State Street Global Advisors Trust Company

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund State Street Russell Small Cap® Index Non-Lending Series Fund Combined Financial Statements December 31, 2020

Report of Independent Auditors

To the Trustee of State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Russell Small Cap® Index Non-Lending Series Fund

We have audited the accompanying combined financial statements of State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Russell Small Cap® Index Non-Lending Series Fund (the "Fund"), which comprise the combined statement of assets and liabilities, including the combined schedule of investments, as of December 31, 2020 and the related combined 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 "combined financial statements."

Management's Responsibility for the Combined Financial Statements

Management is responsible for the preparation and fair presentation of the combined 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 combined 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 combined 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 combined financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the combined financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the combined 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 combined 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 combined 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 combined financial statements referred to above present fairly, in all material respects, the financial position of State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Russell Small Cap® Index Non-Lending Series Fund as of December 31, 2020, and the results of their operations, changes in their 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 19, 2021

PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210 T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us

Assets Investments in securities, at value (including securities on loan of $200,551,387) $ 9,972,281,071 (cost $6,910,625,716) Investment in State Street Cash Collateral Fund (cost $126,654,534) 126,654,534 Cash 186,155 Cash, segregated 4,554,027 Due from Trustee 20,907 Receivable for Fund units issued 4,524,534 Receivable for investments sold 22,672,502 Dividends receivable 8,793,032 Interest receivable 11,239 Total assets 10,139,698,001

Liabilities Payable for collateral on securities loaned 126,654,534 Payable for Fund units redeemed 19,313,934 Variation margin payable 64,515 Management fees payable 102,218 Administration fees payable 89,716 Other accrued expenses 106,729 Total liabilities 146,331,646 Net Assets, at value $ 9,993,366,355

The accompanying notes are an integral part of these combined financial statements. 2

Lending Fund State Street Russell Small Cap® Index Securities Lending Series Fund - Class I (16,020,258 units outstanding, at $80.25 per unit net asset value) $ 1,285,584,261 State Street Russell Small Cap® Index Securities Lending Series Fund - Class II (10,976,902 units outstanding, at $13.21 per unit net asset value) 145,013,027 State Street Russell Small Cap® Index Securities Lending Series Fund - Class III (842,095 units outstanding, at $40.83 per unit net asset value) 34,386,901 State Street Russell Small Cap® Index Securities Lending Series Fund - Class IV (506,979 units outstanding, at $28.03 per unit net asset value) 14,211,676 State Street Russell Small Cap® Index Securities Lending Series Fund - Class VI (562,649 units outstanding, at $28.36 per unit net asset value) 15,957,313 State Street Russell Small Cap® Index Securities Lending Series Fund - Class VII (100,766 units outstanding, at $26.72 per unit net asset value) 2,692,699 State Street Russell Small Cap® Index Securities Lending Series Fund - Class VIII (8,103,592 units outstanding, at $28.21 per unit net asset value) 228,623,146 Total Lending Net Assets $ 1,726,469,023

Non-Lending Fund State Street Russell Small Cap® Index Non-Lending Series Fund - Class A (77,947,855 units outstanding, at $68.15 per unit net asset value) $ 5,312,424,911 State Street Russell Small Cap® Index Non-Lending Series Fund - Class C (153,924 units outstanding, at $78.56 per unit net asset value) 12,092,562 State Street Russell Small Cap® Index Non-Lending Series Fund - Class K (57,436,892 units outstanding, at $39.53 per unit net asset value) 2,270,636,894 State Street Russell Small Cap® Index Non-Lending Series Fund - Class S (17,000,082 units outstanding, at $39.51 per unit net asset value) 671,742,965 Total Non-Lending Net Assets $ 8,266,897,332 Total Net Assets $ 9,993,366,355

The accompanying notes are an integral part of these combined financial statements. 3

Investment income Dividends $ 114,131,537 Securities lending fee income (net of related expenses), allocated to the Lending Fund 1,794,616 Interest 570,767 Total investment income 116,496,920

Expenses Management fees 972,933 Administration fees 919,139 Administrative service fees 1,065,241 Audit fees 65,200 Other expenses 6,050 Total expenses 3,028,563 Waivers and reimbursements (67,773) Net expenses 2,960,790

Net investment income (loss) 113,536,130

Net realized and unrealized gain (loss): Net realized gain (loss): Investments 461,733,638 Futures contracts 14,973,745 476,707,383 Net change in unrealized appreciation (depreciation): Investments 1,043,165,782 Futures contracts 1,672,845 1,044,838,627 Net realized and unrealized gain (loss) 1,521,546,010 Net increase (decrease) in net assets resulting from operations $ 1,635,082,140

The accompanying notes are an integral part of these combined financial statements. 4

From operations Net investment income (loss) $ 113,536,130 Net realized gain (loss) 476,707,383 Net change in unrealized appreciation (depreciation) 1,044,838,627 Net increase (decrease) in net assets resulting from operations 1,635,082,140 Net increase (decrease) in net assets resulting from participant transactions (847,415,580) Net increase (decrease) in net assets 787,666,560 Net Assets Beginning of year 9,205,699,795 End of year $ 9,993,366,355

The accompanying notes are an integral part of these combined financial statements. 5

Year Ended December 31, 2020 Units Amount Units of Participation Participant transactions for the Fund were as follows: Lending Fund Class I Units issued 4,602,690 $ 267,673,178 Units redeemed (7,194,308) (454,475,122) (2,591,618) (186,801,944) Class II Units issued 9,329,109 $ 102,685,887 Units redeemed (2,239,262) (23,062,064) 7,089,847 79,623,823 Class III Units issued 305,896 $ 10,126,150 Units redeemed (248,927) (7,925,527) 56,969 2,200,623 Class IV Units issued 153,570 $ 3,099,509 Units redeemed (240,692) (5,311,568) (87,122) (2,212,059) Class VI Units issued 119,019 $ 2,498,963 Units redeemed (283,526) (6,011,709) (164,507) (3,512,746) Class VII Units issued 32,813 $ 651,460 Units redeemed (82,862) (1,764,735) (50,049) (1,113,275) Class VIII Units issued 1,100,186 $ 22,346,788 Units redeemed (2,510,206) (55,522,056) (1,410,020) (33,175,268) (144,990,846) Non-Lending Fund Class A Units issued 24,298,622 $ 1,214,766,343 Units redeemed (31,926,567) (1,638,155,222) (7,627,945) (423,388,879)

The accompanying notes are an integral part of these combined financial statements. 6

Year Ended December 31, 2020 Units Amount Class C Units issued 45,377 $ 2,760,363 Units redeemed (94,565) (5,593,639) (49,188) (2,833,276) Class K Units issued 21,328,014 $ 640,813,982 Units redeemed (26,034,068) (766,551,616) (4,706,054) (125,737,634) Class S Units issued 9,652,945 $ 272,618,982 Units redeemed (13,854,616) (423,083,927) (4,201,671) (150,464,945) (702,424,734) Net increase (decrease) $ (847,415,580)

The accompanying notes are an integral part of these combined financial statements. 7

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class I Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 66.89 Net investment income (loss)1 0.93 Net realized and unrealized gain (loss) 12.43 Total from investment operations 13.36 Net asset value, end of year $ 80.25 Total return (%)2 19.97 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.008 Ratio of net investment income (loss) (%) 1.519

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 0.004% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 8

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class II Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 11.01 Net investment income (loss)1 0.16 Net realized and unrealized gain (loss) 2.04 Total from investment operations 2.20 Net asset value, end of year $ 13.21 Total return (%)2 19.95 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.020 Ratio of net investment income (loss) (%) 1.528

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 0.005% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 9

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class III Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 34.24 Net investment income (loss)1 0.30 Net realized and unrealized gain (loss) 6.29 Total from investment operations 6.59 Net asset value, end of year $ 40.83 Total return (%)2 19.25 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.608 Ratio of net investment income (loss) (%) 0.934

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 0.006% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 10

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class IV Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 23.41 Net investment income (loss)1 0.28 Net realized and unrealized gain (loss) 4.34 Total from investment operations 4.62 Net asset value, end of year $ 28.03 Total return (%)2 19.74 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.202 Ratio of net investment income (loss) (%) 1.327

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 0.008% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 11

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class VI Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 23.76 Net investment income (loss)1 0.22 Net realized and unrealized gain (loss) 4.38 Total from investment operations 4.60 Net asset value, end of year $ 28.36 Total return (%)2 19.37 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.512 Ratio of net investment income (loss) (%) 1.014

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 0.008% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 12

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class VII Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 22.44 Net investment income (loss)1 0.16 Net realized and unrealized gain (loss) 4.12 Total from investment operations 4.28 Net asset value, end of year $ 26.72 Total return (%)2 19.07 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.762 Ratio of net investment income (loss) (%) 0.764

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 0.023% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 13

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund - Class VIII Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 23.65 Net investment income (loss)1 0.21 Net realized and unrealized gain (loss) 4.35 Total from investment operations 4.56 Net asset value, end of year $ 28.21 Total return (%)2 19.30 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.572 Ratio of net investment income (loss) (%) 0.954

The accompanying notes are an integral part of these combined financial statements. 14

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund - Class A Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 56.88 Net investment income (loss)1 0.73 Net realized and unrealized gain (loss) 10.54 Total from investment operations 11.27 Net asset value, end of year $ 68.15 Total return (%)2 19.81 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.012 Ratio of net investment income (loss) (%) 1.392

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 less than 0.0005% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 15

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund - Class C Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 65.70 Net investment income (loss)1 0.71 Net realized and unrealized gain (loss) 12.15 Total from investment operations 12.86 Net asset value, end of year $ 78.56 Total return (%)2 19.57 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.212 Ratio of net investment income (loss) (%) 1.181

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 0.006% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 16

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund - Class K Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 33.00 Net investment income (loss)1 0.41 Net realized and unrealized gain (loss) 6.12 Total from investment operations 6.53 Net asset value, end of year $ 39.53 Total return (%)2 19.79 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.035 Ratio of net investment income (loss) (%) 1.370

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 less than 0.0005% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 17

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund - Class S Financial Highlights Year Ended December 31, 2020 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 32.99 Net investment income (loss)1 0.41 Net realized and unrealized gain (loss) 6.11 Total from investment operations 6.52 Net asset value, end of year $ 39.51 Total return (%)2 19.77 Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.052 Ratio of net investment income (loss) (%) 1.344

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 less than 0.0005% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2020 (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 18

Value Common Stock - 99.6% Shares ($)

Aerospace & Defense - 0.9% AAR Corp. 137,673 4,986,516 Aerojet Rocketdyne Holdings Inc. 287,959 15,218,633 AeroVironment Inc. 89,379 7,767,035 Astronics Corp. 100,198 1,325,620 Cubic Corp. 129,726 8,048,201 Ducommun Inc. 45,517 2,444,263 Kaman Corp. 109,720 6,268,304 Kratos Defense & Security Solutions Inc. 484,122 13,279,466 Maxar Technologies Inc. 246,886 9,527,331 Moog Inc. 117,871 9,347,170 National Presto Industries Inc. 21,090 1,864,989 PAE Inc. 244,200 2,241,756 Park Aerospace Corp. 83,328 1,117,428 Parsons Corp. 91,415 3,328,420 Triumph Group Inc. 211,975 2,662,406 Vectrus Inc. 47,614 2,367,368 91,794,906

Air Freight & Logistics - 0.3% Air Transport Services Group Inc. 237,137 7,431,874 Atlas Air Worldwide Holdings Inc. 106,467 5,806,710 Echo Global Logistics Inc. 103,061 2,764,096 Forward Air Corp. 112,147 8,617,375 Hub Group Inc. 135,433 7,719,681 Radiant Logistics Inc. 164,301 952,946 33,292,682

Airlines - 0.3% Allegiant Travel Co. 52,740 9,980,518 Hawaiian Holdings Inc. 178,032 3,151,166 Mesa Air Group Inc. 124,985 836,150 SkyWest Inc. 195,020 7,861,256 Spirit Airlines Inc. 391,512 9,572,468 31,401,558

The accompanying notes are an integral part of these combined financial statements. 19

Value Common Stock - 99.6% Shares ($)

Auto Components - 1.3% Adient PLC 354,707 12,333,162 American Axle & Manufacturing Holdings Inc. 454,339 3,789,187 Cooper Tire & Rubber Co. 204,376 8,277,228 Cooper-Standard Holdings Inc. 67,636 2,344,940 Dana Inc. 577,028 11,263,587 Dorman Products Inc. 107,610 9,342,700 Fox Factory Holding Corp. 164,994 17,441,516 Gentherm Inc. 135,009 8,805,287 Goodyear Tire & Rubber Co. 933,449 10,183,929 LCI Industries 98,292 12,746,507 Modine Manufacturing Co. 188,496 2,367,510 Motorcar Parts of America Inc. 74,454 1,460,787 Standard Motor Products Inc. 83,615 3,383,063 Stoneridge Inc. 100,965 3,052,172 Tenneco Inc. 206,288 2,186,653 Visteon Corp. 110,523 13,872,847 Workhorse Group Inc. 378,500 7,486,730 XPEL Inc. 67,408 3,475,556 133,813,361

Automobiles - 0.1% Winnebago Industries Inc. 123,166 7,382,570

Banks - 7.8% 1st Constitution Bancorp 31,518 500,191 1st Source Corp. 66,090 2,663,427 ACNB Corp. 39,912 997,800 Allegiance Bancshares Inc. 79,343 2,707,977 Altabancorp 68,918 1,924,191 Amalgamated Bank 60,010 824,537 Amerant Bancorp Inc. 100,105 1,521,596 American National Bankshares Inc. 47,859 1,254,384 Ameris Bancorp 263,125 10,017,169 Ames National Corp. 38,950 935,579 Arrow Financial Corp. 55,641 1,664,222

The accompanying notes are an integral part of these combined financial statements. 20

Value Common Stock - 99.6% Shares ($)

