StateStreetUKEquityTracker Fund Annual Report...Securities lending Ireland Tri-party 16,554...

State Street UK Equity TrackerFund

Report and Financial Statements (unaudited)For the six month period ended 30th June 2020

ContentsPage

Manager's Report* 1

Portfolio Statement* 8

Director's Report to Unitholders* 32

Comparative Table* 33

Financial statements: 34

Statement of Total Return 34

Statement of Change in Net Assets Attributable to Unitholders 34

Balance Sheet 35

Notes to the Financial Statements 36

Distribution Tables 37

Directory* 38

* These collectively comprise the Manager’s Report.

State Street UK Equity Tracker Fund

Authorised StatusThe State Street UK Equity Tracker Fund (the “Fund”) is an Authorised Unit Trust Scheme as defined in section 243 of theFinancial Services and Markets Act 2000 and it is a UCITS Retail Scheme within the meaning of the FCA CollectiveInvestment Schemes sourcebook. The unitholders are not liable for the debts of the Fund.

Investment Objective and PolicyThe objective of the Fund is to replicate, as closely as possible, and on a “gross of fees” basis, the return of the UnitedKingdom equity market as represented by the FTSE All-Share Index (the “Index”).

The Manager will seek to achieve this objective principally by investing in the shares of certain companies included fromtime to time in the Index considered by the Investment Adviser to reflect accurately the performance of that Index. TheFund may also invest in transferrable securities, money market instruments, warrants, units in collective investmentschemes, deposits and derivatives.

The Fund may invest in collective investment schemes managed or operated by companies in the same group as theManager or the Investment Adviser. The Fund will seek to track the performance of the Index whilst seeking to minimiseas far as possible the tracking error between the Fund’s performance and that of the Index.

StrategyThe Fund investment objective is to track, on a gross of fees basis, the performance of the FTSE All-Share Index (the“Index”). The Fund is managed on a fully replicated basis, and currently has a portfolio of approximately 621 stocks. Theemphasis is on maintaining tracking precision, and a combination of stocks is selected to minimise deviation from theindex. The Fund is managed to remain neutral on all factors contributing to risk.

PerformanceFor the 6month period ended 30 June 2020 (the “Reporting Period”), the Fund returned on a net basis -17.51%, comparedto the Index return of -17.51%. The tracking difference was therefore Nil and within the target tolerance.

Market ReviewOver the Reporting Period, the spread of coronavirus COVID-19 caused an unprecedented shock to global financialmarkets. The outbreak of coronavirus COVID-19 and the declaration of a worldwide pandemic led to social distancingmeasures, temporary lock-downs, quarantines andmobility restrictions, inflicting significant harm to the global economy.The drop in oil prices due to the breakdown in OPEC negotiations further exacerbated matters, leading to aggressivesell-offs by equity markets resulting in high levels of volatility.

The UK formally exited the European Union on 31 January 2020 and entered into a transition period until the end of theyear. As a part of the policy response to the coronavirus COVID-19 pandemic, the UK announced a coordinated responsewith the Bank of England by reducing the bank rate by 50 basis points (among other measures). In addition, the UKgovernment put forth a budget with an additional £30 billion in fiscal stimulus. The UKmarkets saw a rebound in April onthe back of unprecedented fiscal and monetary support early in the quarter.

UK equities performed well during Q2 as economic stimulus actions together with signs the coronavirus COVID-19outbreak was easing drew buyers into equity markets. The government eased lockdown measures in May followed by aphased reopening of various industry sectors. In June, primary schools and other non-essential retailers began to reopenwhilst the Bank of England added another £100 billion to its quantitative easing program in a bid to shore up the UKeconomy amid the fallout from the coronavirus COVID-19 crisis. The UK Flash Purchasing Manager’s Index (PMI) rose to50.1 in June, suggesting a stabilization in operating conditions following the recent steep downturn caused by thecoronavirus COVID-19 pandemic.


Manager’s ReportFor the six month period ended 30th June 2020

1

Outlook

The coordination of policy response by central banks and governments globally was helpful during the outbreak ofcoronavirus COVID-19. Whilst the number of coronavirus COVID-19 cases have started to rise, with the phased reopeningof businesses, the global economy looks set to return to growth in 2021 following this year’s steep decline. Our coreassumption is that a second wave will not result in broad lockdowns, and by late 2020/early 2021 the most vulnerablegroups would have access to medical solutions, the global economy should rebound, leading us to have a positive outlookfor equities moving forward.

Index ActivityThe Index is subject to a rebalance in March, June, September and December. In March there was one inclusion (OctopusRenewables Infrastructure Trust), three exclusions, one up weight and two down weights. In June there were seveninclusions (the largest being Calisen), nine exclusions, three up weights and six down weights.

Figures in USD unless specified otherwise. For Institutional Use Only – Not for Use with the Public.

Sources: Bloomberg, FactSet, J.P. Morgan, Financial Times, Barron’s, Bank of America-Merrill Lynch, Credit Suisse, Citigroup, The Wall Street Journal, MSCI, as of

1 July 2020.

Risk and Reward Profile

Risk DisclaimerThe risk category above is not ameasure of capital loss or gains but of how significant the rises and falls in the Fund’s returnhave been historically.

For example a fundwhose return has experienced significant rises and falls will be in a higher risk category, whereas a fundwhose return has experienced less significant rises and falls will be in a lower risk category.

The lowest category (i.e. category 1) does not mean that a fund is a risk free investment.

As the Fund’s risk category has been calculated using historical data, it may not be a reliable indication of the Fund’s futurerisk profile.

The Fund’s risk category shown is not guaranteed and may change in the future.

Why is this Fund in this category?The Fund is in risk category 5 as its return has experienced medium rises and falls historically.

The following are material risks relevant to the Fund which are not adequately captured by the risk category.

Index Tracking Risk: The Fund’s performance may not exactly track the Index. This can result from marketfluctuations, changes in the composition of the Index, transaction costs, the costs ofmaking changes to the Fund’s portfolioand other Fund expenses.

Liquidity Risk: It may be difficult for the Fund to buy or sell certain investments in difficult market conditions.Consequently the price obtained when selling securities may be lower than under normal market conditions.

Concentration Risk: A Fund that purchases a limited number of securities, or only securities of a limited number ofcountries or industries, may experience higher changes in value than a fund that does not limit its investments.


Manager's Report (continued)For the six month period ended 30th June 2020

2

Counterparty Risk: Other financial institutions provide services to the Fund, acting as a counterparty to financialderivative transactions. There is a risk that these institutions may not be able to perform their obligations. This couldreduce the value of the Fund’s investments.

Derivatives UsageDerivatives are used in the Fund for efficient portfoliomanagement purposes. The Fund invests in index futures tomanageclient inflows and outflows and to hedge accrued income. At all times the futures exposure is covered entirely by cash orcash equivalents.

As at 30th June 2020, the Fund had a total notional exposure to futures of £30,676,025.

Tracking ErrorThe Tracking Error measures the standard deviation of the relative returns. It is the annualised standard deviation of thereturns of a fund minus those of its benchmark (relative returns) and not the standard deviation of each fund’s uniquereturns. The lower the tracking error of a fund, themore the fund resembles its benchmark or themarket regarding risk andreturn characteristics.

The size of the Fund’s tracking error for the twelvemonths ended 30th June 2020was 0.05%whichwaswithin the targetedtolerance.

