SPDR Series Trust

Note to Performance Summary (Unaudited)

The performance chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the value of one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per share of a Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.

The Russell 1000 Yield Focused Factor Index is designed to reflect the performance of a segment of large-capitalization U.S. equity securities demonstrating a combination of core factors (high value, high quality, and low size characteristics), with a focus factor comprising high yield characteristics.

The Russell 1000 Momentum Focused Factor Index is designed to reflect the performance of a segment of large-capitalization U.S. equity securities demonstrating a combination of core factors (high value, high quality, and low size characteristics), with a focus factor comprising high momentum characteristics.

The Russell 1000 Low Volatility Focused Factor Index is designed to reflect the performance of a segment of large-capitalization U.S. equity securities demonstrating a combination of core factors (high value, high quality, and low size characteristics), with a focus factor comprising low volatility characteristics.

The S&P MidCap 400 Growth Index measures the performance of the mid-capitalization growth segment in the U.S. equity market.

The S&P MidCap 400 Value Index measures the performance of the mid-capitalization value segment in the U.S. equity market.

The S&P 500 ESG Index is designed to measure the performance of securities meeting certain sustainability criteria, while maintaining similar overall industry group weights as the S&P 500 Index.

The S&P SmallCap 600 Index measures the performance of the small-capitalization segment in the U.S. equity market.

The S&P SmallCap 600 Growth Index measures the performance of the small-capitalization growth segment in the U.S. equity market.

The S&P SmallCap 600 Value Index measures the performance of the small-capitalization value segment in the U.S. equity market.

The S&P 1500 Low Valuation Tilt Index applies an alternative weighting methodology to the S&P Composite 1500 Index so that stocks with relatively low valuations (i.e., relatively “cheap”) are overweight relative to the S&P Composite 1500 Index and stocks with relatively high valuations (i.e., relatively “rich”) are underweight.

The S&P 1500 Positive Momentum Tilt Index applies an alternative weighting methodology to the S&P Composite 1500 Index so that stocks with relatively high momentum are overweight relative to the S&P 1500 Index and stocks with relatively low momentum are underweight.

The S&P Kensho Clean Power Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide which are included in the Clean Power sector as determined by a classification standard produced by S&P Dow Jones Indices LLC (the "Index Provider"). The index is designed to capture companies whose products and services are driving innovation behind clean power.

The S&P Kensho Final Frontiers Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide which are included in the Final Frontiers sector as determined by a classification standard produced by S&P Dow Jones Indices LLC (the "Index Provider"). The index is designed to capture companies whose products and services are driving innovation behind the exploration of deep space and deep sea.

The S&P Kensho Future Security Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide which are included in the Future Security sector as determined by a classification standard produced by S&P Dow Jones Indices LLC. In particular, the Index comprises the components of the S&P Kensho Cyber Security Index and the S&P Kensho Smart Borders Index, and the military components of the S&P Kensho Robotics Index, the S&P Kensho Drones Index, the S&P Kensho Space Index, the S&P KenshoWearables Index and the S&P Kensho Virtual Reality Index as of the Index's annual reconstitution day on the third Friday in June, subject to certain liquidity thresholds.

The S&P Kensho Intelligent Infrastructure Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide which are included in the Intelligent Infrastructure sector as determined by a classification standard produced by S&P Dow Jones Indices LLC. The Index is designed to capture companies whose products and services are driving innovation behind intelligent infrastructure.

The S&P Kensho New Economies Composite Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide. The index is designed to capture companies whose products and services are driving innovation and transforming the global economy through the use of existing and emerging technologies, and rapid developments in robotics, automation, artificial intelligence, connectedness and processing power ("New Economies companies"). The index is comprised of each of the eligible Kensho New Economies

See accompanying notes to financial statements.

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Note to Performance Summary (Unaudited) (continued)

Sub-Indexes. Each Kensho Sub-Index is weighted by its Sharpe ratio with an annual reconstitution. There are currently 22 Sub-Indexes in the Composite. Kensho identifies companies in its New Economy Subsectors using its propriety Natural Language Processing "NLP", which leverages their artificial intelligence capabilities to screen regulatory forms for key words and phrases in the appropriate context relevant to the respective new economy sector to find companies for inclusion.

The S&P Kensho Smart Transportation Index is comprised of U.S.-listed equity securities (including depositary receipts) of companies domiciled across developed and emerging markets worldwide which are included in the Smart Transportation sector as determined by a classification standard produced by S&P Dow Jones Indices LLC. The Index is designed to capture companies whose products and services are driving innovation behind smart transportation.

The SSGA US Large Cap Low Volatility Index is designed to track the performance of U.S. large capitalization companies that exhibit low volatility. Volatility is a statistical measurement of the magnitude of movements in a stock’s price over time.

The SSGA US Small Cap Low Volatility Index is designed to track the performance of U.S. small capitalization companies that exhibit low volatility. Volatility is a statistical measurement of the magnitude of movements in a stock's price over time.

See accompanying notes to financial statements.

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SPDR Russell 1000 Low Volatility Focus ETF

MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Russell 1000 Low Volatility Focus ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the Russell 1000 Low Volatility Focused Factor Index. The Fund’s benchmark is the Russell 1000 Low Volatility Focused Factor Index (the “Index”).

For the 12-month period ended June 30, 2022 (“Reporting Period”), the total return for the Fund was –4.20%, and the Index was –4.00%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Management fees, cash drag, and cumulative effects of security mis-weights contributed to the difference between the Fund’s performance and that of the Index and were primary drivers of Fund performance during the period.

U.S. Equity markets suffered strong losses during the last year, but particularly since the beginning of the year, with the Russell 1000 Index falling 20.9%during the first half of 2022. The combination of multiple events created the right conditions for investors to start reducing their equity exposures and seek safer investment opportunities. As the U.S. economy started emerging from the COVID pandemic, economic output expanded rapidly and the unemployment rate contracted rapidly pushing salaries and firm’s operating costs up. At the same time, another collateral effect of COVID was the disruption of many supply chains around the world, which caused a spiraling inflationary backdrop. The Federal Reserve (the “Fed”), seeing full employment with strong inflation, was very assertive and started rising interest rates rapidly, which sent shockwaves across fixed income markets. Finally, Russia’s invasion of Ukraine, upended energy markets, pushing gas and other energy commodities to levels not seen since 2014. The rapid increase in gas and other basic commodities had a strong negative wealth effect on American consumers, contributing to rapid rise in the cost of living and reducing real wages.

At the same time, market volatility increased rapidly, with the VIX Index jumping from 17.85 on June 30, 2021 to 28.83 one year later, a 61% increase. Finally, as many pundits on Wall Street are forecasting a U.S. recession in the coming months, we remain hopeful that this might be averted, as businesses see an increase in their inventories and inflation expectations fall as energy prices revert back to lower levels, all factors that might contribute to a lower-than-expected interest rate increases

The Fund used S&P 500 and Russell 1000 E-mini futures in order to equitize cash holdings during the Reporting Period. The Fund’s use of S&P 500 E-mini futures detracted from Fund performance relative to the Index.

