State Street Global Advisors Trust Company State …...State Street Russell Small Cap Value® Index Non-Lending Series Fund - Class C (4,992,900 units outstanding, at $24.05 per unit

State Street Global Advisors Trust Company

State Street Russell Small Cap Value® Index Non-Lending Series Fund

Financial Statements

December 31, 2018

PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210

T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us

Report of Independent Auditors

To the Trustee of State Street Russell Small Cap Value® Index Non-Lending Series Fund We have audited the accompanying financial statements of State Street Russell Small Cap Value® Index Non-Lending Series Fund (the "Fund"), which comprise the statement of assets and liabilities, including the schedule of investments, as of December 31, 2018 and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements." Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors' Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of State Street Russell Small Cap Value® Index Non-Lending Series Fund as of December 31, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

March 22, 2019



Statement of Assets and Liabilities

December 31, 2018

The accompanying notes are an integral part

of these financial statements.

2

Assets

Investments in securities, at value (cost $130,479,359) $ 120,247,891

Cash 2,168

Cash, segregated 149,109

Due from Trustee 2

Receivable for Fund units issued 24,544

Receivable for investments sold 474,801

Variation margin receivable 17,010

Dividends receivable 394,352

Interest receivable 5,262

Total assets 121,315,139

Liabilities

Payable for Fund units redeemed 97,977

Payable for investments purchased 1,124,767

Management fees payable 4,297

Administration fees payable 1,849

Total liabilities 1,228,890

Net Assets, at value $ 120,086,249



Statement of Assets and Liabilities (continued)

December 31, 2018



3

State Street Russell Small Cap Value® Index Non-Lending Series Fund - Class C

(4,992,900 units outstanding, at $24.05 per unit net asset value) $ 120,086,249



Statement of Operations

Year Ended December 31, 2018



4

Investment income

Dividends $ 3,188,321

Interest 38,244

Total investment income 3,226,565

Expenses

Management fees 31,886

Administration fees 31,538

Audit fees 8,500

Other expenses 3,951

Total expenses 75,875

Waivers and reimbursements (26,196)

Net expenses 49,679

Net investment income (loss) 3,176,886

Net realized and unrealized gain (loss):

Net realized gain (loss):

Investments 18,926,060

Foreign currency transactions (36)

Futures contracts (491,972)

18,434,052

Net change in unrealized appreciation (depreciation):

Investments (35,978,532)

Futures contracts (174,106)

(36,152,638)

Net realized and unrealized gain (loss) (17,718,586)

Net increase (decrease) in net assets resulting from operations $ (14,541,700)



Statement of Changes in Net Assets




5

From operations

Net investment income (loss) $ 3,176,886

Net realized gain (loss) 18,434,052

Net change in unrealized appreciation (depreciation) (36,152,638)

Net increase (decrease) in net assets resulting from operations (14,541,700)

Net increase (decrease) in net assets resulting from participant transactions (21,634,266)

Net increase (decrease) in net assets (36,175,966)

Net Assets

Beginning of year 156,262,215

End of year $ 120,086,249



Statement of Changes in Net Assets (continued)

Year Ended

December 31, 2018

Units Amount



6

Units of Participation

Participant transactions for the Fund were as follows:

Class A1

Units issued 332,324 $ 9,443,185

Units redeemed (3,600,876) (102,869,206)

(3,268,552) (93,426,021)

Class C

Units issued 3,570,269 $ 98,803,698

Units redeemed (978,979) (27,011,943)

2,591,290 71,791,755

Net increase (decrease) $ (21,634,266)

1 Due to participant redemptions, the Class had no units outstanding subsequent to October 19, 2018.


State Street Russell Small Cap Value® Index Non-Lending Series Fund - Class C

Financial Highlights


(For a Unit of Participation Outstanding Throughout the Year)



7

Selected Per Unit Data

Net asset value, beginning of year $ 27.59

Net investment income (loss)1 0.65

Net realized and unrealized gain (loss) (4.19)

Total from investment operations (3.54)

Net asset value, end of year $ 24.05

Total return (%)2 (12.83)

Ratios to Average Net Assets3

Ratio of expenses (%)4, 5 0.052

Ratio of net investment income (loss) (%) 2.329

1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the

percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes

only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which

are incurred in the management or maintenance of individual participant accounts. Total return would have been lower

had certain expenses not been waived or reimbursed by the Trustee (Note 2). 3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses

charged to the fund(s) in which the Fund invests (indirect expenses). Calculations may include the effects of

reimbursements or waivers of both direct and indirect expenses (Note 2). 4 The ratio of expenses to average daily net assets would have been approximately 0.020% higher had the Trustee not

waived or reimbursed certain expenses for the year ended December 31, 2018 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.



Schedule of Investments

(showing percentage of total value of investments)

December 31, 2018



8

Common Stock - 97.7% Shares

Value

($)

Aerospace & Defense - 1.4%

AAR Corp. 4,500 168,030

Cubic Corp. 1,000 53,740

Ducommun Inc. 1,600 58,112

Engility Holdings Inc. 2,600 73,996

Esterline Technologies Corp. 3,500 425,075

KeyW Holding Corp. 7,300 48,837

Kratos Defense & Security Solutions Inc. 7,893 111,212

Maxar Technologies Ltd. 8,000 95,680

Mercury Systems Inc. 3,200 151,328

Moog Inc. 4,000 309,920

National Presto Industries Inc. 600 70,152

Sparton Corp. 300 5,457

Triumph Group Inc. 6,900 79,350

Vectrus Inc. 1,200 25,896

Wesco Aircraft Holdings Inc. 4,200 33,180

1,709,965

Air Freight & Logistics - 0.2%

Atlas Air Worldwide Holdings Inc. 3,300 139,227

Echo Global Logistics Inc. 200 4,066

Hub Group Inc. 1,700 63,019

Radiant Logistics Inc. 4,100 17,425

223,737

Airlines - 0.9%

Hawaiian Holdings Inc. 6,500 171,665

Mesa Air Group Inc. 1,200 9,252

SkyWest Inc. 7,000 311,290

Spirit Airlines Inc. 9,300 538,656

1,030,863

Auto Components - 0.9%

American Axle & Manufacturing Holdings Inc. 15,450 171,495

Cooper Tire & Rubber Co. 7,000 226,310

Cooper-Standard Holdings Inc. 2,500 155,300

Dana Inc. 1,200 16,356

Gentherm Inc. 4,500 179,910





December 31, 2018



9


Value

($)

Modine Manufacturing Co. 6,100 65,941

Motorcar Parts of America Inc. 2,000 33,280

Shiloh Industries Inc. 1,300 7,579

Standard Motor Products Inc. 2,983 144,467

Stoneridge Inc. 400 9,860

Superior Industries International Inc. 2,600 12,506

Tenneco Inc. 1,000 27,390

Tower International Inc. 2,900 69,020

1,119,414

Banks - 16.8%

1st Constitution Bancorp 800 15,944

1st Source Corp. 2,290 92,379

Access National Corp. 2,198 46,883

ACNB Corp. 800 31,400

Allegiance Bancshares Inc. 1,000 32,370

Amalgamated Bank 900 17,550

American National Bankshares Inc. 900 26,379

Ames National Corp. 900 22,878

Arrow Financial Corp. 1,548 49,567

Atlantic Capital Bancshares Inc. 800 13,096

Auburn National Bancorporation Inc. 300 9,498

Banc of California Inc. 6,200 82,522

BancFirst Corp. 1,800 89,820

Bancorp Inc. 7,400 58,904

BancorpSouth Bank 12,900 337,206

Bank of Commerce Holdings 1,600 17,536

Bank of Marin Bancorp 1,800 74,232

Bank of Princeton 600 16,740

Bankwell Financial Group Inc. 800 22,968

Banner Corp. 4,400 235,312

Bar Harbor Bankshares 2,195 49,234

Baycom Corp. 1,100 25,399

BCB Bancorp Inc. 1,500 15,705

Berkshire Hills Bancorp Inc. 5,700 153,729

Blue Hills Bancorp Inc. 1,300 27,742

Boston Private Financial Holdings Inc. 11,700 123,669

Bridge Bancorp Inc. 2,500 63,725





December 31, 2018



10


Value

($)

Brookline Bancorp Inc. 11,095 153,333

Bryn Mawr Bank Corp. 2,797 96,217

Business First Bancshares Inc. 1,500 36,345

Byline Bancorp Inc. 1,700 28,322

C&F Financial Corp. 400 21,284

Cadence BanCorp 6,700 112,426

Cambridge Bancorp 300 24,975

Camden National Corp. 2,250 80,933

Capital City Bank Group Inc. 1,200 27,852

Capstar Financial Holdings Inc. 700 10,311

Carolina Financial Corp. 700 20,713

Cathay General Bancorp 10,500 352,065

CB Financial Services Inc. 500 12,390

CBTX Inc. 2,700 79,380

CenterState Bank Corp. 12,577 264,620

Central Pacific Financial Corp. 3,400 82,790

Central Valley Community Bancorp 1,200 22,644

Century Bancorp Inc. 307 20,793

Chemical Financial Corp. 9,750 356,948

Chemung Financial Corp. 400 16,524

Citizens & Northern Corp. 1,700 44,931

City Holding Co. 1,900 128,421

Civista Bancshares Inc. 1,100 19,162

CNB Financial Corp. 1,456 33,415

Coastal Financial Corp. 900 13,707

Codorus Valley Bancorp Inc. 947 20,124

Columbia Banking System Inc. 9,956 361,303

Community Bank System Inc. 6,812 397,140

Community Bankers Trust Corp. 2,854 20,606

Community Financial Corp. 600 17,544

Community Trust Bancorp Inc. 2,210 87,538

ConnectOne Bancorp Inc. 3,340 61,690

County Bancorp Inc. 900 15,633

Customers Bancorp Inc. 2,740 49,868

CVB Financial Corp. 15,300 309,519

Eagle Bancorp Inc. 910 44,326

Enterprise Bancorp Inc. 944 30,359

Enterprise Financial Services Corp. 2,200 82,786





December 31, 2018



11


Value

($)

Equity Bancshares Inc. 1,000 35,250

Esquire Financial Holdings Inc. 400 8,680

Evans Bancorp Inc. 700 22,757

Farmers & Merchants Bancorp Inc. 100 3,849

Farmers National Banc Corp. 2,700 34,398

FB Financial Corp. 1,000 35,020

Fidelity D&D Bancorp Inc. 300 19,254

Fidelity Southern Corp. 3,185 82,874

Financial Institutions Inc. 2,300 59,110

First Bancorp 4,076 133,122

First Bancorp Inc. 1,031 27,115

First BanCorp. 29,400 252,840

First Bancshares Inc. 1,900 57,475

First Bank 1,700 20,604

First Busey Corp. 6,145 150,798

First Business Financial Services Inc. 900 17,559

First Choice Bancorp 1,200 27,120

First Commonwealth Financial Corp. 13,900 167,912

First Community Bankshares Inc. 2,100 66,108

First Community Corp. 800 15,544

First Financial Bancorp 13,037 309,238

First Financial Corp. 1,700 68,255

First Financial Northwest Inc. 800 12,376

First Foundation Inc. 3,900 50,154

First Guaranty Bancshares Inc. 660 15,319

First Internet Bancorp 900 18,396

First Interstate BancSystem Inc. 4,546 166,202

First Merchants Corp. 6,800 233,036

First Mid-Illinois Bancshares Inc. 1,900 60,648

First Midwest Bancorp Inc. 14,000 277,340

First Northwest Bancorp 1,000 14,830

First of Long Island Corp. 3,575 71,321

First Savings Financial Group Inc. 269 13,972

First United Corp. 1,000 15,920

Flushing Financial Corp. 4,000 86,120

Franklin Financial Network Inc. 1,400 36,918

Fulton Financial Corp. 23,500 363,780

German American Bancorp Inc. 2,350 65,260





December 31, 2018



12


Value

($)