Atlantic Capital Bancshares Inc. 87,768 1,397,267 Atlantic Union Bankshares Corp. 314,306 10,353,240 Auburn National BanCorp Inc. 10,000 416,900 Banc of California Inc. 180,520 2,655,449 BancFirst Corp. 74,073 4,348,085 Bancorp Inc. 216,783 2,959,088 BancorpSouth Bank 394,957 10,837,620 Bank First Corp. 25,722 1,667,300 Bank of Commerce Holdings 70,246 695,435 Bank of Marin Bancorp 57,621 1,978,705 Bank of NT Butterfield & Son Ltd. 206,082 6,421,515 Bank of Princeton 23,787 556,854 Bank7 Corp. 16,798 238,532 BankFinancial Corp. 62,482 548,592 BankUnited Inc. 366,000 12,729,480 Bankwell Financial Group Inc. 30,151 589,452 Banner Corp. 144,134 6,715,203 Bar Harbor Bankshares 64,588 1,459,043 BayCom Corp. 42,343 642,343 BCB Bancorp Inc. 60,729 672,270 Berkshire Hills Bancorp Inc. 173,110 2,963,643 Boston Private Financial Holdings Inc. 317,268 2,680,915 Bridge Bancorp Inc. 66,654 1,611,694 Brookline Bancorp Inc. 304,824 3,670,081 Bryn Mawr Bank Corp. 76,629 2,344,464 Business First Bancshares Inc. 54,243 1,104,387 Byline Bancorp Inc. 104,846 1,619,871 C&F Financial Corp. 14,200 526,962 Cadence BanCorp 503,853 8,273,266 California Bancorp Inc. 33,200 516,592 Cambridge Bancorp 27,506 1,918,544 Camden National Corp. 65,187 2,332,391 Capital Bancorp Inc. 35,660 496,744 Capital City Bank Group Inc. 60,804 1,494,562 Capstar Financial Holdings Inc. 65,655 968,411 Carter Bankshares Inc. 103,654 1,111,171 Cathay General Bancorp 307,947 9,912,814

The accompanying notes are an integral part of these combined financial statements. 21

Value Common Stock - 99.6% Shares ($)

CB Financial Services Inc. 21,700 434,217 CBTX Inc. 76,955 1,963,122 Central Pacific Financial Corp. 112,907 2,146,362 Central Valley Community Bancorp 51,022 759,718 Century Bancorp Inc. 12,719 983,942 Chemung Financial Corp. 13,924 472,720 ChoiceOne Financial Services Inc. 32,700 1,007,487 CIT Group Inc. 393,400 14,123,060 Citizens & Northern Corp. 53,030 1,052,115 Citizens Holding Co. 23,589 494,190 City Holding Co. 63,876 4,442,576 Civista Bancshares Inc. 69,103 1,211,376 CNB Financial Corp. 63,609 1,354,236 Coastal Financial Corp. 43,374 910,854 Codorus Valley Bancorp Inc. 40,718 690,577 Colony Bankcorp Inc. 33,355 488,651 Columbia Banking System Inc. 284,843 10,225,864 Community Bank System Inc. 210,886 13,140,307 Community Bankers Trust Corp. 80,463 543,125 Community Financial Corp. 17,256 456,939 Community Trust Bancorp Inc. 66,360 2,458,638 ConnectOne Bancorp Inc. 155,026 3,067,965 County Bancorp Inc. 22,200 490,176 CrossFirst Bankshares Inc. 184,971 1,988,438 Customers Bancorp Inc. 120,292 2,186,909 CVB Financial Corp. 532,752 10,388,664 Dime Community Bancshares Inc. 124,411 1,961,961 Eagle Bancorp Inc. 126,578 5,227,671 Eagle Bancorp Montana Inc. 31,242 662,955 Eastern Bankshares Inc. 661,600 10,790,696 Enterprise Bancorp Inc. 37,816 966,199 Enterprise Financial Services Corp. 94,533 3,303,928 Equity Bancshares Inc. 65,167 1,406,956 Esquire Financial Holdings Inc. 25,250 484,548 Evans Bancorp Inc. 24,855 684,507 Farmers & Merchants Bancorp Inc. 40,439 930,097 Farmers National Banc Corp. 118,057 1,566,616

The accompanying notes are an integral part of these combined financial statements. 22

Value Common Stock - 99.6% Shares ($)

FB Financial Corp. 122,826 4,265,747 Fidelity D&D Bancorp Inc. 18,606 1,197,482 Financial Institutions Inc. 69,299 1,559,228 First Bancorp 112,445 3,804,014 First BanCorp 851,451 7,850,378 First Bancorp Inc. 48,397 1,229,284 First Bancshares Inc. 85,602 2,643,390 First Bank 67,543 633,553 First Busey Corp. 199,115 4,290,928 First Business Financial Services Inc. 35,677 656,814 First Capital Inc. 12,735 771,232 First Choice Bancorp 44,019 813,911 First Commonwealth Financial Corp. 393,452 4,304,365 First Community Bankshares Inc. 69,927 1,509,025 First Community Corp. 35,100 596,349 First Financial Bancorp 401,881 7,044,974 First Financial Bankshares Inc. 514,782 18,622,239 First Financial Corp. 58,229 2,262,197 First Foundation Inc. 153,732 3,074,640 First Guaranty Bancshares Inc. 18,542 329,491 First Internet Bancorp 41,129 1,182,047 First Interstate BancSystem Inc. 161,555 6,586,597 First Merchants Corp. 223,542 8,362,706 First Mid Bancshares Inc. 62,097 2,090,185 First Midwest Bancorp Inc. 450,414 7,170,591 First Northwest Bancorp 46,127 719,581 First of Long Island Corp. 96,803 1,727,934 First Savings Financial Group Inc. 8,100 526,500 First United Corp. 30,200 468,100 First Western Financial Inc. 28,600 559,702 Flushing Financial Corp. 126,138 2,098,936 FNCB Bancorp Inc. 74,647 477,741 Franklin Financial Services Corp. 20,008 540,816 Fulton Financial Corp. 628,247 7,991,302 FVCBankcorp Inc. 53,151 781,320 German American Bancorp Inc. 104,853 3,469,586 Glacier Bancorp Inc. 382,036 17,577,476

The accompanying notes are an integral part of these combined financial statements. 23

Value Common Stock - 99.6% Shares ($)

Great Southern Bancorp Inc. 41,640 2,036,196 Great Western Bancorp Inc. 217,667 4,549,240 Guaranty Bancshares Inc. 32,239 965,558 Hancock Whitney Corp. 343,947 11,701,077 Hanmi Financial Corp. 128,112 1,452,790 HarborOne Bancorp Inc. 214,681 2,331,436 Hawthorn Bancshares Inc. 26,506 580,481 HBT Financial Inc. 40,600 615,090 Heartland Financial USA Inc. 144,383 5,828,742 Heritage Commerce Corp. 245,102 2,174,055 Heritage Financial Corp. 151,045 3,532,943 Hilltop Holdings Inc. 294,428 8,099,714 Home BancShares Inc. 610,020 11,883,190 HomeTrust Bancshares Inc. 69,807 1,347,973 Hope Bancorp Inc. 464,809 5,071,066 Horizon Bancorp Inc. 164,647 2,611,301 Howard Bancorp Inc. 56,242 664,218 Independent Bank Corp. 130,346 9,520,472 Independent Bank Corp. 91,212 1,684,686 Independent Bank Group Inc. 146,776 9,176,436 International Bancshares Corp. 221,065 8,276,674 Investar Holding Corp. 36,901 610,343 Investors Bancorp Inc. 940,310 9,929,674 Lakeland Bancorp Inc. 196,564 2,496,363 Lakeland Financial Corp. 99,750 5,344,605 Landmark Bancorp Inc. 17,850 407,873 LCNB Corp. 59,225 870,015 Level One Bancorp Inc. 23,187 469,073 Limestone Bancorp Inc. 24,500 307,720 Live Oak Bancshares Inc. 116,945 5,550,210 Macatawa Bank Corp. 108,965 912,037 Mackinac Financial Corp. 44,592 568,994 MainStreet Bancshares Inc. 34,184 578,051 Mercantile Bank Corp. 66,689 1,811,940 Meridian Corp. 24,700 513,760 Metrocity Bankshares Inc. 69,800 1,006,516 Metropolitan Bank Holding Corp. 28,017 1,016,177

The accompanying notes are an integral part of these combined financial statements. 24

Value Common Stock - 99.6% Shares ($)

Mid Penn Bancorp Inc. 30,055 658,205 Middlefield Banc Corp. 25,800 580,500 Midland States Bancorp Inc. 88,110 1,574,526 MidWestOne Financial Group Inc. 67,610 1,656,445 MVB Financial Corp. 35,607 807,567 National Bank Holdings Corp. 116,097 3,803,338 National Bankshares Inc. 25,194 788,824 NBT Bancorp Inc. 169,183 5,430,774 Nicolet Bankshares Inc. 34,462 2,286,554 Northeast Bank 32,824 739,196 Northrim BanCorp Inc. 28,524 968,390 Norwood Financial Corp. 25,694 672,412 Oak Valley Bancorp 31,655 526,106 OceanFirst Financial Corp. 234,388 4,366,648 OFG Bancorp 198,687 3,683,657 Ohio Valley Banc Corp. 14,519 342,648 Old National Bancorp 650,932 10,779,434 Old Second Bancorp Inc. 123,684 1,249,208 Origin Bancorp Inc. 94,273 2,617,961 Orrstown Financial Services Inc. 45,056 745,677 Pacific Premier Bancorp Inc. 317,092 9,934,492 Park National Corp. 59,488 6,246,835 Parke Bancorp Inc. 43,079 672,032 Partners Bancorp 54,100 351,650 PCB Bancorp 49,015 495,542 Peapack-Gladstone Financial Corp. 78,255 1,781,084 Penns Woods Bancorp Inc. 30,597 795,828 Peoples Bancorp Inc. 74,746 2,024,869 Peoples Bancorp of North Carolina Inc. 17,212 396,220 Peoples Financial Services Corp. 30,205 1,110,336 Plumas Bancorp 19,900 467,650 Preferred Bank 53,408 2,695,502 Premier Financial Bancorp Inc. 52,032 691,505 Professional Holding Corp. 14,400 222,192 QCR Holdings Inc. 63,013 2,494,685 RBB Bancorp 79,411 1,221,341 Red River Bancshares Inc. 21,378 1,059,280

The accompanying notes are an integral part of these combined financial statements. 25

Value Common Stock - 99.6% Shares ($)

Reliant Bancorp Inc. 71,446 1,330,325 Renasant Corp. 225,378 7,590,731 Republic Bancorp Inc. 46,453 1,675,560 Republic First Bancorp Inc. 214,976 612,682 Richmond Mutual BanCorp Inc. 53,027 724,349 S&T Bancorp Inc. 152,009 3,775,904 Salisbury Bancorp Inc. 10,900 406,243 Sandy Spring Bancorp Inc. 182,997 5,890,673 SB Financial Group Inc. 34,800 636,144 Seacoast Banking Corp. of Florida 210,177 6,189,713 Select Bancorp Inc. 71,606 678,109 ServisFirst Bancshares Inc. 201,215 8,106,952 Shore Bancshares Inc. 56,208 820,637 Sierra Bancorp 62,165 1,486,987 Silvergate Capital Corp. 63,587 4,725,150 Simmons First National Corp. 429,045 9,263,082 SmartFinancial Inc. 51,242 929,530 South Plains Financial Inc. 44,335 840,148 South State Corp. 279,113 20,179,870 Southern First Bancshares Inc. 32,616 1,152,976 Southern National Bancorp of Virginia Inc. 88,676 1,073,866 Southside Bancshares Inc. 124,833 3,873,568 Spirit of Texas Bancshares Inc. 56,127 942,934 Stock Yards Bancorp Inc. 80,442 3,256,292 Summit Financial Group Inc. 48,842 1,078,431 Texas Capital Bancshares Inc. 201,700 12,001,150 Tompkins Financial Corp. 56,599 3,995,889 Towne Bank 271,981 6,386,114 TriCo Bancshares 103,833 3,663,228 TriState Capital Holdings Inc. 111,090 1,932,966 Triumph Bancorp Inc. 94,562 4,590,985 Trustmark Corp. 254,087 6,939,116 UMB Financial Corp. 173,990 12,003,570 United Bankshares Inc. 493,748 15,997,435 United Community Banks Inc. 309,371 8,798,511 United Security Bancshares 59,492 419,419 Unity Bancorp Inc. 34,708 609,125

The accompanying notes are an integral part of these combined financial statements. 26

Value Common Stock - 99.6% Shares ($)

Univest Financial Corp. 115,052 2,367,770 Valley National Bancorp 1,588,912 15,491,892 Veritex Holdings Inc. 187,445 4,809,839 Washington Trust Bancorp Inc. 69,968 3,134,566 WesBanco Inc. 269,725 8,080,961 West BanCorp Inc. 70,695 1,364,414 Westamerica BanCorp 108,301 5,987,962 780,950,251

Beverages - 0.3% Celsius Holdings Inc. 135,308 6,807,345 Coca-Cola Consolidated Inc. 18,690 4,976,586 MGP Ingredients Inc. 50,202 2,362,506 National Beverage Corp. 49,282 4,184,042 NewAge Inc. 344,479 905,980 Primo Water Corp. 626,600 9,825,088 29,061,547

Biotechnology - 11.6% 89bio Inc. 29,900 728,663 Abeona Therapeutics Inc. 231,241 363,048 ADMA Biologics Inc. 205,675 401,066 Adverum Biotechnologies Inc. 354,184 3,839,355 Aeglea BioTherapeutics Inc. 159,096 1,252,086 Affimed NV 297,067 1,728,930 Agenus Inc. 602,994 1,917,521 Akebia Therapeutics Inc. 554,840 1,553,552 Akero Therapeutics Inc. 58,228 1,502,282 Akouos Inc. 57,200 1,134,276 Albireo Pharma Inc. 54,163 2,031,654 Alector Inc. 180,175 2,726,048 Aligos Therapeutics Inc. 40,300 1,114,295 Allakos Inc. 100,404 14,056,560 Allogene Therapeutics Inc. 222,547 5,617,086 Allovir Inc. 71,800 2,759,992 ALX Oncology Holdings Inc. 37,900 3,266,980 Amicus Therapeutics Inc. 1,025,388 23,676,209

The accompanying notes are an integral part of these combined financial statements. 27

Value Common Stock - 99.6% Shares ($)