During the Reporting Period, the Fund out-performed the broader market capitalization weighted index, the Russell 1000 Index by 9.07%, mainly thanks for its over exposure to lower volatility securities. The sectors that had the largest contribution to total return in the Fund were: Energy, Utilities and Consumer Staples. The sectors with the lowest contribution to total return were: Communication Services, Health Care and Materials.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Progressive Corp, Xilinx and AutoZone. The top negative contributors to the Fund’s performance during the Reporting Period were IDEXX Laboratories, Garmin and T Rowe Price.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

See accompanying notes to financial statements.

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SPDR Russell 1000 Low Volatility Focus ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	Russell 1000 Low Volatility Focused Factor Index	Net Asset Value	Market Value	Russell 1000 Low Volatility Focused Factor Index
ONE YEAR	(4.20)%	(4.20)%	(4.00)%	(4.20)%	(4.20)%	(4.00)%
FIVE YEARS	61.41%	61.43%	63.26%	10.05%	10.05%	10.30%
SINCE INCEPTION⁽¹⁾	98.46%	98.53%	101.41%	10.98%	10.98%	11.24%

(1)

For the period December 2, 2015 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (12/2/15, 12/3/15, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns.

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR Russell 1000 Low Volatility Focus ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.20%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit https://www.ssga.com/spdrs for most recent month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.

See accompanying notes to financial statements.

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SPDR Russell 1000 Momentum Focus ETF

MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR Russell 1000 Momentum Focus ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the Russell 1000 Momentum Focused Factor Index. The Fund’s benchmark is the Russell 1000 Momentum Focused Factor Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –11.87%, and the Index was –11.68%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

U.S. Equity markets suffered strong losses during the last year, but particularly since the beginning of the year, with the Russell 1000 Index falling 20.9% during the first half of 2022. The combination of multiple events created the right conditions for investors to start reducing their equity exposures and seek safer investment opportunities. As the U.S. economy started emerging from the COVID pandemic, economic output expanded rapidly and the unemployment rate contracted rapidly pushing salaries and firm’s operating costs up. At the same time, another collateral effect of COVID was the disruption of many supply chains around the world, which caused a spiraling inflationary backdrop. The Federal Reserve, seeing full employment with strong inflation, was very assertive and started rising interest rates rapidly, which sent shockwaves across fixed income markets. Finally, Russia’s invasion of Ukraine, upended energy markets, pushing gas and other energy commodities to levels not seen since 2014. The rapid increase in gas and other basic commodities had a strong negative wealth effect on American consumers, contributing to rapid rise in the cost of living and reducing real wages.

During the Reporting Period, the Fund out-performed the broader market capitalization weighted index, the Russell 1000 Index by 1.17%, mainly thanks to its higher exposure to positive momentum securities. The sectors that had the largest contribution to total return in the Fund were: Energy, Materials and Utilities. The sectors with the lowest contribution to total return were: Communication Services, Consumer Discretionary and Information Technology.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Devon Energy, Occidental Petroleum and Continental Resources. The top negative contributors to the Fund’s performance during the Reporting Period Loyalty Ventures, Vimeo and Wayfair Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR Russell 1000 Momentum Focus ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	Russell 1000 Momentum Focused Factor Index	Net Asset Value	Market Value	Russell 1000 Momentum Focused Factor Index
ONE YEAR	(11.87)%	(11.84)%	(11.68)%	(11.87)%	(11.84)%	(11.68)%
FIVE YEARS	42.78%	42.79%	44.32%	7.38%	7.38%	7.61%
SINCE INCEPTION⁽¹⁾	68.78%	68.83%	71.19%	8.28%	8.28%	8.52%

(1)

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR Russell 1000 Momentum Focus ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.20%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

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SPDR Russell 1000 Yield Focus ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR Russell 1000 Yield Focus ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the Russell 1000 Yield Focused Factor Index. The Fund’s benchmark is Russell 1000 Yield Focused Factor Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –3.45%, and the Index was –3.18%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses, cash drag and the cumulative effect of security misweights contributed to the difference between the Fund’s performance and that of the Index.

The Reporting Period was dominated by pandemic, war and inflation. It began amidst the continued global rollout of the COVID-19 vaccine, but it was also accompanied by GDP growth expectations that were blunted by concern about the Delta variant and the continuation of pandemic conditions. Amidst a tight labor market, concern about inflation began to intensify, despite assurances that higher inflation would be transitory. In September 2021, markets broke their long run of gains for the year and sold off on some of these concerns.

As the fourth quarter of 2021 began, markets were able to rebound and turn in strong performances for October. But market confidence continued to be shaken as inflation persisted, disruptions continued to plague the global supply chain, and the Federal Reserve (the “Fed”) provided indications that stronger measures would be necessary to fight higher inflation that would no longer be described as “transitory”. The emergence of a new Omicron variant also rattled markets and added to the uncertainty.

Inflation numbers continued to accelerate in the new year, and so did investors’ worries not just about more hawkish central bank actions but also about the length of time they would have to be in place. Markets began to sell off in earnest, but this time, economic concerns were compounded by geopolitical ones. Russia’s late February invasion of Ukraine sent markets reeling, particularly in Europe. Gas prices that were already climbing, particularly in the U.S., only climbed higher. Relief only came from a COVID-19 pandemic that appeared to be dwindling on an Omicron variant that was more contagious but much weaker.

There was no relief from inflation, however, as numbers continued to accelerate in the second quarter of 2022 and hit levels not seen for 40 years. In response, markets continued to decline and push into official bear market territory, with first-half losses also not seen in 40 years. Inflation continued to share headlines with war in Ukraine, COVID resurgence and lockdowns in China, and confirmation that first quarter U.S. GDP growth was indeed negative.

Although the performance of the broader market was weak during the Reporting Period, the performance of higher yielding stocks—which are correlated with value stocks—was relatively strong. At the beginning of the Reporting Period, the value premium had been underperforming for several years, and it continued this underperformance into the end of 2021. But as U.S. markets began their declines in 2022, value stocks were able to outperform. Value’s outperformance was particularly strong in the last quarter of the Reporting Period. Separately, the Fund’s exposure to quality and size factors generally detracted from relative performance compared to the Russell 1000 Index, as the performance of these two factors was mixed to negative

As a result of the combined exposures to value, quality and size, the Fund’s –3.45% return during the Reporting Period was significantly better than the Russell 1000 Index’s –13.05% return over the same period.

The Fund used S&P 500 Index futures in order to equitize cash and receivables during the Reporting Period, which helps the Fund to track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Progressive Corp, CF Industries Holdings Inc and Kroger Co. The top negative contributors to the Fund’s performance during the Reporting Period were Best Buy Co Inc, Synchrony Financial and International Paper Company.

See accompanying notes to financial statements.

