMINVESTMENTS — 0.8%State Street Institutional

Liquid Reserves Fund,Premier Class 1.73% (e)(f) . 3,221,194 3,221,516

State Street NavigatorSecurities LendingPortfolio II (g)(h) . . . . . . . 31,277,037 31,277,037

TOTAL SHORT-TERMINVESTMENTS(Cost $34,498,460) . . . . . . . . . 34,498,553

TOTAL INVESTMENTS —100.6%(Cost $3,725,445,755) . . . . . 4,284,018,301

LIABILITIES IN EXCESS OFOTHER ASSETS — (0.6)%

(25,656,774)

NET ASSETS — 100.0%. . . . . $ 4,258,361,527



The Summary Schedule of Investments does not reflect the completeportfolio holdings. It includes the Fund’s 50 largest holdings and eachinvestment of any issuer that exceeds 1% of the Fund’s net assets. “OtherSecurities” represent all issues not required to be disclosed under therules adopted by the U.S. Securities and Exchange Commission(“SEC”). In certain instances, securities for which footnotes listed belowmay otherwise apply are included in the Other Securities caption. Thecomplete schedule of portfolio holdings is available on the Fund’swebsite at www.spdrs.com, without charge, upon request by calling1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.

(a) Non-income producing security.(b) Amount is less than 0.05% of net assets.(c) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the security is $0, representing 0.00% of the Fund’s netassets.

(d) All or a portion of the shares of the security are on loan atDecember 31, 2019.


(f) The rate shown is the annualized seven-day yield at December 31,2019.

(g) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(h) Investment of cash collateral for securities loaned.



ExpirationDate









Quoted Prices




ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,249,514,961 $ 360 $ 0(a) $4,249,515,321

Preferred Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 — — 27

Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 4,400 — 4,400

Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 0(a) 0







(a) The Fund held a Level 3 security that was valued at $0 at December 31, 2019.(b) Futures Contracts are valued at unrealized appreciation (depreciation).



Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome





Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $20,962,575 $212,768,750 $199,233,899 $1,034 $93 $34,498,553 $299,485




COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 2.9%Arconic, Inc. . . . . . . . . . . . . . . . . 73,600 $ 2,264,672Boeing Co. . . . . . . . . . . . . . . . . . 89,377 29,115,451Huntington Ingalls Industries, Inc. . . . 9,200 2,308,096L3Harris Technologies, Inc. . . . . . . . 84,033 16,627,610Lockheed Martin Corp.. . . . . . . . . . 94,350 36,738,003Northrop Grumman Corp. . . . . . . . . 59,600 20,500,612Raytheon Co. . . . . . . . . . . . . . . . . 63,481 13,949,315TransDigm Group, Inc. . . . . . . . . . . 18,895 10,581,200United Technologies Corp.. . . . . . . . 163,426 24,474,678

156,559,637

AIR FREIGHT & LOGISTICS — 0.3%Expeditors International of

Washington, Inc. . . . . . . . . . . . . 33,627 2,623,578United Parcel Service, Inc. Class B . . 119,831 14,027,417

16,650,995

BANKS — 1.6%First Republic Bank . . . . . . . . . . . . 31,400 3,687,930JPMorgan Chase & Co.. . . . . . . . . . 572,200 79,764,680SVB Financial Group (a). . . . . . . . . 12,587 3,159,841

86,612,451

BEVERAGES — 1.5%Brown-Forman Corp. Class B. . . . . . 69,199 4,677,852Coca-Cola Co. . . . . . . . . . . . . . . . 586,187 32,445,450Monster Beverage Corp. (a) . . . . . . . 97,190 6,176,425PepsiCo, Inc. . . . . . . . . . . . . . . . . 254,427 34,772,538

78,072,265

BIOTECHNOLOGY — 1.8%AbbVie, Inc. . . . . . . . . . . . . . . . . 297,827 26,369,604Alexion Pharmaceuticals, Inc. (a) . . . 48,794 5,277,071Amgen, Inc. . . . . . . . . . . . . . . . . . 133,256 32,124,024Incyte Corp. (a). . . . . . . . . . . . . . . 67,910 5,929,901Regeneron Pharmaceuticals, Inc. (a) . 20,347 7,639,891Vertex Pharmaceuticals, Inc. (a) . . . . 97,686 21,388,350

98,728,841

BUILDING PRODUCTS — 0.2%Allegion PLC . . . . . . . . . . . . . . . . 35,354 4,402,987Fortune Brands Home & Security,

Inc. . . . . . . . . . . . . . . . . . . . . 52,900 3,456,486Masco Corp. . . . . . . . . . . . . . . . . 107,928 5,179,465

13,038,938

CAPITAL MARKETS — 2.3%Ameriprise Financial, Inc. . . . . . . . . 31,714 5,282,918BlackRock, Inc. . . . . . . . . . . . . . . 22,900 11,511,830Cboe Global Markets, Inc. . . . . . . . . 42,144 5,057,280Charles Schwab Corp. . . . . . . . . . . 317,131 15,082,751CME Group, Inc.. . . . . . . . . . . . . . 69,500 13,950,040Intercontinental Exchange, Inc.. . . . . 116,377 10,770,691MarketAxess Holdings, Inc. . . . . . . . 14,396 5,457,668Moody’s Corp. . . . . . . . . . . . . . . . 61,715 14,651,758MSCI, Inc.. . . . . . . . . . . . . . . . . . 32,195 8,312,105


Nasdaq, Inc. . . . . . . . . . . . . . . . . . 20,452 $ 2,190,409S&P Global, Inc. . . . . . . . . . . . . . . 92,841 25,350,235T Rowe Price Group, Inc. . . . . . . . . 65,670 8,001,233

125,618,918

CHEMICALS — 2.0%Air Products & Chemicals, Inc.. . . . . 83,823 19,697,567Celanese Corp. . . . . . . . . . . . . . . . 45,970 5,659,826Dow, Inc.. . . . . . . . . . . . . . . . . . . 281,800 15,422,914Ecolab, Inc. . . . . . . . . . . . . . . . . . 48,636 9,386,262FMC Corp. . . . . . . . . . . . . . . . . . 49,269 4,918,031Linde PLC. . . . . . . . . . . . . . . . . . 144,899 30,848,997PPG Industries, Inc. . . . . . . . . . . . . 45,826 6,117,313Sherwin-Williams Co. . . . . . . . . . . 31,196 18,204,114

110,255,024


Cintas Corp.. . . . . . . . . . . . . . . . . 31,897 8,582,844Copart, Inc. (a) . . . . . . . . . . . . . . . 77,754 7,070,949Republic Services, Inc. . . . . . . . . . . 36,849 3,302,776Rollins, Inc. . . . . . . . . . . . . . . . . . 25,149 833,941Waste Management, Inc. . . . . . . . . . 85,975 9,797,711

29,588,221

COMMUNICATIONS EQUIPMENT — 0.3%Arista Networks, Inc. (a) . . . . . . . . . 20,597 4,189,430Motorola Solutions, Inc. . . . . . . . . . 65,147 10,497,787

14,687,217

CONSTRUCTION & ENGINEERING — 0.0%(b)

Quanta Services, Inc. . . . . . . . . . . . 24,277 988,317

CONSTRUCTION MATERIALS — 0.3%Martin Marietta Materials, Inc. . . . . . 23,712 6,630,824Vulcan Materials Co. . . . . . . . . . . . 50,308 7,243,849

13,874,673

CONSUMER FINANCE — 0.6%American Express Co. . . . . . . . . . . 152,109 18,936,049Discover Financial Services . . . . . . . 73,851 6,264,042Synchrony Financial . . . . . . . . . . . 225,900 8,134,659

33,334,750

CONTAINERS & PACKAGING — 0.2%Avery Dennison Corp. . . . . . . . . . . 22,539 2,948,552Ball Corp. . . . . . . . . . . . . . . . . . . 88,260 5,707,774

8,656,326

DISTRIBUTORS — 0.0% (b)LKQ Corp. (a) . . . . . . . . . . . . . . . 60,600 2,163,420

ELECTRIC UTILITIES — 0.4%NextEra Energy, Inc. . . . . . . . . . . . 98,409 23,830,723

ELECTRICAL EQUIPMENT — 0.4%AMETEK, Inc. . . . . . . . . . . . . . . . 86,857 8,663,117Emerson Electric Co. . . . . . . . . . . . 125,000 9,532,500

SPDR PORTFOLIO S&P 500 GROWTH ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Rockwell Automation, Inc. . . . . . . . 25,017 $ 5,070,196

23,265,813


Amphenol Corp. Class A. . . . . . . . . 112,706 12,198,170CDW Corp. . . . . . . . . . . . . . . . . . 54,644 7,805,349Corning, Inc. . . . . . . . . . . . . . . . . 137,377 3,999,045FLIR Systems, Inc. . . . . . . . . . . . . 24,500 1,275,715IPG Photonics Corp. (a) . . . . . . . . . 6,800 985,456Keysight Technologies, Inc. (a) . . . . . 71,338 7,321,419TE Connectivity, Ltd. . . . . . . . . . . . 63,600 6,095,424Zebra Technologies Corp. Class A (a) . 20,500 5,236,520

44,917,098

ENERGY EQUIPMENT & SERVICES — 0.0%(b)

National Oilwell Varco, Inc. . . . . . . . 45,500 1,139,775

ENTERTAINMENT — 2.4%Electronic Arts, Inc. (a). . . . . . . . . . 58,806 6,322,233Live Nation Entertainment, Inc. (a) . . 35,900 2,565,773Netflix, Inc. (a) . . . . . . . . . . . . . . . 166,558 53,893,172Take-Two Interactive Software, Inc.

(a) . . . . . . . . . . . . . . . . . . . . . 43,061 5,271,958Walt Disney Co. . . . . . . . . . . . . . . 417,856 60,434,514

128,487,650



American Tower Corp. REIT . . . . . . 168,345 38,689,048Boston Properties, Inc. REIT . . . . . . 24,068 3,318,015Crown Castle International Corp.

REIT . . . . . . . . . . . . . . . . . . . 91,696 13,034,587Duke Realty Corp. REIT. . . . . . . . . 82,380 2,856,115Equinix, Inc. REIT . . . . . . . . . . . . 32,386 18,903,708Essex Property Trust, Inc. REIT . . . . 12,540 3,772,784Extra Space Storage, Inc. REIT. . . . . 28,510 3,011,226Federal Realty Investment Trust

REIT . . . . . . . . . . . . . . . . . . . 11,201 1,441,905Healthpeak Properties, Inc. REIT . . . 88,339 3,045,045Mid-America Apartment

Communities, Inc. REIT . . . . . . . 19,483 2,569,028Prologis, Inc. REIT . . . . . . . . . . . . 136,900 12,203,266Public Storage REIT . . . . . . . . . . . 25,129 5,351,472Realty Income Corp. REIT . . . . . . . 55,719 4,102,590SBA Communications Corp. REIT . . 42,792 10,312,444Simon Property Group, Inc. REIT . . . 46,620 6,944,515UDR, Inc. REIT . . . . . . . . . . . . . . 52,369 2,445,632

135,814,668

FOOD & STAPLES RETAILING — 0.7%Costco Wholesale Corp. . . . . . . . . . 99,100 29,127,472Sysco Corp. . . . . . . . . . . . . . . . . . 87,289 7,466,701

36,594,173


FOOD PRODUCTS — 0.3%Campbell Soup Co. . . . . . . . . . . . . 28,200 $ 1,393,644Hershey Co. . . . . . . . . . . . . . . . . . 37,780 5,552,904Lamb Weston Holdings, Inc. . . . . . . 30,554 2,628,561McCormick & Co., Inc. . . . . . . . . . 23,918 4,059,602Tyson Foods, Inc. Class A . . . . . . . . 53,800 4,897,952

18,532,663


Abbott Laboratories . . . . . . . . . . . . 389,582 33,839,091ABIOMED, Inc. (a) . . . . . . . . . . . . 9,750 1,663,252Align Technology, Inc. (a) . . . . . . . . 27,287 7,614,164Baxter International, Inc.. . . . . . . . . 87,288 7,299,023Boston Scientific Corp. (a) . . . . . . . 312,522 14,132,245Cooper Cos., Inc. . . . . . . . . . . . . . 10,714 3,442,301Danaher Corp. . . . . . . . . . . . . . . . 155,524 23,869,824DENTSPLY SIRONA, Inc. . . . . . . . 44,800 2,535,232Edwards Lifesciences Corp. (a). . . . . 79,254 18,489,166Hologic, Inc. (a) . . . . . . . . . . . . . . 54,997 2,871,393IDEXX Laboratories, Inc. (a) . . . . . . 32,600 8,512,838Intuitive Surgical, Inc. (a) . . . . . . . . 43,945 25,978,087ResMed, Inc. . . . . . . . . . . . . . . . . 54,607 8,462,447STERIS PLC . . . . . . . . . . . . . . . . 17,400 2,652,108Stryker Corp. . . . . . . . . . . . . . . . . 80,695 16,941,108Teleflex, Inc. . . . . . . . . . . . . . . . . 17,625 6,634,755Varian Medical Systems, Inc. (a) . . . . 19,007 2,699,184

187,636,218


WellCare Health Plans, Inc. (a) . . . . . 19,125 6,315,266

HEALTH CARE TECHNOLOGY — 0.1%Cerner Corp. . . . . . . . . . . . . . . . . 75,230 5,521,130


Chipotle Mexican Grill, Inc. (a) . . . . 9,762 8,171,868Darden Restaurants, Inc. . . . . . . . . . 21,475 2,340,990Hilton Worldwide Holdings, Inc. . . . . 107,188 11,888,221Las Vegas Sands Corp. . . . . . . . . . . 73,242 5,056,628Marriott International, Inc. Class A . . 103,107 15,613,493McDonald’s Corp. . . . . . . . . . . . . . 125,980 24,894,908MGM Resorts International . . . . . . . 119,377 3,971,673Starbucks Corp. . . . . . . . . . . . . . . 448,862 39,463,947Wynn Resorts, Ltd. . . . . . . . . . . . . 36,700 5,096,529Yum! Brands, Inc. . . . . . . . . . . . . . 114,957 11,579,618

128,077,875

HOUSEHOLD DURABLES — 0.4%D.R. Horton, Inc.. . . . . . . . . . . . . . 127,400 6,720,350Garmin, Ltd. . . . . . . . . . . . . . . . . 54,887 5,354,776Leggett & Platt, Inc.. . . . . . . . . . . . 33,000 1,677,390NVR, Inc. (a) . . . . . . . . . . . . . . . . 1,320 5,027,101PulteGroup, Inc. . . . . . . . . . . . . . . 96,800 3,755,840

22,535,457

SPDR PORTFOLIO S&P 500 GROWTH ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



HOUSEHOLD PRODUCTS — 1.7%Church & Dwight Co., Inc. . . . . . . . 50,360 $ 3,542,323Colgate-Palmolive Co. . . . . . . . . . . 146,575 10,090,223Kimberly-Clark Corp. . . . . . . . . . . 63,855 8,783,255Procter & Gamble Co. . . . . . . . . . . 549,670 68,653,783

91,069,584

INDEPENDENT POWER & RENEWABLEELECTRICITY PRODUCERS — 0.1%

NRG Energy, Inc. . . . . . . . . . . . . . 95,576 3,799,146

INDUSTRIAL CONGLOMERATES — 0.7%Honeywell International, Inc. . . . . . . 124,870 22,101,990Roper Technologies, Inc. . . . . . . . . . 39,502 13,992,794

36,094,784

INSURANCE — 0.8%Aon PLC. . . . . . . . . . . . . . . . . . . 56,040 11,672,572Arthur J Gallagher & Co. . . . . . . . . 36,141 3,441,707Cincinnati Financial Corp. . . . . . . . . 26,557 2,792,468Marsh & McLennan Cos., Inc. . . . . . 116,960 13,030,514Progressive Corp. . . . . . . . . . . . . . 135,523 9,810,510Willis Towers Watson PLC. . . . . . . . 23,500 4,745,590

45,493,361

INTERACTIVE MEDIA & SERVICES — 9.1%Alphabet, Inc. Class A (a) . . . . . . . . 113,840 152,476,158Alphabet, Inc. Class C (a) . . . . . . . . 113,627 151,921,571Facebook, Inc. Class A (a) . . . . . . . . 914,579 187,717,340

492,115,069


Amazon.com, Inc. (a) . . . . . . . . . . . 158,324 292,557,420Booking Holdings, Inc. (a). . . . . . . . 15,905 32,664,576eBay, Inc. . . . . . . . . . . . . . . . . . . 290,667 10,495,985

335,717,981

IT SERVICES — 7.4%Accenture PLC Class A . . . . . . . . . 152,046 32,016,326Akamai Technologies, Inc. (a) . . . . . 44,248 3,822,142Automatic Data Processing, Inc. . . . . 101,927 17,378,554Broadridge Financial Solutions, Inc. . 30,530 3,771,676Fiserv, Inc. (a) . . . . . . . . . . . . . . . 217,019 25,093,907FleetCor Technologies, Inc. (a) . . . . . 32,969 9,485,841Gartner, Inc. (a) . . . . . . . . . . . . . . 33,990 5,237,859Global Payments, Inc.. . . . . . . . . . . 55,941 10,212,589Jack Henry & Associates, Inc. . . . . . 16,172 2,355,775Leidos Holdings, Inc. . . . . . . . . . . . 25,258 2,472,506Mastercard, Inc. Class A . . . . . . . . . 337,793 100,861,612Paychex, Inc. . . . . . . . . . . . . . . . . 81,088 6,897,345PayPal Holdings, Inc. (a) . . . . . . . . . 446,232 48,268,915VeriSign, Inc. (a) . . . . . . . . . . . . . . 20,848 4,016,993Visa, Inc. Class A . . . . . . . . . . . . . 651,327 122,384,343Western Union Co. (c) . . . . . . . . . . 159,357 4,267,581

398,543,964



Agilent Technologies, Inc. . . . . . . . . 66,998 $ 5,715,599Illumina, Inc. (a) . . . . . . . . . . . . . . 33,566 11,135,185IQVIA Holdings, Inc. (a) . . . . . . . . 47,342 7,314,812Mettler-Toledo International, Inc. (a) . 5,791 4,593,885PerkinElmer, Inc. . . . . . . . . . . . . . 24,043 2,334,575Thermo Fisher Scientific, Inc. . . . . . 152,422 49,517,335Waters Corp. (a) . . . . . . . . . . . . . . 15,167 3,543,770

84,155,161

MACHINERY — 1.5%Caterpillar, Inc.. . . . . . . . . . . . . . . 123,900 18,297,552Cummins, Inc. . . . . . . . . . . . . . . . 36,700 6,567,832Deere & Co.. . . . . . . . . . . . . . . . . 70,577 12,228,171Dover Corp. . . . . . . . . . . . . . . . . . 32,600 3,757,476IDEX Corp. . . . . . . . . . . . . . . . . . 16,434 2,826,648Illinois Tool Works, Inc. . . . . . . . . . 67,773 12,174,064Ingersoll-Rand PLC . . . . . . . . . . . . 56,472 7,506,258PACCAR, Inc. . . . . . . . . . . . . . . . 131,400 10,393,740Parker-Hannifin Corp. . . . . . . . . . . 26,900 5,536,558Xylem, Inc. . . . . . . . . . . . . . . . . . 40,381 3,181,619

82,469,918

MEDIA — 1.3%Charter Communications, Inc.

Class A (a) . . . . . . . . . . . . . . . . 59,591 28,906,402Comcast Corp. Class A . . . . . . . . . . 966,223 43,451,049

72,357,451

METALS & MINING — 0.1%Freeport-McMoRan, Inc.. . . . . . . . . 293,212 3,846,941

MULTI-UTILITIES — 0.1%Sempra Energy . . . . . . . . . . . . . . . 48,200 7,301,336

MULTILINE RETAIL — 0.6%Dollar General Corp. . . . . . . . . . . . 96,742 15,089,817Target Corp.. . . . . . . . . . . . . . . . . 123,300 15,808,293

30,898,110

OIL, GAS & CONSUMABLE FUELS — 1.2%Apache Corp. . . . . . . . . . . . . . . . . 88,553 2,266,071Cabot Oil & Gas Corp. . . . . . . . . . . 97,634 1,699,808Cimarex Energy Co.. . . . . . . . . . . . 20,876 1,095,781ConocoPhillips . . . . . . . . . . . . . . . 416,954 27,114,519EOG Resources, Inc. . . . . . . . . . . . 110,500 9,255,480Hess Corp.. . . . . . . . . . . . . . . . . . 98,452 6,577,578Phillips 66 . . . . . . . . . . . . . . . . . . 84,400 9,403,004Pioneer Natural Resources Co. . . . . . 39,000 5,903,430

63,315,671

PERSONAL PRODUCTS — 0.3%Coty, Inc. Class A . . . . . . . . . . . . . 52,800 594,000Estee Lauder Cos., Inc. Class A . . . . 84,618 17,477,002

18,071,002

PHARMACEUTICALS — 3.5%Bristol-Myers Squibb Co. . . . . . . . . 490,045 31,455,988Eli Lilly & Co. . . . . . . . . . . . . . . . 176,595 23,209,881




Johnson & Johnson . . . . . . . . . . . . 420,079 $ 61,276,924Merck & Co., Inc. . . . . . . . . . . . . . 532,139 48,398,042Zoetis, Inc. . . . . . . . . . . . . . . . . . 181,000 23,955,350

188,296,185

PROFESSIONAL SERVICES — 0.4%Equifax, Inc. . . . . . . . . . . . . . . . . 27,595 3,866,611IHS Markit, Ltd. (a) . . . . . . . . . . . . 111,262 8,383,592Verisk Analytics, Inc. . . . . . . . . . . . 42,982 6,418,932

18,669,135


CBRE Group, Inc. Class A (a) . . . . . 127,200 7,796,088

ROAD & RAIL — 1.2%CSX Corp.. . . . . . . . . . . . . . . . . . 147,750 10,691,190JB Hunt Transport Services, Inc. . . . . 19,160 2,237,505Kansas City Southern . . . . . . . . . . . 37,637 5,764,483Norfolk Southern Corp. . . . . . . . . . 53,537 10,393,138Old Dominion Freight Line, Inc. . . . . 24,234 4,599,128Union Pacific Corp. . . . . . . . . . . . . 163,581 29,573,809

63,259,253


Advanced Micro Devices, Inc. (a) . . . 423,202 19,408,044Analog Devices, Inc. . . . . . . . . . . . 139,983 16,635,580Applied Materials, Inc. . . . . . . . . . . 351,100 21,431,144Broadcom, Inc. . . . . . . . . . . . . . . . 150,789 47,652,340Intel Corp. . . . . . . . . . . . . . . . . . . 942,280 56,395,458KLA Corp. . . . . . . . . . . . . . . . . . 59,966 10,684,142Lam Research Corp. . . . . . . . . . . . 55,077 16,104,515Maxim Integrated Products, Inc. . . . . 45,225 2,781,790Microchip Technology, Inc. (c) . . . . . 90,828 9,511,508Micron Technology, Inc. (a) . . . . . . . 420,700 22,625,246NVIDIA Corp. . . . . . . . . . . . . . . . 232,637 54,739,486Qorvo, Inc. (a) . . . . . . . . . . . . . . . 44,200 5,137,366QUALCOMM, Inc. . . . . . . . . . . . . 433,929 38,285,555Skyworks Solutions, Inc. . . . . . . . . . 37,527 4,536,264Texas Instruments, Inc. . . . . . . . . . . 220,229 28,253,178Xilinx, Inc. . . . . . . . . . . . . . . . . . 59,269 5,794,730

359,976,346

SOFTWARE — 12.9%Adobe, Inc. (a) . . . . . . . . . . . . . . . 183,954 60,669,869ANSYS, Inc. (a) . . . . . . . . . . . . . . 32,476 8,359,647Autodesk, Inc. (a) . . . . . . . . . . . . . 83,666 15,349,364Cadence Design Systems, Inc. (a) . . . 106,667 7,398,423Citrix Systems, Inc. . . . . . . . . . . . . 24,224 2,686,442Fortinet, Inc. (a) . . . . . . . . . . . . . . 53,935 5,758,101Intuit, Inc. . . . . . . . . . . . . . . . . . . 98,962 25,921,117Microsoft Corp. . . . . . . . . . . . . . . 2,899,218 457,206,679NortonLifeLock, Inc. . . . . . . . . . . . 135,100 3,447,752Oracle Corp. . . . . . . . . . . . . . . . . 491,937 26,062,822salesforce.com, Inc. (a) . . . . . . . . . . 337,057 54,818,950ServiceNow, Inc. (a). . . . . . . . . . . . 71,660 20,231,051


Synopsys, Inc. (a) . . . . . . . . . . . . . 57,115 $ 7,950,408

695,860,625

SPECIALTY RETAIL — 3.2%AutoZone, Inc. (a) . . . . . . . . . . . . . 9,050 10,781,355CarMax, Inc. (a) . . . . . . . . . . . . . . 62,493 5,478,761Home Depot, Inc. . . . . . . . . . . . . . 294,391 64,289,106Lowe’s Cos., Inc. . . . . . . . . . . . . . 192,209 23,018,950O’Reilly Automotive, Inc. (a) . . . . . . 28,754 12,601,728Ross Stores, Inc. . . . . . . . . . . . . . . 137,505 16,008,332Tiffany & Co. . . . . . . . . . . . . . . . . 41,075 5,489,674TJX Cos., Inc. . . . . . . . . . . . . . . . 460,895 28,142,249Tractor Supply Co. . . . . . . . . . . . . 22,038 2,059,231Ulta Salon Cosmetics & Fragrance,

Inc. (a) . . . . . . . . . . . . . . . . . . 11,991 3,035,402

170,904,788


Apple, Inc.. . . . . . . . . . . . . . . . . . 1,587,254 466,097,137NetApp, Inc. . . . . . . . . . . . . . . . . 39,852 2,480,787Seagate Technology PLC. . . . . . . . . 52,732 3,137,554Xerox Holdings Corp. . . . . . . . . . . 70,700 2,606,709

474,322,187


NIKE, Inc. Class B . . . . . . . . . . . . 317,236 32,139,179VF Corp.. . . . . . . . . . . . . . . . . . . 65,952 6,572,777

38,711,956


35,953,349


Fastenal Co. . . . . . . . . . . . . . . . . . 152,548 5,636,648United Rentals, Inc. (a) . . . . . . . . . . 28,518 4,755,947

10,392,595




Reserves Fund, Premier Class1.73% (d) (e). . . . . . . . . . . . . 6,742,727 6,743,402




State Street Navigator SecuritiesLending Portfolio II (f) (g) . . . . 4,499,888 $ 4,499,888



LIABILITIES IN EXCESS OF OTHERASSETS — (0.0)% (b). . . . . . . . . . . . . . . . . (651,170)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 5,395,696,609

(a) Non-income producing security.

(b) Amount is less than 0.05% of net assets.(c) All or a portion of the shares of the security are on loan at

December 31, 2019.(d) The Fund invested in certain money market funds managed by


(e) The rate shown is the annualized seven-day yield at December 31,2019.

(f) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(g) Investment of cash collateral for securities loaned.




Quoted Prices







Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund, PremierClass . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ — $ 67,210,799 $ 60,467,333 $(64) $— 6,742,727 $ 6,743,402 $48,653

State Street Institutional U.S. Government MoneyMarket Fund, Class G Shares . . . . . . . . . . . . . . 2,566,431 2,566,431 32,586,508 35,152,939 — — — — 18,823

State Street Navigator Securities Lending Portfolio II. . . — — 11,874,638 7,374,750 — — 4,499,888 4,499,888 1,433

State Street Navigator Securities Lending Portfolio III . . — — 6,028,174 6,028,174 — — — — 729

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,566,431 $117,700,119 $109,023,196 $(64) $— $11,243,290 $69,638




COMMON STOCKS — 99.6%AUTOMOBILES — 3.5%Ford Motor Co. . . . . . . . . . . . . . . . 2,548,429 $ 23,700,390General Motors Co. . . . . . . . . . . . . 644,041 23,571,901Harley-Davidson, Inc.. . . . . . . . . . . 737,466 27,426,360

74,698,651

BANKS — 5.2%Huntington Bancshares, Inc. . . . . . . 1,835,525 27,679,717KeyCorp . . . . . . . . . . . . . . . . . . . 1,427,346 28,889,483People’s United Financial, Inc. . . . . . 1,580,909 26,717,362Regions Financial Corp. . . . . . . . . . 1,650,231 28,317,964

111,604,526

BEVERAGES — 1.2%Molson Coors Brewing Co. Class B . . 464,697 25,047,168

BIOTECHNOLOGY — 1.6%AbbVie, Inc. . . . . . . . . . . . . . . . . 390,191 34,547,511

CAPITAL MARKETS — 1.1%Invesco, Ltd. . . . . . . . . . . . . . . . . 1,312,552 23,599,685

CHEMICALS — 2.6%Dow, Inc.. . . . . . . . . . . . . . . . . . . 498,653 27,291,279LyondellBasell Industries NV

Class A . . . . . . . . . . . . . . . . . . 304,729 28,790,796

56,082,075

CONTAINERS & PACKAGING — 2.7%International Paper Co. . . . . . . . . . . 596,625 27,474,581Westrock Co. . . . . . . . . . . . . . . . . 712,997 30,594,702

58,069,283


H&R Block, Inc. (a). . . . . . . . . . . . 940,541 22,083,903


AT&T, Inc. . . . . . . . . . . . . . . . . . 791,949 30,949,367CenturyLink, Inc. . . . . . . . . . . . . . 2,294,645 30,312,261Verizon Communications, Inc. . . . . . 468,626 28,773,636

90,035,264

ELECTRIC UTILITIES — 8.1%Duke Energy Corp. . . . . . . . . . . . . 301,933 27,539,309Edison International . . . . . . . . . . . . 369,269 27,846,575Entergy Corp.. . . . . . . . . . . . . . . . 251,440 30,122,512FirstEnergy Corp. . . . . . . . . . . . . . 603,356 29,323,102PPL Corp. . . . . . . . . . . . . . . . . . . 865,179 31,042,622Southern Co. . . . . . . . . . . . . . . . . 471,473 30,032,830

175,906,950

ELECTRICAL EQUIPMENT — 1.4%Eaton Corp. PLC. . . . . . . . . . . . . . 317,048 30,030,787

ENERGY EQUIPMENT & SERVICES — 2.3%Helmerich & Payne, Inc. . . . . . . . . . 517,320 23,501,848Schlumberger, Ltd. . . . . . . . . . . . . 652,735 26,239,947

49,741,795



Crown Castle International Corp.REIT . . . . . . . . . . . . . . . . . . . 203,746 $ 28,962,494

Digital Realty Trust, Inc. REIT (a). . . 223,967 26,817,809Healthpeak Properties, Inc. REIT . . . 823,808 28,396,662Host Hotels & Resorts, Inc. REIT . . . 1,474,592 27,353,682Iron Mountain, Inc. REIT (a) . . . . . . 869,527 27,711,825Kimco Realty Corp. REIT . . . . . . . . 1,400,056 28,995,160Realty Income Corp. REIT . . . . . . . 379,783 27,963,422Regency Centers Corp. REIT . . . . . . 397,928 25,105,278Simon Property Group, Inc. REIT . . . 165,401 24,638,133SL Green Realty Corp. REIT . . . . . . 320,880 29,482,454Ventas, Inc. REIT . . . . . . . . . . . . . 387,868 22,395,498Vornado Realty Trust REIT . . . . . . . 412,015 27,398,997Welltower, Inc. REIT . . . . . . . . . . . 316,875 25,914,038Weyerhaeuser Co. REIT . . . . . . . . . 1,027,111 31,018,752

382,154,204

FOOD PRODUCTS — 5.4%Campbell Soup Co. . . . . . . . . . . . . 647,437 31,996,337General Mills, Inc.. . . . . . . . . . . . . 498,192 26,683,163Kellogg Co. . . . . . . . . . . . . . . . . . 450,287 31,141,849Kraft Heinz Co. . . . . . . . . . . . . . . 820,796 26,372,175

116,193,524


Cardinal Health, Inc. . . . . . . . . . . . 586,187 29,649,338


Carnival Corp. . . . . . . . . . . . . . . . 558,599 28,393,587

HOUSEHOLD DURABLES — 3.2%Leggett & Platt, Inc.. . . . . . . . . . . . 662,854 33,692,869Newell Brands, Inc. . . . . . . . . . . . . 1,829,256 35,158,300

68,851,169

INSURANCE — 3.4%MetLife, Inc. . . . . . . . . . . . . . . . . 522,621 26,637,992Principal Financial Group, Inc. . . . . . 434,569 23,901,295Prudential Financial, Inc.. . . . . . . . . 256,739 24,066,714

74,606,001

IT SERVICES — 2.6%International Business Machines

Corp. . . . . . . . . . . . . . . . . . . . 175,453 23,517,720Western Union Co. (a) . . . . . . . . . . 1,260,703 33,761,626

57,279,346

MEDIA — 1.2%Interpublic Group of Cos., Inc. . . . . . 1,156,049 26,704,732

MULTI-UTILITIES — 2.5%CenterPoint Energy, Inc. . . . . . . . . . 925,978 25,251,420Dominion Energy, Inc. . . . . . . . . . . 350,130 28,997,767

54,249,187

MULTILINE RETAIL — 3.7%Kohl’s Corp. . . . . . . . . . . . . . . . . 509,972 25,983,073

SPDR PORTFOLIO S&P 500 HIGH DIVIDEND ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



Macy’s, Inc. (a). . . . . . . . . . . . . . . 1,132,564 $ 19,253,588Nordstrom, Inc. (a) . . . . . . . . . . . . 876,801 35,887,465

81,124,126

OIL, GAS & CONSUMABLE FUELS — 9.5%Chevron Corp. . . . . . . . . . . . . . . . 208,023 25,068,852Exxon Mobil Corp. . . . . . . . . . . . . 349,273 24,372,270Kinder Morgan, Inc.. . . . . . . . . . . . 1,274,695 26,985,293Occidental Petroleum Corp. . . . . . . . 505,944 20,849,952ONEOK, Inc. . . . . . . . . . . . . . . . . 384,609 29,103,363Phillips 66 . . . . . . . . . . . . . . . . . . 256,991 28,631,368Valero Energy Corp. . . . . . . . . . . . 304,397 28,506,779Williams Cos., Inc. . . . . . . . . . . . . 978,632 23,213,151

206,731,028

PERSONAL PRODUCTS — 1.2%Coty, Inc. Class A . . . . . . . . . . . . . 2,390,705 26,895,431

PROFESSIONAL SERVICES — 1.0%Nielsen Holdings PLC . . . . . . . . . . 1,106,386 22,459,636


Broadcom, Inc. . . . . . . . . . . . . . . . 86,637 27,379,025

SPECIALTY RETAIL — 2.0%Gap, Inc. . . . . . . . . . . . . . . . . . . . 1,362,531 24,089,548L Brands, Inc.. . . . . . . . . . . . . . . . 1,018,828 18,461,163

42,550,711


Seagate Technology PLC. . . . . . . . . 536,185 31,903,008Western Digital Corp.. . . . . . . . . . . 457,239 29,020,959

60,923,967


Hanesbrands, Inc. . . . . . . . . . . . . . 1,589,765 23,608,010Tapestry, Inc. . . . . . . . . . . . . . . . . 854,938 23,057,678

46,665,688


TOBACCO — 2.4%Altria Group, Inc. . . . . . . . . . . . . . 528,790 $ 26,391,909Philip Morris International, Inc. . . . . 309,625 26,345,991

52,737,900



Reserves Fund, Premier Class1.73% (b) (c). . . . . . . . . . . . . 3,774,274 3,774,652

State Street Navigator SecuritiesLending Portfolio II (d) (e) . . . . 6,893,709 6,893,709




NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 2,165,264,489

(a) All or a portion of the shares of the security are on loan atDecember 31, 2019.

(b) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(c) The rate shown is the annualized seven-day yield at December 31,2019.

(d) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(e) Investment of cash collateral for securities loaned.




Quoted Prices







SPDR PORTFOLIO S&P 500 HIGH DIVIDEND ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)


Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund, PremierClass . . . . . . . . . . . . . . . . . . . . . . . . . . . — $ — $ 78,923,555 $ 75,148,645 $(265) $ 7 3,774,274 $ 3,774,652 $17,827



State Street Navigator Securities Lending Portfolio III . . 19,250 19,250 124,559,853 124,579,103 — — — — 33,929

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,078,009 $328,465,903 $320,875,293 $(265) $ 7 $10,668,361 $81,521

SPDR PORTFOLIO S&P 500 HIGH DIVIDEND ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 1.9%Arconic, Inc. . . . . . . . . . . . . . . . . 77,033 $ 2,370,306Boeing Co. . . . . . . . . . . . . . . . . . 118,480 38,596,045General Dynamics Corp. . . . . . . . . . 93,176 16,431,588Huntington Ingalls Industries, Inc. . . . 6,664 1,671,864Raytheon Co. . . . . . . . . . . . . . . . . 44,299 9,734,262Textron, Inc.. . . . . . . . . . . . . . . . . 90,779 4,048,743United Technologies Corp.. . . . . . . . 151,630 22,708,109

95,560,917

AIR FREIGHT & LOGISTICS — 0.8%C.H. Robinson Worldwide, Inc.. . . . . 53,771 4,204,892Expeditors International of

Washington, Inc. . . . . . . . . . . . . 32,491 2,534,948FedEx Corp.. . . . . . . . . . . . . . . . . 95,379 14,422,259United Parcel Service, Inc. Class B . . 153,232 17,937,338

39,099,437

AIRLINES — 0.8%Alaska Air Group, Inc. . . . . . . . . . . 48,987 3,318,869American Airlines Group, Inc. (a) . . . 154,973 4,444,626Delta Air Lines, Inc.. . . . . . . . . . . . 228,823 13,381,569Southwest Airlines Co. . . . . . . . . . . 188,322 10,165,621United Airlines Holdings, Inc. (b) . . . 86,485 7,618,464

38,929,149

AUTO COMPONENTS — 0.3%Aptiv PLC . . . . . . . . . . . . . . . . . . 101,497 9,639,170BorgWarner, Inc. . . . . . . . . . . . . . . 82,126 3,562,626

13,201,796

AUTOMOBILES — 0.7%Ford Motor Co. . . . . . . . . . . . . . . . 1,548,240 14,398,632General Motors Co. . . . . . . . . . . . . 499,882 18,295,681Harley-Davidson, Inc.. . . . . . . . . . . 61,390 2,283,094

34,977,407

BANKS — 10.1%Bank of America Corp. . . . . . . . . . . 3,211,339 113,103,360Citigroup, Inc. . . . . . . . . . . . . . . . 865,269 69,126,340Citizens Financial Group, Inc. . . . . . 172,809 7,017,773Comerica, Inc. . . . . . . . . . . . . . . . 57,355 4,115,221Fifth Third Bancorp . . . . . . . . . . . . 282,127 8,672,584First Republic Bank . . . . . . . . . . . . 34,172 4,013,501Huntington Bancshares, Inc. . . . . . . 410,547 6,191,049JPMorgan Chase & Co.. . . . . . . . . . 646,787 90,162,108KeyCorp . . . . . . . . . . . . . . . . . . . 391,629 7,926,571M&T Bank Corp. . . . . . . . . . . . . . 52,446 8,902,709People’s United Financial, Inc. . . . . . 176,614 2,984,777PNC Financial Services Group, Inc. . . 174,168 27,802,438Regions Financial Corp. . . . . . . . . . 383,515 6,581,117SVB Financial Group (b). . . . . . . . . 7,443 1,868,491Truist Financial Corp.. . . . . . . . . . . 533,224 30,031,176US Bancorp . . . . . . . . . . . . . . . . . 562,711 33,363,135Wells Fargo & Co. . . . . . . . . . . . . . 1,525,963 82,096,809


Zions Bancorp NA. . . . . . . . . . . . . 67,828 $ 3,521,630

507,480,789

BEVERAGES — 2.2%Coca-Cola Co. . . . . . . . . . . . . . . . 916,267 50,715,379Constellation Brands, Inc. Class A. . . 66,563 12,630,329Molson Coors Brewing Co. Class B . . 74,650 4,023,635Monster Beverage Corp. (b) . . . . . . . 50,131 3,185,825PepsiCo, Inc. . . . . . . . . . . . . . . . . 287,249 39,258,321

109,813,489

BIOTECHNOLOGY — 2.2%AbbVie, Inc. . . . . . . . . . . . . . . . . 276,360 24,468,914Alexion Pharmaceuticals, Inc. (b) . . . 36,953 3,996,467Amgen, Inc. . . . . . . . . . . . . . . . . . 96,859 23,349,799Biogen, Inc. (b). . . . . . . . . . . . . . . 71,745 21,288,894Gilead Sciences, Inc. . . . . . . . . . . . 500,923 32,549,976Regeneron Pharmaceuticals, Inc. (b) . 10,545 3,959,437

109,613,487

BUILDING PRODUCTS — 0.3%AO Smith Corp. . . . . . . . . . . . . . . 54,507 2,596,714Johnson Controls International PLC. . 306,727 12,486,856

15,083,570

CAPITAL MARKETS — 3.1%Ameriprise Financial, Inc. . . . . . . . . 17,647 2,939,637Bank of New York Mellon Corp. . . . . 333,655 16,792,856BlackRock, Inc. . . . . . . . . . . . . . . 22,979 11,551,543Charles Schwab Corp. . . . . . . . . . . 122,775 5,839,179CME Group, Inc.. . . . . . . . . . . . . . 69,818 14,013,869E*TRADE Financial Corp. . . . . . . . 89,842 4,076,132Franklin Resources, Inc. . . . . . . . . . 110,904 2,881,286Goldman Sachs Group, Inc. . . . . . . . 126,664 29,123,853Intercontinental Exchange, Inc.. . . . . 99,635 9,221,219Invesco, Ltd. . . . . . . . . . . . . . . . . 148,022 2,661,436Morgan Stanley . . . . . . . . . . . . . . 489,134 25,004,530Nasdaq, Inc. . . . . . . . . . . . . . . . . . 24,157 2,587,215Northern Trust Corp. . . . . . . . . . . . 84,267 8,952,526Raymond James Financial, Inc. . . . . . 49,120 4,394,275State Street Corp. (c) . . . . . . . . . . . 144,537 11,432,877T Rowe Price Group, Inc. . . . . . . . . 24,100 2,936,344

154,408,777

CHEMICALS — 1.7%Albemarle Corp. . . . . . . . . . . . . . . 42,220 3,083,749CF Industries Holdings, Inc.. . . . . . . 86,422 4,125,786Corteva, Inc. . . . . . . . . . . . . . . . . 297,564 8,795,992DuPont de Nemours, Inc. . . . . . . . . 294,477 18,905,423Eastman Chemical Co. . . . . . . . . . . 54,084 4,286,698Ecolab, Inc. . . . . . . . . . . . . . . . . . 48,877 9,432,772International Flavors & Fragrances,

Inc. (a) . . . . . . . . . . . . . . . . . . 42,484 5,481,286Linde PLC. . . . . . . . . . . . . . . . . . 61,915 13,181,704LyondellBasell Industries NV

Class A . . . . . . . . . . . . . . . . . . 102,059 9,642,534Mosaic Co. . . . . . . . . . . . . . . . . . 138,979 3,007,506

SPDR PORTFOLIO S&P 500 VALUE ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)



PPG Industries, Inc. . . . . . . . . . . . . 46,033 $ 6,144,945

86,088,395


Republic Services, Inc. . . . . . . . . . . 45,265 4,057,102Rollins, Inc. . . . . . . . . . . . . . . . . . 29,610 981,868Waste Management, Inc. . . . . . . . . . 65,163 7,425,975

12,464,945

COMMUNICATIONS EQUIPMENT — 1.7%Cisco Systems, Inc. . . . . . . . . . . . . 1,681,944 80,666,035F5 Networks, Inc. (b) . . . . . . . . . . . 24,148 3,372,268Juniper Networks, Inc. . . . . . . . . . . 133,032 3,276,578

87,314,881

CONSTRUCTION & ENGINEERING — 0.1%Jacobs Engineering Group, Inc. . . . . 53,841 4,836,537Quanta Services, Inc. . . . . . . . . . . . 31,173 1,269,053

6,105,590

CONSUMER FINANCE — 0.7%American Express Co. . . . . . . . . . . 106,690 13,281,838Capital One Financial Corp.. . . . . . . 185,214 19,060,373Discover Financial Services . . . . . . . 47,408 4,021,146

36,363,357

CONTAINERS & PACKAGING — 0.6%Amcor PLC . . . . . . . . . . . . . . . . . 644,127 6,982,337Avery Dennison Corp. . . . . . . . . . . 9,584 1,253,779Ball Corp. . . . . . . . . . . . . . . . . . . 37,745 2,440,969International Paper Co. . . . . . . . . . . 155,948 7,181,405Packaging Corp. of America . . . . . . 37,669 4,218,551Sealed Air Corp. . . . . . . . . . . . . . . 61,431 2,446,797Westrock Co. . . . . . . . . . . . . . . . . 102,533 4,399,691

28,923,529

DISTRIBUTORS — 0.2%Genuine Parts Co. . . . . . . . . . . . . . 57,752 6,134,995LKQ Corp. (b) . . . . . . . . . . . . . . . 58,522 2,089,235

8,224,230

DIVERSIFIED CONSUMER SERVICES —0.0% (d)

H&R Block, Inc. . . . . . . . . . . . . . . 77,659 1,823,433


Berkshire Hathaway, Inc. Class B (b) . 776,293 175,830,364


AT&T, Inc. . . . . . . . . . . . . . . . . . 2,897,754 113,244,226CenturyLink, Inc. . . . . . . . . . . . . . 390,145 5,153,815Verizon Communications, Inc. . . . . . 1,640,329 100,716,201

219,114,242

ELECTRIC UTILITIES — 3.8%Alliant Energy Corp. . . . . . . . . . . . 95,624 5,232,545American Electric Power Co., Inc. . . . 196,423 18,563,938Duke Energy Corp. . . . . . . . . . . . . 289,843 26,436,580


Edison International . . . . . . . . . . . . 142,536 $ 10,748,640Entergy Corp.. . . . . . . . . . . . . . . . 79,185 9,486,363Evergy, Inc. . . . . . . . . . . . . . . . . . 90,603 5,897,349Eversource Energy. . . . . . . . . . . . . 128,668 10,945,787Exelon Corp. . . . . . . . . . . . . . . . . 386,560 17,623,270FirstEnergy Corp. . . . . . . . . . . . . . 214,850 10,441,710NextEra Energy, Inc. . . . . . . . . . . . 91,292 22,107,271Pinnacle West Capital Corp.. . . . . . . 44,696 4,019,511PPL Corp. . . . . . . . . . . . . . . . . . . 287,485 10,314,962Southern Co. . . . . . . . . . . . . . . . . 416,885 26,555,575Xcel Energy, Inc.. . . . . . . . . . . . . . 208,441 13,233,919

191,607,420

ELECTRICAL EQUIPMENT — 0.6%Eaton Corp. PLC. . . . . . . . . . . . . . 164,381 15,570,168Emerson Electric Co. . . . . . . . . . . . 111,363 8,492,542Rockwell Automation, Inc. . . . . . . . 19,750 4,002,733

28,065,443


Corning, Inc. . . . . . . . . . . . . . . . . 162,065 4,717,712FLIR Systems, Inc. . . . . . . . . . . . . 27,721 1,443,432IPG Photonics Corp. (b) . . . . . . . . . 7,022 1,017,628TE Connectivity, Ltd. . . . . . . . . . . . 66,440 6,367,610

13,546,382

ENERGY EQUIPMENT & SERVICES — 0.9%Baker Hughes Co. . . . . . . . . . . . . . 258,371 6,622,049Halliburton Co.. . . . . . . . . . . . . . . 349,037 8,540,935Helmerich & Payne, Inc. . . . . . . . . . 43,123 1,959,078National Oilwell Varco, Inc. . . . . . . . 105,810 2,650,541Schlumberger, Ltd. . . . . . . . . . . . . 550,449 22,128,050TechnipFMC PLC . . . . . . . . . . . . . 167,101 3,582,645

45,483,298

ENTERTAINMENT — 1.3%Activision Blizzard, Inc. . . . . . . . . . 305,467 18,150,849Electronic Arts, Inc. (b). . . . . . . . . . 54,579 5,867,788Live Nation Entertainment, Inc. (b) . . 18,486 1,321,195Walt Disney Co. . . . . . . . . . . . . . . 278,451 40,272,368

65,612,200



Apartment Investment &Management Co. Class A REIT. . . 59,201 3,057,732

AvalonBay Communities, Inc. REIT . 55,485 11,635,204Boston Properties, Inc. REIT . . . . . . 31,987 4,409,728Crown Castle International Corp.

REIT . . . . . . . . . . . . . . . . . . . 69,373 9,861,372Digital Realty Trust, Inc. REIT (a). . . 82,940 9,931,236Duke Realty Corp. REIT. . . . . . . . . 59,347 2,057,560Equity Residential REIT . . . . . . . . . 138,773 11,229,511Essex Property Trust, Inc. REIT . . . . 13,191 3,968,644Extra Space Storage, Inc. REIT. . . . . 21,480 2,268,718

SPDR PORTFOLIO S&P 500 VALUE ETFSCHEDULE OF INVESTMENTS (continued)December 31, 2019 (Unaudited)



Federal Realty Investment TrustREIT . . . . . . . . . . . . . . . . . . . 16,235 $ 2,089,932

Healthpeak Properties, Inc. REIT . . . 104,270 3,594,187Host Hotels & Resorts, Inc. REIT . . . 285,097 5,288,549Iron Mountain, Inc. REIT (a) . . . . . . 114,140 3,637,642Kimco Realty Corp. REIT . . . . . . . . 167,919 3,477,602Mid-America Apartment

Communities, Inc. REIT . . . . . . . 25,045 3,302,434Prologis, Inc. REIT . . . . . . . . . . . . 107,974 9,624,802Public Storage REIT . . . . . . . . . . . 33,472 7,128,197Realty Income Corp. REIT . . . . . . . 71,252 5,246,285Regency Centers Corp. REIT . . . . . . 66,606 4,202,173Simon Property Group, Inc. REIT . . . 73,199 10,903,723SL Green Realty Corp. REIT . . . . . . 32,353 2,972,594UDR, Inc. REIT . . . . . . . . . . . . . . 61,790 2,885,593Ventas, Inc. REIT . . . . . . . . . . . . . 148,214 8,557,876Vornado Realty Trust REIT . . . . . . . 62,983 4,188,370Welltower, Inc. REIT . . . . . . . . . . . 161,290 13,190,296Weyerhaeuser Co. REIT . . . . . . . . . 296,242 8,946,508

161,051,102

FOOD & STAPLES RETAILING — 2.5%Costco Wholesale Corp. . . . . . . . . . 71,999 21,161,946Kroger Co.. . . . . . . . . . . . . . . . . . 318,892 9,244,679Sysco Corp. . . . . . . . . . . . . . . . . . 111,567 9,543,441Walmart, Inc. . . . . . . . . . . . . . . . . 562,259 66,818,860Walgreens Boots Alliance, Inc. . . . . . 298,141 17,578,393

124,347,319

FOOD PRODUCTS — 2.0%Archer-Daniels-Midland Co. . . . . . . 221,313 10,257,857Campbell Soup Co. . . . . . . . . . . . . 37,580 1,857,204Conagra Brands, Inc. . . . . . . . . . . . 193,462 6,624,139General Mills, Inc.. . . . . . . . . . . . . 240,303 12,870,629Hershey Co. . . . . . . . . . . . . . . . . . 19,457 2,859,790Hormel Foods Corp.. . . . . . . . . . . . 110,559 4,987,316J.M. Smucker Co. . . . . . . . . . . . . . 45,370 4,724,378Kellogg Co. . . . . . . . . . . . . . . . . . 99,035 6,849,260Kraft Heinz Co. . . . . . . . . . . . . . . 247,623 7,956,127Lamb Weston Holdings, Inc. . . . . . . 26,129 2,247,878McCormick & Co., Inc. . . . . . . . . . 24,048 4,081,667Mondelez International, Inc. Class A . 572,484 31,532,419Tyson Foods, Inc. Class A . . . . . . . . 60,997 5,553,167

102,401,831

GAS UTILITIES — 0.1%Atmos Energy Corp. . . . . . . . . . . . 47,460 5,308,876


Abbott Laboratories . . . . . . . . . . . . 295,197 25,640,812ABIOMED, Inc. (b) . . . . . . . . . . . . 7,743 1,320,878Baxter International, Inc.. . . . . . . . . 111,626 9,334,166Becton Dickinson and Co. . . . . . . . . 107,068 29,119,284Boston Scientific Corp. (b) . . . . . . . 227,253 10,276,381Cooper Cos., Inc. . . . . . . . . . . . . . 8,431 2,708,796Danaher Corp. . . . . . . . . . . . . . . . 91,542 14,049,866DENTSPLY SIRONA, Inc. . . . . . . . 41,613 2,354,880


Hologic, Inc. (b) . . . . . . . . . . . . . . 49,076 $ 2,562,258Medtronic PLC . . . . . . . . . . . . . . . 531,120 60,255,564STERIS PLC . . . . . . . . . . . . . . . . 15,505 2,363,272Stryker Corp. . . . . . . . . . . . . . . . . 43,496 9,131,550Varian Medical Systems, Inc. (b). . . . 16,286 2,312,775Zimmer Biomet Holdings, Inc. . . . . . 81,849 12,251,158

183,681,640


AmerisourceBergen Corp. . . . . . . . . 59,810 5,085,046Anthem, Inc. . . . . . . . . . . . . . . . . 100,814 30,448,852Cardinal Health, Inc. . . . . . . . . . . . 116,360 5,885,489Centene Corp. (b) . . . . . . . . . . . . . 164,552 10,345,384Cigna Corp. . . . . . . . . . . . . . . . . . 148,422 30,350,815CVS Health Corp. . . . . . . . . . . . . . 515,253 38,278,145DaVita, Inc. (b). . . . . . . . . . . . . . . 35,626 2,673,019HCA Healthcare, Inc. . . . . . . . . . . . 105,197 15,549,169Henry Schein, Inc. (b) . . . . . . . . . . 58,262 3,887,241Humana, Inc. . . . . . . . . . . . . . . . . 52,658 19,300,210Laboratory Corp. of America

Holdings (b) . . . . . . . . . . . . . . . 38,605 6,530,808McKesson Corp. . . . . . . . . . . . . . . 71,673 9,913,809Quest Diagnostics, Inc. . . . . . . . . . . 53,602 5,724,158UnitedHealth Group, Inc. . . . . . . . . 375,822 110,484,152Universal Health Services, Inc.