AnaptysBio Inc. 86,557 1,860,976 Anavex Life Sciences Corp. 193,219 1,043,383 Anika Therapeutics Inc. 58,097 2,629,470 Annexon Inc. 57,780 1,446,233 Apellis Pharmaceuticals Inc. 239,481 13,698,313 Applied Genetic Technologies Corp. 114,321 467,573 Applied Molecular Transport Inc. 49,400 1,520,038 Applied Therapeutics Inc. 54,251 1,194,065 Aprea Therapeutics Inc. 29,300 144,156 Aptinyx Inc. 102,200 353,612 Aravive Inc. 60,800 342,912 Arcturus Therapeutics Holdings Inc. 87,800 3,808,764 Arcus Biosciences Inc. 170,794 4,433,812 Arcutis Biotherapeutics Inc. 72,600 2,042,238 Ardelyx Inc. 281,116 1,818,821 Arena Pharmaceuticals Inc. 231,890 17,816,109 Arrowhead Pharmaceuticals Inc. 400,278 30,713,331 Assembly Biosciences Inc. 119,445 722,642 Atara Biotherapeutics Inc. 301,472 5,917,895 Athenex Inc. 252,755 2,795,470 Athersys Inc. 701,015 1,226,776 Atreca Inc. 86,171 1,391,662 AVEO Pharmaceuticals Inc. 72,900 420,633 Avid Bioservices Inc. 218,060 2,516,412 Avidity Biosciences Inc. 67,436 1,720,967 Avrobio Inc. 120,682 1,682,307 Axcella Health Inc. 52,300 271,437 Aziyo Biologics Inc. 8,900 121,307 Beam Therapeutics Inc. 159,146 12,992,679 Beyondspring Inc. 52,659 642,440 BioCryst Pharmaceuticals Inc. 719,251 5,358,420 Biohaven Pharmaceutical Holding Co. Ltd. 191,897 16,447,492 Bioxcel Therapeutics Inc. 47,771 2,207,020 Black Diamond Therapeutics Inc. 72,950 2,338,048 Blueprint Medicines Corp. 220,659 24,746,907 BrainStorm Cell Therapeutics Inc. 118,400 535,760 Bridgebio Pharma Inc. 290,435 20,652,833

The accompanying notes are an integral part of these combined financial statements. 28

Value Common Stock - 99.6% Shares ($)

C4 Therapeutics Inc. 42,600 1,411,338 Cabaletta Bio Inc. 48,808 609,124 Calithera Biosciences Inc. 285,158 1,400,126 Calyxt Inc. 31,107 131,272 CareDx Inc. 190,871 13,828,604 CASI Pharmaceuticals Inc. 208,978 616,485 Castle Biosciences Inc. 49,519 3,325,201 Catabasis Pharmaceuticals Inc. 84,613 181,072 Catalyst Biosciences Inc. 89,400 564,114 Catalyst Pharmaceuticals Inc. 392,348 1,310,442 Cellular Biomedicine Group Inc. 55,854 1,026,597 CEL-SCI Corp. 135,739 1,582,717 Centogene NV 8,700 93,786 Checkmate Pharmaceuticals Inc. 21,200 309,308 Checkpoint Therapeutics Inc. 183,556 486,423 ChemoCentryx Inc. 197,696 12,241,336 Chimerix Inc. 191,077 922,902 Chinook Therapeutics Inc. 53,768 852,760 Cidara Therapeutics Inc. 165,700 331,400 Clovis Oncology Inc. 323,221 1,551,461 Codiak Biosciences Inc. 22,100 713,830 Cohbar Inc. 140,700 188,538 Coherus Biosciences Inc. 230,118 3,999,451 Concert Pharmaceuticals Inc. 112,772 1,425,438 Constellation Pharmaceuticals Inc. 119,978 3,455,366 ContraFect Corp. 72,200 364,610 Corbus Pharmaceuticals Holdings Inc. 277,560 346,950 Cortexyme Inc. 62,135 1,726,110 Crinetics Pharmaceuticals Inc. 117,215 1,653,904 Cue Biopharma Inc. 116,299 1,454,900 Cyclerion Therapeutics Inc. 78,481 240,152 Cytokinetics Inc. 271,156 5,634,622 CytomX Therapeutics Inc. 193,328 1,266,298 Deciphera Pharmaceuticals Inc. 154,212 8,800,879 Denali Therapeutics Inc. 250,774 21,004,830 DermTech Inc. 36,500 1,184,060 Dicerna Pharmaceuticals Inc. 269,229 5,931,115

The accompanying notes are an integral part of these combined financial statements. 29

Value Common Stock - 99.6% Shares ($)

Dyadic International Inc. 89,400 480,972 Dynavax Technologies Corp. 455,104 2,025,213 Dyne Therapeutics Inc. 56,700 1,190,700 Eagle Pharmaceuticals Inc. 42,333 1,971,448 Editas Medicine Inc. 250,460 17,559,751 Eidos Therapeutics Inc. 45,637 6,004,916 Eiger BioPharmaceuticals Inc. 121,180 1,489,302 Emergent BioSolutions Inc. 183,268 16,420,813 Enanta Pharmaceuticals Inc. 75,360 3,172,656 Enochian Biosciences Inc. 41,874 123,528 Epizyme Inc. 354,472 3,849,566 Esperion Therapeutics Inc. 102,649 2,668,874 Evelo Biosciences Inc. 61,827 747,488 Exicure Inc. 288,800 511,176 Fate Therapeutics Inc. 285,669 25,975,882 Fennec Pharmaceuticals Inc. 87,448 651,488 FibroGen Inc. 335,907 12,458,791 Five Prime Therapeutics Inc. 123,259 2,096,636 Flexion Therapeutics Inc. 185,441 2,139,989 Foghorn Therapeutics Inc. 28,700 581,749 Forma Therapeutics Holdings Inc. 65,506 2,286,159 Fortress Biotech Inc. 229,100 726,247 Frequency Therapeutics Inc. 101,700 3,585,942 G1 Therapeutics Inc. 137,906 2,480,929 Galectin Therapeutics Inc. 164,883 369,338 Galera Therapeutics Inc. 42,200 431,706 Generation Bio Co. 48,600 1,377,810 Genprex Inc. 130,100 539,915 Geron Corp. 1,156,361 1,838,614 GlycoMimetics Inc. 145,003 545,211 Gossamer Bio Inc. 240,018 2,320,974 Gritstone Oncology Inc. 121,787 479,841 Halozyme Therapeutics Inc. 530,263 22,647,533 Harpoon Therapeutics Inc. 47,455 788,228 Heron Therapeutics Inc. 357,257 7,561,344 Homology Medicines Inc. 137,361 1,550,806 Hookipa Pharma Inc. 57,428 636,877

The accompanying notes are an integral part of these combined financial statements. 30

Value Common Stock - 99.6% Shares ($)

iBio Inc. 214,900 225,645 Ideaya Biosciences Inc. 55,200 772,800 IGM Biosciences Inc. 27,700 2,445,633 Immunic Inc. 16,000 244,640 ImmunoGen Inc. 716,728 4,622,896 Immunome Inc. 8,400 81,312 Immunovant Inc. 144,500 6,674,455 Inhibrx Inc. 32,400 1,068,228 Inovio Pharmaceuticals Inc. 647,947 5,734,331 Inozyme Pharma Inc. 30,600 631,584 Insmed Inc. 403,753 13,440,937 Intellia Therapeutics Inc. 203,147 11,051,197 Intercept Pharmaceuticals Inc. 103,049 2,545,310 Invitae Corp. 460,255 19,243,262 Ironwood Pharmaceuticals Inc. 660,440 7,522,412 iTeos Therapeutics Inc. 41,900 1,417,058 IVERIC bio Inc. 321,928 2,224,522 Jounce Therapeutics Inc. 68,463 479,241 Kadmon Holdings Inc. 700,211 2,905,876 KalVista Pharmaceuticals Inc. 57,859 1,098,742 Karuna Therapeutics Inc. 64,672 6,570,028 Karyopharm Therapeutics Inc. 291,454 4,511,708 Keros Therapeutics Inc. 52,000 3,668,080 Kezar Life Sciences Inc. 98,141 512,296 Kindred Biosciences Inc. 166,439 717,352 Kiniksa Pharmaceuticals Ltd. 103,210 1,823,721 Kodiak Sciences Inc. 128,519 18,880,726 Kronos Bio Inc. 58,300 1,741,421 Krystal Biotech Inc. 52,887 3,173,220 Kura Oncology Inc. 245,240 8,009,538 Kymera Therapeutics Inc. 40,200 2,492,400 La Jolla Pharmaceutical Co. 95,482 370,470 Lexicon Pharmaceuticals Inc. 184,144 629,772 Ligand Pharmaceuticals Inc. 57,592 5,727,524 LogicBio Therapeutics Inc. 36,939 281,845 MacroGenics Inc. 214,923 4,913,140 Madrigal Pharmaceuticals Inc. 36,340 4,039,918

The accompanying notes are an integral part of these combined financial statements. 31

Value Common Stock - 99.6% Shares ($)

Magenta Therapeutics Inc. 85,914 673,566 MannKind Corp. 872,657 2,731,416 Marker Therapeutics Inc. 130,826 189,698 MediciNova Inc. 170,271 895,625 MEI Pharma Inc. 433,968 1,145,676 MeiraGTx Holdings PLC 90,372 1,368,232 Mersana Therapeutics Inc. 215,863 5,744,114 Metacrine Inc. 26,400 207,504 Minerva Neurosciences Inc. 119,210 278,951 Mirati Therapeutics Inc. 172,113 37,802,899 Mirum Pharmaceuticals Inc. 26,651 465,326 Molecular Templates Inc. 108,356 1,017,463 Morphic Holding Inc. 60,840 2,041,182 Mustang Bio Inc. 128,639 486,899 Myriad Genetics Inc. 282,016 5,576,866 NantKwest Inc. 127,600 1,700,908 Natera Inc. 301,628 30,018,019 Neoleukin Therapeutics Inc. 132,328 1,865,825 Neubase Therapeutics Inc. 68,728 480,409 NeuroBo Pharmaceuticals Inc. 27,000 141,750 NextCure Inc. 59,730 651,057 Nkarta Inc. 62,702 3,854,292 Novavax Inc. 245,785 27,407,485 Nurix Therapeutics Inc. 43,800 1,440,144 Nymox Pharmaceutical Corp. 195,500 484,840 Oncocyte Corp. 223,651 534,526 Oncorus Inc. 26,400 853,512 OPKO Health Inc. 1,644,794 6,496,936 Organogenesis Holdings Inc. 95,759 721,065 Orgenesis Inc. 91,100 409,950 ORIC Pharmaceuticals Inc. 88,500 2,995,725 Ovid therapeutics Inc. 177,500 410,025 Oyster Point Pharma Inc. 25,100 472,382 Pandion Therapeutics Inc. 31,400 466,290 Passage Bio Inc. 99,200 2,536,544 PhaseBio Pharmaceuticals Inc. 64,727 217,483 Pieris Pharmaceuticals Inc. 212,447 531,118

The accompanying notes are an integral part of these combined financial statements. 32

Value Common Stock - 99.6% Shares ($)

PMV Pharmaceuticals Inc. 54,500 3,352,295 Poseida Therapeutics Inc. 56,300 617,611 Praxis Precision Medicines Inc. 44,000 2,420,880 Precigen Inc. 267,663 2,730,163 Precision BioSciences Inc. 176,107 1,468,732 Prelude Therapeutics Inc. 36,600 2,618,730 Prevail Therapeutics Inc. 59,498 1,372,619 Protagonist Therapeutics Inc. 122,747 2,474,580 Protara Therapeutics Inc. 10,500 254,205 Prothena Corp. PLC 124,392 1,493,948 PTC Therapeutics Inc. 246,407 15,038,219 Puma Biotechnology Inc. 123,205 1,264,083 Radius Health Inc. 183,321 3,274,113 RAPT Therapeutics Inc. 44,376 876,426 REGENXBIO Inc. 134,988 6,123,056 Relay Therapeutics Inc. 131,100 5,448,516 Replimune Group Inc. 87,058 3,321,263 REVOLUTION Medicines Inc. 156,900 6,211,671 Rhythm Pharmaceuticals Inc. 132,582 3,941,663 Rigel Pharmaceuticals Inc. 686,834 2,403,919 Rocket Pharmaceuticals Inc. 139,410 7,645,244 Rubius Therapeutics Inc. 152,950 1,160,891 Sangamo Therapeutics Inc. 473,819 7,393,946 Savara Inc. 233,002 267,952 Scholar Rock Holding Corp. 94,996 4,610,156 Selecta Biosciences Inc. 274,085 830,478 Seres Therapeutics Inc. 219,621 5,380,715 Shattuck Labs Inc. 52,300 2,741,043 Soleno Therapeutics Inc. 190,600 367,858 Solid Biosciences Inc. 64,634 489,926 Sorrento Therapeutics Inc. 997,991 6,811,289 Spectrum Pharmaceuticals Inc. 587,362 2,002,904 Spero Therapeutics Inc. 57,314 1,111,318 SpringWorks Therapeutics Inc. 96,700 7,012,684 Spruce Biosciences Inc. 27,800 675,818 SQZ Biotechnologies Co. 17,800 515,844 Stoke Therapeutics Inc. 51,007 3,158,864

The accompanying notes are an integral part of these combined financial statements. 33

Value Common Stock - 99.6% Shares ($)

Sutro Biopharma Inc. 111,232 2,414,847 Syndax Pharmaceuticals Inc. 111,290 2,475,090 Syros Pharmaceuticals Inc. 175,994 1,909,535 Taysha Gene Therapies Inc. 34,600 918,284 TCR2 Therapeutics Inc. 101,940 3,153,004 TG Therapeutics Inc. 456,786 23,762,008 Translate Bio Inc. 284,605 5,245,270 Travere Therapeutics Inc. 203,656 5,550,644 Turning Point Therapeutics Inc. 148,871 18,139,931 Twist Bioscience Corp. 130,425 18,427,748 Tyme Technologies Inc. 297,621 363,098 Ultragenyx Pharmaceutical Inc. 249,595 34,551,436 UNITY Biotechnology Inc. 138,315 724,771 UroGen Pharma Ltd. 74,496 1,342,418 Vanda Pharmaceuticals Inc. 221,216 2,906,778 Vaxart Inc. 199,700 1,140,287 Vaxcyte Inc. 74,400 1,976,808 VBI Vaccines Inc. 713,150 1,961,163 Veracyte Inc. 228,329 11,174,421 Verastem Inc. 689,624 1,468,899 Vericel Corp. 177,821 5,491,112 Viela Bio Inc. 88,500 3,183,345 Viking Therapeutics Inc. 252,333 1,420,635 Vir Biotechnology Inc. 221,200 5,923,736 Voyager Therapeutics Inc. 109,563 783,375 vTv Therapeutics Inc. 75,000 139,500 X4 Pharmaceuticals Inc. 78,803 506,703 XBiotech Inc. 61,739 966,215 Xencor Inc. 219,881 9,593,408 XOMA Corp. 29,998 1,323,812 Y-mAbs Therapeutics Inc. 124,175 6,147,904 Zentalis Pharmaceuticals Inc. 114,600 5,952,324 ZIOPHARM Oncology Inc. 832,594 2,098,137 1,113,997,659

Building Products - 1.6% AAON Inc. 166,892 11,120,014

The accompanying notes are an integral part of these combined financial statements. 34

Value Common Stock - 99.6% Shares ($)