Glacier Bancorp Inc. 9,800 388,276

Great Southern Bancorp Inc. 1,600 73,648

Great Western Bancorp Inc. 8,100 253,125

Green Bancorp Inc. 2,500 42,850

Guaranty Bancorp 640 13,280

Guaranty Bancshares Inc. 800 23,856

Hancock Whitney Corp. 11,593 401,697

Hanmi Financial Corp. 4,137 81,499

HarborOne Bancorp Inc. 1,000 15,890

Heartland Financial USA Inc. 4,100 180,195

Heritage Commerce Corp. 600 6,804

Heritage Financial Corp. 5,058 150,324

Hilltop Holdings Inc. 9,973 177,819

Home BancShares Inc. 16,826 274,937

HomeTrust Bancshares Inc. 1,300 34,034

Hope Bancorp Inc. 17,169 203,624

Horizon Bancorp Inc. 5,337 84,218

Howard Bancorp Inc. 1,100 15,730

IBERIABANK Corp. 7,500 482,100

Independent Bank Corp. 3,328 233,992

Independent Bank Corp. 1,700 35,734

Independent Bank Group Inc. 2,200 100,694

International Bancshares Corp. 7,600 261,440

Investar Holding Corp. 800 19,840

Investors Bancorp Inc. 31,724 329,930

Lakeland Bancorp Inc. 6,449 95,510

Lakeland Financial Corp. 650 26,104

LCNB Corp. 1,200 18,180

LegacyTexas Financial Group Inc. 4,000 128,360

Level One Bancorp Inc. 800 17,944

Live Oak Bancshares Inc. 1,300 19,253

Macatawa Bank Corp. 2,600 25,012

MB Financial Inc. 10,129 401,412

MBT Financial Corp. 1,900 17,670

Mercantile Bank Corp. 2,400 67,824

Metropolitan Bank Holding Corp. 700 21,595

Mid Penn Bancorp Inc. 500 11,510

Middlefield Banc Corp. 400 16,972





December 31, 2018



13


Value

($)

Midland States Bancorp Inc. 1,100 24,574

MidSouth Bancorp Inc. 1,550 16,430

MidWestOne Financial Group Inc. 1,200 29,796

MutualFirst Financial Inc. 600 15,942

MVB Financial Corp. 900 16,236

National Bank Holdings Corp. 2,800 86,436

National Bankshares Inc. 700 25,501

National Commerce Corp. 1,200 43,200

NBT Bancorp Inc. 5,924 204,911

Nicolet Bankshares Inc. 1,200 58,560

Northeast Bancorp 700 11,711

Northrim BanCorp. Inc. 700 23,009

Norwood Financial Corp. 600 19,800

Oak Valley Bancorp 700 12,810

OFG Bancorp 6,200 102,052

Ohio Valley Banc Corp. 400 14,156

Old Line Bancshares Inc. 1,500 39,480

Old National Bancorp 20,671 318,333

Old Second Bancorp Inc. 4,103 53,339

Opus Bank 2,800 54,852

Origin Bancorp Inc. 1,700 57,936

Orrstown Financial Services Inc. 800 14,568

Pacific City Financial Corp. 1,400 21,910

Pacific Mercantile Bancorp 2,000 14,300

Pacific Premier Bancorp Inc. 4,314 110,093

Park National Corp. 1,900 161,405

Parke Bancorp Inc. 690 12,913

Peapack Gladstone Financial Corp. 2,726 68,641

Penns Woods Bancorp Inc. 500 20,120

Peoples Bancorp Inc. 2,600 78,260

Peoples Bancorp of North Carolina Inc. 460 11,252

Peoples Financial Services Corp. 800 35,248

Premier Financial Bancorp Inc. 1,212 18,071

QCR Holdings Inc. 1,900 60,971

RBB Bancorp 1,400 24,598

Reliant Bancorp Inc. 1,100 25,344

Renasant Corp. 6,690 201,904

Republic Bancorp Ltd. 1,400 54,208





December 31, 2018



14


Value

($)

Republic First Bancorp Inc. 3,700 22,089

S&T Bancorp Inc. 4,800 181,632

Sandy Spring Bancorp Inc. 4,867 152,532

SB One Bancorp 800 16,352

Seacoast Banking Corp. of Florida 5,300 137,906

Select Bancorp Inc. 2,300 28,474

Shore Bancshares Inc. 1,300 18,902

Sierra Bancorp 1,500 36,045

Simmons First National Corp. 12,358 298,199

SmartFinancial Inc. 1,100 20,097

South State Corp. 4,960 297,352

Southern First Bancshares Inc. 700 22,449

Southern National Bancorp of Virginia Inc. 2,100 27,762

Southside Bancshares Inc. 4,407 139,922

Spirit of Texas Bancshares Inc. 900 20,502

State Bank Financial Corp. 3,600 77,724

Stock Yards Bancorp Inc. 2,500 82,000

Summit Financial Group Inc. 1,200 23,172

Tompkins Financial Corp. 1,760 132,018

Towne Bank 9,091 217,729

TriCo. Bancshares 3,390 114,548

TriState Capital Holdings Inc. 2,700 52,542

Trustmark Corp. 8,800 250,184

UMB Financial Corp. 6,000 365,820

Union Bankshares Corp. 8,982 253,562

United Bankshares Inc. 13,246 412,083

United Community Banks Inc. 9,781 209,900

United Security Bancshares 2,000 19,160

Unity Bancorp Inc. 1,200 24,912

Univest Corp. of Pennsylvania 4,156 89,645

Valley National Bancorp 43,983 390,569

Veritex Holdings Inc. 2,300 49,174

Washington Trust Bancorp Inc. 1,400 66,542

WesBanco Inc. 7,199 264,131

West Bancorporation Inc. 1,300 24,817

Westamerica Bancorporation 3,400 189,312

20,073,309





December 31, 2018



15


Value

($)

Beverages - 0.0%

MGP Ingredients Inc. 200 11,410

Biotechnology - 0.8%

Abeona Therapeutics Inc. 400 2,856

Acceleron Pharma Inc. 700 30,485

Achillion Pharmaceuticals Inc. 14,400 22,896

Acorda Therapeutics Inc. 5,400 84,132

Adamas Pharmaceuticals Inc. 1,100 9,394

Adverum Biotechnologies Inc. 5,300 16,695

AgeX Therapeutics Inc. 690 2,063

Albireo Pharma Inc. 700 17,171

Alder Biopharmaceuticals Inc. 1,200 12,300

Allogene Therapeutics Inc. 600 16,158

AMAG Pharmaceuticals Inc. 5,000 75,950

Arbutus Biopharma Corp. 2,700 10,341

Arcus Biosciences Inc. 1,500 16,155

Ardelyx Inc. 3,500 6,265

Arena Pharmaceuticals Inc. 1,400 54,530

Audentes Therapeutics Inc. 300 6,396

AVEO Pharmaceuticals Inc. 4,400 7,040

Bellicum Pharmaceuticals Inc. 900 2,628

BioCryst Pharmaceuticals Inc. 1,800 14,526

BioTime Inc. 6,900 6,300

Calithera Biosciences Inc. 3,300 13,233

Cara Therapeutics Inc. 600 7,800

Catalyst Biosciences Inc. 1,700 13,413

Chimerix Inc. 4,700 12,079

Concert Pharmaceuticals Inc. 2,300 28,865

Corvus Pharmaceuticals Inc. 200 734

Dynavax Technologies Corp. 1,000 9,150

Epizyme Inc. 1,500 9,240

Five Prime Therapeutics Inc. 3,500 32,550

Immune Design Corp. 2,300 2,990

Immunomedics Inc. 1,300 18,551

Karyopharm Therapeutics Inc. 700 6,559

Myriad Genetics Inc. 800 23,256





December 31, 2018



16


Value

($)

NantKwest Inc. 2,900 3,364

NewLink Genetics Corp. 4,000 6,080

Novavax Inc. 33,600 61,824

Nymox Pharmaceutical Corp. 2,200 2,882

OPKO Health Inc. 45,100 135,751

PDL BioPharma Inc. 15,700 45,530

Portola Pharmaceuticals Inc. 500 9,760

Prothena Corp. PLC 5,900 60,770

Ra Pharmaceuticals Inc. 1,400 25,480

Spectrum Pharmaceuticals Inc. 800 7,000

Spero Therapeutics Inc. 1,400 8,610

Synlogic Inc. 1,600 11,216

970,968

Building Products - 0.3%

Apogee Enterprises Inc. 600 17,910

Armstrong Flooring Inc. 2,100 24,864

Caesarstone Ltd. 2,400 32,592

Gibraltar Industries Inc. 4,500 160,155

Griffon Corp. 3,800 39,710

Insteel Industries Inc. 200 4,856

Masonite International Corp. 200 8,966

Quanex Building Products Corp. 5,100 69,309

Universal Forest Products Inc. 700 18,172

376,534

Capital Markets - 1.1%

Arlington Asset Investment Corp. 2,900 20,996

Associated Capital Group Inc. 400 14,092

B. Riley Financial Inc. 2,136 30,331

Blucora Inc. 1,896 50,509

BrightSphere Investment Group PLC 1,200 12,816

Cowen Inc. 1,622 21,637

Donnelley Financial Solutions Inc. 1,900 26,657

Federated Investors Inc. 3,700 98,235

Focus Financial Partners Inc. 900 23,697

GAIN Capital Holdings Inc. 2,900 17,864

GAMCO Investors Inc. 380 6,418





December 31, 2018



17


Value

($)

Greenhill & Co. Inc. 300 7,320

INTL. FCStone Inc. 2,147 78,537

Investment Technology Group Inc. 4,000 120,960

Ladenburg Thalmann Financial Services Inc. 1,200 2,796

Newstar Financial, Inc. CVR1 4,400 1,142

Oppenheimer Holdings Inc. 1,000 25,550

Piper Jaffray Cos 1,928 126,940

PJT Partners Inc. 200 7,752

Stifel Financial Corp. 9,398 389,265

Virtus Investment Partners Inc. 804 63,862

Waddell & Reed Financial Inc. 10,800 195,264

1,342,640

Chemicals - 1.4%

Advanced Emissions Solutions Inc. 300 3,165

AdvanSix Inc. 2,900 70,586

AgroFresh Solutions Inc. 2,900 10,991

American Vanguard Corp. 4,285 65,089

Amyris Inc. 2,200 7,348

Flotek Industries Inc. 7,500 8,175

FutureFuel Corp. 3,600 57,096

Hawkins Inc. 1,100 45,045

HB Fuller Co. 1,700 72,539

Innophos Holdings Inc. 2,500 61,325

Innospec Inc. 3,300 203,808

Intrepid Potash Inc. 10,100 26,260

Koppers Holdings Inc. 600 10,224

Kraton Corp. 300 6,552

Livent Corp. 1,900 26,220

LSB Industries Inc. 2,700 14,904

Minerals Technologies Inc. 4,700 241,298

PolyOne Corp. 500 14,300

PQ Group Holdings Inc. 5,400 79,974

Rayonier Advanced Materials Inc. 7,300 77,745

Sensient Technologies Corp. 2,800 156,380

Stepan Co. 2,800 207,200

Trecora Resources 2,200 17,160

Tredegar Corp. 3,800 60,268





December 31, 2018



18


Value

($)

Trinseo SA 1,900 86,982

Tronox Ltd. 7,300 56,794

Valhi Inc. 3,100 5,983

1,693,411

Commercial Services & Supplies - 1.8%

ABM Industries Inc. 9,100 292,201

ACCO Brands Corp. 14,700 99,666

Advanced Disposal Services Inc. 400 9,576

Brady Corp. 6,500 282,490

BrightView Holdings Inc. 1,500 15,315

Casella Waste Systems Inc. 4,546 129,516

CECO Environmental Corp. 3,186 21,506

Ennis Inc. 3,800 73,150

Essendant Inc. 5,500 69,190

Heritage-Crystal Clean Inc. 1,500 34,515

Herman Miller Inc. 900 27,225

Interface Inc. 600 8,550

Kimball International Inc. 700 9,933

Knoll Inc. 300 4,944

LSC Communications Inc. 3,600 25,200

Matthews International Corp. 4,300 174,666

Mobile Mini Inc. 500 15,875

Multi-Color Corp. 2,000 70,180

NL Industries Inc. 900 3,159

PICO Holdings Inc. 2,200 20,108

Pitney Bowes Inc. 13,400 79,194

Quad/Graphics Inc. 3,500 43,120

RR Donnelley & Sons Co. 7,500 29,700

SP Plus Corp. 2,400 70,896

Steelcase Inc. 11,800 174,994

Team Inc. 4,136 60,592

Tetra Tech Inc. 400 20,708

UniFirst Corp. 1,782 254,951

Viad Corp. 1,200 60,108

VSE Corp. 800 23,928

2,205,156





December 31, 2018



19


Value

($)