DistributionThere will be a distribution of 3.5573 pence per unit payable on 31st August 2020 (31.8.19: 5.7982).


Manager's Report (continued)For the six month period ended 30th June 2020

3

Securities Financing Transactions (SFT)

1) Global Data

Proportion of securities and commodities on loan as at 30th June 2020 £'000 %

Total lendable assets excluding cash and cash equivalents: 7,213,088

Securities and commodities on loan 176,097 2.44%

Assets engaged in SFTs and total return swaps as at 30th June 2020 £'000 %

Fund assets under management (AUM) 7,684,277

Absolute value of assets engaged in:

Securities lending 176,097 2.29%

2) Concentration Data

Top 10 Collateral IssuersName and value of collateral and commodities received as at 30th June 2020 £'000

SoftBank 15,407

Government of United Kingdom 13,026

Republic of France 10,994

Federal Republic of Germany 8,331

United States of America Treasury 7,914

Kingdom of Netherlands 6,936

Intercontinental Exchange 6,701

Kingdom of Belgium 6,598

Fast Retailing 4,686

Nippon Telegraph and Telephone 4,472


Manager's Report (continued)As at 30th June 2020

4

Top 10 CounterpartiesName and value of outstanding transactions as at 30th June 2020 £'000

JP Morgan Securities 51,251

Barclays Capital Securities 35,875

UBS 15,517

Credit Suisse (Dublin) 15,029

Societe Generale 14,226

ING Bank 12,330

Merrill Lynch 11,272

Deutsche Bank 5,454

Citigroup Global Markets (UK) 5,098

Morgan Stanley International 5,094



5

3) Aggregate Transaction Data

Type, Quality and Currency of Collateral as at 30th June 2020

Type Quality Currency £'000

Securities lending

Equity Traded on recognised exchange Sterling 3,363

Equity Traded on recognised exchange Australian dollar 7,503

Equity Traded on recognised exchange Canadian dollar 8,532

Equity Traded on recognised exchange Chinese yuan 786

Equity Traded on recognised exchange Danish krone 1,195

Equity Traded on recognised exchange Euro 31,360

Equity Traded on recognised exchange Hong Kong dollar 6,478

Equity Traded on recognised exchange Japanese yen 40,831

Equity Traded on recognised exchange New Zealand dollar 1,351

Equity Traded on recognised exchange Norwegian krone 226

Equity Traded on recognised exchange Singapore dollar 5,444

Equity Traded on recognised exchange South African rand 4,024

Equity Traded on recognised exchange Swedish krona 685

Equity Traded on recognised exchange Swiss franc 555

Equity Traded on recognised exchange US dollar 20,369

Fixed Income Investment Grade Sterling 13,026

Fixed Income Investment Grade Canadian dollar 1,918

Fixed Income Investment Grade Danish krone 12

Fixed Income Investment Grade Euro 34,640

Fixed Income Investment Grade Swedish krona 4

Investment Grade US dollar 7,914

Total Collateral held 190,216

Maturity Tenor of Collateral (remaining period to maturity) as at 30th June 2020

Less thanone day

One dayto

one week

One weekto onemonth

One tothree

months

Threemonths to

one year

Aboveone

yearOpen

maturity Total

Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000

Securities lending - - 340 467 3,629 53,078 132,702 190,216

- - 340 467 3,629 53,078 132,702 190,216



6

Counterparty details as at 30th June 2020

TypeCountry of counterpartyestablishment Settlement and clearing £'000

Securities lending Australia Tri-party 370

Securities lending France Tri-party 15,387

Securities lending Germany Tri-party 5,769

Securities lending Ireland Tri-party 16,554

Securities lending Netherlands Tri-party 13,343

Securities lending Switzerland Tri-party 16,636

Securities lending United Kingdom Tri-party 122,157

Total collateral held 190,216

Maturity Tenor of SFTs and Total Return Swaps (remaining period to maturity) as at 30th June 2020

Less thanone day

One dayto

one week

One weekto onemonth

One tothree

months

Threemonths to

one year

Aboveone

yearOpen

maturity Total

Type £'000 £'000 £'000 £'000 £'000 £'000 £'000 £'000

Securities lending - - - - - - 176,097 176,097

- - - - - - 176,097 176,097

4) Re-use of Collateral

The Fund does not engage in re-use of collateral.

5) Safekeeping of Collateral Received

Names and value of custodians safekeeping collateral as at 30th June 2020 £'000

Bank of New York 101,683

JP Morgan 88,533

Number of custodians safekeeping collateral 2

6) Safekeeping of Collateral Granted

The Fund does not borrow stock from counterparties; therefore, no collateral has been granted.



7

HoldingsMarket Value

£'000% of Total

Net Assets

Aerospace & Defence – 1.50% (31.12.2019 – 1.97%)

Avon Rubber 108,651 3,477 0.05

Babcock International 1,979,648 6,141 0.08

BAE Systems 12,599,390 60,906 0.79

Chemring 1,080,948 2,616 0.03

Meggitt 3,087,386 9,086 0.12

QinetiQ 2,184,996 6,498 0.09

Rolls-Royce 7,078,915 20,203 0.26

Senior 1,543,070 1,078 0.01

Ultra Electronics 269,137 5,377 0.07

115,382 1.50

Automobiles & Parts – 0.03% (31.12.2019 – 0.04%)

Aston Martin Lagonda Global 1,921,459 949 0.01

TI Fluid Systems 890,736 1,652 0.02

2,601 0.03

Banks – 7.23% (31.12.2019 – 9.66%#)

Bank of Georgia 281,738 3,015 0.04

Barclays 67,651,107 77,406 1.01

Close Brothers 578,682 6,394 0.08

HSBC 80,512,157 304,819 3.97

Investec 2,612,382 4,219 0.05

Lloyds Banking 275,206,352 85,796 1.12

Metro Bank 618,677 649 0.01

Royal Bank of Scotland 17,877,981 21,740 0.28

Standard Chartered 10,361,036 45,599 0.59

TBC Bank 133,648 1,195 0.02

Virgin Money 4,862,523 4,479 0.06

555,311 7.23

Beverages – 3.55% (31.12.2019 – 3.45%)

A.G. Barr 304,574 1,375 0.02


Portfolio StatementAs at 30th June 2020

8


£'000% of Total

Net Assets

Beverages – 3.55% (31.12.2019 – 3.45%) (continued)

Britvic 1,041,157 8,017 0.10

C&C 1,198,119 2,755 0.04

Coca-Cola HBC 764,737 15,509 0.20

Diageo 9,075,000 243,346 3.17

Stock Spirits 732,816 1,715 0.02

272,717 3.55

Chemicals – 0.71% (31.12.2019 – 0.70%)

Croda International 488,749 25,689 0.33

Elementis 2,255,265 1,453 0.02

Johnson Matthey 768,509 16,123 0.21

Synthomer 1,308,510 3,643 0.05

Treatt 223,886 1,116 0.01

Victrex 314,442 6,147 0.08

Zotefoams 155,444 544 0.01

54,715 0.71

Construction & Materials – 1.49% (31.12.2019 – 1.41%#)