Advanced Drainage Systems Inc. 228,411 19,090,591 Alpha Pro Tech Ltd. 49,600 553,040 American Woodmark Corp. 70,123 6,581,044 Apogee Enterprises Inc. 100,500 3,183,840 Builders FirstSource Inc. 461,178 18,820,674 Caesarstone Ltd. 98,265 1,266,636 Cornerstone Building Brands Inc. 166,832 1,548,201 CSW Industrials Inc. 56,930 6,371,036 Gibraltar Industries Inc. 129,200 9,294,648 Griffon Corp. 175,313 3,572,879 Insteel Industries Inc. 79,129 1,762,203 JELD-WEN Holding Inc. 280,543 7,114,570 Masonite International Corp. 99,228 9,758,082 Patrick Industries Inc. 88,983 6,081,988 PGT Innovations Inc. 231,249 4,703,605 Quanex Building Products Corp. 128,868 2,857,004 Resideo Technologies Inc. 575,900 12,243,634 Simpson Manufacturing Co. Inc. 173,800 16,241,610 UFP Industries Inc. 238,475 13,247,286 155,412,585

Capital Markets - 1.5% Artisan Partners Asset Management Inc. 219,241 11,036,592 Assetmark Financial Holdings Inc. 62,733 1,518,139 Associated Capital Group Inc. 6,352 223,082 B Riley Financial Inc. 73,707 3,259,324 BGC Partners Inc. 1,229,400 4,917,600 Blucora Inc. 186,694 2,970,302 Brightsphere Investment Group Inc. 242,261 4,670,792 Cohen & Steers Inc. 101,134 7,514,256 Cowen Inc. 108,026 2,807,596 Diamond Hill Investment Group Inc. 13,354 1,993,352 Donnelley Financial Solutions Inc. 115,695 1,963,344 Federated Hermes Inc. 379,032 10,950,234 Focus Financial Partners Inc. 130,715 5,686,103 GAMCO Investors Inc. 28,642 508,109 Greenhill & Co. Inc. 59,849 726,567

The accompanying notes are an integral part of these combined financial statements. 35

Value Common Stock - 99.6% Shares ($)

Hamilton Lane Inc. 124,269 9,699,195 Houlihan Lokey Inc. 210,378 14,143,713 Moelis & Co. 209,546 9,798,371 Oppenheimer Holdings Inc. 34,153 1,073,429 Piper Sandler Cos. 72,184 7,283,366 PJT Partners Inc. 86,936 6,541,934 Pzena Investment Management Inc. 83,815 611,850 Safeguard Scientifics Inc. 87,513 558,333 Sculptor Capital Management Inc. 75,163 1,142,478 Siebert Financial Corp. 34,060 143,052 Silvercrest Asset Management Group Inc. 30,633 425,492 StepStone Group Inc. 77,500 3,084,500 Stifel Financial Corp. 391,557 19,757,966 StoneX Group Inc. 64,566 3,738,371 Value Line Inc. 76 2,506 Virtus Investment Partners Inc. 26,941 5,846,197 Waddell & Reed Financial Inc. 255,395 6,504,911 Westwood Holdings Group Inc. 34,904 506,108 WisdomTree Investments Inc. 539,475 2,886,191 154,493,355

Chemicals - 1.7% Advanced Emissions Solutions Inc. 74,462 409,541 AdvanSix Inc. 114,134 2,281,539 AgroFresh Solutions Inc. 133,700 303,499 American Vanguard Corp. 127,457 1,978,133 Amyris Inc. 434,047 2,680,240 Avient Corp. 364,472 14,680,932 Balchem Corp. 128,293 14,781,919 Chase Corp. 30,553 3,086,159 Ferro Corp. 325,019 4,755,028 FutureFuel Corp. 111,101 1,410,983 GCP Applied Technologies Inc. 193,980 4,587,627 Hawkins Inc. 37,473 1,960,213 HB Fuller Co. 204,299 10,599,032 Ingevity Corp. 165,569 12,538,540 Innospec Inc. 98,651 8,950,605

The accompanying notes are an integral part of these combined financial statements. 36

Value Common Stock - 99.6% Shares ($)

Intrepid Potash Inc. 40,695 982,784 Koppers Holdings Inc. 86,258 2,687,799 Kraton Corp. 125,867 3,497,844 Kronos Worldwide Inc. 90,467 1,348,863 Livent Corp. 585,051 11,022,361 Marrone Bio Innovations Inc. 220,342 275,428 Minerals Technologies Inc. 137,412 8,536,033 Orion Engineered Carbons SA 237,767 4,075,326 PQ Group Holdings Inc. 147,802 2,107,657 Quaker Chemical Corp. 53,046 13,441,326 Rayonier Advanced Materials Inc. 225,903 1,472,888 Sensient Technologies Corp. 169,161 12,479,007 Stepan Co. 87,059 10,387,880 Trecora Resources 87,763 613,463 Tredegar Corp. 110,729 1,849,174 Trinseo SA 156,496 8,014,160 Tronox Holdings PLC 352,317 5,150,875 172,946,858

Commercial Services & Supplies - 1.9% ABM Industries Inc. 265,997 10,065,326 ACCO Brands Corp. 360,798 3,048,743 Brady Corp. 190,443 10,059,199 BrightView Holdings Inc. 138,548 2,094,846 Brink's Co. 196,196 14,126,112 Casella Waste Systems Inc. 189,613 11,746,525 CECO Environmental Corp. 127,630 888,305 Cimpress PLC 72,397 6,352,113 CompX International Inc. 138 1,964 Covanta Holding Corp. 469,984 6,170,890 Deluxe Corp. 165,874 4,843,521 Ennis Inc. 109,247 1,950,059 Harsco Corp. 310,743 5,587,159 Healthcare Services Group Inc. 295,652 8,307,821 Heritage-Crystal Clean Inc. 64,098 1,350,545 Herman Miller Inc. 238,398 8,057,852 HNI Corp. 176,653 6,087,462

The accompanying notes are an integral part of these combined financial statements. 37

Value Common Stock - 99.6% Shares ($)

IBEX Holdings Ltd. 19,900 372,130 Interface Inc. 243,688 2,558,724 KAR Auction Services Inc. 529,778 9,859,169 Kimball International Inc. 151,768 1,813,628 Knoll Inc. 196,357 2,882,521 Matthews International Corp. 119,870 3,524,178 McGrath RentCorp 99,925 6,704,968 Montrose Environmental Group Inc. 42,700 1,321,992 NL Industries Inc. 36,617 175,029 PICO Holdings Inc. 81,126 758,528 Pitney Bowes Inc. 700,447 4,314,754 Quad/Graphics Inc. 143,723 549,022 SP Plus Corp. 92,816 2,675,885 Steelcase Inc. 341,392 4,625,862 Team Inc. 126,549 1,379,384 Tetra Tech Inc. 214,970 24,889,227 UniFirst Corp. 60,103 12,723,204 US Ecology Inc. 125,284 4,551,568 Viad Corp. 81,567 2,950,278 VSE Corp. 37,076 1,427,055 190,795,548

Communications Equipment - 0.9% Acacia Communications Inc. 154,314 11,258,749 ADTRAN Inc. 192,911 2,849,295 Applied Optoelectronics Inc. 81,210 691,097 CalAmp Corp. 144,018 1,428,659 Calix Inc. 218,364 6,498,513 Cambium Networks Corp. 18,338 459,917 Casa Systems Inc. 145,189 895,816 Clearfield Inc. 48,140 1,190,021 Comtech Telecommunications Corp. 99,356 2,055,676 Digi International Inc. 119,348 2,255,677 DZS Inc. 51,691 799,660 Extreme Networks Inc. 479,039 3,300,579 Genasys Inc. 134,900 879,548 Harmonic Inc. 370,416 2,737,374

The accompanying notes are an integral part of these combined financial statements. 38

Value Common Stock - 99.6% Shares ($)

Infinera Corp. 631,786 6,621,117 Inseego Corp. 268,394 4,152,055 InterDigital Inc. 124,810 7,573,471 KVH Industries Inc. 77,133 875,460 NETGEAR Inc. 119,657 4,861,664 NetScout Systems Inc. 281,854 7,728,437 PCTEL Inc. 88,900 584,073 Plantronics Inc. 137,952 3,728,843 Resonant Inc. 203,657 539,691 Ribbon Communications Inc. 285,897 1,875,484 Viavi Solutions Inc. 911,311 13,646,882 89,487,758

Construction & Engineering - 1.4% Aegion Corp. 129,410 2,457,496 Ameresco Inc. 96,434 5,037,712 API Group Corp. 555,400 10,080,510 Arcosa Inc. 192,707 10,585,396 Argan Inc. 59,570 2,650,269 Comfort Systems USA Inc. 148,525 7,821,327 Concrete Pumping Holdings Inc. 119,110 456,191 Construction Partners Inc. 95,320 2,774,765 Dycom Industries Inc. 121,691 9,190,104 EMCOR Group Inc. 216,791 19,827,705 Fluor Corp. 558,200 8,914,454 Granite Construction Inc. 185,257 4,948,214 Great Lakes Dredge & Dock Corp. 256,851 3,382,728 HC2 Holdings Inc. 222,997 726,970 IES Holdings Inc. 32,952 1,517,110 MasTec Inc. 226,126 15,417,271 MYR Group Inc. 65,867 3,958,607 Northwest Pipe Co. 43,012 1,217,240 NV5 Global Inc. 44,038 3,469,314 Primoris Services Corp. 189,930 5,243,967 Sterling Construction Co. Inc. 116,111 2,160,826 Tutor Perini Corp. 158,183 2,048,470

The accompanying notes are an integral part of these combined financial statements. 39

Value Common Stock - 99.6% Shares ($)

WillScot Mobile Mini Holdings Corp. 639,424 14,815,454 138,702,100

Construction Materials - 0.1% Forterra Inc. 116,015 1,994,878 Summit Materials Inc. 454,159 9,119,513 United States Lime & Minerals Inc. 9,020 1,028,280 US Concrete Inc. 61,848 2,472,065 14,614,736

Consumer Finance - 0.8% Atlanticus Holdings Corp. 24,700 608,361 Curo Group Holdings Corp. 70,247 1,006,640 Encore Capital Group Inc. 124,254 4,839,693 Enova International Inc. 145,771 3,610,748 EZCORP Inc. 217,765 1,043,094 FirstCash Inc. 162,205 11,360,838 Green Dot Corp. 209,507 11,690,491 LendingClub Corp. 282,597 2,984,224 Navient Corp. 733,600 7,203,952 Nelnet Inc. 69,788 4,971,697 Oportun Financial Corp. 78,800 1,526,356 PRA Group Inc. 186,637 7,402,023 PROG Holdings Inc. 268,925 14,486,990 Regional Management Corp. 37,413 1,117,152 World Acceptance Corp. 18,304 1,871,035 75,723,294

Containers & Packaging - 0.2% Greif Inc. 106,865 5,009,831 Greif Inc. 24,341 1,177,618 Myers Industries Inc. 151,907 3,156,627 O-I Glass Inc. 648,600 7,718,340 Pactiv Evergreen Inc. 157,700 2,860,678 Ranpak Holdings Corp. 109,000 1,464,960

The accompanying notes are an integral part of these combined financial statements. 40

Value Common Stock - 99.6% Shares ($)

UFP Technologies Inc. 28,878 1,345,715 22,733,769

Distributors - 0.1% Core-Mark Holding Co. Inc. 178,057 5,229,534 Funko Inc. 82,730 858,737 Greenlane Holdings Inc. 35,771 141,653 Weyco Group Inc. 30,304 480,015 6,709,939

Diversified Consumer Services - 0.6% Adtalem Global Education Inc. 211,966 7,196,246 American Public Education Inc. 55,696 1,697,614 Aspen Group Inc. 73,900 822,507 Carriage Services Inc. 69,662 2,181,814 Collectors Universe Inc. 35,339 2,664,561 Franchise Group Inc. 88,900 2,707,005 Houghton Mifflin Harcourt Co. 398,024 1,325,420 Laureate Education Inc. 445,627 6,488,329 OneSpaWorld Holdings Ltd. 182,679 1,852,365 Perdoceo Education Corp. 273,805 3,458,157 Regis Corp. 95,184 874,741 Strategic Education Inc. 95,637 9,117,075 Stride Inc. 158,708 3,369,371 Universal Technical Institute Inc. 116,800 754,528 Vivint Smart Home Inc. 290,277 6,023,248 WW International Inc. 196,365 4,791,306 55,324,287

Diversified Financial Services - 0.2% Alerus Financial Corp. 60,000 1,642,200 A-Mark Precious Metals Inc. 17,600 451,440 Banco Latinoamericano de Comercio Exterior SA 129,981 2,057,599 Cannae Holdings Inc. 343,925 15,225,560 GWG Holdings Inc. 304 2,125 Marlin Business Services Corp. 36,590 447,862

The accompanying notes are an integral part of these combined financial statements. 41

Value Common Stock - 99.6% Shares ($)

SWK Holdings Corp. 21,500 309,385 20,136,171

Diversified Telecommunication Services - 0.8% Alaska Communications Systems Group Inc. 259,400 957,186 Anterix Inc. 43,387 1,631,351 ATN International Inc. 43,754 1,827,167 Bandwidth Inc. 76,479 11,752,528 Cincinnati Bell Inc. 197,771 3,021,941 Cogent Communications Holdings Inc. 168,636 10,096,237 Consolidated Communications Holdings Inc. 300,287 1,468,403 IDT Corp. 53,263 658,331 Iridium Communications Inc. 468,971 18,442,285 Liberty Latin America Ltd. 186,152 2,071,872 Liberty Latin America Ltd. 641,963 7,119,370 Ooma Inc. 87,940 1,266,336 ORBCOMM Inc. 311,848 2,313,912 Vonage Holdings Corp. 954,033 12,283,175 74,910,094

Electric Utilities - 0.6% ALLETE Inc. 207,770 12,869,274 Genie Energy Ltd. 64,711 466,566 MGE Energy Inc. 150,101 10,511,573 Otter Tail Corp. 167,694 7,145,441 PNM Resources Inc. 316,855 15,376,973 Portland General Electric Co. 358,887 15,349,597 Spark Energy Inc. 49,776 476,356 62,195,780

Electrical Equipment - 1.7% Allied Motion Technologies Inc. 29,495 1,507,195 American Superconductor Corp. 90,767 2,125,763 Atkore International Group Inc. 188,147 7,734,723 AZZ Inc. 103,163 4,894,053 Bloom Energy Corp. 354,279 10,153,636 Encore Wire Corp. 80,750 4,891,028

The accompanying notes are an integral part of these combined financial statements. 42

Value Common Stock - 99.6% Shares ($)