Communications Equipment - 2.4%

Acacia Communications Inc. 3,300 125,400

ADTRAN Inc. 6,900 74,106

Applied Optoelectronics Inc. 500 7,715

Calix Inc. 2,200 21,450

Ciena Corp. 19,400 657,854

Comtech Telecommunications Corp. 3,300 80,322

DASAN Zhone Solutions Inc. 1,000 13,910

Digi International Inc. 2,800 28,252

Finisar Corp. 16,100 347,760

Harmonic Inc. 12,300 58,056

Infinera Corp. 21,800 86,982

InterDigital Inc. 2,700 179,361

KVH Industries Inc. 2,000 20,580

Lumentum Holdings Inc. 1,488 62,511

NETGEAR Inc. 3,200 166,496

NetScout Systems Inc. 9,800 231,574

Ribbon Communications Inc. 5,600 26,992

ViaSat Inc. 7,500 442,125

Viavi Solutions Inc. 20,200 203,010

2,834,456

Construction & Engineering - 0.8%

Aegion Corp. 4,600 75,072

Ameresco Inc. 2,300 32,430

Argan Inc. 2,100 79,464

EMCOR Group Inc. 2,000 119,380

Granite Construction Inc. 1,348 54,297

Great Lakes Dredge & Dock Corp. 8,000 52,960

IES Holdings Inc. 900 13,995

Infrastructure and Energy Alternatives Inc. 1,800 14,742

KBR Inc. 19,200 291,456

Northwest Pipe Co. 1,000 23,290

Orion Group Holdings Inc. 2,100 9,009

Primoris Services Corp. 1,400 26,782

Sterling Construction Co. Inc. 2,200 23,958

Tutor Perini Corp. 5,378 85,887





December 31, 2018



20


Value

($)

Willscot Corp. 1,100 10,362

913,084

Construction Materials - 0.0%

United States Lime & Minerals Inc. 200 14,200

Consumer Finance - 0.5%

Encore Capital Group Inc. 3,738 87,843

EZCORP Inc. 7,500 57,975

LendingClub Corp. 44,300 116,509

Nelnet Inc. 2,600 136,084

PRA Group Inc. 6,200 151,094

Regional Management Corp. 500 12,025

World Acceptance Corp. 800 81,808

643,338

Containers & Packaging - 0.1%

Greif Inc. 3,300 122,463

Greif Inc. 500 22,200

UFP Technologies Inc. 800 24,032

168,695

Distributors - 0.1%

Core-Mark Holding Co. Inc. 5,800 134,850

Weyco Group Inc. 700 20,419

155,269

Diversified Consumer Services - 0.8%

Adtalem Global Education Inc. 7,700 364,364

American Public Education Inc. 2,200 62,612

Carriage Services Inc. 1,000 15,500

Houghton Mifflin Harcourt Co. 13,600 120,496

K12 Inc. 5,200 128,908

Laureate Education Inc. 12,900 196,596

Regis Corp. 4,400 74,580

Strategic Education Inc. 87 9,868





December 31, 2018



21


Value

($)

Weight Watchers International Inc. 200 7,710

980,634

Diversified Financial Services - 0.3%

Banco Latinoamericano de Comercio Exterior SA 4,500 77,850

Cannae Holdings Inc. 9,600 164,352

FGL Holdings 19,900 132,534

Marlin Business Services Corp. 600 13,398

On Deck Capital Inc. 1,000 5,900

394,034

Diversified Telecommunication Services - 0.6%

ATN International Inc. 1,500 107,295

Cincinnati Bell Inc. 6,642 51,675

Consolidated Communications Holdings Inc. 9,909 97,901

Frontier Communications Corp. 10,946 26,051

Intelsat SA 7,600 162,564

Iridium Communications Inc. 13,200 243,540

pdvWireless Inc. 1,000 37,390

Windstream Holdings Inc. 4,340 9,071

735,487

Electric Utilities - 2.5%

ALLETE Inc. 6,900 525,918

El Paso Electric Co. 5,500 275,715

IDACORP Inc. 6,800 632,808

MGE Energy Inc. 4,750 284,810

Otter Tail Corp. 5,400 268,056

PNM Resources Inc. 10,800 443,772

Portland General Electric Co. 11,955 548,137

2,979,216

Electrical Equipment - 0.6%

AZZ Inc. 2,500 100,900

Babcock & Wilcox Enterprises Inc. 4,680 1,827

Encore Wire Corp. 2,700 135,486

EnerSys 2,000 155,220

Enphase Energy Inc. 11,200 52,976





December 31, 2018



22


Value

($)

FuelCell Energy Inc. 11,900 6,551

Powell Industries Inc. 900 22,509

Preformed Line Products Co. 300 16,275

Sunrun Inc. 13,500 147,015

Thermon Group Holdings Inc. 3,400 68,952

Vicor Corp. 100 3,779

Vivint Solar Inc. 3,000 11,430

722,920

Electronic Equipment, Instruments & Components - 3.5%

Anixter International Inc. 4,029 218,815

Arlo Technologies Inc. 1,100 10,978

AVX Corp. 6,700 102,175

Bel Fuse Inc. 1,000 18,420

Belden Inc. 5,500 229,735

Benchmark Electronics Inc. 5,600 118,608

Control4 Corp. 1,600 28,160

CTS Corp. 4,600 119,094

Daktronics Inc. 3,800 28,120

Electro Scientific Industries Inc. 4,200 125,832

Fabrinet 4,800 246,288

FARO Technologies Inc. 161 6,543

Fitbit Inc. 23,100 114,807

Insight Enterprises Inc. 3,100 126,325

KEMET Corp. 7,900 138,566

Kimball Electronics Inc. 3,850 59,637

Knowles Corp. 12,184 162,169

Maxwell Technologies Inc. 3,600 7,452

Methode Electronics Inc. 2,800 65,212

MTS Systems Corp. 2,500 100,325

OSI Systems Inc. 1,500 109,950

Park Electrochemical Corp. 800 14,456

PC Connection Inc. 1,600 47,568

Plexus Corp. 4,100 209,428

Rogers Corp. 1,200 118,872

Sanmina Corp. 9,400 226,164

ScanSource Inc. 3,500 120,330

SYNNEX Corp. 5,625 454,725





December 31, 2018



23


Value

($)

Tech Data Corp. 5,200 425,412

TTM Technologies Inc. 13,141 127,862

Vishay Intertechnology Inc. 18,100 325,981

Vishay Precision Group Inc. 300 9,069

4,217,078

Energy Equipment & Services - 1.9%

Archrock Inc. 17,700 132,573

Basic Energy Services Inc. 2,000 7,680

Bristow Group Inc. 3,400 8,262

C&J Energy Services Inc. 8,300 112,050

CARBO Ceramics Inc. 2,200 7,656

Dawson Geophysical Co. 2,200 7,436

Diamond Offshore Drilling Inc. 9,200 86,848

Dril-Quip Inc. 4,600 138,138

Era Group Inc. 2,500 21,850

Exterran Corp. 4,650 82,305

Forum Energy Technologies Inc. 11,693 48,292

Frank's International NV 10,700 55,854

FTS International Inc. 4,900 34,839

Helix Energy Solutions Group Inc. 19,700 106,577

Independence Contract Drilling Inc. 2,300 7,176

Keane Group Inc. 300 2,454

KLX Energy Services Holdings Inc. 2,960 69,412

Matrix Service Co. 3,800 68,172

McDermott International Inc. 24,823 162,342

Natural Gas Services Group Inc. 1,300 21,372

NCS Multistage Holdings Inc. 1,000 5,090

Newpark Resources Inc. 12,800 87,936

Nine Energy Service Inc. 2,200 49,588

Noble Corp. PLC 34,600 90,652

Oceaneering International Inc. 13,600 164,560

Oil States International Inc. 8,300 118,524

PHI Inc. 1,400 2,590

Pioneer Energy Services Corp. 7,400 9,102

RigNet Inc. 1,400 17,696

Rowan Cos PLC 17,500 146,825

SEACOR Holdings Inc. 2,400 88,800





December 31, 2018



24


Value

($)

SEACOR Marine Holdings Inc. 1,711 20,121

Select Energy Services Inc. 3,700 23,384

Smart Sand Inc. 3,300 7,326

Superior Energy Services Inc. 21,400 71,690

TETRA Technologies Inc. 2,300 3,864

Tidewater Inc. 4,050 77,477

Unit Corp. 7,300 104,244

US Silica Holdings Inc. 3,300 33,594

2,304,351

Entertainment - 0.2%

AMC Entertainment Holdings Inc. 7,391 90,761

Eros International PLC 1,700 14,093

Marcus Corp. 2,500 98,750

Reading International Inc. 1,600 23,264

Rosetta Stone Inc. 1,700 27,880

254,748

Food & Staples Retailing - 0.5%

Andersons Inc. 3,850 115,077

BJ's Wholesale Club Holdings Inc. 4,400 97,504

Ingles Markets Inc. 2,100 57,162

Natural Grocers by Vitamin Cottage Inc. 1,200 18,396

Rite Aid Corp. 146,400 103,695

Smart & Final Stores Inc. 2,400 11,376

SpartanNash Co. 5,120 87,962

United Natural Foods Inc. 7,100 75,189

Village Super Market Inc. 1,000 26,740

Weis Markets Inc. 1,400 66,892

659,993

Food Products - 1.5%

Alico Inc. 300 8,850

B&G Foods Inc. 8,100 234,171

Cal-Maine Foods Inc. 2,600 109,980

Darling Ingredients Inc. 22,265 428,379

Dean Foods Co. 13,400 51,054

Farmer Brothers Co. 1,100 25,663





December 31, 2018



25


Value

($)

Fresh Del Monte Produce Inc. 4,340 122,692

Hostess Brands Inc. 13,900 152,066

Lancaster Colony Corp. 700 123,802

Landec Corp. 2,900 34,336

Limoneira Co. 900 17,595

Sanderson Farms Inc. 2,800 278,012

Seneca Foods Corp. 700 19,754

Simply Good Foods Co. 8,400 158,760

Tootsie Roll Industries Inc. 2,024 67,602

1,832,716

Gas Utilities - 2.3%

Chesapeake Utilities Corp. 1,893 153,901

New Jersey Resources Corp. 10,700 488,669

Northwest Natural Holding Co. 3,900 235,794

ONE Gas Inc. 6,913 550,275

RGC Resources Inc. 600 17,976

South Jersey Industries Inc. 10,000 278,000

Southwest Gas Holdings Inc. 6,493 496,715

Spire Inc. 6,700 496,336

2,717,666

Health Care Equipment & Services - 0.0%

R1 RCM Inc. 1,500 11,925

Health Care Equipment & Supplies - 0.8%

AngioDynamics Inc. 5,200 104,676

Anika Therapeutics Inc. 1,800 60,498

Avanos Medical Inc. 6,400 286,656

Cerus Corp. 1,800 9,126

CONMED Corp. 2,200 141,240

CryoLife Inc. 1,200 34,056

FONAR Corp. 500 10,120

Integer Holdings Corp. 1,200 91,512

Invacare Corp. 3,500 15,050

LivaNova PLC 1,400 128,058

Meridian Bioscience Inc. 585 10,156





December 31, 2018



26


Value

($)

OraSure Technologies Inc. 300 3,504

Orthofix Medical Inc. 400 20,996

Rockwell Medical Inc. 500 1,130

RTI Surgical Inc. 5,000 18,500

SeaSpine Holdings Corp. 2,100 38,304

973,582

Health Care Providers & Services - 0.8%

AAC Holdings Inc. 600 840

BioScrip Inc. 15,700 56,049

Brookdale Senior Living Inc. 25,800 172,860

Civitas Solutions Inc. 800 14,008

Community Health Systems Inc. 9,100 25,662

Cross Country Healthcare Inc. 3,800 27,854

Diplomat Pharmacy Inc. 1,200 16,152

Guardant Health Inc. 400 15,036

Magellan Health Inc. 3,400 193,426

National HealthCare Corp. 1,700 133,365

National Research Corp. 200 7,628

Owens & Minor Inc. 8,900 56,337

Patterson Cos Inc. 11,300 222,158

Surgery Partners Inc. 1,800 17,622

Triple-S Management Corp. 3,300 57,387

1,016,384

Health Care Technology - 0.4%

Allscripts Healthcare Solutions Inc. 21,200 204,368

Computer Programs & Systems Inc. 600 15,060

Evolent Health Inc. 7,300 145,635

HMS Holdings Corp. 1,100 30,943

NantHealth Inc. 4,400 2,394

NextGen Healthcare Inc. 2,100 31,815

430,215

Hotels, Restaurants & Leisure - 1.3%

BBX Capital Corp. 9,300 53,289

Belmond Ltd. 10,400 260,312

Biglari Holdings Inc. 95 10,790





December 31, 2018



27


Value

($)