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SPDR Russell 1000 Yield Focus ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	Russell 1000 Yield Focused Factor Index	Net Asset Value	Market Value	Russell 1000 Yield Focused Factor Index
ONE YEAR	(3.45)%	(3.41)%	(3.18)%	(3.45)%	(3.41)%	(3.18)%
FIVE YEARS	61.36%	61.38%	63.58%	10.04%	10.04%	10.34%
SINCE INCEPTION⁽¹⁾	103.08%	103.15%	106.48%	11.37%	11.37%	11.66%

(1)

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR Russell 1000 Yield Focus ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.20%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

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SPDR S&P 400 Mid Cap Growth ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P 400 Mid Cap Growth ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “growth” characteristics. The Fund’s benchmark is the S&P MidCap 400 Growth Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –20.61%, and the Index was –20.50%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees, expenses, cash drag and cumulative effect of security misweights contributed to the difference between the Fund’s performance and that of the Index.

During the third quarter of 2021, U.S. economic growth remained strong as the manufacturing and services sector contributed towards the economic progress. The Job market improved and sectors like travel and tourism that were impacted by reopening had a strong contribution during the quarter. The Federal Reserve’s (“the Fed”) indicated it would be ending its asset purchase program by mid of next year with the slowing down in the pace of purchase to start soon. The interest rates projections were also released by the central bank which were increasing faster than the market’s anticipation. The Index fell 1.597%.

In the next quarter, U.S. President Joe Biden made progress on his infrastructure spending proposals by signing the long-awaited Infrastructure Investment and Jobs Act, which is a U.S.$1.2 trillion bipartisan infrastructure bill. The bill includes US$550 billion of additional spending in order to upgrade roads, bridges and railways and deploy electric vehicle charging stations across the U.S. The Index gained 7.969%.

Early in 2022, concerns over the Russia-Ukraine War and tighter monetary policy negatively affected equity markets. The U.S. consumer sentiment was hit due to higher prices, as inflation rose to 7.9%, reaching a 40-year high. The Federal Reserve’s (“the Fed”) announced its first rate hike since 2018. During the first quarter of the year, the Index dropped by 0.602%.

By the end of the 2nd quarter of 2022, U.S. equities had taken a big negative hit. Consumer sentiment dropped sharply despite lower levels of unemployment and stronger wage growth over the quarter. The Federal Reserve’s (“the Fed”) indicated its commitment toward bringing inflation under control by raising interest rates further. However, as an aftereffect, unemployment rates were also likely to rise, which was an area of concern for market participants. Signs of higher interest rates weighing on economic activity could be observed from 40% higher house prices compared with the start of 2020. Economic data also confirmed a decline in the number of home sales. The Index lost 13.488% during the quarter.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were CyrusOne Inc, FactSet Research Systems and Shockwave Medical, Inc.

The top negative contributors to the Fund’s performance during the Reporting Period were Trex Company, Inc., RH, and Boston Beer Company, Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 400 Mid Cap Growth ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P MidCap 400 Growth Index	Net Asset Value	Market Value	S&P MidCap 400 Growth Index
ONE YEAR	(20.61)%	(20.58)%	(20.50)%	(20.61)%	(20.58)%	(20.50)%
FIVE YEARS	35.93%	35.96%	37.11%	6.33%	6.34%	6.52%
TEN YEARS	166.35%	166.70%	171.18%	10.29%	10.31%	10.49%

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 400 Mid Cap Growth ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.15%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

The SPDR S&P 400 Mid Cap Value ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P 400 Mid Cap Value ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “value” characteristics. The Fund’s benchmark is the S&P MidCap 400 Value Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –8.78%, and the Index was –8.64%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses and cash drag contributed to the difference between the Fund’s performance and that of the Index.

Inflationary fears, The Russia-Ukraine war and the Fed’s monetary policy were primary drivers of Fund performance during the Reporting Period.

In the next quarter, U.S. President Joe Biden made progress on his infrastructure spending proposals by signing the long-awaited Infrastructure Investment and Jobs Act, which is a US$1.2 trillion bipartisan infrastructure bill. The bill includes US$550 billion of additional spending in order to upgrade roads, bridges and railways and deploy electric vehicle charging stations across the U.S. The Index gained 7.97%.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Avis Budget Group, Inc., Builders FirstSource, Inc., and EQT Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were Oshkosh Corp, Medical Properties Trust, Inc., and Foot Locker, Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 400 Mid Cap Value ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P MidCap 400 Value Index	Net Asset Value	Market Value	S&P MidCap 400 Value Index
ONE YEAR	(8.78)%	(8.74)%	(8.64)%	(8.78)%	(8.74)%	(8.64)%
FIVE YEARS	39.81%	39.90%	40.88%	6.93%	6.95%	7.09%
TEN YEARS	177.54%	178.06%	183.15%	10.75%	10.77%	10.97%

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 400 Mid Cap Value ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.15%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 500 ESG ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 500 ESG ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that provides exposure to securities that meet certain sustainability criteria (criteria related to environmental, social and governance(“ESG”) factors) while maintaining similar overall industry group weights as the S&P 500 Index. The Fund’s benchmark is the S&P 500 ESG Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –8.48%, and the Index was –8.37%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses, cash drag and the cumulative effect of security misweights contributed to the difference between the Fund’s performance and that of the Index.

S&P 500 ESG Index outperformed S&P 500 Index by over 2% for the Reporting Period mainly due to ESG exclusion in Communication Services, Health Care and Information Technology. Performance was strong during the second half of 2021 as the economy continued its momentum with its further “reopening” post COVID amid increasing vaccination rates. However, supply chain issues continued and loomed as a possible headwind going forward. Inflation was bubbling up a bit but the Federal Reserve’s (“the Fed”) believed it to be transitory at the time as a result of the continued bounce back from the COVID shutdown. The fourth quarter of 2021 was particularly strong for the equity markets as earnings growth saw its fourth consecutive quarter of 20%+ increases. The U.S. Congress was finally able to pass a bipartisan infrastructure spending bill as the Fed was just beginning to abandon the notion of inflation being transitory, paving the way for accelerated tapering and future rate hikes.

The first half of 2022 was just the opposite as the S&P 500 Index tumbled nearly –20% as it flirted with bear market territory. Commodity prices accelerated and supply side issues increased following the Russian invasion of Ukraine. Western countries ratcheted up sanctions against Russia in response to the invasion. Earnings saw their lowest level of growth in nearly two years. On the monetary front, many Central Banks raised their hawkish tone amid the stubbornness of inflation as it reached a 40 year high in the U.S. As a result, there were over 50 rate hikes initiated across the globe. To make matters worse, fears of a recession permeated markets with U.S. housing and consumer spending numbers coming in especially weak.

Health Care, Energy and Consumer Staples were the strongest contributors to the fund’s performance for the period. Information Technology, Consumer Discretionary and Communication Services were the main detractors from the fund’s performance.