Class B . . . . . . . . . . . . . . . . . . 31,962 4,585,268

299,041,565

HEALTH CARE TECHNOLOGY — 0.1%Cerner Corp. . . . . . . . . . . . . . . . . 46,196 3,390,324


Carnival Corp. . . . . . . . . . . . . . . . 159,256 8,094,982Darden Restaurants, Inc. . . . . . . . . . 26,307 2,867,726Las Vegas Sands Corp. . . . . . . . . . . 57,747 3,986,853McDonald’s Corp. . . . . . . . . . . . . . 167,652 33,129,712MGM Resorts International . . . . . . . 79,877 2,657,508Norwegian Cruise Line Holdings,

Ltd. (b) . . . . . . . . . . . . . . . . . . 84,563 4,939,325Royal Caribbean Cruises, Ltd. . . . . . 68,390 9,130,749

64,806,855

HOUSEHOLD DURABLES — 0.3%Leggett & Platt, Inc.. . . . . . . . . . . . 17,806 905,079Lennar Corp. Class A . . . . . . . . . . . 111,317 6,210,375Mohawk Industries, Inc. (b) . . . . . . . 23,593 3,217,613Newell Brands, Inc. . . . . . . . . . . . . 151,490 2,911,638Whirlpool Corp. . . . . . . . . . . . . . . 25,156 3,711,265

16,955,970

HOUSEHOLD PRODUCTS — 1.7%Church & Dwight Co., Inc. . . . . . . . 44,896 3,157,985Clorox Co.. . . . . . . . . . . . . . . . . . 49,931 7,666,406Colgate-Palmolive Co. . . . . . . . . . . 184,992 12,734,849Kimberly-Clark Corp. . . . . . . . . . . 69,532 9,564,126




Procter & Gamble Co. . . . . . . . . . . 414,879 $ 51,818,387

84,941,753

INDEPENDENT POWER & RENEWABLEELECTRICITY PRODUCERS — 0.1%

AES Corp.. . . . . . . . . . . . . . . . . . 263,993 5,253,461

INDUSTRIAL CONGLOMERATES — 2.1%3M Co. . . . . . . . . . . . . . . . . . . . . 228,588 40,327,495General Electric Co.. . . . . . . . . . . . 3,459,085 38,603,389Honeywell International, Inc. . . . . . . 153,413 27,154,101

106,084,985

INSURANCE — 3.9%Aflac, Inc. . . . . . . . . . . . . . . . . . . 291,827 15,437,649Allstate Corp. . . . . . . . . . . . . . . . . 128,760 14,479,062American International Group, Inc. . . 345,880 17,754,020Aon PLC. . . . . . . . . . . . . . . . . . . 34,472 7,180,173Arthur J Gallagher & Co. . . . . . . . . 36,364 3,462,944Assurant, Inc. . . . . . . . . . . . . . . . . 24,101 3,159,159Chubb, Ltd. . . . . . . . . . . . . . . . . . 180,165 28,044,484Cincinnati Financial Corp. . . . . . . . . 32,613 3,429,257Everest Re Group, Ltd. . . . . . . . . . . 16,210 4,487,576Globe Life, Inc. . . . . . . . . . . . . . . 39,601 4,168,005Hartford Financial Services Group,

Inc. . . . . . . . . . . . . . . . . . . . . 143,263 8,706,093Lincoln National Corp. . . . . . . . . . . 78,815 4,650,873Loews Corp. . . . . . . . . . . . . . . . . 101,688 5,337,603Marsh & McLennan Cos., Inc. . . . . . 78,237 8,716,384MetLife, Inc. . . . . . . . . . . . . . . . . 310,738 15,838,316Principal Financial Group, Inc. . . . . . 102,688 5,647,840Progressive Corp. . . . . . . . . . . . . . 90,635 6,561,068Prudential Financial, Inc.. . . . . . . . . 159,790 14,978,715Travelers Cos., Inc. . . . . . . . . . . . . 102,615 14,053,124Unum Group . . . . . . . . . . . . . . . . 82,013 2,391,499Willis Towers Watson PLC. . . . . . . . 26,530 5,357,468WR Berkley Corp.. . . . . . . . . . . . . 57,660 3,984,306

197,825,618

INTERACTIVE MEDIA & SERVICES — 0.2%Twitter, Inc. (b) . . . . . . . . . . . . . . . 308,648 9,892,168


Expedia Group, Inc. . . . . . . . . . . . . 55,562 6,008,475

IT SERVICES — 3.1%Accenture PLC Class A . . . . . . . . . 93,443 19,676,292Akamai Technologies, Inc. (b) . . . . . 17,986 1,553,631Alliance Data Systems Corp. . . . . . . 16,286 1,827,289Automatic Data Processing, Inc. . . . . 65,363 11,144,391Broadridge Financial Solutions, Inc. . 13,705 1,693,116Cognizant Technology Solutions

Corp. Class A . . . . . . . . . . . . . . 217,678 13,500,390DXC Technology Co. . . . . . . . . . . . 101,773 3,825,647Fidelity National Information

Services, Inc. . . . . . . . . . . . . . . 244,339 33,985,111Global Payments, Inc.. . . . . . . . . . . 60,901 11,118,087International Business Machines

Corp. . . . . . . . . . . . . . . . . . . . 350,688 47,006,219


Jack Henry & Associates, Inc. . . . . . 14,644 $ 2,133,191Leidos Holdings, Inc. . . . . . . . . . . . 26,429 2,587,135Paychex, Inc. . . . . . . . . . . . . . . . . 41,780 3,553,807VeriSign, Inc. (b). . . . . . . . . . . . . . 19,367 3,731,634

157,335,940


Hasbro, Inc. . . . . . . . . . . . . . . . . . 50,572 5,340,909


Agilent Technologies, Inc. . . . . . . . . 52,941 4,516,397Illumina, Inc. (b) . . . . . . . . . . . . . . 23,348 7,745,465IQVIA Holdings, Inc. (b) . . . . . . . . 22,304 3,446,191Mettler-Toledo International, Inc. (b) . 3,553 2,818,524PerkinElmer, Inc. . . . . . . . . . . . . . 19,040 1,848,784Waters Corp. (b) . . . . . . . . . . . . . . 9,731 2,273,648

22,649,009

MACHINERY — 1.7%Caterpillar, Inc.. . . . . . . . . . . . . . . 90,106 13,306,854Cummins, Inc. . . . . . . . . . . . . . . . 22,569 4,038,948Deere & Co.. . . . . . . . . . . . . . . . . 51,326 8,892,743Dover Corp. . . . . . . . . . . . . . . . . . 23,668 2,727,974Flowserve Corp. . . . . . . . . . . . . . . 52,039 2,589,981Fortive Corp. . . . . . . . . . . . . . . . . 117,490 8,975,061IDEX Corp. . . . . . . . . . . . . . . . . . 13,005 2,236,860Illinois Tool Works, Inc. . . . . . . . . . 45,396 8,154,483Ingersoll-Rand PLC . . . . . . . . . . . . 36,253 4,818,749Parker-Hannifin Corp. . . . . . . . . . . 22,947 4,722,951Pentair PLC . . . . . . . . . . . . . . . . . 66,792 3,063,749Snap-on, Inc. . . . . . . . . . . . . . . . . 21,877 3,705,964Stanley Black & Decker, Inc. . . . . . . 60,411 10,012,519Westinghouse Air Brake Technologies

Corp. . . . . . . . . . . . . . . . . . . . 72,412 5,633,654Xylem, Inc. . . . . . . . . . . . . . . . . . 29,310 2,309,335

85,189,825

MEDIA — 1.5%Comcast Corp. Class A . . . . . . . . . . 790,989 35,570,775Discovery, Inc. Class A (a) (b) . . . . . 62,852 2,057,774Discovery, Inc. Class C (b) . . . . . . . 133,326 4,065,110DISH Network Corp. Class A (b) . . . 101,378 3,595,878Fox Corp. Class A . . . . . . . . . . . . . 140,904 5,223,311Fox Corp. Class B . . . . . . . . . . . . . 64,618 2,352,095Interpublic Group of Cos., Inc. . . . . . 154,167 3,561,258News Corp. Class A . . . . . . . . . . . . 154,426 2,183,584News Corp. Class B . . . . . . . . . . . . 48,393 702,182Omnicom Group, Inc.. . . . . . . . . . . 86,581 7,014,793ViacomCBS, Inc. Class B . . . . . . . . 214,791 9,014,778

75,341,538

METALS & MINING — 0.5%Freeport-McMoRan, Inc.. . . . . . . . . 259,608 3,406,057Newmont Goldcorp Corp. . . . . . . . . 325,923 14,161,354Nucor Corp. . . . . . . . . . . . . . . . . . 120,529 6,783,372

24,350,783




MULTI-UTILITIES — 2.1%Ameren Corp.. . . . . . . . . . . . . . . . 97,754 $ 7,507,507CenterPoint Energy, Inc. . . . . . . . . . 199,737 5,446,828CMS Energy Corp. . . . . . . . . . . . . 112,904 7,094,887Consolidated Edison, Inc. . . . . . . . . 132,156 11,956,153Dominion Energy, Inc. . . . . . . . . . . 327,246 27,102,514DTE Energy Co. . . . . . . . . . . . . . . 76,383 9,919,860NiSource, Inc. . . . . . . . . . . . . . . . 148,486 4,133,850Public Service Enterprise Group, Inc. . 201,052 11,872,121Sempra Energy . . . . . . . . . . . . . . . 61,622 9,334,501WEC Energy Group, Inc. . . . . . . . . 125,407 11,566,288

105,934,509

MULTILINE RETAIL — 0.5%Dollar Tree, Inc. (b) . . . . . . . . . . . . 94,141 8,853,961Kohl’s Corp. . . . . . . . . . . . . . . . . 62,277 3,173,013Macy’s, Inc. (a). . . . . . . . . . . . . . . 122,809 2,087,753Nordstrom, Inc. (a) . . . . . . . . . . . . 42,592 1,743,291Target Corp.. . . . . . . . . . . . . . . . . 72,478 9,292,404

25,150,422

OIL, GAS & CONSUMABLE FUELS — 7.0%Apache Corp. . . . . . . . . . . . . . . . . 56,820 1,454,024Cabot Oil & Gas Corp. . . . . . . . . . . 60,043 1,045,349Chevron Corp. . . . . . . . . . . . . . . . 749,826 90,361,531Cimarex Energy Co.. . . . . . . . . . . . 18,663 979,621Concho Resources, Inc.. . . . . . . . . . 79,918 6,998,419Devon Energy Corp. . . . . . . . . . . . 153,874 3,996,108Diamondback Energy, Inc.. . . . . . . . 64,082 5,950,654EOG Resources, Inc. . . . . . . . . . . . 115,713 9,692,121Exxon Mobil Corp. . . . . . . . . . . . . 1,678,436 117,121,264HollyFrontier Corp. . . . . . . . . . . . . 59,101 2,997,012Kinder Morgan, Inc.. . . . . . . . . . . . 774,481 16,395,763Marathon Oil Corp. . . . . . . . . . . . . 318,045 4,319,051Marathon Petroleum Corp.. . . . . . . . 258,180 15,555,345Noble Energy, Inc. . . . . . . . . . . . . . 190,184 4,724,170Occidental Petroleum Corp. . . . . . . . 355,198 14,637,710ONEOK, Inc. . . . . . . . . . . . . . . . . 164,222 12,426,679Phillips 66 . . . . . . . . . . . . . . . . . . 88,349 9,842,962Pioneer Natural Resources Co. . . . . . 25,071 3,794,997Valero Energy Corp. . . . . . . . . . . . 163,249 15,288,269Williams Cos., Inc. . . . . . . . . . . . . 481,877 11,430,122

349,011,171

PERSONAL PRODUCTS — 0.0% (d)Coty, Inc. Class A . . . . . . . . . . . . . 62,259 700,414

PHARMACEUTICALS — 5.9%Allergan PLC . . . . . . . . . . . . . . . . 130,531 24,953,611Bristol-Myers Squibb Co. . . . . . . . . 419,385 26,920,323Eli Lilly & Co. . . . . . . . . . . . . . . . 151,193 19,871,296Johnson & Johnson . . . . . . . . . . . . 605,339 88,300,800Merck & Co., Inc. . . . . . . . . . . . . . 453,833 41,276,111Mylan NV (b). . . . . . . . . . . . . . . . 205,189 4,124,299Perrigo Co. PLC . . . . . . . . . . . . . . 54,093 2,794,444Pfizer, Inc.. . . . . . . . . . . . . . . . . . 2,194,397 85,976,475

294,217,359


PROFESSIONAL SERVICES — 0.3%Equifax, Inc. . . . . . . . . . . . . . . . . 19,243 $ 2,696,329IHS Markit, Ltd. (b) . . . . . . . . . . . . 43,015 3,241,180Nielsen Holdings PLC . . . . . . . . . . 141,464 2,871,719Robert Half International, Inc. . . . . . 46,700 2,949,105Verisk Analytics, Inc. . . . . . . . . . . . 20,163 3,011,143

14,769,476

ROAD & RAIL — 0.8%CSX Corp.. . . . . . . . . . . . . . . . . . 154,574 11,184,975JB Hunt Transport Services, Inc. . . . . 12,663 1,478,785Norfolk Southern Corp. . . . . . . . . . 47,711 9,262,136Union Pacific Corp. . . . . . . . . . . . . 104,897 18,964,329

40,890,225


Intel Corp. . . . . . . . . . . . . . . . . . . 740,391 44,312,402Maxim Integrated Products, Inc. . . . . 60,261 3,706,654Skyworks Solutions, Inc. . . . . . . . . . 28,458 3,440,003Texas Instruments, Inc. . . . . . . . . . . 141,232 18,118,653Xilinx, Inc. . . . . . . . . . . . . . . . . . 37,953 3,710,665

73,288,377

SOFTWARE — 0.5%Citrix Systems, Inc. . . . . . . . . . . . . 23,348 2,589,293NortonLifeLock, Inc. . . . . . . . . . . . 86,630 2,210,798Oracle Corp. . . . . . . . . . . . . . . . . 344,491 18,251,133

23,051,224

SPECIALTY RETAIL — 1.2%Advance Auto Parts, Inc. . . . . . . . . . 27,536 4,410,166Best Buy Co., Inc. . . . . . . . . . . . . . 90,577 7,952,661Gap, Inc. . . . . . . . . . . . . . . . . . . . 84,609 1,495,887Home Depot, Inc. . . . . . . . . . . . . . 125,801 27,472,422L Brands, Inc.. . . . . . . . . . . . . . . . 92,280 1,672,114Lowe’s Cos., Inc. . . . . . . . . . . . . . 103,564 12,402,825Tractor Supply Co. . . . . . . . . . . . . 23,948 2,237,701Ulta Salon Cosmetics & Fragrance,

Inc. (b) . . . . . . . . . . . . . . . . . . 10,224 2,588,103

60,231,879


Hewlett Packard Enterprise Co. . . . . 514,522 8,160,319HP, Inc. . . . . . . . . . . . . . . . . . . . . 589,179 12,107,629NetApp, Inc. . . . . . . . . . . . . . . . . 48,977 3,048,818Seagate Technology PLC. . . . . . . . . 36,780 2,188,410Western Digital Corp.. . . . . . . . . . . 118,266 7,506,343

33,011,519


Capri Holdings, Ltd. (b) . . . . . . . . . 60,307 2,300,712Hanesbrands, Inc. (a) . . . . . . . . . . . 143,794 2,135,341NIKE, Inc. Class B . . . . . . . . . . . . 163,459 16,560,031PVH Corp. . . . . . . . . . . . . . . . . . 29,466 3,098,350Ralph Lauren Corp. . . . . . . . . . . . . 19,739 2,313,806Tapestry, Inc. . . . . . . . . . . . . . . . . 109,728 2,959,364




Under Armour, Inc. Class A (a) (b) . . 74,846 $ 1,616,674Under Armour, Inc. Class C (b). . . . . 77,336 1,483,304VF Corp.. . . . . . . . . . . . . . . . . . . 61,201 6,099,292

38,566,874


52,087,059


Fastenal Co. . . . . . . . . . . . . . . . . . 68,444 2,529,006W.W. Grainger, Inc. . . . . . . . . . . . . 17,386 5,885,509

8,414,515



T-Mobile US, Inc. (b) . . . . . . . . . . . 125,849 9,869,079



Reserves Fund, Premier Class1.73% (e) (f) . . . . . . . . . . . . . 2,690,938 2,691,207

State Street Navigator SecuritiesLending Portfolio II (g) (h) . . . . 8,630,235 8,630,235



LIABILITIES IN EXCESS OF OTHERASSETS — (0.0)% (d). . . . . . . . . . . . . . . . . (2,388,183)

NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 5,008,488,277

(a) All or a portion of the shares of the security are on loan atDecember 31, 2019.

(b) Non-income producing security.(c) The Fund invested in an affiliated entity, State Street Corp.

Amounts related to these transactions during the period endedDecember 31, 2019 are shown in the Affiliate Table below.

(d) Amount is less than 0.05% of net assets.(e) The Fund invested in certain money market funds managed by








Quoted Prices









Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Corp. . . . . . . . . . . . . . . . . . . . . . . 95,369 $5,346,386 $ 6,761,222 $ 3,580,707 $(474,096) $3,380,072 144,537 $11,432,877 $137,297

State Street Institutional Liquid Reserves Fund, PremierClass . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 82,200,661 79,509,836 382 — 2,690,938 2,691,207 38,892



State Street Navigator Securities Lending Portfolio III . . — — 13,110,651 13,110,651 — — — — 1,388

Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $7,974,664 $148,047,768 $136,174,471 $(473,714) $3,380,072 $22,754,319 $194,680



SPDR PortfolioS&P 500 ETF

SPDR PortfolioS&P 400 Mid Cap

ETF

SPDR PortfolioS&P 600 Small

Cap ETF

ASSETSInvestments in unaffiliated issuers, at value* . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,500,213,082 $1,906,239,702 $1,629,478,997Investments in affiliated issuers, at value. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,189,101 60,542,595 119,590,152

Total Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,509,402,183 1,966,782,297 1,749,069,149Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 16,870Net cash at broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117,384 — 31,579Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 774,159 4,626,244 37,859Receivable from broker — accumulated variation margin on open futures

contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,568 — 24,377Receivable for investments sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 26,880 —Receivable for fund shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,502 1,846,401 —Dividends receivable — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,468,143 2,221,777 2,196,232Dividends receivable — affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,178 2,862 4,108Securities lending income receivable — unaffiliated issuers . . . . . . . . . . . . . . . . . 2,486 17,710 12,938Securities lending income receivable — affiliated issuers . . . . . . . . . . . . . . . . . . 3,216 55,780 174,603

TOTAL ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,513,889,819 1,975,579,951 1,751,567,715

LIABILITIESDue to custodian. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — —Payable upon return of securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,894,871 59,317,976 117,437,304Payable for investments purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 5,753,117 —Payable for fund shares repurchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 18,273Advisory fee payable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,123 83,593 70,132Trustees’ fees and expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610 425 2,103Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — —

TOTAL LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,978,604 65,155,111 117,527,812

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,507,911,215 $1,910,424,840 $1,634,039,903

NET ASSETS CONSIST OF:Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,237,476,581 $1,844,307,107 $1,775,645,273Total distributable earnings (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270,434,634 66,117,733 (141,605,370)

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,507,911,215 $1,910,424,840 $1,634,039,903

NET ASSET VALUE PER SHARENet asset value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 37.82 $ 36.22 $ 32.65

Shares outstanding (unlimited amount authorized, $0.01 par value) . . . . . . . . . . . . 92,750,000 52,750,000 50,050,000

COST OF INVESTMENTS:Investments in unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,201,896,220 $1,810,910,442 $1,690,742,329Investments in affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,189,048 60,542,581 119,590,080

Total cost of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,211,085,268 $1,871,453,023 $1,810,332,409

Foreign currency, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ 16,508

* Includes investments in securities on loan, at value . . . . . . . . . . . . . . . . . . . . . . $ 31,188,489 $ 191,942,458 $ 180,921,145

SPDR SERIES TRUSTSTATEMENTS OF ASSETS AND LIABILITIESDecember 31, 2019 (Unaudited)


SPDR PortfolioS&P 1500

Composite StockMarket ETF

SPDR PortfolioS&P 500 Growth

ETF

SPDR PortfolioS&P 500 HighDividend ETF

SPDR PortfolioS&P 500 Value

ETF

$4,249,519,748 $5,385,104,489 $2,156,996,198 $4,988,122,14134,498,553 11,243,290 10,668,361 22,754,319

4,284,018,301 5,396,347,779 2,167,664,559 5,010,876,4601 — — —

149,470 — — —1,050,632 — 25,089 —

56,847 — — —4 — — 1,364,778

18,970 — 1,022 1,1044,426,715 4,306,333 7,104,631 6,228,429

15,345 12,603 6,532 10,6848,855 1,663 4,952 1,131

47,803 784 11,647 4,364

4,289,792,943 5,400,669,162 2,174,818,432 5,018,486,950

— 257,611 — 1,199,99631,277,037 4,499,888 6,893,709 8,630,235

— — 2,535,578 —— 30,793 — —

104,103 183,032 124,312 167,2531,188 1,229 344 1,189

49,088 — — —

31,431,416 4,972,553 9,553,943 9,998,673

$4,258,361,527 $5,395,696,609 $2,165,264,489 $5,008,488,277

$3,719,209,214 $5,036,047,523 $2,143,518,683 $4,980,130,053539,152,313 359,649,086 21,745,806 28,358,224

$4,258,361,527 $5,395,696,609 $2,165,264,489 $5,008,488,277

$ 39.87 $ 41.94 $ 39.48 $ 34.91

106,800,216 128,650,108 54,850,000 143,452,864

$3,690,947,295 $4,732,186,100 $2,084,320,532 $4,728,676,77434,498,460 11,243,290 10,668,354 21,849,605

$3,725,445,755 $4,743,429,390 $2,094,988,886 $4,750,526,379

$ 1 $ — $ — $ —

$ 94,042,159 $ 12,290,843 $ 66,277,382 $ 16,546,136

57

SPDR PortfolioS&P 500 ETF

SPDR PortfolioS&P 400 Mid Cap

ETF

SPDR PortfolioS&P 600 Small

Cap ETF

INVESTMENT INCOMEInterest income — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ — $ — $ —Dividend income — unaffiliated issuers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,691,984 15,340,544 12,737,601Dividend income — affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,376 17,065 31,628Unaffiliated securities lending income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,800 89,515 83,286Affiliated securities lending income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,428 224,808 804,700Foreign taxes withheld . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — (6,681) (4,780)

TOTAL INVESTMENT INCOME (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,757,588 15,665,251 13,652,435

EXPENSESAdvisory fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 442,528 430,165 367,053Trustees’ fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,573 10,832 10,461Miscellaneous expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,971 1,434 1,052

TOTAL EXPENSES. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 462,072 442,431 378,566

NET INVESTMENT INCOME (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 29,295,516 $ 15,222,820 $ 13,273,869

REALIZED AND UNREALIZED GAIN (LOSS)Net realized gain (loss) on:

Investments — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,930,977) (21,212,314) (30,302,596)Investments — affiliated issuers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (277) 1,142 949In-kind redemptions — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,543,380 27,859,524 67,905,507In-kind redemptions — affiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — —Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 414,389 — 93,051

Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,026,515 6,648,352 37,696,911

Net change in unrealized appreciation/depreciation on:Investments — unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202,811,103 106,310,173 58,220,326Investments — affiliated issuers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53 14 72Foreign currency translations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 663Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,950 — (5,270)

Net change in unrealized appreciation/depreciation . . . . . . . . . . . . . . . . . . . . . . . 202,820,106 106,310,187 58,215,791

NET REALIZED AND UNREALIZED GAIN (LOSS) . . . . . . . . . . . . . . . . . . . . 280,846,621 112,958,539 95,912,702

NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS . . . . . . $310,142,137 $128,181,359 $109,186,571

SPDR SERIES TRUSTSTATEMENTS OF OPERATIONSFor the Six Months Ended December 31, 2019 (Unaudited)


SPDR PortfolioS&P 1500

Composite StockMarket ETF

SPDR PortfolioS&P 500 Growth

ETF

SPDR PortfolioS&P 500 HighDividend ETF

SPDR PortfolioS&P 500 Value

ETF

— $ 214 $ 1,861 $ 68137,760,385 41,327,047 46,352,600 47,212,326

100,144 67,476 22,226 187,54362,132 17,807 53,999 9,671

199,341 2,162 59,295 7,137(1,216) — — —

38,120,786 41,414,706 46,489,981 47,417,358

570,703 1,069,572 665,360 754,53024,158 36,401 11,982 20,645

2,670 3,016 621 2,227

597,531 1,108,989 677,963 777,402

$ 37,523,255 $ 40,305,717 $ 45,812,018 $ 46,639,956

(461,721) (47,155,261) (28,878,098) (60,789,611)1,034 (64) (265) (634,191)

14,312,747 349,823,574 51,177,631 360,460,000— — — 160,477

1,029,813 — — —

14,881,873 302,668,249 22,299,268 299,196,675

334,582,583 115,886,897 57,914,850 150,420,04893 — 7 3,380,073— — — —

(112,604) — — —

334,470,072 115,886,897 57,914,857 153,800,121

349,351,945 418,555,146 80,214,125 452,996,796

$386,875,200 $458,860,863 $126,026,143 $499,636,752

59

SPDR Portfolio S&P 500 ETF SPDR Portfolio S&P 400 Mid Cap ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . $ 29,295,516 $ 37,909,308 $ 15,222,820 $ 19,394,473Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,026,515 97,904,816 6,648,352 26,959,620Net change in unrealized appreciation/depreciation . . . . . . . . . 202,820,106 70,142,042 106,310,187 (41,433,695)

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 310,142,137 205,956,166 128,181,359 4,920,398

Net equalization credits and charges . . . . . . . . . . . . . . . . . . . 1,016,088 2,748,077 332,140 1,278,065

Distributions to shareholders. . . . . . . . . . . . . . . . . . . . . . . . . (30,530,571) (41,793,591) (16,060,201) (21,200,130)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . . . . 1,246,936,428 1,847,633,953 325,712,084 1,026,702,460Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . (546,598,056) (846,331,688) (119,875,599) (198,840,709)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,016,088) (2,748,077) (332,140) (1,278,065)

Net increase (decrease) in net assets from beneficialinterest transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 699,322,284 998,554,188 205,504,345 826,583,686

Net increase (decrease) in net assets during the period. . . . . . . 979,949,938 1,165,464,840 317,957,643 811,582,019

Net assets at beginning of period . . . . . . . . . . . . . . . . . . . . . . 2,527,961,277 1,362,496,437 1,592,467,197 780,885,178

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . . . . . . $3,507,911,215 $2,527,961,277 $1,910,424,840 $1,592,467,197

SHARES OF BENEFICIAL INTEREST:Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,150,000 56,550,000 9,450,000 30,550,000

Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (15,600,000) (26,100,000) (3,450,000) (6,200,000)

Net increase (decrease) from share transactions . . . . . . . . . 19,550,000 30,450,000 6,000,000 24,350,000

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS


SPDR Portfolio S&P 600 Small CapETF

SPDR Portfolio S&P 1500 CompositeStock Market ETF SPDR Portfolio S&P 500 Growth ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

$ 13,273,869 $ 21,159,067 $ 37,523,255 $ 54,515,361 $ 40,305,717 $ 56,237,68237,696,911 103,662,071 14,881,873 93,345,753 302,668,249 87,866,31458,215,791 (193,733,436) 334,470,072 144,505,674 115,886,897 296,138,134

109,186,571 (68,912,298) 386,875,200 292,366,788 458,860,863 440,242,130

705,965 316,935 1,956,801 5,044,273 (1,478,703) 3,457,615

(14,357,058) (23,496,929) (37,320,748) (54,775,824) (39,044,388) (61,135,811)

663,732,639 1,418,493,636 471,181,355 1,528,063,042 1,625,488,164 4,104,777,798(491,665,445) (1,147,728,159) (59,596,301) (466,810,796) (2,040,498,314) (1,741,118,144)

(705,965) (316,935) (1,956,801) (5,044,273) 1,478,703 (3,457,615)

171,361,229 270,448,542 409,628,253 1,056,207,973 (413,531,447) 2,360,202,039

266,896,707 178,356,250 761,139,506 1,298,843,210 4,806,325 2,742,765,973

1,367,143,196 1,188,786,946 3,497,222,021 2,198,378,811 5,390,890,284 2,648,124,311

$1,634,039,903 $ 1,367,143,196 $4,258,361,527 $3,497,222,021 $ 5,395,696,609 $ 5,390,890,284

21,450,000 45,950,000 12,550,000 44,900,000 39,900,000 113,550,000(16,000,000) (38,200,000) (1,600,000) (13,750,000) (50,400,000) (49,800,000)

5,450,000 7,750,000 10,950,000 31,150,000 (10,500,000) 63,750,000

61

SPDR Portfolio S&P 500 High DividendETF SPDR Portfolio S&P 500 Value ETF

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

Six MonthsEnded

12/31/19(Unaudited)

Year Ended6/30/19

INCREASE (DECREASE) IN NET ASSETS FROMOPERATIONS:Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . $ 45,812,018 $ 46,353,742 $ 46,639,956 $ 58,310,803Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,299,268 45,723,339 299,196,675 (75,763,993)Net change in unrealized appreciation/depreciation . . . . . . . 57,914,857 6,879,849 153,800,121 163,967,385

Net increase (decrease) in net assets resulting fromoperations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126,026,143 98,956,930 499,636,752 146,514,195

Net equalization credits and charges . . . . . . . . . . . . . . . . . . 2,169,106 5,262,154 5,844,824 2,622,801

Distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . (49,382,494) (52,888,562) (52,407,731) (62,334,479)

FROM BENEFICIAL INTEREST TRANSACTIONS:Proceeds from sale of shares sold . . . . . . . . . . . . . . . . . . . . 792,933,833 1,614,302,630 3,105,888,190 2,959,894,709Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . (409,073,936) (522,147,601) (1,428,481,364) (1,516,189,247)Net income equalization . . . . . . . . . . . . . . . . . . . . . . . . . . (2,169,106) (5,262,154) (5,844,824) (2,622,801)

Net increase (decrease) in net assets from beneficialinterest transactions . . . . . . . . . . . . . . . . . . . . . . . . . . 381,690,791 1,086,892,875 1,671,562,002 1,441,082,661

Net increase (decrease) in net assets during the period . . . . . 460,503,546 1,138,223,397 2,124,635,847 1,527,885,178

Net assets at beginning of period . . . . . . . . . . . . . . . . . . . . 1,704,760,943 566,537,546 2,883,852,430 1,355,967,252

NET ASSETS AT END OF PERIOD . . . . . . . . . . . . . . . . . $2,165,264,489 $1,704,760,943 $ 5,008,488,277 $ 2,883,852,430

SHARES OF BENEFICIAL INTEREST:Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,800,000 43,750,000 92,400,000 100,200,000

Shares redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10,800,000) (14,100,000) (41,150,000) (53,800,000)

Net increase (decrease) from share transactions . . . . . . . . 10,000,000 29,650,000 51,250,000 46,400,000

SPDR SERIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS (continued)


SPDR Portfolio S&P 500 ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)

Net asset value, beginning of period . . . . . . . . . . . . . . . . . $ 34.53 $ 31.87 $ 28.36 $ 24.53 $ 24.35 $ 23.12

Income (loss) from investment operations:Net investment income (loss) (b) . . . . . . . . . . . . . . . . . . . . 0.35 0.65 0.61 0.52 0.50 0.46Net realized and unrealized gain (loss) (c) . . . . . . . . . . . . . . 3.29 2.64 3.38 3.83 0.17 1.20

Total from investment operations . . . . . . . . . . . . . . . . . . . . 3.64 3.29 3.99 4.35 0.67 1.66

Net equalization credits and charges (b) . . . . . . . . . . . . . . . . 0.01 0.05 0.11 0.01 0.01 0.02

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . (0.36) (0.68) (0.59) (0.53) (0.50) (0.45)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . $ 37.82 $ 34.53 $ 31.87 $ 28.36 $ 24.53 $ 24.35

Total return (d). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.59% 10.65% 14.50% 17.94% 2.90% 7.31%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . $3,507,911 $2,527,961 $1,362,496 $147,491 $93,191 $73,036Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.03%(e) 0.03% 0.04% 0.10% 0.10% 0.11%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . 1.99%(e) 2.00% 1.94% 1.94% 2.08% 1.89%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . 2%(g) 5% 7% 4% 5% 3%

(a) On October 16, 2017, the SPDR Portfolio S&P 500 ETF underwent a 4-for-1 share split. The per share data presented here have been retroactively adjusted toreflect this split. See Note 11.

(b) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.(c) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of

the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.(d) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported.

Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Totalreturns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation.

(e) Annualized.(f) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.(g) Not annualized.

SPDR SERIES TRUSTFINANCIAL HIGHLIGHTSSelected data for a share outstanding throughout each period


SPDR Portfolio S&P 400 Mid Cap ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)


Income (loss) from investment operations:Net investment income (loss) (b). . . . . . . . . . . . . . . . . . . . . 0.31 0.54 0.52 0.42 0.41 0.39Net realized and unrealized gain (loss) (c) . . . . . . . . . . . . . . . 2.16 (0.82) 4.16 4.93 (1.94) 1.28

Total from investment operations . . . . . . . . . . . . . . . . . . . . 2.47 (0.28) 4.68 5.35 (1.53) 1.67

Net equalization credits and charges (b) . . . . . . . . . . . . . . . . 0.01 0.04 0.07 — (0.01) 0.01

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.32) (0.56) (0.50) (0.46) (0.43) (0.39)Net realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (0.19) (0.17) (0.95) (1.21)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.32) (0.56) (0.69) (0.63) (1.38) (1.60)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . $ 36.22 $ 34.06 $ 34.86 $ 30.80 $ 26.08 $ 29.00

Total return (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.28% (0.60)% 15.56% 20.65% (5.20)% 6.03%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . $1,910,425 $1,592,467 $780,885 $180,166 $62,580 $100,062Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.05%(e) 0.05% 0.06% 0.10% 0.10% 0.10%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . 1.77%(e) 1.61% 1.56% 1.44% 1.57% 1.36%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . 20%(g) 8% 11% 37% 16% 17%

(a) On October 16, 2017, the SPDR Portfolio S&P 400 Mid Cap ETF underwent a 3-for-1 share split. The per share data presented here have been retroactivelyadjusted to reflect this split. See Note 11.





SPDR SERIES TRUSTFINANCIAL HIGHLIGHTS (continued)Selected data for a share outstanding throughout each period


SPDR Portfolio S&P 600 Small Cap ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)


Income (loss) from investment operations:Net investment income (loss) (b) . . . . . . . . . . . . . . . . . . . . 0.28 0.48 0.50 0.38 0.37 0.34Net realized and unrealized gain (loss) (c) . . . . . . . . . . . . . . 2.00 (1.57) 4.49 5.12 (2.00) 1.12

Total from investment operations . . . . . . . . . . . . . . . . . . . . 2.28 (1.09) 4.99 5.50 (1.63) 1.46

Net equalization credits and charges (b) . . . . . . . . . . . . . . . . 0.01 0.01 0.04 0.03 0.03 0.04

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . (0.29) (0.53) (0.46) (0.40) (0.38) (0.38)Net realized gains. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — — (0.12) (0.10)

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.29) (0.53) (0.46) (0.40) (0.50) (0.48)


Total return (d). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.47% (3.24)% 18.27% 24.59% (6.45)% 6.43%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . $1,634,040 $1,367,143 $1,188,787 $224,263 $87,992 $73,986Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.05%(e) 0.05% 0.06% 0.10% 0.12% 0.12%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . 1.81%(e) 1.57% 1.63% 1.47% 1.68% 1.44%Portfolio turnover rate (f) . . . . . . . . . . . . . . . . . . . . . . . . . 10%(g) 14% 28% 20% 18% 17%

(a) On October 16, 2017, the SPDR Portfolio S&P 600 Small Cap ETF underwent a 3-for-1 share split. The per share data presented here have been retroactivelyadjusted to reflect this split. See Note 11.







SPDR Portfolio S&P 1500 Composite Stock Market ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)




Net equalization credits and charges (b) . . . . . . . . . . . . . . . . 0.02 0.06 0.10 (0.01) (0.01) (0.13)




(a) On October 16, 2017, the SPDR Portfolio S&P 1500 Composite Stock Market ETF underwent a 6-for-1 share split. The per share data presented here have beenretroactively adjusted to reflect this split. See Note 11.







SPDR Portfolio S&P 500 Growth ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)




Net equalization credits and charges (b) . . . . . . . . . . . . . . . . (0.01) 0.03 0.05 (0.00)(d) 0.01 0.01



Total return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.07% 11.96% 20.51% 19.07%(e) 4.12% 9.90%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . $5,395,697 $5,390,890 $2,648,124 $839,515 $711,123 $556,464Ratios to average net assets:Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04%(f) 0.04% 0.06% 0.15% 0.15% 0.18%Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . 1.51%(f) 1.45% 1.43% 1.52% 1.59% 1.51%Portfolio turnover rate (g). . . . . . . . . . . . . . . . . . . . . . . . . 24%(h) 21% 13% 20% 23% 22%

(a) On October 16, 2017, the SPDR Portfolio S&P 500 Growth ETF underwent a 4-for-1 share split. The per share data presented here have been retroactively adjustedto reflect this split. See Note 11.


the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.(d) Amount is less than $0.005 per share.(e) Reflects a non-recurring litigation payment received by the Fund from State Street Corp., an affiliate, which amounted to less than $0.005 per share outstanding as

of March 20, 2017. This payment resulted in an increase to total return of less than 0.005% for the period ended June 30, 2017.(f) Annualized.(g) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.(h) Not annualized.



SPDR Portfolio S&P 500 High Dividend ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded6/30/18

YearEnded6/30/17

For thePeriod

10/21/15*-6/30/16

Net asset value, beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 38.01 $ 37.27 $ 35.27 $ 33.54 $ 30.00

Income (loss) from investment operations:Net investment income (loss) (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.92 1.64 1.52 1.40 0.98Net realized and unrealized gain (loss) (b) . . . . . . . . . . . . . . . . . . . . . . . . . 1.45 0.61 2.15 1.72 3.26

Total from investment operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.37 2.25 3.67 3.12 4.24

Net equalization credits and charges (a). . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04 0.19 0.13 0.18 0.23

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.94) (1.70) (1.49) (1.41) (0.93)Net realized gains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (0.31) (0.16) —

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.94) (1.70) (1.80) (1.57) (0.93)

Net asset value, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 39.48 $ 38.01 $ 37.27 $ 35.27 $ 33.54

Total return (c). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.41% 6.82% 10.96% 9.94% 15.20%Ratios and Supplemental Data:Net assets, end of period (in 000s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,165,264 $1,704,761 $566,538 $167,523 $31,866Ratios to average net assets:Total expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07%(d) 0.07% 0.08% 0.12% 0.12%(d)Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.82%(d) 4.41% 4.17% 4.00% 4.50%(d)Portfolio turnover rate (e). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14%(f) 28% 35% 40% 23%(f)

* Commencement of operations.(a) Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period.(b) Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of

the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund.(c) Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported.

Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Totalreturn for periods less than one year are not annualized. Broker commission charges are not included in this calculation.

(d) Annualized.(e) Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.(f) Not annualized.



SPDR Portfolio S&P 500 Value ETF

Six MonthsEnded

12/31/19(Unaudited)

YearEnded6/30/19

YearEnded

6/30/18(a)

YearEnded

6/30/17(a)

YearEnded

6/30/16(a)

YearEnded

6/30/15(a)




Net equalization credits and charges (b) . . . . . . . . . . . . . . . . 0.05 0.03 0.12 (0.01) 0.01 0.01

Distributions to shareholders from:Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . (0.41) (0.82) (0.73) (0.66) (0.63) (0.58)Net realized gains. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — (0.17) — — —

Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.41) (0.82) (0.90) (0.66) (0.63) (0.58)



(a) On October 16, 2017, the SPDR Portfolio S&P 500 Value ETF underwent a 4-for-1 share split. The per share data presented here have been retroactively adjusted toreflect this split. See Note 11.







1. Organization

SPDR Series Trust (the “Trust”), a Massachusetts business trust, registered under the Investment Company Act of 1940, asamended (“1940 Act”), is an open-end management investment company.

As of December 31, 2019, the Trust consists of eighty-one (81) series, each of which represents a separate series of beneficialinterest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize theissuance of an unlimited number of shares of beneficial interest at $0.01 par value. The financial statements herein relate tothe following series (each a “Fund”, and collectively, the “Funds”):

SPDR Portfolio S&P 500 ETF (formerly, SPDR PortfolioLarge Cap ETF)

SPDR Portfolio S&P 400 Mid Cap ETF (formerly, SPDRPortfolio Mid Cap ETF)

SPDR Portfolio S&P 600 Small Cap ETF (formerly, SPDRPortfolio Small Cap ETF)

SPDR Portfolio S&P 1500 Composite Stock Market ETF(formerly, SPDR Portfolio Total Stock Market ETF)

SPDR Portfolio S&P 500 Growth ETFSPDR Portfolio S&P 500 High Dividend ETFSPDR Portfolio S&P 500 Value ETF

Each Fund is classified as a non-diversified investment company under the 1940 Act.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out ofthe performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts withservice providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements isunknown as this would involve future claims that may be made against the Trust that have not yet occurred.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financialstatements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”)requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financialstatements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP andfollows the accounting and reporting guidance applicable to investment companies.

Security Valuation

Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, forfinancial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fairvalue is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderlytransaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate ofthe valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant tothe policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. TheCommittee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing thedetermination of the fair value of investments.

Valuation techniques used to value each Fund’s investments by major category are as follows:

• Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) tradedon a recognized securities exchange for which market quotations are readily available are valued at the last sale price orofficial closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on arecognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

• Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on thevaluation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value,pursuant to the valuation policy and procedures approved by the Board.

• Investments in registered investment companies (including money market funds) or other unitized pooled investment

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTSDecember 31, 2019 (Unaudited)

70

vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are tradedmost extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on thatday are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a pricefor an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined ingood faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s NAV and the prices used by theFunds’ underlying benchmarks. Various inputs are used in determining the value of the Funds’ investments.

The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels thatprioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in activemarkets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3measurements) when market prices are not readily available or reliable. The categorization of a value determined for aninvestment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication ofthe risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

• Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directlyor indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similarassets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for theasset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, lossseverities, credit risks and default rates) or other market-corroborated inputs; and

• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fairvalue of investments.

The value of each Fund’s investments, according to the fair value hierarchy as of December 31, 2019, is disclosed in eachFund’s respective Schedule of Investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from thesale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.

Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, or when the informationbecomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock, if any,are recorded as dividend income at fair value. Distributions received by the Fund’s may include a return of capital that isestimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

Certain Funds invest in real estate investment trusts (“REITs”). REITs determine the tax character of their distributionsannually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds’ policy is torecord all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gaindistributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser”or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.

Expenses

Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. Other expenseswhich cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into considerationthe nature and type of expense and the relative net assets of the Funds within the Trust.

SPDR SERIES TRUSTNOTES TO FINANCIAL STATEMENTS (continued)December 31, 2019 (Unaudited)

71

Foreign Currency Translation

The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities andother assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end.Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated intoU.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) oninvestment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosedseparately.

Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized andunrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance withSSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in whichthe Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, ifapplicable. Foreign taxes payable or deferred as of December 31, 2019, if any, are disclosed in the Funds’ Statements of Assetsand Liabilities.

Equalization

Certain Funds in the Trust follow the accounting practice known as “Equalization” by which a portion of the proceeds fromsales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investmentincome on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributednet investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can befound on the Statements of Changes in Net Assets.

The following Funds utilized equalization during the period ended December 31, 2019:

SPDR Portfolio S&P 500 ETFSPDR Portfolio S&P 400 Mid Cap ETFSPDR Portfolio S&P 600 Small Cap ETFSPDR Portfolio S&P 1500 Composite Stock Market ETF

SPDR Portfolio S&P 500 Growth ETFSPDR Portfolio S&P 500 High Dividend ETFSPDR Portfolio S&P 500 Value ETF

Distributions

Distributions from net investment income, if any, are declared and paid quarterly. Net realized capital gains, if any, aredistributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or tocomply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”).The amount and character of income and capital gains to be distributed are determined in accordance with applicable taxregulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.

3. Derivative Financial Instruments

Futures Contracts

The Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-tradedagreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund isrequired to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of theclearing house. Subsequent payments are made or received by the Funds equal to the daily change in the contract value,accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variationmargin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognize a realized gain orloss when the contract is closed.


72

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of theunderlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use offutures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with themovement of the assets underlying such contracts.

For the period ended December 31, 2019, the SPDR Portfolio S&P 500 ETF, the SPDR Portfolio S&P 600 Small Cap ETFand the SPDR Portfolio S&P 1500 Composite Stock Market ETF entered into futures contracts for cash equitization, returnenhancement and to facilitate daily liquidity.

The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2019, and the relatedlocation in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primaryunderlying risk exposure:

Asset Derivatives

Interest RateContracts

Risk

ForeignExchangeContracts

Risk

CreditContracts

Risk

EquityContracts

Risk

CommodityContracts

Risk Total


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $— $— $83,568 $— $83,568


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 24,377 — 24,377


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 56,847 — 56,847

Net Realized Gain (Loss)


Risk


Risk

CreditContracts

Risk

EquityContracts

Risk

CommodityContracts

Risk Total


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $— $— $ 414,389 $— $ 414,389


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 93,051 — 93,051


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — 1,029,813 — 1,029,813

Net Change in Unrealized Appreciation (Depreciation)


Risk


Risk

CreditContracts

Risk

EquityContracts

Risk

CommodityContracts

Risk Total


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $— $— $— $ 8,950 $— $ 8,950


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (5,270) — (5,270)


Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — — (112,604) — (112,604)


73

4. Fees and Transactions with Affiliates

Advisory Fee

The Trust, on behalf of each Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisoryservices to the Funds, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee(“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assetsas shown in the following table:

Annual Rate

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.03%

SPDR Portfolio S&P 400 Mid Cap ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.05

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.05

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.03

SPDR Portfolio S&P 500 Growth ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04

SPDR Portfolio S&P 500 High Dividend ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.07

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.04

The Adviser pays all the expenses of each Fund other than the management fee, brokerage expenses, taxes, interest, fees andexpenses of the Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigationexpenses, and other extraordinary expenses.

The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equalto acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for eachFund until October 31, 2020.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser,serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian,sub-administrator and transfer agent from the Adviser.

Distributor

State Street Global Advisors Funds Distributors, LLC (“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves asthe distributor of the Trust.

Other Transactions with Affiliates - Securities Lending

State Street, an affiliate of the Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restatedsecurities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deductionof such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund,and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Portfolio II, anaffiliated fund, for which SSGA FM serves as investment adviser. See Note 9 for additional information regarding securitieslending.


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Other Transactions with Affiliates

The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entitiesdeemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstandingshares. Amounts relating to these transactions during the period ended December 31, 2019 are disclosed in the Schedules ofInvestments.

5. Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act(“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and otherout-of-pocket expenses in connection with meeting attendance and industry seminars.

6. Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, derivative contracts and short term investments) for theperiod ended December 31, 2019, were as follows:

Purchases Sales

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 65,729,947 $ 58,702,962

SPDR Portfolio S&P 400 Mid Cap ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 756,444,160 346,650,518

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148,951,857 147,219,304

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82,557,682 69,679,838

SPDR Portfolio S&P 500 Growth ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,319,950,133 1,280,914,357

SPDR Portfolio S&P 500 High Dividend ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301,696,502 261,167,209

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,251,553,004 1,265,231,780

For the period ended December 31, 2019, the following Funds had in-kind contributions, redemptions and net realizedgains/losses in the amounts as follows:

In-kindContributions

In-kindRedemptions

In-kind NetRealized

Gains/(Losses)

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,201,161,735 $ 502,304,147 $ 88,543,380

SPDR Portfolio S&P 400 Mid Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 323,333,229 119,195,354 27,859,524

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658,950,921 487,106,095 67,905,507

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . 462,164,987 53,041,336 14,312,747

SPDR Portfolio S&P 500 Growth ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,540,647,592 1,981,075,342 349,823,574

SPDR Portfolio S&P 500 High Dividend ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706,115,662 366,637,856 51,177,631

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,082,812,628 1,394,557,182 360,620,477

7. Shareholder Transactions

Each Fund issues and redeems its shares, at NAV, by each Fund only in aggregations of a specified number of shares ormultiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable.Transactions in capital shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund may consist of the in-kind deposit of a designated portfolio ofsecurities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transactionfee and a redemption transaction fee directly to the Trust and/or custodian to offset transfer and other transaction costsassociated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable feemay be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statements ofChanges in Net Assets.


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8. Income Tax Information

The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of theInternal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income,including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.

The Funds file federal and various state and local tax returns as required. No income tax returns are currently underexamination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of threeyears from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As ofJune 30, 2019, SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believethere are any uncertain tax positions that would require recognition of a tax liability.

Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined inaccordance with income tax rules and regulations, which may differ from generally accepted accounting principles.

As of December 31, 2019, gross unrealized appreciation and gross unrealized depreciation of investments and other financialinstruments based on cost for federal income tax purposes were as follows:

TaxCost

GrossUnrealized

Appreciation

GrossUnrealized

Depreciation

Net UnrealizedAppreciation

(Depreciation)

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,211,836,058 $371,513,221 $ 73,863,605 $297,649,616

SPDR Portfolio S&P 400 Mid Cap ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,872,195,390 223,381,113 128,794,206 94,586,907

SPDR Portfolio S&P 600 Small Cap ETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,810,524,806 118,958,286 180,389,606 (61,431,320)

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,725,878,382 685,212,712 127,016,021 558,196,691

SPDR Portfolio S&P 500 Growth ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,744,357,815 665,883,819 13,893,855 651,989,964

SPDR Portfolio S&P 500 High Dividend ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,095,854,166 157,115,452 85,305,059 71,810,393

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,752,742,303 292,158,165 34,024,008 258,134,157

9. Securities Lending

Each Fund may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash,cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plusaccrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respectto a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securitiesvalues. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cashcollateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified toprovide additional collateral on the next business day.

The Funds will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bearthe risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, aFund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending itssecurities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, netof fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive afee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of December 31, 2019, and the value of the invested cash collateral are disclosed inthe Funds’ Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets andLiabilities as it is held by the lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecatethose securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earnedfrom the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paidto State Street as lending agent.


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The following is a summary of each Fund’s securities lending agreements and related cash and non-cash collateral received asof December 31, 2019:

FundMarket Value of

Securities on Loan

CashCollateralReceived

Non-CashCollateralReceived*

TotalCollateralReceived

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 31,188,489 $ 5,894,871 $ 25,786,465 $ 31,681,336

SPDR Portfolio S&P 400 Mid Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191,942,458 59,317,976 136,645,276 195,963,252

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,921,145 117,437,304 67,359,438 184,796,742

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . . . . . . . . . . . . . 94,042,159 31,277,037 64,567,939 95,844,976

SPDR Portfolio S&P 500 Growth ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,290,843 4,499,888 8,098,274 12,598,162

SPDR Portfolio S&P 500 High Dividend ETF . . . . . . . . . . . . . . . . . . . . . . . . 66,277,382 6,893,709 60,686,298 67,580,007

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,546,136 8,630,235 8,109,714 16,739,949

* The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the typeof collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31,2019:

Remaining Contractual Maturity of the AgreementsAs of December 31, 2019

Fund

SecuritiesLending

Transactions

Overnightand

Continuous <30 Days

Between30 & 90

Days >90 DaysTotal

Borrowings

Gross Amountof RecognizedLiabilities for

Securities LendingTransactions

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . Common Stocks $ 5,894,871 $— $— $— $ 5,894,871 $ 5,894,871

SPDR Portfolio S&P 400 Mid Cap ETF . . . . . . . . Common Stocks 59,317,881 — — — 59,317,881 59,317,881

SPDR Portfolio S&P 400 Mid Cap ETF . . . . . . . . Rights 95 — — — 95 95

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . Common Stocks 117,417,530 — — — 117,417,530 117,417,530

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . Rights 19,774 — — — 19,774 19,774

SPDR Portfolio S&P 1500 Composite Stock MarketETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Common Stocks 31,274,407 — — — 31,274,407 31,274,407

SPDR Portfolio S&P 1500 Composite Stock MarketETF. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Rights 2,630 — — — 2,630 2,630

SPDR Portfolio S&P 500 High Dividend ETF. . . . . Common Stocks 6,893,709 — — — 6,893,709 6,893,709

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . Common Stocks 8,630,235 — — — 8,630,235 8,630,235

10. Risks

Concentration Risk

As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country,state, region, currency or economic sector, an adverse economic, business or political development may affect the value of theFunds’ investments more than if the Funds were more broadly diversified.

Market and Credit Risk

In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk ofpotential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk).Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that aninstitution or entity with which the Fund has unsettled or open transactions defaults.


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11. Stock Splits

The Board authorized a 4-for-1 stock split, 3-for-1 stock split, 3-for-1 stock split, 6-for-1 stock split, 4-for-1 stock split and4-for-1 stock split for the SPDR Portfolio S&P 500 ETF, SPDR Portfolio S&P 400 Mid Cap ETF, SPDR Portfolio S&P 600Small Cap ETF, SPDR Portfolio S&P 1500 Composite Stock Market ETF, SPDR Portfolio S&P 500 Growth ETF and SPDRPortfolio S&P 500 Value ETF, respectively, effective after the close of trading on October 13, 2017, for the shareholders ofrecord on October 11, 2017. The impact of the stock splits was to increase the number of shares outstanding, while decreasingthe NAV per share by the corresponding factors noted above, resulting in no effect to the net assets of the aforementionedFunds. The financial statements and financial highlights of the aforementioned Funds have been adjusted to reflect the stocksplits.

12. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements wereissued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.


78

Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable,on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and otherFund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund andto compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 madeat the beginning of the period shown and held for the entire period from July 1, 2019 to December 31, 2019.

The table below illustrates your Fund’s cost in two ways:

Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The“Ending Account Value” shown is derived from each Fund’s actual return, and the third column shows the dollar amount thatwould have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with theamount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by$1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for theFund under the heading “Expenses Paid During Period”.

Based on hypothetical 5% return ——This section is intended to help you compare your Fund’s costs with those of othermutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. Inthis case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example isuseful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds tocalculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with thehypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect anytransaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful incomparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, ifthese transaction costs were included, your costs would have been higher.

ActualHypothetical (assuming a 5%

return before expenses)

AnnualizedExpense Ratio

Ending AccountValue

Expenses PaidDuring

Period(a)Ending Account

Value

Expenses PaidDuring

Period(a)

SPDR Portfolio S&P 500 ETF . . . . . . . . . . . . . . . . . . . . . 0.03% $1,105.90 $0.16 $1,025.00 $0.15

SPDR Portfolio S&P 400 Mid Cap ETF . . . . . . . . . . . . . . . 0.05 1,072.80 0.26 1,024.90 0.25

SPDR Portfolio S&P 600 Small Cap ETF . . . . . . . . . . . . . . 0.05 1,074.70 0.26 1,024.90 0.25

SPDR Portfolio S&P 1500 Composite Stock Market ETF . . . . 0.03 1,103.10 0.16 1,025.00 0.15

SPDR Portfolio S&P 500 Growth ETF . . . . . . . . . . . . . . . . 0.04 1,090.70 0.21 1,024.90 0.20

SPDR Portfolio S&P 500 High Dividend ETF . . . . . . . . . . . 0.07 1,064.10 0.36 1,024.80 0.36

SPDR Portfolio S&P 500 Value ETF . . . . . . . . . . . . . . . . . 0.04 1,129.90 0.21 1,024.90 0.20

(a) Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366.

SPDR SERIES TRUSTOTHER INFORMATIONDecember 31, 2019 (Unaudited)

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Liquidity Risk Management Program

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a liquidity risk management program. The program’sprincipal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factorsspecific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requestswithout significant dilution of remaining investors’ interests in the Fund.

SSGA FM has been designated by the Board to administer the Funds’ liquidity risk management program. At a board meetingduring the fiscal period, SSGA FM provided the Board with a report addressing the operations of the program and assessingits adequacy and effectiveness of implementation, including:

• the program supported each Fund’s ability to honor redemption requests timely;

• the program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of marketvolatility and net redemptions;

• no material liquidity issues were identified during the period;

• there were no material changes to the program during the period;

• the implementation of the program was effective to manage each Fund’s liquidity risk; and

• the program operated adequately during the period.

There can be no assurance that the program will achieve its objectives in the future. Please refer to your Fund’s prospectus formore information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fundmay be subject.

Premium/Discount Information

Information regarding how often the Shares of each Fund traded on the exchange at a price above (i.e., at a premium) or below(i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.

Proxy Voting Policies and Procedures and Records

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to voteproxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257(toll free) or (ii) on the SEC’s website at www.sec.gov.

Information regarding how the investment adviser voted for the 12-month period ended June 30, is available by August 31 ofeach year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds’ website at www.spdrs.com.

Quarterly Portfolio Schedule

Following the Funds’ first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibiton Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Funds’ schedules of investments areavailable upon request, without charge, by calling 1-866-787-2257 (toll free).

Full Portfolio Schedule

The complete schedule of portfolio holdings for the following Funds is available on the Funds’ website at www.spdrs.com,without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.



SPDR SERIES TRUSTOTHER INFORMATION (continued)December 31, 2019 (Unaudited)

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SPDR Series Trust

TrusteesBonny E. BoatmanDwight D. ChurchillFrank Nesvet, ChairmanClare S. RicherJames E. RossSandra G. SponemCarl G. Verboncoeur

Investment Manager and AdministratorSSGA Funds Management, Inc.One Iron StreetBoston, MA 02210

DistributorState Street Global Advisors Funds Distributors, LLCOne Iron StreetBoston, MA 02210

Custodian, Sub-Administratorand Transfer AgentState Street Bank and Trust CompanyOne Lincoln StreetBoston, MA 02111

Legal CounselMorgan, Lewis & Bockius LLP1111 Pennsylvania Avenue, NWWashington, DC 20004

Independent Registered Public AccountingFirmErnst & Young LLP200 Clarendon StreetBoston, MA 02116


SPDR® Series Trust - Equity FundsFor more complete information, please call 1.866.787.2257 orvisit www.spdrs.com today.

State Street Global AdvisorsOne Iron StreetBoston, MA 02210

ETFs trade like stocks, are subject to investment risk, fluctuatein market value and may trade at prices above or below theETF's net asset value. Brokerage commissions and ETFexpenses will reduce returns.

Standard & Poor’s, S&P and SPDR are registered trademarks ofStandard & Poor’s Financial Services LLC (S&P); Dow Jones is aregistered trademark of Dow Jones Trademark Holdings LLC(Dow Jones); and these trademarks have been licensed for useby S&P Dow Jones Indices LLC (SPDJI) and sublicensed forcertain purposes by State Street Corporation. State StreetCorporation’s financial products are not sponsored, endorsed,sold or promoted by SPDJI, Dow Jones, S&P, their respective

affiliates and third party licensors and none of such partiesmake any representation regarding the advisability ofinvesting in such product(s) nor do they have any liability inrelation thereto, including for any errors, omissions, orinterruptions of any index.

Distributor: State Street Global Advisors FundsDistributors, LLC, member FINRA, SIPC, an indirect whollyowned subsidiary of State Street Corporation. References toState Street may include State Street Corporation and itsaffiliates. Certain State Street affiliates provide services andreceive fees from the SPDR ETFs.

Before investing, consider a Fund’s investment objectives,risks, charges and expenses. To obtain a prospectus orsummary prospectus which contains this and otherinformation, call 1.866.787.2257 or visit www.spdrs.com.Read it carefully.

Not FDIC Insured. No Bank Guarantee. May Lose Value.

The information contained in this report is intended for the general information of shareholders of the Trust. This report isnot authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus whichcontains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor bycalling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.