Balfour Beatty 2,634,175 6,870 0.09

Costain 564,729 401 0.00

CRH 3,137,142 86,271 1.12

Forterra 753,747 1,515 0.02

Galliford Try 357,673 423 0.01

Ibstock 1,493,725 2,686 0.03

Keller 280,202 1,777 0.02

Kier 552,210 539 0.01

Marshalls 769,304 4,739 0.06

Morgan Sindall 156,004 1,922 0.02

Norcros 265,621 406 0.01

Polypipe 824,284 3,565 0.05

SIG 2,330,346 711 0.01

SIG* 582,585 - 0.00


Portfolio Statement (continued)As at 30th June 2020

9


£'000% of Total

Net Assets

Construction & Materials – 1.49% (31.12.2019 – 1.41%#) (continued)

Tyman 722,521 1,371 0.02

Volution 714,360 1,329 0.02

114,525 1.49

Electricity – 0.79% (31.12.2019 – 0.68%)

ContourGlobal 695,326 1,321 0.02

Drax 1,521,597 3,913 0.05

SSE 4,074,503 55,597 0.72

60,831 0.79

Electronic & Electrical Equipment – 0.81% (31.12.2019 – 0.66%)

Dialight 89,488 300 0.00

DiscoverIE 332,931 1,704 0.02

Halma 1,491,033 34,338 0.45

Luceco 234,704 221 0.00

Morgan Advanced Materials 1,085,785 2,617 0.04

Oxford Instruments 203,716 2,913 0.04

Renishaw 132,572 5,335 0.07

Spectris 455,175 11,493 0.15

TT Electronics 610,154 1,004 0.01

XP Power 56,866 2,019 0.03

61,944 0.81

Equity Investment Instruments – 6.38% (31.12.2019 – 5.32%)

3i Infrastructure 2,302,244 6,734 0.09

Aberdeen Asian Income Fund 656,195 1,194 0.02

Aberdeen Diversified Income & Growth Trust 1,249,034 1,157 0.02

Aberdeen New Dawn Investment Trust 418,360 1,025 0.01

Aberdeen New India Investment Trust 224,946 909 0.01

Aberdeen Standard Asia Focus Trust 125,648 1,219 0.02

Aberdeen Standard Equity Income Trust 173,223 468 0.01

Aberdeen Standard European Logistics Income 837,395 879 0.01



10


£'000% of Total

Net Assets

Equity Investment Instruments – 6.38% (31.12.2019 – 5.32%) (continued)

