state street global advisors world funds PDF
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STATE STREET GLOBAL ADVISORS WORLD FUNDS Semi-Annual Financial Statements as at June 30, 2016 STATE STREET GLOBAL ADVISORS WORLD FUNDS Semi-AnnualFinancialStatementsasatJune30,2016 S321 SSGAS&P500IndexFundforCanadianPensionPlans..................................................................... 1 S322 SSGACanadianShortTermInvestmentFund..................................................................................... 2 S323 SSGACanadianUniverseBondIndexFund......................................................................................... 3 S325 SSGAS&P/TSXCompositeIndexFund............................................................................................... 4 S327 SSGAMSCIEAFEIndexFundforCanadianPensionPlans............................................................... 5 S328 SSGACanadianLongTermGovernmentBondIndexFund............................................................... 6 S329 SSGACanadianRealReturnBondIndexFund................................................................................... 7 S330 SSGAS&P500IndexFundHedgedtoCanadianDollars forCanadianPensionPlans.................................................................................................. 8 S331 SSGACanadianLongTermBondIndexFund..................................................................................... 9 S333 SSGACanadianShortTermBondIndexFund……………………………………………………....................... 10 S334 SSGAS&PMidCap400IndexFundforCanadianPensionPlans...................................................... 11 S324 SSGACanadian20+StripBondIndexFund....................................................................................... 12 SSGAU.S.ManagedVolatilityFund..................................................................................................... 13 S335 NotestoFinancialStatements............................................................................................................... 14 S336 S337 S338 S339 S340 S341 S342 S352 S358 S343 S344 S353 S345 S351 S350 S347 S349 S361 S348 State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Statementsoffinancial position (Unaudited) Asat Asat June30, December31, 2016 2015 $ $ Assets Current assets Investments* 1,100,524,889 1,352,719,516 Cash 4,565,167 7,804,870 Cash,segregated 2,187,897 1,972,180 Receivableforinvestmentssold - 15,282 Receivableforunitssold - 6,000 Dividendsreceivable 1,280,017 1,814,099 Futurescontracts,atfairvalue 89,485 70,956 Total assets 1,108,647,455 1,364,402,903 Liabilities Current liabilities Payableforunitsredeemed 92,964 956,106 Payableforinvestmentspurchased 1,082,170 20,410 Accruedexpenses 52,374 37,019 Distributionpayable - 1,968,199 Total liabilities 1,227,508 2,981,734 Net assetsattributableto holders of redeemable units 1,107,419,947 1,361,421,169 Number of redeemableunitsoutstanding 9,454,531 11,285,343 Net assetsattributableto holders of redeemable units per unit 117.13 120.64 * Investments–atcost 615,868,924 704,319,835 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Statementsofcomprehensiveincome (Unaudited) Forthesix-monthperiodsendedJune30, 2016 2015 $ $ Investment income Dividends 13,470,378 18,225,069 Interestfordistributionpurposes - 966 Securitieslendingincome 2,907 3,822 Otherchangesinfairvalueofinvestmentsandderivatives Netrealizedgain(loss) 108,416,468 143,709,266 Netchangeinunrealizedappreciation(depreciation) (163,877,483) (12,382,318) Total income(loss) (41,987,730) 149,556,805 Expenses