The Fund used futures in order to equitize cash and receivable to obtain Index exposure during the Reporting Period. The Fund’s use of helped the Fund track the Index.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Tesla Inc, UnitedHealth Group Incorporated, and Chevron Corporation. The top negative contributors to the Fund’s performance during the Reporting Period were NVIDIA Corporation, Walt Disney Company, and Amazon.com, Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 500 ESG ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P 500 ESG Index	Net Asset Value	Market Value	S&P 500 ESG Index
ONE YEAR	(8.48)%	(8.39)%	(8.37)%	(8.48)%	(8.39)%	(8.37)%
SINCE INCEPTION⁽¹⁾	23.07%	24.19%	23.38%	11.38%	11.90%	11.53%

(1)

For the period July 27, 2020 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (7/27/20, 7/28/20, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns.

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 500 ESG ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.10%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 SMALL CAP ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 600 Small Cap ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “value” characteristics. The Fund’s benchmark is the S&P SmallCap 600 Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –16.80%, and the Index was –16.81%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and Expenses contributed to the difference between the Fund’s performance and that of the Index.

The Fund had negative performance in three of four quarters of the Reporting Period. Performance in the first quarter of the Reporting Period was negative due to increasing supply chain disruptions and rising inflation despite the continued re-opening of the economy and ongoing vaccine distribution. The Fund’s performance in the second quarter of the Reporting Period was positive and helped by the signing of the $1.2 trillion bipartisan Infrastructure Investment and Jobs Act and strong earnings growth despite the emergence of a new variant of the COVID virus. Performance in the third and fourth quarters of the Reporting Period were negative on the back of supply chain disruptions from the Russia-Ukraine War, rising inflation, tighter monetary policy and recessionary fears despite lower levels of unemployment and positive earnings.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Matador Resources Company, Stamps.com and Lantheus Holdings Inc. The top negative contributors to the Fund’s performance during the Reporting Period were NeoGenomics, Inc, 3D Systems Corporation, and GameStop Corp. Class A.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 Small Cap ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P SmallCap 600 Index	Net Asset Value	Market Value	S&P SmallCap 600 Index
ONE YEAR	(16.80)%	(16.80)%	(16.81)%	(16.80)%	(16.80)%	(16.81)%
FIVE YEARS	41.31%	41.24%	41.60%	7.16%	7.15%	7.20%
TEN YEARS	188.06%	187.91%	190.74%	11.16%	11.15%	11.26%

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 600 Small Cap ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.15%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 Small Cap Growth ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 600 Small Cap Growth ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “growth” characteristics. The Fund’s benchmark is the S&P SmallCap 600 Growth Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –19.74%, and the Index was –19.63%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Management fees and cumulative effects of individual security misweights contributed to the difference between the Fund’s performance and that of the Index

The Fund had a negative performance in three of four quarters of the Reporting Period. Performance in the first quarter of the Reporting Period was negative due to increasing supply chain disruptions and rising inflation despite the continued re-opening of the economy and ongoing vaccine distribution. The Fund’s performance in the second quarter of the Reporting Period was positive and helped by the signing of the $1.2 trillion bipartisan Infrastructure Investment and Jobs Act and strong earnings growth despite the emergence of a new variant of the COVID virus. Performance in the third and fourth quarters of the Reporting Period were negative on the back of supply chain disruptions from the Russia-Ukraine War, rising inflation, tighter monetary policy and recessionary fears despite lower levels of unemployment and positive earnings.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Stamps.com Inc., Lantheus Holdings, Inc. and Matador Resources Company. The top negative contributors to the Fund’s performance during the Reporting Period were 3D Systems Corporation, 8X8 Inc. and NeoGenomics, Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 Small Cap Growth ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P SmallCap 600 Growth Index	Net Asset Value	Market Value	S&P SmallCap 600 Growth Index
ONE YEAR	(19.74)%	(19.74)%	(19.63)%	(19.74)%	(19.74)%	(19.63)%
FIVE YEARS	41.77%	41.85%	42.85%	7.23%	7.24%	7.39%
TEN YEARS	188.86%	189.98%	193.08%	11.19%	11.20%	11.35%

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 600 Small Cap Growth ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.15%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 Small Cap Value ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 600 Small Cap Value ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “value” characteristics. The Fund’s benchmark is the S&P SmallCap 600 Value Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –14.09%, and the Index was –13.93%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Management fees and cumulative effects of individual security misweights contributed to the difference between the Fund’s performance and that of the Index.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Helmerich & Payne, Inc., Patterson-UTI Energy, Inc. and Macy’s Inc. The top negative contributors to the Fund’s performance during the Reporting Period were GameStop Corp., Resideo Technologies, Inc. and bed, Bath & Beyond Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 600 Small Cap Value ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P SmallCap 600 Value Index	Net Asset Value	Market Value	S&P SmallCap 600 Value Index
ONE YEAR	(14.09)%	(14.06)%	(13.93)%	(14.09)%	(14.06)%	(13.93)%
FIVE YEARS	37.81%	37.89%	38.62%	6.62%	6.64%	6.75%
TEN YEARS	179.97%	179.95%	184.19%	10.84%	10.84%	11.01%

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 600 Small Cap Value ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.15%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 1500 Momentum Tilt ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 1500 Momentum Tilt ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of U.S. equity securities exhibiting price momentum. The Fund’s benchmark is the S&P 1500 Positive Momentum Tilt Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –10.45%, and the Index was –10.32%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses, cash drag and the cumulative effect of security misweights contributed to the difference between the Fund’s performance and that of the Index.

As the fourth quarter of 2021 began, markets were able to rebound and turn in strong performances for October. But market confidence continued to be shaken as inflation persisted, disruptions continued to plague the global supply chain, and the Federal Reserve’s (“the Fed”) provided indications that stronger measures would be necessary to fight higher inflation that would no longer be described as “transitory”. The emergence of a new Omicron variant also rattled markets and added to the uncertainty.

Momentum’s relative performance during the Reporting Period was mixed compared to the broader U.S. market. During the first three quarters of the Reporting Period, the Fund’s tilt towards momentum stocks allowed for slight outperformance. However, in the last quarter of the Reporting Period and as markets continued their decline, the Fund’s momentum tilts underperformed. On a net basis, the Fund’s –10.45% return was able to slightly outperform the S&P 1500 Composite’s –11.02% return during the Reporting Period.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Exxon Mobil Corp, UnitedHealth Group Inc and Eli Lilly and Company. The top negative contributors to the Fund’s performance during the Reporting Period were Apple Inc, NVIDIA Corp and Meta Platforms Inc Class A.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 1500 Momentum Tilt ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P 1500 Positive Momentum Tilt Index	Net Asset Value	Market Value	S&P 1500 Positive Momentum Tilt Index
ONE YEAR	(10.45)%	(10.38)%	(10.32)%	(10.45)%	(10.38)%	(10.32)%
FIVE YEARS	69.72%	69.68%	71.03%	11.16%	11.15%	11.33%
SINCE INCEPTION⁽¹⁾	213.05%	213.00%	219.04%	12.51%	12.50%	12.73%

(1)

For the period October 24, 2012 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/24/12, 10/25/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns.