Aberforth Smaller Companies Trust 352,294 3,255 0.04

Aberforth Split Level Income Trust 714,871 338 0.00

Alcentra European Floating Rate Income Fund 317,575 277 0.00

Alliance Trust 1,281,206 10,032 0.13

Allianz Technology Trust 212,973 4,803 0.06

Apax Global Alpha 1,017,964 1,431 0.02

Artemis Alpha Trust 114,194 314 0.00

Asia Dragon Trust 508,321 2,023 0.03

Augmentum Fintech Fund 113,023 120 0.00

Aurora Investment Trust 120,000 202 0.00

AVI Global Trust 422,130 2,892 0.04

AVI Japan Opportunity Trust 200,000 206 0.00

Baillie Gifford European Growth Trust 136,062 1,415 0.02

Baillie Gifford Japan Trust 357,243 2,797 0.04

Baillie Gifford Shin Nippon 1,072,738 2,068 0.03

Baillie Gifford UK Growth Fund 565,705 1,027 0.01

Baillie Gifford US Growth Trust 964,071 2,044 0.03

Bankers Investment Trust 497,189 4,932 0.06

BB Healthcare Trust 2,265,521 3,670 0.05

BBGI SICAV 2,477,459 4,038 0.05

BH Global 77,679 1,433 0.02

BHMacro 55,348 1,943 0.03

Biotech Growth Trust 156,489 1,947 0.03

BlackRock Frontiers Investment Trust 914,354 881 0.01

BlackRock Greater Europe Investment Trust 313,281 1,322 0.02

BlackRock Latin American Investment Trust 131,183 445 0.01

BlackRock North American Income Trust 434,609 656 0.01

BlackRock Smaller Companies Trust 191,461 2,443 0.03

BlackRock Throgmorton Trust 302,809 1,696 0.02

BlackRock World Mining Trust 684,280 2,573 0.03

Bluefield Solar Income Fund 1,422,693 1,914 0.03

BMO Capital & Income Investment Trust 385,472 1,002 0.01

BMO Global Smaller Companies Fund 2,789,539 3,253 0.04

BMO Private Equity Trust 286,804 912 0.01

Brunner Investment Trust 112,226 855 0.01



11


£'000% of Total

Net Assets


Caledonia Investments 125,369 3,285 0.04

Capital Gearing Trust 51,025 2,255 0.03

CC Japan Income & Growth Trust 512,639 605 0.01

City Merchants High Yield Trust 352,737 623 0.01

City of London Investment Trust 1,561,372 5,309 0.07

CQS New City High Yield Fund 1,585,237 763 0.01

CVC Credit Partners European Opportunities 957,374 852 0.01

Dexion Absolute~ 261,043 - 0.00

Dexion Equity Alternative~ 4,852 - 0.00

Diverse Income Trust 1,292,967 1,060 0.01

Dunedin Income Growth Investment Trust 563,862 1,443 0.02

Ecofin Global Utilities and Infrastructure Trust 353,371 580 0.01

Edinburgh Investment Trust 688,227 3,193 0.04

Edinburgh Worldwide Investment Trust 1,443,028 3,766 0.05

Electra Private Equity 69,433 133 0.00

EP Global Opportunities Trust 125,366 336 0.00

European Assets Trust 1,487,590 1,443 0.02

European Opportunities Trust 410,770 2,859 0.04

F&C Investment Trust 2,140,741 14,621 0.19

Fidelity Asian Values Voting Shares 278,579 894 0.01

Fidelity China Special Situations 1,422,745 3,934 0.05

Fidelity European Trust 1,620,449 4,213 0.05

Fidelity Japan Trust 511,685 906 0.01

Fidelity Special Values 757,909 1,429 0.02

Finsbury Growth & Income Trust 801,624 6,645 0.09

Foresight Solar Fund 2,324,847 2,534 0.03

Fundsmith Emerging Equities Trust 133,063 1,464 0.02

Gabelli Value Plus + Trust 180,000 198 0.00

GCP Asset Backed Income Fund 1,735,705 1,533 0.02

GCP Infrastructure Investments 3,462,882 3,885 0.05

Genesis Emerging Markets Fund 466,963 3,353 0.04

Greencoat UKWind Fund 5,885,333 8,440 0.11

HarbourVest Global Private Equity 310,037 4,880 0.06

Henderson Alternative Strategies Trust 143,343 398 0.01

Henderson Diversified Income Trust 684,389 576 0.01



12


£'000% of Total

Net Assets


Henderson European Focus Trust 80,882 979 0.01

Henderson EuroTrust 76,325 939 0.01

Henderson Far East Income 536,575 1,712 0.02

Henderson High Income Trust 449,320 647 0.01

Henderson International Income Trust 701,316 1,024 0.01

Henderson Smaller Companies Investment Trust 293,984 2,275 0.03

Herald Investment Trust 264,287 4,059 0.05

HgCapital Trust 1,481,261 3,488 0.05

Hicl Infrastructure 7,336,477 12,677 0.17

Hipgnosis Songs Fund 2,424,675 2,813 0.04

ICG Enterprise Trust 265,101 1,988 0.03

ICG-Longbow Senior Secured UK Property Debt Investments 412,566 295 0.00

Impax Environmental Markets 1,006,602 3,181 0.04

Independent Investment Trust 112,791 447 0.01

International Biotechnology Trust 144,971 1,113 0.01

International Public Partnerships 6,388,918 10,733 0.14

Invesco Asia Trust 258,095 705 0.01

Invesco Income Growth Trust 216,051 501 0.01

Invesco UK Smaller Companies Investment Trust 169,993 653 0.01

JLEN Environmental Assets 1,919,886 2,265 0.03

JPMorgan American Investment Trust 825,776 3,964 0.05

JPMorgan Asia Growth & Income 361,692 1,443 0.02

JPMorgan China Growth & Income 273,355 1,230 0.02

JPMorgan Claverhouse Investment Trust 212,035 1,204 0.02

JPMorgan Emerging Markets Investment Trust 475,670 4,728 0.06

JPMorgan European Investment Trust - Growth 261,698 696 0.01

JPMorgan European Investment Trust - Income 322,736 378 0.01

JPMorgan European Smaller Companies Trust 606,382 2,044 0.03

JPMorgan Global Core Real Assets 750,000 818 0.01

JPMorgan Global Emerging Markets Income Trust 1,093,004 1,216 0.02

JPMorgan Global Growth & Income 520,614 1,749 0.02

JPMorgan Indian Investment Trust 349,838 1,917 0.03

JPMorgan Japan Smaller Companies Trust 196,303 876 0.01

JPMorgan Japanese Investment Trust 622,670 3,369 0.04

JPMorgan Mid Cap Investment Trust 84,547 749 0.01



13


£'000% of Total

Net Assets


JPMorgan Russian Securities 170,052 1,048 0.01

JPMorgan Smaller Companies Investment Trust 302,485 676 0.01

JPMorgan US Smaller Companies Investment Trust 225,892 675 0.01

Jupiter US Smaller Companies 45,994 433 0.01

Keystone Investment Trust 237,135 593 0.01

Law Debenture 460,556 2,381 0.03

Lindsell Train Investment Trust 667 800 0.01

Lowland Investment 99,130 971 0.01

M&G Credit Income Investment Trust 250,000 255 0.00

Majedie Investments 110,544 210 0.00

Manchester & London Investment Trust 43,890 281 0.00

Martin Currie Global Portfolio Trust 314,846 1,004 0.01

Mercantile Investment Trust 3,074,105 5,822 0.08

Merchants Trust 429,549 1,660 0.02

Merian Chrysalis Investment 1,255,453 1,438 0.02

Mid Wynd International Investment Trust 174,670 1,069 0.01

Middlefield Canadian Income 365,937 298 0.00

Monks Investment Trust 867,161 9,157 0.12

Montanaro European Smaller Companies Trust 87,070 1,040 0.01

Montanaro UK Smaller Companies Investment Trust 811,830 861 0.01

Murray Income Trust 251,295 1,930 0.03

Murray International Trust 483,488 4,806 0.06

NB Global Floating Rate Income Fund 2,031,784 1,674 0.02

NB Private Equity Partners 177,011 1,643 0.02

NextEnergy Solar Fund 2,237,526 2,394 0.03

North American Income Trust 524,131 1,242 0.02

North Atlantic Smaller Companies Investment Trust 40,389 1,131 0.01

Octopus Renewables Infrastructure Trust 1,983,606 2,226 0.03

Pacific Assets Trust 452,745 1,195 0.02

Pacific Horizon Investment Trust 228,162 1,093 0.01

Pantheon International 211,840 4,118 0.05

Perpetual Income and Growth Investment Trust 817,831 1,844 0.02

Pershing Square 853,112 16,124 0.21

Personal Assets Trust 10,011 4,435 0.06

Polar Capital Global Financials Trust 771,580 841 0.01



14


£'000% of Total

Net Assets


Polar Capital Global Healthcare Trust 457,961 1,085 0.01

Polar Capital Technology Trust 518,225 10,546 0.14

Pollen Street Secured Lending 295,624 2,158 0.03

Renewables Infrastructure 6,327,738 7,998 0.10

RIT Capital Partners 498,643 8,906 0.12

Riverstone Energy 135,535 508 0.01

Ruffer Investment 705,100 1,706 0.02

Schroder Asia Pacific Fund 643,309 3,011 0.04

Schroder Asian Total Return Investment 377,361 1,385 0.02

Schroder Income Growth Fund 347,681 859 0.01

Schroder Japan Growth Fund 475,741 823 0.01

Schroder Oriental Income Fund 1,064,293 2,389 0.03

Schroder UK Mid Cap Fund 137,664 606 0.01

Schroder UK Public Private 3,456,604 881 0.01

Scottish American Investment 577,646 2,380 0.03

Scottish Investment Trust 293,206 2,199 0.03

Scottish Mortgage Investment Trust 5,755,252 47,193 0.61

Scottish Oriental Smaller Companies Trust 111,219 910 0.01

Sdcl Energy Efficiency Income Trust 1,231,464 1,312 0.02

Securities Trust of Scotland 514,672 991 0.01

Sequoia Economic Infrastructure Income Fund 6,066,196 6,309 0.08

SME Credit Realisation Fund 862,391 466 0.01

Smithson Investment Trust 440,028 6,468 0.08

SQN Asset Finance Income Fund 567,926 324 0.00

SQN Asset Finance Income Fund Voting Rights 1,222,476 390 0.01

Standard Life Private Equity Trust 286,971 818 0.01

Standard Life UK Smaller Companies Trust 385,854 1,860 0.02

Starwood European Real Estate Finance 1,627,528 1,406 0.02

Strategic Equity Capital 224,237 439 0.01

Syncona 1,833,974 4,521 0.06

Temple Bar Investment Trust 254,197 1,955 0.03

Templeton Emerging Markets Investment Trust 939,529 7,291 0.10

TR European Growth Trust 197,247 1,665 0.02

TR Property Investment Trust 1,249,195 4,166 0.05

Troy Income & Growth Trust 1,231,837 909 0.01



15


£'000% of Total

Net Assets


TwentyFour Income Fund 1,915,369 1,935 0.03

TwentyFour Select Monthly Income Fund 704,650 606 0.01

Utilico Emerging Markets Trust 664,203 1,182 0.02

Value and Income Trust 113,898 191 0.00

Vietnam Enterprise Investments 756,499 3,143 0.04

VinaCapital Vietnam Opportunity Fund 687,906 2,263 0.03

Witan Investment Trust 3,342,585 6,150 0.08

Witan Pacific Investment Trust 215,509 741 0.01

Worldwide Healthcare Trust 208,483 7,526 0.10

489,965 6.38

Financial Services – 4.32% (31.12.2019 – 3.79%#)

3i 3,748,227 31,208 0.41

AJ Bell 1,128,053 4,360 0.06

Allied Minds 782,497 259 0.00

Amigo 423,383 25 0.00

Arrow Global 485,502 432 0.01

Ashmore 1,801,336 7,515 0.10

Brewin Dolphin 1,140,586 2,971 0.04

City of London Investment 71,554 274 0.00

CMCMarkets 411,476 1,099 0.01

Georgia Capital 142,384 662 0.01

Hargreaves Lansdown 1,408,970 22,945 0.30

IG 1,427,890 11,680 0.15

IntegraFin 1,090,122 4,993 0.07

Intermediate Capital 1,093,694 14,098 0.18

International Personal Finance 736,146 385 0.01

IP 3,950,257 2,524 0.03

John Laing 1,942,099 6,766 0.09

JTC 409,784 1,901 0.02

Jupiter Fund Management 1,631,509 4,180 0.05

Liontrust Asset Management 206,812 2,699 0.04

London Stock Exchange 1,232,802 103,038 1.34

M&G 10,230,399 17,141 0.22



16


£'000% of Total

Net Assets

Financial Services – 4.32% (31.12.2019 – 3.79%#) (continued)