Interestexpense 680 - Auditfees 12,331 13,564 Custodialfees 98,809 260,636 Foreignwithholdingtaxes 2,333 3,278 Regulatoryfees 10,833 5,742 Transactioncosts 22,821 21,735 Total expenses 147,807 304,955 Increase(decrease) innet assets attributableto holders of redeemableunits (42,135,537) 149,251,850 Increase(decrease) innet assets attributableto holders of redeemableunitsper unit for theperiod (4.10) 9.73 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Statementsofchanges innetassetsattributabletoholdersofredeemableunits (Unaudited) Forthesix-monthperiodsendedJune30, 2016 2015 $ $ Increase(decrease) innet assets attributableto holders of redeemableunits (42,135,537) 149,251,850 Distributionsto holders of redeemableunits Fromsecuritieslendingincome (2,907) (3,823) Total distributionstoholders of redeemable units (2,907) (3,823) Redeemable unit transactions Proceedsfromredeemableunitsissued 45,912,522 104,293,737 Redemptionofredeemableunits (257,775,300) (331,785,826) Net increase(decrease) from redeemableunit transactions (211,862,778) (227,492,089) Increase(decrease) innet assets attributableto holders of redeemableunits (254,001,222) (78,244,062) Net assetsattributableto holders of redeemable units – Beginning of period 1,361,421,169 1,675,358,945 Net assetsattributableto holders of redeemable units – End of period 1,107,419,947 1,597,114,883 Number of redeemableunitsoutstanding– Beginning of period 11,285,343 16,335,929 Issued 409,038 939,404 Redeemed (2,239,850) (3,003,173) Number of redeemableunitsoutstanding– End of period 9,454,531 14,272,160 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Statementsofcashflows (Unaudited) Forthesix-monthperiodsendedJune30, 2016 2015 $ $ Cash flows from (used in) operating activities Increase(decrease)innetassetsattributabletoholdersof redeemableunits (42,135,537) 149,251,850 Adjustmentsfor: Netrealized(gain)lossoninvestments (108,297,561) (142,926,661) Netchangeinunrealized(appreciation)depreciationoninvestments andderivatives 163,725,187 12,468,444 Proceedsfromsaleofinvestments 269,670,366 353,653,839 Purchasesofinvestments (71,844,852) (141,770,120) Cash,segregated (215,717) (327,680) Dividendsreceivable 534,082 305,126 Accruedexpenses 15,355 (804) Net cashfrom (usedin) operating activities 211,451,323 230,653,994 Cash flows from (used in) financingactivities Proceedsfromredeemableunitsissued 45,918,522 104,290,737 Distributionspaidtoholdersofredeemableunits,netofreinvested distributions (1,971,106) (3,823) Redemptionofredeemableunits (258,638,442) (329,636,132) Net cashfrom (usedin) financingactivities (214,691,026) (225,349,218) Net increase(decrease) in cashduringthe period (3,239,703) 5,304,776 Cash – Beginning of period 7,804,870 4,270,683 Cash – End of period 4,565,167 9,575,459 Interestpaid* (680) - Interestreceived* - 966 Dividendsreceived,netofforeignwithholdingtaxes* 14,004,460 18,526,917 *Includedaspartofcashflowsfromoperatingactivities Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Scheduleofinvestmentportfolio (Unaudited) AsatJune30,2016 (showingpercentageoftotalfairvalueofinvestments) Number Average Fair ofshares Description cost value $ $ Commonstock–100% 28,182 3MCo. 3,081,138 6,409,386 68,282 AbbottLaboratories 3,589,348 3,485,926 75,208 AbbVieInc. 3,356,978 6,046,912 29,007 AccenturePLCCl.A 2,064,862 4,267,792 23,400 ActivisionBlizzard,Inc. 904,811 1,204,339 2,000 AcuityBrandsInc. 614,796 644,051 23,251 AdobeSystemsInc. 1,090,888 2,892,482 3,400 AdvanceAutoParts,Inc. 692,316 713,690 30,653 AESCorporation(The) 549,895 496,817 16,349 AetnaInc. 