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 1500 Momentum Tilt ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.12%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 1500 Value Tilt ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P 1500 Value Tilt ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of an index that tracks the performance of medium capitalization exchange traded U.S. equity securities exhibiting “value” characteristics. The Fund’s benchmark is the S&P 1500 Low Valuation Tilt Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –6.60%, and the Index was –6.44%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses, cash drag and the cumulative effect of security misweights contributed to the difference between the Fund’s performance and that of the Index.

As the fourth quarter of 2021 began, markets were able to rebound and turn in strong performances for October. But market confidence continued to be shaken as inflation persisted, disruptions continued to plague the global supply chain, and the Federal Reserve’s (“the Fed”) provided indications that stronger measures would be necessary to fight higher inflation that would no longer be described as “transitory”. The emergence of a new Omicron variant also rattled markets and added to the uncertainty.

Although the performance of the broader market was weak during the Reporting Period, the performance of the value premium was relatively strong. At the beginning of the Reporting Period, the value premium had been underperforming for several years, and it continued this underperformance into the end of 2021. But as U.S. markets began their declines in 2022, value stocks were able to outperform. Outperformance was particularly strong in the last quarter of the Reporting Period. As a result, the Fund’s –6.60% return during the Reporting Period was significantly better than the S&P 1500 Composite’s –11.02% return over the same period.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Exxon Mobil Corp, Chevron Corp and UnitedHealth Group Incorporated. The top negative contributors to the Fund’s performance during the Reporting Period were Amazon.com Inc, Meta Platforms Inc Class A and General Motors Company.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P 1500 Value Tilt ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P 1500 Low Valuation Tilt Index	Net Asset Value	Market Value	S&P 1500 Low Valuation Tilt Index
ONE YEAR	(6.60)%	(6.61)%	(6.44)%	(6.60)%	(6.61)%	(6.44)%
FIVE YEARS	62.33%	62.35%	63.89%	10.17%	10.18%	10.38%
SINCE INCEPTION⁽¹⁾	201.92%	202.01%	208.48%	12.09%	12.09%	12.34%

(1)

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P 1500 Value Tilt ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.12%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Clean Power ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P Kensho Clean Power ETF (the “Fund”) seeks to provide investment results that, before feesand expenses, correspond generally to the total return performance of the S&P Kensho Clean Power Index. The Fund’s benchmark is the S&P Kensho Clean Power Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –25.03%, and the Index was –24.77%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.

Economic growth was strong to start the reporting period, as the manufacturing and services sector contributed towards the economic progress. The Job market improved with approximately 850,000 and 943,000 jobs being added in June and July respectively which are the largest additions since August 2020. Sectors like travel and tourism that were impacted by reopening had a strong contribution during the last half of 2021. In November, President Joe Biden made progress on his infrastructure spending proposals by signing the long-awaited Infrastructure Investment and Jobs Act, which is a $1.2 trillion bipartisan infrastructure bill. The bill includes $550 billion of additional spending in order to upgrade roads, bridges and railways and deploy electric vehicle charging stations across the U.S.

At the start of 2022, concerns over the Russia-Ukraine War and tighter monetary policy weighed on equity markets. Geopolitical risks remained elevated amid the ongoing Russia-Ukraine War and continued escalations between the United States and China over Taiwan. U.S. consumer sentiment was negatively impacted by higher prices, as inflation rose to 7.9%, reaching a 40-year high. The Federal Reserve’s (“the Fed”) announced its first rate hike since 2018, raising the target rate by 0.25%, and clarified that further increases would be appropriate. On the positive side, the U.S. labour market remained robust, with the February jobs report coming in much better than expected and wage growth increasing by 5.1% year-over-year. Markets remained volatile in the second quarter of 2022 and equities and bonds posted sharp declines.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Daqo New Energy, Centrais Eletricas Brasileiras, and Consolidated Edison. The top negative contributors to the Fund’s performance during the Reporting Period were Eos Energy Enterprises, Ballard Power Systems, and TPI Composites.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Clean Power ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P Kensho Clean Power Index	Net Asset Value	Market Value	S&P Kensho Clean Power Index
ONE YEAR	(25.03)%	(25.03)%	(24.77)%	(25.03)%	(25.03)%	(24.77)%
SINCE INCEPTION⁽¹⁾	175.11%	175.13%	177.45%	31.58%	31.58%	31.88%

(1)

For the period October 22, 2018 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/22/18, 10/23/18, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns.

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P Kensho Clean Power ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.45%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Final Frontiers ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P Kensho Final Frontiers ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P Kensho Final Frontiers Index. The Fund’s benchmark is the S&P Kensho Final Frontiers Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –16.42%, and the Index was –16.05%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash drag, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.

The Final Frontiers Index started off the period in negative territory for the first quarter of the Reporting Period, returning -6%. Fortunately, the demand for Artificial Intelligence (AI), automation, power processing and the robotics industries continued to grow, especially in the area of space and deep sea explorations, allowing Final Frontiers to gain back small amount of the first quarter losses. Unfortunately, although the war in Ukraine may have helped earnings for some of the defense companies, like Northrop Grumman and Lockhead Martin, space tourism was negatively affected by the war and rapidly rising fuel prices. As a result, Final Frontiers Index fell by over 14 % the final quarter of the Reporting Period.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Northrop Grumman Corp., Lockheed Martin Corporation and Elbit Systems Ltd. The top negative contributors to the Fund’s performance during the Reporting Period were Virgin Galactic Holdings Inc., Astra Space, Inc. Class A and Boeing Company.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Final Frontiers ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P Kensho Final Frontiers Index	Net Asset Value	Market Value	S&P Kensho Final Frontiers Index
ONE YEAR	(16.42)%	(16.40)%	(16.05)%	(16.42)%	(16.40)%	(16.05)%
SINCE INCEPTION⁽¹⁾	21.54%	21.58%	23.47%	5.43%	5.44%	5.88%

(1)

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P Kensho Final Frontiers ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.45%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Future Security ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P Kensho Future Security ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P Kensho Future Security Index. The Fund’s benchmark is the S&P Kensho Future Security Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –14.66%, and the Index was –14.42%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Cash drag, security misweights, transaction costs and compounding (the exponential growth of outperformance or underperformance) also contributed to the difference between the Fund’s performance and that of the Index.