EnerSys 169,593 14,086,395 FuelCell Energy Inc. 1,148,000 12,823,160 LSI Industries Inc. 104,500 894,520 Orion Energy Systems Inc. 109,600 1,081,752 Plug Power Inc. 1,494,182 50,667,712 Powell Industries Inc. 33,125 976,856 Preformed Line Products Co. 12,990 889,036 Sunrun Inc. 598,143 41,499,161 Thermon Group Holdings Inc. 125,566 1,962,597 TPI Composites Inc. 119,917 6,329,219 Ultralife Corp. 44,500 287,915 Vicor Corp. 79,838 7,362,660 170,167,381

Electronic Equipment, Instruments & Components - 2.2% Akoustis Technologies Inc. 116,587 1,425,859 Arlo Technologies Inc. 311,237 2,424,536 Badger Meter Inc. 111,707 10,507,160 Bel Fuse Inc. 46,009 691,515 Belden Inc. 182,329 7,639,585 Benchmark Electronics Inc. 143,795 3,883,903 CTS Corp. 133,154 4,571,177 Daktronics Inc. 155,357 727,071 ePlus Inc. 52,750 4,639,363 Fabrinet 140,932 10,934,914 FARO Technologies Inc. 70,494 4,978,991 Fitbit Inc. 1,005,776 6,839,277 II-VI Inc. 413,713 31,425,639 Insight Enterprises Inc. 140,045 10,656,024 Intellicheck Inc. 81,200 926,086 Iteris Inc. 145,576 822,504 Itron Inc. 159,973 15,341,411 Kimball Electronics Inc. 106,926 1,709,747 Knowles Corp. 367,042 6,764,584 Luna Innovations Inc. 124,386 1,228,934 Methode Electronics Inc. 148,082 5,668,579 MTS Systems Corp. 77,835 4,526,884

The accompanying notes are an integral part of these combined financial statements. 43

Value Common Stock - 99.6% Shares ($)

Napco Security Technologies Inc. 46,979 1,231,789 nLight Inc. 140,830 4,598,100 Novanta Inc. 136,430 16,128,755 OSI Systems Inc. 70,170 6,541,247 PAR Technology Corp. 75,958 4,769,403 PC Connection Inc. 42,836 2,025,714 Plexus Corp. 113,655 8,888,958 Powerfleet Inc. 128,800 956,984 Research Frontiers Inc. 132,200 371,482 Rogers Corp. 74,280 11,534,941 Sanmina Corp. 255,580 8,150,446 ScanSource Inc. 100,865 2,660,819 TTM Technologies Inc. 397,613 5,485,071 Vishay Intertechnology Inc. 509,189 10,545,304 Vishay Precision Group Inc. 51,572 1,623,487 Wrap Technologies Inc. 47,939 231,545 224,077,788

Energy Equipment & Services - 0.7% Archrock Inc. 511,294 4,427,806 Aspen Aerogels Inc. 82,900 1,383,601 Bristow Group Inc. 26,631 700,928 Cactus Inc. 188,599 4,916,776 ChampionX Corp. 742,000 11,352,600 DMC Global Inc. 58,771 2,541,846 Dril-Quip Inc. 138,217 4,093,988 Exterran Corp. 117,213 518,081 Frank's International NV 650,916 1,783,510 Helix Energy Solutions Group Inc. 576,725 2,422,245 Liberty Oilfield Services Inc. 266,151 2,744,017 Matrix Service Co. 111,138 1,224,741 Nabors Industries Ltd. 28,392 1,653,266 National Energy Services Reunited Corp. 91,219 905,805 Newpark Resources Inc. 388,552 746,020 NexTier Oilfield Solutions Inc. 680,019 2,339,265 Oceaneering International Inc. 401,269 3,190,089 Oil States International Inc. 266,348 1,337,067

The accompanying notes are an integral part of these combined financial statements. 44

Value Common Stock - 99.6% Shares ($)

Patterson-UTI Energy Inc. 714,652 3,759,070 ProPetro Holding Corp. 329,529 2,435,219 RPC Inc. 232,300 731,745 SEACOR Holdings Inc. 77,371 3,207,028 Select Energy Services Inc. 268,318 1,100,104 Solaris Oilfield Infrastructure Inc. 129,904 1,057,419 Tidewater Inc. 172,337 1,488,992 Transocean Ltd. 2,275,100 5,255,481 US Silica Holdings Inc. 300,210 2,107,474 69,424,183

Entertainment - 0.2% AMC Entertainment Holdings Inc. 227,085 481,420 Cinemark Holdings Inc. 424,700 7,394,027 Eros STX Global Corp. 599,828 1,091,687 Gaia Inc. 47,244 466,771 Glu Mobile Inc. 594,852 5,359,617 IMAX Corp. 201,541 3,631,769 Liberty Media Corp.-Liberty Braves 42,392 1,054,289 Liberty Media Corp.-Liberty Braves 146,762 3,651,439 LiveXLive Media Inc. 125,520 411,706 Marcus Corp. 94,073 1,268,104 24,810,829

Equity Real Estate Investment Trusts (REITs) - 0.0% Broadstone Net Lease Inc. 141,500 2,770,570

Food & Staples Retailing - 0.8% Andersons Inc. 122,181 2,994,656 BJ's Wholesale Club Holdings Inc. 546,105 20,358,794 Chefs' Warehouse Inc. 122,967 3,159,022 HF Foods Group Inc. 162,051 1,218,624 Ingles Markets Inc. 57,626 2,458,325 Natural Grocers by Vitamin Cottage Inc. 42,286 581,010 Performance Food Group Co. 522,516 24,876,987 PriceSmart Inc. 90,034 8,201,197

The accompanying notes are an integral part of these combined financial statements. 45

Value Common Stock - 99.6% Shares ($)

Rite Aid Corp. 213,569 3,380,797 SpartanNash Co. 138,974 2,419,537 United Natural Foods Inc. 221,153 3,531,813 Village Super Market Inc. 34,647 764,313 Weis Markets Inc. 37,041 1,770,930 75,716,005

Food Products - 1.4% Alico Inc. 24,926 773,205 B&G Foods Inc. 257,328 7,135,705 Bridgford Foods Corp. 10,552 192,257 Calavo Growers Inc. 65,469 4,545,513 Cal-Maine Foods Inc. 147,637 5,542,293 Darling Ingredients Inc. 641,620 37,008,642 Farmer Bros Co. 80,155 374,324 Fresh Del Monte Produce Inc. 125,714 3,025,936 Freshpet Inc. 154,474 21,933,763 Hostess Brands Inc. 496,068 7,262,436 J & J Snack Foods Corp. 59,358 9,222,452 John B Sanfilippo & Son Inc. 35,577 2,805,602 Laird Superfood Inc. 12,400 586,768 Lancaster Colony Corp. 75,612 13,892,193 Landec Corp. 109,814 1,191,482 Limoneira Co. 70,359 1,171,477 Mission Produce Inc. 29,000 436,450 Sanderson Farms Inc. 80,331 10,619,758 Seneca Foods Corp. 26,733 1,066,647 Simply Good Foods Co. 344,365 10,799,286 Tootsie Roll Industries Inc. 65,001 1,930,530 Vital Farms Inc. 40,800 1,032,648 142,549,367

Gas Utilities - 0.9% Brookfield Infrastructure Corp. 126,501 9,146,022 Chesapeake Utilities Corp. 65,621 7,100,848 New Jersey Resources Corp. 380,077 13,511,737 Northwest Natural Holding Co. 126,216 5,804,674

The accompanying notes are an integral part of these combined financial statements. 46

Value Common Stock - 99.6% Shares ($)

ONE Gas Inc. 209,060 16,049,536 RGC Resources Inc. 32,948 783,503 South Jersey Industries Inc. 399,491 8,609,031 Southwest Gas Holdings Inc. 223,463 13,575,377 Spire Inc. 200,195 12,820,488 87,401,216

Health Care Equipment & Supplies - 3.4% Accelerate Diagnostics Inc. 125,667 952,556 Accuray Inc. 361,687 1,508,235 Acutus Medical Inc. 38,700 1,114,947 Alphatec Holdings Inc. 193,865 2,814,920 AngioDynamics Inc. 142,452 2,183,789 Antares Pharma Inc. 636,689 2,540,389 Apyx Medical Corp. 157,807 1,136,210 Aspira Women's Health Inc. 224,800 1,508,408 AtriCure Inc. 166,803 9,285,923 Atrion Corp. 5,908 3,794,354 Avanos Medical Inc. 195,247 8,957,932 Axogen Inc. 147,097 2,633,036 Axonics Modulation Technologies Inc. 125,279 6,253,928 Bellerophon Therapeutics Inc. 21,100 140,737 Beyond Air Inc. 68,900 363,103 BioLife Solutions Inc. 52,463 2,092,749 BioSig Technologies Inc. 95,679 373,148 Cantel Medical Corp. 151,300 11,931,518 Cardiovascular Systems Inc. 160,159 7,008,558 Cerus Corp. 667,991 4,622,498 Chembio Diagnostics Inc. 88,100 418,475 Co-Diagnostics Inc. 101,900 947,670 CONMED Corp. 109,850 12,303,200 CryoLife Inc. 144,827 3,419,365 CryoPort Inc. 141,248 6,197,962 Cutera Inc. 65,394 1,576,649 CytoSorbents Corp. 154,562 1,231,859 Eargo Inc. 31,900 1,429,758 Electromed Inc. 26,000 255,060

The accompanying notes are an integral part of these combined financial statements. 47

Value Common Stock - 99.6% Shares ($)

FONAR Corp. 26,900 466,984 GenMark Diagnostics Inc. 276,203 4,032,564 Glaukos Corp. 170,296 12,816,477 Heska Corp. 28,084 4,090,435 Inari Medical Inc. 31,000 2,705,990 Inogen Inc. 71,949 3,214,681 Integer Holdings Corp. 132,243 10,736,809 IntriCon Corp. 32,139 581,716 Invacare Corp. 146,972 1,315,399 iRadimed Corp. 28,695 654,246 iRhythm Technologies Inc. 115,240 27,336,080 Lantheus Holdings Inc. 262,317 3,538,656 LeMaitre Vascular Inc. 67,183 2,720,912 LENSAR Inc. 32,439 235,183 LivaNova PLC 194,784 12,896,649 Meridian Bioscience Inc. 166,799 3,117,473 Merit Medical Systems Inc. 216,041 11,992,436 Mesa Laboratories Inc. 19,180 5,497,755 Milestone Scientific Inc. 193,000 409,160 Misonix Inc. 43,655 545,688 Natus Medical Inc. 135,959 2,724,618 Nemaura Medical Inc. 36,300 136,851 Neogen Corp. 210,413 16,685,751 Nevro Corp. 135,616 23,475,130 NuVasive Inc. 204,104 11,497,178 OraSure Technologies Inc. 289,484 3,064,188 Orthofix Medical Inc. 75,257 3,234,546 OrthoPediatrics Corp. 52,850 2,180,063 Outset Medical Inc. 39,700 2,256,548 PAVmed Inc. 167,400 354,888 Pulmonx Corp. 46,300 3,195,626 Pulse Biosciences Inc. 53,749 1,282,451 Quotient Ltd. 218,439 1,138,067 Repro-Med Systems Inc. 99,000 595,980 Retractable Technologies Inc. 60,000 644,400 Rockwell Medical Inc. 277,124 279,895 SeaSpine Holdings Corp. 109,196 1,905,470

The accompanying notes are an integral part of these combined financial statements. 48

Value Common Stock - 99.6% Shares ($)

Shockwave Medical Inc. 115,171 11,945,536 SI-BONE Inc. 105,142 3,143,746 Sientra Inc. 175,314 681,971 Silk Road Medical Inc. 109,059 6,868,536 Soliton Inc. 20,487 157,340 STAAR Surgical Co. 182,704 14,473,811 Stereotaxis Inc. 182,800 930,452 Surgalign Holdings Inc. 247,053 541,046 Surmodics Inc. 51,631 2,246,981 Tactile Systems Technology Inc. 74,266 3,337,514 Tela Bio Inc. 28,500 428,640 TransMedics Group Inc. 82,671 1,645,153 Utah Medical Products Inc. 14,611 1,231,707 Vapotherm Inc. 76,595 2,057,342 Varex Imaging Corp. 153,956 2,567,986 Venus Concept Inc. 99,400 171,962 ViewRay Inc. 427,519 1,633,123 VolitionRX Ltd. 126,000 490,140 Zynex Inc. 70,879 954,031 338,060,896

Health Care Providers & Services - 2.7% 1Life Healthcare Inc. 313,500 13,684,275 AdaptHealth Corp. 100,900 3,789,804 Addus HomeCare Corp. 57,272 6,705,978 American Renal Associates Holdings Inc. 60,546 693,252 AMN Healthcare Services Inc. 186,046 12,697,640 Apollo Medical Holdings Inc. 83,149 1,519,132 Avalon GloboCare Corp. 97,374 109,059 Biodesix Inc. 12,000 241,920 BioTelemetry Inc. 127,739 9,207,427 Brookdale Senior Living Inc. 712,988 3,158,537 Community Health Systems Inc. 356,733 2,650,526 CorVel Corp. 34,961 3,705,866 Covetrus Inc. 463,400 13,318,116 Cross Country Healthcare Inc. 156,341 1,386,745 Ensign Group Inc. 210,368 15,340,035

The accompanying notes are an integral part of these combined financial statements. 49

Value Common Stock - 99.6% Shares ($)

Enzo Biochem Inc. 175,884 443,228 Exagen Inc. 14,800 195,360 Five Star Senior Living Inc. 89,500 617,550 Fulgent Genetics Inc. 54,000 2,813,400 Hanger Inc. 144,963 3,187,736 HealthEquity Inc. 300,430 20,942,975 InfuSystem Holdings Inc. 53,000 995,340 Joint Corp. 59,211 1,554,881 LHC Group Inc. 121,013 25,814,493 Magellan Health Inc. 97,973 8,116,083 MEDNAX Inc. 304,700 7,477,338 National HealthCare Corp. 49,555 3,290,948 National Research Corp. 58,067 2,482,364 Ontrak Inc. 32,955 2,036,289 Option Care Health Inc. 178,999 2,799,544 Owens & Minor Inc. 289,608 7,833,896 Patterson Cos. Inc. 342,881 10,159,564 Pennant Group Inc. 101,113 5,870,621 PetIQ Inc. 85,005 3,268,442 Progenity Inc. 14,500 76,995 Progyny Inc. 105,400 4,467,906 Providence Service Corp. 50,133 6,949,938 R1 RCM Inc. 441,394 10,602,284 RadNet Inc. 170,874 3,344,004 Select Medical Holdings Corp. 433,086 11,979,159 Sharps Compliance Corp. 52,900 499,905 Surgery Partners Inc. 91,025 2,640,635 Tenet Healthcare Corp. 416,705 16,639,031 Tivity Health Inc. 169,858 3,327,518 Triple-S Management Corp. 92,750 1,980,213 US Physical Therapy Inc. 50,376 6,057,714 Viemed Healthcare Inc. 132,800 1,030,528 267,704,194