Biglari Holdings Inc. 7 4,114

Bojangles' Inc. 1,800 28,944

Boyd Gaming Corp. 800 16,624

Brinker International Inc. 1,100 48,378

Carrols Restaurant Group Inc. 700 6,888

Century Casinos Inc. 3,200 23,648

Chuy's Holdings Inc. 500 8,870

Del Frisco's Restaurant Group Inc. 3,500 25,025

Del Taco Restaurants Inc. 3,300 32,967

Denny's Corp. 1,600 25,936

Dine Brands Global Inc. 974 65,589

Drive Shack Inc. 750 2,940

El Pollo Loco Holdings Inc. 2,300 34,891

Empire Resorts Inc. 400 4,052

Fiesta Restaurant Group Inc. 500 7,755

Habit Restaurants Inc. 2,200 23,100

International Speedway Corp. 3,400 149,124

J Alexander's Holdings Inc. 1,709 14,065

Jack in the Box Inc. 3,100 240,653

Marriott Vacations Worldwide Corp. 927 65,363

Monarch Casino & Resort Inc. 300 11,442

Papa John's International Inc. 1,700 67,677

Penn National Gaming Inc. 10,400 195,832

RCI Hospitality Holdings Inc. 300 6,699

Red Lion Hotels Corp. 1,900 15,580

Red Robin Gourmet Burgers Inc. 1,400 37,408

Speedway Motorsports Inc. 1,200 19,524

Town Sports International Holdings Inc. 1,900 12,160

Wingstop Inc. 300 19,257

1,538,896

Household Durables - 1.7%

Bassett Furniture Industries Inc. 1,100 22,044

Beazer Homes USA Inc. 3,340 31,663

Century Communities Inc. 3,530 60,928

Ethan Allen Interiors Inc. 3,400 59,806

Flexsteel Industries Inc. 900 19,872

Green Brick Partners Inc. 2,400 17,376





December 31, 2018



28


Value

($)

Helen of Troy Ltd. 3,300 432,894

Hooker Furniture Corp. 700 18,438

Hovnanian Enterprises Inc. 10,000 6,839

KB Home 9,400 179,540

La-Z-Boy Inc. 3,800 105,298

Lifetime Brands Inc. 1,400 14,042

M/I Homes Inc. 3,300 69,366

MDC Holdings Inc. 5,955 167,395

Meritage Homes Corp. 4,700 172,584

New Home Co. Inc. 1,400 7,322

Sonos Inc. 900 8,838

Taylor Morrison Home Corp. 13,700 217,830

TRI Pointe Group Inc. 17,400 190,182

Tupperware Brands Corp. 6,300 198,891

Universal Electronics Inc. 1,500 37,920

William Lyon Homes 2,800 29,932

2,069,000

Household Products - 0.1%

Central Garden & Pet Co. 300 10,335

Central Garden & Pet Co. 1,400 43,750

Oil-Dri Corp. of America 493 13,065

Spectrum Brands Holdings Inc. 161 6,802

73,952

Independent Power and Renewable Electricity Producers - 0.7%

Atlantic Power Corp. 11,700 25,389

Clearway Energy Inc. 5,000 84,600

Clearway Energy Inc. 9,700 167,325

Ormat Technologies Inc. 5,300 277,190

Pattern Energy Group Inc. 11,200 208,544

TerraForm Power Inc. 7,867 88,268

851,316

Insurance - 4.1%

Ambac Financial Group Inc. 6,000 103,440

American Equity Investment Life Holding Co. 12,200 340,868

AMERISAFE Inc. 2,500 141,725





December 31, 2018



29


Value

($)

Argo Group International Holdings Ltd. 4,264 286,754

Citizens Inc. 7,000 52,640

CNO Financial Group Inc. 22,400 333,312

Crawford & Co. 1,173 10,557

Donegal Group Inc. 1,000 13,645

eHealth Inc. 2,700 103,734

EMC Insurance Group Inc. 950 30,258

Employers Holdings Inc. 4,500 188,865

Enstar Group Ltd. 1,653 276,993

FBL Financial Group Inc. 1,400 91,910

FedNat Holding Co. 600 11,952

Genworth Financial Inc. 69,100 322,006

Global Indemnity Ltd. 750 27,173

Goosehead Insurance Inc. 1,000 26,290

Greenlight Capital Re Ltd. 3,200 27,584

Hallmark Financial Services Inc. 1,400 14,966

HCI Group Inc. 800 40,648

Heritage Insurance Holdings Inc. 1,900 27,968

Horace Mann Educators Corp. 5,700 213,465

Independence Holding Co. 490 17,248

Investors Title Co. 100 17,668

James River Group Holdings Ltd. 2,000 73,080

Kemper Corp. 2,903 192,701

Kingstone Cos Inc. 700 12,383

Maiden Holdings Ltd. 7,200 11,880

MBIA Inc. 11,400 101,688

National General Holdings Corp. 3,600 87,156

National Western Life Group Inc. 292 87,804

Navigators Group Inc. 2,600 180,674

NI Holdings Inc. 1,600 25,168

ProAssurance Corp. 7,300 296,088

Protective Insurance Corp. 1,000 16,650

RLI Corp. 700 48,293

Safety Insurance Group Inc. 2,000 163,620

Selective Insurance Group Inc. 7,700 469,238

State Auto Financial Corp. 2,400 81,696

Stewart Information Services Corp. 3,100 128,340

Third Point Reinsurance Ltd. 9,700 93,508





December 31, 2018



30


Value

($)

Tiptree Inc. 3,400 19,006

United Fire Group Inc. 2,500 138,625

United Insurance Holdings Corp. 600 9,972

4,959,239

Interactive Media & Services - 0.2%

Cars.com Inc. 9,100 195,650

Meet Group Inc. 7,400 34,262

229,912

Internet & Direct Marketing Retail - 0.3%

1-800-Flowers.com Inc. 2,400 29,352

Gaia Inc. 600 6,216

Lands' End Inc. 1,200 17,052

Leaf Group Ltd. 600 4,110

Liberty Expedia Holdings Inc. 7,000 273,770

330,500

IT Services - 1.5%

CACI International Inc. 3,300 475,299

Cardtronics PLC 800 20,800

CSG Systems International Inc. 600 19,062

EVERTEC Inc. 1,100 31,570

Evo Payments Inc. 600 14,802

Information Services Group Inc. 1,400 5,936

Liquidity Services Inc. 3,200 19,744

LiveRamp Holdings Inc. 5,300 204,739

ManTech International Corp. 3,500 183,033

MoneyGram International Inc. 3,000 6,000

Perficient Inc. 2,500 55,650

Perspecta Inc. 19,600 337,512

Presidio Inc. 5,100 66,555

Sykes Enterprises Inc. 5,500 136,015

Travelport Worldwide Ltd. 14,100 220,242

Unisys Corp. 1,610 18,724

1,815,683





December 31, 2018



31


Value

($)

Leisure Products - 0.4%

Acushnet Holdings Corp. 4,900 103,243

American Outdoor Brands Corp. 7,700 99,022

Callaway Golf Co. 4,500 68,850

Clarus Corp. 2,200 22,264

Escalade Inc. 2,000 22,900

Johnson Outdoors Inc. 200 11,748

Vista Outdoor Inc. 8,100 91,935

YETI Holdings Inc. 1,200 17,808

437,770

Life Sciences Tools & Services - 0.4%

Cambrex Corp. 2,600 98,176

Harvard Bioscience Inc. 3,500 11,130

Luminex Corp. 3,500 80,885

NanoString Technologies Inc. 300 4,449

Syneos Health Inc. 7,800 306,930

501,570

Machinery - 2.7%

Actuant Corp. 4,400 92,356

Alamo Group Inc. 100 7,732

Altra Industrial Motion Corp. 2,500 62,875

Astec Industries Inc. 1,300 39,247

Barnes Group Inc. 5,700 305,634

Blue Bird Corp. 592 10,768

Briggs & Stratton Corp. 6,000 78,480

Chart Industries Inc. 2,400 156,072

CIRCOR International Inc. 2,400 51,120

Columbus McKinnon Corp. 900 27,126

Eastern Co. 600 14,508

EnPro Industries Inc. 2,400 144,240

ESCO Technologies Inc. 3,500 230,825

Federal Signal Corp. 500 9,950

Franklin Electric Co. Inc. 300 12,864

FreightCar America Inc. 1,300 8,697

Gencor Industries Inc. 1,500 16,455

Global Brass & Copper Holdings Inc. 300 7,545





December 31, 2018



32


Value

($)

Gorman-Rupp Co. 1,800 58,338

Graham Corp. 1,000 22,840

Greenbrier Cos Inc. 4,400 173,976

Hurco Cos Inc. 700 24,990

Hyster-Yale Materials Handling Inc. 1,497 92,754

Kennametal Inc. 4,400 146,432

LB Foster Co. 1,000 15,900

Lydall Inc. 1,500 30,465

Manitowoc Co. Inc. 5,125 75,696

Milacron Holdings Corp. 8,800 104,632

Miller Industries Inc. 1,100 29,700

Mueller Water Products Inc. 9,000 81,900

Navistar International Corp. 6,500 168,675

NN Inc. 6,000 40,260

Park-Ohio Holdings Corp. 900 27,621

REV Group Inc. 2,600 19,526

Rexnord Corp. 12,700 291,465

SPX Corp. 800 22,408

SPX FLOW Inc. 5,800 176,436

Standex International Corp. 300 20,154

Titan International Inc. 5,300 24,698

TriMas Corp. 6,400 174,656

Twin Disc Inc. 1,262 18,615

Wabash National Corp. 6,000 78,480

Watts Water Technologies Inc. 1,700 109,701

3,306,812

Marine - 0.2%

Costamare Inc. 5,200 22,828

Eagle Bulk Shipping Inc. 5,000 23,050

Genco Shipping & Trading Ltd. 900 7,101

Matson Inc. 3,300 105,666

Safe Bulkers Inc. 5,400 9,612

Scorpio Bulkers Inc. 6,183 34,192

202,449

Media - 1.9%

Beasley Broadcast Group Inc. 400 1,500





December 31, 2018



33


Value

($)

Boston Omaha Corp. 500 11,700

Clear Channel Outdoor Holdings Inc. 3,900 20,241

Daily Journal Corp. 151 35,334

Emerald Expositions Events Inc. 2,600 32,084

Entercom Communications Corp. 18,100 103,351

Entravision Communications Corp. 5,600 16,296

EW Scripps Co. 6,519 102,544

Fluent Inc. 2,300 8,280

Gannett Co. Inc. 15,900 135,627

Gray Television Inc. 11,100 163,614

Hemisphere Media Group Inc. 1,000 12,140

Liberty Latin America Ltd. 6,200 89,776

Liberty Latin America Ltd. 15,600 227,292

Media General, Inc. CVR1 15,100 1,510

Meredith Corp. 5,400 280,476

MSG Networks Inc. 8,200 193,192

National CineMedia Inc. 11,200 72,576

New Media Investment Group Inc. 8,500 98,345

New York Times Co. 3,500 78,015

Saga Communications Inc. 466 15,485

Scholastic Corp. 3,950 159,027

Sinclair Broadcast Group Inc. 4,600 121,164

TEGNA Inc. 29,600 321,752

WideOpenWest Inc. 3,200 22,816

2,324,137

Metals & Mining - 1.9%

AK Steel Holding Corp. 44,100 99,225

Allegheny Technologies Inc. 17,100 372,267

Carpenter Technology Corp. 6,400 227,904

Century Aluminum Co. 6,700 48,977

Cleveland-Cliffs Inc. 34,300 263,767

Coeur Mining Inc. 22,500 100,575

Commercial Metals Co. 16,000 256,320

Compass Minerals International Inc. 300 12,507

Ferroglobe Representation & Warranty Insurance Trust1 8,700 0

Gold Resource Corp. 900 3,600

Haynes International Inc. 1,800 47,520





December 31, 2018



34


Value

($)