© 2020 State Street Corporation - All Rights ReservedSPDRPORTEQSAR


COMMON STOCKS — 99.7%AEROSPACE & DEFENSE — 1.0%AAR Corp. . . . . . . . . . . . . . . . . 13,027 $ 587,518Aerojet Rocketdyne Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 45,388 2,072,416AeroVironment, Inc. (a) . . . . . . . . 15,231 940,362Astronics Corp. (a) . . . . . . . . . . . 18,044 504,330Axon Enterprise, Inc. (a). . . . . . . . 35,388 2,593,233Cubic Corp.. . . . . . . . . . . . . . . . 17,104 1,087,301Ducommun, Inc. (a). . . . . . . . . . . 8,716 440,419Kratos Defense & Security

Solutions, Inc. (a) . . . . . . . . . . 60,949 1,097,691Mercury Systems, Inc. (a) . . . . . . . 31,610 2,184,567Moog, Inc. Class A . . . . . . . . . . . 2,181 186,105National Presto Industries, Inc.. . . . 3,412 301,587Park Aerospace Corp. . . . . . . . . . 9,517 154,842Parsons Corp. (a) . . . . . . . . . . . . 50,291 2,076,012Triumph Group, Inc. . . . . . . . . . . 33,468 845,736Vectrus, Inc. (a) . . . . . . . . . . . . . 8,675 444,681Wesco Aircraft Holdings, Inc. (a) . . 43,644 480,957

15,997,757

AIR FREIGHT & LOGISTICS — 0.2%Air Transport Services Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 38,524 903,773Atlas Air Worldwide Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 16,728 461,191Echo Global Logistics, Inc. (a) . . . . 13,848 286,654Forward Air Corp. . . . . . . . . . . . . 16,851 1,178,727Hub Group, Inc. Class A (a). . . . . . 19,681 1,009,438Radiant Logistics, Inc. (a) . . . . . . . 23,435 130,533

3,970,316

AIRLINES — 0.5%Allegiant Travel Co.. . . . . . . . . . . 7,764 1,351,247Hawaiian Holdings, Inc. . . . . . . . . 30,114 882,039JetBlue Airways Corp. (a) . . . . . . . 153,364 2,870,974SkyWest, Inc. . . . . . . . . . . . . . . . 29,817 1,927,073Spirit Airlines, Inc. (a) . . . . . . . . . 34,652 1,396,822

8,428,155

AUTO COMPONENTS — 1.0%American Axle & Manufacturing

Holdings, Inc. (a) . . . . . . . . . . 73,889 795,046Cooper Tire & Rubber Co. . . . . . . 31,120 894,700Cooper-Standard Holdings, Inc. (a) . 11,756 389,829Dana, Inc. . . . . . . . . . . . . . . . . . 88,410 1,609,062Dorman Products, Inc. (a) . . . . . . . 16,180 1,225,150Fox Factory Holding Corp. (a) . . . . 24,472 1,702,517Garrett Motion, Inc. (a) . . . . . . . . 32,029 319,970Gentherm, Inc. (a) . . . . . . . . . . . . 13,237 587,590Goodyear Tire & Rubber Co. . . . . . 117,328 1,825,037LCI Industries . . . . . . . . . . . . . . 14,549 1,558,634Modine Manufacturing Co. (a) . . . . 29,986 230,892Motorcar Parts of America, Inc. (a) . 11,718 258,148Standard Motor Products, Inc. . . . . 14,279 759,928Stoneridge, Inc. (a) . . . . . . . . . . . 17,920 525,414


Tenneco, Inc. Class A. . . . . . . . . . 36,467 $ 477,718Veoneer, Inc. (a) (b). . . . . . . . . . . 58,090 907,366Visteon Corp. (a) . . . . . . . . . . . . 16,748 1,450,209

15,517,210

AUTOMOBILES — 0.2%Thor Industries, Inc. (b) . . . . . . . . 31,763 2,359,673Winnebago Industries, Inc. . . . . . . 19,059 1,009,746

3,369,419

BANKS — 9.8%1st Constitution Bancorp . . . . . . . 5,151 113,9921st Source Corp. . . . . . . . . . . . . . 13,126 680,977ACNB Corp. . . . . . . . . . . . . . . . 6,912 261,412Allegiance Bancshares, Inc. (a) (b) . 10,006 376,226Amerant Bancorp, Inc. (a) (b) . . . . 17,669 385,007American National Bankshares,

Inc. . . . . . . . . . . . . . . . . . . . 6,428 254,356Ameris Bancorp . . . . . . . . . . . . . 39,652 1,686,796Arrow Financial Corp. . . . . . . . . . 12,491 472,160Associated Banc-Corp.. . . . . . . . . 77,587 1,710,017Atlantic Capital Bancshares, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 21,973 403,205Atlantic Union Bankshares Corp. . . 50,419 1,893,233Banc of California, Inc. . . . . . . . . 23,090 396,686BancFirst Corp. . . . . . . . . . . . . . 9,553 596,489Bancorp, Inc. (a). . . . . . . . . . . . . 37,104 481,239BancorpSouth Bank. . . . . . . . . . . 57,639 1,810,441Bank of Commerce Holdings . . . . . 12,230 141,501Bank of Hawaii Corp. . . . . . . . . . 24,299 2,312,293Bank of Marin Bancorp . . . . . . . . 6,591 296,925Bank OZK . . . . . . . . . . . . . . . . 58,834 1,794,731BankFinancial Corp. . . . . . . . . . . 13,277 173,663BankUnited, Inc.. . . . . . . . . . . . . 44,993 1,644,944Banner Corp. . . . . . . . . . . . . . . . 22,686 1,283,801BCB Bancorp, Inc. . . . . . . . . . . . 9,623 132,701Berkshire Hills Bancorp, Inc. . . . . . 19,278 633,861Boston Private Financial Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 54,415 654,612Bridge Bancorp, Inc. . . . . . . . . . . 10,740 360,112Brookline Bancorp, Inc. . . . . . . . . 58,053 955,552Bryn Mawr Bank Corp. . . . . . . . . 16,313 672,748C&F Financial Corp. . . . . . . . . . . 2,656 146,956Cadence BanCorp . . . . . . . . . . . . 66,364 1,203,179Camden National Corp. . . . . . . . . 13,076 602,281Capital City Bank Group, Inc. . . . . 5,597 170,708Capstar Financial Holdings, Inc. . . . 5,823 96,953Carolina Financial Corp.. . . . . . . . 15,483 669,330Cathay General Bancorp . . . . . . . . 47,015 1,788,921CenterState Bank Corp. . . . . . . . . 76,367 1,907,648Central Pacific Financial Corp.. . . . 12,503 369,839Central Valley Community

Bancorp . . . . . . . . . . . . . . . . 8,566 185,625Chemung Financial Corp. . . . . . . . 2,843 120,827CIT Group, Inc. . . . . . . . . . . . . . 45,431 2,073,016Citizens & Northern Corp. . . . . . . 11,192 316,174City Holding Co. . . . . . . . . . . . . 11,100 909,645

SPDR PORTFOLIO S&P 600 SMALL CAP ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)

1


Civista Bancshares, Inc. . . . . . . . . 7,167 $ 172,008CNB Financial Corp. . . . . . . . . . . 11,096 362,617Codorus Valley Bancorp, Inc.. . . . . 8,399 193,429Columbia Banking System, Inc. . . . 43,769 1,780,742Community Bank System, Inc. . . . . 31,050 2,202,687Community Financial Corp. . . . . . 2,843 101,125Community Trust Bancorp, Inc. . . . 9,932 463,228ConnectOne Bancorp, Inc. . . . . . . 17,919 460,877County Bancorp, Inc. . . . . . . . . . . 4,060 104,058Customers Bancorp, Inc. (a) . . . . . 22,631 538,844CVB Financial Corp. . . . . . . . . . . 81,542 1,759,676Dime Community Bancshares, Inc. . 16,692 348,696DNB Financial Corp. (a). . . . . . . . 33 1,622Eagle Bancorp, Inc. . . . . . . . . . . . 20,031 974,107Enterprise Financial Services Corp. . 16,129 777,579Farmers & Merchants Bancorp, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 4,902 147,795Farmers National Banc Corp. . . . . . 21,846 356,527FB Financial Corp. . . . . . . . . . . . 10,815 428,166Financial Institutions, Inc. . . . . . . . 11,538 370,370First BanCorp . . . . . . . . . . . . . . 126,914 1,344,019First Bancorp, Inc. . . . . . . . . . . . 6,358 192,202First BanCorp/Southern Pines . . . . 20,249 808,138First Bancshares, Inc. . . . . . . . . . . 9,730 345,610First Busey Corp. . . . . . . . . . . . . 32,673 898,507First Business Financial Services,

Inc. . . . . . . . . . . . . . . . . . . . 7,067 186,074First Citizens BancShares, Inc.

Class A . . . . . . . . . . . . . . . . . 3,191 1,698,282First Commonwealth Financial

Corp. . . . . . . . . . . . . . . . . . . 52,698 764,648First Community Bankshares, Inc.. . 11,894 368,952First Financial Bancorp . . . . . . . . 56,780 1,444,483First Financial Bankshares, Inc. (b) . 67,448 2,367,425First Financial Corp. . . . . . . . . . . 9,673 442,250First Financial Northwest, Inc. . . . . 7,067 105,581First Foundation, Inc. . . . . . . . . . . 16,584 288,562First Guaranty Bancshares, Inc. . . . 4,422 96,267First Hawaiian, Inc. . . . . . . . . . . . 59,017 1,702,640First Horizon National Corp. . . . . . 159,654 2,643,870First Internet Bancorp . . . . . . . . . 5,610 133,013First Interstate BancSystem, Inc.

Class A . . . . . . . . . . . . . . . . . 26,908 1,127,983First Merchants Corp. . . . . . . . . . 36,597 1,522,069First Mid-Illinois Bancshares, Inc.. . 7,059 248,830First Midwest Bancorp, Inc.. . . . . . 42,076 970,273First Northwest Bancorp . . . . . . . . 7,404 134,234First of Long Island Corp. . . . . . . . 15,507 388,916Flushing Financial Corp.. . . . . . . . 19,988 431,841FNB Corp. . . . . . . . . . . . . . . . . 197,168 2,504,034Franklin Financial Network, Inc.. . . 5,461 187,476Fulton Financial Corp. . . . . . . . . . 105,827 1,844,565German American Bancorp, Inc.. . . 15,978 569,136Glacier Bancorp, Inc. . . . . . . . . . . 52,424 2,410,980Great Southern Bancorp, Inc.. . . . . 7,858 497,569Great Western Bancorp, Inc. . . . . . 24,320 844,877


Hancock Whitney Corp. . . . . . . . . 43,547 $ 1,910,842Hanmi Financial Corp. . . . . . . . . . 14,954 299,005HarborOne Bancorp, Inc. (a) . . . . . 28,148 309,346Heartland Financial USA, Inc. . . . . 23,113 1,149,641Heritage Commerce Corp.. . . . . . . 28,508 365,758Heritage Financial Corp.. . . . . . . . 18,020 509,966Hilltop Holdings, Inc. . . . . . . . . . 29,807 743,088Home BancShares, Inc. . . . . . . . . 72,201 1,419,472HomeTrust Bancshares, Inc. . . . . . 14,731 395,233Hope Bancorp, Inc. . . . . . . . . . . . 79,353 1,179,186Horizon Bancorp, Inc. . . . . . . . . . 31,200 592,800Howard Bancorp, Inc. (a) . . . . . . . 7,067 119,291IBERIABANK Corp.. . . . . . . . . . 23,849 1,784,621Independent Bank Corp. . . . . . . . . 17,867 404,688Independent Bank Corp.

(Massachusetts) . . . . . . . . . . . 18,722 1,558,606Independent Bank Group, Inc. . . . . 22,903 1,269,742International Bancshares Corp.. . . . 31,555 1,359,074Investar Holding Corp. . . . . . . . . . 6,887 165,288Investors Bancorp, Inc.. . . . . . . . . 129,498 1,542,969Lakeland Bancorp, Inc. . . . . . . . . 27,179 472,371Lakeland Financial Corp. . . . . . . . 17,501 856,324LCNB Corp. . . . . . . . . . . . . . . . 3,937 75,984Live Oak Bancshares, Inc.. . . . . . . 12,158 231,124Macatawa Bank Corp. . . . . . . . . . 25,447 283,225Mercantile Bank Corp. . . . . . . . . . 12,826 467,764Midland States Bancorp, Inc. . . . . . 6,578 190,499MidWestOne Financial Group, Inc. . 5,833 211,330MutualFirst Financial, Inc. . . . . . . 4,311 171,017National Bank Holdings Corp.

Class A . . . . . . . . . . . . . . . . . 19,651 692,108National Bankshares, Inc. . . . . . . . 5,149 231,345NBT Bancorp, Inc. . . . . . . . . . . . 28,814 1,168,696Nicolet Bankshares, Inc. (a). . . . . . 6,539 482,905Northrim BanCorp, Inc. . . . . . . . . 5,833 223,404Norwood Financial Corp. . . . . . . . 4,060 157,934OFG Bancorp . . . . . . . . . . . . . . 26,914 635,440Ohio Valley Banc Corp. . . . . . . . . 2,656 105,231Old National Bancorp . . . . . . . . . 106,029 1,939,270Old Second Bancorp, Inc. . . . . . . . 24,440 329,207Opus Bank . . . . . . . . . . . . . . . . 22,879 591,880Orrstown Financial Services, Inc. . . 5,823 131,716Pacific Mercantile Bancorp (a). . . . 12,230 99,308Pacific Premier Bancorp, Inc. . . . . 32,738 1,067,422PacWest Bancorp . . . . . . . . . . . . 55,308 2,116,637Park National Corp.. . . . . . . . . . . 11,270 1,153,823Parke Bancorp, Inc. . . . . . . . . . . . 5,964 151,426Peapack Gladstone Financial Corp. . 9,651 298,216Penns Woods Bancorp, Inc. . . . . . . 4,193 149,103Peoples Bancorp of North Carolina,

Inc. . . . . . . . . . . . . . . . . . . . 3,853 126,571Peoples Bancorp, Inc. . . . . . . . . . 12,506 433,458People’s Utah Bancorp . . . . . . . . . 12,989 391,229Pinnacle Financial Partners, Inc. . . . 36,649 2,345,536Popular, Inc. . . . . . . . . . . . . . . . 56,523 3,320,726Premier Financial Bancorp, Inc. . . . 6,331 114,844


2


Prosperity Bancshares, Inc. . . . . . . 46,116 $ 3,315,279QCR Holdings, Inc. . . . . . . . . . . . 5,137 225,309Renasant Corp.. . . . . . . . . . . . . . 24,167 855,995Republic Bancorp, Inc. Class A . . . 8,411 393,635Republic First Bancorp, Inc. (a) . . . 43,498 181,822S&T Bancorp, Inc. . . . . . . . . . . . 26,427 1,064,744Sandy Spring Bancorp, Inc. . . . . . . 23,870 904,196Seacoast Banking Corp. of Florida

(a) . . . . . . . . . . . . . . . . . . . . 18,775 573,952ServisFirst Bancshares, Inc.. . . . . . 28,912 1,089,404Shore Bancshares, Inc. . . . . . . . . . 11,341 196,880Sierra Bancorp . . . . . . . . . . . . . . 10,778 313,855Simmons First National Corp.

Class A . . . . . . . . . . . . . . . . . 62,378 1,671,107SmartFinancial, Inc. . . . . . . . . . . 5,610 132,676South State Corp. . . . . . . . . . . . . 15,193 1,317,993Southern First Bancshares, Inc. (a) . 5,831 247,759Southern National Bancorp of

Virginia, Inc. . . . . . . . . . . . . . 10,743 175,648Southside Bancshares, Inc. . . . . . . 22,544 837,284Sterling Bancorp. . . . . . . . . . . . . 93,032 1,961,115Stock Yards Bancorp, Inc. . . . . . . . 10,764 441,970Summit Financial Group, Inc. . . . . 5,654 153,167TCF Financial Corp. . . . . . . . . . . 76,597 3,584,740Texas Capital Bancshares, Inc. (a) . . 29,108 1,652,461Tompkins Financial Corp. . . . . . . . 9,295 850,492TriCo Bancshares . . . . . . . . . . . . 17,163 700,422TriState Capital Holdings, Inc. (a) . . 19,067 498,030Triumph Bancorp, Inc. (a) . . . . . . . 15,302 581,782Trustmark Corp. . . . . . . . . . . . . . 30,500 1,052,555UMB Financial Corp. . . . . . . . . . 21,449 1,472,259Umpqua Holdings Corp. . . . . . . . . 134,261 2,376,420United Bankshares, Inc. . . . . . . . . 60,668 2,345,425United Community Banks, Inc. . . . 48,110 1,485,637Unity Bancorp, Inc. . . . . . . . . . . . 5,823 131,425Univest Financial Corp. . . . . . . . . 20,465 548,053Valley National Bancorp. . . . . . . . 223,305 2,556,842Veritex Holdings, Inc. . . . . . . . . . 29,069 846,780Washington Trust Bancorp, Inc. . . . 8,536 459,151Webster Financial Corp. . . . . . . . . 47,292 2,523,501WesBanco, Inc. . . . . . . . . . . . . . 35,185 1,329,641West Bancorp, Inc. . . . . . . . . . . . 11,691 299,640Westamerica Bancorporation . . . . . 17,479 1,184,552Western Alliance Bancorp . . . . . . . 51,770 2,950,890Wintrust Financial Corp.. . . . . . . . 26,557 1,882,891

160,061,309

BEVERAGES — 0.2%Boston Beer Co., Inc. Class A (a) . . 4,404 1,664,051Coca-Cola Consolidated, Inc. . . . . . 3,252 923,730Craft Brew Alliance, Inc. (a) . . . . . 8,530 140,745MGP Ingredients, Inc. (b) . . . . . . . 8,237 399,083National Beverage Corp. (a) (b) . . . 8,552 436,323New Age Beverages Corp. (a) (b) . . 39,666 72,192Primo Water Corp. (a) (b) . . . . . . . 23,052 258,759

3,894,883


BIOTECHNOLOGY — 6.3%Abeona Therapeutics, Inc. (a) (b) . . 24,440 $ 79,919ACADIA Pharmaceuticals, Inc. (a) . 81,409 3,482,677Acceleron Pharma, Inc. (a) (b) . . . . 29,539 1,566,158Achillion Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 78,397 472,734Adamas Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 16,640 63,066ADMA Biologics, Inc. (a) . . . . . . . 28,742 114,968Adverum Biotechnologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 37,678 434,051Agenus, Inc. (a) (b) . . . . . . . . . . . 75,974 309,214Agios Pharmaceuticals, Inc. (a) (b) . 33,390 1,594,372Aimmune Therapeutics, Inc. (a) (b) . 24,687 826,274Akebia Therapeutics, Inc. (a) (b). . . 64,419 407,128Aldeyra Therapeutics, Inc. (a) . . . . 16,752 97,329Alector, Inc. (a) (b) . . . . . . . . . . . 24,224 417,379Allakos, Inc. (a) (b) . . . . . . . . . . . 12,938 1,233,768Allogene Therapeutics, Inc. (a) (b) . 20,015 519,990AMAG Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 28,502 346,869Amicus Therapeutics, Inc. (a). . . . . 144,384 1,406,300AnaptysBio, Inc. (a) (b) . . . . . . . . 15,898 258,342Anavex Life Sciences Corp. (a) . . . 40,851 105,804Anika Therapeutics, Inc. (a). . . . . . 9,768 506,471Apellis Pharmaceuticals, Inc. (a). . . 24,434 748,169Arcus Biosciences, Inc. (a) . . . . . . 18,607 187,931Ardelyx, Inc. (a) . . . . . . . . . . . . . 43,892 329,409Arena Pharmaceuticals, Inc. (a) . . . 29,817 1,354,288ArQule, Inc. (a) . . . . . . . . . . . . . 66,011 1,317,580Arrowhead Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 46,455 2,946,641Assembly Biosciences, Inc. (a) . . . . 12,982 265,612Atara Biotherapeutics, Inc. (a) (b) . . 27,565 453,996Athenex, Inc. (a) (b) . . . . . . . . . . 37,203 568,090Athersys, Inc. (a) (b) . . . . . . . . . . 95,035 116,893Audentes Therapeutics, Inc. (a) . . . 23,756 1,421,559Avid Bioservices, Inc. (a) (b) . . . . . 44,445 340,893Avrobio, Inc. (a) (b) . . . . . . . . . . . 10,630 213,982Baudax Bio, Inc. (a) (b) . . . . . . . . 4,871 33,707BioCryst Pharmaceuticals, Inc. (a) . 83,809 289,141Biohaven Pharmaceutical Holding

Co., Ltd. (a) . . . . . . . . . . . . . . 22,490 1,224,356BioSpecifics Technologies Corp.

(a) . . . . . . . . . . . . . . . . . . . . 3,118 177,539Blueprint Medicines Corp. (a) . . . . 29,905 2,395,690Bridgebio Pharma, Inc. (a) . . . . . . 34,739 1,217,602Calithera Biosciences, Inc. (a) . . . . 37,487 214,051CareDx, Inc. (a) (b) . . . . . . . . . . . 24,173 521,412CASI Pharmaceuticals, Inc. (a). . . . 30,396 93,924Catalyst Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 67,562 253,357Cellular Biomedicine Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 9,528 154,735CEL-SCI Corp. (a) (b) . . . . . . . . . 24,447 223,690ChemoCentryx, Inc. (a) . . . . . . . . 25,692 1,016,119Clovis Oncology, Inc. (a) (b) . . . . . 33,898 353,387


3


Coherus Biosciences, Inc. (a) (b) . . 36,780 $ 662,224Corbus Pharmaceuticals Holdings,

Inc. (a) (b) . . . . . . . . . . . . . . . 40,970 223,696Crinetics Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 7,646 191,838Cytokinetics, Inc. (a) . . . . . . . . . . 33,229 352,560CytomX Therapeutics, Inc. (a) . . . . 34,402 285,881Deciphera Pharmaceuticals, Inc. (a). 15,174 944,430Denali Therapeutics, Inc. (a) (b) . . . 39,542 688,822Dicerna Pharmaceuticals, Inc. (a) . . 31,702 698,395Dynavax Technologies Corp. (a) (b). 50,467 288,671Eagle Pharmaceuticals, Inc. (a). . . . 9,498 570,640Editas Medicine, Inc. (a) (b) . . . . . 29,875 884,599Emergent BioSolutions, Inc. (a) . . . 26,319 1,419,910Enanta Pharmaceuticals, Inc. (a) . . . 10,890 672,784Epizyme, Inc. (a) (b) . . . . . . . . . . 44,617 1,097,578Esperion Therapeutics, Inc. (a) (b). . 15,889 947,461Fate Therapeutics, Inc. (a) (b). . . . . 36,380 711,957FibroGen, Inc. (a) . . . . . . . . . . . . 38,423 1,647,962Five Prime Therapeutics, Inc. (a). . . 29,029 133,243Flexion Therapeutics, Inc. (a) (b) . . 26,527 549,109G1 Therapeutics, Inc. (a) (b) . . . . . 18,840 497,941Galectin Therapeutics, Inc. (a) (b) . . 28,066 80,269Geron Corp. (a) (b) . . . . . . . . . . . 117,591 159,924Global Blood Therapeutics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 36,111 2,870,463GlycoMimetics, Inc. (a) (b) . . . . . . 24,460 129,393Gossamer Bio, Inc. (a) (b) . . . . . . . 20,846 325,823Halozyme Therapeutics, Inc. (a) . . . 58,767 1,041,939Heron Therapeutics, Inc. (a) (b) . . . 54,300 1,276,050Homology Medicines, Inc. (a) (b) . . 14,744 305,201ImmunoGen, Inc. (a) (b) . . . . . . . . 104,412 533,023Immunomedics, Inc. (a) (b) . . . . . . 107,155 2,267,400Insmed, Inc. (a) (b) . . . . . . . . . . . 49,153 1,173,774Intellia Therapeutics, Inc. (a) (b) . . . 21,796 319,747Intercept Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 14,993 1,857,933Intrexon Corp. (a) (b). . . . . . . . . . 59,710 327,211Invitae Corp. (a) (b). . . . . . . . . . . 51,168 825,340Iovance Biotherapeutics, Inc. (a) . . . 69,238 1,916,508Ironwood Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 103,665 1,379,781Kadmon Holdings, Inc. (a) (b) . . . . 84,613 383,297KalVista Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 8,182 145,721Karyopharm Therapeutics, Inc. (a) . 39,539 757,963Kindred Biosciences, Inc. (a) . . . . . 21,763 184,550Kodiak Sciences, Inc. (a) (b) . . . . . 18,830 1,354,818Krystal Biotech, Inc. (a) (b) . . . . . . 4,762 263,720Kura Oncology, Inc. (a) (b) . . . . . . 22,241 305,814La Jolla Pharmaceutical Co. (a) (b) . 19,011 74,713Lexicon Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 72,544 301,058Ligand Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 11,329 1,181,501MacroGenics, Inc. (a) (b) . . . . . . . 30,641 333,374


Madrigal Pharmaceuticals, Inc.(a) (b) . . . . . . . . . . . . . . . . . . 6,493 $ 591,577

Magenta Therapeutics, Inc. (a) . . . . 8,704 131,953MannKind Corp. (a) (b) . . . . . . . . 104,807 135,201Medicines Co. (a) (b) . . . . . . . . . . 43,091 3,660,150MediciNova, Inc. (a) (b) . . . . . . . . 23,150 156,031MEI Pharma, Inc. (a) . . . . . . . . . . 43,769 108,547MeiraGTx Holdings PLC (a) . . . . . 13,094 262,142Minerva Neurosciences, Inc. (a) . . . 24,454 173,868Mirati Therapeutics, Inc. (a) (b) . . . 23,146 2,982,594Moderna, Inc. (a) (b) . . . . . . . . . . 102,900 2,012,724Molecular Templates, Inc. (a) . . . . . 8,227 115,055Momenta Pharmaceuticals, Inc. (a) . 64,037 1,263,450Myriad Genetics, Inc. (a) . . . . . . . 45,663 1,243,403Natera, Inc. (a) . . . . . . . . . . . . . . 33,008 1,112,039OPKO Health, Inc. (a) (b) . . . . . . . 244,963 360,096PDL BioPharma, Inc. (a) . . . . . . . 79,470 257,880Pfenex, Inc. (a) . . . . . . . . . . . . . . 21,645 237,662Pieris Pharmaceuticals, Inc. (a). . . . 42,212 152,807Portola Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 44,096 1,053,012Principia Biopharma, Inc. (a) . . . . . 7,321 401,044Progenics Pharmaceuticals, Inc. (a) . 61,832 314,725Protagonist Therapeutics, Inc. (a) . . 11,785 83,084PTC Therapeutics, Inc. (a). . . . . . . 37,792 1,815,150Puma Biotechnology, Inc. (a) (b). . . 22,714 198,747Ra Pharmaceuticals, Inc. (a) . . . . . 22,286 1,045,882Radius Health, Inc. (a) (b) . . . . . . . 29,861 601,998REGENXBIO, Inc. (a) . . . . . . . . . 22,130 906,666Retrophin, Inc. (a) . . . . . . . . . . . . 26,003 369,243Rhythm Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 13,000 298,480Rigel Pharmaceuticals, Inc. (a) . . . . 92,430 197,800Rocket Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 29,985 682,459Rubius Therapeutics, Inc. (a) (b) . . . 14,998 142,481Sangamo Therapeutics, Inc. (a) (b) . 66,595 557,400Scholar Rock Holding Corp. (a) (b) . 14,007 184,612Seres Therapeutics, Inc. (a) (b) . . . . 25,267 87,171Solid Biosciences, Inc. (a) (b) . . . . 18,677 83,113Sorrento Therapeutics, Inc. (a) (b) . . 66,706 225,466Spectrum Pharmaceuticals, Inc. (a) . 70,275 255,801Stemline Therapeutics, Inc. (a) (b). . 28,086 298,554Stoke Therapeutics, Inc. (a) . . . . . . 13,764 389,796Syndax Pharmaceuticals, Inc. (a) . . 17,954 157,636Syros Pharmaceuticals, Inc. (a). . . . 23,248 160,644TG Therapeutics, Inc. (a) (b) . . . . . 52,642 584,326Translate Bio, Inc. (a) (b) . . . . . . . 22,659 184,444Turning Point Therapeutics, Inc. (a) . 10,886 678,089Twist Bioscience Corp. (a) (b) . . . . 16,742 351,582Ultragenyx Pharmaceutical, Inc. (a). 24,164 1,032,044United Therapeutics Corp. (a) . . . . 20,846 1,836,116UNITY Biotechnology, Inc. (a) (b) . 13,972 100,738UroGen Pharma, Ltd. (a) (b) . . . . . 8,093 270,063Vanda Pharmaceuticals, Inc. (a) . . . 33,581 551,064Veracyte, Inc. (a). . . . . . . . . . . . . 20,607 575,347


4


Vericel Corp. (a) (b) . . . . . . . . . . 31,251 $ 543,767Viking Therapeutics, Inc. (a) (b) . . . 50,281 403,254Voyager Therapeutics, Inc. (a) (b) . . 15,721 219,308XBiotech, Inc. (a) (b) . . . . . . . . . . 12,503 233,368Xencor, Inc. (a) (b) . . . . . . . . . . . 33,741 1,160,353Y-mAbs Therapeutics, Inc. (a) . . . . 12,838 401,187ZIOPHARM Oncology, Inc. (a) (b) . 113,960 537,891

103,353,659

BUILDING PRODUCTS — 1.4%AAON, Inc. . . . . . . . . . . . . . . . . 24,170 1,194,239Advanced Drainage Systems, Inc. . . 28,521 1,107,756American Woodmark Corp. (a). . . . 9,376 979,886Apogee Enterprises, Inc. . . . . . . . . 17,030 553,475Armstrong Flooring, Inc. (a) . . . . . 21,696 92,642Armstrong World Industries, Inc. . . 28,491 2,677,299Builders FirstSource, Inc. (a) . . . . . 67,270 1,709,331Continental Building Products, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 24,792 903,172Cornerstone Building Brands, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 34,774 295,927CSW Industrials, Inc.. . . . . . . . . . 3,824 294,448Gibraltar Industries, Inc. (a). . . . . . 14,064 709,388Griffon Corp. . . . . . . . . . . . . . . . 25,997 528,519Insteel Industries, Inc. . . . . . . . . . 15,565 334,492JELD-WEN Holding, Inc. (a). . . . . 41,918 981,300Masonite International Corp. (a) . . . 15,727 1,135,647Patrick Industries, Inc. . . . . . . . . . 14,730 772,294PGT Innovations, Inc. (a) . . . . . . . 34,600 515,886Quanex Building Products Corp.. . . 26,735 456,634Resideo Technologies, Inc. (a) . . . . 65,383 780,019Simpson Manufacturing Co., Inc. . . 23,702 1,901,611Trex Co., Inc. (a) (b) . . . . . . . . . . 34,403 3,092,142Universal Forest Products, Inc. . . . . 35,463 1,691,585

22,707,692

CAPITAL MARKETS — 1.5%Affiliated Managers Group, Inc. . . . 24,750 2,097,315Artisan Partners Asset

Management, Inc. Class A . . . . . 34,878 1,127,257B. Riley Financial, Inc. . . . . . . . . . 14,564 366,722BGC Partners, Inc. Class A . . . . . . 158,669 942,494Blucora, Inc. (a) . . . . . . . . . . . . . 31,674 827,958Brightsphere Investment Group,

Inc. (a) . . . . . . . . . . . . . . . . . 41,892 428,136Cohen & Steers, Inc. . . . . . . . . . . 14,184 890,188Cowen, Inc. Class A (a) . . . . . . . . 23,148 364,581Diamond Hill Investment Group,

Inc. . . . . . . . . . . . . . . . . . . . 2,403 337,525Donnelley Financial Solutions, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 23,010 240,915Evercore, Inc. Class A . . . . . . . . . 17,123 1,280,116Focus Financial Partners, Inc.

Class A (a). . . . . . . . . . . . . . . 9,703 285,947GAMCO Investors, Inc. Class A . . . 7,167 139,685Greenhill & Co., Inc. (b). . . . . . . . 11,853 202,449Hamilton Lane, Inc. Class A . . . . . 10,414 620,674


Houlihan Lokey, Inc. . . . . . . . . . . 20,543 $ 1,003,937Interactive Brokers Group, Inc.

Class A . . . . . . . . . . . . . . . . . 38,997 1,818,040INTL. FCStone, Inc. (a) . . . . . . . . 12,435 607,201Ladenburg Thalmann Financial

Services, Inc. . . . . . . . . . . . . . 82,268 286,293Lazard, Ltd. Class A . . . . . . . . . . 52,778 2,109,009Legg Mason, Inc. . . . . . . . . . . . . 40,829 1,466,169Moelis & Co. Class A . . . . . . . . . 27,994 893,569Piper Jaffray Cos. . . . . . . . . . . . . 2,396 191,536PJT Partners, Inc. Class A . . . . . . . 9,557 431,307Pzena Investment Management, Inc.

Class A . . . . . . . . . . . . . . . . . 14,798 127,559Stifel Financial Corp. . . . . . . . . . . 30,254 1,834,905Tradeweb Markets, Inc. Class A . . . 22,172 1,027,672Virtu Financial, Inc. Class A (b) . . . 44,521 711,891Virtus Investment Partners, Inc. . . . 3,199 389,382Waddell & Reed Financial, Inc.

Class A (b). . . . . . . . . . . . . . . 47,867 800,336Westwood Holdings Group, Inc. . . . 7,151 211,813WisdomTree Investments, Inc. . . . . 86,188 417,150

24,479,731

CHEMICALS — 2.3%Advanced Emissions Solutions, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 14,887 156,314AdvanSix, Inc. (a) . . . . . . . . . . . . 18,890 377,044AgroFresh Solutions, Inc. (a) . . . . . 36,483 94,126American Vanguard Corp. . . . . . . . 14,745 287,085Amyris, Inc. (a) (b) . . . . . . . . . . . 41,743 128,986Ashland Global Holdings, Inc. . . . . 31,162 2,384,828Balchem Corp. . . . . . . . . . . . . . . 19,199 1,951,194Cabot Corp.. . . . . . . . . . . . . . . . 23,737 1,127,982Chase Corp.. . . . . . . . . . . . . . . . 5,138 608,750Chemours Co. (b) . . . . . . . . . . . . 84,442 1,527,556Element Solutions, Inc. (a) . . . . . . 96,187 1,123,464Ferro Corp. (a) . . . . . . . . . . . . . . 51,890 769,529FutureFuel Corp. . . . . . . . . . . . . 17,921 222,041GCP Applied Technologies, Inc. (a) . 26,674 605,767Hawkins, Inc.. . . . . . . . . . . . . . . 3,385 155,067HB Fuller Co. . . . . . . . . . . . . . . 19,243 992,362Ingevity Corp. (a) . . . . . . . . . . . . 21,132 1,846,514Innophos Holdings, Inc. . . . . . . . . 13,874 443,691Innospec, Inc. . . . . . . . . . . . . . . 14,493 1,499,156Intrepid Potash, Inc. (a) . . . . . . . . 80,406 217,900Koppers Holdings, Inc. (a) . . . . . . 11,053 422,446Kraton Corp. (a) . . . . . . . . . . . . . 22,745 575,903Livent Corp. (a) (b) . . . . . . . . . . . 71,207 608,820Minerals Technologies, Inc. . . . . . . 13,143 757,431NewMarket Corp. . . . . . . . . . . . . 4,543 2,210,260Olin Corp.. . . . . . . . . . . . . . . . . 79,138 1,365,131OMNOVA Solutions, Inc. (a) . . . . . 29,986 303,158PolyOne Corp. . . . . . . . . . . . . . . 46,742 1,719,638Quaker Chemical Corp. . . . . . . . . 5,781 951,090Rayonier Advanced Materials, Inc. . 34,127 131,048Scotts Miracle-Gro Co.. . . . . . . . . 23,151 2,458,173Sensient Technologies Corp. . . . . . 19,601 1,295,430


5


Stepan Co. . . . . . . . . . . . . . . . . 12,413 $ 1,271,588Trecora Resources (a) . . . . . . . . . 17,260 123,409Tredegar Corp. . . . . . . . . . . . . . . 19,075 426,326Trinseo SA . . . . . . . . . . . . . . . . 26,598 989,712Tronox Holdings PLC Class A (a) . . 55,815 637,407Valvoline, Inc. . . . . . . . . . . . . . . 111,201 2,380,813WR Grace & Co. . . . . . . . . . . . . 33,119 2,313,362

37,460,501


ABM Industries, Inc. . . . . . . . . . . 40,020 1,509,154ACCO Brands Corp. . . . . . . . . . . 29,782 278,760Advanced Disposal Services, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 50,843 1,671,209Brady Corp. Class A . . . . . . . . . . 23,198 1,328,318BrightView Holdings, Inc. (a) (b) . . 17,808 300,421Brink’s Co. . . . . . . . . . . . . . . . . 29,418 2,667,624Casella Waste Systems, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 27,073 1,246,170CECO Environmental Corp. (a) . . . 15,315 117,313Civeo Corp. (a). . . . . . . . . . . . . . 111,884 144,330Clean Harbors, Inc. (a) . . . . . . . . . 30,496 2,615,032Covanta Holding Corp.. . . . . . . . . 59,168 878,053Deluxe Corp. . . . . . . . . . . . . . . . 19,480 972,442Ennis, Inc.. . . . . . . . . . . . . . . . . 21,639 468,484Harsco Corp. (a) . . . . . . . . . . . . . 52,115 1,199,166Healthcare Services Group, Inc. (b) . 45,920 1,116,774Heritage-Crystal Clean, Inc. (a) . . . 9,562 299,960Herman Miller, Inc. . . . . . . . . . . . 34,962 1,456,167HNI Corp.. . . . . . . . . . . . . . . . . 25,988 973,510IAA, Inc. (a) . . . . . . . . . . . . . . . 70,566 3,320,836Interface, Inc.. . . . . . . . . . . . . . . 38,490 638,549KAR Auction Services, Inc. (b) . . . 63,664 1,387,239Kimball International, Inc. Class B . 26,913 556,292Knoll, Inc.. . . . . . . . . . . . . . . . . 15,000 378,900Matthews International Corp.

Class A . . . . . . . . . . . . . . . . . 20,898 797,677McGrath RentCorp . . . . . . . . . . . 10,528 805,813Mobile Mini, Inc. . . . . . . . . . . . . 26,987 1,023,077MSA Safety, Inc. . . . . . . . . . . . . 20,926 2,644,209PICO Holdings, Inc. (a) . . . . . . . . 10,872 120,897Pitney Bowes, Inc.. . . . . . . . . . . . 115,326 464,764Quad/Graphics, Inc.. . . . . . . . . . . 25,910 121,000RR Donnelley & Sons Co.. . . . . . . 49,022 193,637SP Plus Corp. (a) . . . . . . . . . . . . 15,292 648,840Steelcase, Inc. Class A . . . . . . . . . 52,544 1,075,050Stericycle, Inc. (a) (b) . . . . . . . . . 46,822 2,987,712Team, Inc. (a). . . . . . . . . . . . . . . 15,493 247,423Tetra Tech, Inc. . . . . . . . . . . . . . . 31,959 2,753,587UniFirst Corp. . . . . . . . . . . . . . . 8,907 1,799,036US Ecology, Inc. . . . . . . . . . . . . . 8,457 489,745Viad Corp. . . . . . . . . . . . . . . . . 13,044 880,470VSE Corp. . . . . . . . . . . . . . . . . 5,201 197,846

42,775,486


COMMUNICATIONS EQUIPMENT — 1.2%Acacia Communications, Inc. (a) . . 22,748 $ 1,542,542ADTRAN, Inc.. . . . . . . . . . . . . . 32,638 322,790Applied Optoelectronics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 16,633 197,600CalAmp Corp. (a) . . . . . . . . . . . . 19,156 183,514Calix, Inc. (a). . . . . . . . . . . . . . . 27,894 223,152CommScope Holding Co., Inc. (a). . 98,843 1,402,582Comtech Telecommunications

Corp. . . . . . . . . . . . . . . . . . . 15,398 546,475Digi International, Inc. (a). . . . . . . 14,729 260,998EchoStar Corp. Class A (a) . . . . . . 29,258 1,267,164Extreme Networks, Inc. (a) . . . . . . 79,206 583,748Harmonic, Inc. (a) . . . . . . . . . . . . 51,068 398,330Infinera Corp. (a) (b) . . . . . . . . . . 115,574 917,658Inseego Corp. (a) (b) . . . . . . . . . . 34,510 252,958InterDigital, Inc. . . . . . . . . . . . . . 12,523 682,378KVH Industries, Inc. (a) . . . . . . . . 11,094 123,476Lumentum Holdings, Inc. (a) . . . . . 44,799 3,552,561NETGEAR, Inc. (a). . . . . . . . . . . 21,525 527,578NetScout Systems, Inc. (a) . . . . . . 48,822 1,175,145Plantronics, Inc. (b) . . . . . . . . . . . 22,737 621,630Ribbon Communications, Inc. (a) . . 67,067 207,908ViaSat, Inc. (a) . . . . . . . . . . . . . . 28,486 2,085,033Viavi Solutions, Inc. (a) . . . . . . . . 135,477 2,032,155

19,107,375

CONSTRUCTION & ENGINEERING — 1.0%Aegion Corp. (a). . . . . . . . . . . . . 22,691 507,598Ameresco, Inc. Class A (a) . . . . . . 13,604 238,070Arcosa, Inc. . . . . . . . . . . . . . . . . 23,198 1,033,471Argan, Inc. . . . . . . . . . . . . . . . . 9,340 374,908Comfort Systems USA, Inc. . . . . . 22,269 1,110,110Dycom Industries, Inc. (a) . . . . . . . 18,908 891,512EMCOR Group, Inc. . . . . . . . . . . 32,836 2,833,747Fluor Corp. . . . . . . . . . . . . . . . . 64,473 1,217,250Granite Construction, Inc. (b) . . . . 31,281 865,545Great Lakes Dredge & Dock Corp.

(a) . . . . . . . . . . . . . . . . . . . . 30,630 347,038HC2 Holdings, Inc. (a) (b). . . . . . . 8,456 18,350MasTec, Inc. (a) . . . . . . . . . . . . . 34,797 2,232,575MYR Group, Inc. (a) . . . . . . . . . . 11,663 380,097Northwest Pipe Co. (a) . . . . . . . . . 8,227 274,041NV5 Global, Inc. (a) . . . . . . . . . . 6,610 333,474Primoris Services Corp. . . . . . . . . 15,390 342,274Sterling Construction Co., Inc. (a) . . 21,805 307,014Tutor Perini Corp. (a) (b) . . . . . . . 27,428 352,724Valmont Industries, Inc. . . . . . . . . 9,615 1,440,135Willscot Corp. (a) . . . . . . . . . . . . 22,086 408,370

15,508,303

CONSTRUCTION MATERIALS — 0.3%Eagle Materials, Inc. . . . . . . . . . . 24,776 2,246,192Forterra, Inc. (a) . . . . . . . . . . . . . 13,504 156,106Summit Materials, Inc. Class A (a) . 66,290 1,584,331US Concrete, Inc. (a) . . . . . . . . . . 10,984 457,594

4,444,223


6


CONSUMER FINANCE — 0.8%Encore Capital Group, Inc. (a) . . . . 15,789 $ 558,299Enova International, Inc. (a) . . . . . 20,766 499,630FirstCash, Inc. . . . . . . . . . . . . . . 24,861 2,004,542Green Dot Corp. Class A (a) . . . . . 32,426 755,526LendingClub Corp. (a) . . . . . . . . . 52,556 663,257Navient Corp. . . . . . . . . . . . . . . 113,904 1,558,207Nelnet, Inc. Class A. . . . . . . . . . . 12,203 710,703OneMain Holdings, Inc. . . . . . . . . 48,961 2,063,706PRA Group, Inc. (a) . . . . . . . . . . 30,309 1,100,217Regional Management Corp. (a) . . . 9,554 286,907SLM Corp. . . . . . . . . . . . . . . . . 231,760 2,064,981World Acceptance Corp. (a) (b) . . . 5,859 506,217

12,772,192

CONTAINERS & PACKAGING — 0.4%Graphic Packaging Holding Co. . . . 146,741 2,443,238Greif, Inc. Class A. . . . . . . . . . . . 3,915 173,043Myers Industries, Inc. . . . . . . . . . 24,797 413,614O-I Glass, Inc. . . . . . . . . . . . . . . 103,314 1,232,536Silgan Holdings, Inc. . . . . . . . . . . 46,375 1,441,335UFP Technologies, Inc. (a) . . . . . . 4,424 219,474

5,923,240

DISTRIBUTORS — 0.0% (c)Core-Mark Holding Co., Inc. . . . . . 21,510 584,857Weyco Group, Inc. . . . . . . . . . . . 5,151 136,244

721,101


Adtalem Global Education, Inc. (a) . 24,498 856,695American Public Education, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 13,317 364,753Carriage Services, Inc. . . . . . . . . . 9,689 248,038Chegg, Inc. (a) . . . . . . . . . . . . . . 67,469 2,557,750Collectors Universe, Inc.. . . . . . . . 6,887 158,745frontdoor, Inc. (a) . . . . . . . . . . . . 50,149 2,378,066Graham Holdings Co. Class B . . . . 2,628 1,679,266Grand Canyon Education, Inc. (a) . . 25,349 2,428,181H&R Block, Inc.. . . . . . . . . . . . . 104,530 2,454,364Houghton Mifflin Harcourt Co. (a) . 85,401 533,756K12, Inc. (a) . . . . . . . . . . . . . . . 26,197 533,109Laureate Education, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 47,304 833,024Perdoceo Education Corp. (a). . . . . 46,347 852,321Regis Corp. (a) . . . . . . . . . . . . . . 26,563 474,681Strategic Education, Inc. . . . . . . . . 12,788 2,032,013WW International, Inc. (a) (b) . . . . 36,996 1,413,617

19,798,379


Cannae Holdings, Inc. (a) . . . . . . . 39,919 1,484,588Marlin Business Services Corp. . . . 9,711 213,448On Deck Capital, Inc. (a) . . . . . . . 21,975 90,976

1,789,012



Anterix, Inc. (a) (b) . . . . . . . . . . . 6,351 $ 274,427ATN International, Inc.. . . . . . . . . 7,762 429,937Bandwidth, Inc. Class A (a) (b) . . . 8,558 548,140Cincinnati Bell, Inc. (a) (b) . . . . . . 41,920 438,903Cogent Communications Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 19,985 1,315,213Consolidated Communications

Holdings, Inc.. . . . . . . . . . . . . 48,723 189,045Iridium Communications, Inc. (a) . . 67,774 1,669,951Ooma, Inc. (a) . . . . . . . . . . . . . . 12,503 165,415ORBCOMM, Inc. (a) . . . . . . . . . . 59,454 250,301Pareteum Corp. (a) (b) . . . . . . . . . 53,449 23,373Vonage Holdings Corp. (a) . . . . . . 116,857 865,910

6,170,615

ELECTRIC UTILITIES — 1.1%ALLETE, Inc. . . . . . . . . . . . . . . 28,793 2,337,128El Paso Electric Co.. . . . . . . . . . . 21,431 1,454,951Hawaiian Electric Industries, Inc. . . 64,627 3,028,421MGE Energy, Inc. . . . . . . . . . . . . 21,060 1,659,949Otter Tail Corp. . . . . . . . . . . . . . 24,105 1,236,345PG&E Corp. (a) (b) . . . . . . . . . . . 291,230 3,165,670PNM Resources, Inc. . . . . . . . . . . 46,466 2,356,291Portland General Electric Co.. . . . . 47,287 2,638,142

17,876,897

ELECTRICAL EQUIPMENT — 0.9%Acuity Brands, Inc. . . . . . . . . . . . 20,220 2,790,360Allied Motion Technologies, Inc. . . 5,610 272,085Atkore International Group, Inc. (a). 30,633 1,239,411AZZ, Inc. . . . . . . . . . . . . . . . . . 18,880 867,536Bloom Energy Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 29,331 219,103Encore Wire Corp. . . . . . . . . . . . 13,729 788,045EnerSys . . . . . . . . . . . . . . . . . . 20,177 1,509,845Generac Holdings, Inc. (a) . . . . . . 32,047 3,223,608LSI Industries, Inc. . . . . . . . . . . . 22,925 138,696Plug Power, Inc. (a) (b). . . . . . . . . 143,492 453,435Preformed Line Products Co. . . . . . 1,360 82,076Regal Beloit Corp. . . . . . . . . . . . 17,794 1,523,344Sunrun, Inc. (a) (b) . . . . . . . . . . . 59,784 825,617Thermon Group Holdings, Inc. (a) . 14,814 397,015TPI Composites, Inc. (a) . . . . . . . . 13,993 259,010Ultralife Corp. (a) . . . . . . . . . . . . 6,887 50,895Vicor Corp. (a) . . . . . . . . . . . . . . 11,491 536,859Vivint Solar, Inc. (a) (b) . . . . . . . . 18,660 135,472

15,312,412


Akoustis Technologies, Inc. (a) (b) . 10,761 86,088Anixter International, Inc. (a). . . . . 19,071 1,756,439Arlo Technologies, Inc. (a) . . . . . . 52,345 220,372Avnet, Inc.. . . . . . . . . . . . . . . . . 42,718 1,812,952AVX Corp. . . . . . . . . . . . . . . . . 32,877 672,992Badger Meter, Inc. . . . . . . . . . . . 17,267 1,121,146


7


Belden, Inc. . . . . . . . . . . . . . . . . 24,792 $ 1,363,560Benchmark Electronics, Inc. . . . . . 24,487 841,373Coherent, Inc. (a) . . . . . . . . . . . . 14,066 2,339,879CTS Corp.. . . . . . . . . . . . . . . . . 20,623 618,896Daktronics, Inc. . . . . . . . . . . . . . 37,495 228,345Dolby Laboratories, Inc. Class A . . 29,887 2,056,226ePlus, Inc. (a). . . . . . . . . . . . . . . 7,184 605,539FARO Technologies, Inc. (a) . . . . . 11,509 579,478Fitbit, Inc. Class A (a) . . . . . . . . . 143,155 940,528II-VI, Inc. (a) (b). . . . . . . . . . . . . 50,928 1,714,746Insight Enterprises, Inc. (a) . . . . . . 21,149 1,486,563Iteris, Inc. (a) . . . . . . . . . . . . . . . 21,761 108,587Itron, Inc. (a) . . . . . . . . . . . . . . . 23,179 1,945,877Jabil, Inc. . . . . . . . . . . . . . . . . . 85,551 3,535,823KEMET Corp. . . . . . . . . . . . . . . 32,810 887,511Kimball Electronics, Inc. (a) . . . . . 20,334 356,862Knowles Corp. (a) . . . . . . . . . . . . 53,860 1,139,139Littelfuse, Inc. . . . . . . . . . . . . . . 11,268 2,155,568Methode Electronics, Inc. . . . . . . . 23,037 906,506MTS Systems Corp. . . . . . . . . . . 12,052 578,858Napco Security Technologies, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 8,542 251,049nLight, Inc. (a) . . . . . . . . . . . . . . 15,002 304,241Novanta, Inc. (a) . . . . . . . . . . . . . 19,975 1,766,589OSI Systems, Inc. (a) . . . . . . . . . . 10,118 1,019,287PAR Technology Corp. (a) (b) . . . . 8,327 255,972PC Connection, Inc.. . . . . . . . . . . 10,036 498,388Plexus Corp. (a) . . . . . . . . . . . . . 17,672 1,359,684Rogers Corp. (a) . . . . . . . . . . . . . 10,888 1,358,060Sanmina Corp. (a) . . . . . . . . . . . . 41,362 1,416,235ScanSource, Inc. (a). . . . . . . . . . . 17,180 634,801SYNNEX Corp. . . . . . . . . . . . . . 20,064 2,584,243Tech Data Corp. (a) . . . . . . . . . . . 20,996 3,015,026TTM Technologies, Inc. (a) . . . . . . 65,576 986,919Vishay Intertechnology, Inc. . . . . . 81,212 1,729,004Vishay Precision Group, Inc. (a) . . . 10,071 342,414

47,581,765

ENERGY EQUIPMENT & SERVICES — 1.0%Apergy Corp. (a). . . . . . . . . . . . . 48,452 1,636,709Archrock, Inc. . . . . . . . . . . . . . . 66,178 664,427Cactus, Inc. Class A. . . . . . . . . . . 20,461 702,222Diamond Offshore Drilling, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 95,028 683,251DMC Global, Inc. (b). . . . . . . . . . 9,500 426,930Dril-Quip, Inc. (a) . . . . . . . . . . . . 24,169 1,133,768Era Group, Inc. (a) . . . . . . . . . . . 21,601 219,682Exterran Corp. (a) . . . . . . . . . . . . 29,306 229,466Forum Energy Technologies, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 70,580 118,574Helix Energy Solutions Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 95,077 915,592Helmerich & Payne, Inc.. . . . . . . . 55,286 2,511,643ION Geophysical Corp. (a) . . . . . . 8,540 74,127Liberty Oilfield Services, Inc.

Class A . . . . . . . . . . . . . . . . . 19,229 213,826Matrix Service Co. (a) . . . . . . . . . 22,170 507,250


McDermott International, Inc.(a) (b) . . . . . . . . . . . . . . . . . . 126,048 $ 85,284

Newpark Resources, Inc. (a) . . . . . 72,199 452,688NexTier Oilfield Solutions, Inc. (a) . 3,766 25,232Nine Energy Service, Inc. (a) (b) . . 17,853 139,610Oceaneering International, Inc. (a) . 67,791 1,010,764Oil States International, Inc. (a) . . . 38,733 631,735Patterson-UTI Energy, Inc. . . . . . . 91,319 958,849ProPetro Holding Corp. (a) . . . . . . 47,015 528,919RPC, Inc. (b) . . . . . . . . . . . . . . . 42,220 221,233SEACOR Holdings, Inc. (a). . . . . . 7,492 323,280SEACOR Marine Holdings, Inc. (a). 9,147 126,137Select Energy Services, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 39,736 368,750Solaris Oilfield Infrastructure, Inc.

Class A (b). . . . . . . . . . . . . . . 9,307 130,298TETRA Technologies, Inc. (a) . . . . 105,108 206,012Tidewater, Inc. (a) . . . . . . . . . . . . 19,220 370,562US Silica Holdings, Inc. (b). . . . . . 49,328 303,367

15,920,187

ENTERTAINMENT — 0.5%AMC Entertainment Holdings, Inc.

Class A (b). . . . . . . . . . . . . . . 31,204 225,917Cinemark Holdings, Inc. (b) . . . . . 65,045 2,201,773Eros International PLC (a) (b) . . . . 41,008 139,017Glu Mobile, Inc. (a) . . . . . . . . . . . 76,672 463,866Lions Gate Entertainment Corp.

Class A (a). . . . . . . . . . . . . . . 36,272 386,660Marcus Corp. . . . . . . . . . . . . . . . 8,574 272,396World Wrestling Entertainment, Inc.

Class A (b). . . . . . . . . . . . . . . 27,730 1,798,845Zynga, Inc. Class A (a) . . . . . . . . . 505,687 3,094,804

8,583,278


Acadia Realty Trust REIT . . . . . . . 51,560 1,336,951Agree Realty Corp. REIT . . . . . . . 21,619 1,517,005Alexander & Baldwin, Inc. REIT . . 44,419 931,022Alexander’s, Inc. REIT. . . . . . . . . 1,051 347,198American Assets Trust, Inc. REIT . . 25,492 1,170,083American Finance Trust, Inc. REIT

(b) . . . . . . . . . . . . . . . . . . . . 56,865 754,030Apple Hospitality REIT, Inc. . . . . . 96,574 1,569,328Armada Hoffler Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 38,533 707,081Ashford Hospitality Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 77,548 216,359Bluerock Residential Growth REIT,

Inc. . . . . . . . . . . . . . . . . . . . 12,764 153,806Braemar Hotels & Resorts, Inc.

REIT . . . . . . . . . . . . . . . . . . 20,755 185,342Brandywine Realty Trust REIT . . . 111,065 1,749,274CareTrust REIT, Inc. . . . . . . . . . . 56,594 1,167,534CatchMark Timber Trust, Inc.

Class A REIT . . . . . . . . . . . . . 30,073 344,937


8


CBL & Associates Properties, Inc.REIT (b) . . . . . . . . . . . . . . . . 122,485 $ 128,609

Cedar Realty Trust, Inc. REIT . . . . 67,916 200,352Chatham Lodging Trust REIT . . . . 24,683 452,686City Office REIT, Inc. . . . . . . . . . 16,615 224,635Clipper Realty, Inc. REIT (b) . . . . . 12,154 128,832Colony Capital, Inc. REIT. . . . . . . 291,345 1,383,889Columbia Property Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 55,275 1,155,800Community Healthcare Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 12,038 515,949CoreCivic, Inc. REIT . . . . . . . . . . 58,386 1,014,749CoreSite Realty Corp. REIT . . . . . 21,635 2,425,716Corporate Office Properties Trust

REIT . . . . . . . . . . . . . . . . . . 67,442 1,981,446Cousins Properties, Inc. REIT . . . . 87,099 3,588,479DiamondRock Hospitality Co.

REIT . . . . . . . . . . . . . . . . . . 128,311 1,421,686Diversified Healthcare Trust REIT . 142,839 1,205,561Easterly Government Properties,

Inc. REIT . . . . . . . . . . . . . . . 38,017 902,143EastGroup Properties, Inc. REIT. . . 21,890 2,904,146Empire State Realty Trust, Inc.

Class A REIT . . . . . . . . . . . . . 64,509 900,546Equity Commonwealth REIT . . . . . 73,374 2,408,868Essential Properties Realty Trust,

Inc. REIT (b) . . . . . . . . . . . . . 31,082 771,144Farmland Partners, Inc. REIT (b) . . 20,188 136,875First Industrial Realty Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 74,400 3,088,344Four Corners Property Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 36,781 1,036,856Franklin Street Properties Corp.

REIT . . . . . . . . . . . . . . . . . . 74,740 639,774Front Yard Residential Corp. REIT . 30,913 381,466GEO Group, Inc. REIT. . . . . . . . . 75,222 1,249,437Getty Realty Corp. REIT . . . . . . . 22,692 745,886Gladstone Commercial Corp. REIT . 19,842 433,746Global Medical REIT, Inc. . . . . . . 16,024 211,998Global Net Lease, Inc. REIT . . . . . 54,833 1,112,013Hannon Armstrong Sustainable

Infrastructure Capital, Inc. REIT(b) . . . . . . . . . . . . . . . . . . . . 31,186 1,003,566

Healthcare Realty Trust, Inc. REIT . 76,368 2,548,400Hersha Hospitality Trust REIT . . . . 17,545 255,280Highwoods Properties, Inc. REIT . . 50,526 2,471,227Independence Realty Trust, Inc.


REIT . . . . . . . . . . . . . . . . . . 32,727 733,739Innovative Industrial Properties, Inc.

REIT (b) . . . . . . . . . . . . . . . . 5,671 430,259Investors Real Estate Trust REIT . . 5,855 424,488iStar, Inc. REIT . . . . . . . . . . . . . 25,860 375,229JBG SMITH Properties REIT . . . . 71,812 2,864,581Lexington Realty Trust REIT . . . . . 143,587 1,524,894Life Storage, Inc. REIT . . . . . . . . 27,412 2,968,171


LTC Properties, Inc. REIT. . . . . . . 23,723 $ 1,062,079Macerich Co. REIT (b). . . . . . . . . 73,998 1,992,026Mack-Cali Realty Corp. REIT . . . . 55,702 1,288,387MGM Growth Properties LLC

Class A REIT (b). . . . . . . . . . . 43,929 1,360,481Monmouth Real Estate Investment

Corp. REIT . . . . . . . . . . . . . . 41,484 600,688National Health Investors, Inc.


REIT . . . . . . . . . . . . . . . . . . 38,471 1,293,395New Senior Investment Group, Inc.

REIT . . . . . . . . . . . . . . . . . . 42,107 322,119NexPoint Residential Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 12,823 577,035Office Properties Income Trust

REIT . . . . . . . . . . . . . . . . . . 28,539 917,243One Liberty Properties, Inc. REIT. . 13,536 368,044Outfront Media, Inc. REIT . . . . . . 85,174 2,284,367Paramount Group, Inc. REIT . . . . . 90,522 1,260,066Pebblebrook Hotel Trust REIT . . . . 61,479 1,648,252Pennsylvania Real Estate

Investment Trust (b) . . . . . . . . . 54,413 290,021Physicians Realty Trust REIT . . . . 111,651 2,114,670Piedmont Office Realty Trust, Inc.

Class A REIT . . . . . . . . . . . . . 77,398 1,721,332PotlatchDeltic Corp. REIT . . . . . . 38,738 1,676,193Preferred Apartment Communities,

Inc. Class A REIT . . . . . . . . . . 25,704 342,377PS Business Parks, Inc. REIT. . . . . 11,733 1,934,420QTS Realty Trust, Inc. Class A

REIT . . . . . . . . . . . . . . . . . . 32,255 1,750,479Rayonier, Inc. REIT. . . . . . . . . . . 64,564 2,115,117Retail Opportunity Investments

Corp. REIT . . . . . . . . . . . . . . 69,431 1,226,151Retail Properties of America, Inc.

Class A REIT . . . . . . . . . . . . . 130,434 1,747,816Retail Value, Inc. REIT. . . . . . . . . 10,256 377,421Rexford Industrial Realty, Inc.

REIT . . . . . . . . . . . . . . . . . . 60,373 2,757,235RLJ Lodging Trust REIT . . . . . . . 70,440 1,248,197RPT Realty REIT . . . . . . . . . . . . 52,280 786,291Ryman Hospitality Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 24,504 2,123,517Sabra Health Care REIT, Inc. . . . . . 110,960 2,367,886Saul Centers, Inc. REIT . . . . . . . . 4,859 256,458Seritage Growth Properties Class A

REIT (b) . . . . . . . . . . . . . . . . 21,588 865,247Service Properties Trust REIT . . . . 82,640 2,010,631SITE Centers Corp. REIT . . . . . . . 85,659 1,200,939Spirit Realty Capital, Inc. REIT . . . 53,312 2,621,884STAG Industrial, Inc. REIT . . . . . . 81,468 2,571,945Summit Hotel Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 66,634 822,264Sunstone Hotel Investors, Inc.

REIT . . . . . . . . . . . . . . . . . . 140,013 1,948,981Tanger Factory Outlet Centers, Inc.

REIT (b) . . . . . . . . . . . . . . . . 56,388 830,595


9


Taubman Centers, Inc. REIT . . . . . 37,750 $ 1,173,648Terreno Realty Corp. REIT . . . . . . 37,803 2,046,654UMH Properties, Inc. REIT. . . . . . 26,827 421,989Uniti Group, Inc. REIT (b) . . . . . . 114,977 943,961Universal Health Realty Income

Trust REIT . . . . . . . . . . . . . . 7,712 905,080Urban Edge Properties REIT . . . . . 71,152 1,364,695Washington Prime Group, Inc.