818,636 2,593,119 2,500 AffiliatedManagersGroup,Inc. 546,949 457,045 19,220 AFLACIncorporated 1,011,263 1,801,187 15,275 AgilentTechnologies,Inc. 603,436 879,998 5,571 AGLResourcesInc. 229,558 477,297 9,031 AirProductsandChemicalsInc. 876,055 1,665,925 8,175 AkamaiTechnologies,Inc. 347,696 593,802 6,000 AlaskaAirGroup,Inc. 504,266 454,207 5,200 AlbemarleCorporation 535,616 535,599 61,129 AlcoaInc. 1,061,394 735,929 10,436 AlexionPharmaceuticalsInc. 1,351,059 1,582,476 4,435 AllegionPLC 243,585 399,898 18,348 AllerganPLC 4,921,552 5,506,539 2,611 AllianceDataSystemsCorporation 746,911 664,346 10,600 AlliantEnergyCorporation 546,553 546,519 17,458 AllstateCorporation(The) 794,773 1,585,956 13,661 AlphabetInc.Cl.A 9,342,934 12,481,706 13,774 AlphabetInc.Cl.C 1,982,245 12,380,488 90,975 AltriaGroup,Inc. 3,665,996 8,147,571 18,016 Amazon.com,Inc. 4,492,632 16,743,632 11,240 AmerenCorp. 435,133 782,128 26,900 AmericanAirlinesGroupInc. 1,867,194 989,011 22,877 AmericanElectricPowerCompany,Inc. 1,006,007 2,082,399 37,607 AmericanExpressCompany 2,184,788 2,967,531 52,052 AmericanInternationalGroup,Inc. 4,050,222 3,575,360 19,791 AmericanTowerCorporation 1,336,895 2,920,069 8,300 AmericanWaterWorksCo.,Inc. 754,106 910,951 7,846 AmeripriseFinancial,Inc. 421,542 915,536 8,533 AmerisourceBergenCorporation 369,725 879,009 10,848 AMETEK,Inc. 541,748 651,302 34,929 AmgenInc. 3,022,366 6,901,873 14,330 AmphenolCorp.Cl.A 455,824 1,066,933 23,711 AnadarkoPetroleumCorporation 1,750,677 1,639,753 14,228 AnalogDevices,Inc. 681,149 1,046,588 12,252 Anthem,Inc. 986,165 2,089,839 12,319 AonPLC 588,406 1,747,536 17,480 ApacheCorporation 1,630,043 1,263,780 7,945 ApartmentInvestmentandManagementCompanyCl.A 311,689 455,650 254,701 AppleInc. 14,401,672 31,622,586 50,678 AppliedMaterials,Inc. 969,717 1,577,598 27,339 Archer-Daniels-MidlandCompany 976,709 1,522,816 8,600 ArthurJ.Gallagher&Co. 540,103 531,636 2,889 Assurant,Inc. 145,644 323,830 286,244 AT&TInc. 10,560,416 16,063,105 10,439 Autodesk,Inc. 346,115 733,983 21,209 AutomaticDataProcessing,Inc. 1,382,726 2,530,479 3,345 AutoNation,Inc. 178,233 204,088 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Scheduleofinvestmentportfolio...continued (Unaudited) AsatJune30,2016 (showingpercentageoftotalfairvalueofinvestments) Number Average Fair ofshares Description cost value $ $ Commonstock...continued 1,404 AutoZone,Inc. 425,578 1,447,468 6,361 AvalonbayCommunities,Inc. 904,539 1,490,207 3,840 AveryDennisonCorporation 211,867 372,779 20,327 BakerHughesInc. 1,182,743 1,191,372 6,626 BallCorporation 197,981 622,069 477,643 BankofAmericaCorporation 8,543,223 8,231,580 50,114 BankofNewYorkMellonCorporation 1,778,593 2,528,477 25,648 BaxterInternationalInc. 1,575,102 1,506,236 38,191 BB&TCorporation 1,334,586 1,766,208 9,883 Becton,DickinsonandCompany 1,012,739 2,176,696 7,153 BedBath&BeyondInc. 344,369 401,497 87,129 BerkshireHathawayInc.Cl.B 9,053,156 16,383,630 12,318 BestBuyCo.Inc. 532,161 489,520 10,147 BiogenIdecInc. 1,605,845 3,186,682 5,871 BlackRock,Inc. 1,311,893 2,611,677 27,885 BoeingCompany(The) 2,547,368 4,703,145 10,860 BorgWarnerInc. 369,260 416,347 7,058 BostonProperties,Inc. 720,760 1,209,025 63,050 BostonScientificCorporation 912,264 1,913,607 77,592 Bristol-MyersSquibbCompany 3,147,289 7,411,540 17,279 BroadcomLtd. 1,565,922 3,487,213 4,643 BrownFormanCorp.Cl.B 204,681 601,539 6,646 C.H.RobinsonWorldwide,Inc. 406,153 640,864 3,400 C.R.BardInc. 289,362 1,038,368 13,714 CAInc. 376,521 584,715 21,107 CabotOil&GasCorporation 416,833 705,576 8,338 CampbellSoupCo. 