Hecla Mining Co. 58,854 138,895

Kaiser Aluminum Corp. 1,100 98,219

Materion Corp. 2,800 125,972

Olympic Steel Inc. 1,000 14,270

Ramaco Resources Inc. 100 495

Schnitzer Steel Industries Inc. 3,800 81,890

SunCoke Energy Inc. 9,300 79,515

Synalloy Corp. 900 14,931

Tahoe Resources Inc. 22,800 83,220

TimkenSteel Corp. 5,900 51,566

Universal Stainless & Alloy Products Inc. 700 11,347

Warrior Met Coal Inc. 5,700 137,427

Worthington Industries Inc. 400 13,936

2,284,345

Multiline Retail - 0.2%

Big Lots Inc. 4,300 124,356

Dillard's Inc. 1,600 96,496

JC Penney Co. Inc. 33,200 34,528

255,380

Multi-Utilities - 1.1%

Avista Corp. 8,900 378,072

Black Hills Corp. 7,100 445,738

NorthWestern Corp. 6,719 399,377

Unitil Corp. 2,100 106,344

1,329,531

Oil, Gas & Consumable Fuels - 3.4%

Abraxas Petroleum Corp. 1,900 2,071

Adams Resources & Energy Inc. 300 11,613

Alta Mesa Resources Inc. 10,100 10,100

Approach Resources Inc. 6,100 5,319

Arch Coal Inc. 2,300 190,877

Ardmore Shipping Corp. 3,500 16,345

Berry Petroleum Corp. 800 7,000

Bonanza Creek Energy Inc. 2,800 57,876

California Resources Corp. 6,300 107,352





December 31, 2018



35


Value

($)

Callon Petroleum Co. 31,300 203,137

Clean Energy Fuels Corp. 14,500 24,940

Cloud Peak Energy Inc. 7,800 2,857

CONSOL Energy Inc. 2,300 72,933

CVR Energy Inc. 100 3,448

Delek US Holdings Inc. 719 23,375

Denbury Resources Inc. 35,200 60,192

DHT Holdings Inc. 13,700 53,704

Dorian LPG Ltd. 3,531 20,586

Earthstone Energy Inc. 2,000 9,040

Eclipse Resources Corp. 6,700 7,035

Energy Fuels Inc. 12,300 35,055

EP Energy Corp. 5,100 3,570

Frontline Ltd. 11,320 62,600

GasLog Ltd. 5,754 94,711

Golar LNG Ltd. 12,900 280,704

Green Plains Inc. 5,700 74,727

Gulfport Energy Corp. 24,100 157,855

Halcon Resources Corp. 14,100 23,970

Hallador Energy Co. 2,500 12,675

HighPoint Resources Corp. 16,200 40,338

International Seaways Inc. 3,099 52,187

Isramco Inc. 100 11,850

Laredo Petroleum Inc. 15,700 56,834

Matador Resources Co. 800 12,424

Midstates Petroleum Co. Inc. 1,700 12,767

NACCO Industries Inc. 400 13,560

Nordic American Tankers Ltd. 15,600 31,200

Northern Oil and Gas Inc. 15,400 34,804

Oasis Petroleum Inc. 36,900 204,057

Overseas Shipholding Group Inc. 4,800 7,968

Panhandle Oil and Gas Inc. 1,000 15,500

Par Pacific Holdings Inc. 3,827 54,267

PDC Energy Inc. 9,000 267,840

Peabody Energy Corp. 10,400 316,992

Renewable Energy Group Inc. 4,500 115,650

Resolute Energy Corp. 2,700 78,246

REX American Resources Corp. 800 54,488





December 31, 2018



36


Value

($)

Ring Energy Inc. 421 2,139

SandRidge Energy Inc. 3,200 24,352

Scorpio Tankers Inc. 57,300 100,848

SemGroup Corp. 11,000 151,580

Ship Finance International Ltd. 10,647 112,113

SilverBow Resources Inc. 800 18,912

Southwestern Energy Co. 80,300 273,823

Talos Energy Inc. 3,000 48,960

Teekay Corp. 10,200 34,068

Teekay Tankers Ltd. 20,200 18,746

Ultra Petroleum Corp. 16,800 12,770

W&T Offshore Inc. 13,583 55,962

WildHorse Resource Development Corp. 300 4,233

World Fuel Services Corp. 9,200 196,972

4,072,117

Paper & Forest Products - 0.6%

Boise Cascade Co. 300 7,155

Clearwater Paper Corp. 2,300 56,051

Louisiana-Pacific Corp. 15,900 353,298

Neenah Inc. 300 17,676

PH Glatfelter Co. 6,300 61,488

Schweitzer-Mauduit International Inc. 3,600 90,180

Verso Corp. 4,500 100,800

686,648

Personal Products - 0.3%

Edgewell Personal Care Co. 7,400 276,390

Inter Parfums Inc. 200 13,114

Nature's Sunshine Products Inc. 1,300 10,595

Revlon Inc. 200 5,038

305,137

Pharmaceuticals - 0.7%

Akorn Inc. 11,900 40,341

Amphastar Pharmaceuticals Inc. 3,300 65,670

Aratana Therapeutics Inc. 2,400 14,712

Cymabay Therapeutics Inc. 1,500 11,805





December 31, 2018



37


Value

($)

Endo International PLC 28,700 209,510

Intra-Cellular Therapies Inc. 2,400 27,336

Lannett Co. Inc. 3,100 15,376

Mallinckrodt PLC 11,300 178,540

Medicines Co. 500 9,570

Melinta Therapeutics Inc. 5,140 4,074

Menlo Therapeutics Inc. 1,600 6,592

Phibro Animal Health Corp. 200 6,432

Prestige Consumer Healthcare Inc. 7,100 219,248

resTORbio Inc. 1,100 9,482

Tetraphase Pharmaceuticals Inc. 6,700 7,571

Zogenix Inc. 1,500 54,690

880,949

Professional Services - 1.0%

Acacia Research Corp. 5,200 15,496

CBIZ Inc. 7,200 141,840

CRA International Inc. 600 25,530

FTI Consulting Inc. 5,200 346,528

GP Strategies Corp. 1,300 16,393

Huron Consulting Group Inc. 3,100 159,061

ICF International Inc. 2,200 142,516

InnerWorkings Inc. 4,300 16,082

Kelly Services Inc. 4,500 92,160

Mistras Group Inc. 600 8,628

Navigant Consulting Inc. 5,400 129,870

Resources Connection Inc. 2,200 31,240

TrueBlue Inc. 5,400 120,150

1,245,494

Real Estate Investment Trusts (REITs) - 13.6%

Acadia Realty Trust 11,000 261,360

AG Mortgage Investment Trust Inc. 4,200 66,906

Agree Realty Corp. 4,600 271,952

Alexander & Baldwin Inc. 9,467 174,003

American Assets Trust Inc. 5,300 212,901

Anworth Mortgage Asset Corp. 13,700 55,348

Apollo Commercial Real Estate Finance Inc. 16,870 281,054





December 31, 2018



38


Value

($)

Arbor Realty Trust Inc. 9,300 93,651

Ares Commercial Real Estate Corp. 3,800 49,552

Armada Hoffler Properties Inc. 4,900 68,894

ARMOUR Residential REIT Inc. 5,850 119,925

Ashford Hospitality Trust Inc. 12,300 49,200

Blackstone Mortgage Trust Inc. 15,200 484,272

Bluerock Residential Growth REIT Inc. 2,500 22,550

Braemar Hotels & Resorts Inc. 3,101 27,692

BRT Apartments Corp. 900 10,296

Capstead Mortgage Corp. 11,700 78,039

CareTrust REIT Inc. 11,100 204,906

CatchMark Timber Trust Inc. 7,400 52,540

CBL & Associates Properties Inc. 24,900 47,808

Cedar Realty Trust Inc. 9,400 29,516

Chatham Lodging Trust 6,400 113,152

Cherry Hill Mortgage Investment Corp. 2,500 43,850

Chesapeake Lodging Trust 8,200 199,670

City Office REIT Inc. 4,500 46,125

Colony Credit Real Estate Inc. 11,600 183,164

Community Healthcare Trust Inc. 2,200 63,426

CoreCivic Inc. 16,200 288,846

CorEnergy Infrastructure Trust Inc. 1,700 56,236

CorePoint Lodging Inc. 6,000 73,500

Cousins Properties Inc. 57,185 451,762

DiamondRock Hospitality Co. 28,448 258,308

Dynex Capital Inc. 8,200 46,904

Easterly Government Properties Inc. 6,600 103,488

Essential Properties Realty Trust Inc. 4,400 60,896

Exantas Capital Corp. 3,225 32,315

Farmland Partners Inc. 3,700 16,798

First Industrial Realty Trust Inc. 13,300 383,838

Four Corners Property Trust Inc. 3,100 81,220

Franklin Street Properties Corp. 14,861 92,584

Front Yard Residential Corp. 6,900 60,237

GEO Group Inc. 13,075 257,578

Getty Realty Corp. 4,592 135,051

Gladstone Commercial Corp. 4,100 73,472

Gladstone Land Corp. 1,400 16,072





December 31, 2018



39


Value

($)

Global Medical REIT Inc. 2,000 17,780

Global Net Lease Inc. 9,966 175,601

Government Properties Income Trust 13,978 96,029

Granite Point Mortgage Trust Inc. 5,000 90,150

Great Ajax Corp. 1,700 20,485

Hannon Armstrong Sustainable Infrastructure Capital Inc. 7,200 137,160

Healthcare Realty Trust Inc. 16,500 469,260

Hersha Hospitality Trust 5,125 89,893

Independence Realty Trust Inc. 12,396 113,795

Industrial Logistics Properties Trust 9,131 179,599

InfraREIT Inc. 6,200 130,324

Innovative Industrial Properties Inc. 1,100 49,929

Invesco Mortgage Capital Inc. 15,500 224,440

Investors Real Estate Trust 1,730 84,891

iStar Inc. 9,400 86,198

Jernigan Capital Inc. 2,200 43,604

Kite Realty Group Trust 11,550 162,740

KKR Real Estate Finance Trust Inc. 2,700 51,705

Ladder Capital Corp. 12,018 185,918

Lexington Realty Trust 28,077 230,512

LTC Properties Inc. 5,400 225,072

Mack-Cali Realty Corp. 12,500 244,875

MedEquities Realty Trust Inc. 3,200 21,888

Monmouth Real Estate Investment Corp. 9,200 114,080

National Health Investors Inc. 3,100 234,174

National Storage Affiliates Trust 7,100 187,866

New Senior Investment Group Inc. 7,900 32,548

New York Mortgage Trust Inc. 19,800 116,622

NexPoint Residential Trust Inc. 2,300 80,615

NorthStar Realty Europe Corp. 6,400 93,056

One Liberty Properties Inc. 2,100 50,862

Orchid Island Capital Inc. 5,700 36,423

Pebblebrook Hotel Trust 18,492 523,509

Pennsylvania Real Estate Investment Trust 3,800 22,572

PennyMac Mortgage Investment Trust 8,354 155,551

Physicians Realty Trust 24,920 399,468

Piedmont Office Realty Trust Inc. 17,600 299,904

PotlatchDeltic Corp. 8,839 279,666





December 31, 2018



40


Value

($)

