Schedules of Investments (Unaudited) | |
2 | |
5 | |
8 | |
12 | |
14 | |
16 | |
18 | |
20 | |
28 | |
30 | |
35 | |
44 | |
46 | |
53 | |
61 | |
66 | |
69 | |
76 | |
86 | |
105 | |
113 | |
125 | |
131 | |
148 | |
165 | |
170 | |
176 | |
182 | |
190 | |
199 | |
205 | |
211 | |
219 | |
221 | |
224 | |
228 | |
230 | |
234 | |
236 | |
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240 | |
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244 | |
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248 | |
250 | |
252 | |
255 | |
257 | |
259 | |
263 | |
265 | |
267 | |
272 |
275 | |
282 | |
286 | |
288 | |
289 | |
291 | |
299 | |
311 | |
334 | |
350 | |
368 | |
380 | |
396 | |
402 | |
411 | |
416 | |
472 | |
510 | |
531 | |
620 | |
664 | |
698 | |
759 | |
761 | |
800 | |
802 | |
816 | |
838 | |
840 | |
842 | |
851 | |
859 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
DJ US Real Estate Index (long) | 516 | 12/16/2022 | $18,398,714 | $16,393,320 | $(2,005,394) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,441,339,621 | $— | $— | $1,441,339,621 | ||||
Short-Term Investments | 24,243,045 | — | — | 24,243,045 | ||||
TOTAL INVESTMENTS | $1,465,582,666 | $— | $— | $1,465,582,666 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | (2,005,394) | — | — | (2,005,394) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(2,005,394) | $— | $— | $(2,005,394) |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 6,087,611 | $6,087,002 | $54,247,440 | $50,420,628 | $4,442 | $1,211 | 9,917,484 | $9,919,467 | $102,290 | ||||||||
State Street Navigator Securities Lending Portfolio II | 7,123,081 | 7,123,081 | 345,888,056 | 338,687,559 | — | — | 14,323,578 | 14,323,578 | 9,366 | ||||||||
Total | $13,210,083 | $400,135,496 | $389,108,187 | $4,442 | $1,211 | $24,243,045 | $111,656 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $103,311,629 | $— | $0(a) | $103,311,629 | ||||
Short-Term Investments | 9,884,702 | — | — | 9,884,702 | ||||
TOTAL INVESTMENTS | $113,196,331 | $— | $0 | $113,196,331 |
(a) | Fund held Level 3 securities that were valued at $0 at September 30, 2022. |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 182,667 | $182,649 | $3,073,532 | $3,004,267 | $11 | $49 | 251,924 | $251,974 | $1,306 | ||||||||
State Street Navigator Securities Lending Portfolio II | 10,604,316 | 10,604,316 | 19,621,596 | 20,593,184 | — | — | 9,632,728 | 9,632,728 | 123,807 | ||||||||
Total | $10,786,965 | $22,695,128 | $23,597,451 | $11 | $49 | $9,884,702 | $125,113 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini S&P 500 Index (long) | 2 | 12/16/2022 | $412,994 | $360,150 | $(52,844) | |||||
MSCI EAFE Index (long) | 3 | 12/16/2022 | 281,083 | 249,090 | (31,993) | |||||
$(84,837) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $86,278,015 | $— | $0(a) | $86,278,015 | ||||
Short-Term Investments | 1,700,028 | — | — | 1,700,028 | ||||
TOTAL INVESTMENTS | $87,978,043 | $— | $0 | $87,978,043 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (84,837) | — | — | (84,837) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(84,837) | $— | $— | $(84,837) |
(a) | The Fund held a Level 3 security that was valued at $0 at September 30, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Financials | 18.0% | |
Industrials | 13.5 | |
Information Technology | 11.7 | |
Consumer Discretionary | 11.5 | |
Health Care | 10.5 | |
Energy | 8.2 | |
Communication Services | 7.9 | |
Consumer Staples | 7.4 | |
Materials | 6.1 | |
Utilities | 3.9 | |
Real Estate | 0.6 | |
Short-Term Investments | 1.9 | |
Liabilities in Excess of Other Assets | (1.2) | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 66,021 | $66,021 | $1,502,612 | $1,475,074 | $— | $— | 93,559 | $93,559 | $1,006 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,204,785 | 1,204,785 | 4,517,770 | 4,116,086 | — | — | 1,606,469 | 1,606,469 | 2,190 | ||||||||
Total | $1,270,806 | $6,020,382 | $5,591,160 | $— | $— | $1,700,028 | $3,196 |