334,767 720,424 23,814 CapitalOneFinancialCorporation 1,454,668 1,964,189 15,136 CardinalHealth,Inc. 893,358 1,533,452 9,275 CarMax,Inc. 268,777 590,588 20,426 CarnivalCorporation 830,682 1,172,504 27,173 CaterpillarInc. 2,143,554 2,675,303 13,581 CBREGroup,Inc.Cl.A 351,251 467,045 19,264 CBSCorporationCl.B 657,724 1,361,988 36,028 CelgeneCorporation 1,787,344 4,614,855 7,900 CenteneCorporation 650,994 732,237 20,002 CenterPointEnergy,Inc. 403,523 623,438 24,780 CenturyLink,Inc. 1,144,015 933,594 13,790 CernerCorporation 500,776 1,049,472 10,885 CFIndustriesHoldings,Inc. 304,013 340,686 55,894 CharlesSchwabCorporation(The) 1,296,624 1,837,241 30,673 ChesapeakeEnergyCorporation 879,959 170,494 87,641 ChevronCorporation 8,780,538 11,931,684 1,412 ChipotleMexicanGrill,Inc. 398,991 738,567 21,552 ChubbLtd. 2,190,812 3,658,518 6,100 Church&DwightCo.,Inc. 723,101 815,102 11,905 CIGNACorporation 786,761 1,978,856 4,400 CimarexEnergyCo. 667,281 681,828 6,865 CincinnatiFinancialCorp. 293,896 667,687 4,032 CintasCorporation 157,501 513,844 233,868 CiscoSystems,Inc. 6,026,359 8,713,852 136,453 CitigroupInc. 8,196,391 7,511,996 25,300 CitizensFinancialGroup,Inc. 756,758 656,485 7,244 CitrixSystems,Inc. 406,459 753,469 6,026 CloroxCompany 425,595 1,083,035 15,698 CMEGroupInc. 1,280,479 1,985,693 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Scheduleofinvestmentportfolio...continued (Unaudited) AsatJune30,2016 (showingpercentageoftotalfairvalueofinvestments) Number Average Fair ofshares Description cost value $ $ Commonstock...continued 12,978 CMSEnergyCorp. 285,978 772,949 12,954 Coach,Inc. 614,968 685,384 181,112 Coca-ColaCompany(The) 6,662,206 10,662,076 28,190 CognizantTechnologySolutionsCorp.Cl.A 908,683 2,095,577 41,501 Colgate-PalmoliveCompany 2,129,696 3,945,286 18,798 ColumbiaPipelineGroup,Inc. 658,595 622,286 112,437 ComcastCorporationCl.A 3,524,877 9,519,170 8,177 ComericaInc. 359,893 436,779 20,286 ConAgraFoods,Inc. 549,689 1,259,575 6,100 ConchoResourcesInc. 778,938 944,865 57,614 ConocoPhillips 3,687,327 3,262,296 13,530 ConsolidatedEdisonInc. 731,579 1,413,444 8,176 ConstellationBrands,Inc.Cl.A 424,946 1,756,246 49,977 CorningIncorporated 998,267 1,329,257 20,374 CostcoWholesaleCorporation 1,975,029 4,155,233 15,619 CrownCastleInternationalCorp. 1,021,175 2,057,446 6,408 CSRAInc. 249,255 194,986 45,311 CSXCorporation 869,114 1,534,688 7,452 CumminsInc. 547,838 1,088,184 49,951 CVSHealthCorporation 2,478,221 6,210,784 15,381 D.R.Horton,Inc. 415,047 628,823 27,826 DanaherCorporation 1,513,428 3,649,900 5,339 DardenRestaurants,Inc. 239,640 439,184 7,580 DaVitaHealthCarePartnersInc.Cl.A 415,584 761,149 13,881 Deere&Company 965,493 1,460,929 12,739 DelphiAutomotivePLC 492,394 1,035,663 35,923 DeltaAirLines,Inc. 946,631 1,699,576 10,872 DENTSPLYSIRONA,Inc. 591,773 875,972 23,592 DevonEnergyCorporation 1,362,681 1,110,661 4,052 DiamondOffshoreDrillingInc. 331,177 128,033 6,800 DigitalRealtyTrust,Inc. 836,821 962,508 19,582 DiscoverFinancialServices 522,757 1,362,855 6,988 DiscoveryCommunications,Inc.Cl.A 305,496 228,970 11,088 DiscoveryCommunications,Inc.Cl.C 499,061 343,440 13,181 DollarGeneralCorp. 765,285 1,609,107 10,817 DollarTree,Inc. 650,226 1,323,887 28,680 DominionResources,Inc. 1,562,377 2,902,637 7,229 DoverCorporation 418,687 650,797 52,217 DowChemicalCompany(The) 1,924,541 3,371,045 8,555 Dr.PepperSnappleGroup,Inc. 285,800 1,073,596 8,300 DTEEnergyCompany 475,195 1,068,435 31,996 DukeEnergyCorporation 2,112,745 3,564,849 1,713 Dun&BradstreetCorporation(The) 161,376 271,054 12,954 E*TradeFinancialCorporation 288,402 395,181 40,645 E.I.duPontdeNemoursandCompany 2,182,395 3,420,511 6,890 EastmanChemicalCompany 361,902 607,572 21,564 EatonCorporationPLC 1,136,999 1,672,749 49,147 eBayInc. 