Preferred Apartment Communities Inc. 5,800 81,548

PS Business Parks Inc. 800 104,800

QTS Realty Trust Inc. 3,800 140,790

Ready Capital Corp. 1,900 26,277

Redwood Trust Inc. 11,400 171,798

Retail Opportunity Investments Corp. 15,300 242,964

Rexford Industrial Realty Inc. 12,400 365,428

RLJ Lodging Trust 23,631 387,548

RPT Realty 10,100 120,695

Sabra Health Care REIT Inc. 24,219 399,129

Safety Income & Growth Inc. 800 15,048

Saul Centers Inc. 100 4,722

Select Income REIT 12,200 89,792

Seritage Growth Properties 4,600 148,718

Spirit MTA REIT 4,600 32,798

STAG Industrial Inc. 12,800 318,464

Summit Hotel Properties Inc. 14,500 141,085

Sunstone Hotel Investors Inc. 31,077 404,312

Terreno Realty Corp. 7,900 277,843

Tier REIT Inc. 7,100 146,473

TPG RE Finance Trust Inc. 5,100 93,228

UMH Properties Inc. 700 8,288

Universal Health Realty Income Trust 200 12,274

Urban Edge Properties 12,600 209,412

Urstadt Biddle Properties Inc. 4,300 82,646

Washington Prime Group Inc. 26,100 126,846

Washington Real Estate Investment Trust 10,800 248,400

Western Asset Mortgage Capital Corp. 6,559 54,702

Whitestone REIT 5,600 68,656

Xenia Hotels & Resorts Inc. 15,400 264,880

16,349,185

Real Estate Management & Development - 0.4%

Altisource Portfolio Solutions SA 1,000 22,490

Consolidated-Tomoka Land Co. 300 15,750

Cushman & Wakefield PLC 1,600 23,152

Forestar Group Inc. 1,102 15,263

FRP Holdings Inc. 600 27,606





December 31, 2018



41


Value

($)

Kennedy-Wilson Holdings Inc. 8,600 156,262

RE/MAX Holdings Inc. 2,600 79,950

St Joe Co. 4,900 64,533

Stratus Properties Inc. 600 14,388

Tejon Ranch Co. 3,000 49,740

469,134

Road & Rail - 0.3%

ArcBest Corp. 3,200 109,632

Covenant Transportation Group Inc. 1,300 24,960

Daseke Inc. 4,300 15,824

Hertz Global Holdings Inc. 7,700 105,105

Marten Transport Ltd. 2,300 37,237

US Xpress Enterprises Inc. 900 5,049

Werner Enterprises Inc. 3,400 100,436

YRC Worldwide Inc. 2,800 8,820

407,063

Semiconductors & Semiconductor Equipment - 1.8%

Alpha & Omega Semiconductor Ltd. 2,100 21,399

Ambarella Inc. 2,300 80,454

Amkor Technology Inc. 14,700 96,432

Axcelis Technologies Inc. 4,700 83,660

AXT Inc. 4,000 17,400

Cabot Microelectronics Corp. 40 3,814

Cirrus Logic Inc. 7,400 245,532

Cohu Inc. 3,743 60,150

Cree Inc. 13,400 573,185

Diodes Inc. 4,200 135,492

FormFactor Inc. 9,600 135,264

Kopin Corp. 1,000 999

MACOM Technology Solutions Holdings Inc. 6,500 94,315

NeoPhotonics Corp. 3,700 23,976

PDF Solutions Inc. 2,700 22,761

Photronics Inc. 8,600 83,248

Rambus Inc. 15,000 115,050

Semtech Corp. 600 27,522

SunPower Corp. 4,300 21,371





December 31, 2018



42


Value

($)

Synaptics Inc. 4,100 152,561

Ultra Clean Holdings Inc. 4,100 34,727

Veeco Instruments Inc. 5,095 37,754

Xperi Corp. 5,000 91,950

2,159,016

Software - 0.9%

ACI Worldwide Inc. 700 19,369

Agilysys Inc. 893 12,806

American Software Inc. 1,300 13,585

Anaplan Inc. 500 13,270

Avaya Holdings Corp. 14,500 211,120

MicroStrategy Inc. 1,300 166,075

Monotype Imaging Holdings Inc. 3,100 48,112

SecureWorks Corp. 800 13,512

Telaria Inc. 3,100 8,463

Telenav Inc. 2,300 9,338

Tenable Holdings Inc. 400 8,876

TiVo Corp. 16,900 159,029

Verint Systems Inc. 8,700 368,097

1,051,652

Specialty Retail - 3.1%

Aaron's Inc. 9,400 395,270

Abercrombie & Fitch Co. 8,800 176,440

American Eagle Outfitters Inc. 1,700 32,861

America's Car-Mart Inc. 400 28,980

Ascena Retail Group Inc. 25,000 62,750

Barnes & Noble Education Inc. 4,081 16,365

Barnes & Noble Inc. 8,400 59,556

Bed Bath & Beyond Inc. 18,500 209,420

Big 5 Sporting Goods Corp. 2,100 5,439

Buckle Inc. 3,400 65,756

Caleres Inc. 5,800 161,414

Cato Corp. 2,400 34,248

Chico's FAS Inc. 18,000 101,160

Citi Trends Inc. 1,300 26,507

Conn's Inc. 1,100 20,746





December 31, 2018



43


Value

($)

Container Store Group Inc. 1,500 7,155

DSW Inc. 9,500 234,650

Express Inc. 10,509 53,701

Francesca's Holdings Corp. 3,700 3,592

GameStop Corp. 13,900 175,418

Genesco Inc. 2,802 124,129

GNC Holdings Inc. 8,700 20,619

Group 1 Automotive Inc. 2,400 126,528

Guess? Inc. 8,000 166,160

Haverty Furniture Cos Inc. 2,000 37,560

Hibbett Sports Inc. 2,000 28,600

J. Jill Inc. 2,400 12,792

Kirkland's Inc. 1,200 11,436

Lithia Motors Inc. 1,100 83,963

Lumber Liquidators Holdings Inc. 800 7,616

MarineMax Inc. 1,000 18,310

Murphy USA Inc. 3,400 260,576

Office Depot Inc. 72,000 185,760

Party City Holdco Inc. 7,800 77,844

Pier 1 Imports Inc. 8,400 2,569

Rent-A-Center Inc. 6,400 103,616

Sally Beauty Holdings Inc. 12,200 208,010

Shoe Carnival Inc. 1,150 38,537

Signet Jewelers Ltd. 6,700 212,859

Sonic Automotive Inc. 2,500 34,400

Tile Shop Holdings Inc. 2,000 10,960

Tilly's Inc. 1,500 16,290

Zumiez Inc. 1,400 26,838

3,687,400

Technology Hardware, Storage & Peripherals - 0.5%

3D Systems Corp. 14,400 146,448

Avid Technology Inc. 1,300 6,175

Cray Inc. 4,800 103,632

Diebold Nixdorf Inc. 8,100 20,169

Electronics For Imaging Inc. 5,800 143,840





December 31, 2018



44


Value

($)

Stratasys Ltd. 7,100 127,871

548,135

Textiles, Apparel & Luxury Goods - 0.3%

Culp Inc. 1,200 22,680

Fossil Group Inc. 5,100 80,223

G-III Apparel Group Ltd. 4,300 119,927

Movado Group Inc. 2,200 69,564

Rocky Brands Inc. 700 18,200

Unifi Inc. 2,220 50,705

Vera Bradley Inc. 2,420 20,739

382,038

Thrifts & Mortgage Finance - 3.8%

BankFinancial Corp. 1,500 22,425

Beneficial Bancorp Inc. 9,629 137,598

Bridgewater Bancshares Inc. 2,500 26,375

BSB Bancorp Inc. 700 19,642

Capitol Federal Financial Inc. 17,800 227,306

Columbia Financial Inc. 7,100 108,559

Dime Community Bancshares Inc. 4,100 69,618

Entegra Financial Corp. 600 12,450

ESSA Bancorp Inc. 1,100 17,171

Essent Group Ltd. 6,500 222,170

Federal Agricultural Mortgage Corp. 700 42,308

First Defiance Financial Corp. 2,900 71,079

Flagstar Bancorp Inc. 4,200 110,880

FS Bancorp Inc. 300 12,864

Greene County Bancorp Inc. 100 3,112

Hingham Institution for Savings 100 19,774

Home Bancorp Inc. 800 28,320

HomeStreet Inc. 3,600 76,428

Impac Mortgage Holdings Inc. 1,700 6,426

Kearny Financial Corp. 7,819 100,240

Luther Burbank Corp. 3,000 27,060

Malvern Bancorp Inc. 1,000 19,730

Merchants Bancorp 1,200 23,952

Meridian Bancorp Inc. 5,900 84,488





December 31, 2018



45


Value

($)

MGIC Investment Corp. 49,100 513,586

Mr Cooper Group Inc. 9,442 110,188

NMI Holdings Inc. 1,100 19,635

Northfield Bancorp Inc. 6,364 86,232

Northwest Bancshares Inc. 13,200 223,608

OceanFirst Financial Corp. 6,653 149,759

Ocwen Financial Corp. 12,400 16,616

OP Bancorp 1,300 11,531

Oritani Financial Corp. 5,800 85,550

PCSB Financial Corp. 1,600 31,296

PDL Community Bancorp 1,300 16,562

PennyMac Financial Services Inc. 2,800 59,528

Provident Bancorp Inc. 500 10,840

Provident Financial Services Inc. 8,600 207,518

Prudential Bancorp Inc. 1,200 21,120

Radian Group Inc. 29,300 479,348

Riverview Bancorp Inc. 2,200 16,016

SI Financial Group Inc. 1,500 19,095

Southern Missouri Bancorp Inc. 800 27,120

Sterling Bancorp Inc. 1,300 9,035

Territorial Bancorp Inc. 800 20,784

Timberland Bancorp Inc. 700 15,610

TrustCo. Bank Corp. NY 13,400 91,924

United Community Financial Corp. 7,300 64,605

United Financial Bancorp Inc. 7,188 105,664

Walker & Dunlop Inc. 3,400 147,050

Washington Federal Inc. 11,400 304,494

Waterstone Financial Inc. 3,287 55,090

Western New England Bancorp Inc. 3,770 37,851

WSFS Financial Corp. 3,200 121,312

4,568,542

Tobacco - 0.2%

Pyxus International Inc. 900 10,674

Universal Corp. 3,400 184,110

Vector Group Ltd. 8,121 79,017

273,801





December 31, 2018



46


Value

($)

Trading Companies & Distributors - 1.2%

Aircastle Ltd. 7,100 122,404

Beacon Roofing Supply Inc. 2,400 76,128

BMC Stock Holdings Inc. 9,000 139,320

CAI International Inc. 960 22,301

DXP Enterprises Inc. 400 11,136

Foundation Building Materials Inc. 1,400 11,634

GATX Corp. 5,100 361,131

General Finance Corp. 900 9,099

H&E Equipment Services Inc. 700 14,294

Lawson Products Inc. 500 15,800

MRC Global Inc. 5,600 68,488

Nexeo Solutions Inc. 3,500 30,065

NOW Inc. 14,900 173,436

Rush Enterprises Inc. 2,100 72,408

Rush Enterprises Inc. 300 10,680

Systemax Inc. 400 9,556

Textainer Group Holdings Ltd. 2,900 28,884

Titan Machinery Inc. 2,000 26,300

Triton International Ltd. 6,800 211,276

Veritiv Corp. 1,200 29,964

Willis Lease Finance Corp. 300 10,380

1,454,684

Water Utilities - 0.6%

American States Water Co. 1,500 100,560

AquaVenture Holdings Ltd. 1,200 22,668

Artesian Resources Corp. 800 27,896

Cadiz Inc. 2,300 23,690

California Water Service Group 5,800 276,428

Connecticut Water Service Inc. 1,700 113,679

Consolidated Water Co. Ltd. 1,600 18,656

Middlesex Water Co. 300 16,005

Pure Cycle Corp. 900 8,937

SJW Group 900 50,058

York Water Co. 223 7,149

665,726





December 31, 2018



47


Value

($)

Wireless Telecommunication Services - 0.1%

NII Holdings Inc. 12,800 56,448

Spok Holdings Inc. 2,000 26,510

82,958

Total Common Stock

(Cost $127,749,037)

117,517,569

State Street Global Advisors Trust Company Collective Investment Funds -

2.3% Units

Value

($)

State Street Short Term Investment Fund2 2,730,322 2,730,322

Total State Street Global Advisors Trust Company Collective Investment

Funds

(Cost $2,730,322)

2,730,322

TOTAL INVESTMENTS - 100.0%

(Cost $130,479,359)

120,247,891

1 Valued by Trustee. 2 Collective investment fund advised by State Street Global Advisors Trust Company.

At December 31, 2018, segregated balances totaling $149,109 were pledged to cover margin requirements for open futures

contracts. The following futures contracts were open at December 31, 2018:

Futures Contracts

Number of

Contracts

Long/(Short) Notional Cost Maturity Date

Unrealized

Gain/(Loss) ( $ )

E-mini Russell 2000 Index Futures 42 USD 3,001,283 March 2019 (168,383)

USD : United States Dollar



Notes to Financial Statements

December 31, 2018

48

1. Fund Organization and Investment Objective

State Street Russell Small Cap Value® Index Non-Lending Series Fund (the "Fund") was formed under the State Street

Global Advisors Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust").