Trust . . . . . . . . . . . . . . . . . . 38,590 1,126,056Weingarten Realty Investors REIT . 72,011 2,249,624Whitestone REIT (b) . . . . . . . . . . 14,840 202,121Xenia Hotels & Resorts, Inc. REIT . 71,146 1,537,465

128,465,575

FOOD & STAPLES RETAILING — 0.8%Andersons, Inc. . . . . . . . . . . . . . 20,794 525,672BJ’s Wholesale Club Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 70,335 1,599,418Casey’s General Stores, Inc. . . . . . 19,240 3,058,967Chefs’ Warehouse, Inc. (a) . . . . . . 19,165 730,378Grocery Outlet Holding Corp.

(a) (b) . . . . . . . . . . . . . . . . . . 17,668 573,327Ingles Markets, Inc. Class A . . . . . 7,246 344,257Performance Food Group Co. (a) . . 60,812 3,130,602PriceSmart, Inc. . . . . . . . . . . . . . 8,132 577,535Rite Aid Corp. (a) (b). . . . . . . . . . 41,993 649,632SpartanNash Co.. . . . . . . . . . . . . 22,865 325,598Sprouts Farmers Market, Inc. (a). . . 57,862 1,119,630United Natural Foods, Inc. (a) . . . . 36,882 323,086Weis Markets, Inc.. . . . . . . . . . . . 10,745 435,065

13,393,167

FOOD PRODUCTS — 1.2%B&G Foods, Inc. (b) . . . . . . . . . . 47,367 849,290Calavo Growers, Inc. (b) . . . . . . . . 9,684 877,273Cal-Maine Foods, Inc. . . . . . . . . . 17,481 747,313Darling Ingredients, Inc. (a). . . . . . 79,459 2,231,209Flowers Foods, Inc. . . . . . . . . . . . 98,559 2,142,673Fresh Del Monte Produce, Inc. . . . . 18,162 635,307Freshpet, Inc. (a). . . . . . . . . . . . . 18,270 1,079,574Hain Celestial Group, Inc. (a) (b) . . 61,820 1,604,538Hostess Brands, Inc. (a) . . . . . . . . 67,455 980,796J&J Snack Foods Corp. . . . . . . . . 8,811 1,623,603John B Sanfilippo & Son, Inc. . . . . 4,144 378,264Lancaster Colony Corp. . . . . . . . . 9,517 1,523,672Landec Corp. (a). . . . . . . . . . . . . 22,796 257,823Limoneira Co. . . . . . . . . . . . . . . 7,114 136,802Sanderson Farms, Inc. . . . . . . . . . 11,690 2,060,012Simply Good Foods Co. (a) . . . . . . 41,440 1,182,698Tootsie Roll Industries, Inc. (b) . . . 6,186 211,190TreeHouse Foods, Inc. (a) . . . . . . . 32,749 1,588,326

20,110,363

GAS UTILITIES — 1.0%Chesapeake Utilities Corp. . . . . . . 10,849 1,039,660National Fuel Gas Co. . . . . . . . . . 47,443 2,207,997


New Jersey Resources Corp. . . . . . 48,081 $ 2,142,970Northwest Natural Holding Co. . . . 18,469 1,361,719ONE Gas, Inc. . . . . . . . . . . . . . . 28,115 2,630,721South Jersey Industries, Inc. (b) . . . 46,213 1,524,105Southwest Gas Holdings, Inc. . . . . 30,995 2,354,690Spire, Inc. . . . . . . . . . . . . . . . . . 29,027 2,418,239

15,680,101


Accuray, Inc. (a) . . . . . . . . . . . . . 48,834 137,712AngioDynamics, Inc. (a). . . . . . . . 30,638 490,514Antares Pharma, Inc. (a) . . . . . . . . 85,639 402,503Apyx Medical Corp. (a) . . . . . . . . 24,780 209,639AtriCure, Inc. (a) . . . . . . . . . . . . 27,776 902,998Atrion Corp. . . . . . . . . . . . . . . . 903 678,605Avanos Medical, Inc. (a) . . . . . . . . 21,965 740,221AxoGen, Inc. (a) . . . . . . . . . . . . . 22,633 404,904BioLife Solutions, Inc. (a) (b) . . . . 8,300 134,294Cantel Medical Corp. (b) . . . . . . . 18,646 1,322,001Cardiovascular Systems, Inc. (a) . . . 22,034 1,070,632Cerus Corp. (a). . . . . . . . . . . . . . 92,814 391,675Conformis, Inc. (a) . . . . . . . . . . . 49,412 74,118CONMED Corp.. . . . . . . . . . . . . 16,717 1,869,462CryoLife, Inc. (a) . . . . . . . . . . . . 25,230 683,481CryoPort, Inc. (a) (b) . . . . . . . . . . 27,016 444,683Cutera, Inc. (a) . . . . . . . . . . . . . . 11,110 397,849CytoSorbents Corp. (a) (b) . . . . . . 20,471 78,813FONAR Corp. (a) . . . . . . . . . . . . 5,151 101,423GenMark Diagnostics, Inc. (a) (b) . . 34,370 165,320Glaukos Corp. (a) (b) . . . . . . . . . . 21,017 1,144,796Globus Medical, Inc. Class A (a) . . 44,938 2,645,950Heska Corp. (a) . . . . . . . . . . . . . 4,466 428,468ICU Medical, Inc. (a) . . . . . . . . . . 8,934 1,671,730Inogen, Inc. (a) . . . . . . . . . . . . . . 11,891 812,512Integer Holdings Corp. (a). . . . . . . 13,279 1,068,030Integra LifeSciences Holdings

Corp. (a) . . . . . . . . . . . . . . . . 32,437 1,890,428IntriCon Corp. (a) . . . . . . . . . . . . 5,425 97,650Invacare Corp. . . . . . . . . . . . . . . 27,637 249,286iRhythm Technologies, Inc. (a) (b). . 15,805 1,076,163Lantheus Holdings, Inc. (a) . . . . . . 25,183 516,503LeMaitre Vascular, Inc.. . . . . . . . . 13,217 475,151Merit Medical Systems, Inc. (a) . . . 35,423 1,105,906Mesa Laboratories, Inc. (b) . . . . . . 2,255 562,397Natus Medical, Inc. (a) . . . . . . . . . 22,465 741,120Neogen Corp. (a) . . . . . . . . . . . . 31,777 2,073,767Nevro Corp. (a) . . . . . . . . . . . . . 18,001 2,115,838NuVasive, Inc. (a) . . . . . . . . . . . . 30,680 2,372,791OraSure Technologies, Inc. (a) . . . . 50,424 404,905Orthofix Medical, Inc. (a) . . . . . . . 12,500 577,250OrthoPediatrics Corp. (a) (b) . . . . . 3,169 148,911Penumbra, Inc. (a) (b) . . . . . . . . . 19,038 3,127,372Quidel Corp. (a) . . . . . . . . . . . . . 23,260 1,745,198Rockwell Medical, Inc. (a) (b) . . . . 25,710 62,732RTI Surgical Holdings, Inc. (a). . . . 48,422 132,676Shockwave Medical, Inc. (a) (b) . . . 12,012 527,567


10


Sientra, Inc. (a). . . . . . . . . . . . . . 15,975 $ 142,817Silk Road Medical, Inc. (a) . . . . . . 11,812 476,969STAAR Surgical Co. (a) (b). . . . . . 29,594 1,040,821Surmodics, Inc. (a) . . . . . . . . . . . 10,977 454,777Tactile Systems Technology, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 10,976 740,990Tandem Diabetes Care, Inc. (a). . . . 32,418 1,932,437Utah Medical Products, Inc.. . . . . . 3,371 363,731Varex Imaging Corp. (a) . . . . . . . . 26,447 788,385

44,416,871


Acadia Healthcare Co., Inc. (a). . . . 53,934 1,791,688Addus HomeCare Corp. (a) . . . . . . 9,706 943,617Amedisys, Inc. (a) . . . . . . . . . . . . 18,737 3,127,580American Renal Associates

Holdings, Inc. (a) . . . . . . . . . . 27,416 284,304AMN Healthcare Services, Inc. (a) . 27,679 1,724,679BioTelemetry, Inc. (a) . . . . . . . . . 22,172 1,026,564Brookdale Senior Living, Inc. (a) . . 120,629 876,973Capital Senior Living Corp. (a) . . . 26,469 81,789Community Health Systems, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 76,186 220,939CorVel Corp. (a) . . . . . . . . . . . . . 6,025 526,344Covetrus, Inc. (a) (b) . . . . . . . . . . 48,996 646,747Cross Country Healthcare, Inc. (a) . 30,322 352,342Diplomat Pharmacy, Inc. (a) . . . . . 43,345 173,380Ensign Group, Inc. . . . . . . . . . . . 32,412 1,470,532Enzo Biochem, Inc. (a). . . . . . . . . 37,680 99,098Hanger, Inc. (a) . . . . . . . . . . . . . 16,141 445,653HealthEquity, Inc. (a) . . . . . . . . . . 40,920 3,030,944Joint Corp (a). . . . . . . . . . . . . . . 7,946 128,248LHC Group, Inc. (a) . . . . . . . . . . 17,499 2,410,662Magellan Health, Inc. (a) . . . . . . . 15,939 1,247,227MEDNAX, Inc. (a) . . . . . . . . . . . 34,795 966,953National HealthCare Corp. . . . . . . 2,429 209,939Owens & Minor, Inc. . . . . . . . . . . 48,251 249,458Patterson Cos., Inc. (b) . . . . . . . . . 30,409 622,776PetIQ, Inc. (a) (b) . . . . . . . . . . . . 9,579 239,954Premier, Inc. Class A (a) . . . . . . . . 36,483 1,381,976Providence Service Corp. (a) . . . . . 8,996 532,383R1 RCM, Inc. (a) . . . . . . . . . . . . 58,737 762,406RadNet, Inc. (a) . . . . . . . . . . . . . 32,912 668,114Select Medical Holdings Corp. (a) . 67,388 1,572,836Surgery Partners, Inc. (a) . . . . . . . 18,354 287,332Tenet Healthcare Corp. (a) . . . . . . 61,911 2,354,475Tivity Health, Inc. (a) (b) . . . . . . . 28,538 580,606Triple-S Management Corp.

Class B (a). . . . . . . . . . . . . . . 19,106 353,270US Physical Therapy, Inc. . . . . . . . 7,531 861,170

32,252,958


(a) . . . . . . . . . . . . . . . . . . . . 108,153 1,061,522Castlight Health, Inc. Class B (a) . . 65,066 86,538


Change Healthcare, Inc. (a) . . . . . . 31,832 $ 521,726Evolent Health, Inc. Class A (a) (b) . 53,352 482,836Health Catalyst, Inc. (a) . . . . . . . . 13,764 477,611HealthStream, Inc. (a) . . . . . . . . . 16,893 459,490HMS Holdings Corp. (a). . . . . . . . 51,300 1,518,480Inovalon Holdings, Inc. Class A (a) . 44,097 829,905Inspire Medical Systems, Inc. (a) . . 9,194 682,287Livongo Health, Inc. (a) . . . . . . . . 18,794 470,978NextGen Healthcare, Inc. (a) . . . . . 34,365 552,245Omnicell, Inc. (a) . . . . . . . . . . . . 24,423 1,995,847Simulations Plus, Inc. . . . . . . . . . 6,887 200,205Tabula Rasa HealthCare, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 10,370 504,811Teladoc Health, Inc. (a) (b) . . . . . . 41,812 3,500,501Vocera Communications, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 18,347 380,884

13,725,866


BBX Capital Corp. . . . . . . . . . . . 43,674 208,325BJ’s Restaurants, Inc.. . . . . . . . . . 12,556 476,626Bloomin’ Brands, Inc. . . . . . . . . . 54,577 1,204,514Boyd Gaming Corp.. . . . . . . . . . . 34,174 1,023,170Brinker International, Inc. (b). . . . . 23,435 984,270Carrols Restaurant Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 32,803 231,261Century Casinos, Inc. (a) . . . . . . . 17,928 141,990Cheesecake Factory, Inc. (b) . . . . . 27,017 1,049,881Choice Hotels International, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 20,185 2,087,735Churchill Downs, Inc. . . . . . . . . . 20,580 2,823,576Chuy’s Holdings, Inc. (a) . . . . . . . 8,201 212,570Cracker Barrel Old Country Store,

Inc. (b) . . . . . . . . . . . . . . . . . 11,594 1,782,462Dave & Buster’s Entertainment,

Inc. (b) . . . . . . . . . . . . . . . . . 12,533 503,451Del Taco Restaurants, Inc. (a). . . . . 29,992 237,087Denny’s Corp. (a) . . . . . . . . . . . . 33,929 674,509Dine Brands Global, Inc. (b) . . . . . 11,675 975,096Drive Shack, Inc. (a) (b) . . . . . . . . 46,333 169,579Eldorado Resorts, Inc. (a) (b) . . . . . 31,969 1,906,631Everi Holdings, Inc. (a) . . . . . . . . 47,806 642,035Fiesta Restaurant Group, Inc. (a). . . 18,109 179,098Golden Entertainment, Inc. (a) . . . . 10,555 202,867Habit Restaurants, Inc. Class A (a) . 12,036 125,535Hilton Grand Vacations, Inc. (a) . . . 40,567 1,395,099Hyatt Hotels Corp. Class A . . . . . . 15,592 1,398,758J Alexander’s Holdings, Inc. (a) . . . 11,094 106,059Jack in the Box, Inc. . . . . . . . . . . 11,774 918,725Lindblad Expeditions Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 18,054 295,183Marriott Vacations Worldwide

Corp. . . . . . . . . . . . . . . . . . . 23,102 2,974,613Monarch Casino & Resort, Inc. (a) . 8,322 404,033Nathan’s Famous, Inc. . . . . . . . . . 2,430 172,238Noodles & Co. (a) (b) . . . . . . . . . 21,859 121,099


11


Papa John’s International, Inc. . . . . 15,334 $ 968,342Penn National Gaming, Inc. (a) . . . 70,349 1,798,120Planet Fitness, Inc. Class A (a) . . . . 44,459 3,320,198Playa Hotels & Resorts NV (a) . . . . 63,112 530,141PlayAGS, Inc. (a) . . . . . . . . . . . . 12,791 155,155Potbelly Corp. (a) . . . . . . . . . . . . 26,831 113,227RCI Hospitality Holdings, Inc. . . . . 6,887 141,183Red Lion Hotels Corp. (a) . . . . . . . 12,503 46,636Red Robin Gourmet Burgers, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 10,490 346,380Red Rock Resorts, Inc. Class A . . . 43,886 1,051,070Ruth’s Hospitality Group, Inc. . . . . 17,388 378,450Scientific Games Corp. Class A (a) . 35,634 954,278SeaWorld Entertainment, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 49,775 1,578,365Shake Shack, Inc. Class A (a) (b) . . 16,218 966,106Six Flags Entertainment Corp. . . . . 44,143 1,991,291Texas Roadhouse, Inc. . . . . . . . . . 34,517 1,943,997Twin River Worldwide Holdings,

Inc. (b) . . . . . . . . . . . . . . . . . 16,642 426,867Wendy’s Co. . . . . . . . . . . . . . . . 126,362 2,806,500Wingstop, Inc. . . . . . . . . . . . . . . 17,460 1,505,576Wyndham Destinations, Inc. . . . . . 53,838 2,782,886Wyndham Hotels & Resorts, Inc. . . 49,855 3,131,393

52,564,236

HOUSEHOLD DURABLES — 1.3%Bassett Furniture Industries, Inc.. . . 6,908 115,225Beazer Homes USA, Inc. (a) . . . . . 26,592 375,745Cavco Industries, Inc. (a) . . . . . . . 5,237 1,023,205Century Communities, Inc. (a) . . . . 14,763 403,768Ethan Allen Interiors, Inc. . . . . . . . 3,515 66,996Flexsteel Industries, Inc. . . . . . . . . 8,355 166,432GoPro, Inc. Class A (a) (b) . . . . . . 77,545 336,545Hooker Furniture Corp. . . . . . . . . 8,216 211,069Installed Building Products, Inc. (a). 13,934 959,635iRobot Corp. (a) (b) . . . . . . . . . . . 16,994 860,406KB Home . . . . . . . . . . . . . . . . . 51,109 1,751,505La-Z-Boy, Inc. . . . . . . . . . . . . . . 27,022 850,653LGI Homes, Inc. (a) (b) . . . . . . . . 11,366 803,008Lifetime Brands, Inc. . . . . . . . . . . 9,623 66,880Lovesac Co. (a) (b) . . . . . . . . . . . 3,513 56,384M/I Homes, Inc. (a) . . . . . . . . . . . 14,795 582,183MDC Holdings, Inc. . . . . . . . . . . 31,420 1,198,987Meritage Homes Corp. (a). . . . . . . 17,478 1,068,081Skyline Champion Corp. (a) . . . . . 32,111 1,017,919Sonos, Inc. (a) . . . . . . . . . . . . . . 22,240 347,389Taylor Morrison Home Corp.

Class A (a). . . . . . . . . . . . . . . 49,291 1,077,501Tempur Sealy International, Inc. (a) . 31,924 2,779,303TopBuild Corp. (a) . . . . . . . . . . . 20,175 2,079,639TRI Pointe Group, Inc. (a). . . . . . . 83,835 1,306,149Tupperware Brands Corp. . . . . . . . 31,263 268,237Turtle Beach Corp. (a) (b) . . . . . . . 7,296 68,947Universal Electronics, Inc. (a) . . . . 8,531 445,830VOXX International Corp. (a) . . . . 17,115 74,964William Lyon Homes Class A (a) . . 24,979 499,080


ZAGG, Inc. (a) (b) . . . . . . . . . . . 23,170 $ 187,909

21,049,574

HOUSEHOLD PRODUCTS — 0.3%Central Garden & Pet Co. (a) (b). . . 8,542 265,400Energizer Holdings, Inc. (b). . . . . . 30,466 1,530,003Oil-Dri Corp. of America . . . . . . . 4,021 145,761Spectrum Brands Holdings, Inc. . . . 21,822 1,402,936WD-40 Co. (b) . . . . . . . . . . . . . . 8,110 1,574,475

4,918,575


Clearway Energy, Inc. Class A . . . . 14,725 281,542Clearway Energy, Inc. Class C . . . . 5,107 101,885Ormat Technologies, Inc. . . . . . . . 27,197 2,026,720Pattern Energy Group, Inc. Class A . 58,266 1,558,907TerraForm Power, Inc. Class A . . . . 135,397 2,083,760

6,052,814

INDUSTRIAL CONGLOMERATES — 0.0% (c)Raven Industries, Inc.. . . . . . . . . . 13,498 465,141

INSURANCE — 2.4%Ambac Financial Group, Inc. (a) . . . 30,624 660,560American Equity Investment Life

Holding Co. . . . . . . . . . . . . . . 56,619 1,694,607American National Insurance Co. . . 10,012 1,178,212AMERISAFE, Inc. . . . . . . . . . . . 11,991 791,766Brighthouse Financial, Inc. (a) . . . . 65,722 2,578,274Citizens, Inc. (a) (b). . . . . . . . . . . 37,855 255,521CNO Financial Group, Inc. . . . . . . 67,664 1,226,748Crawford & Co. Class B . . . . . . . . 8,327 84,519eHealth, Inc. (a) . . . . . . . . . . . . . 13,181 1,266,430Employers Holdings, Inc. . . . . . . . 20,474 854,790FBL Financial Group, Inc. Class A . 5,865 345,624Genworth Financial, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 328,414 1,445,022Goosehead Insurance, Inc. Class A

(b) . . . . . . . . . . . . . . . . . . . . 7,562 320,629Hanover Insurance Group, Inc. . . . . 20,374 2,784,515HCI Group, Inc. . . . . . . . . . . . . . 2,353 107,414Health Insurance Innovations, Inc.

Class A (a) (b) . . . . . . . . . . . . 10,030 193,479Heritage Insurance Holdings, Inc. . . 12,186 161,465Horace Mann Educators Corp. . . . . 18,791 820,415Independence Holding Co. . . . . . . 4,060 170,845Investors Title Co. . . . . . . . . . . . . 1,130 179,896Kemper Corp. . . . . . . . . . . . . . . 37,743 2,925,082Kinsale Capital Group, Inc. . . . . . . 12,936 1,315,074MBIA, Inc. (a) . . . . . . . . . . . . . . 58,557 544,580Mercury General Corp. . . . . . . . . 16,473 802,729National General Holdings Corp. . . 31,063 686,492National Western Life Group, Inc.

Class A . . . . . . . . . . . . . . . . . 1,123 326,658Palomar Holdings, Inc. (a). . . . . . . 9,034 456,127Primerica, Inc. . . . . . . . . . . . . . . 24,750 3,231,360ProAssurance Corp.. . . . . . . . . . . 33,237 1,201,185


12


RLI Corp. . . . . . . . . . . . . . . . . . 25,495 $ 2,295,060Safety Insurance Group, Inc. . . . . . 9,025 835,083Selective Insurance Group, Inc. . . . 34,395 2,242,210State Auto Financial Corp. . . . . . . 9,489 294,349Stewart Information Services Corp. . 15,180 619,192Trupanion, Inc. (a) (b) . . . . . . . . . 20,994 786,435United Fire Group, Inc. . . . . . . . . 14,559 636,665United Insurance Holdings Corp. . . 20,287 255,819Universal Insurance Holdings, Inc. . 22,544 631,007White Mountains Insurance Group,

Ltd. . . . . . . . . . . . . . . . . . . . 1,376 1,534,942

38,740,780

INTERACTIVE MEDIA & SERVICES — 0.7%Actua Corp. (a) (d) . . . . . . . . . . . 2,667 747ANGI Homeservices, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 50,338 426,363Care.com, Inc. (a) . . . . . . . . . . . . 22,455 337,499Cargurus, Inc. (a) . . . . . . . . . . . . 40,720 1,432,529Cars.com, Inc. (a) (b) . . . . . . . . . . 48,453 592,096DHI Group, Inc. (a) . . . . . . . . . . . 36,589 110,133Eventbrite, Inc. Class A (a) . . . . . . 26,934 543,259Liberty TripAdvisor Holdings, Inc.

Class A (a). . . . . . . . . . . . . . . 45,133 331,727Match Group, Inc. (a) (b) . . . . . . . 31,933 2,622,019Meet Group, Inc. (a) . . . . . . . . . . 47,353 237,238Pinterest, Inc. Class A (a) . . . . . . . 73,189 1,364,243QuinStreet, Inc. (a) . . . . . . . . . . . 27,567 422,051TripAdvisor, Inc. . . . . . . . . . . . . 51,155 1,554,089TrueCar, Inc. (a) (b). . . . . . . . . . . 60,600 287,850Yelp, Inc. (a) . . . . . . . . . . . . . . . 30,053 1,046,746

11,308,589


1-800-Flowers.com, Inc. Class A(a) . . . . . . . . . . . . . . . . . . . . 14,976 217,152

Chewy, Inc. Class A (a) . . . . . . . . 15,916 461,564Duluth Holdings, Inc. Class B

(a) (b) . . . . . . . . . . . . . . . . . . 14,876 156,644Groupon, Inc. (a) . . . . . . . . . . . . 312,774 747,530Lands’ End, Inc. (a) . . . . . . . . . . . 11,889 199,735Liquidity Services, Inc. (a) . . . . . . 20,471 122,007Overstock.com, Inc. (a) . . . . . . . . 18,184 128,197PetMed Express, Inc. (b). . . . . . . . 10,740 252,605Quotient Technology, Inc. (a) . . . . . 51,902 511,754Qurate Retail, Inc. Class A (a) . . . . 193,114 1,627,951RealReal, Inc. (a) (b) . . . . . . . . . . 17,503 329,932Rubicon Project, Inc. (a) . . . . . . . . 36,927 301,324Shutterstock, Inc. (a) . . . . . . . . . . 12,649 542,389Stamps.com, Inc. (a) . . . . . . . . . . 10,483 875,540Stitch Fix, Inc. Class A (a) (b) . . . . 27,638 709,191

7,183,515

IT SERVICES — 2.1%Brightcove, Inc. (a) . . . . . . . . . . . 27,783 241,434CACI International, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 14,481 3,620,105


Cardtronics PLC Class A (a) . . . . . 26,902 $ 1,201,174Cass Information Systems, Inc. . . . 2,623 151,452Conduent, Inc. (a) . . . . . . . . . . . . 137,874 854,819CoreLogic, Inc. (a) . . . . . . . . . . . 47,341 2,069,275CSG Systems International, Inc. . . . 19,604 1,015,095Endurance International Group

Holdings, Inc. (a) . . . . . . . . . . 65,382 307,295EVERTEC, Inc. . . . . . . . . . . . . . 35,362 1,203,723Evo Payments, Inc. Class A (a) . . . . 12,986 342,960ExlService Holdings, Inc. (a) . . . . . 20,611 1,431,640GreenSky, Inc. Class A (a) (b) . . . . 32,269 287,194GTT Communications, Inc. (a) (b) . 27,012 306,586Hackett Group, Inc. . . . . . . . . . . . 20,360 328,610KBR, Inc. . . . . . . . . . . . . . . . . . 83,448 2,545,164Limelight Networks, Inc. (a) . . . . . 91,885 374,891LiveRamp Holdings, Inc. (a) . . . . . 36,241 1,742,105ManTech International Corp.

Class A . . . . . . . . . . . . . . . . . 10,981 877,162MAXIMUS, Inc.. . . . . . . . . . . . . 37,627 2,799,073MoneyGram International, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 29,028 60,959MongoDB, Inc. (a) (b) . . . . . . . . . 25,084 3,301,305Net 1 UEPS Technologies, Inc. (a). . 30,134 112,099NIC, Inc.. . . . . . . . . . . . . . . . . . 43,836 979,735Paysign, Inc. (a) (b) . . . . . . . . . . . 13,725 139,309Perficient, Inc. (a) . . . . . . . . . . . . 21,905 1,009,163Perspecta, Inc. . . . . . . . . . . . . . . 68,227 1,803,922PRGX Global, Inc. (a) . . . . . . . . . 14,876 73,190Science Applications International

Corp. . . . . . . . . . . . . . . . . . . 25,050 2,179,851Switch, Inc. Class A . . . . . . . . . . 29,984 444,363Sykes Enterprises, Inc. (a). . . . . . . 24,496 906,107TTEC Holdings, Inc. . . . . . . . . . . 9,484 375,756Tucows, Inc. Class A (a) (b). . . . . . 5,590 345,350Unisys Corp. (a) . . . . . . . . . . . . . 32,640 387,111Virtusa Corp. (a). . . . . . . . . . . . . 19,648 890,644

34,708,621


Acushnet Holdings Corp. . . . . . . . 19,542 635,115American Outdoor Brands Corp.

(a) . . . . . . . . . . . . . . . . . . . . 37,936 352,046Brunswick Corp.. . . . . . . . . . . . . 44,965 2,697,001Callaway Golf Co.. . . . . . . . . . . . 52,738 1,118,046Clarus Corp. . . . . . . . . . . . . . . . 17,828 241,748Escalade, Inc.. . . . . . . . . . . . . . . 8,327 81,854Johnson Outdoors, Inc. Class A . . . 1,429 109,604Malibu Boats, Inc. Class A (a) . . . . 12,676 519,082MasterCraft Boat Holdings, Inc. (a) . 15,412 242,739Mattel, Inc. (a) (b). . . . . . . . . . . . 207,810 2,815,826Sturm Ruger & Co., Inc. . . . . . . . . 12,060 567,182Vista Outdoor, Inc. (a) . . . . . . . . . 36,029 269,497YETI Holdings, Inc. (a) (b) . . . . . . 12,212 424,733

10,074,473


13



Accelerate Diagnostics, Inc. (a) (b) . 20,672 $ 349,357Adaptive Biotechnologies Corp. (a) . 60,251 1,802,710ChromaDex Corp. (a) (b) . . . . . . . 21,761 93,790Codexis, Inc. (a) (b). . . . . . . . . . . 33,684 538,607Fluidigm Corp. (a) . . . . . . . . . . . 37,068 128,997Harvard Bioscience, Inc. (a) . . . . . 26,255 80,078Luminex Corp. . . . . . . . . . . . . . . 27,428 635,232Medpace Holdings, Inc. (a) . . . . . . 15,899 1,336,470NanoString Technologies, Inc. (a) . . 16,905 470,297NeoGenomics, Inc. (a) . . . . . . . . . 54,730 1,600,853Pacific Biosciences of California,

Inc. (a) . . . . . . . . . . . . . . . . . 87,279 448,614Repligen Corp. (a). . . . . . . . . . . . 28,111 2,600,267Syneos Health, Inc. (a) . . . . . . . . . 36,462 2,168,577

12,253,849

MACHINERY — 3.4%Actuant Corp. Class A . . . . . . . . . 39,974 1,040,523Alamo Group, Inc. . . . . . . . . . . . 5,818 730,450Albany International Corp. Class A . 19,204 1,457,968Altra Industrial Motion Corp.. . . . . 25,654 928,931Astec Industries, Inc. . . . . . . . . . . 13,758 577,836Barnes Group, Inc. . . . . . . . . . . . 19,501 1,208,282Blue Bird Corp. (a) . . . . . . . . . . . 9,520 218,198Briggs & Stratton Corp. (b) . . . . . . 23,244 154,805Chart Industries, Inc. (a) . . . . . . . . 19,476 1,314,435CIRCOR International, Inc. (a). . . . 13,242 612,310Colfax Corp. (a) (b). . . . . . . . . . . 49,346 1,795,208Columbus McKinnon Corp.. . . . . . 13,768 551,133Commercial Vehicle Group, Inc. (a). 20,471 129,991Crane Co. . . . . . . . . . . . . . . . . . 23,724 2,049,279Douglas Dynamics, Inc. . . . . . . . . 14,546 800,030Eastern Co. . . . . . . . . . . . . . . . . 4,424 135,065Energy Recovery, Inc. (a) (b) . . . . . 28,933 283,254EnPro Industries, Inc.. . . . . . . . . . 13,040 872,115ESCO Technologies, Inc. . . . . . . . 15,030 1,390,275Evoqua Water Technologies Corp.

(a) . . . . . . . . . . . . . . . . . . . . 49,341 935,012ExOne Co. (a) (b) . . . . . . . . . . . . 8,327 62,119Federal Signal Corp. . . . . . . . . . . 35,401 1,141,682Franklin Electric Co., Inc. . . . . . . . 18,037 1,033,881Gorman-Rupp Co.. . . . . . . . . . . . 12,046 451,725Graham Corp. . . . . . . . . . . . . . . 8,373 183,201Greenbrier Cos., Inc. . . . . . . . . . . 22,651 734,572Helios Technologies, Inc. . . . . . . . 16,783 775,878Hillenbrand, Inc. . . . . . . . . . . . . . 31,337 1,043,835Hurco Cos., Inc. . . . . . . . . . . . . . 4,400 168,784Hyster-Yale Materials Handling,

Inc. . . . . . . . . . . . . . . . . . . . 4,283 252,526ITT, Inc. . . . . . . . . . . . . . . . . . . 51,659 3,818,117John Bean Technologies Corp. . . . . 18,465 2,080,267Kadant, Inc.. . . . . . . . . . . . . . . . 7,666 807,536Kennametal, Inc.. . . . . . . . . . . . . 33,852 1,248,800LB Foster Co. Class A (a) . . . . . . . 6,887 133,470Lindsay Corp. (b) . . . . . . . . . . . . 7,555 725,204


LiqTech International, Inc. (a) (b) . . 13,803 $ 80,748Lydall, Inc. (a) . . . . . . . . . . . . . . 10,877 223,196Manitex International, Inc. (a) . . . . 10,861 64,623Manitowoc Co., Inc (a) . . . . . . . . . 22,083 386,453Meritor, Inc. (a) . . . . . . . . . . . . . 51,523 1,349,387Miller Industries, Inc.. . . . . . . . . . 9,559 354,926Mueller Industries, Inc. . . . . . . . . 35,416 1,124,458Mueller Water Products, Inc.

Class A . . . . . . . . . . . . . . . . . 68,552 821,253Navistar International Corp. (a) . . . 52,423 1,517,122NN, Inc. . . . . . . . . . . . . . . . . . . 24,840 229,770Proto Labs, Inc. (a) . . . . . . . . . . . 11,700 1,188,135RBC Bearings, Inc. (a) . . . . . . . . . 12,283 1,944,890REV Group, Inc.. . . . . . . . . . . . . 17,464 213,585Rexnord Corp. (a) . . . . . . . . . . . . 41,440 1,351,773Spartan Motors, Inc. . . . . . . . . . . 21,720 392,698SPX Corp. (a) . . . . . . . . . . . . . . 18,710 951,965SPX FLOW, Inc. (a). . . . . . . . . . . 27,413 1,339,673Standex International Corp. . . . . . . 8,380 664,953Tennant Co. . . . . . . . . . . . . . . . . 12,604 982,104Terex Corp. . . . . . . . . . . . . . . . . 43,605 1,298,557Timken Co. . . . . . . . . . . . . . . . . 29,426 1,656,978Titan International, Inc. . . . . . . . . 40,925 148,149TriMas Corp. (a). . . . . . . . . . . . . 28,649 899,865Trinity Industries, Inc. . . . . . . . . . 58,379 1,293,095Wabash National Corp.. . . . . . . . . 35,658 523,816Watts Water Technologies, Inc.

Class A . . . . . . . . . . . . . . . . . 16,403 1,636,363Welbilt, Inc. (a) . . . . . . . . . . . . . 83,581 1,304,699

55,789,931

MARINE — 0.2%Genco Shipping & Trading, Ltd. . . . 21,590 229,286Kirby Corp. (a). . . . . . . . . . . . . . 28,469 2,548,830Matson, Inc. . . . . . . . . . . . . . . . 25,523 1,041,338

3,819,454

MEDIA — 1.2%AMC Networks, Inc. Class A (a). . . 17,123 676,359Boston Omaha Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 9,448 198,786Cardlytics, Inc. (a). . . . . . . . . . . . 10,685 671,659Clear Channel Outdoor Holding,

Inc. (a) . . . . . . . . . . . . . . . . . 233,471 667,727Entercom Communications Corp.

Class A (b). . . . . . . . . . . . . . . 87,204 404,627Entravision Communications Corp.

Class A . . . . . . . . . . . . . . . . . 64,662 169,415EW Scripps Co. Class A . . . . . . . . 41,462 651,368Gannett Co., Inc.. . . . . . . . . . . . . 63,458 404,862Gray Television, Inc. (a) . . . . . . . . 58,858 1,261,916Hemisphere Media Group, Inc. (a) . 14,764 219,245iHeartMedia, Inc. Class A (a) (b) . . 28,554 482,563Lee Enterprises, Inc. (a) . . . . . . . . 38,536 54,721Liberty Latin America, Ltd. Class A

(a) . . . . . . . . . . . . . . . . . . . . 32,808 633,194


14


Loral Space & Communications,Inc. (a) . . . . . . . . . . . . . . . . . 16,641 $ 537,837

Marchex, Inc. Class B (a) . . . . . . . 25,692 97,116MDC Partners, Inc. Class A (a) . . . 54,312 150,987Meredith Corp. (b) . . . . . . . . . . . 26,620 864,351MSG Networks, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 41,451 721,247National CineMedia, Inc. . . . . . . . 48,818 355,883New York Times Co. Class A . . . . . 82,878 2,666,185Nexstar Media Group, Inc. Class A . 26,437 3,099,738Scholastic Corp. . . . . . . . . . . . . . 10,008 384,808Sinclair Broadcast Group, Inc.

Class A . . . . . . . . . . . . . . . . . 38,062 1,268,987TechTarget, Inc. (a) . . . . . . . . . . . 18,028 470,531TEGNA, Inc. . . . . . . . . . . . . . . . 128,143 2,138,707Tribune Publishing Co.. . . . . . . . . 10,119 133,166

19,385,985

METALS & MINING — 1.1%AK Steel Holding Corp. (a) (b) . . . 203,381 669,123Alcoa Corp. (a) . . . . . . . . . . . . . 94,570 2,034,201Allegheny Technologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 78,662 1,625,157Carpenter Technology Corp. . . . . . 28,768 1,432,071Century Aluminum Co. (a) . . . . . . 27,470 206,437Cleveland-Cliffs, Inc. (b) . . . . . . . 173,512 1,457,501Coeur Mining, Inc. (a) . . . . . . . . . 149,440 1,207,475Commercial Metals Co. . . . . . . . . 71,488 1,592,038Compass Minerals International,

Inc. . . . . . . . . . . . . . . . . . . . 20,618 1,256,873Ferroglobe Representation &

Warranty Insurance Trust (a) (e) . 5,429 —Gold Resource Corp. . . . . . . . . . . 47,100 260,934Haynes International, Inc. . . . . . . . 10,773 385,458Hecla Mining Co. . . . . . . . . . . . . 311,036 1,054,412Kaiser Aluminum Corp. . . . . . . . . 6,891 764,143Materion Corp.. . . . . . . . . . . . . . 13,222 786,048McEwen Mining, Inc. (a) (b) . . . . . 164,111 208,421Olympic Steel, Inc. . . . . . . . . . . . 8,327 149,220Ryerson Holding Corp. (a) . . . . . . 14,764 174,658Schnitzer Steel Industries, Inc.

Class A . . . . . . . . . . . . . . . . . 19,021 412,375SunCoke Energy, Inc.. . . . . . . . . . 31,252 194,700Synalloy Corp. (a) . . . . . . . . . . . . 5,151 66,499TimkenSteel Corp. (a) . . . . . . . . . 30,624 240,705United States Steel Corp. (b) . . . . . 92,896 1,059,943Universal Stainless & Alloy

Products, Inc. (a) . . . . . . . . . . . 5,151 76,750Warrior Met Coal, Inc. . . . . . . . . . 30,146 636,985Worthington Industries, Inc. . . . . . 13,572 572,467

18,524,594


AG Mortgage Investment Trust, Inc.REIT . . . . . . . . . . . . . . . . . . 19,940 307,475

Anworth Mortgage Asset Corp.REIT . . . . . . . . . . . . . . . . . . 96,159 338,480


Apollo Commercial Real EstateFinance, Inc. REIT . . . . . . . . . 80,635 $ 1,474,814

Arbor Realty Trust, Inc. REIT (b) . . 42,946 616,275Ares Commercial Real Estate Corp.

REIT . . . . . . . . . . . . . . . . . . 22,020 348,797Arlington Asset Investment Corp.

Class A (b). . . . . . . . . . . . . . . 35,784 199,317ARMOUR Residential REIT, Inc. . . 27,880 498,216Blackstone Mortgage Trust, Inc.

Class A REIT (b). . . . . . . . . . . 77,179 2,872,602Capstead Mortgage Corp. REIT . . . 55,150 436,788Chimera Investment Corp. REIT

(b) . . . . . . . . . . . . . . . . . . . . 103,256 2,122,943Colony Credit Real Estate, Inc.

REIT (b) . . . . . . . . . . . . . . . . 60,895 801,378Ellington Residential Mortgage

REIT (b) . . . . . . . . . . . . . . . . 18,795 203,926Exantas Capital Corp. REIT . . . . . 23,626 279,023Granite Point Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 35,767 657,398Invesco Mortgage Capital, Inc.

REIT . . . . . . . . . . . . . . . . . . 57,430 956,210KKR Real Estate Finance Trust, Inc.

REIT (b) . . . . . . . . . . . . . . . . 30,674 626,363Ladder Capital Corp. REIT . . . . . . 56,345 1,016,464MFA Financial, Inc. REIT . . . . . . . 312,011 2,386,884New York Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 106,715 664,834PennyMac Mortgage Investment

Trust REIT . . . . . . . . . . . . . . 47,483 1,058,396Ready Capital Corp. REIT . . . . . . 29,769 459,038Redwood Trust, Inc. REIT. . . . . . . 57,261 947,097TPG RE Finance Trust, Inc. REIT . . 44,375 899,481Two Harbors Investment Corp.

REIT . . . . . . . . . . . . . . . . . . 148,724 2,174,345Western Asset Mortgage Capital

Corp. REIT . . . . . . . . . . . . . . 21,265 219,667

22,566,211

MULTI-UTILITIES — 0.4%Avista Corp. . . . . . . . . . . . . . . . 39,371 1,893,351Black Hills Corp. . . . . . . . . . . . . 33,392 2,622,608NorthWestern Corp. . . . . . . . . . . 30,130 2,159,417Unitil Corp. . . . . . . . . . . . . . . . . 10,365 640,764

7,316,140

MULTILINE RETAIL — 0.4%Big Lots, Inc. . . . . . . . . . . . . . . . 25,047 719,350Dillard’s, Inc. Class A (b) . . . . . . . 11,304 830,618Macy’s, Inc. (b) . . . . . . . . . . . . . 167,187 2,842,179Ollie’s Bargain Outlet Holdings,

Inc. (a) (b) . . . . . . . . . . . . . . . 27,628 1,804,384

6,196,531

OIL, GAS & CONSUMABLE FUELS — 2.7%Amplify Energy Corp. . . . . . . . . . 19,036 125,828Antero Resources Corp. (a) (b). . . . 162,238 462,378Arch Coal, Inc. Class A . . . . . . . . 11,194 803,058


15


Berry Petroleum Corp. . . . . . . . . . 41,363 $ 390,053Bonanza Creek Energy, Inc. (a) . . . 14,629 341,441California Resources Corp. (a) (b). . 29,219 263,848Callon Petroleum Co. (a) (b) . . . . . 184,800 892,582Centennial Resource Development,

Inc. Class A (a) . . . . . . . . . . . . 101,285 467,937Chesapeake Energy Corp. (a) (b) . . 905,536 747,610Cimarex Energy Co. . . . . . . . . . . 52,978 2,780,815Clean Energy Fuels Corp. (a) . . . . . 82,469 192,977CNX Resources Corp. (a) . . . . . . . 92,329 817,112CONSOL Energy, Inc. (a) . . . . . . . 20,069 291,201CVR Energy, Inc. . . . . . . . . . . . . 50,531 2,042,968Delek US Holdings, Inc. . . . . . . . . 36,877 1,236,486Denbury Resources, Inc. (a) . . . . . 323,252 455,785Dorian LPG, Ltd. (a) . . . . . . . . . . 22,150 342,882EQT Corp. . . . . . . . . . . . . . . . . 129,609 1,412,738Equitrans Midstream Corp. (b) . . . . 134,801 1,800,941Extraction Oil & Gas, Inc. (a) (b) . . 77,032 163,308Gran Tierra Energy, Inc. (a) (b). . . . 275,978 356,012Green Plains, Inc. (b) . . . . . . . . . . 32,784 505,857Gulfport Energy Corp. (a) . . . . . . . 105,916 321,985Halcon Resources Corp. (a) . . . . . . 265 3,564HighPoint Resources Corp. (a) . . . . 66,720 112,757International Seaways, Inc. (a) . . . . 16,023 476,844Jagged Peak Energy, Inc. (a) . . . . . 20,193 171,439Kosmos Energy, Ltd. . . . . . . . . . . 187,183 1,066,943Laredo Petroleum, Inc. (a). . . . . . . 126,266 362,383Magnolia Oil & Gas Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 58,705 738,509Matador Resources Co. (a) (b) . . . . 70,326 1,263,758Murphy Oil Corp. (b). . . . . . . . . . 79,049 2,118,513NACCO Industries, Inc. Class A . . . 2,447 114,593Northern Oil and Gas, Inc. (a) (b) . . 124,106 290,408Oasis Petroleum, Inc. (a). . . . . . . . 189,010 616,173Panhandle Oil and Gas, Inc.

Class A . . . . . . . . . . . . . . . . . 9,614 107,773Par Pacific Holdings, Inc. (a) . . . . . 32,802 762,318Parsley Energy, Inc. Class A . . . . . 142,159 2,688,227PBF Energy, Inc. Class A . . . . . . . 59,790 1,875,612PDC Energy, Inc. (a) . . . . . . . . . . 42,080 1,101,234Peabody Energy Corp. . . . . . . . . . 72,923 665,058Penn Virginia Corp. (a). . . . . . . . . 12,054 365,839QEP Resources, Inc. . . . . . . . . . . 163,729 736,780Range Resources Corp. (b) . . . . . . 167,035 810,120Renewable Energy Group, Inc.


(a) . . . . . . . . . . . . . . . . . . . . 5,106 418,488Ring Energy, Inc. (a) (b) . . . . . . . . 47,450 125,268SandRidge Energy, Inc. (a) . . . . . . 28,667 121,548SilverBow Resources, Inc. (a) . . . . 8,542 84,566SM Energy Co.. . . . . . . . . . . . . . 74,565 838,111Southwestern Energy Co. (a) (b) . . . 366,590 887,148SRC Energy, Inc. (a) . . . . . . . . . . 166,043 684,097Talos Energy, Inc. (a) . . . . . . . . . . 16,867 508,540Tellurian, Inc. (a) (b) . . . . . . . . . . 62,920 458,058


Unit Corp. (a) . . . . . . . . . . . . . . 36,693 $ 25,524W&T Offshore, Inc. (a) . . . . . . . . 56,870 316,197Whiting Petroleum Corp. (a) (b) . . . 61,127 448,672World Fuel Services Corp. . . . . . . 38,192 1,658,297WPX Energy, Inc. (a) . . . . . . . . . . 216,498 2,974,682

43,845,416

PAPER & FOREST PRODUCTS — 0.4%Boise Cascade Co. . . . . . . . . . . . 24,921 910,364Clearwater Paper Corp. (a) . . . . . . 13,677 292,141Domtar Corp.. . . . . . . . . . . . . . . 27,984 1,070,108Louisiana-Pacific Corp. . . . . . . . . 62,838 1,864,403Mercer International, Inc. . . . . . . . 28,499 350,538Neenah, Inc. . . . . . . . . . . . . . . . 6,260 440,892PH Glatfelter Co. . . . . . . . . . . . . 24,451 447,453Resolute Forest Products, Inc. (a) . . 62,398 262,072Schweitzer-Mauduit International,

Inc. . . . . . . . . . . . . . . . . . . . 20,052 841,983Verso Corp. Class A (a) . . . . . . . . 22,157 399,491

6,879,445

PERSONAL PRODUCTS — 0.4%Avon Products, Inc. . . . . . . . . . . . 258,921 1,460,315Edgewell Personal Care Co. (a) . . . 35,716 1,105,767elf Beauty, Inc. (a). . . . . . . . . . . . 14,331 231,159Inter Parfums, Inc.. . . . . . . . . . . . 10,711 778,797Medifast, Inc. (b) . . . . . . . . . . . . 7,586 831,274Nu Skin Enterprises, Inc. Class A . . 34,283 1,404,917USANA Health Sciences, Inc. (a) . . 9,153 718,968

6,531,197

PHARMACEUTICALS — 1.5%Aerie Pharmaceuticals, Inc. (a) (b) . 27,555 666,004Akorn, Inc. (a) . . . . . . . . . . . . . . 70,472 105,708Amneal Pharmaceuticals, Inc. (a) . . 51,299 247,261Amphastar Pharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 25,968 500,923ANI Pharmaceuticals, Inc. (a) . . . . 4,164 256,794Arvinas Holding Co. LLC (a) . . . . 7,941 326,296Axsome Therapeutics, Inc. (a) (b) . . 14,264 1,474,327BioDelivery Sciences International,

Inc. (a) . . . . . . . . . . . . . . . . . 41,440 261,901Cara Therapeutics, Inc. (a) (b) . . . . 27,546 443,766Collegium Pharmaceutical, Inc. (a) . 19,612 403,615Corcept Therapeutics, Inc. (a) (b) . . 67,752 819,799CorMedix, Inc. (a) (b) . . . . . . . . . 15,871 115,541Cymabay Therapeutics, Inc. (a) . . . 35,673 69,919Dermira, Inc. (a) (b) . . . . . . . . . . 22,551 341,873Elanco Animal Health, Inc. (a) (e) . . 34,895 —Evofem Biosciences, Inc. (a) (b) . . . 20,177 124,492Evolus, Inc. (a) . . . . . . . . . . . . . . 7,180 87,381Harrow Health, Inc. (a) (b) . . . . . . 22,235 172,988Innoviva, Inc. (a). . . . . . . . . . . . . 47,338 670,306Intersect ENT, Inc. (a) . . . . . . . . . 23,857 594,039Intra-Cellular Therapies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 34,876 1,196,596Lannett Co., Inc. (a) (b) . . . . . . . . 26,683 235,344


16


MyoKardia, Inc. (a) (b) . . . . . . . . 27,819 $ 2,027,588Nektar Therapeutics (a) (b) . . . . . . 93,301 2,013,902Odonate Therapeutics, Inc. (a) . . . . 15,055 488,535Omeros Corp. (a) (b) . . . . . . . . . . 32,227 454,078Pacira BioSciences, Inc. (a) . . . . . . 26,476 1,199,363Paratek Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 24,443 98,505Phibro Animal Health Corp.


(a) (b) . . . . . . . . . . . . . . . . . . 21,579 873,950Reata Pharmaceuticals, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 13,860 2,833,400Recro Pharma, Inc. (a) . . . . . . . . . 12,154 222,783Revance Therapeutics, Inc. (a) (b) . . 21,847 354,577SIGA Technologies, Inc. (a) (b) . . . 64,241 306,430Supernus Pharmaceuticals, Inc. (a) . 33,509 794,833TherapeuticsMD, Inc. (a) (b) . . . . . 146,046 353,431Tilray, Inc. Class 2 (a) (b) . . . . . . . 18,594 318,515Tricida, Inc. (a) (b) . . . . . . . . . . . 17,483 659,808Xeris Pharmaceuticals, Inc. (a) . . . . 12,972 91,453Zogenix, Inc. (a) (b). . . . . . . . . . . 26,726 1,393,226Zynerba Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 9,225 55,719

24,070,226

PROFESSIONAL SERVICES — 1.3%Acacia Research Corp. (a). . . . . . . 42,213 112,287ASGN, Inc. (a) . . . . . . . . . . . . . . 22,588 1,603,070Barrett Business Services, Inc. . . . . 4,886 441,988BG Staffing, Inc. . . . . . . . . . . . . 5,610 122,803CBIZ, Inc. (a) . . . . . . . . . . . . . . 35,630 960,585Clarivate Analytics PLC (a) (b). . . . 156,513 2,629,418CRA International, Inc. . . . . . . . . 7,055 384,286Exponent, Inc. . . . . . . . . . . . . . . 30,254 2,087,828Forrester Research, Inc. . . . . . . . . 6,379 266,004Franklin Covey Co. (a) . . . . . . . . . 8,327 268,379FTI Consulting, Inc. (a) . . . . . . . . 21,892 2,422,569GP Strategies Corp. (a). . . . . . . . . 14,751 195,156Heidrick & Struggles International,

Inc. . . . . . . . . . . . . . . . . . . . 12,625 410,312Huron Consulting Group, Inc. (a) . . 13,503 927,926ICF International, Inc. . . . . . . . . . 11,230 1,028,893InnerWorkings, Inc. (a). . . . . . . . . 39,668 218,571Insperity, Inc. . . . . . . . . . . . . . . . 18,806 1,618,068Kforce, Inc. . . . . . . . . . . . . . . . . 5,806 230,498Korn Ferry . . . . . . . . . . . . . . . . 36,045 1,528,308Mistras Group, Inc. (a) . . . . . . . . . 15,908 227,007Resources Connection, Inc. . . . . . . 16,942 276,663TriNet Group, Inc. (a) . . . . . . . . . 26,990 1,527,904TrueBlue, Inc. (a) . . . . . . . . . . . . 28,416 683,689Upwork, Inc. (a) (b). . . . . . . . . . . 27,549 293,948Willdan Group, Inc. (a). . . . . . . . . 4,093 130,076

20,596,236



Consolidated-Tomoka Land Co. . . . 4,398 $ 265,287Cushman & Wakefield PLC (a) (b) . 83,366 1,704,001FRP Holdings, Inc. (a) . . . . . . . . . 6,008 299,259Kennedy-Wilson Holdings, Inc. . . . 73,447 1,637,868Marcus & Millichap, Inc. (a) . . . . . 9,374 349,182Newmark Group, Inc. Class A . . . . 79,674 1,072,014RE/MAX Holdings, Inc. Class A . . 10,211 393,021Realogy Holdings Corp. (b). . . . . . 76,362 739,184Redfin Corp. (a) (b). . . . . . . . . . . 44,392 938,447RMR Group, Inc. Class A . . . . . . . 5,169 235,913St. Joe Co. (a) (b) . . . . . . . . . . . . 41,063 814,279Tejon Ranch Co. (a). . . . . . . . . . . 21,817 348,636

8,797,091

ROAD & RAIL — 0.8%ArcBest Corp. . . . . . . . . . . . . . . 16,055 443,118Avis Budget Group, Inc. (a) . . . . . . 46,311 1,493,067Covenant Transportation Group,

Inc. Class A (a) . . . . . . . . . . . . 10,556 136,436Heartland Express, Inc. . . . . . . . . 27,971 588,790Hertz Global Holdings, Inc. (a) . . . 83,606 1,316,794Landstar System, Inc.. . . . . . . . . . 23,362 2,660,231Marten Transport, Ltd. . . . . . . . . . 28,144 604,815Roadrunner Transportation

Systems, Inc. (a) (b) . . . . . . . . . 20,491 188,722Ryder System, Inc. . . . . . . . . . . . 32,477 1,763,826Saia, Inc. (a) . . . . . . . . . . . . . . . 15,260 1,421,011Schneider National, Inc. Class B. . . 33,264 725,820Universal Logistics Holdings, Inc.. . 7,026 133,213Werner Enterprises, Inc. . . . . . . . . 27,146 987,843YRC Worldwide, Inc. (a) (b) . . . . . 14,740 37,587

12,501,273


ACM Research, Inc. Class A (a) (b). 7,513 138,615Adesto Technologies Corp. (a) (b) . . 10,761 91,468Advanced Energy Industries, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 16,139 1,149,097Alpha & Omega Semiconductor,

Ltd. (a) . . . . . . . . . . . . . . . . . 11,284 153,688Ambarella, Inc. (a) . . . . . . . . . . . 20,205 1,223,615Amkor Technology, Inc. (a) . . . . . . 61,052 793,676Axcelis Technologies, Inc. (a) . . . . 19,046 458,913AXT, Inc. (a) . . . . . . . . . . . . . . . 35,657 155,108Brooks Automation, Inc. . . . . . . . . 43,796 1,837,680Cabot Microelectronics Corp. . . . . 16,991 2,452,141CEVA, Inc. (a) . . . . . . . . . . . . . . 13,995 377,305Cirrus Logic, Inc. (a) . . . . . . . . . . 34,034 2,804,742Cohu, Inc. . . . . . . . . . . . . . . . . . 23,983 548,012CyberOptics Corp. (a) . . . . . . . . . 6,887 126,583Diodes, Inc. (a). . . . . . . . . . . . . . 17,205 969,846DSP Group, Inc. (a) . . . . . . . . . . . 16,698 262,827Enphase Energy, Inc. (a) (b). . . . . . 50,489 1,319,278FormFactor, Inc. (a) . . . . . . . . . . . 48,287 1,254,013


17


GSI Technology, Inc. (a) . . . . . . . . 12,154 $ 86,172Ichor Holdings, Ltd. (a) . . . . . . . . 13,608 452,738Impinj, Inc. (a) (b). . . . . . . . . . . . 11,926 308,406Inphi Corp. (a) . . . . . . . . . . . . . . 27,473 2,033,551Kulicke & Soffa Industries, Inc. . . . 16,124 438,573Lattice Semiconductor Corp. (a) . . . 78,125 1,495,312MACOM Technology Solutions

Holdings, Inc. (a) (b) . . . . . . . . 28,533 758,978MagnaChip Semiconductor Corp.