Health Care Technology - 1.2% Accolade Inc. 46,150 2,007,525 Allscripts Healthcare Solutions Inc. 626,972 9,053,476

The accompanying notes are an integral part of these combined financial statements. 50

Value Common Stock - 99.6% Shares ($)

Computer Programs and Systems Inc. 49,181 1,320,018 Evolent Health Inc. 299,498 4,800,953 Health Catalyst Inc. 136,839 5,956,602 HealthStream Inc. 100,558 2,196,187 HMS Holdings Corp. 351,307 12,910,532 iCAD Inc. 80,500 1,062,600 Inovalon Holdings Inc. 298,075 5,416,023 Inspire Medical Systems Inc. 104,413 19,639,041 NantHealth Inc. 121,900 393,737 NextGen Healthcare Inc. 226,627 4,133,676 Omnicell Inc. 169,309 20,320,466 OptimizeRx Corp. 58,968 1,837,443 Phreesia Inc. 132,591 7,194,388 Schrodinger Inc. 117,700 9,319,486 Simulations Plus Inc. 57,369 4,125,978 Tabula Rasa HealthCare Inc. 80,925 3,466,827 Vocera Communications Inc. 133,640 5,550,069 120,705,027

Hotels, Restaurants & Leisure - 3.7% Accel Entertainment Inc. 177,900 1,796,790 Bally's Corp. 69,500 3,490,985 Biglari Holdings Inc. 4,148 461,258 Biglari Holdings Inc. 480 280,800 BJ's Restaurants Inc. 89,790 3,456,017 Bloomin' Brands Inc. 349,076 6,779,056 Bluegreen Vacations Corp. 31,355 248,959 Bluegreen Vacations Holding Corp. 56,723 767,462 Boyd Gaming Corp. 324,146 13,912,346 Brinker International Inc. 171,386 9,695,306 Caesars Entertainment Inc. 718,125 53,335,144 Carrols Restaurant Group Inc. 152,523 957,844 Century Casinos Inc. 109,271 698,242 Cheesecake Factory Inc. 175,890 6,518,483 Churchill Downs Inc. 151,583 29,526,853 Chuy's Holdings Inc. 83,721 2,217,769 Cracker Barrel Old Country Store Inc. 94,575 12,476,334

The accompanying notes are an integral part of these combined financial statements. 51

Value Common Stock - 99.6% Shares ($)

Dave & Buster's Entertainment Inc. 173,741 5,215,705 Del Taco Restaurants Inc. 121,750 1,103,055 Denny's Corp. 252,869 3,712,117 Dine Brands Global Inc. 61,606 3,573,148 El Pollo Loco Holdings Inc. 74,097 1,341,156 Everi Holdings Inc. 322,890 4,459,111 Fiesta Restaurant Group Inc. 79,532 906,665 GAN Ltd. 96,098 1,948,867 Golden Entertainment Inc. 67,614 1,344,842 Hilton Grand Vacations Inc. 325,600 10,207,560 International Game Technology PLC 395,200 6,694,688 Jack in the Box Inc. 91,565 8,497,232 Kura Sushi USA Inc. 2,487 48,497 Lindblad Expeditions Holdings Inc. 99,717 1,707,155 Marriott Vacations Worldwide Corp. 161,443 22,153,208 Monarch Casino & Resort Inc. 49,329 3,019,921 Nathan's Famous Inc. 13,462 743,372 Noodles & Co. 126,720 1,001,088 Papa John's International Inc. 129,918 11,023,542 Penn National Gaming Inc. 622,943 53,803,567 PlayAGS Inc. 122,462 881,726 RCI Hospitality Holdings Inc. 35,106 1,384,581 Red Robin Gourmet Burgers Inc. 55,087 1,059,323 Red Rock Resorts Inc. 273,349 6,844,659 Ruth's Hospitality Group Inc. 131,927 2,339,066 Scientific Games Corp. 226,413 9,393,875 SeaWorld Entertainment Inc. 201,758 6,373,535 Shake Shack Inc. 141,838 12,025,026 Target Hospitality Corp. 155,527 245,733 Texas Roadhouse Inc. 262,012 20,478,858 Wingstop Inc. 118,198 15,667,145 365,817,671

Household Durables - 2.0% Beazer Homes USA Inc. 116,655 1,767,323 Casper Sleep Inc. 106,200 653,130 Cavco Industries Inc. 37,277 6,540,250

The accompanying notes are an integral part of these combined financial statements. 52

Value Common Stock - 99.6% Shares ($)

Century Communities Inc. 116,320 5,092,490 Ethan Allen Interiors Inc. 86,281 1,743,739 GoPro Inc. 488,047 4,041,029 Green Brick Partners Inc. 96,897 2,224,755 Hamilton Beach Brands Holding Co. 29,843 522,551 Helen of Troy Ltd. 100,913 22,421,859 Hooker Furniture Corp. 47,093 1,518,749 Installed Building Products Inc. 93,478 9,528,213 iRobot Corp. 113,185 9,087,624 KB Home 351,810 11,792,671 La-Z-Boy Inc. 184,377 7,345,580 Legacy Housing Corp. 25,846 390,533 LGI Homes Inc. 88,399 9,357,034 Lifetime Brands Inc. 49,944 759,149 Lovesac Co. 36,434 1,569,941 M/I Homes Inc. 111,074 4,919,467 MDC Holdings Inc. 205,534 9,988,952 Meritage Homes Corp. 148,280 12,280,550 Purple Innovation Inc. 66,070 2,176,346 Skyline Champion Corp. 215,020 6,652,719 Sonos Inc. 327,107 7,651,033 Taylor Morrison Home Corp. 503,395 12,912,082 TopBuild Corp. 132,001 24,298,744 TRI Pointe Group Inc. 503,220 8,680,545 Tupperware Brands Corp. 194,633 6,304,163 Turtle Beach Corp. 54,500 1,174,475 Universal Electronics Inc. 52,498 2,754,045 VOXX International Corp. 73,900 942,964 197,092,705

Household Products - 0.2% Central Garden & Pet Co. 39,024 1,506,717 Central Garden & Pet Co. 163,655 5,945,586 Oil-Dri Corp. of America 23,302 794,132 WD-40 Co. 54,418 14,457,774 22,704,209

The accompanying notes are an integral part of these combined financial statements. 53

Value Common Stock - 99.6% Shares ($)

Independent Power and Renewable Electricity Producers - 0.6% Atlantic Power Corp. 394,845 829,175 Brookfield Renewable Corp. 409,198 23,843,967 Clearway Energy Inc. 137,842 4,073,231 Clearway Energy Inc. 333,862 10,660,214 Ormat Technologies Inc. 159,605 14,409,139 Sunnova Energy International Inc. 216,027 9,749,299 63,565,025

Industrial Conglomerates - 0.0% Raven Industries Inc. 140,723 4,656,524

Insurance - 2.1% Ambac Financial Group Inc. 187,184 2,878,890 American Equity Investment Life Holding Co. 365,979 10,122,979 AMERISAFE Inc. 76,150 4,373,295 Argo Group International Holdings Ltd. 129,027 5,638,480 BRP Group Inc. 169,256 5,072,602 Citizens Inc. 225,256 1,290,717 CNO Financial Group Inc. 552,977 12,292,679 Crawford & Co. 70,696 522,443 Donegal Group Inc. 39,134 550,615 eHealth Inc. 103,396 7,300,792 Employers Holdings Inc. 113,853 3,664,928 Enstar Group Ltd. 48,502 9,937,575 FBL Financial Group Inc. 37,253 1,956,155 FedNat Holding Co. 50,990 301,861 Genworth Financial Inc. 2,034,695 7,691,147 Goosehead Insurance Inc. 53,012 6,613,777 Greenlight Capital Re Ltd. 124,728 911,762 HCI Group Inc. 25,087 1,312,050 Heritage Insurance Holdings Inc. 110,815 1,122,556 Horace Mann Educators Corp. 171,707 7,218,562 Independence Holding Co. 21,692 889,372 Investors Title Co. 6,063 927,639 James River Group Holdings Ltd. 123,645 6,077,152

The accompanying notes are an integral part of these combined financial statements. 54

Value Common Stock - 99.6% Shares ($)

Kinsale Capital Group Inc. 84,372 16,885,368 MBIA Inc. 208,443 1,371,555 National General Holdings Corp. 275,614 9,420,487 National Western Life Group Inc. 10,356 2,137,893 NI Holdings Inc. 42,471 697,374 Palomar Holdings Inc. 81,887 7,274,841 ProAssurance Corp. 216,693 3,854,968 ProSight Global Inc. 36,207 464,536 Protective Insurance Corp. 41,051 562,809 RLI Corp. 157,822 16,437,161 Safety Insurance Group Inc. 58,651 4,568,913 Selective Insurance Group Inc. 235,793 15,793,415 Selectquote Inc. 129,300 2,682,975 State Auto Financial Corp. 76,686 1,360,410 Stewart Information Services Corp. 107,283 5,188,206 Third Point Reinsurance Ltd. 314,785 2,996,753 Tiptree Inc. 105,696 530,594 Trean Insurance Group Inc. 50,500 661,550 Trupanion Inc. 121,530 14,548,356 United Fire Group Inc. 89,357 2,242,861 United Insurance Holdings Corp. 87,556 500,820 Universal Insurance Holdings Inc. 111,773 1,688,890 Vericity Inc. 15,500 155,155 Watford Holdings Ltd. 72,283 2,500,992 213,194,910

Interactive Media & Services - 0.4% Cargurus Inc. 349,125 11,077,736 Cars.com Inc. 274,797 3,105,206 DHI Group Inc. 246,940 548,207 Eventbrite Inc. 250,032 4,525,579 EverQuote Inc. 58,323 2,178,364 Liberty TripAdvisor Holdings Inc. 339,334 1,472,710 MediaAlpha Inc. 42,800 1,672,196 QuinStreet Inc. 191,236 4,100,100 TrueCar Inc. 427,987 1,797,545

The accompanying notes are an integral part of these combined financial statements. 55

Value Common Stock - 99.6% Shares ($)

Yelp Inc. 294,667 9,626,771 40,104,414

Internet & Direct Marketing Retail - 0.8% 1-800-Flowers.com Inc. 102,055 2,653,430 CarParts.com Inc. 87,200 1,080,408 Duluth Holdings Inc. 50,015 528,158 Groupon Inc. 93,780 3,563,171 Lands' End Inc. 45,063 972,009 Liquidity Services Inc. 113,237 1,801,601 Magnite Inc. 427,162 13,118,145 Overstock.com Inc. 175,453 8,416,480 PetMed Express Inc. 76,608 2,456,052 Quotient Technology Inc. 337,473 3,178,996 RealReal Inc. 247,241 4,831,089 Shutterstock Inc. 89,098 6,388,327 Stamps.com Inc. 67,817 13,305,017 Stitch Fix Inc. 242,851 14,260,211 Waitr Holdings Inc. 339,910 944,950 77,498,044

IT Services - 1.9% Brightcove Inc. 161,294 2,967,810 Cardtronics PLC 141,835 5,006,776 Cass Information Systems Inc. 59,019 2,296,429 Conduent Inc. 665,479 3,194,299 CSG Systems International Inc. 130,423 5,878,165 Endurance International Group Holdings Inc. 273,219 2,581,920 EVERTEC Inc. 238,701 9,385,723 Evo Payments Inc. 161,872 4,372,163 ExlService Holdings Inc. 131,954 11,233,244 GreenSky Inc. 251,900 1,166,297 Grid Dynamics Holdings Inc. 89,300 1,125,180 GTT Communications Inc. 128,723 459,541 Hackett Group Inc. 105,218 1,514,087 I3 Verticals Inc. 56,711 1,882,805 Information Services Group Inc. 138,471 454,185

The accompanying notes are an integral part of these combined financial statements. 56

Value Common Stock - 99.6% Shares ($)

International Money Express Inc. 93,434 1,450,096 KBR Inc. 568,011 17,568,580 Limelight Networks Inc. 466,076 1,859,643 LiveRamp Holdings Inc. 255,701 18,714,756 ManTech International Corp. 110,165 9,798,075 MAXIMUS Inc. 243,869 17,848,772 MoneyGram International Inc. 249,600 1,364,064 NIC Inc. 272,778 7,045,856 Paysign Inc. 121,391 563,254 Perficient Inc. 130,050 6,196,883 Perspecta Inc. 555,240 13,370,179 PFSweb Inc. 71,100 478,503 Priority Technology Holdings Inc. 41,071 289,140 Rackspace Technology Inc. 137,000 2,611,220 Repay Holdings Corp. 242,200 6,599,950 ServiceSource International Inc. 369,800 650,848 StarTek Inc. 83,163 625,386 Sykes Enterprises Inc. 160,240 6,036,241 TTEC Holdings Inc. 72,055 5,254,971 Tucows Inc. 36,726 2,713,684 Unisys Corp. 243,086 4,783,932 Verra Mobility Corp. 528,495 7,092,403 Virtusa Corp. 120,719 6,172,362 192,607,422

Leisure Products - 0.7% Acushnet Holdings Corp. 136,255 5,523,778 American Outdoor Brands Inc. 55,022 937,025 Callaway Golf Co. 378,810 9,095,228 Clarus Corp. 95,032 1,463,493 Escalade Inc. 45,026 953,200 Johnson Outdoors Inc. 20,154 2,269,945 Malibu Boats Inc. 81,478 5,087,486 Marine Products Corp. 35,758 519,921 MasterCraft Boat Holdings Inc. 70,450 1,749,978 Nautilus Inc. 115,600 2,096,984 Smith & Wesson Brands Inc. 215,791 3,830,290

The accompanying notes are an integral part of these combined financial statements. 57

Value Common Stock - 99.6% Shares ($)

Sturm Ruger & Co. Inc. 66,990 4,359,039 Vista Outdoor Inc. 241,971 5,749,231 YETI Holdings Inc. 319,049 21,845,285 65,480,883

Life Sciences Tools & Services - 0.9% Champions Oncology Inc. 40,200 433,758 ChromaDex Corp. 161,799 776,635 Codexis Inc. 210,527 4,595,804 Fluidigm Corp. 275,509 1,653,054 Harvard Bioscience Inc. 190,269 816,254 Luminex Corp. 173,378 4,008,499 Medpace Holdings Inc. 112,295 15,631,464 NanoString Technologies Inc. 176,033 11,773,087 NeoGenomics Inc. 417,970 22,503,505 Pacific Biosciences of California Inc. 687,268 17,827,732 Personalis Inc. 96,533 3,534,073 Quanterix Corp. 87,994 4,091,721 87,645,586