Man 5,841,557 7,632 0.10

Ninety One 1,306,191 2,691 0.04

OneSavings Bank 1,467,241 3,894 0.05

Paragon Banking 995,846 3,485 0.05

Plus500 406,758 5,351 0.07

Provident Financial 974,577 1,717 0.02

PureTech Health 581,477 1,544 0.02

Quilter 7,218,270 10,044 0.13

Rathbone Brothers 217,384 3,087 0.04

Real Estate Credit Investments 844,257 1,055 0.01

River & Mercantile 165,336 310 0.00

S&U 10,175 163 0.00

Sanne 523,570 3,299 0.04

Schroders 439,499 12,961 0.17

Standard Life Aberdeen 9,122,605 24,412 0.32

TP 2,219,175 7,785 0.10

VPC Specialty Lending Investments Fund 1,202,208 793 0.01

XPS Pensions 661,025 760 0.01

332,138 4.32

Fixed Line Telecommunications – 0.58% (31.12.2019 – 0.76%)

BT 34,377,349 39,207 0.51

TalkTalk Telecom 2,573,661 2,204 0.03

Telecom Plus 222,093 3,163 0.04

44,574 0.58

Food & Drug Retailers – 2.07% (31.12.2019 – 1.70%)

Greggs 382,012 6,189 0.08

J Sainsbury 6,392,655 13,342 0.17

Ocado 1,780,789 36,114 0.47



17


£'000% of Total

Net Assets

Food & Drug Retailers – 2.07% (31.12.2019 – 1.70%) (continued)

Tesco 38,074,930 86,849 1.13

WmMorrison Supermarkets 8,685,009 16,549 0.22

159,043 2.07

Food Producers – 0.71% (31.12.2019 – 0.73%)

Anglo-Eastern Plantations 63,515 316 0.00

Associated British Foods 1,368,264 26,202 0.34

Bakkavor 484,876 343 0.01

Carr's 285,979 314 0.00

Cranswick 198,968 7,199 0.09

Devro 615,410 930 0.01

Greencore 1,709,460 2,150 0.03

Hilton Food 245,874 3,108 0.04

Premier Foods 2,729,148 1,910 0.03

Tate & Lyle 1,838,920 12,277 0.16

54,749 0.71

Forestry & Paper – 0.37% (31.12.2019 – 0.36%)

Mondi 1,907,022 28,806 0.37

28,806 0.37

Gas, Water & Multiutilities – 2.74% (31.12.2019 – 2.25%)

Centrica 22,933,793 8,839 0.12

National Grid 13,691,077 135,432 1.76

Pennon 1,651,466 18,480 0.24

Severn Trent 935,026 23,179 0.30

United Utilities 2,685,267 24,441 0.32

210,371 2.74

General Industrials – 1.53% (31.12.2019 – 1.59%#)

Bunzl 1,323,643 28,670 0.37



18


£'000% of Total

Net Assets

General Industrials – 1.53% (31.12.2019 – 1.59%#) (continued)

Coats 5,489,655 3,074 0.04

DS Smith 5,014,564 16,458 0.21

Macfarlane 558,594 399 0.01

Melrose Industries 18,936,422 21,588 0.28

Smiths 1,559,054 22,014 0.29

Smurfit Kappa 935,639 25,075 0.33

117,278 1.53

General Retailers – 2.19% (31.12.2019 – 1.86%#)

AA 2,370,720 542 0.01

AOWorld 1,124,199 1,619 0.02

B&M European Value Retail 3,350,638 13,319 0.17

Card Factory 1,232,331 616 0.01

DFS Furniture 768,602 1,267 0.02

Dignity 178,378 445 0.01

Dixons Carphone 3,855,316 3,464 0.04

Dunelm 375,612 4,470 0.06

Frasers 726,699 2,221 0.03

Halfords 778,968 1,184 0.02

HomeServe 1,075,149 14,031 0.18

Howden Joinery 2,269,259 12,544 0.16

JD Sports Fashion 1,664,227 10,355 0.13

Just Eat Takeaway.com (Amsterdam listing) 120,377 10,150 0.13

Just Eat Takeaway.com (London listing) 343,241 28,976 0.38

Kingfisher 8,309,264 18,347 0.24

Lookers 1,211,831 254 0.00

Marks & Spencer 7,676,647 7,600 0.10

Motorpoint 248,949 640 0.01

Next 501,932 24,564 0.32

Pendragon 4,457,767 401 0.00

Pets at Home 1,866,800 4,462 0.06

Studio Retail 210,617 467 0.01

Topps Tiles 587,519 261 0.00



19


£'000% of Total

Net Assets

General Retailers – 2.19% (31.12.2019 – 1.86%#) (continued)

Vivo Energy 1,752,682 1,414 0.02

WH Smith 427,054 4,685 0.06

168,298 2.19

Health Care Equipment & Services – 1.00% (31.12.2019 – 1.04%)

ConvaTec 5,775,337 11,297 0.15

Georgia Healthcare 101,742 98 0.00

Medica 353,914 452 0.01

Mediclinic International 1,781,727 4,714 0.06

Smith & Nephew 3,444,619 51,859 0.67

Spire Healthcare 1,053,995 897 0.01

UDG Healthcare 1,056,740 7,587 0.10

76,904 1.00

Household Goods & Home Construction – 3.97% (31.12.2019 – 3.35%)

Barratt Developments 3,967,792 19,676 0.26

Bellway 485,149 12,352 0.16

Berkeley 460,604 19,184 0.25

Countryside Properties 1,774,721 5,874 0.08

Crest Nicholson 950,649 1,880 0.02

Headlam 318,175 904 0.01

McBride 687,758 429 0.01

McCarthy & Stone 2,000,570 1,420 0.02

MJ Gleeson 180,520 1,188 0.01

Persimmon 1,247,372 28,515 0.37

Reckitt Benckiser 2,475,323 183,966 2.39

Redrow 895,729 3,859 0.05

Taylor Wimpey 13,920,758 19,851 0.26

Vistry 862,622 6,129 0.08

305,227 3.97



20


£'000% of Total

Net Assets

Industrial Engineering – 1.02% (31.12.2019 – 0.95%#)

Bodycote 726,963 4,562 0.06

Goodwin 10,098 313 0.00

Hill & Smith 311,094 3,870 0.05

IMI 1,040,110 9,595 0.13

Porvair 138,129 771 0.01

Rhi Magnesita 113,773 2,796 0.04

Rotork 3,371,148 9,439 0.12

Severfield 2,299,476 1,403 0.02

Spirax-Sarco Engineering 289,076 28,838 0.38

Trifast 1,413,176 1,604 0.02

Vesuvius 825,045 3,198 0.04

Vitec 166,716 1,127 0.01

Weir 1,004,670 10,685 0.14

78,201 1.02

Industrial Metals & Mining – 0.11% (31.12.2019 – 0.12%)