(a) . . . . . . . . . . . . . . . . . . . . 16,502 191,588MaxLinear, Inc. (a) (b) . . . . . . . . . 43,377 920,460MKS Instruments, Inc. . . . . . . . . . 31,858 3,504,699NeoPhotonics Corp. (a) . . . . . . . . 34,189 301,547NVE Corp. . . . . . . . . . . . . . . . . 4,507 321,800Onto Innovation, Inc. (a) . . . . . . . . 31,469 1,149,877PDF Solutions, Inc. (a) . . . . . . . . . 19,219 324,609Photronics, Inc. (a) . . . . . . . . . . . 38,598 608,304Pixelworks, Inc. (a) . . . . . . . . . . . 20,607 80,779Power Integrations, Inc. . . . . . . . . 9,984 987,517Rambus, Inc. (a) . . . . . . . . . . . . . 64,721 891,532Semtech Corp. (a) . . . . . . . . . . . . 39,171 2,072,146Silicon Laboratories, Inc. (a) . . . . . 18,472 2,142,383SMART Global Holdings, Inc. (a). . 6,277 238,149SolarEdge Technologies, Inc. (a) . . . 27,008 2,568,191SunPower Corp. (a) (b). . . . . . . . . 37,057 289,045Synaptics, Inc. (a) . . . . . . . . . . . . 20,966 1,378,934Ultra Clean Holdings, Inc. (a) (b) . . 22,080 518,218Veeco Instruments, Inc. (a) . . . . . . 30,428 446,835Xperi Corp. . . . . . . . . . . . . . . . . 32,836 607,466

41,234,416

SOFTWARE — 5.4%2U, Inc. (a) (b) . . . . . . . . . . . . . . 37,004 887,7268x8, Inc. (a) . . . . . . . . . . . . . . . . 62,586 1,145,324A10 Networks, Inc. (a) . . . . . . . . . 48,362 332,247ACI Worldwide, Inc. (a) . . . . . . . . 67,562 2,559,586Agilysys, Inc. (a) . . . . . . . . . . . . 17,928 455,550Alarm.com Holdings, Inc. (a). . . . . 23,784 1,021,998Altair Engineering, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 22,337 802,122Alteryx, Inc. Class A (a) (b). . . . . . 28,618 2,863,803American Software, Inc. Class A . . 3,948 58,746Appfolio, Inc. Class A (a) (b) . . . . . 9,783 1,075,641Appian Corp. (a) (b) . . . . . . . . . . 17,929 685,067Avalara, Inc. (a) . . . . . . . . . . . . . 36,468 2,671,281Avaya Holdings Corp. (a) . . . . . . . 71,263 962,051Benefitfocus, Inc. (a) (b). . . . . . . . 15,829 347,288Blackbaud, Inc.. . . . . . . . . . . . . . 29,119 2,317,872Blackline, Inc. (a) . . . . . . . . . . . . 29,195 1,505,294Bottomline Technologies DE, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 28,472 1,526,099Box, Inc. Class A (a) . . . . . . . . . . 89,729 1,505,653ChannelAdvisor Corp. (a) . . . . . . . 18,923 171,064Cision, Ltd. (a) . . . . . . . . . . . . . . 39,660 395,410Cloudera, Inc. (a) (b) . . . . . . . . . . 160,939 1,871,721CommVault Systems, Inc. (a). . . . . 14,153 631,790Cornerstone OnDemand, Inc. (a). . . 33,482 1,960,371


Crowdstrike Holdings, Inc. Class A(a) . . . . . . . . . . . . . . . . . . . . 8,634 $ 430,578

Digimarc Corp. (a) (b) . . . . . . . . . 6,650 223,174Digital Turbine, Inc. (a) . . . . . . . . 35,400 252,402Dropbox, Inc. Class A (a) . . . . . . . 125,968 2,256,087Ebix, Inc. (b) . . . . . . . . . . . . . . . 14,966 500,014eGain Corp. (a) . . . . . . . . . . . . . 15,665 124,067Envestnet, Inc. (a) . . . . . . . . . . . . 29,635 2,063,485Everbridge, Inc. (a) (b) . . . . . . . . . 21,463 1,675,831FireEye, Inc. (a) . . . . . . . . . . . . . 129,505 2,140,718Five9, Inc. (a). . . . . . . . . . . . . . . 34,799 2,282,118ForeScout Technologies, Inc. (a) (b). 19,111 626,841Instructure, Inc. (a) (b) . . . . . . . . . 19,696 949,544j2 Global, Inc. . . . . . . . . . . . . . . 27,485 2,575,619LivePerson, Inc. (a) (b) . . . . . . . . . 27,597 1,021,089LogMeIn, Inc. . . . . . . . . . . . . . . 23,148 1,984,710Manhattan Associates, Inc. (a) . . . . 37,547 2,994,373Medallia, Inc. (a) (b) . . . . . . . . . . 27,628 859,507MicroStrategy, Inc. Class A (a) . . . . 5,500 784,465Mitek Systems, Inc. (a). . . . . . . . . 32,493 248,571MobileIron, Inc. (a) . . . . . . . . . . . 54,944 267,028Model N, Inc. (a) . . . . . . . . . . . . 19,466 682,673New Relic, Inc. (a) . . . . . . . . . . . 23,526 1,545,893Nuance Communications, Inc. (a) . . 140,495 2,505,026Nutanix, Inc. Class A (a). . . . . . . . 89,606 2,801,084OneSpan, Inc. (a) . . . . . . . . . . . . 19,684 336,990Pagerduty, Inc. (a) (b) . . . . . . . . . 18,268 427,289Park City Group, Inc. (a) (b) . . . . . 11,094 56,136Paylocity Holding Corp. (a) . . . . . . 19,811 2,393,565Pegasystems, Inc. . . . . . . . . . . . . 21,832 1,738,919Pluralsight, Inc. Class A (a) . . . . . . 49,309 848,608Progress Software Corp. . . . . . . . . 26,775 1,112,501PROS Holdings, Inc. (a) . . . . . . . . 21,483 1,287,261Q2 Holdings, Inc. (a) . . . . . . . . . . 25,867 2,097,296QAD, Inc. Class A. . . . . . . . . . . . 1,428 72,728Qualys, Inc. (a). . . . . . . . . . . . . . 14,292 1,191,524Rapid7, Inc. (a) . . . . . . . . . . . . . 25,903 1,451,086Rosetta Stone, Inc. (a) . . . . . . . . . 13,844 251,130SailPoint Technologies Holding,

Inc. (a) . . . . . . . . . . . . . . . . . 52,289 1,234,020ShotSpotter, Inc. (a) (b) . . . . . . . . 5,006 127,653Smartsheet, Inc. Class A (a). . . . . . 38,679 1,737,461SPS Commerce, Inc. (a) . . . . . . . . 14,819 821,269SVMK, Inc. (a) . . . . . . . . . . . . . 56,379 1,007,493Synchronoss Technologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 23,026 109,374Telaria, Inc. (a) . . . . . . . . . . . . . . 29,597 260,750Tenable Holdings, Inc. (a) . . . . . . . 14,572 349,145Teradata Corp. (a) . . . . . . . . . . . . 52,878 1,415,544TiVo Corp. . . . . . . . . . . . . . . . . 88,374 749,412Upland Software, Inc. (a) . . . . . . . 9,640 344,244Varonis Systems, Inc. (a) (b) . . . . . 19,126 1,486,281Verint Systems, Inc. (a) . . . . . . . . 29,706 1,644,524VirnetX Holding Corp. (a) (b) . . . . 40,099 152,376Workiva, Inc. (a) . . . . . . . . . . . . . 21,651 910,425Yext, Inc. (a) (b) . . . . . . . . . . . . . 60,543 873,030


18


Zix Corp. (a) . . . . . . . . . . . . . . . 46,972 $ 318,470Zoom Video Communications, Inc.

Class A (a) (b) . . . . . . . . . . . . 24,324 1,655,005Zuora, Inc. Class A (a) . . . . . . . . . 40,875 585,739

88,595,849

SPECIALTY RETAIL — 3.1%Aaron’s, Inc. . . . . . . . . . . . . . . . 39,585 2,260,699Abercrombie & Fitch Co. Class A . . 43,439 751,060American Eagle Outfitters, Inc. . . . 74,399 1,093,665America’s Car-Mart, Inc. (a) . . . . . 4,432 486,013Asbury Automotive Group, Inc. (a) . 11,411 1,275,636At Home Group, Inc. (a) (b) . . . . . 33,909 186,499AutoNation, Inc. (a). . . . . . . . . . . 46,422 2,257,502Barnes & Noble Education, Inc. (a) . 16,478 70,361Bed Bath & Beyond, Inc. . . . . . . . 75,263 1,302,050Boot Barn Holdings, Inc. (a) . . . . . 19,350 861,655Buckle, Inc. (b) . . . . . . . . . . . . . 20,543 555,483Caleres, Inc. . . . . . . . . . . . . . . . 28,936 687,230Camping World Holdings, Inc.

Class A . . . . . . . . . . . . . . . . . 19,454 286,752Carvana Co. (a) (b) . . . . . . . . . . . 28,284 2,603,542Cato Corp. Class A . . . . . . . . . . . 13,613 236,866Chico’s FAS, Inc. . . . . . . . . . . . . 72,300 275,463Children’s Place, Inc. (b) . . . . . . . 10,055 628,639Citi Trends, Inc. . . . . . . . . . . . . . 6,940 160,453Conn’s, Inc. (a) (b) . . . . . . . . . . . 13,931 172,605Container Store Group, Inc. (a) (b) . 14,764 62,304Designer Brands, Inc. Class A . . . . 44,462 699,832Dick’s Sporting Goods, Inc. (b) . . . 38,430 1,901,901Express, Inc. (a) . . . . . . . . . . . . . 37,676 183,482Floor & Decor Holdings, Inc.

Class A (a). . . . . . . . . . . . . . . 46,893 2,382,633Foot Locker, Inc.. . . . . . . . . . . . . 54,475 2,123,980GameStop Corp. Class A (b) . . . . . 70,307 427,467Genesco, Inc. (a). . . . . . . . . . . . . 10,956 525,011GNC Holdings, Inc. Class A (a) (b) . 70,203 189,548Group 1 Automotive, Inc. . . . . . . . 7,620 762,000Guess?, Inc.. . . . . . . . . . . . . . . . 16,657 372,784Hibbett Sports, Inc. (a) . . . . . . . . . 8,543 239,546L Brands, Inc. . . . . . . . . . . . . . . 124,330 2,252,860Lithia Motors, Inc. Class A . . . . . . 12,968 1,906,296Lumber Liquidators Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 23,881 233,317MarineMax, Inc. (a). . . . . . . . . . . 13,283 221,693Michaels Cos., Inc. (a) (b) . . . . . . . 54,587 441,609Monro, Inc. (b). . . . . . . . . . . . . . 19,664 1,537,725Murphy USA, Inc. (a) . . . . . . . . . 18,063 2,113,371National Vision Holdings, Inc. (a) . . 40,078 1,299,730Office Depot, Inc. . . . . . . . . . . . . 351,910 964,233Party City Holdco, Inc. (a) (b) . . . . 34,543 80,831Penske Automotive Group, Inc. (b) . 21,453 1,077,370Rent-A-Center, Inc. . . . . . . . . . . . 30,294 873,679RH (a) . . . . . . . . . . . . . . . . . . . 9,502 2,028,677Sally Beauty Holdings, Inc. (a). . . . 76,689 1,399,574Shoe Carnival, Inc. (b) . . . . . . . . . 6,543 243,923Sleep Number Corp. (a) . . . . . . . . 16,703 822,456


Sonic Automotive, Inc. Class A (b) . 16,064 $ 497,984Sportsman’s Warehouse Holdings,

Inc. (a) . . . . . . . . . . . . . . . . . 31,485 252,825Tailored Brands, Inc. (b) . . . . . . . . 29,487 122,076Tilly’s, Inc. Class A . . . . . . . . . . . 11,322 138,694Urban Outfitters, Inc. (a) . . . . . . . 38,782 1,076,976Williams-Sonoma, Inc. (b) . . . . . . 45,613 3,349,819Winmark Corp. . . . . . . . . . . . . . 2,182 432,691Zumiez, Inc. (a) . . . . . . . . . . . . . 15,776 544,903

49,935,973


3D Systems Corp. (a). . . . . . . . . . 74,269 649,854Diebold Nixdorf, Inc. (a) . . . . . . . 48,570 512,899Eastman Kodak Co. (a). . . . . . . . . 20,839 96,901Immersion Corp. (a) . . . . . . . . . . 17,128 127,261NCR Corp. (a) (b) . . . . . . . . . . . . 74,132 2,606,481Pure Storage, Inc. Class A (a). . . . . 111,567 1,908,911Stratasys, Ltd. (a) . . . . . . . . . . . . 34,638 700,554

6,602,861


Carter’s, Inc. . . . . . . . . . . . . . . . 25,914 2,833,437Crocs, Inc. (a) . . . . . . . . . . . . . . 35,824 1,500,667Culp, Inc. . . . . . . . . . . . . . . . . . 10,389 141,498Deckers Outdoor Corp. (a) . . . . . . 16,930 2,858,800Delta Apparel, Inc. (a) . . . . . . . . . 5,151 160,196Fossil Group, Inc. (a) . . . . . . . . . . 31,206 245,903G-III Apparel Group, Ltd. (a) . . . . . 29,561 990,294Kontoor Brands, Inc. (a) (b). . . . . . 27,202 1,142,212Levi Strauss & Co. Class A (b) . . . . 23,724 457,636Movado Group, Inc.. . . . . . . . . . . 13,073 284,207Oxford Industries, Inc. . . . . . . . . . 11,228 846,816Ralph Lauren Corp. . . . . . . . . . . . 25,523 2,991,806Skechers U.S.A., Inc. Class A (a) . . 77,563 3,349,946Steven Madden, Ltd. . . . . . . . . . . 47,161 2,028,395Superior Group of Cos., Inc. . . . . . 5,823 78,844Unifi, Inc. (a). . . . . . . . . . . . . . . 8,586 216,882Vera Bradley, Inc. (a) . . . . . . . . . . 17,828 210,370Wolverine World Wide, Inc. . . . . . . 37,484 1,264,710

21,602,619

THRIFTS & MORTGAGE FINANCE — 1.7%Axos Financial, Inc. (a) . . . . . . . . 34,942 1,058,044Capitol Federal Financial, Inc. . . . . 70,224 964,176Columbia Financial, Inc. (a) . . . . . 23,255 393,940Entegra Financial Corp. (a) . . . . . . 5,151 155,354Federal Agricultural Mortgage

Corp. Class C . . . . . . . . . . . . . 918 76,653First Defiance Financial Corp. (b) . . 13,986 440,419Flagstar Bancorp, Inc. . . . . . . . . . 16,719 639,502FS Bancorp, Inc.. . . . . . . . . . . . . 2,420 154,372Home Bancorp, Inc. . . . . . . . . . . 3,896 152,684HomeStreet, Inc. (a) . . . . . . . . . . 14,949 508,266Kearny Financial Corp. . . . . . . . . 58,693 811,724


19


LendingTree, Inc. (a) (b). . . . . . . . 4,892 $ 1,484,428Meridian Bancorp, Inc.. . . . . . . . . 34,401 691,116Meta Financial Group, Inc. . . . . . . 21,968 802,052MGIC Investment Corp. . . . . . . . . 207,195 2,935,953Mr Cooper Group, Inc. (a). . . . . . . 51,705 646,830NMI Holdings, Inc. Class A (a) . . . 39,719 1,317,876Northfield Bancorp, Inc.. . . . . . . . 30,739 521,333Northwest Bancshares, Inc. . . . . . . 66,438 1,104,864OceanFirst Financial Corp. . . . . . . 33,824 863,865Ocwen Financial Corp. (a) . . . . . . 69,524 95,248PennyMac Financial Services, Inc. . 36,283 1,235,073Provident Financial Services, Inc. . . 36,473 899,059Radian Group, Inc. . . . . . . . . . . . 120,852 3,040,636Riverview Bancorp, Inc. . . . . . . . . 16,024 131,557Southern Missouri Bancorp, Inc. . . 9,066 347,772Timberland Bancorp, Inc. . . . . . . . 5,151 153,191TrustCo Bank Corp. NY . . . . . . . . 59,777 518,267United Community Financial Corp. . 33,450 390,027Walker & Dunlop, Inc. . . . . . . . . . 17,266 1,116,765Washington Federal, Inc.. . . . . . . . 47,471 1,739,812Western New England Bancorp,

Inc. . . . . . . . . . . . . . . . . . . . 23,313 224,504WSFS Financial Corp. . . . . . . . . . 33,228 1,461,700

27,077,062

TOBACCO — 0.1%22nd Century Group, Inc. (a) (b). . . 75,615 83,176Pyxus International, Inc. (a) (b) . . . 5,541 49,537Universal Corp. . . . . . . . . . . . . . 15,046 858,525Vector Group, Ltd. (b) . . . . . . . . . 68,014 910,707

1,901,945


Air Lease Corp. . . . . . . . . . . . . . 61,739 2,933,837Aircastle, Ltd. . . . . . . . . . . . . . . 32,109 1,027,809Applied Industrial Technologies,

Inc. . . . . . . . . . . . . . . . . . . . 24,243 1,616,766Beacon Roofing Supply, Inc. (a) . . . 25,799 825,052BlueLinx Holdings, Inc. (a) (b). . . . 4,692 66,861BMC Stock Holdings, Inc. (a) . . . . 40,070 1,149,608CAI International, Inc. (a) . . . . . . . 9,694 280,932DXP Enterprises, Inc. (a) . . . . . . . 9,206 366,491Foundation Building Materials, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 14,887 288,063GATX Corp. (b) . . . . . . . . . . . . . 21,554 1,785,749GMS, Inc. (a). . . . . . . . . . . . . . . 20,592 557,631H&E Equipment Services, Inc.. . . . 20,785 694,843Herc Holdings, Inc. (a) . . . . . . . . . 17,860 874,068Kaman Corp. . . . . . . . . . . . . . . . 18,458 1,216,751Lawson Products, Inc. (a) . . . . . . . 5,151 268,367MRC Global, Inc. (a) . . . . . . . . . . 54,505 743,448MSC Industrial Direct Co., Inc.

Class A . . . . . . . . . . . . . . . . . 19,582 1,536,600NOW, Inc. (a). . . . . . . . . . . . . . . 67,597 759,790Rush Enterprises, Inc. Class A . . . . 1,025 47,663Rush Enterprises, Inc. Class B . . . . 2,656 121,379


SiteOne Landscape Supply, Inc.(a) (b) . . . . . . . . . . . . . . . . . . 24,150 $ 2,189,198

Systemax, Inc. . . . . . . . . . . . . . . 11,053 278,094Titan Machinery, Inc. (a). . . . . . . . 15,879 234,692Univar, Inc. (a) . . . . . . . . . . . . . . 97,295 2,358,431WESCO International, Inc. (a) . . . . 11,970 710,898

22,933,021

TRANSPORTATION INFRASTRUCTURE —0.1%

Macquarie Infrastructure Corp. . . . 43,384 1,858,571

WATER UTILITIES — 0.4%American States Water Co. . . . . . . 21,583 1,869,951Cadiz, Inc. (a) (b) . . . . . . . . . . . . 22,153 244,126California Water Service Group . . . 28,435 1,466,109Global Water Resources, Inc. . . . . . 9,025 118,679Middlesex Water Co. . . . . . . . . . . 11,507 731,500SJW Group . . . . . . . . . . . . . . . . 17,131 1,217,329York Water Co. . . . . . . . . . . . . . . 7,287 336,003

5,983,697


Boingo Wireless, Inc. (a) . . . . . . . 29,671 324,897Gogo, Inc. (a) (b) . . . . . . . . . . . . 43,783 280,211Shenandoah Telecommunications

Co. . . . . . . . . . . . . . . . . . . . 29,278 1,218,258Spok Holdings, Inc. . . . . . . . . . . . 15,882 194,237Telephone & Data Systems, Inc. . . . 62,827 1,597,691United States Cellular Corp. (a) . . . 10,861 393,494

4,008,788


RIGHTS — 0.0% (c)BIOTECHNOLOGY — 0.0%

(c)Alder Biopharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . 9,352 8,229Omthera Pharmaceuticals, Inc.

(CVR) (a) (e) . . . . . . . . . . . 24 —Tobira Therapeutics, Inc. (CVR)

(a) (d) . . . . . . . . . . . . . . . . 740 10,301

18,530

CHEMICALS — 0.0% (c)A Schulman, Inc. (CVR) (a). . . . 18,665 9,762

DIVERSIFIED FINANCIALSERVICES — 0.0% (c)

NewStar Financial, Inc. (CVR)(a) . . . . . . . . . . . . . . . . . . 4,067 982

MEDIA — 0.0% (c)Media General, Inc. (CVR) (a) . . 10,713 1,071


20


PHARMACEUTICALS —0.0% (c)

Corium International, Inc. (CVR)(a) (b) (d). . . . . . . . . . . . . . 21,972 $ 3,955

TOTAL RIGHTS(Cost $21,293) . . . . . . . . . . 34,300



(expiring 09/09/20) (a) (e) . . . 1,596 —Halcon Resources Corp.

(expiring 09/09/20) (a) (e) . . . 1,277 —Halcon Resources Corp.

(expiring 09/09/20) (a) (b) (e) . 2,055 —

TOTAL WARRANTS(Cost $0) . . . . . . . . . . . . . . —


Reserves Fund, Premier Class1.73% (f) (g). . . . . . . . . . . . 2,152,632 2,152,848

State Street Navigator SecuritiesLending Portfolio II (h) (i) . . . 117,437,304 117,437,304

TOTAL SHORT-TERM INVESTMENTS(Cost $119,590,080) . . . . . . . . . . . . . . . . . . . 119,590,152



NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 1,634,039,903


December 31, 2019.(c) Amount is less than 0.05% of net assets.(d) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. As of December 31, 2019, total aggregatefair value of securities is $15,003, representing less than 0.05% ofnet assets.

(e) Fair valued as determined in good faith by the Trust’s OversightCommittee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the securities is $0, representing less than 0.05% of theFund’s net assets.

(f) The Fund invested in certain money market funds managed bySSGA Funds Management, Inc. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(g) The rate shown is the annualized seven-day yield at December 31,2019.

(h) The Fund invested in an affiliated entity. Amounts related to thesetransactions during the period ended December 31, 2019 areshown in the Affiliate Table below.

(i) Investment of cash collateral for securities loaned.




ExpirationDate



E-Mini Russell 2000 Index (long) 18 03/20/2020 $1,479,204 $1,503,540 $24,337

During the period ended December 31, 2019, average notional value related to futures contracts was $1,416,960 or 0% of netassets.


21



Quoted Prices




ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,629,442,328 $ 2,369 $ 0(a) $1,629,444,697

Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 34,300 0(a) 34,300

Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 0(a) 0







(a) Fund held Level 3 securities that were valued at $0 at December 31, 2019.(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome

State Street Institutional Liquid Reserves Fund,Premier Class . . . . . . . . . . . . . . . . . . . . . — $ — $ 36,783,486 $ 34,631,659 $949 $72 2,152,632 $ 2,152,848 $ 22,318


State Street Navigator Securities Lending Portfolio II . — — 164,383,410 46,946,106 — — 117,437,304 117,437,304 286,795


Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . $37,892,273 $349,473,054 $267,776,196 $949 $72 $119,590,152 $836,328


22 ARSPSM


COMMON STOCKS — 99.8%AEROSPACE & DEFENSE — 2.6%AAR Corp. . . . . . . . . . . . . . . . . 4,682 $ 211,158Aerojet Rocketdyne Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 11,381 519,656AeroVironment, Inc. (a) . . . . . . . . 2,431 150,090Arconic, Inc. . . . . . . . . . . . . . . . 61,137 1,881,185Astronics Corp. (a) . . . . . . . . . . . 2,728 76,248Axon Enterprise, Inc. (a). . . . . . . . 7,022 514,572Boeing Co. . . . . . . . . . . . . . . . . 79,663 25,951,019BWX Technologies, Inc. . . . . . . . . 13,602 844,412Cubic Corp.. . . . . . . . . . . . . . . . 4,359 277,102Curtiss-Wright Corp. . . . . . . . . . . 6,311 889,157Ducommun, Inc. (a). . . . . . . . . . . 2,129 107,578General Dynamics Corp.. . . . . . . . 41,182 7,262,446HEICO Corp.. . . . . . . . . . . . . . . 6,346 724,396HEICO Corp. Class A . . . . . . . . . 2,080 186,222Hexcel Corp. . . . . . . . . . . . . . . . 13,605 997,382Huntington Ingalls Industries, Inc.. . 6,216 1,559,470Kratos Defense & Security

Solutions, Inc. (a) . . . . . . . . . . 13,556 244,144L3Harris Technologies, Inc. . . . . . . 31,532 6,239,237Lockheed Martin Corp. . . . . . . . . 40,453 15,751,589Mercury Systems, Inc. (a) . . . . . . . 6,909 477,481Moog, Inc. Class A . . . . . . . . . . . 814 69,459National Presto Industries, Inc. (b) . 108 9,546Northrop Grumman Corp.. . . . . . . 24,165 8,312,035Park Aerospace Corp. . . . . . . . . . 229 3,726Parsons Corp. (a) . . . . . . . . . . . . 14,155 584,318Raytheon Co. . . . . . . . . . . . . . . . 39,097 8,591,175Spirit AeroSystems Holdings, Inc.

Class A . . . . . . . . . . . . . . . . . 15,134 1,102,966Teledyne Technologies, Inc. (a). . . . 4,596 1,592,698Textron, Inc. . . . . . . . . . . . . . . . 34,786 1,551,456TransDigm Group, Inc.. . . . . . . . . 6,894 3,860,640Triumph Group, Inc. . . . . . . . . . . 2,367 59,814United Technologies Corp. . . . . . . 123,032 18,425,272Vectrus, Inc. (a) . . . . . . . . . . . . . 2,160 110,722Wesco Aircraft Holdings, Inc. (a) . . 345 3,802

109,142,173

AIR FREIGHT & LOGISTICS — 0.5%Air Transport Services Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 8,998 211,093Atlas Air Worldwide Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,620 127,373C.H. Robinson Worldwide, Inc. . . . 21,155 1,654,321Echo Global Logistics, Inc. (a) . . . . 2,486 51,460Expeditors International of

Washington, Inc. . . . . . . . . . . . 26,312 2,052,862FedEx Corp. . . . . . . . . . . . . . . . 34,446 5,208,580Forward Air Corp. . . . . . . . . . . . . 4,537 317,363Hub Group, Inc. Class A (a). . . . . . 4,636 237,781Radiant Logistics, Inc. (a) . . . . . . . 4,640 25,845United Parcel Service, Inc. Class B . 99,901 11,694,411


XPO Logistics, Inc. (a) (b) . . . . . . 15,027 $ 1,197,652

22,778,741

AIRLINES — 0.4%Alaska Air Group, Inc. . . . . . . . . . 18,405 1,246,939Allegiant Travel Co.. . . . . . . . . . . 2,231 388,283American Airlines Group, Inc. (b) . . 62,932 1,804,890Delta Air Lines, Inc. . . . . . . . . . . 89,803 5,251,679Hawaiian Holdings, Inc. . . . . . . . . 5,587 163,643JetBlue Airways Corp. (a) . . . . . . . 47,005 879,934Mesa Air Group, Inc. (a) . . . . . . . . 3,630 32,452SkyWest, Inc. . . . . . . . . . . . . . . . 6,817 440,583Southwest Airlines Co. . . . . . . . . . 77,611 4,189,442Spirit Airlines, Inc. (a) . . . . . . . . . 9,361 377,342United Airlines Holdings, Inc. (a) . . 37,877 3,336,585

18,111,772

AUTO COMPONENTS — 0.2%American Axle & Manufacturing

Holdings, Inc. (a) . . . . . . . . . . 11,548 124,256Autoliv, Inc.. . . . . . . . . . . . . . . . 11,565 976,202BorgWarner, Inc. . . . . . . . . . . . . 30,057 1,303,873Cooper Tire & Rubber Co. . . . . . . 8,944 257,140Cooper-Standard Holdings, Inc. (a) . 2,331 77,296Dana, Inc. . . . . . . . . . . . . . . . . . 22,746 413,977Dorman Products, Inc. (a) . . . . . . . 4,540 343,769Fox Factory Holding Corp. (a) . . . . 4,544 316,126Garrett Motion, Inc. (a) . . . . . . . . 10,525 105,145Gentex Corp. . . . . . . . . . . . . . . . 40,196 1,164,880Gentherm, Inc. (a) . . . . . . . . . . . . 6,589 292,486Goodyear Tire & Rubber Co. . . . . . 34,747 540,489Kandi Technologies Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 5,395 25,518LCI Industries . . . . . . . . . . . . . . 2,404 257,540Lear Corp.. . . . . . . . . . . . . . . . . 8,718 1,196,110Modine Manufacturing Co. (a) . . . . 6,711 51,675Motorcar Parts of America, Inc. (a) . 86 1,894Standard Motor Products, Inc. . . . . 2,099 111,709Stoneridge, Inc. (a) . . . . . . . . . . . 2,504 73,417Tenneco, Inc. Class A. . . . . . . . . . 7,036 92,172Veoneer, Inc. (a) (b). . . . . . . . . . . 11,140 174,007Visteon Corp. (a) (b) . . . . . . . . . . 4,695 406,540Workhorse Group, Inc. (a) (b) . . . . 7,415 22,542

8,328,763

AUTOMOBILES — 0.5%Ford Motor Co. . . . . . . . . . . . . . 570,109 5,302,014General Motors Co. . . . . . . . . . . . 187,274 6,854,229Harley-Davidson, Inc. . . . . . . . . . 23,884 888,246Tesla, Inc. (a) . . . . . . . . . . . . . . . 18,882 7,898,907Thor Industries, Inc. (b) . . . . . . . . 6,815 506,286Winnebago Industries, Inc. (b) . . . . 4,437 235,072

21,684,754

BANKS — 6.3%1st Constitution Bancorp . . . . . . . 5,035 111,4251st Source Corp. . . . . . . . . . . . . . 2,185 113,358ACNB Corp. . . . . . . . . . . . . . . . 2,645 100,034

SPDR PORTFOLIO S&P 1500 COMPOSITE STOCK MARKET ETFSCHEDULE OF INVESTMENTSDecember 31, 2019 (Unaudited)

1


Allegiance Bancshares, Inc. (a) (b) . 2,140 $ 80,464Amalgamated Bank Class A . . . . . 1,865 36,274Amerant Bancorp, Inc. (a). . . . . . . 2,965 64,607American National Bankshares,

Inc. . . . . . . . . . . . . . . . . . . . 2,100 83,097Ameris Bancorp . . . . . . . . . . . . . 6,902 293,611Arrow Financial Corp. . . . . . . . . . 2,294 86,713Associated Banc-Corp.. . . . . . . . . 24,764 545,799Atlantic Capital Bancshares, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,335 79,547Atlantic Union Bankshares Corp. . . 11,231 421,724Auburn National Bancorp, Inc.. . . . 300 15,900Banc of California, Inc. . . . . . . . . 6,740 115,793BancFirst Corp. . . . . . . . . . . . . . 2,388 149,107Bancorp of New Jersey, Inc. (a) . . . 700 12,523Bancorp, Inc. (a). . . . . . . . . . . . . 309 4,008BancorpSouth Bank. . . . . . . . . . . 13,533 425,072Bank Firstl Corp. (b) . . . . . . . . . . 900 63,009Bank of America Corp.. . . . . . . . . 1,283,772 45,214,450Bank of Commerce Holdings . . . . . 2,250 26,032Bank of Hawaii Corp. . . . . . . . . . 6,717 639,190Bank of Marin Bancorp . . . . . . . . 389 17,524Bank OZK . . . . . . . . . . . . . . . . 17,120 522,246Bank7 Corp. . . . . . . . . . . . . . . . 500 9,480BankFinancial Corp. . . . . . . . . . . 1,965 25,702BankUnited, Inc.. . . . . . . . . . . . . 16,115 589,164Bankwell Financial Group, Inc. . . . 130 3,749Banner Corp. . . . . . . . . . . . . . . . 4,602 260,427Bar Harbor Bankshares . . . . . . . . 2,250 57,127Baycom Corp. (a) . . . . . . . . . . . . 4,235 96,304BCB Bancorp, Inc. . . . . . . . . . . . 2,170 29,924Berkshire Hills Bancorp, Inc. . . . . . 5,878 193,269BOK Financial Corp. . . . . . . . . . . 3,416 298,558Boston Private Financial Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 11,519 138,574Bridge Bancorp, Inc. . . . . . . . . . . 2,298 77,052Brookline Bancorp, Inc. . . . . . . . . 11,274 185,570Bryn Mawr Bank Corp. . . . . . . . . 2,208 91,058Byline Bancorp, Inc. . . . . . . . . . . 3,330 65,168C&F Financial Corp. . . . . . . . . . . 70 3,873Cadence BanCorp . . . . . . . . . . . . 13,111 237,702Cambridge Bancorp (b) . . . . . . . . 600 48,090Camden National Corp. . . . . . . . . 2,259 104,050Capital Bancorp, Inc. (a). . . . . . . . 900 13,401Capital City Bank Group, Inc. . . . . 2,150 65,575Capstar Financial Holdings, Inc. . . . 235 3,913Carolina Financial Corp.. . . . . . . . 2,320 100,294Carter Bank & Trust (a) . . . . . . . . 3,230 76,616Cathay General Bancorp . . . . . . . . 11,250 428,062CB Financial Services, Inc. . . . . . . 700 21,098CBTX, Inc. . . . . . . . . . . . . . . . . 2,465 76,711CenterState Bank Corp. . . . . . . . . 17,946 448,291Central Pacific Financial Corp.. . . . 4,504 133,228Central Valley Community

Bancorp . . . . . . . . . . . . . . . . 2,140 46,374Chemung Financial Corp. . . . . . . . 500 21,250


CIT Group, Inc. . . . . . . . . . . . . . 10,463 $ 477,427Citigroup, Inc. . . . . . . . . . . . . . . 308,119 24,615,627Citizens & Northern Corp. . . . . . . 2,169 61,274Citizens Financial Group, Inc. . . . . 66,768 2,711,448City Holding Co. . . . . . . . . . . . . 2,278 186,682Civista Bancshares, Inc. . . . . . . . . 2,100 50,400CNB Financial Corp. . . . . . . . . . . 2,325 75,981Coastal Financial Corp. (a) . . . . . . 1,265 20,835Codorus Valley Bancorp, Inc.. . . . . 1,871 43,089Colony Bankcorp, Inc. . . . . . . . . . 1,000 16,500Columbia Banking System, Inc. . . . 11,200 455,672Comerica, Inc. . . . . . . . . . . . . . . 22,972 1,648,241Commerce Bancshares, Inc.. . . . . . 17,696 1,202,266Community Bank System, Inc. . . . . 6,892 488,918Community Financial Corp. . . . . . 90 3,201Community Trust Bancorp, Inc. . . . 2,267 105,733ConnectOne Bancorp, Inc. . . . . . . 4,440 114,197County Bancorp, Inc. . . . . . . . . . . 110 2,819Cullen/Frost Bankers, Inc. . . . . . . . 8,934 873,567Customers Bancorp, Inc. (a) . . . . . 4,565 108,693CVB Financial Corp. . . . . . . . . . . 15,920 343,554Dime Community Bancshares, Inc. . 4,543 94,903Eagle Bancorp, Inc. . . . . . . . . . . . 4,682 227,686East West Bancorp, Inc. . . . . . . . . 21,159 1,030,443Enterprise Financial Services Corp. . 2,476 119,368Equity Bancshares, Inc. Class A (a) . 2,065 63,747Esquire Financial Holdings, Inc. (a). 800 20,856Farmers & Merchants Bancorp, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 2,950 88,942Farmers National Banc Corp. . . . . . 2,505 40,882FB Financial Corp. . . . . . . . . . . . 2,180 86,306Fifth Third Bancorp . . . . . . . . . . . 99,579 3,061,058Financial Institutions, Inc. . . . . . . . 2,228 71,519First BanCorp . . . . . . . . . . . . . . 30,105 318,812First Bancorp, Inc. . . . . . . . . . . . 2,110 63,785First BanCorp/Southern Pines . . . . 2,342 93,469First Bancshares, Inc. . . . . . . . . . . 2,265 80,453First Bank . . . . . . . . . . . . . . . . . 8,305 91,770First Busey Corp. . . . . . . . . . . . . 4,762 130,955First Business Financial Services,

Inc. . . . . . . . . . . . . . . . . . . . 2,090 55,030First Capital, Inc. (b) . . . . . . . . . . 400 29,200First Choice Bancorp . . . . . . . . . . 4,535 122,264First Citizens BancShares, Inc.

Class A . . . . . . . . . . . . . . . . . 790 420,446First Commonwealth Financial

Corp. . . . . . . . . . . . . . . . . . . 13,800 200,238First Community Bankshares, Inc.. . 2,232 69,237First Community Corp.. . . . . . . . . 1,000 21,610First Financial Bancorp . . . . . . . . 11,669 296,859First Financial Bankshares, Inc. (b) . 18,287 641,874First Financial Corp. . . . . . . . . . . 2,138 97,749First Financial Northwest, Inc. . . . . 2,025 30,253First Foundation, Inc. . . . . . . . . . . 4,455 77,517First Guaranty Bancshares, Inc. . . . 770 16,763First Hawaiian, Inc. . . . . . . . . . . . 21,853 630,459


2


First Horizon National Corp. . . . . . 50,192 $ 831,180First Internet Bancorp . . . . . . . . . 225 5,335First Interstate BancSystem, Inc.

Class A . . . . . . . . . . . . . . . . . 4,616 193,503First Merchants Corp. . . . . . . . . . 7,662 318,663First Mid-Illinois Bancshares, Inc.. . 2,100 74,025First Midwest Bancorp, Inc.. . . . . . 15,867 365,893First Northwest Bancorp . . . . . . . . 2,130 38,617First of Long Island Corp. . . . . . . . 2,408 60,393First Savings Financial Group, Inc. . 1,785 119,773First United Corp. . . . . . . . . . . . . 900 21,681Flushing Financial Corp.. . . . . . . . 4,473 96,639FNB Corp. . . . . . . . . . . . . . . . . 51,677 656,298Franklin Financial Network, Inc.. . . 2,190 75,183Franklin Financial Services Corp. . . 600 23,214Fulton Financial Corp. . . . . . . . . . 26,769 466,584FVCBankcorp, Inc. (a) . . . . . . . . . 5,920 103,422German American Bancorp, Inc.. . . 6,296 224,264Glacier Bancorp, Inc. . . . . . . . . . . 11,459 526,999Great Southern Bancorp, Inc.. . . . . 2,466 156,147Great Western Bancorp, Inc. . . . . . 8,981 312,000Guaranty Bancshares, Inc.. . . . . . . 3,635 119,519Hancock Whitney Corp. . . . . . . . . 12,194 535,073Hanmi Financial Corp. . . . . . . . . . 4,564 91,257HarborOne Bancorp, Inc. (a) . . . . . 4,070 44,729Hawthorn Bancshares, Inc. . . . . . . 4,216 107,508Heartland Financial USA, Inc. . . . . 4,450 221,343Heritage Commerce Corp.. . . . . . . 4,740 60,814Heritage Financial Corp.. . . . . . . . 4,458 126,161Hilltop Holdings, Inc. . . . . . . . . . 11,251 280,487Home BancShares, Inc. . . . . . . . . 25,529 501,900HomeTrust Bancshares, Inc. . . . . . 2,364 63,426Hope Bancorp, Inc. . . . . . . . . . . . 18,403 273,469Horizon Bancorp, Inc. . . . . . . . . . 4,165 79,135Howard Bancorp, Inc. (a) . . . . . . . 2,100 35,448Huntington Bancshares, Inc. . . . . . 155,140 2,339,511IBERIABANK Corp.. . . . . . . . . . 8,349 624,756Independent Bank Corp. . . . . . . . . 2,370 53,680Independent Bank Corp.

(Massachusetts) . . . . . . . . . . . 4,919 409,507Independent Bank Group, Inc. . . . . 3,758 208,344International Bancshares Corp.. . . . 7,043 303,342Investar Holding Corp. . . . . . . . . . 245 5,880Investors Bancorp, Inc.. . . . . . . . . 42,221 503,063JPMorgan Chase & Co. . . . . . . . . 452,051 63,015,909KeyCorp. . . . . . . . . . . . . . . . . . 149,038 3,016,529Lakeland Bancorp, Inc. . . . . . . . . 6,690 116,272Lakeland Financial Corp. . . . . . . . 4,367 213,677LCNB Corp. . . . . . . . . . . . . . . . 2,110 40,723Level One Bancorp, Inc. . . . . . . . . 700 17,612Live Oak Bancshares, Inc. (b) . . . . 2,395 45,529M&T Bank Corp. . . . . . . . . . . . . 18,972 3,220,497Macatawa Bank Corp. . . . . . . . . . 4,390 48,861Mackinac Financial Corp. . . . . . . . 1,365 23,833MainStreet Bancshares, Inc. (a) . . . 1,165 26,795Malvern Bancorp, Inc. (a) . . . . . . . 1,000 23,090


Mercantile Bank Corp. . . . . . . . . . 2,240 $ 81,693Metropolitan Bank Holding Corp.

(a) . . . . . . . . . . . . . . . . . . . . 1,165 56,188Mid Penn Bancorp, Inc. . . . . . . . . 3,970 114,336Middlefield Banc Corp. . . . . . . . . 800 20,872Midland States Bancorp, Inc. . . . . . 2,190 63,422MidWestOne Financial Group, Inc. . 2,110 76,445MutualFirst Financial, Inc. . . . . . . 150 5,950National Bank Holdings Corp.

Class A . . . . . . . . . . . . . . . . . 4,584 161,448National Bankshares, Inc. . . . . . . . 1,909 85,771NBT Bancorp, Inc. . . . . . . . . . . . 6,657 270,008Nicolet Bankshares, Inc. (a). . . . . . 1,930 142,530Northrim BanCorp, Inc. . . . . . . . . 150 5,745Norwood Financial Corp. . . . . . . . 130 5,057Oak Valley Bancorp (b) . . . . . . . . 4,870 94,770OFG Bancorp . . . . . . . . . . . . . . 6,292 148,554Ohio Valley Banc Corp. . . . . . . . . 80 3,170Old National Bancorp . . . . . . . . . 19,126 349,815Old Second Bancorp, Inc. . . . . . . . 4,380 58,999Opus Bank . . . . . . . . . . . . . . . . 4,360 112,793Origin Bancorp, Inc. . . . . . . . . . . 2,265 85,708Orrstown Financial Services, Inc. . . 235 5,316Pacific Mercantile Bancorp (a). . . . 2,765 22,452Pacific Premier Bancorp, Inc. . . . . 4,769 155,493PacWest Bancorp . . . . . . . . . . . . 19,688 753,460Park National Corp.. . . . . . . . . . . 2,287 234,143Parke Bancorp, Inc. . . . . . . . . . . . 1,265 32,118PCB Bancorp. . . . . . . . . . . . . . . 1,665 28,771Peapack Gladstone Financial Corp. . 2,250 69,525Penns Woods Bancorp, Inc. . . . . . . 135 4,801Peoples Bancorp of North Carolina,

Inc. . . . . . . . . . . . . . . . . . . . 600 19,710Peoples Bancorp, Inc. . . . . . . . . . 2,289 79,337People’s United Financial, Inc. . . . . 55,510 938,119People’s Utah Bancorp . . . . . . . . . 2,240 67,469Pinnacle Financial Partners, Inc. . . . 11,110 711,040PNC Financial Services Group,

Inc. . . . . . . . . . . . . . . . . . . . 63,149 10,080,475Popular, Inc. . . . . . . . . . . . . . . . 15,669 920,554Premier Financial Bancorp, Inc. . . . 2,373 43,046Prosperity Bancshares, Inc. . . . . . . 11,074 796,110QCR Holdings, Inc. . . . . . . . . . . . 2,150 94,299RBB Bancorp . . . . . . . . . . . . . . 2,265 47,950Regions Financial Corp. . . . . . . . . 148,493 2,548,140Renasant Corp.. . . . . . . . . . . . . . 6,899 244,363Republic Bancorp, Inc. Class A . . . 223 10,436Republic First Bancorp, Inc. (a) . . . 6,395 26,731S&T Bancorp, Inc. . . . . . . . . . . . 4,729 190,531Sandy Spring Bancorp, Inc. . . . . . . 2,472 93,639SB Financial Group, Inc. . . . . . . . 800 15,752SB One Bancorp. . . . . . . . . . . . . 1,165 29,032Seacoast Banking Corp. of Florida

(a) . . . . . . . . . . . . . . . . . . . . 4,755 145,360Select Bancorp, Inc. (a) . . . . . . . . 8,905 109,531ServisFirst Bancshares, Inc.. . . . . . 6,668 251,250


3


Shore Bancshares, Inc. . . . . . . . . . 2,180 $ 37,845Sierra Bancorp . . . . . . . . . . . . . . 2,140 62,317Signature Bank. . . . . . . . . . . . . . 6,960 950,806Simmons First National Corp.

Class A . . . . . . . . . . . . . . . . . 10,894 291,850SmartFinancial, Inc. . . . . . . . . . . 215 5,085South State Corp. . . . . . . . . . . . . 4,629 401,566Southern First Bancshares, Inc. (a) . 150 6,373Southern National Bancorp of

Virginia, Inc. . . . . . . . . . . . . . 2,410 39,403Southside Bancshares, Inc. . . . . . . 4,434 164,679Spirit of Texas Bancshares, Inc. (a) . 4,535 104,305Sterling Bancorp. . . . . . . . . . . . . 27,796 585,940Stock Yards Bancorp, Inc. . . . . . . . 2,410 98,955Summit Financial Group, Inc. . . . . 2,110 57,160SVB Financial Group (a) . . . . . . . 6,945 1,743,473Synovus Financial Corp. . . . . . . . . 23,240 911,008TCF Financial Corp. . . . . . . . . . . 21,247 994,360Texas Capital Bancshares, Inc. (a) . . 6,842 388,420Tompkins Financial Corp. . . . . . . . 2,161 197,731TriCo Bancshares . . . . . . . . . . . . 5,036 205,519TriState Capital Holdings, Inc. (a) . . 2,465 64,386Triumph Bancorp, Inc. (a) . . . . . . . 2,365 89,917Truist Financial Corp. . . . . . . . . . 187,354 10,551,777Trustmark Corp. . . . . . . . . . . . . . 9,121 314,766Two River Bancorp . . . . . . . . . . . 1,000 22,400UMB Financial Corp. . . . . . . . . . 6,726 461,673Umpqua Holdings Corp. . . . . . . . . 35,350 625,695Union Bankshares, Inc. . . . . . . . . 500 18,130United Bankshares, Inc. . . . . . . . . 18,117 700,403United Community Banks, Inc. . . . 9,304 287,308United Security Bancshares . . . . . . 2,065 22,157Unity Bancorp, Inc. . . . . . . . . . . . 1,165 26,294Univest Financial Corp. . . . . . . . . 4,435 118,769US Bancorp. . . . . . . . . . . . . . . . 221,058 13,106,529Valley National Bancorp. . . . . . . . 51,058 584,614Veritex Holdings, Inc. . . . . . . . . . 4,281 124,706Washington Trust Bancorp, Inc. (b) . 2,258 121,458Webster Financial Corp. . . . . . . . . 13,484 719,506Wells Fargo & Co.. . . . . . . . . . . . 603,894 32,489,497WesBanco, Inc. . . . . . . . . . . . . . 8,016 302,925West Bancorp, Inc. . . . . . . . . . . . 4,121 105,621Westamerica Bancorporation . . . . . 4,466 302,661Western Alliance Bancorp . . . . . . . 13,834 788,538Wintrust Financial Corp.. . . . . . . . 7,052 499,987Zions Bancorp NA . . . . . . . . . . . 26,342 1,367,677

268,415,646

BEVERAGES — 1.7%Boston Beer Co., Inc. Class A (a) . . 1,165 440,195Brown-Forman Corp. Class B . . . . 9,147 618,337Celsius Holdings, Inc. (a) (b) . . . . . 3,230 15,601Coca-Cola Co. . . . . . . . . . . . . . . 606,425 33,565,624Coca-Cola Consolidated, Inc. . . . . . 486 138,048Constellation Brands, Inc. Class A . 21,733 4,123,837Craft Brew Alliance, Inc. (a) . . . . . 2,120 34,980MGP Ingredients, Inc. (b) . . . . . . . 2,170 105,136


Molson Coors Brewing Co. Class B. 25,620 $ 1,380,918Monster Beverage Corp. (a). . . . . . 57,076 3,627,180National Beverage Corp. (a) (b) . . . 2,434 124,183New Age Beverages Corp. (a) (b) . . 9,825 17,882PepsiCo, Inc. . . . . . . . . . . . . . . . 198,540 27,134,462Primo Water Corp. (a) (b) . . . . . . . 4,460 50,063

71,376,446

BIOTECHNOLOGY — 2.7%AbbVie, Inc. . . . . . . . . . . . . . . . 209,559 18,554,354Abeona Therapeutics, Inc. (a) (b) . . 2,495 8,159ACADIA Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 20,618 882,038Acceleron Pharma, Inc. (a) (b) . . . . 4,696 248,982Achillion Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,729 16,456Acorda Therapeutics, Inc. (a) (b). . . 6,710 13,688Adamas Pharmaceuticals, Inc. (a) . . 2,350 8,907ADMA Biologics, Inc. (a) . . . . . . . 6,495 25,980Adverum Biotechnologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 15,300 176,256Aeglea BioTherapeutics, Inc. (a). . . 3,430 26,205Agenus, Inc. (a) (b) . . . . . . . . . . . 13,645 55,535Agios Pharmaceuticals, Inc. (a) (b) . 6,750 322,312Aimmune Therapeutics, Inc. (a) (b) . 7,725 258,556Akebia Therapeutics, Inc. (a) (b). . . 13,039 82,406Akero Therapeutics, Inc. (a). . . . . . 1,265 28,077Albireo Pharma, Inc. (a) . . . . . . . . 145 3,686Aldeyra Therapeutics, Inc. (a) . . . . 2,335 13,566Alector, Inc. (a) (b) . . . . . . . . . . . 5,695 98,125Alexion Pharmaceuticals, Inc. (a) . . 32,594 3,525,041Allakos, Inc. (a) (b) . . . . . . . . . . . 2,570 245,075Allogene Therapeutics, Inc. (a) (b) . 4,865 126,393Alnylam Pharmaceuticals, Inc. (a). . 13,356 1,538,211AMAG Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 172 2,093Amgen, Inc.. . . . . . . . . . . . . . . . 84,946 20,477,932Amicus Therapeutics, Inc. (a). . . . . 25,970 252,948AnaptysBio, Inc. (a) (b) . . . . . . . . 3,720 60,450Anavex Life Sciences Corp. (a) (b) . 6,630 17,172Anika Therapeutics, Inc. (a). . . . . . 2,268 117,596Apellis Pharmaceuticals, Inc. (a). . . 2,649 81,112Applied Therapeutics, Inc. (a) (b) . . 1,000 27,280Aptinyx, Inc. (a) (b). . . . . . . . . . . 1,965 6,720Arcus Biosciences, Inc. (a) . . . . . . 3,930 39,693Ardelyx, Inc. (a) . . . . . . . . . . . . . 4,635 34,786Arena Pharmaceuticals, Inc. (a) . . . 6,709 304,723ArQule, Inc. (a) . . . . . . . . . . . . . 23,070 460,477Arrowhead Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 12,588 798,457Assembly Biosciences, Inc. (a) . . . . 2,345 47,979Atara Biotherapeutics, Inc. (a) (b) . . 5,928 97,634Athenex, Inc. (a) (b) . . . . . . . . . . 10,385 158,579Athersys, Inc. (a) (b) . . . . . . . . . . 16,510 20,307Atreca, Inc. Class A (a) (b) . . . . . . 2,865 44,322Audentes Therapeutics, Inc. (a) . . . 5,630 336,899Avid Bioservices, Inc. (a) (b) . . . . . 4,670 35,819


4


Avrobio, Inc. (a) (b) . . . . . . . . . . . 3,230 $ 65,020Baudax Bio, Inc. (a) (b) . . . . . . . . 941 6,512Beyondspring, Inc. (a) . . . . . . . . . 1,165 18,057BioCryst Pharmaceuticals, Inc. (a) . 18,316 63,190Biogen, Inc. (a). . . . . . . . . . . . . . 26,447 7,847,618Biohaven Pharmaceutical Holding

Co., Ltd. (a) . . . . . . . . . . . . . . 3,865 210,411BioMarin Pharmaceutical, Inc. (a). . 24,142 2,041,206BioSpecifics Technologies Corp.

(a) . . . . . . . . . . . . . . . . . . . . 130 7,402Bioxcel Therapeutics, Inc. (a). . . . . 900 13,149Bluebird Bio, Inc. (a) (b). . . . . . . . 7,814 685,678Blueprint Medicines Corp. (a) . . . . 6,899 552,679Bridgebio Pharma, Inc. (a) . . . . . . 9,160 321,058Calithera Biosciences, Inc. (a) . . . . 4,485 25,609Calyxt, Inc. (a) (b). . . . . . . . . . . . 1,465 10,270CareDx, Inc. (a) (b) . . . . . . . . . . . 7,207 155,455CASI Pharmaceuticals, Inc. (a) (b) . 5,495 16,980Castle Biosciences, Inc. (a) . . . . . . 1,365 46,915Catalyst Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 9,220 34,575Celcuity, Inc. (a) . . . . . . . . . . . . . 700 7,448Cellular Biomedicine Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,150 34,916CEL-SCI Corp. (a) (b) . . . . . . . . . 7,645 69,952ChemoCentryx, Inc. (a) . . . . . . . . 4,628 183,037Chimerix, Inc. (a) . . . . . . . . . . . . 322 654Clovis Oncology, Inc. (a) (b) . . . . . 6,916 72,099Coherus Biosciences, Inc. (a) (b) . . 11,427 205,743Concert Pharmaceuticals, Inc. (a) . . 2,300 21,217Corbus Pharmaceuticals Holdings,

Inc. (a) (b) . . . . . . . . . . . . . . . 6,795 37,101Cortexyme, Inc. (a) (b) . . . . . . . . . 1,265 71,017Crinetics Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 3,735 93,711Cue Biopharma, Inc. (a) . . . . . . . . 2,465 39,132Cyclerion Therapeutics, Inc. (a) (b) . 3,730 10,146Cytokinetics, Inc. (a) (b) . . . . . . . . 7,046 74,758CytomX Therapeutics, Inc. (a) . . . . 4,485 37,270Deciphera Pharmaceuticals, Inc. (a). 3,930 244,603Denali Therapeutics, Inc. (a) (b) . . . 12,470 217,227Dicerna Pharmaceuticals, Inc. (a) . . 2,470 54,414Dyadic International, Inc. (a) (b). . . 2,665 13,805Dynavax Technologies Corp. (a) (b). 9,185 52,538Eagle Pharmaceuticals, Inc. (a) (b) . 2,143 128,751Editas Medicine, Inc. (a) (b) . . . . . 6,760 200,164Eiger BioPharmaceuticals, Inc. (a) . 2,965 44,178Emergent BioSolutions, Inc. (a) . . . 4,663 251,569Enanta Pharmaceuticals, Inc. (a) . . . 2,287 141,291Epizyme, Inc. (a) (b) . . . . . . . . . . 7,100 174,660Esperion Therapeutics, Inc. (a) (b). . 2,499 149,015Evelo Biosciences, Inc. (a) . . . . . . 1,565 6,354Exact Sciences Corp. (a) (b) . . . . . 19,811 1,832,121Exelixis, Inc. (a) . . . . . . . . . . . . . 46,609 821,251Exicure, Inc. (a) (b) . . . . . . . . . . . 6,995 20,006Fate Therapeutics, Inc. (a) (b). . . . . 11,463 224,331FibroGen, Inc. (a) . . . . . . . . . . . . 11,290 484,228


Five Prime Therapeutics, Inc. (a). . . 4,403 $ 20,210Flexion Therapeutics, Inc. (a) (b) . . 4,460 92,322Forty Seven, Inc. (a) (b) . . . . . . . . 3,330 131,102G1 Therapeutics, Inc. (a) (b) . . . . . 2,230 58,939Galectin Therapeutics, Inc. (a) (b) . . 11,885 33,991Geron Corp. (a) (b) . . . . . . . . . . . 25,673 34,915Gilead Sciences, Inc. . . . . . . . . . . 177,441 11,530,116Global Blood Therapeutics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 8,966 712,707GlycoMimetics, Inc. (a) (b) . . . . . . 4,510 23,858Gossamer Bio, Inc. (a) (b) . . . . . . . 6,095 95,265Gritstone Oncology, Inc. (a) (b) . . . 2,765 24,802Halozyme Therapeutics, Inc. (a) (b) . 18,826 333,785Harpoon Therapeutics, Inc. (a) (b). . 1,765 26,104Heron Therapeutics, Inc. (a) (b) . . . 9,060 212,910Homology Medicines, Inc. (a) (b) . . 4,400 91,080Hookipa Pharma, Inc. (a) (b) . . . . . 1,665 20,363Ideaya Biosciences, Inc. (a) (b). . . . 1,365 10,238Immunic, Inc. (a) . . . . . . . . . . . . 400 3,880ImmunoGen, Inc. (a) (b) . . . . . . . . 23,475 119,840Immunomedics, Inc. (a) (b) . . . . . . 25,595 541,590Incyte Corp. (a) . . . . . . . . . . . . . 32,296 2,820,087Inovio Pharmaceuticals, Inc. (a) (b) . 516 1,703Insmed, Inc. (a) (b) . . . . . . . . . . . 10,654 254,418Insys Therapeutics, Inc. (a) . . . . . . 21 1Intellia Therapeutics, Inc. (a) (b) . . . 4,787 70,225Intercept Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 3,461 428,887Intrexon Corp. (a) (b). . . . . . . . . . 323 1,770Invitae Corp. (a) (b). . . . . . . . . . . 11,255 181,543Ionis Pharmaceuticals, Inc. (a) . . . . 17,588 1,062,491Iovance Biotherapeutics, Inc. (a) . . . 18,020 498,794Ironwood Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 20,658 274,958Jounce Therapeutics, Inc. (a) (b) . . . 2,260 19,730Kadmon Holdings, Inc. (a) (b) . . . . 9,170 41,540KalVista Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 1,765 31,435Karuna Therapeutics, Inc. (a) (b) . . 1,265 95,305Karyopharm Therapeutics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,730 90,674Kindred Biosciences, Inc. (a) . . . . . 4,410 37,397Kodiak Sciences, Inc. (a) (b) . . . . . 3,930 282,763Krystal Biotech, Inc. (a) (b) . . . . . . 1,565 86,670Kura Oncology, Inc. (a) (b) . . . . . . 2,550 35,062La Jolla Pharmaceutical Co. (a) (b) . 2,475 9,727Lexicon Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 18,785 77,958Ligand Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,638 275,117LogicBio Therapeutics, Inc. (a) (b) . 1,865 13,428MacroGenics, Inc. (a) (b) . . . . . . . 4,615 50,211Madrigal Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 1,479 134,752Magenta Therapeutics, Inc. (a) (b). . 2,765 41,917MannKind Corp. (a) (b) . . . . . . . . 5,330 6,876Marker Therapeutics, Inc. (a) (b). . . 4,230 12,182


5


Medicines Co. (a) (b) . . . . . . . . . . 12,017 $ 1,020,724MediciNova, Inc. (a) (b) . . . . . . . . 4,470 30,128MEI Pharma, Inc. (a) . . . . . . . . . . 8,760 21,725MeiraGTx Holdings PLC (a) . . . . . 3,065 61,361Minerva Neurosciences, Inc. (a) . . . 6,585 46,819Mirati Therapeutics, Inc. (a) (b) . . . 5,003 644,687Moderna, Inc. (a) (b) . . . . . . . . . . 27,245 532,912Molecular Templates, Inc. (a) . . . . . 2,130 29,788Momenta Pharmaceuticals, Inc. (a) . 13,597 268,269Morphic Holding, Inc. (a) (b). . . . . 1,665 28,571Mustang Bio, Inc. (a) . . . . . . . . . . 3,930 16,034Myriad Genetics, Inc. (a) . . . . . . . 11,215 305,384NantKwest, Inc. (a) (b) . . . . . . . . . 4,520 17,131Natera, Inc. (a) . . . . . . . . . . . . . . 4,770 160,701Neurocrine Biosciences, Inc. (a) . . . 13,834 1,487,017NextCure, Inc. (a) . . . . . . . . . . . . 1,765 99,422Novavax, Inc. (a) (b) . . . . . . . . . . 3,430 13,651Oncocyte Corp. (a) (b) . . . . . . . . . 5,030 11,318OPKO Health, Inc. (a) (b) . . . . . . . 51,912 76,311Ovid therapeutics, Inc. (a) . . . . . . . 2,565 10,645PDL BioPharma, Inc. (a) . . . . . . . 5,093 16,527Pfenex, Inc. (a) . . . . . . . . . . . . . . 4,430 48,641PhaseBio Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 1,965 12,006Pieris Pharmaceuticals, Inc. (a) (b) . 6,890 24,942Portola Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 11,176 266,883Precision BioSciences, Inc. (a) . . . . 4,530 62,922Prevail Therapeutics, Inc. (a) (b) . . . 4,030 63,795Principia Biopharma, Inc. (a) . . . . . 2,965 162,423Progenics Pharmaceuticals, Inc. (a) . 12,480 63,523Protagonist Therapeutics, Inc. (a) . . 245 1,727PTC Therapeutics, Inc. (a). . . . . . . 8,550 410,656Puma Biotechnology, Inc. (a) (b). . . 4,537 39,699Ra Pharmaceuticals, Inc. (a) . . . . . 6,420 301,291Radius Health, Inc. (a) (b) . . . . . . . 6,820 137,491Regeneron Pharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 11,606 4,357,821REGENXBIO, Inc. (a) (b). . . . . . . 4,470 183,136Retrophin, Inc. (a) (b) . . . . . . . . . 6,630 94,146Rhythm Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 3,900 89,544Rigel Pharmaceuticals, Inc. (a) . . . . 11,816 25,286Rocket Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 8,435 191,981Rubius Therapeutics, Inc. (a) (b) . . . 5,685 54,007Sage Therapeutics, Inc. (a) (b) . . . . 6,629 478,548Sangamo Therapeutics, Inc. (a) (b) . 13,284 111,187Sarepta Therapeutics, Inc. (a) (b) . . 10,739 1,385,761Savara, Inc. (a) (b). . . . . . . . . . . . 2,405 10,774Scholar Rock Holding Corp. (a) (b) . 2,865 37,761Seattle Genetics, Inc. (a) . . . . . . . . 23,500 2,685,110Seres Therapeutics, Inc. (a) . . . . . . 4,615 15,922Sesen Bio, Inc. (a). . . . . . . . . . . . 12,790 13,302Solid Biosciences, Inc. (a) (b) . . . . 4,330 19,268Sorrento Therapeutics, Inc. (a) (b) . . 4,755 16,072


Spectrum Pharmaceuticals, Inc. (a) . 9,196 $ 33,473Spero Therapeutics, Inc. (a) . . . . . . 1,665 16,009Stemline Therapeutics, Inc. (a) (b). . 2,551 27,117Stoke Therapeutics, Inc. (a) (b). . . . 2,165 61,313Sutro Biopharma, Inc. (a) . . . . . . . 1,265 13,915Syndax Pharmaceuticals, Inc. (a) . . 2,250 19,755Synthorx, Inc. (a) . . . . . . . . . . . . 3,065 214,213Syros Pharmaceuticals, Inc. (a) (b) . 2,215 15,306T2 Biosystems, Inc. (a) (b) . . . . . . 37,372 43,725TCR2 Therapeutics, Inc. (a). . . . . . 1,565 22,348TG Therapeutics, Inc. (a) (b) . . . . . 11,390 126,429Translate Bio, Inc. (a) (b) . . . . . . . 5,495 44,729Turning Point Therapeutics, Inc. (a) . 3,330 207,426Twist Bioscience Corp. (a) (b) . . . . 2,565 53,865Tyme Technologies, Inc. (a) (b). . . . 7,195 10,073Ultragenyx Pharmaceutical, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 6,881 293,888United Therapeutics Corp. (a) . . . . 6,721 591,986UNITY Biotechnology, Inc. (a) (b) . 2,965 21,378UroGen Pharma, Ltd. (a) (b) . . . . . 2,550 85,093Vanda Pharmaceuticals, Inc. (a) . . . 6,949 114,033Veracyte, Inc. (a) (b) . . . . . . . . . . 2,520 70,358Vericel Corp. (a) (b) . . . . . . . . . . 7,451 129,647Vertex Pharmaceuticals, Inc. (a) . . . 35,995 7,881,105Viking Therapeutics, Inc. (a) (b) . . . 13,184 105,736Voyager Therapeutics, Inc. (a) (b) . . 2,245 31,318X4 Pharmaceuticals, Inc. (a) (b) . . . 1,565 16,746XBiotech, Inc. (a) (b) . . . . . . . . . . 2,270 42,370Xencor, Inc. (a) (b) . . . . . . . . . . . 7,005 240,902XOMA Corp. (a) . . . . . . . . . . . . 1,238 33,797Y-mAbs Therapeutics, Inc. (a) . . . . 2,065 64,531ZIOPHARM Oncology, Inc. (a) (b) . 25,454 120,143

115,894,592

BUILDING PRODUCTS — 0.3%AAON, Inc. . . . . . . . . . . . . . . . . 4,725 233,462Advanced Drainage Systems, Inc. . . 6,631 257,548American Woodmark Corp. (a). . . . 2,218 231,803AO Smith Corp. . . . . . . . . . . . . . 4,731 225,385Apogee Enterprises, Inc. . . . . . . . . 4,488 145,860Armstrong Flooring, Inc. (a) . . . . . 4,385 18,724Armstrong World Industries, Inc. . . 6,931 651,306Builders FirstSource, Inc. (a) . . . . . 14,115 358,662Continental Building Products, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,680 170,493Cornerstone Building Brands, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,779 40,669CSW Industrials, Inc.. . . . . . . . . . 2,230 171,710Fortune Brands Home & Security,

Inc. . . . . . . . . . . . . . . . . . . . 18,399 1,202,191Gibraltar Industries, Inc. (a). . . . . . 2,469 124,536Griffon Corp. . . . . . . . . . . . . . . . 6,689 135,987Insteel Industries, Inc. . . . . . . . . . 2,311 49,663JELD-WEN Holding, Inc. (a). . . . . 6,985 163,519Lennox International, Inc. . . . . . . . 5,127 1,250,834Masco Corp. . . . . . . . . . . . . . . . 44,334 2,127,589Masonite International Corp. (a) . . . 4,206 303,715


6


Owens Corning . . . . . . . . . . . . . 16,173 $ 1,053,186Patrick Industries, Inc. . . . . . . . . . 4,342 227,651PGT Innovations, Inc. (a) . . . . . . . 6,978 104,042Quanex Building Products Corp.. . . 4,659 79,576Resideo Technologies, Inc. (a) . . . . 14,315 170,778Simpson Manufacturing Co., Inc. . . 6,673 535,375Trex Co., Inc. (a) (b) . . . . . . . . . . 9,172 824,379Universal Forest Products, Inc. . . . . 4,600 219,420

11,078,063

CAPITAL MARKETS — 2.7%Affiliated Managers Group, Inc. . . . 8,745 741,051Ameriprise Financial, Inc. . . . . . . . 18,746 3,122,709Artisan Partners Asset

Management, Inc. Class A . . . . . 2,333 75,403B. Riley Financial, Inc. . . . . . . . . . 2,270 57,159Bank of New York Mellon Corp.. . . 134,386 6,763,647BGC Partners, Inc. Class A . . . . . . 30,396 180,552BlackRock, Inc. . . . . . . . . . . . . . 21,689 10,903,060Blucora, Inc. (a) . . . . . . . . . . . . . 6,725 175,791Brightsphere Investment Group,

Inc. (a) . . . . . . . . . . . . . . . . . 12,790 130,714Cboe Global Markets, Inc. . . . . . . 14,725 1,767,000Charles Schwab Corp. . . . . . . . . . 166,319 7,910,132CME Group, Inc. . . . . . . . . . . . . 49,763 9,988,429Cohen & Steers, Inc. . . . . . . . . . . 2,364 148,365Cowen, Inc. Class A (a) . . . . . . . . 4,553 71,710Diamond Hill Investment Group,

Inc. . . . . . . . . . . . . . . . . . . . 96 13,484Donnelley Financial Solutions, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,579 47,942E*TRADE Financial Corp. . . . . . . 33,049 1,499,433Evercore, Inc. Class A . . . . . . . . . 4,789 358,026FactSet Research Systems, Inc. (b) . 4,739 1,271,474Focus Financial Partners, Inc.