State Street Global Advisors Trust Company (“SSGA”), a limited purpose trust company established under the laws of

the Commonwealth of Massachusetts, is a wholly owned subsidiary of State Street Bank and Trust Company (“State

Street Bank”). SSGA is Trustee and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of

the Trust. SSGA is the Fund's Investment Manager. State Street Bank is the Fund's Custodian. The Fund is operated

pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee.

The Fund seeks an investment return that approximates as closely as practicable, before expenses, the performance of the

Russell 2000® Value Index (the "Index") over the long term, while providing participants the ability to purchase and

redeem units on an "as of" basis.

The Trustee has the authority to establish unlimited classes of units of the Fund (each a "Class") and issue an unlimited

number of units of any such Class of the Fund. The following Class(es) of units of the Fund have been established and

are currently funded: Class C.

2. Summary of Significant Accounting Policies

The financial statements are prepared in accordance with accounting principles generally accepted in the United States of

America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those

estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting

guidance applicable to investment companies. The policies described below are followed consistently in the preparation

of the financial statements.

A. Valuation Governance and Oversight

The Trustee assigns valuation oversight responsibility to SSGA's regional valuation committees for the assigned

products managed within each specific region. These regional valuation committees are generally comprised of senior

officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk

management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety

of functions including, but not limited to:

Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments

for which market quotations are not readily available, including where available market quotations are deemed

unreliable;

Determining appropriate pricing services and sources for various securities or instruments, including secondary

and tertiary source options;

Recommending changes to approved pricing sources, and monitoring pricing services' overall performance,

including evaluating the pricing methodologies these pricing services employ;

Escalating valuation challenges;

Reviewing results of fair value determinations; and

Maintaining valuation records.

The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA’s

North America Valuation Committee is responsible for valuation oversight of the Fund.

The Trustee regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio

investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for

occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed

trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to




December 31, 2018

49

identify potential fair valuation considerations. These procedures and the results of these controls are reviewed

periodically by SSGA’s North America Valuation Committee.

B. Security Valuation

The Fund’s investments, including derivative instruments, are valued at fair value each business day. Fair value is

generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction

between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the

valuation in a current sale and may not reflect an actual market price. The Fund’s investments are valued pursuant to the

policy and procedures approved by the Trustee.

Equity investments, such as common stock and preferred stock, including equity investments sold short, if any, traded on

a recognized securities exchange for which market quotations are readily available (including registered investment

companies that are exchange traded) are valued at the last sale price or official closing price, as applicable, on the

primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there

were no sales on that day are valued at the last published sale price or at fair value as determined in good faith by the

Trustee. To the extent equity investments are actively traded and valuation adjustments are not applied, these

investments are classified within Level 1 of the fair value hierarchy. Equity investments traded on inactive markets or

valued by reference to similar instruments are generally classified within Level 2 of the fair value hierarchy.

Investments in registered investment companies (other than those that are exchange traded), if any, are valued at their

respective net asset value and are classified within Level 1 of the fair value hierarchy. Investments in collective

investment funds, if any, are valued at their respective net asset value and are not classified within the fair value

hierarchy.

Fixed income investments (including short-term investments) are valued on the basis of valuations furnished by

independent pricing services. These independent pricing services determine valuations for normal institutional-size

trading units of such securities using valuation models or matrix pricing; which incorporates yield and/or price with

respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date and

quotations from securities dealers to determine current value. To the extent the inputs are observable, timely and/or

consistent with other valuation inputs, these investments are classified within Level 2 of the fair value hierarchy.

In the event current market prices or quotations are not readily available or are deemed unreliable by the Trustee, such as

the occurrence of a significant event, the fair value will be determined in good faith by the Trustee using alternative fair

valuation methods. A "significant event" is an event that the Trustee believes, with a reasonably high degree of certainty,

has caused the closing market prices of a Fund's portfolio securities to no longer reflect their value at the time of the

Fund's net asset value calculation.

Please refer to the Derivative Instruments note for further details on the valuation policy for derivatives.

Fair Value Hierarchy

The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques

giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities

(Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are

not readily available or reliable. The three levels of the hierarchy are described below:

Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities.




December 31, 2018

50

Level 2

Prices determined using other significant observable inputs. Observable inputs are inputs that

other market participants would use in valuing a portfolio instrument. These may include quoted

prices for similar assets or liabilities in markets that are active, quoted prices for identical assets

or liabilities in markets that are not active, or observable inputs other than quoted prices (such as

interest rates, yield curves, foreign exchange rates, volatilities, prepayment speeds, and credit

risk) or other market corroborated inputs.

Level 3

Prices determined using significant unobservable inputs. In situations where quoted prices or

observable inputs are unavailable (for example, when there is little or no market activity for an

investment at the end of the period), unobservable inputs may be used. Unobservable inputs

reflect the Trustee's own assumptions about the factors market participants would use in valuing

a portfolio instrument, and would be based on the best information available.

The following is a summary of the inputs used, as of December 31, 2018, involving the Fund's assets and liabilities

carried at fair value. The inputs or methodologies used for valuing investments and other financial instruments may not

be an indication of the risk associated with investing in those securities.

Level 1 Level 2 Level 3 Total

Investments in securities, long - Assets

Common Stock $ 117,514,917 $ 2,652 $ 0 $ 117,517,569

Collective Investment Funds - - - 2,730,322

$ 117,514,917 $ 2,652 $ 0 $ 120,247,891

Other financial instruments - Liabilities

Futures Contracts $ (168,383) $ - $ - $ (168,383)

Please refer to the Schedule of Investments for additional information regarding composition of amounts listed above.

Collective Investment Funds, if any, have been measured at fair value using the net asset value per unit practical

expedient and accordingly have not been classified in the fair value hierarchy. The fair value total amount presented for

the aforementioned category in the table above, if applicable, is intended to permit reconciliation of the fair value

hierarchy to the amounts presented in the Statement of Assets and Liabilities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy.

Transfers between fair value hierarchy levels are recognized at the end of the period.

The Fund had no significant transfers into or out of Level 3 for the period ended December 31, 2018.

C. Security Transactions and Investment Income

Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are

determined using the average cost method. Distributions received from an underlying fund, if any, are recorded on the

ex-dividend date and retain the character of income as earned by the underlying fund. Dividend income, if any, is

recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received.

Interest income earned on securities, if any, is recorded on the accrual basis from settlement date. Interest income

includes accretion of discounts and amortization of premiums, if any.

Investment income, expenses that are not attributable to a particular class, and unrealized and realized gains or losses are

allocated daily to each Class of the Fund based upon the relative proportion of net assets of each Class.




December 31, 2018

51

D. Taxes

It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to

collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no

federal or state tax provision is required.

The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has

determined that no provision for income taxes is required in the Fund's financial statements.

E. Issuances and Redemptions of Units of Participation

The per unit net asset value of each Class is determined each business day. Issuances and redemptions of Class units may

be made on such days, based upon the net asset value per unit as of the Class' valuation date last preceding the date on

which such order to contribute or redeem assets is received. The Trustee, in its sole discretion, reserves the right to value

any contribution or redemption as of the next succeeding valuation date or another date as the Trustee deems appropriate.

Additional terms of participation are detailed in the Trust and the Fund’s other governing documents. Such terms may be

implemented pursuant to the Trustee's prudent determination.

F. Expenses

Under the Trust, the Fund may be charged an annual audit fee and such other fees and expenses as are permitted by the

Declaration of Trust. The Fund indirectly bears the expenses incurred by the underlying fund(s), if any.

Each Class is charged its allocable share of the fees and expenses borne by the Fund that are not specifically allocated to

one or more of the Classes.

Management Fee

The Trustee charges a management fee to each Class at the following annual rate of each Class' daily net asset value:

Class Rate (%) Management Fees

Class C 0.040 $ 31,886

Total Management Fees $ 31,886

Class A was not charged a direct management fee. SSGA received investment fees from the Class participants and

therefore, the Class made no payments for these services.

Administration Fee

The Fund may be charged by the Trustee an annual administration fee equal to 0.010% of the average daily net asset

value of the Fund and $5 per Fund transaction of securities and portfolio instruments. Alternatively, should the Fund, in

the discretion of the Trustee, invest more than 50% of its assets directly in collective investment funds, the Trustee will

instead charge an administration fee equal to $25,000 to each Class. This administration fee relates to the provision of

custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee

may from time to time consider necessary or appropriate.




December 31, 2018

52

Waivers and Reimbursements

During the period ended December 31, 2018, certain direct and/or indirect expenses, if any, incurred by the Fund were

contractually or voluntarily waived and/or reimbursed by the Trustee:

Class

Total Annual

Operating Expense

Ratio (%) Waivers and/or

Reimbursements

Class A 0.012 $ (10,162)

Class C 0.052 (16,034)

Total Waivers and Reimbursements $ (26,196)

Please refer to the Additional Expense Information footnote for further disclosures regarding expenses.

G. Treatment of Net Investment Income and Net Realized Gains

Net investment income and net realized gains are retained by the Fund.

H. Foreign Currency

The accounting records of the Fund are maintained in U.S. dollars ("USD"), the Fund's base currency. Foreign currency,

investment securities, and other assets and liabilities denominated in a foreign currency are translated into USD at the

prevailing rates of exchange on each valuation date. Purchases and sales of securities, income, withholding taxes and

expenses are translated into USD at the prevailing exchange rate on the respective dates of the transactions. Generally,

when the USD rises in value against a foreign currency, the Fund's foreign currency, investment securities, and other

assets and liabilities denominated in that currency will lose value because that currency is worth fewer USD; the opposite

effect occurs if the USD falls in relative value.

The effects of changes in foreign currency exchange rates on securities and derivative instruments are included with the

net realized and unrealized gain or loss on securities and derivative instruments. Net realized gains and losses on foreign

currency transactions may include net realized foreign exchange gains or losses on closed forward foreign currency

contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on

securities transactions and the difference between amounts of investment income and foreign withholding taxes recorded

on the Fund's accounting records and the USD equivalent amounts actually paid or received. Translation of assets and

liabilities in foreign currencies may include changes in the value of open forward foreign currency contracts and assets

and liabilities other than investments at period end, resulting from changes in foreign exchange rates.

Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable

political developments and currency fluctuations, not present with domestic investments. For example, there may be less

publicly available information about foreign companies, particularly those not subject to the disclosure and reporting

requirements of the U.S. securities laws. Additionally, certain foreign issuers may not be bound by uniform accounting,

auditing and financial reporting requirements and standards of practice comparable to those applicable to domestic

issuers. Investments in foreign securities may also involve the risk of possible adverse changes in investment or

exchange control regulations, nationalization, expropriation or confiscatory taxation and limitation on the removal of

Fund assets. Also, certain foreign stock markets may not be as developed as those in the United States, and securities of

certain foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than

securities of comparable U.S. companies.

The value of foreign currency relative to the Fund's base currency may fluctuate in response to, among other factors,

interest rate changes, intervention (or failure to intervene) by national governments, central banks or supranational

entities such as the International Monetary Fund, the imposition of currency controls and other political or regulatory




December 31, 2018

53

developments. Foreign currency values may decrease significantly both in the short term and over the long term in

response to these and other developments.

I. Derivative Instruments

The Fund's use of derivative instruments involves risks different from, and possibly greater than, the risks associated

with investing directly in securities and other more traditional investments. Derivatives are instruments whose values are

derived from underlying assets, indices, reference rates or a combination of these factors. Derivatives are subject to a

number of risks, such as potential changes in value in response to interest rate changes, index return or other market

developments or as a result of changes unrelated to any reference asset, including changes in credit quality of the Fund's

counterparty to the derivative transaction. Over-the-counter ("OTC") derivatives usually do not have publicly available

price sources and therefore there may be differences between bespoke price offers by dealers. Furthermore, there is a risk

that changes in the value of a derivative may not correlate as anticipated with respect to the change in the value of the

asset, rate, or index underlying the derivative. Derivative transactions can create investment leverage and may be highly

volatile. Use of derivatives other than for hedging purposes may be considered speculative. When the Fund executes a

derivative instrument, the future exposure is potentially unlimited. The value of a derivative instrument will depend, in

part, on the ability and the willingness of the Fund’s derivative counterparty to perform its obligations under the

transaction. A liquid secondary market may not always exist for the Fund’s derivative positions at any time and may

impact the Fund’s ability to establish fair market value of a derivative transaction and close out derivative positions.