1,985,038 1,494,195 12,263 EcolabInc. 828,947 1,888,819 15,166 EdisonInternational 738,729 1,529,795 9,804 EdwardsLifesciencesCorporation 402,975 1,269,808 14,378 ElectronicArtsInc. 445,748 1,414,644 45,149 EliLillyandCompany 2,479,732 4,617,507 90,839 EMCCorporation 2,255,510 3,205,316 29,941 EmersonElectricCo. 1,604,471 2,028,209 10,600 EndoInternationalPLC 1,074,522 214,615 Theaccompanyingnotesareanintegralpartofthesefinancialstatements. State Street Global Advisors World Funds SSGA S&P 500 Index Fund for Canadian Pension Plans Scheduleofinvestmentportfolio...continued (Unaudited) AsatJune30,2016 (showingpercentageoftotalfairvalueofinvestments) Number Average Fair ofshares Description cost value $ $ Commonstock...continued 8,283 EntergyCorporation 650,061 875,093 25,558 EOGResources,Inc. 1,585,208 2,768,891 7,838 EQTCorporation 397,791 788,176 5,550 EquifaxInc. 227,444 925,480 3,184 Equinix,Inc. 995,753 1,603,287 17,095 EquityResidential 1,003,996 1,529,224 3,100 EssexPropertyTrust,Inc. 594,809 918,284 10,299 EsteeLauderCompaniesInc.Cl.A(The) 517,045 1,217,421 15,185 EversourceEnergy 524,049 1,181,273 42,910 ExelonCorporation 1,992,885 2,026,242 5,439 Expedia,Inc. 438,152 750,864 8,891 ExpeditorsInternationalofWashington,Inc. 386,641 566,252 29,453 ExpressScriptsHoldingCompany 1,650,943 2,899,396 5,600 ExtraSpaceStorageInc. 697,861 673,018 192,873 ExxonMobilCorporation 16,472,521 23,480,386 3,072 F5Networks,Inc. 375,353 454,177 107,492 Facebook,Inc.Cl.A 8,401,416 15,953,472 13,465 FastenalCompany 432,265 776,248 3,100 FederalRealtyInvestmentTrust 658,003 666,499 11,656 FedExCorp. 1,159,794 2,297,592 12,737 FidelityNationalInformationServices,Inc. 522,091 1,218,781 35,719 FifthThirdBancorp 706,474 815,970 3,869 FirstSolar,Inc. 527,475 243,596 19,919 FirstEnergyCorp. 1,007,834 903,080 10,336 Fiserv,Inc. 319,426 1,459,522 5,488 FLIRSystems,Inc. 178,173 220,589 6,657 FlowserveCorporation 249,948 390,515 6,501 FluorCorporation 350,338 416,064 6,794 FMCCorporation 259,963 408,610 11,669 FMCTechnologies,Inc. 419,668 404,171 6,800 FootLockerIncorporated 567,601 484,477 181,474 FordMotorCompany 2,518,488 2,962,501 7,100 FortuneBrandsHome&SecurityInc. 514,809 534,528 17,142 FranklinResources,Inc. 650,640 742,893 58,272 Freeport-McMoRanInc. 2,222,830 843,051 59,697 FrontierCommunicationsCorporation 424,141 382,991 10,553 Gap,Inc.(The) 295,238 290,824 6,007 GarminLtd. 268,949 330,931 13,377 GeneralDynamicsCorp. 1,174,461 2,418,976 427,617 GeneralElectricCompany 11,035,567 17,482,298 27,110 GeneralGrowthProperties,Inc. 629,532 1,049,895 27,686 GeneralMills,Inc. 1,183,522 2,564,368 65,192 GeneralMotorsCo. 2,496,505 2,396,015 7,174 GenuinePartsCompany 388,170 943,333 61,968 GileadSciences,Inc. 2,579,659 6,713,462 7,129 GlobalPaymentsInc. 661,736 660,867 18,014 GoldmanSachsGroup,Inc.(The) 2,963,788 3,475,997 12,353 GoodyearTire&RubberCompany 321,231 411,659 10,475 H&RBlock,Inc. 232,584 312,889 39,987 HalliburtonCompany 1,584,774 2,351,960 17,600 Hanesbrands,Inc. 757,670 574,399 8,408 Harley-Davidson,Inc. 420,477 494,652 3,676 HarmanInternationalIndustriesInc. 361,658 342,870 6,119 HarrisCorporation 340,100 663,076 18,641 HartfordFinancialServicesGroup,Inc.(The) 817,781 1,074,398 5,194 Hasbro,Inc. 240,600 566,550 Theaccompanyingnotesareanintegralpartofthesefinancialstatements.
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