Evraz 2,151,506 6,205 0.08

Ferrexpo 1,131,450 1,962 0.02

Kenmare Resources 267,856 536 0.01

8,703 0.11

Industrial Transportation – 0.25% (31.12.2019 – 0.29%)

Clarkson 96,040 2,156 0.03

James Fisher & Sons 157,197 2,144 0.03

Royal Mail 3,521,555 6,418 0.08

Signature Aviation 3,163,448 7,336 0.09

Stobart 1,418,088 491 0.01

Wincanton 446,274 830 0.01

19,375 0.25



21


£'000% of Total

Net Assets

Leisure Goods – 0.14% (31.12.2019 – 0.09%)

Games Workshop 125,106 10,027 0.13

Photo-Me International 827,229 454 0.01

10,481 0.14

Life Insurance – 3.32% (31.12.2019 – 3.45%)

Aviva 15,370,406 42,053 0.55

Chesnara 569,248 1,645 0.02

Just 3,951,825 2,075 0.03

Legal & General 23,300,932 51,472 0.67

Phoenix 2,070,197 13,332 0.17

Prudential 10,230,399 124,657 1.62

St. James's Place 2,059,294 19,621 0.26

254,855 3.32

Media – 3.74% (31.12.2019 – 3.73%)

4imprint 106,646 2,629 0.03

Ascential 1,553,301 4,498 0.06

Auto Trader 3,575,943 18,824 0.25

Bloomsbury Publishing 254,468 509 0.01

Euromoney Institutional Investor 418,130 3,282 0.04

Future 382,598 4,882 0.06

GoCo 1,122,674 1,082 0.01

Hyve 973,684 964 0.01

Informa 5,886,621 27,691 0.36

ITV 14,663,499 10,951 0.14

Moneysupermarket.com 2,000,909 6,475 0.09

Pearson 3,022,863 17,406 0.23

Reach 996,935 768 0.01

RELX 7,398,192 138,346 1.80

Rightmove 3,439,290 18,778 0.25



22


£'000% of Total

Net Assets

Media – 3.74% (31.12.2019 – 3.73%) (continued)

STV 102,475 239 0.00

WPP 4,721,878 29,785 0.39

287,109 3.74

Mining – 7.16% (31.12.2019 – 6.25%)

Anglo American 4,854,572 90,751 1.18

Antofagasta 1,364,625 12,795 0.17

BHP 8,184,423 135,403 1.76

Centamin 4,251,505 7,797 0.10

Fresnillo 715,239 6,018 0.08

Glencore 42,637,060 73,003 0.95

Hochschild Mining 983,812 1,911 0.02

KAZ Minerals 869,771 4,349 0.06

Petropavlovsk 11,237,963 2,821 0.04

Polymetal International 1,328,273 21,458 0.28

Rio Tinto 4,266,326 194,075 2.52

550,381 7.16

Mobile Telecommunications – 1.85% (31.12.2019 – 1.67%)

Airtel Africa 3,132,216 1,958 0.02

Helios Towers 2,913,247 4,329 0.06

Vodafone 105,658,496 136,151 1.77

142,438 1.85

Nonequity Investment Instruments – 0.00% (31.12.2019 – 0.00%)

Tapestry Investment~ 4 - 0.00

0.00 0.00

Nonlife Insurance – 1.11% (31.12.2019 – 1.02%)

Admiral 809,500 18,611 0.24

Beazley 2,341,335 9,600 0.13



23


£'000% of Total

Net Assets

Nonlife Insurance – 1.11% (31.12.2019 – 1.02%) (continued)

Direct Line Insurance 5,416,596 14,679 0.19

Hastings 1,195,230 2,304 0.03

Hiscox 1,296,515 10,224 0.13

Lancashire 1,132,128 9,159 0.12

RSA Insurance 4,052,541 16,607 0.22

Sabre Insurance 1,462,483 3,861 0.05

85,045 1.11

Oil & Gas Producers – 8.31% (31.12.2019 – 11.45%)

BP 78,408,868 240,872 3.14

Cairn Energy 2,919,434 3,439 0.05

Energean 380,306 2,339 0.03

EnQuest 5,897,153 847 0.01

Pharos Energy 855,922 152 0.00

Premier Oil 3,105,455 1,601 0.02

Royal Dutch Shell 'A' Shares 16,238,842 208,994 2.72

Royal Dutch Shell 'B' Shares 14,573,226 178,376 2.32

Tullow Oil 5,228,293 1,657 0.02

638,277 8.31

Oil Equipment, Services & Distribution – 0.10% (31.12.2019 – 0.18%)

Hunting 529,372 1,126 0.01

John Wood 2,608,934 5,057 0.07

Petrofac 993,316 1,771 0.02

7,954 0.10

Personal Goods – 2.80% (31.12.2019 – 2.38%)

Burberry 1,579,294 25,261 0.33

PZ Cussons 707,992 1,308 0.02

Superdry 221,209 313 0.00

Ted Baker 143,401 121 0.00



24


£'000% of Total

Net Assets

Personal Goods – 2.80% (31.12.2019 – 2.38%) (continued)

Unilever 4,287,567 186,723 2.43

Watches of Switzerland 465,830 1,307 0.02

215,033 2.80

Pharmaceuticals & Biotechnology – 10.34% (31.12.2019 – 8.13%)

AstraZeneca 5,166,401 435,062 5.66

Dechra Pharmaceuticals 391,676 11,147 0.14

Genus 252,154 8,906 0.12

GlaxoSmithKline 19,488,326 318,946 4.15

Hikma Pharmaceuticals 647,821 14,381 0.19

Indivior 2,703,428 2,244 0.03

Oxford Biomedica 215,069 1,508 0.02

Vectura 2,368,386 2,300 0.03

794,494 10.34

Real Estate Investment & Services – 0.34% (31.12.2019 – 0.37%#)

CLS 593,404 1,098 0.01

Foxtons 843,110 325 0.00

Grainger 2,543,862 7,275 0.09

Harworth 587,634 605 0.01

Helical 365,624 1,130 0.02

Henry Boot 367,660 930 0.01

LSL Property Services 330,290 661 0.01

Phoenix Spree Deutschland 315,850 933 0.01

Raven Russia 1,526,209 510 0.01

Savills 512,701 4,230 0.06

Sirius Real Estate 3,697,980 2,818 0.04

St Modwen Properties 679,144 2,346 0.03

Tritax EuroBox 1,624,945 1,657 0.02

U & I 416,085 327 0.00

Urban & Civic 522,013 1,216 0.02

26,061 0.34



25


£'000% of Total

Net Assets

Real Estate Investment Trusts – 2.40% (31.12.2019 – 2.56%#)