Class A (a). . . . . . . . . . . . . . . 2,715 80,011Franklin Resources, Inc. . . . . . . . . 41,038 1,066,167Freedom Holding Corp. (a) (b) . . . . 2,165 31,479GAIN Capital Holdings, Inc. (b) . . . 3,717 14,682GAMCO Investors, Inc. Class A . . . 147 2,865Goldman Sachs Group, Inc. . . . . . . 48,464 11,143,327Greenhill & Co., Inc. . . . . . . . . . . 174 2,972Hamilton Lane, Inc. Class A . . . . . 2,175 129,630Houlihan Lokey, Inc. . . . . . . . . . . 2,510 122,664Interactive Brokers Group, Inc.

Class A (b). . . . . . . . . . . . . . . 7,280 339,394Intercontinental Exchange, Inc. . . . 79,387 7,347,267INTL. FCStone, Inc. (a) . . . . . . . . 2,273 110,991Invesco, Ltd. . . . . . . . . . . . . . . . 61,380 1,103,612Ladenburg Thalmann Financial

Services, Inc. . . . . . . . . . . . . . 13,672 47,579Lazard, Ltd. Class A . . . . . . . . . . 12,641 505,134Legg Mason, Inc. . . . . . . . . . . . . 13,587 487,909LPL Financial Holdings, Inc. . . . . . 13,409 1,236,980MarketAxess Holdings, Inc.. . . . . . 4,706 1,784,092Moelis & Co. Class A . . . . . . . . . 6,703 213,960Moody’s Corp. . . . . . . . . . . . . . . 26,407 6,269,286


Morgan Stanley . . . . . . . . . . . . . 171,242 $ 8,753,891Morningstar, Inc. . . . . . . . . . . . . 2,259 341,809MSCI, Inc. . . . . . . . . . . . . . . . . 11,964 3,088,866Nasdaq, Inc. . . . . . . . . . . . . . . . 17,473 1,871,358Northern Trust Corp. . . . . . . . . . . 30,522 3,242,657Piper Jaffray Cos. . . . . . . . . . . . . 2,303 184,102PJT Partners, Inc. Class A . . . . . . . 2,270 102,445Pzena Investment Management, Inc.

Class A . . . . . . . . . . . . . . . . . 2,230 19,223Raymond James Financial, Inc. . . . 18,893 1,690,168S&P Global, Inc. . . . . . . . . . . . . 34,788 9,498,863Safeguard Scientifics, Inc.. . . . . . . 149 1,636SEI Investments Co. . . . . . . . . . . 18,948 1,240,715Silvercrest Asset Management

Group, Inc. Class A . . . . . . . . . 152 1,912Stifel Financial Corp. . . . . . . . . . . 9,239 560,345T Rowe Price Group, Inc. . . . . . . . 32,295 3,934,823TD Ameritrade Holding Corp. . . . . 74,866 3,720,840Tradeweb Markets, Inc. Class A . . . 6,395 296,408Victory Capital Holdings, Inc.

Class A (b). . . . . . . . . . . . . . . 2,165 45,400Virtu Financial, Inc. Class A (b) . . . 10,809 172,836Virtus Investment Partners, Inc. . . . 150 18,258Waddell & Reed Financial, Inc.

Class A (b). . . . . . . . . . . . . . . 2,574 43,037Westwood Holdings Group, Inc. . . . 247 7,316WisdomTree Investments, Inc. . . . . 15,896 76,937

116,179,927

CHEMICALS — 1.6%Advanced Emissions Solutions, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 2,330 24,465AdvanSix, Inc. (a) . . . . . . . . . . . . 4,437 88,563AgroFresh Solutions, Inc. (a) . . . . . 6,920 17,854Air Products & Chemicals, Inc. . . . 30,909 7,263,306Albemarle Corp. (b) . . . . . . . . . . 15,003 1,095,819American Vanguard Corp. . . . . . . . 289 5,627Amyris, Inc. (a) (b) . . . . . . . . . . . 7,560 23,360Ashland Global Holdings, Inc. . . . . 9,096 696,117Axalta Coating Systems, Ltd. (a) . . 37,216 1,131,366Balchem Corp. . . . . . . . . . . . . . . 4,548 462,213Cabot Corp.. . . . . . . . . . . . . . . . 8,983 426,872Celanese Corp. . . . . . . . . . . . . . . 16,591 2,042,684CF Industries Holdings, Inc. . . . . . 32,417 1,547,588Chase Corp.. . . . . . . . . . . . . . . . 160 18,957Chemours Co. (b) . . . . . . . . . . . . 25,249 456,754Corteva, Inc. . . . . . . . . . . . . . . . 107,525 3,178,439Dow, Inc. . . . . . . . . . . . . . . . . . 105,337 5,765,094DuPont de Nemours, Inc. . . . . . . . 107,525 6,903,105Eastman Chemical Co. . . . . . . . . . 21,187 1,679,282Ecolab, Inc. . . . . . . . . . . . . . . . . 41,417 7,993,067Element Solutions, Inc. (a) . . . . . . 37,667 439,951Ferro Corp. (a) . . . . . . . . . . . . . . 11,374 168,676Flotek Industries, Inc. (a) . . . . . . . 302 604FMC Corp. . . . . . . . . . . . . . . . . 18,978 1,894,384FutureFuel Corp. . . . . . . . . . . . . 4,414 54,689GCP Applied Technologies, Inc. (a) . 11,261 255,737


7


Hawkins, Inc.. . . . . . . . . . . . . . . 2,128 $ 97,484HB Fuller Co. . . . . . . . . . . . . . . 6,927 357,225Huntsman Corp. . . . . . . . . . . . . . 28,210 681,554Ingevity Corp. (a) . . . . . . . . . . . . 6,051 528,736Innophos Holdings, Inc. . . . . . . . . 2,389 76,400Innospec, Inc. . . . . . . . . . . . . . . 4,420 457,205International Flavors & Fragrances,

Inc. (b) . . . . . . . . . . . . . . . . . 13,529 1,745,512Intrepid Potash, Inc. (a) . . . . . . . . 15,758 42,704Koppers Holdings, Inc. (a) . . . . . . 2,389 91,308Kraton Corp. (a) . . . . . . . . . . . . . 4,524 114,548Livent Corp. (a) (b) . . . . . . . . . . . 717 6,130Loop Industries, Inc. (a) (b) . . . . . . 1,965 19,453LSB Industries, Inc. (a) (b) . . . . . . 2,445 10,269Marrone Bio Innovations, Inc. (a) . . 11,025 11,135Minerals Technologies, Inc. . . . . . . 4,606 265,444Mosaic Co. . . . . . . . . . . . . . . . . 49,497 1,071,115NewMarket Corp. . . . . . . . . . . . . 1,468 714,211Northern Technologies International

Corp. . . . . . . . . . . . . . . . . . . 1,000 14,060Olin Corp.. . . . . . . . . . . . . . . . . 23,496 405,306OMNOVA Solutions, Inc. (a) . . . . . 6,702 67,757PolyOne Corp. . . . . . . . . . . . . . . 13,530 497,769PPG Industries, Inc.. . . . . . . . . . . 34,475 4,602,068PQ Group Holdings, Inc. (a) . . . . . 5,395 92,686Quaker Chemical Corp. . . . . . . . . 2,231 367,044Rayonier Advanced Materials, Inc. . 2,403 9,228RPM International, Inc. . . . . . . . . 18,953 1,454,832Scotts Miracle-Gro Co.. . . . . . . . . 6,677 708,964Sensient Technologies Corp. . . . . . 6,807 449,875Sherwin-Williams Co. . . . . . . . . . 11,618 6,779,568Stepan Co. . . . . . . . . . . . . . . . . 2,393 245,139Trecora Resources (a) . . . . . . . . . 2,370 16,945Tredegar Corp. . . . . . . . . . . . . . . 6,837 152,807Trinseo SA . . . . . . . . . . . . . . . . 6,745 250,981Tronox Holdings PLC Class A (a) . . 7,117 81,276Valvoline, Inc. . . . . . . . . . . . . . . 30,458 652,106Westlake Chemical Corp. . . . . . . . 4,676 328,021WR Grace & Co. . . . . . . . . . . . . 11,055 772,192

67,873,630


ABM Industries, Inc. . . . . . . . . . . 9,124 344,066ACCO Brands Corp. . . . . . . . . . . 15,722 147,158Advanced Disposal Services, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 9,100 299,117Brady Corp. Class A . . . . . . . . . . 6,795 389,082BrightView Holdings, Inc. (a) (b) . . 6,295 106,197Brink’s Co. . . . . . . . . . . . . . . . . 8,520 772,594Casella Waste Systems, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 4,775 219,793CECO Environmental Corp. (a) . . . 151 1,157Cintas Corp. . . . . . . . . . . . . . . . 11,788 3,171,915Civeo Corp. (a). . . . . . . . . . . . . . 25,374 32,732Clean Harbors, Inc. (a) . . . . . . . . . 8,523 730,847Copart, Inc. (a) . . . . . . . . . . . . . . 30,390 2,763,667


Covanta Holding Corp.. . . . . . . . . 18,890 $ 280,328Deluxe Corp. . . . . . . . . . . . . . . . 6,870 342,950Ennis, Inc.. . . . . . . . . . . . . . . . . 4,428 95,866Harsco Corp. (a) . . . . . . . . . . . . . 11,397 262,245Healthcare Services Group, Inc. (b) . 11,240 273,357Heritage-Crystal Clean, Inc. (a) . . . 2,240 70,269Herman Miller, Inc. . . . . . . . . . . . 9,050 376,933HNI Corp.. . . . . . . . . . . . . . . . . 8,493 318,148IAA, Inc. (a) . . . . . . . . . . . . . . . 17,107 805,055Interface, Inc.. . . . . . . . . . . . . . . 9,001 149,327KAR Auction Services, Inc. (b) . . . 21,107 459,922Kimball International, Inc. Class B . 4,620 95,495Knoll, Inc.. . . . . . . . . . . . . . . . . 6,751 170,530Matthews International Corp.

Class A . . . . . . . . . . . . . . . . . 4,532 172,986McGrath RentCorp . . . . . . . . . . . 4,420 338,307Mobile Mini, Inc. . . . . . . . . . . . . 6,752 255,968MSA Safety, Inc. . . . . . . . . . . . . 4,618 583,530PICO Holdings, Inc. (a) . . . . . . . . 249 2,769Pitney Bowes, Inc. (b) . . . . . . . . . 2,802 11,292Quad/Graphics, Inc. (b) . . . . . . . . 4,521 21,113Republic Services, Inc. . . . . . . . . . 46,048 4,127,282Rollins, Inc.. . . . . . . . . . . . . . . . 17,687 586,501RR Donnelley & Sons Co.. . . . . . . 409 1,616SP Plus Corp. (a) . . . . . . . . . . . . 2,473 104,929Steelcase, Inc. Class A . . . . . . . . . 13,464 275,473Stericycle, Inc. (a) (b) . . . . . . . . . 11,815 753,915Team, Inc. (a). . . . . . . . . . . . . . . 200 3,194Tetra Tech, Inc. . . . . . . . . . . . . . . 9,009 776,215UniFirst Corp. . . . . . . . . . . . . . . 2,171 438,499US Ecology, Inc. . . . . . . . . . . . . . 2,413 139,737Viad Corp. . . . . . . . . . . . . . . . . 2,399 161,933VSE Corp. . . . . . . . . . . . . . . . . 221 8,407Waste Management, Inc.. . . . . . . . 59,543 6,785,520

28,227,936

COMMUNICATIONS EQUIPMENT — 1.0%Acacia Communications, Inc. (a) . . 4,155 281,751ADTRAN, Inc.. . . . . . . . . . . . . . 6,971 68,943Applied Optoelectronics, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,449 52,854Arista Networks, Inc. (a). . . . . . . . 7,846 1,595,876CalAmp Corp. (a) . . . . . . . . . . . . 4,642 44,470Calix, Inc. (a). . . . . . . . . . . . . . . 6,665 53,320Casa Systems, Inc. (a) . . . . . . . . . 4,030 16,483Ciena Corp. (a). . . . . . . . . . . . . . 24,227 1,034,251Cisco Systems, Inc. . . . . . . . . . . . 599,639 28,758,686Clearfield, Inc. (a) . . . . . . . . . . . . 2,170 30,250CommScope Holding Co., Inc. (a). . 30,105 427,190Comtech Telecommunications

Corp. . . . . . . . . . . . . . . . . . . 180 6,388DASAN Zhone Solutions, Inc. (a) . . 205 1,816Digi International, Inc. (a). . . . . . . 4,441 78,695EchoStar Corp. Class A (a) . . . . . . 6,893 298,536Extreme Networks, Inc. (a) . . . . . . 16,605 122,379F5 Networks, Inc. (a) . . . . . . . . . . 9,254 1,292,321Harmonic, Inc. (a) . . . . . . . . . . . . 516 4,025


8


Infinera Corp. (a) (b) . . . . . . . . . . 25,526 $ 202,676Inseego Corp. (a) (b) . . . . . . . . . . 9,217 67,561InterDigital, Inc. . . . . . . . . . . . . . 4,682 255,122Juniper Networks, Inc. . . . . . . . . . 44,672 1,100,271KVH Industries, Inc. (a) . . . . . . . . 2,243 24,965Lumentum Holdings, Inc. (a) . . . . . 9,143 725,040Motorola Solutions, Inc. . . . . . . . . 24,195 3,898,782NETGEAR, Inc. (a). . . . . . . . . . . 4,692 115,001NetScout Systems, Inc. (a) . . . . . . 13,992 336,787PC-Tel, Inc. (a). . . . . . . . . . . . . . 2,165 18,338Plantronics, Inc. (b) . . . . . . . . . . . 4,734 129,428Ribbon Communications, Inc. (a) . . 625 1,937TESSCO Technologies, Inc.. . . . . . 100 1,122ViaSat, Inc. (a) . . . . . . . . . . . . . . 7,047 515,805Viavi Solutions, Inc. (a) . . . . . . . . 34,969 524,535

42,085,604

CONSTRUCTION & ENGINEERING — 0.2%AECOM (a). . . . . . . . . . . . . . . . 24,549 1,058,798Aegion Corp. (a). . . . . . . . . . . . . 4,692 104,960Ameresco, Inc. Class A (a) (b) . . . . 2,290 40,075Arcosa, Inc. . . . . . . . . . . . . . . . . 6,795 302,717Argan, Inc. . . . . . . . . . . . . . . . . 2,141 85,940Comfort Systems USA, Inc. . . . . . 4,586 228,612Concrete Pumping Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 3,930 21,497Construction Partners, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 2,565 43,272Dycom Industries, Inc. (a) . . . . . . . 4,524 213,307EMCOR Group, Inc. . . . . . . . . . . 9,118 786,883Fluor Corp. . . . . . . . . . . . . . . . . 22,078 416,833Granite Construction, Inc. (b) . . . . 7,012 194,022Great Lakes Dredge & Dock Corp.

(a) . . . . . . . . . . . . . . . . . . . . 2,337 26,478HC2 Holdings, Inc. (a) (b). . . . . . . 6,283 13,634IES Holdings, Inc. (a) . . . . . . . . . 2,800 71,848Infrastructure and Energy

Alternatives, Inc. (a) . . . . . . . . 2,765 8,903Jacobs Engineering Group, Inc. . . . 18,317 1,645,416MasTec, Inc. (a) (b) . . . . . . . . . . . 9,241 592,903MYR Group, Inc. (a) . . . . . . . . . . 2,357 76,815Northwest Pipe Co. (a) . . . . . . . . . 2,110 70,284NV5 Global, Inc. (a) (b) . . . . . . . . 235 11,856Orion Group Holdings, Inc. (a). . . . 3,930 20,397Primoris Services Corp. . . . . . . . . 4,461 99,213Quanta Services, Inc. . . . . . . . . . . 18,984 772,839Sterling Construction Co., Inc. (a) . . 4,380 61,670Tutor Perini Corp. (a) (b) . . . . . . . 5,128 65,946Valmont Industries, Inc. . . . . . . . . 2,421 362,617Willscot Corp. (a) . . . . . . . . . . . . 8,060 149,029

7,546,764

CONSTRUCTION MATERIALS — 0.2%Eagle Materials, Inc. . . . . . . . . . . 6,869 622,744Forterra, Inc. (a) . . . . . . . . . . . . . 2,280 26,357Martin Marietta Materials, Inc.. . . . 9,063 2,534,377Summit Materials, Inc. Class A (a) . 19,659 469,850


United States Lime & Minerals,Inc. . . . . . . . . . . . . . . . . . . . 40 $ 3,612

US Concrete, Inc. (a) . . . . . . . . . . 2,251 93,777Vulcan Materials Co. . . . . . . . . . . 18,956 2,729,474

6,480,191

CONSUMER FINANCE — 0.8%Ally Financial, Inc. . . . . . . . . . . . 58,358 1,783,420American Express Co. . . . . . . . . . 116,274 14,474,950Atlanticus Holdings Corp. (a) . . . . 900 8,109Capital One Financial Corp. . . . . . 67,150 6,910,407Credit Acceptance Corp. (a) (b) . . . 1,699 751,519Curo Group Holdings Corp. (a) (b) . 2,165 26,370Discover Financial Services. . . . . . 43,792 3,714,437Elevate Credit, Inc. (a) . . . . . . . . . 2,110 9,390Encore Capital Group, Inc. (a) (b) . . 4,382 154,948Enova International, Inc. (a) . . . . . 3,484 83,825FirstCash, Inc. . . . . . . . . . . . . . . 6,803 548,526Green Dot Corp. Class A (a) . . . . . 6,641 154,735LendingClub Corp. (a) . . . . . . . . . 9,996 126,150Navient Corp. . . . . . . . . . . . . . . 40,562 554,888Nelnet, Inc. Class A. . . . . . . . . . . 2,329 135,641OneMain Holdings, Inc. . . . . . . . . 10,943 461,247PRA Group, Inc. (a) (b) . . . . . . . . 6,884 249,889Regional Management Corp. (a) . . . 2,130 63,964Santander Consumer USA

Holdings, Inc.. . . . . . . . . . . . . 4,973 116,219SLM Corp. . . . . . . . . . . . . . . . . 69,897 622,782Synchrony Financial . . . . . . . . . . 91,243 3,285,660World Acceptance Corp. (a) (b) . . . 2,098 181,267

34,418,343

CONTAINERS & PACKAGING — 0.4%AptarGroup, Inc.. . . . . . . . . . . . . 6,915 799,512Avery Dennison Corp. . . . . . . . . . 11,500 1,504,430Ball Corp. . . . . . . . . . . . . . . . . . 46,097 2,981,093Berry Global Group, Inc. (a) . . . . . 16,011 760,362Crown Holdings, Inc. (a). . . . . . . . 19,009 1,378,913Graphic Packaging Holding Co. . . . 44,692 744,122Greif, Inc. Class A. . . . . . . . . . . . 1,962 86,721International Paper Co.. . . . . . . . . 59,046 2,719,068Myers Industries, Inc. . . . . . . . . . 4,439 74,043O-I Glass, Inc. . . . . . . . . . . . . . . 25,547 304,776Packaging Corp. of America . . . . . 13,568 1,519,480Sealed Air Corp. . . . . . . . . . . . . . 25,518 1,016,382Silgan Holdings, Inc. . . . . . . . . . . 15,290 475,213Sonoco Products Co. . . . . . . . . . . 13,865 855,748UFP Technologies, Inc. (a) . . . . . . 130 6,449Westrock Co. . . . . . . . . . . . . . . . 36,454 1,564,241

16,790,553

DISTRIBUTORS — 0.1%Core-Mark Holding Co., Inc. . . . . . 6,749 183,505Funko, Inc. Class A (a) (b) . . . . . . 2,165 37,151Genuine Parts Co. . . . . . . . . . . . . 21,287 2,261,318LKQ Corp. (a) . . . . . . . . . . . . . . 44,894 1,602,716Pool Corp.. . . . . . . . . . . . . . . . . 6,259 1,329,286


9


Weyco Group, Inc. . . . . . . . . . . . 150 $ 3,968

5,417,944


Adtalem Global Education, Inc. (a) . 9,077 317,423American Public Education, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,281 62,477Bright Horizons Family Solutions,

Inc. (a) . . . . . . . . . . . . . . . . . 6,894 1,036,099Carriage Services, Inc. . . . . . . . . . 2,278 58,317Chegg, Inc. (a) (b) . . . . . . . . . . . . 14,668 556,064Collectors Universe, Inc.. . . . . . . . 245 5,647frontdoor, Inc. (a) . . . . . . . . . . . . 8,230 390,267Graham Holdings Co. Class B . . . . 686 438,347Grand Canyon Education, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 6,871 658,173H&R Block, Inc.. . . . . . . . . . . . . 31,377 736,732Houghton Mifflin Harcourt Co. (a) . 13,556 84,725K12, Inc. (a) . . . . . . . . . . . . . . . 3,464 70,492Laureate Education, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 4,895 86,201Perdoceo Education Corp. (a). . . . . 9,279 170,641Regis Corp. (a) . . . . . . . . . . . . . . 6,657 118,961Select Interior Concepts, Inc.

Class A (a). . . . . . . . . . . . . . . 2,565 23,059Service Corp. International . . . . . . 28,399 1,307,206ServiceMaster Global Holdings,

Inc. (a) . . . . . . . . . . . . . . . . . 21,086 815,185Strategic Education, Inc. . . . . . . . . 4,090 649,901Universal Technical Institute, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,965 22,860WW International, Inc. (a) . . . . . . 8,912 340,527

7,949,304


AXA Equitable Holdings, Inc. . . . . 40,464 1,002,698Berkshire Hathaway, Inc. Class B

(a) . . . . . . . . . . . . . . . . . . . . 339 76,783Cannae Holdings, Inc. (a) . . . . . . . 4,749 176,615Jefferies Financial Group, Inc. . . . . 30,518 652,170Marlin Business Services Corp. . . . 2,160 47,477On Deck Capital, Inc. (a) . . . . . . . 6,705 27,759Voya Financial, Inc. . . . . . . . . . . . 21,541 1,313,570

3,297,072


Anterix, Inc. (a) (b) . . . . . . . . . . . 245 10,586AT&T, Inc. . . . . . . . . . . . . . . . . 1,041,948 40,719,328ATN International, Inc.. . . . . . . . . 2,168 120,086Bandwidth, Inc. Class A (a) (b) . . . 2,050 131,303CenturyLink, Inc. . . . . . . . . . . . . 151,475 2,000,985Cincinnati Bell, Inc. (a) (b) . . . . . . 8,319 87,100Cogent Communications Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 6,778 446,060


Consolidated CommunicationsHoldings, Inc. (b) . . . . . . . . . . 451 $ 1,750

Frontier Communications Corp.(a) (b) . . . . . . . . . . . . . . . . . . 105 93

GCI Liberty, Inc. Class A (a) . . . . . 11,072 784,451IDT Corp. Class B (a) . . . . . . . . . 2,143 15,451Iridium Communications, Inc. (a) . . 11,387 280,576Ooma, Inc. (a) . . . . . . . . . . . . . . 2,280 30,164ORBCOMM, Inc. (a) . . . . . . . . . . 9,145 38,500Pareteum Corp. (a) (b) . . . . . . . . . 18,285 7,996Verizon Communications, Inc. . . . . 585,351 35,940,551Vonage Holdings Corp. (a) . . . . . . 30,828 228,436Zayo Group Holdings, Inc. (a) . . . . 30,966 1,072,972

81,916,388

ELECTRIC UTILITIES — 2.0%ALLETE, Inc. . . . . . . . . . . . . . . 6,969 565,674Alliant Energy Corp. . . . . . . . . . . 35,113 1,921,383American Electric Power Co., Inc.. . 71,068 6,716,637Duke Energy Corp. . . . . . . . . . . . 104,308 9,513,933Edison International . . . . . . . . . . 51,945 3,917,172El Paso Electric Co.. . . . . . . . . . . 6,572 446,173Entergy Corp. . . . . . . . . . . . . . . 26,490 3,173,502Evergy, Inc. . . . . . . . . . . . . . . . . 31,887 2,075,525Eversource Energy . . . . . . . . . . . 46,746 3,976,682Exelon Corp. . . . . . . . . . . . . . . . 138,515 6,314,899FirstEnergy Corp. . . . . . . . . . . . . 71,886 3,493,660Genie Energy, Ltd. Class B . . . . . . 200 1,546Hawaiian Electric Industries, Inc. . . 18,282 856,694IDACORP, Inc.. . . . . . . . . . . . . . 6,867 733,396MGE Energy, Inc. . . . . . . . . . . . . 6,567 517,611NextEra Energy, Inc. . . . . . . . . . . 69,705 16,879,763OGE Energy Corp. . . . . . . . . . . . 30,000 1,334,100Otter Tail Corp. . . . . . . . . . . . . . 6,378 327,128PG&E Corp. (a) (b) . . . . . . . . . . . 75,656 822,381Pinnacle West Capital Corp. . . . . . 16,213 1,458,035PNM Resources, Inc. . . . . . . . . . . 11,304 573,226Portland General Electric Co.. . . . . 13,506 753,500PPL Corp. . . . . . . . . . . . . . . . . . 97,539 3,499,699Southern Co. . . . . . . . . . . . . . . . 148,418 9,454,226Spark Energy, Inc. Class A (b) . . . . 2,180 20,121Xcel Energy, Inc. . . . . . . . . . . . . 74,110 4,705,244

84,051,910

ELECTRICAL EQUIPMENT — 0.5%Acuity Brands, Inc. . . . . . . . . . . . 5,816 802,608Allied Motion Technologies, Inc. . . 225 10,913American Superconductor Corp.

(a) (b) . . . . . . . . . . . . . . . . . . 2,465 19,350AMETEK, Inc.. . . . . . . . . . . . . . 33,990 3,390,163Atkore International Group, Inc. (a). 4,625 187,128AZZ, Inc. . . . . . . . . . . . . . . . . . 4,450 204,477Babcock & Wilcox Enterprises, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,230 15,397Bloom Energy Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 8,860 66,184Emerson Electric Co. . . . . . . . . . . 89,331 6,812,382


10


Encore Wire Corp. . . . . . . . . . . . 2,399 $ 137,703Energous Corp. (a) . . . . . . . . . . . 2,465 4,363EnerSys . . . . . . . . . . . . . . . . . . 6,711 502,184Generac Holdings, Inc. (a) . . . . . . 9,100 915,369Hubbell, Inc. . . . . . . . . . . . . . . . 6,898 1,019,662LSI Industries, Inc. . . . . . . . . . . . 4,370 26,439Plug Power, Inc. (a) (b). . . . . . . . . 32,571 102,924Powell Industries, Inc. . . . . . . . . . 103 5,046Preformed Line Products Co. . . . . . 50 3,018Regal Beloit Corp. . . . . . . . . . . . 6,751 577,953Rockwell Automation, Inc. . . . . . . 17,376 3,521,594Sensata Technologies Holding PLC

(a) . . . . . . . . . . . . . . . . . . . . 21,225 1,143,391Sunrun, Inc. (a) (b) . . . . . . . . . . . 9,405 129,883Thermon Group Holdings, Inc. (a) . 4,429 118,697TPI Composites, Inc. (a) . . . . . . . . 2,265 41,925Ultralife Corp. (a) . . . . . . . . . . . . 1,465 10,826Vicor Corp. (a) (b) . . . . . . . . . . . 2,320 108,390Vivint Solar, Inc. (a) (b) . . . . . . . . 6,195 44,976

19,922,945


Airgain, Inc. (a) . . . . . . . . . . . . . 1,165 12,454Akoustis Technologies, Inc. (a) (b) . 2,265 18,120Amphenol Corp. Class A . . . . . . . 41,062 4,444,140Anixter International, Inc. (a). . . . . 4,718 434,528Arlo Technologies, Inc. (a) . . . . . . 9,377 39,477Arrow Electronics, Inc. (a) . . . . . . 13,856 1,174,157Avnet, Inc.. . . . . . . . . . . . . . . . . 18,701 793,670AVX Corp. . . . . . . . . . . . . . . . . 6,802 139,237Badger Meter, Inc. . . . . . . . . . . . 4,575 297,055Bel Fuse, Inc. Class B . . . . . . . . . 40 820Belden, Inc. . . . . . . . . . . . . . . . . 6,697 368,335Benchmark Electronics, Inc. . . . . . 8,806 302,574CDW Corp. . . . . . . . . . . . . . . . . 21,008 3,000,783Cognex Corp.. . . . . . . . . . . . . . . 23,353 1,308,702Coherent, Inc. (a) (b) . . . . . . . . . . 3,626 603,185Corning, Inc. . . . . . . . . . . . . . . . 114,699 3,338,888CTS Corp.. . . . . . . . . . . . . . . . . 4,543 136,335Daktronics, Inc. . . . . . . . . . . . . . 4,682 28,513Dolby Laboratories, Inc. Class A . . 8,960 616,448ePlus, Inc. (a). . . . . . . . . . . . . . . 2,246 189,315FARO Technologies, Inc. (a) . . . . . 2,301 115,855Fitbit, Inc. Class A (a) . . . . . . . . . 27,103 178,067FLIR Systems, Inc. . . . . . . . . . . . 20,557 1,070,403Frequency Electronics, Inc. (a) . . . . 1,000 10,210Genasys, Inc. (a) . . . . . . . . . . . . . 4,530 14,813II-VI, Inc. (a) (b). . . . . . . . . . . . . 10,379 349,461Insight Enterprises, Inc. (a) . . . . . . 4,457 313,283IPG Photonics Corp. (a) . . . . . . . . 4,594 665,763Iteris, Inc. (a) . . . . . . . . . . . . . . . 4,465 22,280Itron, Inc. (a) . . . . . . . . . . . . . . . 4,777 401,029Jabil, Inc. . . . . . . . . . . . . . . . . . 23,721 980,389KEMET Corp. . . . . . . . . . . . . . . 4,760 128,758Keysight Technologies, Inc. (a). . . . 27,725 2,845,417Kimball Electronics, Inc. (a) . . . . . 4,390 77,045


Knowles Corp. (a) . . . . . . . . . . . . 14,286 $ 302,149Littelfuse, Inc. . . . . . . . . . . . . . . 2,515 481,120Luna Innovations, Inc. (a) . . . . . . . 3,630 26,463Methode Electronics, Inc. . . . . . . . 4,586 180,459MTS Systems Corp. . . . . . . . . . . 2,308 110,853Napco Security Technologies, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,150 63,189National Instruments Corp. . . . . . . 16,603 702,971nLight, Inc. (a) . . . . . . . . . . . . . . 3,800 77,064Novanta, Inc. (a) . . . . . . . . . . . . . 4,543 401,783OSI Systems, Inc. (a) . . . . . . . . . . 2,389 240,668PAR Technology Corp. (a) (b) . . . . 2,140 65,784PC Connection, Inc.. . . . . . . . . . . 2,170 107,762Plexus Corp. (a) . . . . . . . . . . . . . 4,586 352,847Powerfleet, Inc. (a) . . . . . . . . . . . 2,295 14,940Rogers Corp. (a) . . . . . . . . . . . . . 2,303 287,253Sanmina Corp. (a) . . . . . . . . . . . . 11,282 386,296ScanSource, Inc. (a). . . . . . . . . . . 4,418 163,245SYNNEX Corp. . . . . . . . . . . . . . 6,394 823,547Tech Data Corp. (a) . . . . . . . . . . . 4,650 667,740Trimble, Inc. (a) . . . . . . . . . . . . . 35,508 1,480,329TTM Technologies, Inc. (a) . . . . . . 13,500 203,175Vishay Intertechnology, Inc. . . . . . 18,593 395,845Vishay Precision Group, Inc. (a) . . . 2,219 75,446Wrap Technologies, Inc. (a) (b). . . . 1,765 11,278Zebra Technologies Corp. Class A

(a) . . . . . . . . . . . . . . . . . . . . 7,005 1,789,357

33,831,072

ENERGY EQUIPMENT & SERVICES — 0.4%Apergy Corp. (a). . . . . . . . . . . . . 9,429 318,512Archrock, Inc. . . . . . . . . . . . . . . 11,541 115,872Aspen Aerogels, Inc. (a) . . . . . . . . 3,065 23,784Baker Hughes Co. . . . . . . . . . . . . 91,936 2,356,320Cactus, Inc. Class A. . . . . . . . . . . 4,865 166,967CARBO Ceramics, Inc. (a) . . . . . . 21 5Covia Holdings Corp. (a) (b) . . . . . 5,130 10,465Diamond Offshore Drilling, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 19,819 142,499DMC Global, Inc. (b). . . . . . . . . . 2,190 98,419Dril-Quip, Inc. (a) . . . . . . . . . . . . 4,463 209,359Era Group, Inc. (a) . . . . . . . . . . . 189 1,922Exterran Corp. (a) . . . . . . . . . . . . 4,667 36,543Forum Energy Technologies, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 15,619 26,240FTS International, Inc. (a) (b) . . . . 9,065 9,428Geospace Technologies Corp. (a) . . 98 1,643Halliburton Co. . . . . . . . . . . . . . 126,299 3,090,537Helix Energy Solutions Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 18,849 181,516Helmerich & Payne, Inc.. . . . . . . . 15,664 711,616ION Geophysical Corp. (a) . . . . . . 2,130 18,488KLX Energy Services Holdings,

Inc. (a) . . . . . . . . . . . . . . . . . 4,635 29,849Liberty Oilfield Services, Inc.

Class A (b). . . . . . . . . . . . . . . 7,415 82,455


11


Mammoth Energy Services, Inc.(b) . . . . . . . . . . . . . . . . . . . . 4,570 $ 10,054

Matrix Service Co. (a) . . . . . . . . . 4,471 102,296McDermott International, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 24,154 16,343National Oilwell Varco, Inc.. . . . . . 57,200 1,432,860Natural Gas Services Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,178 26,702Newpark Resources, Inc. (a) . . . . . 13,566 85,059NexTier Oilfield Solutions, Inc. (a) . 17,685 118,489Nine Energy Service, Inc. (a) (b) . . 5,585 43,675Oceaneering International, Inc. (a) . 13,749 204,998Oil States International, Inc. (a) . . . 8,475 138,227Pacific Drilling SA (a) . . . . . . . . . 9,460 38,597Parker Drilling Co. (a) . . . . . . . . . 2,165 48,712Patterson-UTI Energy, Inc. . . . . . . 34,414 361,347Pioneer Energy Services Corp. (a). . 21 1ProPetro Holding Corp. (a) . . . . . . 11,435 128,644RigNet, Inc. (a) . . . . . . . . . . . . . 84 554RPC, Inc. (b) . . . . . . . . . . . . . . . 9,139 47,888Schlumberger, Ltd. . . . . . . . . . . . 193,395 7,774,479SEACOR Holdings, Inc. (a). . . . . . 2,389 103,085SEACOR Marine Holdings, Inc. (a). 6,820 94,048Select Energy Services, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 11,350 105,328Smart Sand, Inc. (a) (b) . . . . . . . . 2,390 6,023Solaris Oilfield Infrastructure, Inc.

Class A (b). . . . . . . . . . . . . . . 5,100 71,400TETRA Technologies, Inc. (a) . . . . 2,668 5,229Tidewater, Inc. (a) (b). . . . . . . . . . 4,440 85,603US Silica Holdings, Inc. (b). . . . . . 13,529 83,203

18,765,283

ENTERTAINMENT — 1.8%Activision Blizzard, Inc. . . . . . . . . 107,832 6,407,377AMC Entertainment Holdings, Inc.

Class A (b). . . . . . . . . . . . . . . 6,971 50,470Cinemark Holdings, Inc. (b) . . . . . 15,964 540,381Electronic Arts, Inc. (a) . . . . . . . . 42,941 4,616,587Eros International PLC (a) (b) . . . . 12,090 40,985Glu Mobile, Inc. (a) . . . . . . . . . . . 17,530 106,057Liberty Media Corp.-Liberty Braves

Class A (a). . . . . . . . . . . . . . . 147 4,359Liberty Media Corp.-Liberty

Formula One Class A (a) . . . . . . 4,388 192,107Lions Gate Entertainment Corp.

Class A (a). . . . . . . . . . . . . . . 11,303 120,490Live Nation Entertainment, Inc. (a) . 21,103 1,508,231LiveXLive Media, Inc. (a) (b) . . . . 1,815 2,804Madison Square Garden Co.

Class A (a). . . . . . . . . . . . . . . 2,343 689,287Marcus Corp. . . . . . . . . . . . . . . . 2,361 75,009Netflix, Inc. (a). . . . . . . . . . . . . . 60,715 19,645,553Reading International, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 100 1,119Roku, Inc. (a) (b) . . . . . . . . . . . . 10,772 1,442,371Sciplay Corp. Class A (a) . . . . . . . 3,230 39,697


Take-Two Interactive Software, Inc.(a) . . . . . . . . . . . . . . . . . . . . 15,824 $ 1,937,332

Walt Disney Co. . . . . . . . . . . . . . 256,807 37,141,996World Wrestling Entertainment, Inc.

Class A (b). . . . . . . . . . . . . . . 4,674 303,202Zynga, Inc. Class A (a) . . . . . . . . . 117,607 719,755

75,585,169


Acadia Realty Trust REIT . . . . . . . 11,559 299,725Agree Realty Corp. REIT . . . . . . . 4,539 318,502Alexander & Baldwin, Inc. REIT . . 8,480 177,741Alexander’s, Inc. REIT. . . . . . . . . 300 99,105Alexandria Real Estate Equities,

Inc. REIT . . . . . . . . . . . . . . . 16,307 2,634,885American Assets Trust, Inc. REIT . . 8,988 412,549American Campus Communities,

Inc. REIT . . . . . . . . . . . . . . . 21,197 996,895American Finance Trust, Inc. REIT

(b) . . . . . . . . . . . . . . . . . . . . 19,520 258,835American Homes 4 Rent Class A

REIT . . . . . . . . . . . . . . . . . . 35,515 930,848American Tower Corp. REIT . . . . . 63,004 14,479,579Americold Realty Trust REIT (b) . . 27,135 951,353Apartment Investment &

Management Co. Class A REIT . 23,244 1,200,553Apple Hospitality REIT, Inc. . . . . . 32,279 524,534Armada Hoffler Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 6,754 123,936Ashford Hospitality Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 13,100 36,549AvalonBay Communities, Inc.

REIT . . . . . . . . . . . . . . . . . . 19,500 4,089,150Bluerock Residential Growth REIT,

Inc. . . . . . . . . . . . . . . . . . . . 2,505 30,185Boston Properties, Inc. REIT . . . . . 21,578 2,974,743Braemar Hotels & Resorts, Inc.

REIT . . . . . . . . . . . . . . . . . . 214 1,911Brandywine Realty Trust REIT . . . 25,799 406,334Brixmor Property Group, Inc.

REIT . . . . . . . . . . . . . . . . . . 44,308 957,496BRT Apartments Corp. REIT. . . . . 1,365 23,164Camden Property Trust REIT. . . . . 13,619 1,444,976CareTrust REIT, Inc. . . . . . . . . . . 13,564 279,825CatchMark Timber Trust, Inc.

Class A REIT . . . . . . . . . . . . . 4,755 54,540CBL & Associates Properties, Inc.

REIT (b) . . . . . . . . . . . . . . . . 857 900Cedar Realty Trust, Inc. REIT . . . . 32,892 97,031Chatham Lodging Trust REIT . . . . 12,956 237,613CIM Commercial Trust Corp.

REIT . . . . . . . . . . . . . . . . . . 1,665 24,143City Office REIT, Inc. . . . . . . . . . 4,620 62,462Clipper Realty, Inc. REIT (b) . . . . . 2,240 23,744Colony Capital, Inc. REIT. . . . . . . 51,789 245,998Columbia Property Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 18,802 393,150


12


Community Healthcare Trust, Inc.REIT . . . . . . . . . . . . . . . . . . 2,290 $ 98,149

Condor Hospitality Trust, Inc. . . . . 1,265 13,966CoreCivic, Inc. REIT . . . . . . . . . . 18,850 327,613CorEnergy Infrastructure Trust, Inc.

REIT (b) . . . . . . . . . . . . . . . . 1,965 87,855CorePoint Lodging, Inc. REIT . . . . 9,135 97,562CoreSite Realty Corp. REIT . . . . . 4,631 519,228Corporate Office Properties Trust

REIT . . . . . . . . . . . . . . . . . . 15,953 468,699Cousins Properties, Inc. REIT . . . . 21,455 883,946Crown Castle International Corp.

REIT . . . . . . . . . . . . . . . . . . 59,152 8,408,457CubeSmart REIT . . . . . . . . . . . . 30,690 966,121CyrusOne, Inc. REIT . . . . . . . . . . 13,572 888,016DiamondRock Hospitality Co.

REIT . . . . . . . . . . . . . . . . . . 30,183 334,428Digital Realty Trust, Inc. REIT (b) . 29,326 3,511,495Diversified Healthcare Trust REIT . 37,699 318,180Douglas Emmett, Inc. REIT. . . . . . 23,361 1,025,548Duke Realty Corp. REIT . . . . . . . 54,160 1,877,727Easterly Government Properties,

Inc. REIT . . . . . . . . . . . . . . . 6,395 151,753EastGroup Properties, Inc. REIT. . . 4,608 611,343Empire State Realty Trust, Inc.

Class A REIT . . . . . . . . . . . . . 19,076 266,301EPR Properties REIT . . . . . . . . . . 11,261 795,477Equinix, Inc. REIT . . . . . . . . . . . 12,009 7,009,653Equity Commonwealth REIT . . . . . 19,118 627,644Equity LifeStyle Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 22,965 1,616,506Equity Residential REIT. . . . . . . . 49,751 4,025,851Essential Properties Realty Trust,

Inc. REIT (b) . . . . . . . . . . . . . 8,265 205,055Essex Property Trust, Inc. REIT . . . 9,161 2,756,178Extra Space Storage, Inc. REIT . . . 18,803 1,985,973Farmland Partners, Inc. REIT (b) . . 4,540 30,781Federal Realty Investment Trust

REIT . . . . . . . . . . . . . . . . . . 11,295 1,454,005First Industrial Realty Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 18,248 757,474Four Corners Property Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 13,281 374,391Franklin Street Properties Corp.

REIT . . . . . . . . . . . . . . . . . . 27,613 236,367Front Yard Residential Corp. REIT . 11,083 136,764Gaming and Leisure Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 30,852 1,328,179GEO Group, Inc. REIT. . . . . . . . . 18,914 314,162Getty Realty Corp. REIT . . . . . . . 6,754 222,004Gladstone Commercial Corp. REIT . 4,479 97,911Gladstone Land Corp. REIT (b) . . . 2,140 27,756Global Medical REIT, Inc. . . . . . . 2,425 32,083Global Net Lease, Inc. REIT . . . . . 11,317 229,509Hannon Armstrong Sustainable

Infrastructure Capital, Inc. REIT(b) . . . . . . . . . . . . . . . . . . . . 11,224 361,188


Healthcare Realty Trust, Inc. REIT . 18,628 $ 621,616Healthcare Trust of America, Inc.

Class A REIT (b). . . . . . . . . . . 30,566 925,538Healthpeak Properties, Inc. REIT . . 71,573 2,467,121Hersha Hospitality Trust REIT . . . . 7,900 114,945Highwoods Properties, Inc. REIT . . 15,950 780,115Host Hotels & Resorts, Inc. REIT . . 107,265 1,989,766Hudson Pacific Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 23,317 877,885Independence Realty Trust, Inc.


REIT . . . . . . . . . . . . . . . . . . 6,111 137,009Innovative Industrial Properties, Inc.

REIT (b) . . . . . . . . . . . . . . . . 1,550 117,599Investors Real Estate Trust REIT . . 4,019 291,378Invitation Homes, Inc. REIT . . . . . 60,940 1,826,372Iron Mountain, Inc. REIT (b) . . . . . 37,795 1,204,527iStar, Inc. REIT . . . . . . . . . . . . . 11,340 164,543JBG SMITH Properties REIT . . . . 19,967 796,484Jernigan Capital, Inc. REIT (b). . . . 2,200 42,108Kilroy Realty Corp. REIT . . . . . . . 14,070 1,180,473Kimco Realty Corp. REIT. . . . . . . 60,804 1,259,251Lamar Advertising Co. Class A

REIT . . . . . . . . . . . . . . . . . . 11,565 1,032,292Lexington Realty Trust REIT . . . . . 39,820 422,888Liberty Property Trust REIT . . . . . 21,188 1,272,339Life Storage, Inc. REIT . . . . . . . . 6,850 741,718LTC Properties, Inc. REIT. . . . . . . 6,656 297,989Macerich Co. REIT (b). . . . . . . . . 21,112 568,335Mack-Cali Realty Corp. REIT . . . . 13,584 314,198Medical Properties Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 65,815 1,389,355MGM Growth Properties LLC

Class A REIT (b). . . . . . . . . . . 9,370 290,189Mid-America Apartment

Communities, Inc. REIT . . . . . . 17,369 2,290,276Monmouth Real Estate Investment

Corp. REIT . . . . . . . . . . . . . . 13,840 200,403National Health Investors, Inc.

REIT . . . . . . . . . . . . . . . . . . 6,658 542,494National Retail Properties, Inc.


REIT . . . . . . . . . . . . . . . . . . 8,582 288,527New Senior Investment Group, Inc.

REIT . . . . . . . . . . . . . . . . . . 27,619 211,285NexPoint Residential Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 2,330 104,850Office Properties Income Trust

REIT . . . . . . . . . . . . . . . . . . 9,205 295,849Omega Healthcare Investors, Inc.

REIT . . . . . . . . . . . . . . . . . . 30,991 1,312,469One Liberty Properties, Inc. REIT. . 6,988 190,004Outfront Media, Inc. REIT . . . . . . 23,084 619,113Paramount Group, Inc. REIT . . . . . 30,801 428,750Park Hotels & Resorts, Inc. REIT . . 35,347 914,427


13


Pebblebrook Hotel Trust REIT (b) . . 19,621 $ 526,039Pennsylvania Real Estate

Investment Trust (b) . . . . . . . . . 10,381 55,331Physicians Realty Trust REIT . . . . 27,801 526,551Piedmont Office Realty Trust, Inc.

Class A REIT . . . . . . . . . . . . . 23,158 515,034Plymouth Industrial REIT, Inc. . . . . 1,865 34,297PotlatchDeltic Corp. REIT (b) . . . . 9,610 415,825Preferred Apartment Communities,

Inc. Class A REIT (b) . . . . . . . . 4,535 60,406Prologis, Inc. REIT . . . . . . . . . . . 88,429 7,882,561PS Business Parks, Inc. REIT. . . . . 2,370 390,742Public Storage REIT . . . . . . . . . . 21,517 4,582,260QTS Realty Trust, Inc. Class A

REIT . . . . . . . . . . . . . . . . . . 6,833 370,827Rayonier, Inc. REIT. . . . . . . . . . . 18,458 604,684Realty Income Corp. REIT . . . . . . 45,050 3,317,031Regency Centers Corp. REIT. . . . . 23,230 1,465,581Retail Opportunity Investments

Corp. REIT . . . . . . . . . . . . . . 16,348 288,706Retail Properties of America, Inc.

Class A REIT . . . . . . . . . . . . . 33,771 452,531Retail Value, Inc. REIT. . . . . . . . . 2,124 78,163Rexford Industrial Realty, Inc.

REIT . . . . . . . . . . . . . . . . . . 16,751 765,018RLJ Lodging Trust REIT . . . . . . . 25,855 458,151RPT Realty REIT . . . . . . . . . . . . 14,010 210,710Ryman Hospitality Properties, Inc.

REIT . . . . . . . . . . . . . . . . . . 6,846 593,274Sabra Health Care REIT, Inc. . . . . . 27,854 594,404Saul Centers, Inc. REIT . . . . . . . . 2,368 124,983SBA Communications Corp. REIT . 16,369 3,944,765Seritage Growth Properties Class A

REIT (b) . . . . . . . . . . . . . . . . 4,471 179,198Service Properties Trust REIT . . . . 14,658 356,629Simon Property Group, Inc. REIT . . 43,960 6,548,282SITE Centers Corp. REIT . . . . . . . 21,785 305,426SL Green Realty Corp. REIT . . . . . 13,514 1,241,666Spirit Realty Capital, Inc. REIT . . . 13,166 647,504STAG Industrial, Inc. REIT . . . . . . 13,835 436,771STORE Capital Corp. REIT . . . . . 28,711 1,069,198Summit Hotel Properties, Inc. REIT

(b) . . . . . . . . . . . . . . . . . . . . 20,771 256,314Sun Communities, Inc. REIT . . . . . 11,331 1,700,783Sunstone Hotel Investors, Inc.

REIT . . . . . . . . . . . . . . . . . . 34,229 476,468Tanger Factory Outlet Centers, Inc.

REIT (b) . . . . . . . . . . . . . . . . 13,557 199,695Taubman Centers, Inc. REIT . . . . . 9,249 287,551Terreno Realty Corp. REIT . . . . . . 9,011 487,856UDR, Inc. REIT . . . . . . . . . . . . . 40,146 1,874,818UMH Properties, Inc. REIT. . . . . . 4,510 70,942Uniti Group, Inc. REIT (b) . . . . . . 23,565 193,469Universal Health Realty Income

Trust REIT . . . . . . . . . . . . . . 1,110 130,270Urban Edge Properties REIT . . . . . 16,285 312,346Ventas, Inc. REIT . . . . . . . . . . . . 49,006 2,829,606


VEREIT, Inc. . . . . . . . . . . . . . . . 148,016 $ 1,367,668VICI Properties, Inc. REIT (b) . . . . 66,855 1,708,145Vornado Realty Trust REIT . . . . . . 25,319 1,683,713Washington Prime Group, Inc.


Trust . . . . . . . . . . . . . . . . . . 11,370 331,777Weingarten Realty Investors REIT . 18,554 579,627Welltower, Inc. REIT . . . . . . . . . . 58,397 4,775,707Weyerhaeuser Co. REIT . . . . . . . . 110,881 3,348,606Whitestone REIT (b) . . . . . . . . . . 13,407 182,603WP Carey, Inc. REIT . . . . . . . . . . 24,108 1,929,604Xenia Hotels & Resorts, Inc. REIT . 15,772 340,833

174,415,527

FOOD & STAPLES RETAILING — 1.5%Andersons, Inc. . . . . . . . . . . . . . 172 4,348BJ’s Wholesale Club Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 20,725 471,287Casey’s General Stores, Inc. . . . . . 4,682 744,391Chefs’ Warehouse, Inc. (a) . . . . . . 2,443 93,103Costco Wholesale Corp. . . . . . . . . 62,237 18,292,699Grocery Outlet Holding Corp.

(a) (b) . . . . . . . . . . . . . . . . . . 5,395 175,068Ingles Markets, Inc. Class A . . . . . 351 16,676Kroger Co. . . . . . . . . . . . . . . . . 115,904 3,360,057Natural Grocers by Vitamin

Cottage, Inc. . . . . . . . . . . . . . 87 859Performance Food Group Co. (a) . . 13,513 695,649PriceSmart, Inc. . . . . . . . . . . . . . 2,413 171,371Rite Aid Corp. (a) (b). . . . . . . . . . 7,560 116,953SpartanNash Co.. . . . . . . . . . . . . 172 2,449Sprouts Farmers Market, Inc. (a). . . 20,996 406,273Sysco Corp.. . . . . . . . . . . . . . . . 74,845 6,402,241United Natural Foods, Inc. (a) . . . . 7,032 61,600US Foods Holding Corp. (a) . . . . . 31,356 1,313,503Village Super Market, Inc. Class A . 117 2,714Weis Markets, Inc. (b) . . . . . . . . . 2,218 89,807Walmart, Inc. . . . . . . . . . . . . . . . 198,143 23,547,314Walgreens Boots Alliance, Inc. . . . . 108,150 6,376,524

62,344,886

FOOD PRODUCTS — 1.2%Alico, Inc. . . . . . . . . . . . . . . . . . 500 17,915Archer-Daniels-Midland Co. . . . . . 76,531 3,547,212B&G Foods, Inc. (b) . . . . . . . . . . 11,473 205,711Beyond Meat, Inc. (a) (b) . . . . . . . 3,230 244,188Bunge, Ltd. . . . . . . . . . . . . . . . . 21,082 1,213,269Calavo Growers, Inc. (b) . . . . . . . . 2,348 212,705Cal-Maine Foods, Inc. . . . . . . . . . 4,478 191,435Campbell Soup Co. . . . . . . . . . . . 26,201 1,294,853Conagra Brands, Inc. . . . . . . . . . . 65,664 2,248,335Darling Ingredients, Inc. (a). . . . . . 23,497 659,796Dean Foods Co. (b) . . . . . . . . . . . 361 22Farmer Brothers Co. (a) . . . . . . . . 2,140 32,228Flowers Foods, Inc. . . . . . . . . . . . 27,836 605,155Fresh Del Monte Produce, Inc. . . . . 4,530 158,459


14


Freshpet, Inc. (a). . . . . . . . . . . . . 2,475 $ 146,248General Mills, Inc. . . . . . . . . . . . 86,989 4,659,131Hain Celestial Group, Inc. (a) (b) . . 16,584 430,438Hershey Co.. . . . . . . . . . . . . . . . 20,152 2,961,941Hormel Foods Corp. (b) . . . . . . . . 37,654 1,698,572Hostess Brands, Inc. (a) . . . . . . . . 16,101 234,109Ingredion, Inc. . . . . . . . . . . . . . . 9,264 861,089J&J Snack Foods Corp. . . . . . . . . 2,550 469,888J.M. Smucker Co. . . . . . . . . . . . . 16,579 1,726,371John B Sanfilippo & Son, Inc. . . . . 245 22,364Kellogg Co. . . . . . . . . . . . . . . . . 48,806 3,375,423Kraft Heinz Co. . . . . . . . . . . . . . 139,509 4,482,424Lamb Weston Holdings, Inc. . . . . . 20,673 1,778,498Lancaster Colony Corp. . . . . . . . . 2,137 342,134Landec Corp. (a). . . . . . . . . . . . . 4,411 49,888Limoneira Co. (b) . . . . . . . . . . . . 2,169 41,710McCormick & Co., Inc. . . . . . . . . 1,769 300,252Mondelez International, Inc.