The Future Security Index started off the period barely achieving positive performance toward the end of 2021. As the COVID-19 crisis continued, the demand for innovative technologies continued to rise as large corporations continued to feel the threat of spam, malware, ransomware and various other risky social engineering attacks. Although demand for future security needs continued, in order to prevent threats to national security, increased legislation involving data privacy rights needed to be complied with as well. The demand for “smart home” security and increased reliance on mobile apps helped bolster performance and earnings for future security industry as a whole. Unfortunately, cyberattacks rose drastically as the year went on from social engineering and ransomware as nation-states and cybercriminals grew more sophisticated. As a result, Future Security suffered a difficult fourth quarter of the period with drop of –16% causing the Index to end in negative territory.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Mimecast Ltd., Palo Alto Networks, Inc. and Elbit Systems Ltd.. The top negative contributors to the Fund’s performance during the Reporting Period were Telos Corporation, Kopin Corporation and Cognyte Software Ltd.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Future Security ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P Kensho Future Security Index	Net Asset Value	Market Value	S&P Kensho Future Security Index
ONE YEAR	(14.66)%	(14.70)%	(14.42)%	(14.66)%	(14.70)%	(14.42)%
SINCE INCEPTION⁽¹⁾	53.24%	52.94%	55.28%	9.93%	9.88%	10.25%

(1)

For the period December 26, 2017 to June 30, 2022. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (12/26/17, 12/27/17, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns.

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P Kensho Future Security ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.45%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2022.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Intelligent Structures ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

SPDR S&P Kensho Intelligent Structures ETF the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P Kensho Intelligent Infrastructure Index. The Fund’s benchmark is S&P Kensho Intelligent Infrastructure Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –32.02%, and the Index was –32.29%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and Expenses contributed to the difference between the Fund’s performance and that of the Index.

The S&P 500 Index delivered modest returns of 0.58% in third quarter 2021. In the U.S., the economic growth remained strong during the quarter as the manufacturing and services sector contributed towards the economic progress. The Job market improved with approximately 850,000 and 943,000 jobs being added in June and July respectively which are the largest additions since August 2020. Mid-cap and small-cap companies had posted negative returns during the quarter with the S&P MidCap 400 Index declining by –1.76% and the Russell 2000 Index sliding by –4.36%.

Economic activity continued to expand in the fourth quarter of 2021, albeit at a measurably moderate pace, with several factors contributing to multiple headwinds. Supply chain bottlenecks continued to persist and sapped growth momentum during the quarter. Rising COVID-19 cases toward the end of the quarter triggered disruption to services and created further bottlenecks related to labor, transportation and goods. The S&P 500 Index gained 11.03% during the month. Mid-cap companies performed in line with their larger counterparts during the quarter with the S&P Midcap 400 Index rising by 8.00% while small-cap companies lagged on a relative basis with the Russell 2000 Index gaining only 2.14%.

In the U.S., concerns over the Russia-Ukraine War and tighter monetary policy negatively affected equity markets during the first quarter of 2022. The U.S. consumer sentiment was hit due to higher prices, as inflation rose to 7.9%, reaching a 40-year high. The Federal Reserve’s (“the Fed”) announced its first rate hike since 2018, raising the target rate by 0.25%, and clarified that further increases would be appropriate. On the positive side, the U.S. labour market remained robust, with the February jobs report coming in much better than expected and wage growth increasing by 5.1% year-over-year. Total nonfarm payrolls surpassed consensus forecasts, and the unemployment rate dropped to 3.8%, despite the labour force participation rate moving up to 62.3%. Earnings growth for U.S. companies stood at 30% year-over-year, beating expectations. The S&P 500 Index declined by 4.60% during the quarter. Mid-cap companies performed in line with their larger counterparts during the quarter. The S&P Midcap 400 Index declined by 4.88%, while small-cap companies underperformed their large and mid-cap counterparts, with the Russell 2000 Index declining by 7.53%.

In the U.S., equities declined 16% over the second quarter of 2022. Consumer sentiment dropped sharply despite lower levels of unemployment and stronger wage growth over the quarter. The Federal Reserve’s (“the Fed”) indicated its commitment toward bringing inflation under control by raising interest rates further. However, as an after effect, unemployment rates were also likely to rise, which was an area of concern for market participants. Signs of higher interest rates weighing on economic activity could be observed from 40% higher house prices compared with the start of 2020. Economic data also confirmed a decline in the number of home sales. The S& P 500 Index declined by 16.10% during the quarter. Mid-cap companies performed in line with their larger counterparts during the quarter with the S&P Midcap 400 Index falling by 15.42% while small-cap companies lagged slightly with the Russell 2000 Index falling by 17.20%.

The Fund did not invest in derivatives during the Reporting Period.

On an individual security level, the top positive contributors to the Fund’s performance during the Reporting Period were Suncor Energy, ON Semiconductor Corporation and Shell PLC Sponsored ADR. The top negative contributors to the Fund’s performance during the Reporting Period were ChargePoint Holdings, Inc. Class A, Rekor Systems, Inc Class B, and Latch Inc.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho Intelligent Structures ETF

Performance Summary (Unaudited)

Performance as of June 30, 2022

	Cumulative Total Return			Average Annual Total Return
	Net Asset Value	Market Value	S&P Kensho Intelligent Infrastructure Index	Net Asset Value	Market Value	S&P Kensho Intelligent Infrastructure Index
ONE YEAR	(32.02)%	(32.07)%	(32.29)%	(32.02)%	(32.07)%	(32.29)%
SINCE INCEPTION⁽¹⁾	12.01%	11.57%	12.12%	2.55%	2.46%	2.57%

(1)

Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)

Line graph is based on cumulative total return.

The total expense ratio for SPDR S& P Kensho Intelligent Structures ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.45%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.

See accompanying notes to financial statements.

Table of Contents

SPDR S&P Kensho New Economies Composite ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (UNAUDITED)

The SPDR S&P Kensho New Economies Composite ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of the S&P Kensho New Economies Composite Index. The Fund’s benchmark is the S&P Kensho New Economies Composite Index (the “Index”).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –38.45%, and the Index was –38.60%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and Expenses contributed to the difference between the Fund’s performance and that of the Index.

The S&P 500 Index delivered modest returns of 0.58% in third quarter 2021. In the U.S., the economic growth remained strong during the quarter as the manufacturing and services sector contributed towards the economic progress. The Job market improved with approximately 850,000 and 943,000 jobs being added in June and July respectively which are the largest additions since August 2020. Mid-Cap and small-cap companies had posted negative returns during the quarter with the S&P Midcap 400 Index declining by –1.76% and the Russell 2000 Index sliding by –4.36%.

Economic activity continued to expand in the fourth quarter of 2021, albeit at a measurably moderate pace, with several factors contributing to multiple headwinds. Supply chain bottlenecks continued to persist and sapped growth momentum during the quarter. Rising COVID-19 cases toward the end of the quarter triggered disruption to services and created further bottlenecks related to labor, transportation and goods. The S&P 500 Index gained 11.03% during the month. Mid-Cap companies performed in line with their larger counterparts during the quarter with the S&P Midcap 400 Index rising by 8.00% while small-cap companies lagged on a relative basis with the Russell 2000 Index gaining only 2.14%.