Although the use of derivatives is intended to complement the Fund’s performance, it may instead reduce returns and

increase volatility. The measurement of the risks associated with derivative instruments is meaningful only when all

related and offsetting transactions are considered. The Fund must set aside liquid assets or engage in other appropriate

measures to cover its obligations under these derivative instruments.

Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered

into OTC under the terms and conditions of International Swaps and Derivatives Association Master Agreements or

similar agreements (“Master Agreements”), which are separately negotiated with each counterparty. Master Agreements

may contain provisions allowing a counterparty to exercise rights to terminate derivative contracts, to the extent not

otherwise waived, against the Fund in the event the Fund’s net assets decline over a period of time by a predetermined

percentage or decrease below a predetermined floor amount. Master Agreements also contain certain provisions for the

Fund to exercise rights to terminate derivative contracts, to the extent not otherwise waived, against counterparties upon

the occurrence of certain events, such as a decline in a counterparty’s credit rating below a specified level. Such rights

for both the counterparty and the Fund to terminate open contracts may be transacted at prices that favor the

counterparty, which could have an adverse effect to the Fund.

Certain derivatives, including futures contracts and centrally cleared swaps, as applicable, are transacted on an exchange

or through a clearinghouse, as applicable. These exchange traded derivatives generally present less counterparty risk to

the Fund because the exchange's clearinghouse, as counterparty to the exchange traded derivatives, guarantees the

derivative against default. Clearinghouses have been established to act as central counterparties on eligible OTC

transactions, including centrally cleared swaps. While the risk of counterparty default is substantially less likely for

exchange traded derivatives, a default by an exchange member under a derivative transaction(s) unrelated to the Fund’s

derivatives transactions could cause a default by the exchange impacting the Fund. Margin, collateral and settlement

requirements are set by each clearinghouse and may vary from one exchange or clearinghouse to another. While offset

rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or

clearinghouse in the event of default by the clearing broker or clearinghouse.

The Fund values derivatives at fair value as described below and recognizes changes in fair value currently in its results

of operations. Accordingly, the Fund does not follow hedge accounting, even for derivatives employed as economic

hedges. Derivative instruments outstanding at period end, if any, are disclosed in the Schedule of Investments.




December 31, 2018

54

Futures Contracts

The Fund may use futures contracts to manage exposure to the market. Buying futures tends to increase a fund's

exposure to the underlying instrument. Selling futures tends to decrease a fund's exposure to the underlying instrument or

hedge the fair value of other fund investments. When entering into a futures contract, the Fund agrees to buy or sell a

specified quantity of a security, currency, basket of securities or an index for an agreed-upon price on an agreed-upon

date.

Futures contracts are valued at the quoted daily settlement price at the end of each day on the board of trade or exchange

upon which they are traded. Futures contracts are classified within Level 1 of the fair value hierarchy. Upon entering into

a futures contract, the Fund is required to deposit either in cash, currency or securities, an amount ("initial margin") equal

to a certain percentage of the nominal value of the contract. Subsequent payments are made or received by the Fund

periodically, depending on the fluctuation in the value of the underlying instrument, and are recorded as variation margin

receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or

loss when a contract is closed or expires.

Futures contracts involve, to varying degrees, credit and market risks. The Fund enters into futures contracts only on

exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus,

credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from

changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In

addition, there is the risk that there may not be an exact correlation between movements in the price of a futures contract

and movements in the price of the underlying instrument.

During the period, the Fund entered into certain derivative contract types. These instruments were used to meet the

Fund's investment objectives and to obtain and/or manage exposure related to the risks below. The following table sets

forth the fair value of the Fund's derivative contracts for trading activities by certain primary underlying risk types as of

the end of the period. The values in the table below exclude the effects of collateral received or posted pursuant to

derivative contracts, and therefore are not necessarily representative of the Fund's net exposure.

Fair Values of Asset and Liability Derivative Contracts at December 31, 2018:

Derivatives not accounted

for as hedging instruments Credit Equity Foreign

Exchange Interest Rate Total

Liability Derivative

Variation margin

receivable/(payable)* $ - $ (168,383) $ - $ - $ (168,383)

*Includes cumulative appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments. Only

current day's variation margin is reported within the Statement of Assets and Liabilities.




December 31, 2018

55

The following tables set forth by certain primary underlying risk types the Fund's gains and (losses) related to derivative

activities for the period ended December 31, 2018.

Effect of Derivative Instruments on the Statement of Operations - Net Realized Gain/(Loss):




Futures contracts $ - $ (491,972) $ - $ - $ (491,972)

Effect of Derivative Instruments on the Statement of Operations - Net Change in Unrealized Appreciation

(Depreciation):




Futures contracts $ - $ (174,106) $ - $ - $ (174,106)

During the period ended December 31, 2018, the Fund had an average of 24 futures contracts outstanding.

For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be

subject to an enforceable Master Agreement, on the Statement of Assets and Liabilities. Futures that settle variation

margin daily are included within variation margin receivable or payable on the Statement of Assets and Liabilities. The

following table sets forth the Fund's net exposure to derivative assets and liabilities available for offset and net of

collateral at December 31, 2018:

Derivative Type Gross Assets Amounts Eligible

for Offset Net Derivative

Asset Balance Collateral

(Received) Net Exposure

Futures contracts $ 17,010 $ - $ 17,010 $ - $ 17,010

The actual value of collateral, if any, may be more than the amount presented.

3. Concentration of Ownership

The following information illustrates concentration of ownership of participants owning units in excess of 10% of total

units outstanding as well as units owned by other SSGA Collective Investment Funds.

10% or Greater Participants % of Units Outstanding held by other

# of Participants % of Units held SSGA Collective Investment Funds

Class C 3 86% - %

4. Risks and Uncertainties

A. Market and Credit Risk

In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk

of potential loss exists due to changes in the market (market risk). The Fund may be exposed to credit risk, which is the

risk that an issuer, guarantor or liquidity provider of a fixed-income security held by the Fund may be unable or

unwilling, or may be perceived as unable or unwilling, to make timely principal and/or interest payments, or to otherwise

honor its obligations. The Fund may be exposed to additional credit risk that an institution or other entity with which the

Fund has unsettled or open transactions will default, or otherwise fail to perform on its obligations as counterparty.

Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to

perform its obligations, the Fund may experience significant delays in obtaining any recovery.




December 31, 2018

56

5. Real Estate Investment Trusts (REITs)

Because the Fund may invest substantially all or a portion of its assets in REITs, the Fund may be subject to certain risks

associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties

and by defaults by borrowers or tenants as well as other risks similar to those associated with direct ownership in real

estate, including losses from casualty or condemnation and changes in local and general economic conditions, supply and

demand, interest rates, zoning laws, regulatory limitations on rents, property taxes and operating expenses. Furthermore,

REITs are dependent upon specialized management skills, have limited diversification and are, therefore, subject to risks

inherent in financing a limited number of projects. REITs depend generally on their ability to generate cash flow to make

distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in

full and distributions of capital returns may be made at any time.

6. Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide

general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve

future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee

expects the risk of loss to be remote.

7. Recent Accounting Pronouncements

In August 2018, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP that alters the

required disclosures related to fair value measurements. The amendment removes, modifies, and adds certain required

footnote disclosures for assets and liabilities measured at fair value. The amendment is effective for fiscal years

beginning after December 15, 2019; however, entities are allowed to early adopt the amendment immediately. The Fund

has adopted the amendment. Adoption of the amendment has resulted in modification of disclosures in the Security

Valuation section of Note 2.

In March 2017, the FASB issued an amendment to U.S. GAAP, which amends the required amortization period for

purchased callable debt securities that have been purchased at a premium to the amount repayable at the next call date.

The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price

on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be

amortized through the next call date, whereas current U.S. GAAP requires amortization through the maturity date of the

security. Debt securities purchased at a discount will continue to have such discount amortized to the maturity date,

consistent with current U.S. GAAP. The amendment is effective for fiscal years beginning after December 15, 2019. The

Trustee is currently evaluating the impact, if any, of this guidance on the Fund’s financial statements and disclosures.

8. Other

SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and

subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that

review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements.

9. Subsequent Events

The Trustee has evaluated subsequent events after December 31, 2018 through March 22, 2019, the date the financial

statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in

these financial statements.




December 31, 2018

57

10. Additional Expense Information

During the period ended December 31, 2018, the Fund incurred expenses directly for certain services received and

indirectly through its investments in underlying fund(s), if any.

As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Classes to the extent the total

annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense

ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Class may exceed the Class' total

direct expenses incurred.

Ratios of expense classifications as a % of average daily net assets

TAOER DE IE TAGOE W/R TANOE

Class C 0.052 0.072 - 0.072 (0.020) 0.052

Total Annual Operating

Expense Ratio ("TAOER")

Total direct and indirect expenses the Fund or Class, as applicable, will incur, as set

forth in the Fund’s governing documents.

Direct Expenses ("DE")

Fees and expenses directly incurred by the Fund or Class, as applicable, which may

include administration, audit, legal and management fees, if any.

Indirect Expenses ("IE")

Proportionate amount of fees and expenses indirectly incurred by the Fund or Class,

as applicable, as a result of its investment in underlying fund(s) which may include

administration, audit and legal fees, if any.

Total Annual Gross Operating

Expense ("TAGOE")

Total direct and indirect expenses incurred, prior to the application of any waivers

and/or reimbursements, if any.

Waivers and/or

Reimbursements ("W/R")

Amounts waived and/or reimbursed by the Trustee to the extent the total direct and

indirect expenses of the Fund or Class, as applicable, exceeded the total annual

operating expense ratio, as described in the Fund’s governing documents.

Total Annual Net Operating

Expense ("TANOE")

Total direct and indirect expenses incurred, net of waivers and/or reimbursements,

if any.

The total annual net operating expense ratio presented above may not correlate to the Class' ratio of expenses to average

daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any. The ratios

presented above do not include the Fund’s allocable share of indirect expenses from investment of securities lending

collateral or investments in money market funds, if any.



Brokerage Commissions (unaudited)

December 31, 2018

58

Brokerage Commissions

Subject to its duty to seek best execution, SSGA employs a standard negotiated commission schedule for specific types of

trades (generally equities) entered into on behalf of the Fund. SSGA retains the right to use “soft” or commission dollars

consistent with the parameters of Section 28(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). In

addition, certain client accounts and as applicable, the Fund or underlying fund(s), may participate in arrangements or

programs pursuant to which transactions generate “credits” which may be used by SSGA to obtain third-party research or

brokerage services (“Commission Sharing Agreements” or “CSAs”). SSGA has suspended the CSA program. SSGA may

decide to engage in CSAs again in the future. Participants who invest in the Fund may not limit the ability of the Fund or the

underlying fund(s) to directly or indirectly participate in CSAs.

Research and brokerage services furnished to SSGA may be used in furnishing investment or other advice to all or some

subset of SSGA’s (and/or its affiliates) clients. Services received from a broker-dealer that executed transactions for a

particular fund or client may not necessarily be used by SSGA specifically in servicing that particular fund or account. SSGA

may share some or all of the brokerage and research services received by it with affiliates.

Transactions effected for SSGA's funds or clients that generate credits may be aggregated with transactions effected for

clients of SSGA whose commission dollars do not generate credits used to obtain third-party research and brokerage services

(“Restricted Accounts”). Restricted Accounts may benefit from any third-party research or brokerage services obtained using

credits arising from transactions effected for other funds or clients of SSGA.

The Fund paid an aggregate dollar amount of brokerage commissions of $16,960 for 2018. None of the brokerage

commissions paid were paid to affiliated brokers. Brokerage commissions paid by the Fund may be substantially different

from year to year for multiple reasons, including market volatility and the demand for a particular security. The Fund did not

generate any CSA credits during the period ended December 31, 2018.

Documents

State Street Global Advisors Trust Company State …...State Street Russell Small Cap Value® Index Non-Lending Series Fund - Class C (4,992,900 units outstanding, at $24.05 per unit