Class A . . . . . . . . . . . . . . . . . 206,148 11,354,632Post Holdings, Inc. (a) . . . . . . . . . 9,295 1,014,084Sanderson Farms, Inc. . . . . . . . . . 2,421 426,629Seneca Foods Corp. Class A (a) . . . 162 6,608Simply Good Foods Co. (a) . . . . . . 6,280 179,231Tootsie Roll Industries, Inc. (b) . . . 2,275 77,669TreeHouse Foods, Inc. (a) . . . . . . . 8,375 406,187Tyson Foods, Inc. Class A . . . . . . . 38,741 3,526,981

51,203,784

GAS UTILITIES — 0.2%Atmos Energy Corp. . . . . . . . . . . 15,895 1,778,015Chesapeake Utilities Corp. . . . . . . 2,277 218,205National Fuel Gas Co. . . . . . . . . . 11,461 533,395New Jersey Resources Corp. . . . . . 11,622 517,992Northwest Natural Holding Co. . . . 4,486 330,753ONE Gas, Inc. . . . . . . . . . . . . . . 6,919 647,411South Jersey Industries, Inc. (b) . . . 11,526 380,127Southwest Gas Holdings, Inc. . . . . 6,866 521,610Spire, Inc. . . . . . . . . . . . . . . . . . 6,770 564,009UGI Corp.. . . . . . . . . . . . . . . . . 25,930 1,170,999

6,662,516


Abbott Laboratories. . . . . . . . . . . 247,135 21,466,146ABIOMED, Inc. (a) . . . . . . . . . . . 6,260 1,067,893Accuray, Inc. (a) . . . . . . . . . . . . . 11,280 31,810Align Technology, Inc. (a) . . . . . . . 10,329 2,882,204Alphatec Holdings, Inc. (a) . . . . . . 5,695 40,406AngioDynamics, Inc. (a). . . . . . . . 4,641 74,302Antares Pharma, Inc. (a) . . . . . . . . 34,624 162,733Apyx Medical Corp. (a) . . . . . . . . 4,230 35,786AtriCure, Inc. (a) . . . . . . . . . . . . 4,638 150,781Atrion Corp. . . . . . . . . . . . . . . . 40 30,060Avanos Medical, Inc. (a) . . . . . . . . 6,855 231,013AxoGen, Inc. (a) (b) . . . . . . . . . . 4,370 78,179Axonics Modulation Technologies,

Inc. (a) (b) . . . . . . . . . . . . . . . 1,365 37,824


Baxter International, Inc. . . . . . . . 74,555 $ 6,234,289Becton Dickinson and Co.. . . . . . . 38,750 10,538,837BioLife Solutions, Inc. (a) (b) . . . . 2,318 37,505BioSig Technologies, Inc. (a) (b). . . 2,265 13,409Boston Scientific Corp. (a) . . . . . . 201,493 9,111,513Cantel Medical Corp. (b) . . . . . . . 6,227 441,494Cardiovascular Systems, Inc. (a) . . . 4,624 224,680Cerus Corp. (a). . . . . . . . . . . . . . 15,875 66,993Chembio Diagnostics, Inc. (a) . . . . 2,165 9,872Conformis, Inc. (a) . . . . . . . . . . . 9,160 13,740CONMED Corp.. . . . . . . . . . . . . 4,478 500,775Cooper Cos., Inc. . . . . . . . . . . . . 6,895 2,215,295CryoLife, Inc. (a) . . . . . . . . . . . . 4,550 123,259CryoPort, Inc. (a) (b) . . . . . . . . . . 4,540 74,728Cutera, Inc. (a) . . . . . . . . . . . . . . 2,220 79,498CytoSorbents Corp. (a) (b) . . . . . . 4,380 16,863Danaher Corp. . . . . . . . . . . . . . . 91,499 14,043,267DENTSPLY SIRONA, Inc. . . . . . . 34,146 1,932,322DexCom, Inc. (a) . . . . . . . . . . . . 12,924 2,826,996Edwards Lifesciences Corp. (a) . . . 30,167 7,037,659FONAR Corp. (a) . . . . . . . . . . . . 130 2,560GenMark Diagnostics, Inc. (a) (b) . . 9,071 43,632Glaukos Corp. (a) (b) . . . . . . . . . . 5,557 302,690Globus Medical, Inc. Class A (a) . . 9,269 545,759Haemonetics Corp. (a) . . . . . . . . . 6,907 793,614Heska Corp. (a) . . . . . . . . . . . . . 140 13,432Hill-Rom Holdings, Inc. . . . . . . . . 9,263 1,051,628Hologic, Inc. (a) . . . . . . . . . . . . . 35,628 1,860,138ICU Medical, Inc. (a) . . . . . . . . . . 2,271 424,950IDEXX Laboratories, Inc. (a). . . . . 12,363 3,228,350Inogen, Inc. (a) (b) . . . . . . . . . . . 2,417 165,154Insulet Corp. (a) . . . . . . . . . . . . . 8,896 1,522,995Integer Holdings Corp. (a). . . . . . . 4,480 360,326Integra LifeSciences Holdings

Corp. (a) . . . . . . . . . . . . . . . . 9,284 541,072IntriCon Corp. (a) . . . . . . . . . . . . 603 10,854Intuitive Surgical, Inc. (a) . . . . . . . 16,560 9,789,444Invacare Corp. . . . . . . . . . . . . . . 4,613 41,609iRadimed Corp. (a) (b) . . . . . . . . . 80 1,870iRhythm Technologies, Inc. (a) (b). . 2,355 160,352Lantheus Holdings, Inc. (a) . . . . . . 4,615 94,654LeMaitre Vascular, Inc. (b) . . . . . . 2,230 80,169Masimo Corp. (a) . . . . . . . . . . . . 6,846 1,082,079Meridian Bioscience, Inc. . . . . . . . 364 3,556Merit Medical Systems, Inc. (a) . . . 7,012 218,915Mesa Laboratories, Inc. (b) . . . . . . 70 17,458Misonix, Inc. (a) . . . . . . . . . . . . . 1,465 27,264Natus Medical, Inc. (a) . . . . . . . . . 4,528 149,379Neogen Corp. (a) . . . . . . . . . . . . 7,110 463,999Neuronetics, Inc. (a) . . . . . . . . . . 1,165 5,231Nevro Corp. (a) . . . . . . . . . . . . . 4,507 529,753NuVasive, Inc. (a) . . . . . . . . . . . . 6,874 531,635OraSure Technologies, Inc. (a) . . . . 4,740 38,062Orthofix Medical, Inc. (a) . . . . . . . 2,565 118,452OrthoPediatrics Corp. (a) (b) . . . . . 1,265 59,442Penumbra, Inc. (a) (b) . . . . . . . . . 4,471 734,451


15


Pulse Biosciences, Inc. (a). . . . . . . 1,465 $ 19,646Quidel Corp. (a) . . . . . . . . . . . . . 4,479 336,059Repro-Med Systems, Inc. (a) (b) . . . 3,165 20,667ResMed, Inc. . . . . . . . . . . . . . . . 21,066 3,264,598Rockwell Medical, Inc. (a) (b) . . . . 323 788RTI Surgical Holdings, Inc. (a). . . . 8,971 24,581SeaSpine Holdings Corp. (a) . . . . . 2,120 25,461Shockwave Medical, Inc. (a) (b) . . . 2,565 112,655SI-BONE, Inc. (a) . . . . . . . . . . . . 2,265 48,698Sientra, Inc. (a). . . . . . . . . . . . . . 2,380 21,277Silk Road Medical, Inc. (a) (b) . . . . 2,765 111,651STAAR Surgical Co. (a) (b). . . . . . 4,787 168,359Stereotaxis, Inc. (a) . . . . . . . . . . . 6,495 34,359Stryker Corp. . . . . . . . . . . . . . . . 49,825 10,460,260Surmodics, Inc. (a) . . . . . . . . . . . 2,208 91,477Tactile Systems Technology, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,150 145,146Tandem Diabetes Care, Inc. (a) (b) . 7,895 470,621Teleflex, Inc. . . . . . . . . . . . . . . . 6,662 2,507,843TransMedics Group, Inc. (a) (b) . . . 1,865 35,454Utah Medical Products, Inc.. . . . . . 299 32,262Vapotherm, Inc. (a) . . . . . . . . . . . 1,665 20,246Varex Imaging Corp. (a) . . . . . . . . 4,760 141,896Varian Medical Systems, Inc. (a). . . 13,884 1,971,667ViewRay, Inc. (a) (b) . . . . . . . . . . 4,695 19,813VolitionRX, Ltd. (a) (b) . . . . . . . . 3,530 16,732West Pharmaceutical Services, Inc. . 11,184 1,681,291Zimmer Biomet Holdings, Inc. . . . . 30,081 4,502,524Zynex, Inc. (a) (b) . . . . . . . . . . . . 2,265 17,826

133,150,916


Acadia Healthcare Co., Inc. (a) (b) . 13,143 436,610Addus HomeCare Corp. (a) . . . . . . 2,170 210,967Amedisys, Inc. (a) . . . . . . . . . . . . 4,708 785,859American Renal Associates

Holdings, Inc. (a) . . . . . . . . . . 4,590 47,598AmerisourceBergen Corp.. . . . . . . 22,342 1,899,517AMN Healthcare Services, Inc. (a) . 6,931 431,871Anthem, Inc. . . . . . . . . . . . . . . . 36,446 11,007,785Apollo Medical Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,835 89,012BioTelemetry, Inc. (a) (b) . . . . . . . 4,620 213,906Brookdale Senior Living, Inc. (a) . . 23,904 173,782Capital Senior Living Corp. (a) . . . 4,469 13,809Cardinal Health, Inc. . . . . . . . . . . 39,449 1,995,330Catasys, Inc. (a) (b) . . . . . . . . . . . 900 14,679Centene Corp. (a) . . . . . . . . . . . . 55,487 3,488,468Chemed Corp. . . . . . . . . . . . . . . 2,293 1,007,223Cigna Corp.. . . . . . . . . . . . . . . . 51,867 10,606,283Community Health Systems, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 581 1,685CorVel Corp. (a) . . . . . . . . . . . . . 504 44,029Covetrus, Inc. (a) (b) . . . . . . . . . . 13,848 182,794Cross Country Healthcare, Inc. (a) . 4,620 53,684CVS Health Corp. . . . . . . . . . . . . 185,679 13,794,093


DaVita, Inc. (a). . . . . . . . . . . . . . 22,184 $ 1,664,466Diplomat Pharmacy, Inc. (a) . . . . . 354 1,416Encompass Health Corp.. . . . . . . . 14,385 996,449Ensign Group, Inc. . . . . . . . . . . . 6,808 308,879Enzo Biochem, Inc. (a). . . . . . . . . 6,720 17,674Fulgent Genetics, Inc. (a) . . . . . . . 900 11,610Genesis Healthcare, Inc. (a) . . . . . . 7,660 12,562Guardant Health, Inc. (a) (b) . . . . . 4,365 341,081Hanger, Inc. (a) . . . . . . . . . . . . . 5,030 138,878HCA Healthcare, Inc.. . . . . . . . . . 38,976 5,761,043HealthEquity, Inc. (a) . . . . . . . . . . 9,116 675,222Henry Schein, Inc. (a) . . . . . . . . . 20,601 1,374,499Humana, Inc. . . . . . . . . . . . . . . . 19,575 7,174,629InfuSystem Holdings, Inc. (a) . . . . 2,465 21,026Joint Corp (a). . . . . . . . . . . . . . . 1,865 30,101Laboratory Corp. of America

Holdings (a) . . . . . . . . . . . . . . 13,566 2,294,960LHC Group, Inc. (a) . . . . . . . . . . 2,442 336,410Magellan Health, Inc. (a) . . . . . . . 4,428 346,491McKesson Corp. . . . . . . . . . . . . . 26,704 3,693,697MEDNAX, Inc. (a) . . . . . . . . . . . 13,941 387,420Molina Healthcare, Inc. (a) . . . . . . 7,870 1,067,880National HealthCare Corp. . . . . . . 2,098 181,330Owens & Minor, Inc. . . . . . . . . . . 344 1,779Patterson Cos., Inc. (b) . . . . . . . . . 18,871 386,478PetIQ, Inc. (a) (b) . . . . . . . . . . . . 2,950 73,898Premier, Inc. Class A (a) . . . . . . . . 7,902 299,328Providence Service Corp. (a) . . . . . 2,122 125,580Quest Diagnostics, Inc.. . . . . . . . . 19,778 2,112,093R1 RCM, Inc. (a) . . . . . . . . . . . . 11,485 149,075RadNet, Inc. (a) . . . . . . . . . . . . . 4,765 96,730Select Medical Holdings Corp. (a) . 18,808 438,979Surgery Partners, Inc. (a) . . . . . . . 6,710 105,045Tenet Healthcare Corp. (a) . . . . . . 14,257 542,194Tivity Health, Inc. (a) (b) . . . . . . . 7,814 158,976Triple-S Management Corp.

Class B (a). . . . . . . . . . . . . . . 2,630 48,629UnitedHealth Group, Inc. . . . . . . . 133,584 39,271,024Universal Health Services, Inc.

Class B . . . . . . . . . . . . . . . . . 259 37,156US Physical Therapy, Inc. . . . . . . . 2,148 245,624WellCare Health Plans, Inc. (a). . . . 6,741 2,225,946

119,655,241


(a) . . . . . . . . . . . . . . . . . . . . 27,758 272,445Castlight Health, Inc. Class B (a) . . 9,415 12,522Cerner Corp. . . . . . . . . . . . . . . . 41,889 3,074,234Change Healthcare, Inc. (a) . . . . . . 6,995 114,648Computer Programs & Systems,

Inc. . . . . . . . . . . . . . . . . . . . 93 2,455Evolent Health, Inc. Class A (a) (b) . 10,354 93,704Health Catalyst, Inc. (a) . . . . . . . . 2,465 85,535HealthStream, Inc. (a) . . . . . . . . . 4,424 120,333HMS Holdings Corp. (a). . . . . . . . 11,320 335,072Icad, Inc. (a) . . . . . . . . . . . . . . . 2,365 18,376


16


Inovalon Holdings, Inc. Class A(a) (b) . . . . . . . . . . . . . . . . . . 13,925 $ 262,068

Inspire Medical Systems, Inc. (a) . . 2,150 159,551Livongo Health, Inc. (a) . . . . . . . . 5,130 128,558NextGen Healthcare, Inc. (a) . . . . . 6,905 110,963Omnicell, Inc. (a) . . . . . . . . . . . . 4,681 382,531OptimizeRx Corp. (a) (b) . . . . . . . 1,665 17,100Phreesia, Inc. (a) (b) . . . . . . . . . . 1,465 39,028Simulations Plus, Inc. (b) . . . . . . . 2,150 62,501Tabula Rasa HealthCare, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,110 102,715Teladoc Health, Inc. (a) (b) . . . . . . 9,963 834,102Veeva Systems, Inc. Class A (a) . . . 18,190 2,558,605Vocera Communications, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,454 92,465

8,879,511


Aramark . . . . . . . . . . . . . . . . . . 31,923 1,385,458BBX Capital Corp. . . . . . . . . . . . 6,995 33,366BJ’s Restaurants, Inc.. . . . . . . . . . 155 5,884Bloomin’ Brands, Inc. . . . . . . . . . 6,827 150,672Boyd Gaming Corp.. . . . . . . . . . . 11,365 340,268Brinker International, Inc. (b). . . . . 6,927 290,934Caesars Entertainment Corp. (a) . . . 77,406 1,052,722Carrols Restaurant Group, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,560 32,148Century Casinos, Inc. (a) . . . . . . . 2,475 19,602Cheesecake Factory, Inc. (b) . . . . . 6,868 266,890Chipotle Mexican Grill, Inc. (a) . . . 4,064 3,402,015Choice Hotels International, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 4,618 477,640Churchill Downs, Inc. . . . . . . . . . 6,226 854,207Chuy’s Holdings, Inc. (a) . . . . . . . 146 3,784Cracker Barrel Old Country Store,

Inc. (b) . . . . . . . . . . . . . . . . . 2,516 386,810Darden Restaurants, Inc. . . . . . . . . 18,375 2,003,059Dave & Buster’s Entertainment,

Inc. (b) . . . . . . . . . . . . . . . . . 6,088 244,555Del Taco Restaurants, Inc. (a). . . . . 4,710 37,233Denny’s Corp. (a) . . . . . . . . . . . . 13,335 265,100Dine Brands Global, Inc. (b) . . . . . 1,833 153,092Domino’s Pizza, Inc. . . . . . . . . . . 6,185 1,817,029Drive Shack, Inc. (a) (b) . . . . . . . . 8,930 32,684Dunkin’ Brands Group, Inc.. . . . . . 12,338 932,013El Pollo Loco Holdings, Inc. (a) (b) . 2,440 36,942Eldorado Resorts, Inc. (a) (b) . . . . . 7,025 418,971Everi Holdings, Inc. (a) . . . . . . . . 9,155 122,952Fiesta Restaurant Group, Inc. (a). . . 151 1,493Golden Entertainment, Inc. (a) . . . . 2,665 51,221Habit Restaurants, Inc. Class A (a) . 2,400 25,032Hilton Grand Vacations, Inc. (a) . . . 13,528 465,228Hilton Worldwide Holdings, Inc.. . . 38,710 4,293,326Hyatt Hotels Corp. Class A . . . . . . 6,634 595,136Inspired Entertainment, Inc. (a) . . . 2,000 13,500J Alexander’s Holdings, Inc. (a) . . . 2,220 21,223


Jack in the Box, Inc. . . . . . . . . . . 4,667 $ 364,166Las Vegas Sands Corp. . . . . . . . . . 50,034 3,454,347Lindblad Expeditions Holdings, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,495 40,793Marriott International, Inc. Class A . 40,822 6,181,675Marriott Vacations Worldwide

Corp. . . . . . . . . . . . . . . . . . . 4,581 589,850McDonald’s Corp. . . . . . . . . . . . 107,378 21,218,967MGM Resorts International . . . . . . 73,087 2,431,604Monarch Casino & Resort, Inc. (a) . 2,130 103,412Nathan’s Famous, Inc. . . . . . . . . . 60 4,253Noodles & Co. (a) (b) . . . . . . . . . 4,440 24,598Norwegian Cruise Line Holdings,

Ltd. (a) . . . . . . . . . . . . . . . . . 31,507 1,840,324Papa John’s International, Inc. . . . . 4,488 283,417Penn National Gaming, Inc. (a) . . . 14,740 376,754Planet Fitness, Inc. Class A (a) . . . . 13,534 1,010,719Playa Hotels & Resorts NV (a) . . . . 11,405 95,802PlayAGS, Inc. (a) . . . . . . . . . . . . 3,830 46,458Potbelly Corp. (a) . . . . . . . . . . . . 4,370 18,441RCI Hospitality Holdings, Inc. . . . . 245 5,023Red Lion Hotels Corp. (a) . . . . . . . 2,270 8,467Red Robin Gourmet Burgers, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 111 3,665Red Rock Resorts, Inc. Class A . . . 9,210 220,579Royal Caribbean Cruises, Ltd. . . . . 25,511 3,405,974Ruth’s Hospitality Group, Inc. . . . . 4,562 99,292Scientific Games Corp. Class A (a) . 8,893 238,155SeaWorld Entertainment, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 7,264 230,341Shake Shack, Inc. Class A (a) (b) . . 2,435 145,053Six Flags Entertainment Corp. . . . . 11,329 511,051Starbucks Corp. . . . . . . . . . . . . . 165,741 14,571,949Target Hospitality Corp. (a) . . . . . . 5,395 26,975Texas Roadhouse, Inc. . . . . . . . . . 9,131 514,258Twin River Worldwide Holdings,

Inc. (b) . . . . . . . . . . . . . . . . . 5,030 129,020Vail Resorts, Inc. . . . . . . . . . . . . 6,354 1,523,880Wendy’s Co. . . . . . . . . . . . . . . . 35,321 784,479Wingstop, Inc. . . . . . . . . . . . . . . 4,460 384,586Wyndham Destinations, Inc. . . . . . 14,529 751,004Wyndham Hotels & Resorts, Inc. . . 14,529 912,566Wynn Resorts, Ltd. . . . . . . . . . . . 12,354 1,715,600Yum China Holdings, Inc. . . . . . . . 49,660 2,384,177Yum! Brands, Inc. . . . . . . . . . . . . 45,091 4,542,016

91,425,879

HOUSEHOLD DURABLES — 0.4%Bassett Furniture Industries, Inc.. . . 2,120 35,362Beazer Homes USA, Inc. (a) . . . . . 4,511 63,740Cavco Industries, Inc. (a) . . . . . . . 1,789 349,535Century Communities, Inc. (a) . . . . 2,385 65,230D.R. Horton, Inc. . . . . . . . . . . . . 49,533 2,612,866Ethan Allen Interiors, Inc. . . . . . . . 4,450 84,817Flexsteel Industries, Inc. . . . . . . . . 180 3,586GoPro, Inc. Class A (a) (b) . . . . . . 625 2,713Green Brick Partners, Inc. (a). . . . . 6,795 78,007


17


Hooker Furniture Corp. . . . . . . . . 2,160 $ 55,490Hovnanian Enterprises, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 600 12,522Installed Building Products, Inc. (a). 2,442 168,181iRobot Corp. (a) (b) . . . . . . . . . . . 3,778 191,280KB Home . . . . . . . . . . . . . . . . . 9,361 320,801La-Z-Boy, Inc. . . . . . . . . . . . . . . 6,884 216,708Leggett & Platt, Inc. . . . . . . . . . . 18,986 965,058Lennar Corp. Class A. . . . . . . . . . 37,504 2,092,348Lennar Corp. Class B. . . . . . . . . . 425 18,997LGI Homes, Inc. (a) (b) . . . . . . . . 2,230 157,549Lifetime Brands, Inc. . . . . . . . . . . 2,170 15,081Lovesac Co. (a) (b) . . . . . . . . . . . 1,365 21,908M/I Homes, Inc. (a) . . . . . . . . . . . 2,506 98,611MDC Holdings, Inc. . . . . . . . . . . 7,047 268,914Meritage Homes Corp. (a). . . . . . . 4,635 283,245Mohawk Group Holdings, Inc. (a) . . 1,165 6,862Mohawk Industries, Inc. (a) . . . . . . 8,991 1,226,193Newell Brands, Inc. . . . . . . . . . . . 65,614 1,261,101NVR, Inc. (a) . . . . . . . . . . . . . . . 409 1,557,640PulteGroup, Inc. . . . . . . . . . . . . . 38,945 1,511,066Skyline Champion Corp. (a) . . . . . 8,260 261,842Sonos, Inc. (a) . . . . . . . . . . . . . . 7,960 124,335Taylor Morrison Home Corp.

Class A (a). . . . . . . . . . . . . . . 9,499 207,648Tempur Sealy International, Inc. (a) . 7,046 613,425Toll Brothers, Inc. . . . . . . . . . . . . 21,112 834,135TopBuild Corp. (a) . . . . . . . . . . . 4,646 478,910TRI Pointe Group, Inc. (a) (b) . . . . 18,477 287,872Tupperware Brands Corp. . . . . . . . 6,914 59,322Turtle Beach Corp. (a) (b) . . . . . . . 1,865 17,624Universal Electronics, Inc. (a) . . . . 96 5,017VOXX International Corp. (a) . . . . 4,335 18,987Whirlpool Corp. . . . . . . . . . . . . . 9,044 1,334,261William Lyon Homes Class A (a) . . 4,418 88,272ZAGG, Inc. (a) (b) . . . . . . . . . . . 4,430 35,927

18,112,988

HOUSEHOLD PRODUCTS — 1.6%Central Garden & Pet Co. (a) . . . . . 2,150 66,800Church & Dwight Co., Inc. . . . . . . 36,655 2,578,313Clorox Co. . . . . . . . . . . . . . . . . 17,869 2,743,606Colgate-Palmolive Co. . . . . . . . . . 123,667 8,513,236Energizer Holdings, Inc. (b). . . . . . 9,257 464,887Kimberly-Clark Corp. . . . . . . . . . 48,641 6,690,570Oil-Dri Corp. of America . . . . . . . 120 4,350Procter & Gamble Co. . . . . . . . . . 354,848 44,320,515Spectrum Brands Holdings, Inc. . . . 5,362 344,723WD-40 Co. (b) . . . . . . . . . . . . . . 2,231 433,126

66,160,126


AES Corp. . . . . . . . . . . . . . . . . 87,578 1,742,802Clearway Energy, Inc. Class A . . . . 9,121 174,394Clearway Energy, Inc. Class C . . . . 8,518 169,934NRG Energy, Inc. . . . . . . . . . . . . 31,947 1,269,893


Ormat Technologies, Inc. . . . . . . . 4,681 $ 348,828Pattern Energy Group, Inc. Class A . 10,277 274,961Sunnova Energy International, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 3,330 37,163TerraForm Power, Inc. Class A . . . . 27,270 419,686Vistra Energy Corp.. . . . . . . . . . . 56,186 1,291,716

5,729,377

INDUSTRIAL CONGLOMERATES — 1.2%3M Co.. . . . . . . . . . . . . . . . . . . 82,710 14,591,698Carlisle Cos., Inc. . . . . . . . . . . . . 9,019 1,459,635General Electric Co. . . . . . . . . . . 1,224,465 13,665,029Honeywell International, Inc. . . . . . 101,273 17,925,321Raven Industries, Inc.. . . . . . . . . . 4,622 159,274Roper Technologies, Inc.. . . . . . . . 15,041 5,327,974

53,128,931

INSURANCE — 2.0%Aflac, Inc. . . . . . . . . . . . . . . . . . 97,219 5,142,885Alleghany Corp. (a) . . . . . . . . . . . 2,203 1,761,453Allstate Corp. . . . . . . . . . . . . . . 47,974 5,394,676Ambac Financial Group, Inc. (a) . . . 12,174 262,593American Equity Investment Life

Holding Co. . . . . . . . . . . . . . . 11,494 344,015American Financial Group, Inc. . . . 9,329 1,022,925American International Group, Inc. . 122,341 6,279,764American National Insurance Co. . . 3,255 383,048AMERISAFE, Inc. . . . . . . . . . . . 2,333 154,048Arthur J Gallagher & Co. . . . . . . . 25,696 2,447,030Assurant, Inc.. . . . . . . . . . . . . . . 7,279 954,131Brighthouse Financial, Inc. (a) . . . . 17,359 680,994Brown & Brown, Inc.. . . . . . . . . . 32,543 1,284,798Cincinnati Financial Corp. . . . . . . 23,266 2,446,420Citizens, Inc. (a) (b). . . . . . . . . . . 6,671 45,029CNO Financial Group, Inc. . . . . . . 27,608 500,533Crawford & Co. Class B . . . . . . . . 2,140 21,721Donegal Group, Inc. Class A . . . . . 300 4,446eHealth, Inc. (a) (b) . . . . . . . . . . . 2,362 226,941Employers Holdings, Inc. . . . . . . . 4,554 190,130FBL Financial Group, Inc. Class A . 2,122 125,049FedNat Holding Co.. . . . . . . . . . . 2,160 35,921Fidelity National Financial, Inc. . . . 34,852 1,580,538First American Financial Corp.. . . . 14,130 824,062Genworth Financial, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 60,673 266,961Globe Life, Inc. . . . . . . . . . . . . . 16,245 1,709,786Goosehead Insurance, Inc. Class A

(b) . . . . . . . . . . . . . . . . . . . . 1,765 74,836Hallmark Financial Services, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,320 40,762Hanover Insurance Group, Inc. . . . . 6,695 915,006Hartford Financial Services Group,

Inc. . . . . . . . . . . . . . . . . . . . 52,341 3,180,763HCI Group, Inc. (b) . . . . . . . . . . . 108 4,930Health Insurance Innovations, Inc.

Class A (a) (b) . . . . . . . . . . . . 245 4,726Heritage Insurance Holdings, Inc. . . 2,435 32,264


18


Horace Mann Educators Corp. . . . . 4,747 $ 207,254Independence Holding Co. . . . . . . 110 4,629Investors Title Co. . . . . . . . . . . . . 200 31,840Kemper Corp. . . . . . . . . . . . . . . 9,081 703,778Kinsale Capital Group, Inc. . . . . . . 2,300 233,818Lincoln National Corp.. . . . . . . . . 29,939 1,766,700Loews Corp. . . . . . . . . . . . . . . . 40,721 2,137,445Markel Corp. (a) . . . . . . . . . . . . . 2,001 2,287,483Marsh & McLennan Cos., Inc. . . . . 71,913 8,011,827MBIA, Inc. (a) . . . . . . . . . . . . . . 13,436 124,955Mercury General Corp. . . . . . . . . 4,470 217,823MetLife, Inc. . . . . . . . . . . . . . . . 111,777 5,697,274National General Holdings Corp. . . 9,016 199,254National Western Life Group, Inc.

Class A . . . . . . . . . . . . . . . . . 96 27,924Old Republic International Corp. . . 37,943 848,785Palomar Holdings, Inc. (a). . . . . . . 1,865 94,164Primerica, Inc. . . . . . . . . . . . . . . 6,975 910,656Principal Financial Group, Inc. . . . . 42,085 2,314,675ProAssurance Corp.. . . . . . . . . . . 8,923 322,477Progressive Corp. . . . . . . . . . . . . 83,268 6,027,771ProSight Global, Inc. (a) . . . . . . . . 3,730 60,165Protective Insurance Corp. Class B . 158 2,542Prudential Financial, Inc. . . . . . . . 55,477 5,200,414Reinsurance Group of America,

Inc. . . . . . . . . . . . . . . . . . . . 9,166 1,494,608RLI Corp. . . . . . . . . . . . . . . . . . 6,687 601,964Safety Insurance Group, Inc. . . . . . 2,221 205,509Selective Insurance Group, Inc. . . . 7,059 460,176State Auto Financial Corp. . . . . . . 2,208 68,492Stewart Information Services Corp. . 2,509 102,342Tiptree, Inc. . . . . . . . . . . . . . . . . 3,230 26,292Travelers Cos., Inc. . . . . . . . . . . . 37,638 5,154,524Trupanion, Inc. (a) (b) . . . . . . . . . 2,415 90,466United Fire Group, Inc. . . . . . . . . 2,389 104,471United Insurance Holdings Corp. . . 2,440 30,768Universal Insurance Holdings, Inc. . 4,519 126,487Unum Group . . . . . . . . . . . . . . . 33,438 975,052White Mountains Insurance Group,

Ltd. . . . . . . . . . . . . . . . . . . . 464 517,597WR Berkley Corp. . . . . . . . . . . . 20,550 1,420,005

87,155,590

INTERACTIVE MEDIA & SERVICES — 3.2%Actua Corp. (a) . . . . . . . . . . . . . 1,285 360Alphabet, Inc. Class A (a) . . . . . . . 42,467 56,879,875ANGI Homeservices, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 6,980 59,121Care.com, Inc. (a) . . . . . . . . . . . . 2,435 36,598Cargurus, Inc. (a) (b) . . . . . . . . . . 7,218 253,929Cars.com, Inc. (a) . . . . . . . . . . . . 9,212 112,571DHI Group, Inc. (a) . . . . . . . . . . . 6,895 20,754Eventbrite, Inc. Class A (a) . . . . . . 6,795 137,055EverQuote, Inc. Class A (a) . . . . . . 1,000 34,350Facebook, Inc. Class A (a). . . . . . . 337,249 69,220,357IAC/InterActiveCorp (a) . . . . . . . . 10,742 2,675,940


Liberty TripAdvisor Holdings, Inc.Class A (a). . . . . . . . . . . . . . . 12,040 $ 88,494

Match Group, Inc. (a) (b) . . . . . . . 6,355 521,809Meet Group, Inc. (a) . . . . . . . . . . 13,340 66,833Pinterest, Inc. Class A (a) (b) . . . . . 19,985 372,520QuinStreet, Inc. (a) (b) . . . . . . . . . 6,223 95,274Travelzoo (a) . . . . . . . . . . . . . . . 700 7,490TripAdvisor, Inc. . . . . . . . . . . . . 13,030 395,851TrueCar, Inc. (a) (b). . . . . . . . . . . 474 2,252Twitter, Inc. (a). . . . . . . . . . . . . . 103,044 3,302,560Yelp, Inc. (a) . . . . . . . . . . . . . . . 6,825 237,715Zillow Group, Inc. Class A (a) (b) . . 6,962 318,442

134,840,150


1-800-Flowers.com, Inc. Class A(a) . . . . . . . . . . . . . . . . . . . . 4,390 63,655

Amazon.com, Inc. (a). . . . . . . . . . 62,013 114,590,102Booking Holdings, Inc. (a) . . . . . . 6,072 12,470,248Chewy, Inc. Class A (a) (b) . . . . . . 6,295 182,555Duluth Holdings, Inc. Class B

(a) (b) . . . . . . . . . . . . . . . . . . 2,300 24,219eBay, Inc. . . . . . . . . . . . . . . . . . 114,735 4,143,081Etsy, Inc. (a) . . . . . . . . . . . . . . . 17,312 766,922Expedia Group, Inc.. . . . . . . . . . . 17,603 1,903,588Groupon, Inc. (a) (b) . . . . . . . . . . 72,249 172,675GrubHub, Inc. (a) (b) . . . . . . . . . . 13,424 652,943Lands’ End, Inc. (a) . . . . . . . . . . . 86 1,445Leaf Group, Ltd. (a) . . . . . . . . . . 2,265 9,060Liquidity Services, Inc. (a) . . . . . . 151 900MercadoLibre, Inc. (a) . . . . . . . . . 6,609 3,779,951Overstock.com, Inc. (a) . . . . . . . . 2,214 15,609PetMed Express, Inc. (b). . . . . . . . 2,364 55,601Quotient Technology, Inc. (a) . . . . . 9,231 91,018Qurate Retail, Inc. Class A (a) . . . . 45,006 379,401RealReal, Inc. (a) (b) . . . . . . . . . . 5,495 103,581Rubicon Project, Inc. (a) . . . . . . . . 8,776 71,612Shutterstock, Inc. (a) . . . . . . . . . . 184 7,890Stamps.com, Inc. (a) . . . . . . . . . . 2,121 177,146Stitch Fix, Inc. Class A (a) (b) . . . . 7,107 182,366Wayfair, Inc. Class A (a) (b) . . . . . 8,603 777,453

140,623,021

IT SERVICES — 5.0%Akamai Technologies, Inc. (a) . . . . 23,459 2,026,388Alliance Data Systems Corp. . . . . . 6,861 769,804Amdocs, Ltd. . . . . . . . . . . . . . . . 21,800 1,573,742Automatic Data Processing, Inc. . . . 61,704 10,520,532Black Knight, Inc. (a). . . . . . . . . . 18,429 1,188,302Booz Allen Hamilton Holding

Corp. . . . . . . . . . . . . . . . . . . 21,223 1,509,592Brightcove, Inc. (a) . . . . . . . . . . . 4,616 40,113Broadridge Financial Solutions,

Inc. . . . . . . . . . . . . . . . . . . . 16,271 2,010,119CACI International, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 4,059 1,014,709


19


Cardtronics PLC Class A (a) . . . . . 6,813 $ 304,200Cass Information Systems, Inc. . . . 2,425 140,019Cognizant Technology Solutions

Corp. Class A . . . . . . . . . . . . . 76,371 4,736,529Conduent, Inc. (a) . . . . . . . . . . . . 33,346 206,745CoreLogic, Inc. (a) . . . . . . . . . . . 9,303 406,634CSG Systems International, Inc. . . . 4,574 236,842DXC Technology Co. . . . . . . . . . . 38,854 1,460,522Endurance International Group

Holdings, Inc. (a) . . . . . . . . . . 2,468 11,600EPAM Systems, Inc. (a) . . . . . . . . 6,923 1,468,784Euronet Worldwide, Inc. (a). . . . . . 6,898 1,086,849EVERTEC, Inc. . . . . . . . . . . . . . 4,014 136,637Evo Payments, Inc. Class A (a) . . . . 5,030 132,842Exela Technologies, Inc. (a) (b) . . . 6,195 2,526ExlService Holdings, Inc. (a) . . . . . 4,564 317,015Fastly, Inc. Class A (a) . . . . . . . . . 1,665 33,417Fidelity National Information

Services, Inc. . . . . . . . . . . . . . 86,765 12,068,144Fiserv, Inc. (a) . . . . . . . . . . . . . . 80,769 9,339,319FleetCor Technologies, Inc. (a) . . . . 12,466 3,586,718Gartner, Inc. (a) . . . . . . . . . . . . . 13,260 2,043,366Global Payments, Inc. . . . . . . . . . 42,511 7,760,808GoDaddy, Inc. Class A (a) . . . . . . . 25,444 1,728,156GreenSky, Inc. Class A (a) (b) . . . . 6,250 55,625GTT Communications, Inc. (a) (b) . 4,515 51,245Hackett Group, Inc. . . . . . . . . . . . 2,505 40,431Helios & Matheson Analytics, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 1 —I3 Verticals, Inc. Class A (a) . . . . . 2,065 58,336Information Services Group, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,400 11,132International Business Machines

Corp. . . . . . . . . . . . . . . . . . . 125,024 16,758,217International Money Express, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,965 35,699Jack Henry & Associates, Inc. . . . . 11,384 1,658,307KBR, Inc. . . . . . . . . . . . . . . . . . 19,590 597,495Leidos Holdings, Inc.. . . . . . . . . . 21,277 2,082,806Limelight Networks, Inc. (a) . . . . . 17,607 71,837LiveRamp Holdings, Inc. (a) . . . . . 7,015 337,211ManTech International Corp.

Class A . . . . . . . . . . . . . . . . . 4,420 353,070Mastercard, Inc. Class A . . . . . . . . 126,028 37,630,701MAXIMUS, Inc.. . . . . . . . . . . . . 9,100 676,949MoneyGram International, Inc. (a) . 175 368MongoDB, Inc. (a) (b) . . . . . . . . . 7,003 921,665Net 1 UEPS Technologies, Inc. (a). . 18,560 69,043NIC, Inc.. . . . . . . . . . . . . . . . . . 9,169 204,927Okta, Inc. (a) (b) . . . . . . . . . . . . . 14,729 1,699,285Paychex, Inc. . . . . . . . . . . . . . . . 47,186 4,013,641PayPal Holdings, Inc. (a) . . . . . . . 159,698 17,274,533Paysign, Inc. (a) (b) . . . . . . . . . . . 3,830 38,874Perficient, Inc. (a) . . . . . . . . . . . . 4,623 212,982Perspecta, Inc. . . . . . . . . . . . . . . 20,944 553,759PRGX Global, Inc. (a) . . . . . . . . . 2,340 11,513Repay Holdings Corp. (a) . . . . . . . 4,130 60,504


Sabre Corp. . . . . . . . . . . . . . . . . 30,406 $ 682,311Science Applications International

Corp. . . . . . . . . . . . . . . . . . . 7,063 614,622Square, Inc. Class A (a) . . . . . . . . 45,221 2,829,026StarTek, Inc. (a) . . . . . . . . . . . . . 2,190 17,476Switch, Inc. Class A . . . . . . . . . . 8,260 122,413Sykes Enterprises, Inc. (a). . . . . . . 6,662 246,427TTEC Holdings, Inc. . . . . . . . . . . 2,274 90,096Tucows, Inc. Class A (a) . . . . . . . . 1,000 61,780Twilio, Inc. Class A (a) (b) . . . . . . 16,939 1,664,765Unisys Corp. (a) . . . . . . . . . . . . . 400 4,744VeriSign, Inc. (a) . . . . . . . . . . . . 17,159 3,306,196Virtusa Corp. (a). . . . . . . . . . . . . 4,417 200,223Visa, Inc. Class A . . . . . . . . . . . . 244,821 46,001,866Western Union Co. (b) . . . . . . . . . 55,991 1,499,439WEX, Inc. (a) . . . . . . . . . . . . . . 6,471 1,355,416

212,037,928


Acushnet Holdings Corp. . . . . . . . 2,455 79,788American Outdoor Brands Corp.

(a) . . . . . . . . . . . . . . . . . . . . 2,424 22,495Brunswick Corp.. . . . . . . . . . . . . 14,039 842,059Callaway Golf Co.. . . . . . . . . . . . 13,594 288,193Clarus Corp. . . . . . . . . . . . . . . . 2,465 33,425Escalade, Inc.. . . . . . . . . . . . . . . 2,130 20,938Hasbro, Inc.. . . . . . . . . . . . . . . . 17,319 1,829,060Johnson Outdoors, Inc. Class A . . . 245 18,792Malibu Boats, Inc. Class A (a) . . . . 2,350 96,232MasterCraft Boat Holdings, Inc. (a) . 2,270 35,753Mattel, Inc. (a) (b). . . . . . . . . . . . 56,235 761,984Polaris, Inc. . . . . . . . . . . . . . . . . 9,019 917,232Sturm Ruger & Co., Inc. . . . . . . . . 2,303 108,310Vista Outdoor, Inc. (a) . . . . . . . . . 344 2,573YETI Holdings, Inc. (a) (b) . . . . . . 3,830 133,207

5,190,041


Accelerate Diagnostics, Inc. (a) (b) . 4,700 79,430Adaptive Biotechnologies Corp. (a) . 16,320 488,294Agilent Technologies, Inc. . . . . . . . 43,293 3,693,326Avantor, Inc. (a) . . . . . . . . . . . . . 77,805 1,412,161Bio-Rad Laboratories, Inc. Class A

(a) . . . . . . . . . . . . . . . . . . . . 215 79,556Bio-Techne Corp. . . . . . . . . . . . . 4,678 1,026,868Bruker Corp. . . . . . . . . . . . . . . . 14,109 719,136Charles River Laboratories

International, Inc. (a) . . . . . . . . 6,933 1,059,085ChromaDex Corp. (a) (b) . . . . . . . 4,420 19,050Codexis, Inc. (a) (b). . . . . . . . . . . 4,750 75,953Fluidigm Corp. (a) . . . . . . . . . . . 8,026 27,930Harvard Bioscience, Inc. (a) . . . . . 4,540 13,847Illumina, Inc. (a) . . . . . . . . . . . . . 21,075 6,991,420IQVIA Holdings, Inc. (a) . . . . . . . 24,455 3,778,542Luminex Corp. . . . . . . . . . . . . . . 6,678 154,662


20


Medpace Holdings, Inc. (a) . . . . . . 1,815 $ 152,569Mettler-Toledo International, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 3,650 2,895,472NanoString Technologies, Inc. (a) . . 4,590 127,694NeoGenomics, Inc. (a) . . . . . . . . . 11,350 331,988Pacific Biosciences of California,

Inc. (a) . . . . . . . . . . . . . . . . . 18,400 94,576PerkinElmer, Inc. . . . . . . . . . . . . 15,892 1,543,113Personalis, Inc. (a). . . . . . . . . . . . 2,265 24,689PRA Health Sciences, Inc. (a) . . . . 6,848 761,155Quanterix Corp. (a) (b). . . . . . . . . 2,165 51,159Repligen Corp. (a). . . . . . . . . . . . 4,679 432,808Syneos Health, Inc. (a) (b). . . . . . . 9,091 540,687Thermo Fisher Scientific, Inc. . . . . 56,398 18,322,018Waters Corp. (a) . . . . . . . . . . . . . 9,943 2,323,182

47,220,370

MACHINERY — 1.9%Actuant Corp. Class A . . . . . . . . . 9,184 239,060AGCO Corp. . . . . . . . . . . . . . . . 9,770 754,732Alamo Group, Inc. . . . . . . . . . . . 2,162 271,439Albany International Corp. Class A . 4,498 341,488Allison Transmission Holdings,

Inc. . . . . . . . . . . . . . . . . . . . 18,921 914,263Altra Industrial Motion Corp.. . . . . 6,704 242,752Astec Industries, Inc. . . . . . . . . . . 2,466 103,572Barnes Group, Inc. . . . . . . . . . . . 6,654 412,282Blue Bird Corp. (a) . . . . . . . . . . . 2,152 49,324Briggs & Stratton Corp. (b) . . . . . . 6,711 44,695Caterpillar, Inc. . . . . . . . . . . . . . 81,094 11,975,962Chart Industries, Inc. (a) . . . . . . . . 2,325 156,914CIRCOR International, Inc. (a). . . . 2,263 104,641Colfax Corp. (a) . . . . . . . . . . . . . 13,025 473,849Columbus McKinnon Corp.. . . . . . 2,456 98,314Commercial Vehicle Group, Inc. (a). 4,370 27,750Crane Co. . . . . . . . . . . . . . . . . . 6,856 592,221Cummins, Inc. . . . . . . . . . . . . . . 21,647 3,873,947Deere & Co. . . . . . . . . . . . . . . . 45,007 7,797,913Donaldson Co., Inc. . . . . . . . . . . . 20,502 1,181,325Douglas Dynamics, Inc. . . . . . . . . 2,394 131,670Dover Corp.. . . . . . . . . . . . . . . . 21,046 2,425,762Eastern Co. . . . . . . . . . . . . . . . . 130 3,969Energy Recovery, Inc. (a) (b) . . . . . 4,665 45,670EnPro Industries, Inc.. . . . . . . . . . 4,397 294,071ESCO Technologies, Inc. . . . . . . . 4,420 408,850Evoqua Water Technologies Corp.

(a) . . . . . . . . . . . . . . . . . . . . 9,377 177,694ExOne Co. (a) (b) . . . . . . . . . . . . 2,140 15,964Federal Signal Corp. . . . . . . . . . . 9,041 291,572Flowserve Corp. . . . . . . . . . . . . . 18,579 924,677Fortive Corp. . . . . . . . . . . . . . . . 42,202 3,223,811Franklin Electric Co., Inc. . . . . . . . 6,711 384,675Gardner Denver Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 16,975 622,643Gencor Industries, Inc. (a) . . . . . . . 2,090 24,390Gorman-Rupp Co.. . . . . . . . . . . . 2,340 87,750Graco, Inc. . . . . . . . . . . . . . . . . 23,145 1,203,540


Graham Corp. . . . . . . . . . . . . . . 94 $ 2,057Greenbrier Cos., Inc. . . . . . . . . . . 4,460 144,638Helios Technologies, Inc. . . . . . . . 2,504 115,760Hillenbrand, Inc. . . . . . . . . . . . . . 10,229 340,728Hurco Cos., Inc. . . . . . . . . . . . . . 162 6,214Hyster-Yale Materials Handling,

Inc. . . . . . . . . . . . . . . . . . . . 2,072 122,165IDEX Corp.. . . . . . . . . . . . . . . . 11,300 1,943,600Illinois Tool Works, Inc. . . . . . . . . 46,192 8,297,469ITT, Inc. . . . . . . . . . . . . . . . . . . 11,567 854,917John Bean Technologies Corp. . . . . 4,493 506,181Kadant, Inc.. . . . . . . . . . . . . . . . 2,138 225,217Kennametal, Inc.. . . . . . . . . . . . . 11,254 415,160LB Foster Co. Class A (a) . . . . . . . 2,100 40,698Lincoln Electric Holdings, Inc.. . . . 9,010 871,537Lindsay Corp. (b) . . . . . . . . . . . . 2,221 213,194LiqTech International, Inc. (a) (b) . . 2,565 15,005Lydall, Inc. (a) . . . . . . . . . . . . . . 2,293 47,052Manitex International, Inc. (a) . . . . 2,220 13,209Manitowoc Co., Inc (a) . . . . . . . . . 4,639 81,182Meritor, Inc. (a) . . . . . . . . . . . . . 13,540 354,613Middleby Corp. (a) . . . . . . . . . . . 8,492 930,044Miller Industries, Inc.. . . . . . . . . . 2,140 79,458Mueller Industries, Inc. . . . . . . . . 8,954 284,289Mueller Water Products, Inc.

Class A . . . . . . . . . . . . . . . . . 25,360 303,813Navistar International Corp. (a) . . . 11,564 334,662NN, Inc. (b) . . . . . . . . . . . . . . . . 2,570 23,773Nordson Corp. . . . . . . . . . . . . . . 7,206 1,173,425Oshkosh Corp. . . . . . . . . . . . . . . 10,243 969,500PACCAR, Inc. . . . . . . . . . . . . . . 47,874 3,786,833Parker-Hannifin Corp. . . . . . . . . . 17,953 3,695,086Park-Ohio Holdings Corp.. . . . . . . 197 6,629Proto Labs, Inc. (a) . . . . . . . . . . . 2,508 254,687RBC Bearings, Inc. (a) . . . . . . . . . 2,514 398,067REV Group, Inc. (b) . . . . . . . . . . 2,395 29,291Rexnord Corp. (a) . . . . . . . . . . . . 15,729 513,080Snap-on, Inc. . . . . . . . . . . . . . . . 7,050 1,194,270Spartan Motors, Inc. . . . . . . . . . . 2,445 44,206SPX Corp. (a) . . . . . . . . . . . . . . 6,758 343,847SPX FLOW, Inc. (a). . . . . . . . . . . 2,428 118,656Standex International Corp. . . . . . . 2,221 176,236Stanley Black & Decker, Inc. . . . . . 21,600 3,579,984Tennant Co. . . . . . . . . . . . . . . . . 2,293 178,671Terex Corp. . . . . . . . . . . . . . . . . 11,093 330,350Timken Co. . . . . . . . . . . . . . . . . 9,263 521,600Titan International, Inc. . . . . . . . . 8,980 32,508Toro Co. . . . . . . . . . . . . . . . . . . 15,822 1,260,539TriMas Corp. (a). . . . . . . . . . . . . 2,487 78,117Trinity Industries, Inc. . . . . . . . . . 18,759 415,512Twin Disc, Inc. (a). . . . . . . . . . . . 215 2,369Wabash National Corp.. . . . . . . . . 9,100 133,679WABCO Holdings, Inc. (a) . . . . . . 6,942 940,641Watts Water Technologies, Inc.

Class A . . . . . . . . . . . . . . . . . 4,486 447,523Welbilt, Inc. (a) . . . . . . . . . . . . . 23,065 360,045


21


Westinghouse Air BrakeTechnologies Corp. . . . . . . . . . 25,872 $ 2,012,842

Woodward, Inc. . . . . . . . . . . . . . 9,100 1,077,804Xylem, Inc. . . . . . . . . . . . . . . . . 25,767 2,030,182

82,595,965

MARINE — 0.0% (c)Eagle Bulk Shipping, Inc. (a) . . . . . 10,625 48,875Genco Shipping & Trading, Ltd. . . . 4,410 46,834Kirby Corp. (a). . . . . . . . . . . . . . 7,040 630,291Matson, Inc. . . . . . . . . . . . . . . . 6,727 274,462

1,000,462

MEDIA — 0.7%AMC Networks, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 7,016 277,132Boston Omaha Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 3,935 82,792Cable One, Inc. . . . . . . . . . . . . . 476 708,512Cardlytics, Inc. (a). . . . . . . . . . . . 2,865 180,094CBS Corp. Class B (a) . . . . . . . . . 1,685 70,719Charter Communications, Inc.

Class A (a). . . . . . . . . . . . . . . 22,864 11,090,869Clear Channel Outdoor Holding,

Inc. (a) . . . . . . . . . . . . . . . . . 19,856 56,788Comcast Corp. Class A. . . . . . . . . 42,181 1,896,880comScore, Inc. (a) . . . . . . . . . . . . 7,800 38,532Discovery, Inc. Class A (a) (b) . . . . 21,814 714,190Discovery, Inc. Class C (a) . . . . . . 1,914 58,358DISH Network Corp. Class A (a) . . 36,893 1,308,595Emerald Expositions Events, Inc. . . 3,430 36,186Entercom Communications Corp.

Class A (b). . . . . . . . . . . . . . . 12,993 60,288Entravision Communications Corp.

Class A . . . . . . . . . . . . . . . . . 11,115 29,121EW Scripps Co. Class A . . . . . . . . 9,095 142,882Fluent, Inc. (a) (b) . . . . . . . . . . . . 5,995 14,987Fox Corp. Class A . . . . . . . . . . . . 49,595 1,838,487Fox Corp. Class B . . . . . . . . . . . . 23,115 841,386Gannett Co., Inc. (b) . . . . . . . . . . 11,520 73,498Gray Television, Inc. (a) . . . . . . . . 9,284 199,049Hemisphere Media Group, Inc. (a) . 2,310 34,303iHeartMedia, Inc. Class A (a) (b) . . 8,060 136,214Interpublic Group of Cos., Inc. . . . . 61,017 1,409,493John Wiley & Sons, Inc. Class A. . . 1,711 83,018Lee Enterprises, Inc. (a) . . . . . . . . 6,865 9,748Liberty Broadband Corp. Class A

(a) . . . . . . . . . . . . . . . . . . . . 4,482 558,278Liberty Latin America, Ltd. Class A

(a) . . . . . . . . . . . . . . . . . . . . 6,850 132,205Liberty Media Corp.-Liberty

SiriusXM Class A (a) . . . . . . . . 14,133 683,189Loral Space & Communications,

Inc. (a) . . . . . . . . . . . . . . . . . 153 4,945Marchex, Inc. Class B (a) . . . . . . . 4,530 17,123MDC Partners, Inc. Class A (a) . . . 369 1,026Meredith Corp.. . . . . . . . . . . . . . 6,646 215,796


MSG Networks, Inc. Class A(a) (b) . . . . . . . . . . . . . . . . . . 8,603 $ 149,692

National CineMedia, Inc. . . . . . . . 388 2,829New York Times Co. Class A . . . . . 18,451 593,569News Corp. Class B (b) . . . . . . . . 16,266 236,020Nexstar Media Group, Inc. Class A

(b) . . . . . . . . . . . . . . . . . . . . 6,704 786,044Omnicom Group, Inc. . . . . . . . . . 30,321 2,456,607Saga Communications, Inc.

Class A . . . . . . . . . . . . . . . . . 700 21,280Scholastic Corp. . . . . . . . . . . . . . 4,510 173,409Sinclair Broadcast Group, Inc.

Class A . . . . . . . . . . . . . . . . . 11,245 374,908Sirius XM Holdings, Inc. (b) . . . . . 166,175 1,188,151Taptica International, Ltd. (a). . . . . 1,016 2,154TechTarget, Inc. (a) . . . . . . . . . . . 4,257 111,108TEGNA, Inc. . . . . . . . . . . . . . . . 34,382 573,836Townsquare Media, Inc. Class A . . . 2,090 20,837ViacomCBS, Inc. Class B . . . . . . . 1,407 59,052WideOpenWest, Inc. (a) . . . . . . . . 7,095 52,645Tribune Publishing Co.. . . . . . . . . 2,210 29,084

29,835,908

METALS & MINING — 0.4%AK Steel Holding Corp. (a) (b) . . . 44,812 147,431Alcoa Corp. (a) . . . . . . . . . . . . . 26,963 579,974Allegheny Technologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 17,841 368,595Carpenter Technology Corp. . . . . . 6,771 337,060Century Aluminum Co. (a) (b) . . . . 7,119 53,499Cleveland-Cliffs, Inc. (b) . . . . . . . 32,423 272,353Coeur Mining, Inc. (a) . . . . . . . . . 28,425 229,674Commercial Metals Co. . . . . . . . . 22,523 501,587Compass Minerals International,

Inc. (b) . . . . . . . . . . . . . . . . . 4,604 280,660Ferroglobe Representation &

Warranty Insurance Trust (a) (d) . 929 —Freeport-McMoRan, Inc. . . . . . . . 205,722 2,699,073Gold Resource Corp. . . . . . . . . . . 7,045 39,029Haynes International, Inc. . . . . . . . 2,178 77,929Hecla Mining Co. . . . . . . . . . . . . 59,761 202,590Kaiser Aluminum Corp. . . . . . . . . 2,313 256,489Materion Corp.. . . . . . . . . . . . . . 2,357 140,124Mayville Engineering Co., Inc. (a) . 2,765 25,936McEwen Mining, Inc. (a) (b) . . . . . 35,172 44,668Newmont Goldcorp Corp. . . . . . . . 115,852 5,033,769Nucor Corp. . . . . . . . . . . . . . . . 44,348 2,495,905Olympic Steel, Inc. . . . . . . . . . . . 2,130 38,170Reliance Steel & Aluminum Co. . . . 8,237 986,463Royal Gold, Inc. . . . . . . . . . . . . . 9,170 1,121,033Ryerson Holding Corp. (a) . . . . . . 2,320 27,446Schnitzer Steel Industries, Inc.

Class A . . . . . . . . . . . . . . . . . 2,231 48,368Steel Dynamics, Inc. . . . . . . . . . . 30,762 1,047,138SunCoke Energy, Inc.. . . . . . . . . . 2,740 17,070Synalloy Corp. (a) . . . . . . . . . . . . 225 2,905TimkenSteel Corp. (a) (b) . . . . . . . 2,221 17,457


22


United States Steel Corp. (b) . . . . . 26,302 $ 300,106Universal Stainless & Alloy

Products, Inc. (a) . . . . . . . . . . . 215 3,204Warrior Met Coal, Inc. . . . . . . . . . 4,685 98,994Worthington Industries, Inc. . . . . . 6,754 284,884

17,779,583


AG Mortgage Investment Trust, Inc.REIT . . . . . . . . . . . . . . . . . . 10,614 163,668

AGNC Investment Corp. REIT. . . . 81,120 1,434,202Annaly Capital Management, Inc.

REIT . . . . . . . . . . . . . . . . . . 213,306 2,009,343Anworth Mortgage Asset Corp.

REIT . . . . . . . . . . . . . . . . . . 2,601 9,156Apollo Commercial Real Estate

Finance, Inc. REIT . . . . . . . . . 15,849 289,878Arbor Realty Trust, Inc. REIT (b) . . 7,034 100,938Ares Commercial Real Estate Corp.

REIT . . . . . . . . . . . . . . . . . . 4,400 69,696Arlington Asset Investment Corp.

Class A (b). . . . . . . . . . . . . . . 23,739 132,226ARMOUR Residential REIT, Inc.

(b) . . . . . . . . . . . . . . . . . . . . 7,082 126,555Blackstone Mortgage Trust, Inc.

Class A REIT (b). . . . . . . . . . . 13,122 488,401Capstead Mortgage Corp. REIT . . . 23,071 182,722Cherry Hill Mortgage Investment

Corp. REIT (b) . . . . . . . . . . . . 2,170 31,660Chimera Investment Corp. REIT

(b) . . . . . . . . . . . . . . . . . . . . 28,050 576,708Colony Credit Real Estate, Inc.