Notes to Performance Summaries (Unaudited)	1
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited)
SPDR MSCI USA Climate Paris Aligned ETF (NZAC)	3
SPDR Russell 1000 Low Volatility Focus ETF (ONEV)	4
SPDR Russell 1000 Momentum Focus ETF (ONEO)	7
SPDR Russell 1000 Yield Focus ETF (ONEY)	10
SPDR S&P 400 Mid Cap Growth ETF (MDYG)	13
SPDR S&P 400 Mid Cap Value ETF (MDYV)	16
SPDR S&P 500 ESG ETF (EFIV)	19
SPDR S&P 600 Small Cap ETF (SLY)	22
SPDR S&P 600 Small Cap Growth ETF (SLYG)	25
SPDR S&P 600 Small Cap Value ETF (SLYV)	28
SPDR S&P 1500 Momentum Tilt ETF (MMTM)	31
SPDR S&P 1500 Value Tilt ETF (VLU)	34
SPDR S&P Kensho Clean Power ETF (CNRG)	37
SPDR S&P Kensho Final Frontiers ETF (ROKT)	40
SPDR S&P Kensho Future Security ETF (FITE)	43
SPDR S&P Kensho Intelligent Structures ETF (SIMS)	46
SPDR S&P Kensho New Economies Composite ETF (KOMP)	49
SPDR S&P Kensho Smart Mobility ETF (HAIL)	52
SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV)	57
SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV)	60
Schedules of Investments
SPDR MSCI USA Climate Paris Aligned ETF (NZAC)	63
SPDR Russell 1000 Low Volatility Focus ETF (ONEV)	68
SPDR Russell 1000 Momentum Focus ETF (ONEO)	76
SPDR Russell 1000 Yield Focus ETF (ONEY)	88
SPDR S&P 400 Mid Cap Growth ETF (MDYG)	94
SPDR S&P 400 Mid Cap Value ETF (MDYV)	99
SPDR S&P 500 ESG ETF (EFIV)	104
SPDR S&P 600 Small Cap ETF (SLY)	110
SPDR S&P 600 Small Cap Growth ETF (SLYG)	119
SPDR S&P 600 Small Cap Value ETF (SLYV)	125
SPDR S&P 1500 Momentum Tilt ETF (MMTM)	133
SPDR S&P 1500 Value Tilt ETF (VLU)	150
SPDR S&P Kensho Clean Power ETF (CNRG)	167
SPDR S&P Kensho Final Frontiers ETF (ROKT)	169
SPDR S&P Kensho Future Security ETF (FITE)	171
SPDR S&P Kensho Intelligent Structures ETF (SIMS)	173
SPDR S&P Kensho New Economies Composite ETF (KOMP)	175
SPDR S&P Kensho Smart Mobility ETF (HAIL)	184
SPDR S&P SmallCap 600 ESG ETF (ESIX)	187
SPDR SSGA US Large Cap Low Volatility Index ETF (LGLV)	193
SPDR SSGA US Small Cap Low Volatility Index ETF (SMLV)	196
Financial Statements	204
Financial Highlights	225
Notes to Financial Statements	246
Report of Independent Registered Public Accounting Firm	259
Other Information (Unaudited)	262


	Description	% of Net Assets
	Apple, Inc.	7.6%
	Microsoft Corp.	6.3
	Amazon.com, Inc.	2.9
	Tesla, Inc.	2.6
	Honeywell International, Inc.	2.2
	Alphabet, Inc. Class C	1.7
	Cummins, Inc.	1.5
	UnitedHealth Group, Inc.	1.5
	Digital Realty Trust, Inc. REIT	1.4
	NVIDIA Corp.	1.4
	TOTAL	29.1%


	Description	% of Net Assets
	HP, Inc.	1.2%
	Willis Towers Watson PLC	1.1
	Cognizant Technology Solutions Corp. Class A	1.0
	McKesson Corp.	1.0
	Archer-Daniels-Midland Co.	1.0
	Quest Diagnostics, Inc.	0.9
	T Rowe Price Group, Inc.	0.8
	Expeditors International of Washington, Inc.	0.7
	Cincinnati Financial Corp.	0.7
	Dollar General Corp.	0.7
	TOTAL	9.1%


	Description	% of Net Assets
	HP, Inc.	1.5%
	McKesson Corp.	0.8
	Molina Healthcare, Inc.	0.7
	Marathon Petroleum Corp.	0.7
	Nucor Corp.	0.7
	Valero Energy Corp.	0.7
	Ovintiv, Inc.	0.7
	Archer-Daniels-Midland Co.	0.6
	Steel Dynamics, Inc.	0.6
	Amdocs, Ltd.	0.6
	TOTAL	7.6%


	Description	% of Net Assets
	HP, Inc.	2.0%
	Phillips 66	1.6
	T Rowe Price Group, Inc.	1.5
	Gilead Sciences, Inc.	1.4
	Valero Energy Corp.	1.3
	LyondellBasell Industries NV Class A	1.3
	Dow, Inc.	1.2
	Walgreens Boots Alliance, Inc.	1.2
	Corning, Inc.	1.1
	ONEOK, Inc.	1.1
	TOTAL	13.7%


		% of Net Assets
	Information Technology	32.3%
	Health Care	15.5
	Industrials	11.1
	Consumer Discretionary	11.0
	Financials	10.6
	Real Estate	8.0
	Communication Services	6.6
	Materials	2.1
	Consumer Staples	1.8
	Utilities	0.8
	Short-Term Investment	0.1
	Other Assets in Excess of Liabilities	0.1
	TOTAL	100.0%


		% of Net Assets
	Industrials	17.5%
	Information Technology	14.9
	Financials	14.0
	Consumer Discretionary	11.3
	Health Care	10.7
	Consumer Staples	8.5
	Utilities	7.5
	Materials	6.7
	Real Estate	5.5
	Communication Services	2.5
	Energy	0.7
	Short-Term Investments	0.6
	Liabilities in Excess of Other Assets	(0.4)
	TOTAL	100.0%


		% of Net Assets
	Information Technology	17.3%
	Industrials	13.7
	Financials	11.8
	Consumer Discretionary	10.6
	Health Care	10.4
	Energy	9.3
	Materials	9.0
	Consumer Staples	6.4
	Utilities	5.0
	Real Estate	4.0
	Communication Services	2.3
	Short-Term Investments	1.1
	Liabilities in Excess of Other Assets	(0.9)
	TOTAL	100.0%


		% of Net Assets
	Financials	17.2%
	Consumer Discretionary	13.3
	Materials	9.8
	Real Estate	9.7
	Industrials	9.6
	Utilities	8.6
	Information Technology	8.4
	Consumer Staples	8.2
	Energy	7.0
	Health Care	4.9
	Communication Services	3.0
	Short-Term Investments	0.9
	Liabilities in Excess of Other Assets	(0.6)
	TOTAL	100.0%


	Description	% of Net Assets
	Targa Resources Corp.	1.5%
	Carlisle Cos., Inc.	1.4
	Steel Dynamics, Inc.	1.3
	Service Corp. International	1.2
	Darling Ingredients, Inc.	1.1
	Rexford Industrial Realty, Inc. REIT	1.0
	Life Storage, Inc. REIT	1.0
	Neurocrine Biosciences, Inc.	1.0
	Builders FirstSource, Inc.	1.0
	East West Bancorp, Inc.	1.0
	TOTAL	11.5%