AEW UK REIT 552,650 368 0.00

Assura 9,672,441 7,593 0.10

Big Yellow 625,920 6,284 0.08

BMO Commercial Property Trust 1,939,629 1,222 0.02

BMO Real Estate Investments 802,269 449 0.01

British Land 3,695,899 14,281 0.19

Capital & Counties Properties 2,842,288 4,153 0.05

Capital & Regional 104,710 89 0.00

Civitas Social Housing 2,393,759 2,624 0.03

Custodian Reit 1,454,198 1,322 0.02

Derwent London 399,742 11,097 0.14

Ediston Property Investment 815,605 440 0.01

Empiric Student Property 2,252,724 1,304 0.02

GCP Student Living 2,090,928 2,593 0.03

Great Portland Estates 997,128 6,302 0.08

Hammerson 2,914,411 2,339 0.03

Impact Healthcare Reit 917,406 879 0.01

Intu Properties 3,033,999 54 0.00

Land Securities 2,804,561 15,509 0.20

LondonMetric Property 3,329,205 7,011 0.09

LXI REIT 2,021,158 2,280 0.03

McKay Securities 322,871 581 0.01

NewRiver REIT 1,155,897 726 0.01

Palace Capital 134,188 230 0.00

Picton Property Income 2,102,898 1,428 0.02

Primary Health Properties 4,937,989 7,733 0.10

RDI REIT 973,633 803 0.01

Regional REIT 1,355,439 962 0.01

Residential Secure Income 616,536 548 0.01

Safestore 805,061 5,845 0.08

Schroder European Real Estate Investment Trust 366,791 262 0.00

Schroder Real Estate Investment Trust 1,949,682 590 0.01

Segro 4,585,710 41,042 0.53

Shaftesbury 863,180 4,553 0.06

Standard Life Investment Property Income Trust 1,559,727 945 0.01



26


£'000% of Total

Net Assets

Real Estate Investment Trusts – 2.40% (31.12.2019 – 2.56%#) (continued)

Target Healthcare REIT 1,739,396 1,913 0.03

Triple Point Social Housing Reit 1,172,288 1,149 0.02

Tritax Big Box REIT 7,032,419 10,197 0.13

UK Commercial Property REIT 2,713,095 1,622 0.02

UNITE 1,269,371 11,932 0.16

Workspace 523,165 3,419 0.04

184,673 2.40

Software & Computer Services – 0.98% (31.12.2019 – 1.03%)

Alfa Financial Software 314,502 228 0.00

Aptitude Software 206,282 722 0.01

Avast 2,101,803 11,108 0.14

AVEVA 249,916 10,227 0.13

Computacenter 280,081 4,596 0.06

FDM 325,746 2,945 0.04

Funding Circle 566,580 387 0.01

Kainos 209,391 1,568 0.02

Micro Focus International 1,271,209 5,492 0.07

NCC 979,276 1,737 0.02

RM 180,000 428 0.01

Sage 4,277,711 28,738 0.37

SDL 338,036 1,690 0.02

Softcat 532,211 5,801 0.08

75,667 0.98

Support Services – 5.44% (31.12.2019 – 4.99%#)

Aggreko 933,076 4,132 0.05

Ashtead 1,768,608 48,089 0.63

Biffa 689,560 1,386 0.02

Calisen 300,000 541 0.01

Capita 8,552,968 3,772 0.05

Clipper Logistics 256,004 755 0.01

DCC 387,073 26,050 0.34



27


£'000% of Total

Net Assets

Support Services – 5.44% (31.12.2019 – 4.99%#) (continued)

De La Rue 334,062 434 0.01

De La Rue* 146,150 - 0.00

Diploma 434,610 7,801 0.10

DWF 319,536 158 0.00

Electrocomponents 1,747,150 11,723 0.15

Equiniti 1,275,906 1,855 0.02

Essentra 1,004,772 2,924 0.04

Experian 3,571,732 100,687 1.31

Ferguson 892,775 59,030 0.77

Finablr 580,236 32 0.00

G4S 6,092,513 6,942 0.09

Grafton 842,410 5,560 0.07

Hays 5,898,889 7,020 0.09

Inchcape 1,667,496 8,171 0.11

Intertek 635,063 34,547 0.45

IWG 2,895,170 7,672 0.10

John Menzies 240,880 301 0.00

Kin & Carta 567,051 348 0.00

Mears 421,140 665 0.01

Mitie 1,365,905 1,138 0.02

Network International 1,711,431 7,547 0.10

Pagegroup 1,227,392 4,642 0.06

PayPoint 252,341 1,512 0.02

Redde Northgate 964,662 1,601 0.02

Renewi 2,040,749 535 0.01

Rentokil Initial 7,284,022 37,119 0.48

Ricardo 204,574 857 0.01

Robert Walters 261,437 1,046 0.01

RPS 747,194 364 0.00

Serco 4,669,160 7,121 0.09

Speedy Hire 1,968,138 1,114 0.01

SThree 473,161 1,278 0.02



28


£'000% of Total

Net Assets

Support Services – 5.44% (31.12.2019 – 4.99%#) (continued)

Travis Perkins 993,281 11,179 0.15

Vp 54,245 411 0.01

418,059 5.44

Technology Hardware & Equipment – 0.09% (31.12.2019 – 0.07%)

BATM Advanced Communications 1,324,049 1,319 0.02

Spirent Communications 2,339,553 5,638 0.07

6,957 0.09

Tobacco – 4.38% (31.12.2019 – 3.80%)

British American Tobacco 8,984,015 278,909 3.63

Imperial Brands 3,749,355 57,684 0.75

336,593 4.38

Travel & Leisure – 3.69% (31.12.2019 – 4.51%)

888 1,024,825 1,789 0.02

Carnival 603,777 5,952 0.08

Cineworld 3,834,461 2,321 0.03

Compass 6,912,912 76,872 1.00

Domino's Pizza 1,854,339 5,752 0.07

easyJet 959,007 6,521 0.09

FirstGroup 5,540,470 2,790 0.04

Flutter Entertainment 467,822 49,566 0.65

Fuller Smith & Turner 116,794 899 0.01

Gamesys 380,198 3,266 0.04

Go-Ahead 169,835 1,413 0.02

GVC 2,278,793 16,877 0.22

Gym 490,327 745 0.01

Hollywood Bowl 527,867 818 0.01

Hostelworld 366,784 234 0.00

InterContinental Hotels 715,940 25,538 0.33

International Consolidated Airlines 6,243,299 13,873 0.18



29


£'000% of Total

Net Assets

Travel & Leisure – 3.69% (31.12.2019 – 4.51%) (continued)

J DWetherspoon 270,597 2,722 0.04

Marston's 2,360,977 1,255 0.02

Mitchells & Butlers 811,930 1,527 0.02

National Express 1,995,936 3,728 0.05

On the Beach 413,570 1,218 0.02

Playtech 1,163,140 3,274 0.04

PPHE Hotel 80,519 878 0.01

Rank 642,232 940 0.01

Restaurant 1,819,456 1,025 0.01

Saga 4,275,988 660 0.01

SSP 2,063,090 5,306 0.07

Stagecoach 1,520,624 905 0.01

TEN Entertainment 130,870 223 0.00

Trainline 1,778,801 7,727 0.10

TUI 1,688,913 6,433 0.08

Whitbread 788,091 17,511 0.23

William Hill 4,116,593 4,685 0.06

Wizz Air 260,972 8,706 0.11

283,949 3.69



30


£'000% of Total

Net Assets

Derivatives – 0.01% (31.12.2019 – 0.00%)

FTSE 100 Index Futures September 2020† 499 758 0.01

758 0.01

Portfolio of investments 7,650,442 99.55

Net other assets 34,926 0.45

Total net assets 7,685,368 100.00

All holdings are ordinary shares or common stock unless otherwise stated.~ Delisted.* Unlisted.# Prior year industry classifications for securities have been updated, following changes by data providers.† Goldman Sachs is the counterparty, total notional exposure is £30,676,025 and 0.40% as a percentage of the Fund’s value.