REIT (b) . . . . . . . . . . . . . . . . 18,355 241,552Dynex Capital, Inc. REIT (b) . . . . . 5,983 101,352Ellington Residential Mortgage

REIT (b) . . . . . . . . . . . . . . . . 2,930 31,790Exantas Capital Corp. REIT . . . . . 8,812 104,070Granite Point Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 5,957 109,490Great Ajax Corp. REIT (b) . . . . . . 668 9,893Invesco Mortgage Capital, Inc.

REIT . . . . . . . . . . . . . . . . . . 18,852 313,886KKR Real Estate Finance Trust, Inc.

REIT (b) . . . . . . . . . . . . . . . . 4,765 97,301Ladder Capital Corp. REIT . . . . . . 11,378 205,259MFA Financial, Inc. REIT . . . . . . . 61,374 469,511New Residential Investment Corp.

REIT (b) . . . . . . . . . . . . . . . . 47,082 758,491New York Mortgage Trust, Inc.

REIT . . . . . . . . . . . . . . . . . . 16,827 104,832Orchid Island Capital, Inc. REIT

(b) . . . . . . . . . . . . . . . . . . . . 23,611 138,124PennyMac Mortgage Investment

Trust REIT . . . . . . . . . . . . . . 7,807 174,018Ready Capital Corp. REIT . . . . . . 7,654 118,025Redwood Trust, Inc. REIT. . . . . . . 8,414 139,168TPG RE Finance Trust, Inc. REIT . . 6,715 136,113


Two Harbors Investment Corp.REIT . . . . . . . . . . . . . . . . . . 35,857 $ 524,229

Western Asset Mortgage CapitalCorp. REIT . . . . . . . . . . . . . . 9,242 95,470

Starwood Property Trust, Inc. REIT. 36,544 908,484

10,396,211

MULTI-UTILITIES — 1.0%Ameren Corp. . . . . . . . . . . . . . . 34,959 2,684,851Avista Corp. . . . . . . . . . . . . . . . 9,232 443,967Black Hills Corp. . . . . . . . . . . . . 8,948 702,776CenterPoint Energy, Inc. . . . . . . . . 66,649 1,817,518CMS Energy Corp. . . . . . . . . . . . 38,469 2,417,392Consolidated Edison, Inc. . . . . . . . 44,809 4,053,870Dominion Energy, Inc. . . . . . . . . . 116,281 9,630,393DTE Energy Co. . . . . . . . . . . . . . 25,843 3,356,231MDU Resources Group, Inc. . . . . . 27,909 829,176NiSource, Inc. . . . . . . . . . . . . . . 53,095 1,478,165NorthWestern Corp. . . . . . . . . . . 8,460 606,328Public Service Enterprise Group,

Inc. . . . . . . . . . . . . . . . . . . . 68,098 4,021,187Sempra Energy. . . . . . . . . . . . . . 37,904 5,741,698Unitil Corp. . . . . . . . . . . . . . . . . 455 28,128WEC Energy Group, Inc. . . . . . . . 44,210 4,077,488

41,889,168

MULTILINE RETAIL — 0.5%Big Lots, Inc. (b) . . . . . . . . . . . . 6,931 199,058Dillard’s, Inc. Class A (b) . . . . . . . 2,433 178,777Dollar General Corp. . . . . . . . . . . 35,787 5,582,056Dollar Tree, Inc. (a) . . . . . . . . . . . 33,476 3,148,418Kohl’s Corp. . . . . . . . . . . . . . . . 23,871 1,216,227Macy’s, Inc. (b) . . . . . . . . . . . . . 46,458 789,786Nordstrom, Inc. (b) . . . . . . . . . . . 16,593 679,152Ollie’s Bargain Outlet Holdings,

Inc. (a) (b) . . . . . . . . . . . . . . . 6,912 451,423Target Corp. . . . . . . . . . . . . . . . 71,490 9,165,733

21,410,630

OIL, GAS & CONSUMABLE FUELS — 3.8%Adams Resources & Energy, Inc. . . 44 1,675Altus Midstream Co. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 19,325 55,270Amplify Energy Corp. . . . . . . . . . 2,835 18,739Antero Resources Corp. (a) (b). . . . 35,650 101,602Apache Corp.. . . . . . . . . . . . . . . 57,685 1,476,159Arch Coal, Inc. Class A (b) . . . . . . 2,669 191,474Berry Petroleum Corp. . . . . . . . . . 11,685 110,190Bonanza Creek Energy, Inc. (a) . . . 2,360 55,082Brigham Minerals, Inc. Class A . . . 1,265 27,122Cabot Oil & Gas Corp. . . . . . . . . . 65,983 1,148,764California Resources Corp. (a) (b). . 9,777 88,286Callon Petroleum Co. (a) (b) . . . . . 54,269 262,118Centennial Resource Development,

Inc. Class A (a) . . . . . . . . . . . . 27,867 128,746Cheniere Energy, Inc. (a) . . . . . . . 37,313 2,278,705Chesapeake Energy Corp. (a) (b) . . 132,444 109,346Chevron Corp. . . . . . . . . . . . . . . 269,607 32,490,340


23


Cimarex Energy Co. . . . . . . . . . . 14,654 $ 769,188Clean Energy Fuels Corp. (a) . . . . . 30,124 70,490CNX Resources Corp. (a) . . . . . . . 24,129 213,542Concho Resources, Inc. . . . . . . . . 27,761 2,431,031ConocoPhillips. . . . . . . . . . . . . . 160,629 10,445,704CONSOL Energy, Inc. (a) . . . . . . . 4,541 65,890Contango Oil & Gas Co. (a) (b) . . . 8,460 31,048Contura Energy, Inc. (a) . . . . . . . . 2,665 24,118CVR Energy, Inc. . . . . . . . . . . . . 13,388 541,277Delek US Holdings, Inc. . . . . . . . . 12,337 413,660Denbury Resources, Inc. (a) (b) . . . 90,343 127,384Devon Energy Corp. . . . . . . . . . . 51,304 1,332,365Diamond Shipping, Inc. (a) . . . . . . 2,765 46,286Diamondback Energy, Inc. . . . . . . 23,697 2,200,503Dorian LPG, Ltd. (a) . . . . . . . . . . 4,660 72,137EOG Resources, Inc. . . . . . . . . . . 81,162 6,798,129EQT Corp. . . . . . . . . . . . . . . . . 37,869 412,772Equitrans Midstream Corp. (b) . . . . 36,005 481,027Evolution Petroleum Corp. . . . . . . 4,530 24,779Extraction Oil & Gas, Inc. (a) (b) . . 18,113 38,400Exxon Mobil Corp. . . . . . . . . . . . 600,299 41,888,864Falcon Minerals Corp. . . . . . . . . . 14,290 100,887Goodrich Petroleum Corp. (a) . . . . 1,365 13,705Gran Tierra Energy, Inc. (a) (b). . . . 55,112 71,094Green Plains, Inc. (b) . . . . . . . . . . 6,646 102,548Gulfport Energy Corp. (a) . . . . . . . 17,755 53,975Halcon Resources Corp. (a) . . . . . . 52 699Hallador Energy Co. . . . . . . . . . . 2,250 6,683Hess Corp. . . . . . . . . . . . . . . . . 39,158 2,616,146HighPoint Resources Corp. (a) . . . . 11,404 19,273HollyFrontier Corp. . . . . . . . . . . . 26,397 1,338,592International Seaways, Inc. (a) . . . . 4,450 132,432Jagged Peak Energy, Inc. (a) (b) . . . 8,900 75,561Kinder Morgan, Inc. . . . . . . . . . . 280,902 5,946,695Kosmos Energy, Ltd. . . . . . . . . . . 40,840 232,788Laredo Petroleum, Inc. (a). . . . . . . 28,410 81,537Magnolia Oil & Gas Corp. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 16,134 202,966Marathon Oil Corp. . . . . . . . . . . . 119,413 1,621,629Marathon Petroleum Corp. . . . . . . 92,796 5,590,959Matador Resources Co. (a) (b) . . . . 14,117 253,682Montage Resources Corp. (a) (b) . . 2,565 20,366Murphy Oil Corp. (b). . . . . . . . . . 25,387 680,372NACCO Industries, Inc. Class A . . . 145 6,790Noble Energy, Inc.. . . . . . . . . . . . 74,285 1,845,239Northern Oil and Gas, Inc. (a) (b) . . 34,640 81,058Oasis Petroleum, Inc. (a). . . . . . . . 41,216 134,364Occidental Petroleum Corp.. . . . . . 126,759 5,223,738ONEOK, Inc. . . . . . . . . . . . . . . . 58,759 4,446,294Panhandle Oil and Gas, Inc.

Class A . . . . . . . . . . . . . . . . . 6,570 73,650Par Pacific Holdings, Inc. (a) . . . . . 6,750 156,870Parsley Energy, Inc. Class A . . . . . 36,973 699,159PBF Energy, Inc. Class A . . . . . . . 15,776 494,893PDC Energy, Inc. (a) . . . . . . . . . . 9,221 241,314Peabody Energy Corp. . . . . . . . . . 17,759 161,962


Penn Virginia Corp. (a). . . . . . . . . 2,220 $ 67,377Phillips 66. . . . . . . . . . . . . . . . . 64,413 7,176,252Pioneer Natural Resources Co. . . . . 23,192 3,510,573QEP Resources, Inc. . . . . . . . . . . 34,309 154,390Range Resources Corp. (b) . . . . . . 35,723 173,257Renewable Energy Group, Inc.


(a) . . . . . . . . . . . . . . . . . . . . 142 11,638Ring Energy, Inc. (a) (b) . . . . . . . . 9,000 23,760SandRidge Energy, Inc. (a) . . . . . . 4,550 19,292SilverBow Resources, Inc. (a) . . . . 2,150 21,285SM Energy Co.. . . . . . . . . . . . . . 16,132 181,324Southwestern Energy Co. (a) (b) . . . 84,661 204,880SRC Energy, Inc. (a) . . . . . . . . . . 39,827 164,087Talos Energy, Inc. (a) . . . . . . . . . . 2,390 72,058Targa Resources Corp. . . . . . . . . . 31,866 1,301,089Tellurian, Inc. (a) (b) . . . . . . . . . . 9,230 67,194Unit Corp. (a) . . . . . . . . . . . . . . 9,057 6,300VAALCO Energy, Inc. (a) . . . . . . . 7,960 17,671Valero Energy Corp. . . . . . . . . . . 57,729 5,406,321W&T Offshore, Inc. (a) . . . . . . . . 13,590 75,560Whiting Petroleum Corp. (a) (b) . . . 13,181 96,749Williams Cos., Inc. . . . . . . . . . . . 163,797 3,885,265World Fuel Services Corp. . . . . . . 8,284 359,691WPX Energy, Inc. (a) . . . . . . . . . . 58,525 804,133

163,628,533

PAPER & FOREST PRODUCTS — 0.0% (c)Boise Cascade Co. . . . . . . . . . . . 4,754 173,664Clearwater Paper Corp. (a) . . . . . . 86 1,837Domtar Corp.. . . . . . . . . . . . . . . 9,126 348,978Louisiana-Pacific Corp. . . . . . . . . 21,078 625,384Mercer International, Inc. . . . . . . . 4,665 57,380Neenah, Inc. . . . . . . . . . . . . . . . 2,301 162,059PH Glatfelter Co. . . . . . . . . . . . . 6,757 123,653Resolute Forest Products, Inc. (a) . . 11,335 47,607Schweitzer-Mauduit International,

Inc. . . . . . . . . . . . . . . . . . . . 4,524 189,963Verso Corp. Class A (a) . . . . . . . . 2,500 45,075

1,775,600

PERSONAL PRODUCTS — 0.2%Avon Products, Inc. . . . . . . . . . . . 65,502 369,431Coty, Inc. Class A . . . . . . . . . . . . 31,923 359,134Edgewell Personal Care Co. (a) . . . 7,258 224,708elf Beauty, Inc. (a). . . . . . . . . . . . 2,455 39,599Estee Lauder Cos., Inc. Class A . . . 30,411 6,281,088Inter Parfums, Inc.. . . . . . . . . . . . 2,281 165,852Lifevantage Corp. (a) . . . . . . . . . . 1,865 29,113Medifast, Inc. (b) . . . . . . . . . . . . 2,218 243,048Nature’s Sunshine Products, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,165 19,334Nu Skin Enterprises, Inc. Class A . . 7,040 288,499USANA Health Sciences, Inc. (a) . . 2,297 180,429Veru, Inc. (a) . . . . . . . . . . . . . . . 6,695 22,428


24


Youngevity International, Inc.(a) (b) . . . . . . . . . . . . . . . . . . 2,065 $ 6,732

8,229,395

PHARMACEUTICALS — 4.1%AcelRx Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 12,866 27,147Aerie Pharmaceuticals, Inc. (a) (b) . 4,596 111,085Akorn, Inc. (a) . . . . . . . . . . . . . . 13,821 20,732Amneal Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 11,305 54,490Amphastar Pharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,590 88,541ANI Pharmaceuticals, Inc. (a) . . . . 245 15,109Arvinas Holding Co. LLC (a) . . . . 2,265 93,069Assertio Therapeutics, Inc. (a) . . . . 63 79Axsome Therapeutics, Inc. (a) (b) . . 3,730 385,533BioDelivery Sciences International,

Inc. (a) . . . . . . . . . . . . . . . . . 7,000 44,240Bristol-Myers Squibb Co. . . . . . . . 331,876 21,303,120Cara Therapeutics, Inc. (a) (b) . . . . 4,575 73,703Catalent, Inc. (a) . . . . . . . . . . . . . 19,059 1,073,022cbdMD, Inc. (a) (b) . . . . . . . . . . . 2,965 6,701Cerecor, Inc. (a) . . . . . . . . . . . . . 4,830 26,034Chiasma, Inc. (a) (b) . . . . . . . . . . 4,230 20,981Collegium Pharmaceutical, Inc. (a) . 2,375 48,878Corcept Therapeutics, Inc. (a) (b) . . 16,676 201,780CorMedix, Inc. (a) (b) . . . . . . . . . 3,430 24,970Cymabay Therapeutics, Inc. (a) . . . 4,790 9,388Dermira, Inc. (a) (b) . . . . . . . . . . 7,121 107,954Durect Corp. (a) (b) . . . . . . . . . . . 26,280 99,864Elanco Animal Health, Inc. (a) . . . . 52,822 1,555,608Elanco Animal Health, Inc. (a) (d). . 6,058 —Eli Lilly & Co. . . . . . . . . . . . . . . 121,424 15,958,756Eloxx Pharmaceuticals, Inc. (a) (b) . 2,865 21,086Eton Pharmaceuticals, Inc. (a) . . . . 1,565 11,268Evofem Biosciences, Inc. (a) (b) . . . 4,300 26,531Evolus, Inc. (a) (b) . . . . . . . . . . . 2,365 28,782EyePoint Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 8,960 13,888Fulcrum Therapeutics, Inc. (a) (b) . . 1,665 27,706Harrow Health, Inc. (a) (b) . . . . . . 3,330 25,907Innoviva, Inc. (a). . . . . . . . . . . . . 2,392 33,871Intersect ENT, Inc. (a) . . . . . . . . . 4,470 111,303Intra-Cellular Therapies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 6,678 229,122Johnson & Johnson . . . . . . . . . . . 374,043 54,561,652Kala Pharmaceuticals, Inc. (a) (b) . . 3,630 13,395Kaleido Biosciences, Inc. (a) (b) . . . 1,265 6,350Lannett Co., Inc. (a) (b) . . . . . . . . 2,496 22,015Menlo Therapeutics, Inc. (a) . . . . . 1,765 8,190Merck & Co., Inc. . . . . . . . . . . . . 363,056 33,019,943Mylan NV (a) . . . . . . . . . . . . . . 70,177 1,410,558MyoKardia, Inc. (a) (b) . . . . . . . . 6,640 483,956Nektar Therapeutics (a) (b) . . . . . . 25,741 555,619Ocular Therapeutix, Inc. (a) (b) . . . 2,570 10,152Odonate Therapeutics, Inc. (a) (b) . . 4,130 134,019


Omeros Corp. (a) (b) . . . . . . . . . . 9,151 $ 128,938Optinose, Inc. (a) (b) . . . . . . . . . . 2,265 20,883Pacira BioSciences, Inc. (a) . . . . . . 6,787 307,451Paratek Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,558 10,309Pfizer, Inc. . . . . . . . . . . . . . . . . 784,235 30,726,327Phibro Animal Health Corp.


(a) (b) . . . . . . . . . . . . . . . . . . 7,361 298,121Provention Bio, Inc. (a) (b) . . . . . . 4,430 66,007Reata Pharmaceuticals, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 2,315 473,255Recro Pharma, Inc. (a) . . . . . . . . . 2,250 41,243resTORbio, Inc. (a) (b) . . . . . . . . . 8,547 12,735Revance Therapeutics, Inc. (a) (b) . . 4,436 71,996scPharmaceuticals, Inc. (a) . . . . . . 1,465 8,292SIGA Technologies, Inc. (a) (b) . . . 11,125 53,066Strongbridge Biopharma PLC (a) . . 4,380 9,154Supernus Pharmaceuticals, Inc. (a) . 6,867 162,885TherapeuticsMD, Inc. (a) (b) . . . . . 39,903 96,565Tilray, Inc. Class 2 (a) (b) . . . . . . . 3,165 54,216Tricida, Inc. (a) (b) . . . . . . . . . . . 6,685 252,292Verrica Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 1,765 28,046Xeris Pharmaceuticals, Inc. (a) . . . . 3,230 22,772Zoetis, Inc. . . . . . . . . . . . . . . . . 68,411 9,054,196Zogenix, Inc. (a) (b). . . . . . . . . . . 5,870 306,003Zynerba Pharmaceuticals, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 2,100 12,684

174,382,405

PROFESSIONAL SERVICES — 0.4%Acacia Research Corp. (a). . . . . . . 319 849ASGN, Inc. (a) . . . . . . . . . . . . . . 6,801 482,667Barrett Business Services, Inc. . . . . 162 14,655BG Staffing, Inc. . . . . . . . . . . . . 225 4,925CBIZ, Inc. (a) . . . . . . . . . . . . . . 4,768 128,545CoStar Group, Inc. (a) . . . . . . . . . 5,187 3,103,382CRA International, Inc. . . . . . . . . 234 12,746Equifax, Inc. . . . . . . . . . . . . . . . 18,434 2,582,972Exponent, Inc. . . . . . . . . . . . . . . 8,773 605,425Forrester Research, Inc. . . . . . . . . 2,218 92,491Franklin Covey Co. (a) . . . . . . . . . 2,140 68,972FTI Consulting, Inc. (a) . . . . . . . . 4,682 518,110GP Strategies Corp. (a). . . . . . . . . 2,290 30,297Heidrick & Struggles International,

Inc. . . . . . . . . . . . . . . . . . . . 4,321 140,432Hill International, Inc. (a) . . . . . . . 6,495 20,524Huron Consulting Group, Inc. (a) . . 229 15,737ICF International, Inc. . . . . . . . . . 2,323 212,833InnerWorkings, Inc. (a). . . . . . . . . 6,841 37,694Insperity, Inc. . . . . . . . . . . . . . . . 6,549 563,476Kforce, Inc. . . . . . . . . . . . . . . . . 2,439 96,828Korn Ferry . . . . . . . . . . . . . . . . 6,962 295,189ManpowerGroup, Inc. . . . . . . . . . 9,227 895,942Mistras Group, Inc. (a) . . . . . . . . . 2,288 32,650


25


Nielsen Holdings PLC . . . . . . . . . 53,554 $ 1,087,146Red Violet, Inc. (a) . . . . . . . . . . . 700 12,957Resources Connection, Inc. . . . . . . 4,410 72,015Robert Half International, Inc. . . . . 18,925 1,195,114TransUnion . . . . . . . . . . . . . . . . 27,316 2,338,523TriNet Group, Inc. (a) . . . . . . . . . 6,661 377,079TrueBlue, Inc. (a) . . . . . . . . . . . . 6,632 159,566Upwork, Inc. (a) (b). . . . . . . . . . . 9,060 96,670Verisk Analytics, Inc. . . . . . . . . . . 24,292 3,627,767Willdan Group, Inc. (a) (b) . . . . . . 2,090 66,420

18,990,598


CBRE Group, Inc. Class A (a) . . . . 49,266 3,019,513Consolidated-Tomoka Land Co. . . . 162 9,772Cushman & Wakefield PLC (a) (b) . 25,235 515,803eXp World Holdings, Inc. (a) (b). . . 3,165 35,859Forestar Group, Inc. (a) (b) . . . . . . 2,365 49,310FRP Holdings, Inc. (a) . . . . . . . . . 172 8,567Griffin Industrial Realty, Inc. . . . . . 400 15,820Howard Hughes Corp. (a) . . . . . . . 4,787 606,992Jones Lang LaSalle, Inc. . . . . . . . . 7,607 1,324,303Kennedy-Wilson Holdings, Inc. . . . 16,577 369,667Marcus & Millichap, Inc. (a) . . . . . 261 9,722Maui Land & Pineapple Co., Inc.

(a) . . . . . . . . . . . . . . . . . . . . 130 1,463Newmark Group, Inc. Class A . . . . 11,632 156,509RE/MAX Holdings, Inc. Class A . . 2,553 98,265Realogy Holdings Corp. (b). . . . . . 18,403 178,141Redfin Corp. (a) (b). . . . . . . . . . . 9,265 195,862RMR Group, Inc. Class A . . . . . . . 194 8,854St. Joe Co. (a) (b) . . . . . . . . . . . . 11,189 221,878Tejon Ranch Co. (a). . . . . . . . . . . 6,350 101,473Trinity Place Holdings, Inc. (a). . . . 3,600 10,836

6,938,609

ROAD & RAIL — 1.1%AMERCO. . . . . . . . . . . . . . . . . 1,453 546,066ArcBest Corp. . . . . . . . . . . . . . . 4,402 121,495Avis Budget Group, Inc. (a) . . . . . . 11,667 376,144Covenant Transportation Group,

Inc. Class A (a) . . . . . . . . . . . . 2,170 28,047CSX Corp. . . . . . . . . . . . . . . . . 109,611 7,931,452Daseke, Inc. (a) (b) . . . . . . . . . . . 2,520 7,963Heartland Express, Inc. . . . . . . . . 6,871 144,635Hertz Global Holdings, Inc. (a) . . . 18,370 289,328JB Hunt Transport Services, Inc.. . . 13,147 1,535,307Kansas City Southern. . . . . . . . . . 13,913 2,130,915Knight-Swift Transportation

Holdings, Inc. (b) . . . . . . . . . . 18,022 645,908Landstar System, Inc.. . . . . . . . . . 6,702 763,157Lyft, Inc. Class A (a) (b) . . . . . . . . 27,345 1,176,382Marten Transport, Ltd. . . . . . . . . . 4,787 102,873Norfolk Southern Corp. . . . . . . . . 36,850 7,153,690Old Dominion Freight Line, Inc. . . . 9,239 1,753,377


PAM Transportation Services, Inc.(a) . . . . . . . . . . . . . . . . . . . . 20 $ 1,154

Roadrunner TransportationSystems, Inc. (a) (b) . . . . . . . . . 5,000 46,050

Ryder System, Inc. . . . . . . . . . . . 7,052 382,994Saia, Inc. (a) . . . . . . . . . . . . . . . 4,420 411,590Schneider National, Inc. Class B. . . 10,885 237,511Uber Technologies, Inc. (a) . . . . . . 104,085 3,095,488Union Pacific Corp.. . . . . . . . . . . 99,238 17,941,238Universal Logistics Holdings, Inc.. . 245 4,645US Xpress Enterprises, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 2,965 14,914Werner Enterprises, Inc. . . . . . . . . 6,781 246,761YRC Worldwide, Inc. (a) (b) . . . . . 312 796

47,089,880


ACM Research, Inc. Class A (a) (b). 1,465 27,029Adesto Technologies Corp. (a) (b) . . 2,265 19,252Advanced Energy Industries, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,667 332,290Advanced Micro Devices, Inc. (a) . . 141,371 6,483,274Alpha & Omega Semiconductor,

Ltd. (a) . . . . . . . . . . . . . . . . . 7,080 96,430Ambarella, Inc. (a) . . . . . . . . . . . 4,607 279,000Amkor Technology, Inc. (a) . . . . . . 21,683 281,879Analog Devices, Inc. . . . . . . . . . . 53,072 6,307,076Applied Materials, Inc. . . . . . . . . . 130,280 7,952,291Axcelis Technologies, Inc. (a) . . . . 2,508 60,430AXT, Inc. (a) . . . . . . . . . . . . . . . 4,660 20,271Broadcom, Inc.. . . . . . . . . . . . . . 54,977 17,373,832Brooks Automation, Inc. . . . . . . . . 11,290 473,728Cabot Microelectronics Corp. . . . . 2,733 394,427CEVA, Inc. (a) . . . . . . . . . . . . . . 2,357 63,545Cirrus Logic, Inc. (a) . . . . . . . . . . 9,124 751,909Cohu, Inc. . . . . . . . . . . . . . . . . . 5,164 117,997Cree, Inc. (a) . . . . . . . . . . . . . . . 13,731 633,686CyberOptics Corp. (a) . . . . . . . . . 2,025 37,219Cypress Semiconductor Corp. . . . . 47,324 1,104,069Diodes, Inc. (a). . . . . . . . . . . . . . 4,571 257,667DSP Group, Inc. (a) . . . . . . . . . . . 2,390 37,619Enphase Energy, Inc. (a) (b). . . . . . 11,173 291,950Entegris, Inc. . . . . . . . . . . . . . . . 18,950 949,205Everspin Technologies, Inc. (a) (b) . 2,110 11,099First Solar, Inc. (a) (b) . . . . . . . . . 11,304 632,572FormFactor, Inc. (a) . . . . . . . . . . . 13,254 344,206GSI Technology, Inc. (a) . . . . . . . . 2,240 15,882Ichor Holdings, Ltd. (a) . . . . . . . . 2,280 75,856Impinj, Inc. (a) (b). . . . . . . . . . . . 2,330 60,254Inphi Corp. (a) . . . . . . . . . . . . . . 6,514 482,166Intel Corp.. . . . . . . . . . . . . . . . . 628,273 37,602,139KLA Corp. . . . . . . . . . . . . . . . . 23,334 4,157,419Kulicke & Soffa Industries, Inc. . . . 9,170 249,424Lam Research Corp. . . . . . . . . . . 20,104 5,878,410Lattice Semiconductor Corp. (a) . . . 16,047 307,140


26


MACOM Technology SolutionsHoldings, Inc. (a) (b) . . . . . . . . 6,913 $ 183,886

MagnaChip Semiconductor Corp.(a) . . . . . . . . . . . . . . . . . . . . 4,630 53,754

Maxim Integrated Products, Inc. . . . 39,957 2,457,755MaxLinear, Inc. (a) (b) . . . . . . . . . 10,068 213,643Mellanox Technologies, Ltd. (a) . . . 6,709 786,161Microchip Technology, Inc. (b) . . . . 33,246 3,481,521Micron Technology, Inc. (a) . . . . . . 156,181 8,399,414MKS Instruments, Inc. . . . . . . . . . 6,802 748,288Monolithic Power Systems, Inc. . . . 4,651 827,971NeoPhotonics Corp. (a) . . . . . . . . 4,545 40,087NVE Corp. . . . . . . . . . . . . . . . . 92 6,569NVIDIA Corp. . . . . . . . . . . . . . . 82,652 19,448,016ON Semiconductor Corp. (a) . . . . . 57,566 1,403,459Onto Innovation, Inc. (a) . . . . . . . . 5,972 218,217PDF Solutions, Inc. (a) . . . . . . . . . 4,441 75,008Photronics, Inc. (a) . . . . . . . . . . . 9,132 143,920Pixelworks, Inc. (a) . . . . . . . . . . . 4,380 17,170Power Integrations, Inc. . . . . . . . . 4,488 443,908Qorvo, Inc. (a) . . . . . . . . . . . . . . 16,301 1,894,665QUALCOMM, Inc. . . . . . . . . . . . 161,946 14,288,496Rambus, Inc. (a) . . . . . . . . . . . . . 9,327 128,479Semtech Corp. (a) . . . . . . . . . . . . 9,100 481,390Silicon Laboratories, Inc. (a) . . . . . 4,732 548,817Skyworks Solutions, Inc.. . . . . . . . 25,683 3,104,561SMART Global Holdings, Inc. (a). . 1,765 66,964SolarEdge Technologies, Inc. (a) . . . 4,595 436,939SunPower Corp. (a) (b). . . . . . . . . 19,667 153,403Synaptics, Inc. (a) (b). . . . . . . . . . 6,127 402,973Teradyne, Inc. . . . . . . . . . . . . . . 25,646 1,748,801Texas Instruments, Inc.. . . . . . . . . 133,033 17,066,804Ultra Clean Holdings, Inc. (a) (b) . . 4,705 110,426Universal Display Corp. . . . . . . . . 6,162 1,269,803Veeco Instruments, Inc. (a) . . . . . . 11,417 167,659Xilinx, Inc. . . . . . . . . . . . . . . . . 36,708 3,588,941Xperi Corp. . . . . . . . . . . . . . . . . 6,713 124,190

178,694,700

SOFTWARE — 7.6%2U, Inc. (a) (b) . . . . . . . . . . . . . . 6,855 164,4518x8, Inc. (a) . . . . . . . . . . . . . . . . 13,886 254,114A10 Networks, Inc. (a) . . . . . . . . . 6,925 47,575ACI Worldwide, Inc. (a) . . . . . . . . 16,238 615,177Adobe, Inc. (a) . . . . . . . . . . . . . . 68,951 22,740,729Agilysys, Inc. (a) . . . . . . . . . . . . 2,410 61,238Alarm.com Holdings, Inc. (a). . . . . 5,175 222,370Altair Engineering, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 2,515 90,314Alteryx, Inc. Class A (a) (b). . . . . . 7,510 751,526American Software, Inc. Class A . . 6,521 97,032Anaplan, Inc. (a) . . . . . . . . . . . . . 14,237 746,019ANSYS, Inc. (a) . . . . . . . . . . . . . 11,431 2,942,454Appfolio, Inc. Class A (a) (b) . . . . . 2,769 304,451Appian Corp. (a) (b) . . . . . . . . . . 4,948 189,063Aspen Technology, Inc. (a) . . . . . . 10,962 1,325,635Asure Software, Inc. (a) . . . . . . . . 1,965 16,074


Autodesk, Inc. (a) . . . . . . . . . . . . 31,887 $ 5,849,989Avalara, Inc. (a) . . . . . . . . . . . . . 5,972 437,449Avaya Holdings Corp. (a) . . . . . . . 15,721 212,233Benefitfocus, Inc. (a) (b). . . . . . . . 4,035 88,528Blackbaud, Inc.. . . . . . . . . . . . . . 6,711 534,196Blackline, Inc. (a) . . . . . . . . . . . . 4,455 229,700Bottomline Technologies DE, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 4,767 255,511Box, Inc. Class A (a) . . . . . . . . . . 13,794 231,463Cadence Design Systems, Inc. (a) . . 39,080 2,710,589CDK Global, Inc. . . . . . . . . . . . . 18,862 1,031,374Ceridian HCM Holding, Inc. (a) (b). 12,375 840,015ChannelAdvisor Corp. (a) . . . . . . . 214 1,935Cision, Ltd. (a) . . . . . . . . . . . . . . 8,230 82,053Citrix Systems, Inc. . . . . . . . . . . . 18,109 2,008,288Cloudera, Inc. (a) (b) . . . . . . . . . . 34,747 404,108CommVault Systems, Inc. (a). . . . . 6,901 308,061Cornerstone OnDemand, Inc. (a). . . 9,192 538,192Coupa Software, Inc. (a) (b). . . . . . 8,575 1,254,094Crowdstrike Holdings, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 2,565 127,916Digimarc Corp. (a) (b) . . . . . . . . . 2,160 72,490Digital Turbine, Inc. (a) . . . . . . . . 10,525 75,043DocuSign, Inc. (a) . . . . . . . . . . . . 13,055 967,506Dropbox, Inc. Class A (a) . . . . . . . 25,030 448,287Ebix, Inc. (b) . . . . . . . . . . . . . . . 3,892 130,032eGain Corp. (a) . . . . . . . . . . . . . 3,428 27,150Elastic NV (a) . . . . . . . . . . . . . . 8,580 551,694Envestnet, Inc. (a) . . . . . . . . . . . . 6,730 468,610Everbridge, Inc. (a) (b) . . . . . . . . . 4,943 385,949Fair Isaac Corp. (a) . . . . . . . . . . . 3,886 1,456,006FireEye, Inc. (a) . . . . . . . . . . . . . 26,271 434,260Five9, Inc. (a). . . . . . . . . . . . . . . 7,028 460,896ForeScout Technologies, Inc. (a) (b). 5,661 185,681Fortinet, Inc. (a) . . . . . . . . . . . . . 20,681 2,207,903GlobalSCAPE, Inc. . . . . . . . . . . . 1,465 14,401Guidewire Software, Inc. (a) . . . . . 11,322 1,242,816HubSpot, Inc. (a) . . . . . . . . . . . . 6,198 982,383Ideanomics, Inc. (a) (b) . . . . . . . . 10,525 9,006Instructure, Inc. (a) . . . . . . . . . . . 2,415 116,427Intelligent Systems Corp. (a) . . . . . 800 31,952Intuit, Inc. . . . . . . . . . . . . . . . . . 35,817 9,381,547j2 Global, Inc. . . . . . . . . . . . . . . 6,821 639,196LivePerson, Inc. (a) (b) . . . . . . . . . 4,701 173,937LogMeIn, Inc. . . . . . . . . . . . . . . 6,866 588,691Manhattan Associates, Inc. (a) . . . . 9,303 741,914Medallia, Inc. (a) . . . . . . . . . . . . 8,260 256,969Microsoft Corp. . . . . . . . . . . . . . 1,077,345 169,897,306MicroStrategy, Inc. Class A (a) . . . . 120 17,116Mitek Systems, Inc. (a). . . . . . . . . 4,635 35,458MobileIron, Inc. (a) . . . . . . . . . . . 9,080 44,129Model N, Inc. (a) . . . . . . . . . . . . 2,475 86,798New Relic, Inc. (a) . . . . . . . . . . . 7,126 468,249NortonLifeLock, Inc. . . . . . . . . . . 91,998 2,347,789Nuance Communications, Inc. (a) . . 44,355 790,850Nutanix, Inc. Class A (a). . . . . . . . 20,959 655,178


27


OneSpan, Inc. (a) . . . . . . . . . . . . 4,509 $ 77,194Oracle Corp. . . . . . . . . . . . . . . . 306,607 16,244,039Pagerduty, Inc. (a) (b) . . . . . . . . . 4,430 103,618Palo Alto Networks, Inc. (a). . . . . . 13,461 3,112,856Park City Group, Inc. (a) (b) . . . . . 2,240 11,334Paycom Software, Inc. (a) . . . . . . . 6,968 1,844,848Paylocity Holding Corp. (a) . . . . . . 5,007 604,946Pegasystems, Inc. (b) . . . . . . . . . . 4,407 351,017Pluralsight, Inc. Class A (a) (b). . . . 5,295 91,127Progress Software Corp. . . . . . . . . 6,884 286,030Proofpoint, Inc. (a) . . . . . . . . . . . 6,753 775,109PROS Holdings, Inc. (a) . . . . . . . . 4,414 264,487PTC, Inc. (a) . . . . . . . . . . . . . . . 16,379 1,226,623Q2 Holdings, Inc. (a) (b). . . . . . . . 4,656 377,508QAD, Inc. Class A. . . . . . . . . . . . 200 10,186Qualys, Inc. (a). . . . . . . . . . . . . . 4,705 392,256Rapid7, Inc. (a) . . . . . . . . . . . . . 6,386 357,744RealPage, Inc. (a) (b) . . . . . . . . . . 9,278 498,692RingCentral, Inc. Class A (a) . . . . . 10,058 1,696,483Rosetta Stone, Inc. (a) . . . . . . . . . 2,485 45,078SailPoint Technologies Holding,

Inc. (a) . . . . . . . . . . . . . . . . . 12,428 293,301salesforce.com, Inc. (a). . . . . . . . . 119,436 19,425,071Seachange International, Inc. (a). . . 3,830 16,048SecureWorks Corp. Class A (a) (b) . 1,706 28,422ServiceNow, Inc. (a) . . . . . . . . . . 26,596 7,508,583SharpSpring, Inc. (a) (b) . . . . . . . . 1,509 17,308ShotSpotter, Inc. (a) (b) . . . . . . . . 1,545 39,397Slack Technologies, Inc. Class A

(a) (b) . . . . . . . . . . . . . . . . . . 30,110 676,873Smartsheet, Inc. Class A (a). . . . . . 11,887 533,964Smith Micro Software, Inc. (a) . . . . 4,130 16,437Splunk, Inc. (a). . . . . . . . . . . . . . 21,745 3,256,749SPS Commerce, Inc. (a) . . . . . . . . 3,078 170,583SS&C Technologies Holdings, Inc. . 32,559 1,999,123SVMK, Inc. (a) . . . . . . . . . . . . . 10,880 194,426Synchronoss Technologies, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,930 23,417Synopsys, Inc. (a) . . . . . . . . . . . . 21,980 3,059,616Telaria, Inc. (a) . . . . . . . . . . . . . . 2,476 21,813Telenav, Inc. (a) . . . . . . . . . . . . . 4,675 22,720Tenable Holdings, Inc. (a) . . . . . . . 5,495 131,660Teradata Corp. (a) . . . . . . . . . . . . 17,409 466,039TiVo Corp. . . . . . . . . . . . . . . . . 12,532 106,271Trade Desk, Inc. Class A (a) (b) . . . 4,983 1,294,484Tyler Technologies, Inc. (a) . . . . . . 4,625 1,387,592Upland Software, Inc. (a) (b) . . . . . 2,534 90,489Varonis Systems, Inc. (a) (b) . . . . . 4,321 335,785Verint Systems, Inc. (a) . . . . . . . . 9,067 501,949VirnetX Holding Corp. (a) (b) . . . . 11,771 44,730VMware, Inc. Class A (a) (b) . . . . . 10,744 1,630,832Workday, Inc. Class A (a) . . . . . . . 22,546 3,707,690Workiva, Inc. (a) . . . . . . . . . . . . . 2,435 102,392Yext, Inc. (a) (b) . . . . . . . . . . . . . 9,163 132,130Zendesk, Inc. (a) . . . . . . . . . . . . . 15,389 1,179,259Zix Corp. (a) . . . . . . . . . . . . . . . 6,987 47,372


Zoom Video Communications, Inc.Class A (a) (b) . . . . . . . . . . . . 6,895 $ 469,136

Zscaler, Inc. (a) (b) . . . . . . . . . . . 9,014 419,151Zuora, Inc. Class A (a) . . . . . . . . . 11,402 163,391

321,992,913

SPECIALTY RETAIL — 2.3%Aaron’s, Inc. . . . . . . . . . . . . . . . 11,171 637,976Abercrombie & Fitch Co. Class A . . 6,714 116,085Advance Auto Parts, Inc. . . . . . . . 10,702 1,714,032American Eagle Outfitters, Inc. . . . 25,581 376,041America’s Car-Mart, Inc. (a) . . . . . 172 18,862Asbury Automotive Group, Inc. (a) . 2,727 304,851Ascena Retail Group, Inc. (a) (b) . . 8 65At Home Group, Inc. (a) (b) . . . . . 4,720 25,960AutoNation, Inc. (a). . . . . . . . . . . 13,461 654,608AutoZone, Inc. (a). . . . . . . . . . . . 3,334 3,971,828Barnes & Noble Education, Inc. (a) . 151 645Bed Bath & Beyond, Inc. (b) . . . . . 19,790 342,367Best Buy Co., Inc. . . . . . . . . . . . . 33,501 2,941,388Big 5 Sporting Goods Corp. . . . . . 21 63Boot Barn Holdings, Inc. (a) . . . . . 2,275 101,306Buckle, Inc. (b) . . . . . . . . . . . . . 257 6,949Burlington Stores, Inc. (a) . . . . . . . 9,565 2,181,107Caleres, Inc. . . . . . . . . . . . . . . . 6,697 159,054Camping World Holdings, Inc.

Class A . . . . . . . . . . . . . . . . . 2,475 36,482CarMax, Inc. (a) . . . . . . . . . . . . . 24,234 2,124,595Carvana Co. (a) (b) . . . . . . . . . . . 4,703 432,911Cato Corp. Class A . . . . . . . . . . . 4,952 86,165Chico’s FAS, Inc. . . . . . . . . . . . . 644 2,454Children’s Place, Inc. (b) . . . . . . . 2,399 149,985Citi Trends, Inc. . . . . . . . . . . . . . 2,202 50,910Conn’s, Inc. (a) (b) . . . . . . . . . . . 249 3,085Container Store Group, Inc. (a) (b) . 2,320 9,790Designer Brands, Inc. Class A (b) . . 11,219 176,587Dick’s Sporting Goods, Inc. (b) . . . 11,176 553,100Express, Inc. (a) . . . . . . . . . . . . . 2,309 11,245Five Below, Inc. (a) . . . . . . . . . . . 7,029 898,728Floor & Decor Holdings, Inc.

Class A (a) (b) . . . . . . . . . . . . 10,780 547,732Foot Locker, Inc.. . . . . . . . . . . . . 15,160 591,088GameStop Corp. Class A (b) . . . . . 12,847 78,110Gap, Inc.. . . . . . . . . . . . . . . . . . 33,836 598,221Genesco, Inc. (a). . . . . . . . . . . . . 86 4,121GNC Holdings, Inc. Class A (a) (b) . 430 1,161Group 1 Automotive, Inc. . . . . . . . 2,399 239,900Guess?, Inc. (b) . . . . . . . . . . . . . 7,021 157,130Haverty Furniture Cos., Inc. . . . . . 2,364 47,658Hibbett Sports, Inc. (a) . . . . . . . . . 107 3,000Home Depot, Inc. . . . . . . . . . . . . 155,193 33,891,047Kirkland’s, Inc. (a) (b) . . . . . . . . . 58 72L Brands, Inc. . . . . . . . . . . . . . . 35,531 643,822Lithia Motors, Inc. Class A . . . . . . 2,824 415,128Lowe’s Cos., Inc. . . . . . . . . . . . . 110,403 13,221,863Lumber Liquidators Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 229 2,237


28


MarineMax, Inc. (a). . . . . . . . . . . 2,441 $ 40,740Michaels Cos., Inc. (a) (b) . . . . . . . 16,085 130,128Monro, Inc. (b). . . . . . . . . . . . . . 4,684 366,289Murphy USA, Inc. (a) . . . . . . . . . 3,195 373,815National Vision Holdings, Inc. (a) . . 5,680 184,202Office Depot, Inc. . . . . . . . . . . . . 57,770 158,290O’Reilly Automotive, Inc. (a). . . . . 10,406 4,560,534Party City Holdco, Inc. (a) (b) . . . . 7,660 17,924Penske Automotive Group, Inc. (b) . 4,667 234,377Rent-A-Center, Inc. . . . . . . . . . . . 4,600 132,664RH (a) . . . . . . . . . . . . . . . . . . . 2,174 464,149Ross Stores, Inc. . . . . . . . . . . . . . 49,359 5,746,375Sally Beauty Holdings, Inc. (a) (b) . 17,813 325,087Shoe Carnival, Inc. (b) . . . . . . . . . 2,208 82,314Sleep Number Corp. (a) . . . . . . . . 6,910 340,248Sonic Automotive, Inc. Class A (b) . 4,617 143,127Sportsman’s Warehouse Holdings,

Inc. (a) . . . . . . . . . . . . . . . . . 6,267 50,324Tailored Brands, Inc. (b) . . . . . . . . 2,240 9,274Tiffany & Co.. . . . . . . . . . . . . . . 18,356 2,453,279Tilly’s, Inc. Class A . . . . . . . . . . . 2,180 26,705TJX Cos., Inc. . . . . . . . . . . . . . . 174,462 10,652,650Tractor Supply Co. . . . . . . . . . . . 18,378 1,717,240Ulta Salon Cosmetics & Fragrance,

Inc. (a) . . . . . . . . . . . . . . . . . 8,289 2,098,277Urban Outfitters, Inc. (a) (b) . . . . . 10,831 300,777Williams-Sonoma, Inc. (b) . . . . . . 11,450 840,888Winmark Corp. . . . . . . . . . . . . . 59 11,700Zumiez, Inc. (a) . . . . . . . . . . . . . 159 5,492

99,998,383


3D Systems Corp. (a) (b) . . . . . . . 11,566 101,202Apple, Inc. . . . . . . . . . . . . . . . . 641,488 188,372,951AstroNova, Inc. . . . . . . . . . . . . . 900 12,348Avid Technology, Inc. (a) (b) . . . . . 4,700 40,326Dell Technologies, Inc. Class C (a) . 31,886 1,638,622Diebold Nixdorf, Inc. (a) (b) . . . . . 11,164 117,892Eastman Kodak Co. (a). . . . . . . . . 6,565 30,527Hewlett Packard Enterprise Co. . . . 179,090 2,840,367HP, Inc. . . . . . . . . . . . . . . . . . . 204,751 4,207,633Immersion Corp. (a) . . . . . . . . . . 151 1,122Intevac, Inc. (a) . . . . . . . . . . . . . 2,400 16,944NCR Corp. (a) (b) . . . . . . . . . . . . 18,087 635,939NetApp, Inc. . . . . . . . . . . . . . . . 36,040 2,243,490Pure Storage, Inc. Class A (a). . . . . 29,937 512,222Stratasys, Ltd. (a) . . . . . . . . . . . . 4,928 99,669Western Digital Corp. . . . . . . . . . 40,663 2,580,881Xerox Holdings Corp. . . . . . . . . . 33,871 1,248,824

204,700,959


Carter’s, Inc. . . . . . . . . . . . . . . . 6,813 744,933Centric Brands, Inc. (a) (b) . . . . . . 4,600 9,982Columbia Sportswear Co. . . . . . . . 4,498 450,655


Crocs, Inc. (a) . . . . . . . . . . . . . . 11,568 $ 484,584Culp, Inc. . . . . . . . . . . . . . . . . . 2,150 29,283Deckers Outdoor Corp. (a) . . . . . . 4,596 776,081Delta Apparel, Inc. (a) . . . . . . . . . 140 4,354Fossil Group, Inc. (a) (b). . . . . . . . 8,998 70,904G-III Apparel Group, Ltd. (a) . . . . . 6,746 225,991Hanesbrands, Inc. (b) . . . . . . . . . . 53,962 801,336Kontoor Brands, Inc. (a) (b). . . . . . 8,267 347,131Levi Strauss & Co. Class A (b) . . . . 6,495 125,289Lululemon Athletica, Inc. (a) . . . . . 15,341 3,554,049Movado Group, Inc.. . . . . . . . . . . 2,281 49,589NIKE, Inc. Class B . . . . . . . . . . . 173,290 17,556,010Oxford Industries, Inc. (b) . . . . . . . 2,281 172,033PVH Corp. . . . . . . . . . . . . . . . . 11,309 1,189,141Ralph Lauren Corp. . . . . . . . . . . . 8,298 972,692Rocky Brands, Inc. . . . . . . . . . . . 900 26,487Skechers U.S.A., Inc. Class A (a) . . 16,518 713,412Steven Madden, Ltd. . . . . . . . . . . 13,205 567,947Superior Group of Cos., Inc. . . . . . 245 3,317Tapestry, Inc. . . . . . . . . . . . . . . . 42,516 1,146,657Under Armour, Inc. Class A (a) (b) . 26,609 574,754Unifi, Inc. (a). . . . . . . . . . . . . . . 2,278 57,542Vera Bradley, Inc. (a) . . . . . . . . . . 151 1,782VF Corp. . . . . . . . . . . . . . . . . . 57,574 5,737,825Wolverine World Wide, Inc. . . . . . . 13,646 460,416

36,854,176

THRIFTS & MORTGAGE FINANCE — 0.2%Axos Financial, Inc. (a) . . . . . . . . 9,172 277,728Bridgewater Bancshares, Inc. (a). . . 3,065 42,236Capitol Federal Financial, Inc. . . . . 20,740 284,760Columbia Financial, Inc. (a) . . . . . 7,295 123,577Entegra Financial Corp. (a) . . . . . . 900 27,144ESSA Bancorp, Inc. . . . . . . . . . . 2,120 35,934Federal Agricultural Mortgage

Corp. Class C . . . . . . . . . . . . . 158 13,193First Defiance Financial Corp. (b) . . 4,171 131,345Flagstar Bancorp, Inc. . . . . . . . . . 2,429 92,909FS Bancorp, Inc.. . . . . . . . . . . . . 500 31,895Greene County Bancorp, Inc. . . . . . 500 14,395Home Bancorp, Inc. . . . . . . . . . . 150 5,879HomeStreet, Inc. (a) . . . . . . . . . . 4,382 148,988Impac Mortgage Holdings, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 1,765 9,284Kearny Financial Corp. . . . . . . . . 13,971 193,219LendingTree, Inc. (a) (b). . . . . . . . 1,422 431,492Luther Burbank Corp. . . . . . . . . . 6,000 69,180Merchants Bancorp . . . . . . . . . . . 1,265 24,933Meridian Bancorp, Inc.. . . . . . . . . 6,920 139,023Meta Financial Group, Inc. . . . . . . 670 24,462MGIC Investment Corp. . . . . . . . . 58,057 822,668MMA Capital Holdings, Inc. (a) . . . 600 19,080Mr Cooper Group, Inc. (a). . . . . . . 16,739 209,405New York Community Bancorp,

Inc. . . . . . . . . . . . . . . . . . . . 74,324 893,374NMI Holdings, Inc. Class A (a) . . . 6,895 228,776Northfield Bancorp, Inc.. . . . . . . . 6,975 118,296


29


Northwest Bancshares, Inc. . . . . . . 13,828 $ 229,960OceanFirst Financial Corp. . . . . . . 5,067 129,411Ocwen Financial Corp. (a) . . . . . . 4,882 6,688OP Bancorp. . . . . . . . . . . . . . . . 1,865 19,340PCSB Financial Corp. . . . . . . . . . 2,165 43,841PennyMac Financial Services, Inc. . 6,858 233,446Ponce de Leon Federal Bank (a) . . . 1,000 14,700Provident Bancorp, Inc. (a) . . . . . . 1,265 15,749Provident Financial Holdings, Inc.. . 130 2,847Provident Financial Services, Inc. . . 9,011 222,121Radian Group, Inc. . . . . . . . . . . . 28,567 718,746Riverview Bancorp, Inc. . . . . . . . . 2,360 19,376Sachem Capital Corp. . . . . . . . . . 2,565 11,132Severn Bancorp, Inc. . . . . . . . . . . 1,365 12,708Southern Missouri Bancorp, Inc. . . 215 8,247Sterling Bancorp, Inc. . . . . . . . . . 2,165 17,536Territorial Bancorp, Inc. . . . . . . . . 223 6,900Timberland Bancorp, Inc. . . . . . . . 150 4,461TrustCo Bank Corp. NY . . . . . . . . 13,568 117,635United Community Financial Corp. . 6,800 79,288Walker & Dunlop, Inc. . . . . . . . . . 4,431 286,597Washington Federal, Inc.. . . . . . . . 13,766 504,524Waterstone Financial, Inc. . . . . . . . 2,505 47,670Western New England Bancorp,

Inc. . . . . . . . . . . . . . . . . . . . 4,460 42,950WSFS Financial Corp. . . . . . . . . . 7,144 314,265

7,523,313

TOBACCO — 0.8%22nd Century Group, Inc. (a) (b). . . 13,670 15,037Altria Group, Inc. . . . . . . . . . . . . 263,837 13,168,105Philip Morris International, Inc. . . . 219,980 18,718,098Pyxus International, Inc. (a) (b) . . . 1,165 10,415Turning Point Brands, Inc. (b) . . . . 2,290 65,494Universal Corp. . . . . . . . . . . . . . 4,420 252,205Vector Group, Ltd. (b) . . . . . . . . . 20,893 279,757

32,509,111


Air Lease Corp. . . . . . . . . . . . . . 13,900 660,528Aircastle, Ltd. . . . . . . . . . . . . . . 9,035 289,210Applied Industrial Technologies,

Inc. . . . . . . . . . . . . . . . . . . . 6,227 415,279Beacon Roofing Supply, Inc. (a) . . . 9,127 291,881BlueLinx Holdings, Inc. (a) (b). . . . 1,265 18,026BMC Stock Holdings, Inc. (a) . . . . 9,160 262,800CAI International, Inc. (a) . . . . . . . 2,212 64,104DXP Enterprises, Inc. (a) . . . . . . . 94 3,742EVI Industries, Inc. (b). . . . . . . . . 600 16,224Fastenal Co.. . . . . . . . . . . . . . . . 84,403 3,118,691Foundation Building Materials, Inc.

(a) . . . . . . . . . . . . . . . . . . . . 2,330 45,085GATX Corp. (b) . . . . . . . . . . . . . 6,656 551,450General Finance Corp. (a) . . . . . . . 2,160 23,911GMS, Inc. (a). . . . . . . . . . . . . . . 4,535 122,808H&E Equipment Services, Inc.. . . . 4,529 151,404


HD Supply Holdings, Inc. (a). . . . . 27,812 $ 1,118,599Herc Holdings, Inc. (a) . . . . . . . . . 4,521 221,258Kaman Corp. . . . . . . . . . . . . . . . 4,444 292,948Lawson Products, Inc. (a) . . . . . . . 215 11,202MRC Global, Inc. (a) . . . . . . . . . . 2,429 33,132MSC Industrial Direct Co., Inc.

Class A . . . . . . . . . . . . . . . . . 6,741 528,966Nesco Holdings, Inc. (a) . . . . . . . . 2,065 8,487NOW, Inc. (a). . . . . . . . . . . . . . . 7,921 89,032Rush Enterprises, Inc. Class A . . . . 2,602 120,993Rush Enterprises, Inc. Class B . . . . 80 3,656SiteOne Landscape Supply, Inc.

(a) (b) . . . . . . . . . . . . . . . . . . 4,704 426,418Systemax, Inc. . . . . . . . . . . . . . . 2,170 54,597Titan Machinery, Inc. (a). . . . . . . . 2,361 34,896Transcat, Inc. (a). . . . . . . . . . . . . 900 28,674United Rentals, Inc. (a). . . . . . . . . 11,394 1,900,177Univar, Inc. (a) . . . . . . . . . . . . . . 18,773 455,058Veritiv Corp. (a) . . . . . . . . . . . . . 2,156 42,409W.W. Grainger, Inc. . . . . . . . . . . . 6,620 2,241,002Watsco, Inc.. . . . . . . . . . . . . . . . 4,530 816,079WESCO International, Inc. (a) . . . . 6,757 401,298Willis Lease Finance Corp. (a) . . . . 70 4,124

14,868,148

TRANSPORTATION INFRASTRUCTURE —0.0% (c)

Macquarie Infrastructure Corp. . . . 13,464 576,798

WATER UTILITIES — 0.2%American States Water Co. . . . . . . 6,213 538,294American Water Works Co., Inc. . . . 24,187 2,971,373Aqua America, Inc. . . . . . . . . . . . 31,959 1,500,156Cadiz, Inc. (a) (b) . . . . . . . . . . . . 16,460 181,389California Water Service Group . . . 6,918 356,692Global Water Resources, Inc. . . . . . 15,260 200,669Middlesex Water Co. . . . . . . . . . . 2,220 141,125SJW Group . . . . . . . . . . . . . . . . 4,150 294,899York Water Co. . . . . . . . . . . . . . . 5,650 260,522

6,445,119


Boingo Wireless, Inc. (a) . . . . . . . 4,705 51,520Gogo, Inc. (a) (b) . . . . . . . . . . . . 323 2,067NII Holdings, Inc. (a) (b) . . . . . . . 11,225 24,358Shenandoah Telecommunications

Co. . . . . . . . . . . . . . . . . . . . 6,884 286,443Spok Holdings, Inc. . . . . . . . . . . . 2,374 29,034Telephone & Data Systems, Inc. . . . 13,875 352,841T-Mobile US, Inc. (a) . . . . . . . . . . 44,555 3,494,003United States Cellular Corp. (a) . . . 2,228 80,721

4,320,987



30


PREFERRED STOCKS —0.0% (c)

DIVERSIFIEDTELECOMMUNICATIONSERVICES — 0.0% (c)

GCI Liberty, Inc. 7.00%(Cost $14) . . . . . . . . . . . . . 1 $ 27

RIGHTS — 0.0% (c)BIOTECHNOLOGY — 0.0%Alder Biopharmaceuticals, Inc.

(a) . . . . . . . . . . . . . . . . . . 2,364 2,080

CHEMICALS — 0.0% (c)A Schulman, Inc. (CVR) (a). . . . 2,701 1,413

DIVERSIFIED FINANCIALSERVICES — 0.0% (c)

NewStar Financial, Inc. (CVR)(a) . . . . . . . . . . . . . . . . . . 875 211

MEDIA — 0.0% (c)Media General, Inc. (CVR) (a) . . 1,318 132

PHARMACEUTICALS —0.0% (c)

Corium International, Inc. (CVR)(a) (b) . . . . . . . . . . . . . . . . 3,134 564

TOTAL RIGHTS(Cost $4,026) . . . . . . . . . . . 4,400



(expiring 09/09/20) (a) (d) . . . 310 —Halcon Resources Corp.

(expiring 09/09/20) (a) (d) . . . 248 —Halcon Resources Corp.

(expiring 09/09/20) (a) (b) . . . 398 —

TOTAL WARRANTS(Cost $0) . . . . . . . . . . . . . . —



Reserves Fund, Premier Class1.73% (e) (f). . . . . . . . . . . . 3,221,194 $ 3,221,516

State Street Navigator SecuritiesLending Portfolio II (g) (h). . . 31,277,037 31,277,037




NET ASSETS — 100.0%. . . . . . . . . . . . . . . . . $ 4,258,361,527


December 31, 2019.(c) Amount is less than 0.05% of net assets.(d) Fair valued as determined in good faith by the Trust’s Oversight

Committee in accordance with policy and procedures approved bythe Board of Trustees. Security value is determined based onLevel 3 inputs. As of December 31, 2019, total aggregate fairvalue of the security is $0, representing 0.00% of the Fund’s netassets.








ExpirationDate






During the period ended December 31, 2019, average notional value related to futures contracts was $8,193,577 or 0% of netassets.


31



Quoted Prices




ASSETS:INVESTMENTS:Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,249,514,961 $ 360 $ 0(a) $4,249,515,321

Preferred Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 — — 27

Rights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — 4,400 — 4,400

Warrants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . — — 0(a) 0







(a) The Fund held a Level 3 security that was valued at $0 at December 31, 2019.(b) Futures Contracts are valued at unrealized appreciation (depreciation).

Affiliate Table


at6/30/19

Value at6/30/19

Cost ofPurchases

Proceedsfrom

Shares SoldRealized

Gain (Loss)

Change inUnrealized



at12/31/19

Value at12/31/19

DividendIncome





Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $20,962,575 $212,768,750 $199,233,899 $1,034 $93 $34,498,553 $299,485


32 ARSPTM

Semi Annual Report - SSGA · SPDR PORTFOLIOS&P 500 ETF PORTFOLIO STATISTICS (UNAUDITED) Top Ten...

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Transcript of Semi Annual Report - SSGA · SPDR PORTFOLIOS&P 500 ETF PORTFOLIO STATISTICS (UNAUDITED) Top Ten...