		% of Net Assets
	Industrials	18.1%
	Information Technology	16.3
	Consumer Discretionary	15.1
	Health Care	13.5
	Financials	11.8
	Real Estate	8.0
	Materials	7.4
	Energy	4.6
	Communication Services	2.0
	Consumer Staples	1.6
	Utilities	1.4
	Short-Term Investments	1.7
	Liabilities in Excess of Other Assets	(1.5)
	TOTAL	100.0%


	Description	% of Net Assets
	First Horizon Corp.	1.1%
	Alleghany Corp.	1.1
	Reliance Steel & Aluminum Co.	1.0
	EQT Corp.	1.0
	Jazz Pharmaceuticals PLC	1.0
	AECOM	0.9
	Medical Properties Trust, Inc. REIT	0.9
	BJ's Wholesale Club Holdings, Inc.	0.8
	UGI Corp.	0.8
	Lithia Motors, Inc.	0.8
	TOTAL	9.4%


		% of Net Assets
	Industrials	18.4%
	Financials	17.6
	Consumer Discretionary	12.2
	Real Estate	10.4
	Information Technology	10.1
	Health Care	7.4
	Utilities	6.6
	Materials	6.4
	Consumer Staples	6.1
	Energy	3.4
	Communication Services	1.2
	Short-Term Investments	1.3
	Liabilities in Excess of Other Assets	(1.1)
	TOTAL	100.0%


	Description	% of Net Assets
	Southwestern Energy Co.	0.8%
	Agree Realty Corp. REIT	0.6
	Omnicell, Inc.	0.6
	Rogers Corp.	0.6
	ExlService Holdings, Inc.	0.6
	AMN Healthcare Services, Inc.	0.6
	Vonage Holdings Corp.	0.6
	Exponent, Inc.	0.5
	Helmerich & Payne, Inc.	0.5
	Lantheus Holdings, Inc.	0.5
	TOTAL	5.9%


		% of Net Assets
	Information Technology	19.9%
	Health Care	16.2
	Financials	15.1
	Industrials	14.1
	Consumer Discretionary	11.4
	Real Estate	6.8
	Consumer Staples	5.5
	Energy	4.1
	Materials	3.5
	Communication Services	1.7
	Utilities	1.5
	Short-Term Investments	6.0
	Liabilities in Excess of Other Assets	(5.8)
	TOTAL	100.0%


		% of Net Assets
	Financials	20.7%
	Industrials	18.1
	Consumer Discretionary	11.5
	Health Care	9.1
	Real Estate	8.4
	Information Technology	7.7
	Materials	7.0
	Energy	6.2
	Consumer Staples	5.6
	Utilities	3.1
	Communication Services	2.3
	Short-Term Investments	4.2
	Liabilities in Excess of Other Assets	(3.9)
	TOTAL	100.0%


		% of Net Assets
	Information Technology	29.5%
	Health Care	16.8
	Financials	9.9
	Consumer Discretionary	8.0
	Energy	8.0
	Consumer Staples	6.7
	Industrials	6.6
	Communication Services	4.9
	Real Estate	3.5
	Utilities	3.2
	Materials	2.6
	Short-Term Investments	0.3
	Other Assets in Excess of Liabilities	0.0 *
	TOTAL	100.0%
*	Amount shown represents less than 0.05% of net assets.


	Description	% of Net Assets
	Berkshire Hathaway, Inc. Class B	2.6%
	Walmart, Inc.	2.1
	Exxon Mobil Corp.	1.9
	AT&T, Inc.	1.8
	Apple, Inc.	1.8
	JPMorgan Chase & Co.	1.5
	CVS Health Corp.	1.5
	Microsoft Corp.	1.4
	Amazon.com, Inc.	1.4
	Verizon Communications, Inc.	1.3
	TOTAL	17.3%


	Description	% of Net Assets
	Daqo New Energy Corp. ADR	3.1%
	JinkoSolar Holding Co., Ltd. ADR	2.9
	Centrais Eletricas Brasileiras SA ADR	2.9
	Avangrid, Inc.	2.8
	NextEra Energy, Inc.	2.8
	Consolidated Edison, Inc.	2.7
	New Jersey Resources Corp.	2.7
	ALLETE, Inc.	2.7
	Enphase Energy, Inc.	2.7
	First Solar, Inc.	2.6
	TOTAL	27.9%


		% of Net Assets
	Utilities	37.2%
	Industrials	33.0
	Information Technology	22.0
	Consumer Discretionary	4.9
	Energy	2.5
	Short-Term Investments	8.5
	Liabilities in Excess of Other Assets	(8.1)
	TOTAL	100.0%


	Description	% of Net Assets
	Iridium Communications, Inc.	4.0%
	Northrop Grumman Corp.	3.9
	L3Harris Technologies, Inc.	3.8
	Boeing Co.	3.8
	Lockheed Martin Corp.	3.8
	Raytheon Technologies Corp.	3.8
	Aerojet Rocketdyne Holdings, Inc.	3.7
	Teledyne Technologies, Inc.	3.6
	Hexcel Corp.	3.5
	HEICO Corp.	3.5
	TOTAL	37.4%


		% of Net Assets
	Industrials	76.2%
	Information Technology	15.0
	Communication Services	4.0
	Materials	2.5
	Energy	2.2
	Short-Term Investments	1.0
	Liabilities in Excess of Other Assets	(0.9)
	TOTAL	100.0%


	Description	% of Net Assets
	Elbit Systems, Ltd.	1.8%
	908 Devices, Inc.	1.7
	Iridium Communications, Inc.	1.7
	Northrop Grumman Corp.	1.6
	Tufin Software Technologies, Ltd.	1.6
	ManTech International Corp. Class A	1.6
	Mandiant, Inc.	1.6
	Parsons Corp.	1.6
	OSI Systems, Inc.	1.6
	L3Harris Technologies, Inc.	1.6
	TOTAL	16.4%


		% of Net Assets
	Information Technology	51.4%
	Industrials	42.2
	Communication Services	3.2
	Health Care	3.1
	Short-Term Investments	1.2
	Liabilities in Excess of Other Assets	(1.1)
	TOTAL	100.0%


	Description	% of Net Assets
	Badger Meter, Inc.	2.5%
	Parsons Corp.	2.5
	Alarm.com Holdings, Inc.	2.5
	Itron, Inc.	2.5
	Silicon Laboratories, Inc.	2.4
	Blink Charging Co.	2.4
	Atlantica Sustainable Infrastructure PLC	2.4
	Energy Recovery, Inc.	2.4
	Xylem, Inc.	2.4
	Pentair PLC	2.3
	TOTAL	24.3%


		% of Net Assets
	Industrials	51.6%
	Information Technology	27.0
	Consumer Discretionary	9.7
	Communication Services	4.5
	Energy	4.0
	Utilities	2.8
	Short-Term Investments	9.6
	Liabilities in Excess of Other Assets	(9.2)
	TOTAL	100.0%