31

In accordance with the requirements of the Collective Investment Schemes sourcebook of the Financial Conduct Authority’shandbook of rules and guidancewe hereby certify the report on behalf of theDirectors of State Street Unit TrustManagementLimited.

R. Bridger – Director, State Street Unit Trust Management Limited

N. Wightman – Director, State Street Unit Trust Management Limited

28 August 2020


Director's Report to UnitholdersFor the six month period ended 30th June 2020

32

Comparative TableFor the six month period ended 30th June 2020

2020 (to 30.06) 2019 2018Closing net asset value (£'000) 7,685,368 7,992,099 5,603,311Closing number of units 3,367,540,380 2,888,739,589 2,408,189,486Closing net asset value per unit (£) 2.2822 2.7666 2.3268Change in net asset value per unit (17.51)% 18.90% (9.47)%Operating charges 0.13%* 0.15% 0.15%

*The Operating charge on the Fund changed from 15bps to 10bps on 1 May 2020.

General risk factorsThe value of funds and the revenue from them is not guaranteed and may fall as well as rise. You may get back less than youoriginally invested. What you get back may depend on:

(i) Investment performance is not guaranteed. Past performance is no guarantee of future performance. Theremay also bevariation in performance between funds with similar investment objectives.

(ii) The effect of an initial charge. If you sell your investment after a short period you may not get back what you originallyinvested, even if the price of your investment has not fallen.

• The entiremarket of a particular asset class or geographical regionmay fall, having a greater effect on funds heavilyinvested in that asset class or region.

• If you make regular withdrawals from your investment be aware that if the level of withdrawal exceeds the rate ofinvestment growth of the Fund, your capital will be eroded.

• Governments may change the tax rules which affect you or the funds in which you have invested.

• Inflation will reduce what you could buy in the future, i.e. it will reduce the real value of your investment.

• There is no certainty that the investment objective of any fund will actually be achieved.


33

Statement of Total ReturnFor the six month period ended 30th June 2020

Period ended30.06.20


£'000 £'000 £'000 £'000Income

Net capital (losses)/gains (1,414,399) 587,760

Revenue 113,937 147,279

Expenses (4,839) (4,528)

Interest payable and similar charges (16) (8)

Net revenue before taxation 109,082 142,743

Taxation (952) (1,469)

Net revenue after taxation 108,130 141,274

Total return before distributions (1,306,269) 729,034Distributions (108,131) (141,274)

Change in net (liabilities) / assets attributable tounitholders from investment activities (1,414,400) 587,760

Statement of Change in Net Assets Attributable to UnitholdersFor the six month period ended 30th June 2020



£’000 £’000 £’000 £’000Opening net assets 7,992,099 5,603,311Amounts receivable on issue of units 1,001,756 368,931

Amounts payable on cancellation of units (18,335) (167,066)

983,421 201,865

Dilution levy 4,455 1,811

Change in unitholders' funds from investment activities (1,414,400) 587,760

Retained distributions on accumulation units 119,793 144,370

Closing net assets 7,685,368 6,539,117


34

Balance SheetAs at 30th June 2020

30.06.20 31.12.19£'000 £'000

AssetsFixed assets:

Investments 7,650,442 7,861,005

Current assets:

Debtors 20,115 21,972

Cashandbankbalances 15,512 110,375

Total assets 7,686,069 7,993,352

LiabilitiesCreditors

Other creditors 701 1,253

Total liabilities 701 1,253

Net assets attributable to unitholders 7,685,368 7,992,099


35

Accounting Policies

The financial statements have been prepared under the historical cost convention, as modified by the revaluation ofinvestments, and in accordance with the Statement of Recommended Practice (“SORP”) for Authorised Funds issued bythe Investment Management Association in May 2014 and United KingdomGenerally Accepted Accounting Practice (“UKGAAP”). The financial statements are also in compliance with FRS 102, the Financial Reporting Standard applicable in theUK and Republic of Ireland.

The accounting policies applied are consistent with those of the annual financial statements for the year ended 31stDecember 2019 and are described in those financial statements.

Events during the period

Rebecca Bridger was appointed as a director on 2 April 2020.

The Operating charge on the Fund changed from 15bps to 10bps on 1 May 2020.

Impact of COVID-19

Beginning in January 2020, global financial markets have experienced and may continue to experience significantvolatility resulting from the spread of coronavirus COVID-19. The outbreak of coronavirus COVID-19 has resulted in traveland border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty.Whilst restrictions are now being eased in many countries, the impact of coronavirus COVID-19 continues to adverselyaffect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact aFund's performance.

The Directors of the Manager and the Fund's delegates are closely monitoring the developments and the advice relating tothe spread of COVID-19. State Street Corporation has a robust global business continuity programme that prioritises thehealth and safety of employees. The continuity programme continues to evolve from supporting staff in work from homearrangements through a comprehensive programme to plan for the return of staff to the office environment.


Notes to the Financial StatementsFor the six month period ended 30th June 2020

36

Dividend in pence per unit payable on 31st August 2020

Group 1: Units purchased prior to 1st January 2020

Group 2: Units purchased on or after 1st January 2020 to 30th June 2020

Netrevenue

pence perunit

Equalisationpence per

unit

Amountpayable

31.08.2020pence per

unit

Amountpaid

31.08.2019pence per

unitAccumulation UnitsGroup 1 3.5573 - 3.5573 5.7982Group 2 1.1314 2.4259 3.5573 5.7982

Corporate Unitholder InformationFranked Investment Income 100.00%Unfranked Non Foreign Investment Income 0.00%Unfranked Foreign Investment Income 0.00%

Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount ofincome included in the purchase price of all Group2units and is refunded to holders of these units as a return of capital. Beingcapital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes.


Distribution TablesFor the six month period ended 30th June 2020

37

THE MANAGERState Street Unit Trust Management Limited20 Churchill PlaceLondon E14 5HJ

Regulated by The Financial Conduct Authority

DIRECTORSV. Parry*A. CastleN. Wightman*R. Bridger#

* Independent Director

#R. Bridger appointed on 2 April 2020

INVESTMENT MANAGER, REGISTRAR & TRANSFER AGENTState Street Global Advisors Limited20 Churchill PlaceLondon E14 5HJ

Regulated by The Financial Conduct Authority

INDEPENDENT AUDITORSPricewaterhouseCoopers LLPAtria One144 Morrison StreetEdinburgh EH3 8EX

DEPOSITARYHSBC Bank plc8 Canada SquareCanary WharfLondon E14 5HQ

HSBC Bank plc is authorised by the Prudential Regulation Authority and regulated by the Prudential Regulation Authorityand the Financial Conduct Authority

CONSTITUTIONState Street UK Equity Tracker Fund is an authorised unit trust scheme within the meaning of, and governed by section 243of the Financial Services and Markets Act 2000. The Trust is a ‘wider range’ investment scheme under the TrusteeInvestments Act 1961.

PROSPECTUSCopies of the Prospectus are available from the Manager upon request.

Please remember that the price of units and the income from them can go down as well as up. Past performance is notnecessarily a guide to the future. Changes in exchange rates may also affect the value.


Directory

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StateStreetUKEquityTracker Fund Annual Report...Securities lending Ireland Tri-party 16,554...

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