Machinery - 3.7% Alamo Group Inc. 41,096 5,669,193 Albany International Corp. 124,038 9,106,870 Altra Industrial Motion Corp. 257,155 14,254,102 Astec Industries Inc. 89,365 5,172,446 Barnes Group Inc. 186,246 9,440,810 Blue Bird Corp. 71,055 1,297,464 Chart Industries Inc. 143,932 16,953,750 CIRCOR International Inc. 77,986 2,997,782 Columbus McKinnon Corp. 91,444 3,515,107 Douglas Dynamics Inc. 88,954 3,804,563 Eastern Co. 24,287 585,317 Energy Recovery Inc. 155,936 2,126,967 Enerpac Tool Group Corp. 215,489 4,872,206 EnPro Industries Inc. 82,416 6,224,056 ESCO Technologies Inc. 101,534 10,480,339 Evoqua Water Technologies Corp. 369,324 9,964,362

The accompanying notes are an integral part of these combined financial statements. 58

Value Common Stock - 99.6% Shares ($)

ExOne Co. 49,602 470,723 Federal Signal Corp. 241,894 8,023,624 Franklin Electric Co. Inc. 183,621 12,708,409 Gencor Industries Inc. 35,585 437,696 Gorman-Rupp Co. 70,892 2,300,445 Graham Corp. 54,918 833,655 Greenbrier Cos. Inc. 127,813 4,649,837 Helios Technologies Inc. 126,388 6,735,217 Hillenbrand Inc. 295,480 11,760,104 Hurco Cos. Inc. 28,097 842,910 Hyster-Yale Materials Handling Inc. 39,434 2,348,295 John Bean Technologies Corp. 124,909 14,223,388 Kadant Inc. 47,413 6,684,285 Kennametal Inc. 331,245 12,004,319 L B Foster Co. 48,887 735,749 Lindsay Corp. 45,017 5,782,884 Luxfer Holdings PLC 91,304 1,499,212 Lydall Inc. 72,712 2,183,541 Manitowoc Co. Inc. 136,992 1,823,364 Mayville Engineering Co. Inc. 32,008 429,547 Meritor Inc. 279,736 7,807,432 Miller Industries Inc. 42,436 1,613,417 Mueller Industries Inc. 225,500 7,917,305 Mueller Water Products Inc. 632,232 7,827,032 Navistar International Corp. 203,465 8,944,321 NN Inc. 155,754 1,023,304 Omega Flex Inc. 13,039 1,903,694 Park-Ohio Holdings Corp. 40,170 1,241,253 Proto Labs Inc. 106,607 16,353,514 RBC Bearings Inc. 98,292 17,598,200 REV Group Inc. 120,224 1,059,173 Rexnord Corp. 480,219 18,963,848 Shyft Group Inc. 142,120 4,033,366 SPX Corp. 170,432 9,295,361 SPX FLOW Inc. 171,626 9,947,443 Standex International Corp. 48,457 3,756,387 Tennant Co. 72,703 5,101,570

The accompanying notes are an integral part of these combined financial statements. 59

Value Common Stock - 99.6% Shares ($)

Terex Corp. 276,703 9,654,168 TriMas Corp. 171,646 5,436,029 Wabash National Corp. 213,841 3,684,480 Watts Water Technologies Inc. 109,212 13,291,100 Welbilt Inc. 514,600 6,792,720 366,187,655

Marine - 0.1% Costamare Inc. 204,327 1,691,828 Eagle Bulk Shipping Inc. 25,485 484,215 Genco Shipping & Trading Ltd. 69,795 513,691 Matson Inc. 172,898 9,849,999 Pangaea Logistics Solutions Ltd. 71,800 198,886 Safe Bulkers Inc. 214,440 278,772 Scorpio Bulkers Inc. 24,524 415,191 13,432,582

Media - 0.8% AMC Networks Inc. 113,398 4,056,246 Boston Omaha Corp. 47,091 1,302,066 Cardlytics Inc. 104,342 14,896,907 comScore Inc. 228,207 568,235 Daily Journal Corp. 4,820 1,947,280 Emerald Holding Inc. 106,583 577,680 Entercom Communications Corp. 518,435 1,280,534 Entravision Communications Corp. 286,613 788,186 EW Scripps Co. 219,992 3,363,678 Fluent Inc. 177,461 942,318 Gannett Co. Inc. 492,605 1,655,153 Gray Television Inc. 361,134 6,460,687 Hemisphere Media Group Inc. 80,636 835,389 iHeartMedia Inc. 242,000 3,141,160 Loral Space & Communications Inc. 54,738 1,148,951 Meredith Corp. 160,342 3,078,566 MSG Networks Inc. 120,617 1,777,895 National CineMedia Inc. 270,686 1,006,952 Saga Communications Inc. 16,915 406,298

The accompanying notes are an integral part of these combined financial statements. 60

Value Common Stock - 99.6% Shares ($)

Scholastic Corp. 119,241 2,981,025 Sinclair Broadcast Group Inc. 178,300 5,678,855 TechTarget Inc. 92,612 5,474,295 TEGNA Inc. 874,752 12,202,790 Tribune Publishing Co. 71,332 977,248 WideOpenWest Inc. 217,654 2,322,368 78,870,762

Metals & Mining - 1.7% Alcoa Corp. 757,300 17,455,765 Allegheny Technologies Inc. 504,580 8,461,807 Arconic Corp. 396,919 11,828,186 Caledonia Mining Corp. PLC 45,800 727,304 Carpenter Technology Corp. 194,768 5,671,644 Century Aluminum Co. 192,481 2,123,065 Cleveland-Cliffs Inc. 1,575,230 22,935,349 Coeur Mining Inc. 981,753 10,161,144 Commercial Metals Co. 487,097 10,004,972 Compass Minerals International Inc. 140,890 8,695,731 Ferroglobe Representation & Warranty Insurance Trust1 343,398 0 Fortitude Gold Corp.1 80,479 84,503 Gatos Silver Inc. 94,300 1,228,729 Gold Resource Corp. 281,675 819,674 Haynes International Inc. 55,691 1,327,673 Hecla Mining Co. 2,081,136 13,485,761 Kaiser Aluminum Corp. 62,141 6,145,745 Materion Corp. 80,629 5,137,680 Novagold Resources Inc. 970,895 9,388,555 Olympic Steel Inc. 41,786 557,007 Ryerson Holding Corp. 66,866 912,052 Schnitzer Steel Industries Inc. 100,507 3,207,178 SunCoke Energy Inc. 331,980 1,444,113 TimkenSteel Corp. 175,584 819,977 United States Steel Corp. 873,800 14,653,626 Warrior Met Coal Inc. 201,516 4,296,321

The accompanying notes are an integral part of these combined financial statements. 61

Value Common Stock - 99.6% Shares ($)

Worthington Industries Inc. 147,340 7,564,436 169,137,997

Multiline Retail - 0.2% Big Lots Inc. 161,966 6,953,200 Dillard's Inc. 30,457 1,920,314 Macy's Inc. 1,245,400 14,010,750 22,884,264

Multi-Utilities - 0.4% Avista Corp. 277,451 11,136,883 Black Hills Corp. 250,818 15,412,766 NorthWestern Corp. 201,732 11,762,993 Unitil Corp. 57,724 2,555,441 40,868,083

Oil, Gas & Consumable Fuels - 1.4% Adams Resources & Energy Inc. 12,400 298,840 Antero Resources Corp. 1,014,100 5,526,845 Arch Resources Inc. 61,089 2,673,866 Ardmore Shipping Corp. 129,893 424,750 Berry Corp. 284,208 1,045,885 Bonanza Creek Energy Inc. 72,179 1,395,220 Brigham Minerals Inc. 150,279 1,651,566 Clean Energy Fuels Corp. 496,230 3,900,368 CNX Resources Corp. 912,964 9,860,011 Comstock Resources Inc. 114,595 500,780 CONSOL Energy Inc. 114,181 823,245 Contango Oil & Gas Co. 371,100 849,819 CVR Energy Inc. 113,587 1,692,446 Delek US Holdings Inc. 246,026 3,953,638 DHT Holdings Inc. 436,154 2,281,085 Diamond S Shipping Inc. 114,351 761,578 Dorian LPG Ltd. 143,426 1,748,363 Earthstone Energy Inc. 90,499 482,360 Energy Fuels Inc. 463,191 1,973,194 Evolution Petroleum Corp. 113,288 322,871

The accompanying notes are an integral part of these combined financial statements. 62

Value Common Stock - 99.6% Shares ($)

Falcon Minerals Corp. 181,867 572,881 Frontline Ltd. 465,100 2,892,922 Golar LNG Ltd. 368,009 3,547,607 Goodrich Petroleum Corp. 35,612 359,325 Green Plains Inc. 132,428 1,744,077 International Seaways Inc. 91,833 1,499,633 Kosmos Energy Ltd. 1,554,300 3,652,605 Magnolia Oil & Gas Corp. 487,448 3,441,383 Matador Resources Co. 437,229 5,272,982 NACCO Industries Inc. 18,716 492,231 NextDecade Corp. 64,859 135,555 Nordic American Tankers Ltd. 561,336 1,655,941 Overseas Shipholding Group Inc. 276,241 591,156 Ovintiv Inc. 1,044,100 14,993,276 Par Pacific Holdings Inc. 167,038 2,335,191 PBF Energy Inc. 377,700 2,681,670 PDC Energy Inc. 397,427 8,159,176 Peabody Energy Corp. 269,828 650,285 Penn Virginia Corp. 64,347 653,122 PrimeEnergy Resources Corp. 2,383 102,874 Range Resources Corp. 884,500 5,926,150 Renewable Energy Group Inc. 147,012 10,411,390 REX American Resources Corp. 22,341 1,641,393 Scorpio Tankers Inc. 199,986 2,237,843 SFL Corp. Ltd. 390,227 2,450,626 SM Energy Co. 408,227 2,498,349 Southwestern Energy Co. 2,656,552 7,916,525 Talos Energy Inc. 50,264 414,175 Tellurian Inc. 704,351 901,569 Uranium Energy Corp. 675,742 1,189,306 W&T Offshore Inc. 413,449 897,184 Whiting Petroleum Corp. 5,456 136,400 World Fuel Services Corp. 257,008 8,008,369 142,229,901

Paper & Forest Products - 0.5% Boise Cascade Co. 156,271 7,469,754

The accompanying notes are an integral part of these combined financial statements. 63

Value Common Stock - 99.6% Shares ($)

Clearwater Paper Corp. 64,903 2,450,088 Domtar Corp. 219,400 6,944,010 Glatfelter Corp. 176,675 2,893,937 Louisiana-Pacific Corp. 438,244 16,289,529 Neenah Inc. 69,373 3,837,714 Schweitzer-Mauduit International Inc. 123,065 4,948,444 Verso Corp. 117,163 1,408,299 46,241,775

Personal Products - 0.4% BellRing Brands Inc. 157,300 3,823,963 Edgewell Personal Care Co. 219,831 7,601,756 elf Beauty Inc. 184,492 4,647,353 Inter Parfums Inc. 72,811 4,404,337 Lifevantage Corp. 65,878 613,983 Medifast Inc. 45,983 9,028,302 Nature's Sunshine Products Inc. 39,170 585,592 Revlon Inc. 32,199 382,524 USANA Health Sciences Inc. 46,610 3,593,631 Veru Inc. 237,713 2,056,217 36,737,658

Pharmaceuticals - 1.6% AcelRx Pharmaceuticals Inc. 323,500 401,140 Aerie Pharmaceuticals Inc. 141,688 1,914,205 Agile Therapeutics Inc. 269,600 773,752 Amneal Pharmaceuticals Inc. 381,391 1,742,957 Amphastar Pharmaceuticals Inc. 149,296 3,002,343 ANI Pharmaceuticals Inc. 40,619 1,179,576 Aquestive Therapeutics Inc. 75,700 404,995 Arvinas Inc. 137,797 11,703,099 Atea Pharmaceuticals Inc. 57,800 2,414,884 Athira Pharma Inc. 51,200 1,753,600 Avenue Therapeutics Inc. 32,000 190,400 Axsome Therapeutics Inc. 111,987 9,123,581 Aytu BioScience Inc. 14,710 87,966 BioDelivery Sciences International Inc. 377,303 1,584,673

The accompanying notes are an integral part of these combined financial statements. 64

Value Common Stock - 99.6% Shares ($)

Cara Therapeutics Inc. 160,282 2,425,067 Cassava Sciences Inc. 87,100 594,022 Cerecor Inc. 112,267 296,385 Chiasma Inc. 135,583 589,786 Collegium Pharmaceutical Inc. 138,785 2,779,864 Corcept Therapeutics Inc. 387,112 10,126,850 CorMedix Inc. 117,419 872,423 Cymabay Therapeutics Inc. 279,387 1,603,681 Durect Corp. 835,000 1,728,450 Eloxx Pharmaceuticals Inc. 90,286 359,338 Endo International PLC 940,420 6,752,216 Eton Pharmaceuticals Inc. 53,000 430,890 Evofem Biosciences Inc. 312,276 752,585 Evolus Inc. 81,412 273,544 Fulcrum Therapeutics Inc. 48,103 563,286 Graybug Vision Inc. 26,000 754,520 Harmony Biosciences Holdings Inc. 24,800 896,520 Harrow Health Inc. 97,700 670,222 IMARA Inc. 24,300 535,815 Innoviva Inc. 249,258 3,088,307 Intersect ENT Inc. 126,898 2,905,964 Intra-Cellular Therapies Inc. 265,037 8,428,177 Kala Pharmaceuticals Inc. 161,851 1,097,350 Kaleido Biosciences Inc. 31,493 286,586 Lannett Co. Inc. 137,281 895,072 Liquidia Technologies Inc. 98,892 291,731 Lyra Therapeutics Inc. 24,740 282,036 Marinus Pharmaceuticals Inc. 97,931 1,194,758 NGM Biopharmaceuticals Inc. 96,159 2,913,137 Ocular Therapeutix Inc. 275,912 5,711,378 Odonate Therapeutics Inc. 47,627 914,438 Omeros Corp. 231,991 3,313,991 Optinose Inc. 123,535 511,435 Osmotica Pharmaceuticals PLC 34,228 141,019 Pacira BioSciences Inc. 172,925 10,347,832 Paratek Pharmaceuticals Inc. 160,054 1,001,938 Phathom Pharmaceuticals Inc. 46,149 1,533,070

The accompanying notes are an integral part of these combined financial statements. 65

Value Common Stock - 99.6% Shares ($)

Phibro Animal Health Corp. 78,146 1,517,595 Pliant Therapeutics Inc. 40,600 922,432 Prestige Consumer Healthcare Inc. 208,023 7,253,762 Provention Bio Inc. 193,800 3,282,972 Recro Pharma Inc. 78,599 224,007 Relmada Therapeutics Inc. 58,500 1,876,095 Revance Therapeutics Inc. 255,162 7,231,291 Satsuma Pharmaceuticals Inc. 43,300 199,613 scPharmaceuticals Inc. 33,000 174,570 SIGA Technologies Inc. 199,962 1,453,724 Strongbridge Biopharma PLC 165,596 402,398 Supernus Pharmaceuticals Inc. 193,676 4,872,888 Tarsus Pharmaceuticals Inc. 24,500 1,012,585 TherapeuticsMD Inc. 908,141 1,098,851 Theravance Biopharma Inc. 191,925 3,410,507 Tricida Inc. 114,278 805,660 Verrica Pharmaceuticals Inc. 56,143 646,206 VYNE Therapeutics Inc. 638,365 1,008,617 WaVe Life Sciences Ltd. 91,736 721,962 Xeris Pharmaceuticals Inc. 187,154 920,798 Zogenix Inc. 231,048 4,618,650 157,796,037

Professional Services - 1.2% Acacia Research Corp. 210,123 827,885 Akerna Corp. 49,200 159,408 ASGN Inc. 202,945 16,951,996 Barrett Business Services Inc. 31,540 2,151,343 BG Staffing Inc. 44,691 602,882 CBIZ Inc. 202,929 5,399,941 CRA International Inc. 31,417 1,600,068 Exponent Inc. 204,808 18,438,864 Forrester Research Inc. 44,232 1,853,321 Franklin Covey Co. 57,166 1,273,087 GP Strategies Corp. 55,533 658,621 Heidrick & Struggles International Inc. 80,264 2,358,156 Huron Consulting Group Inc. 91,590 5,399,231

The accompanying notes are an integral part of these combined financial statements. 66

Value Common Stock - 99.6% Shares ($)

ICF International Inc. 75,553 5,615,854 Insperity Inc. 143,106 11,651,691 Kelly Services Inc. 131,578 2,706,559 Kforce Inc. 80,950 3,407,186 Korn Ferry 217,749 9,472,082 Mastech Digital Inc. 17,600 279,840 Mistras Group Inc. 85,359 662,386 Red Violet Inc. 28,300 738,913 Resources Connection Inc. 116,908 1,469,534 TriNet Group Inc. 164,269 13,240,081 TrueBlue Inc. 144,309 2,697,135 Upwork Inc. 369,954 12,770,812 Willdan Group Inc. 43,909 1,831,005 124,217,881

Real Estate Investment Trusts (REITs) - 6.5% Acadia Realty Trust 335,718 4,763,838 Agree Realty Corp. 218,778 14,566,239 Alexander & Baldwin Inc. 294,084 5,052,363 Alexander's Inc. 8,340 2,313,099 Alpine Income Property Trust Inc. 34,500 517,155 American Assets Trust Inc. 200,380 5,786,974 American Finance Trust Inc. 440,923 3,276,058 Anworth Mortgage Asset Corp. 420,500 1,139,555 Apollo Commercial Real Estate Finance Inc. 562,136 6,279,059 Arbor Realty Trust Inc. 464,400 6,585,192 Ares Commercial Real Estate Corp. 127,130 1,514,118 Arlington Asset Investment Corp. 172,043 650,323 Armada Hoffler Properties Inc. 234,351 2,629,418 ARMOUR Residential REIT Inc. 258,184 2,785,805 Blackstone Mortgage Trust Inc. 549,250 15,120,853 Bluerock Residential Growth REIT Inc. 112,784 1,428,973 Broadmark Realty Capital Inc. 524,337 5,348,237 BRT Apartments Corp. 35,212 535,222 Capstead Mortgage Corp. 372,310 2,163,121 CareTrust REIT Inc. 378,404 8,393,001 CatchMark Timber Trust Inc. 188,856 1,767,692

The accompanying notes are an integral part of these combined financial statements. 67

Value Common Stock - 99.6% Shares ($)

Centerspace 50,884 3,594,446 Chatham Lodging Trust 177,470 1,916,676 Cherry Hill Mortgage Investment Corp. 69,757 637,579 Chimera Investment Corp. 759,400 7,783,850 CIM Commercial Trust Corp. 56,831 809,273 City Office REIT Inc. 173,064 1,690,835 Clipper Realty Inc. 68,311 481,593 Colony Capital Inc. 1,903,700 9,156,797 Colony Credit Real Estate Inc. 353,217 2,649,128 Columbia Property Trust Inc. 456,202 6,541,937 Community Healthcare Trust Inc. 85,712 4,037,892 CoreCivic Inc. 474,499 3,107,968 CorEnergy Infrastructure Trust Inc. 52,866 362,132 CorePoint Lodging Inc. 177,087 1,218,359 DiamondRock Hospitality Co. 792,929 6,541,664 Diversified Healthcare Trust 937,276 3,861,577 Dynex Capital Inc. 84,552 1,505,026 Easterly Government Properties Inc. 330,883 7,494,500 EastGroup Properties Inc. 158,530 21,886,652 Ellington Financial Inc. 160,763 2,385,723 Ellington Residential Mortgage REIT 41,300 538,552 Essential Properties Realty Trust Inc. 414,603 8,789,584 Farmland Partners Inc. 121,297 1,055,284 Four Corners Property Trust Inc. 290,652 8,652,710 Franklin Street Properties Corp. 419,015 1,831,096 Front Yard Residential Corp. 210,785 3,414,717 GEO Group Inc. 469,895 4,163,270 Getty Realty Corp. 135,221 3,723,986 Gladstone Commercial Corp. 131,634 2,369,412 Gladstone Land Corp. 74,148 1,085,527 Global Medical REIT Inc. 174,730 2,281,974 Global Net Lease Inc. 359,808 6,167,109 Granite Point Mortgage Trust Inc. 220,273 2,200,527 Great Ajax Corp. 78,843 824,698 Hannon Armstrong Sustainable Infrastructure Capital Inc. 292,762 18,569,894 Healthcare Realty Trust Inc. 538,870 15,950,552 Hersha Hospitality Trust 124,162 979,638

The accompanying notes are an integral part of these combined financial statements. 68

Value Common Stock - 99.6% Shares ($)

Independence Realty Trust Inc. 385,068 5,171,463 Industrial Logistics Properties Trust 258,981 6,031,667 Innovative Industrial Properties Inc. 87,538 16,030,834 Invesco Mortgage Capital Inc. 736,815 2,490,435 iStar Inc. 288,525 4,284,596 Kite Realty Group Trust 329,180 4,924,533 KKR Real Estate Finance Trust Inc. 111,008 1,989,263 Ladder Capital Corp. 414,160 4,050,485 Lexington Realty Trust 1,090,780 11,584,084 LTC Properties Inc. 155,009 6,031,400 Macerich Co. 595,100 6,349,717 Mack-Cali Realty Corp. 345,374 4,303,360 MFA Financial Inc. 1,792,600 6,973,214 Monmouth Real Estate Investment Corp. 386,241 6,689,694 National Health Investors Inc. 171,623 11,871,163 National Storage Affiliates Trust 248,090 8,938,683 NETSTREIT Corp. 45,700 890,693 New Senior Investment Group Inc. 312,605 1,619,294 New York Mortgage Trust Inc. 1,503,061 5,546,295 NexPoint Residential Trust Inc. 86,053 3,640,902 Office Properties Income Trust 189,877 4,314,005 One Liberty Properties Inc. 60,658 1,217,406 Orchid Island Capital Inc. 274,275 1,431,716 Pebblebrook Hotel Trust 530,427 9,972,028 PennyMac Mortgage Investment Trust 366,189 6,441,265 Physicians Realty Trust 832,407 14,816,845 Piedmont Office Realty Trust Inc. 499,482 8,106,593 Plymouth Industrial REIT Inc. 66,790 1,001,850 PotlatchDeltic Corp. 261,329 13,071,677 Preferred Apartment Communities Inc. 197,823 1,463,890 PS Business Parks Inc. 79,752 10,596,648 QTS Realty Trust Inc. 251,484 15,561,830 Ready Capital Corp. 162,172 2,019,041 Redwood Trust Inc. 464,630 4,079,451 Retail Opportunity Investments Corp. 460,649 6,168,090 Retail Properties of America Inc. 854,100 7,311,096 Retail Value Inc. 73,739 1,096,499

The accompanying notes are an integral part of these combined financial statements. 69

Value Common Stock - 99.6% Shares ($)

RLJ Lodging Trust 655,172 9,270,684 RPT Realty 312,895 2,706,542 Ryman Hospitality Properties Inc. 201,241 13,636,090 Sabra Health Care REIT Inc. 819,289 14,231,050 Safehold Inc. 71,816 5,205,942 Saul Centers Inc. 45,412 1,438,652 Seritage Growth Properties 132,004 1,937,819 Service Properties Trust 653,647 7,510,404 SITE Centers Corp. 609,500 6,168,140 STAG Industrial Inc. 597,768 18,722,094 Summit Hotel Properties Inc. 403,476 3,635,319 Sunstone Hotel Investors Inc. 818,428 9,272,789 Tanger Factory Outlet Centers Inc. 353,585 3,521,707 Terreno Realty Corp. 265,963 15,561,495 TPG RE Finance Trust Inc. 248,973 2,644,093 Two Harbors Investment Corp. 1,134,800 7,228,676 UMH Properties Inc. 142,669 2,112,928 Uniti Group Inc. 785,939 9,219,064 Universal Health Realty Income Trust 50,601 3,252,126 Urban Edge Properties 461,735 5,974,851 Urstadt Biddle Properties Inc. 123,050 1,738,697 Washington Real Estate Investment Trust 329,865 7,134,980 Western Asset Mortgage Capital Corp. 214,692 699,896 Whitestone REIT 163,284 1,301,373 Xenia Hotels & Resorts Inc. 449,621 6,834,239 651,919,787

Real Estate Management & Development - 0.8% Altisource Portfolio Solutions SA 21,848 281,402 American Realty Investors Inc. 251 2,736 CTO Realty Growth Inc. 25,492 1,074,743 Cushman & Wakefield PLC 450,583 6,682,146 eXp World Holdings Inc. 101,278 6,392,667 Fathom Holdings Inc. 20,100 724,404 Forestar Group Inc. 65,643 1,324,676 FRP Holdings Inc. 29,576 1,347,187 Griffin Industrial Realty Inc. 12,883 805,188

The accompanying notes are an integral part of these combined financial statements. 70

Value Common Stock - 99.6% Shares ($)

Kennedy-Wilson Holdings Inc. 481,629 8,616,343 Marcus & Millichap Inc. 91,421 3,403,604 Maui Land & Pineapple Co. Inc. 29,984 345,716 Newmark Group Inc. 560,004 4,082,429 Rafael Holdings Inc. 44,958 1,048,421 RE/MAX Holdings Inc. 69,674 2,531,256 Realogy Holdings Corp. 455,779 5,979,820 Redfin Corp. 397,928 27,309,799 RMR Group Inc. 58,809 2,271,204 St Joe Co. 129,199 5,484,498 Stratus Properties Inc. 26,405 673,328 Tejon Ranch Co. 92,550 1,337,348 Transcontinental Realty Investors Inc. 7,283 175,593 81,894,508

Road & Rail - 0.5% ArcBest Corp. 99,509 4,246,049 Avis Budget Group Inc. 217,447 8,110,773 Covenant Logistics Group Inc. 49,320 730,429 Daseke Inc. 201,087 1,168,315 Heartland Express Inc. 192,336 3,481,282 Marten Transport Ltd. 234,813 4,045,828 PAM Transportation Services Inc. 7,329 359,121 Saia Inc. 104,791 18,946,213 Universal Logistics Holdings Inc. 35,990 741,034 US Xpress Enterprises Inc. 87,727 600,053 Werner Enterprises Inc. 241,665 9,478,101 51,907,198

Semiconductors & Semiconductor Equipment - 2.9% Advanced Energy Industries Inc. 151,437 14,684,846 Alpha & Omega Semiconductor Ltd. 83,944 1,984,436 Ambarella Inc. 131,977 12,118,128 Amkor Technology Inc. 397,025 5,987,137 Atomera Inc. 55,900 899,431 Axcelis Technologies Inc. 130,335 3,795,355 AXT Inc. 156,422 1,496,959

The accompanying notes are an integral part of these combined financial statements. 71

Value Common Stock - 99.6% Shares ($)

Brooks Automation Inc. 289,672 19,654,245 CEVA Inc. 85,941 3,910,316 CMC Materials Inc. 115,767 17,515,547 Cohu Inc. 161,928 6,182,411 CyberOptics Corp. 28,700 651,203 Diodes Inc. 174,501 12,302,321 DSP Group Inc. 91,136 1,511,946 FormFactor Inc. 307,891 13,245,471 GSI Technology Inc. 77,679 574,825 Ichor Holdings Ltd. 85,949 2,590,933 Impinj Inc. 65,256 2,732,269 Lattice Semiconductor Corp. 542,232 24,845,070 MACOM Technology Solutions Holdings Inc. 192,309 10,584,687 Maxeon Solar Technologies Ltd. 34,131 968,296 MaxLinear Inc. 279,201 10,662,686 NeoPhotonics Corp. 196,275 1,784,140 NVE Corp. 21,271 1,195,005 Onto Innovation Inc. 187,937 8,936,404 PDF Solutions Inc. 113,044 2,441,750 Photronics Inc. 248,270 2,770,693 Pixelworks Inc. 164,500 463,890 Power Integrations Inc. 235,062 19,242,175 Rambus Inc. 468,141 8,173,742 Semtech Corp. 257,500 18,563,175 Silicon Laboratories Inc. 172,874 22,013,775 SiTime Corp. 36,996 4,140,962 SMART Global Holdings Inc. 59,534 2,240,264 SunPower Corp. 290,457 7,447,317 Synaptics Inc. 140,065 13,502,266 Ultra Clean Holdings Inc. 158,810 4,946,932 Veeco Instruments Inc. 190,471 3,306,577 290,067,585

Software - 5.9% 8x8 Inc. 427,376 14,731,651 A10 Networks Inc. 233,576 2,303,059 ACI Worldwide Inc. 456,762 17,553,364

The accompanying notes are an integral part of these combined financial statements. 72

Value Common Stock - 99.6% Shares ($)

Agilysys Inc. 70,392 2,701,645 Alarm.com Holdings Inc. 189,480 19,601,706 Altair Engineering Inc. 175,057 10,184,816 American Software Inc. 115,791 1,988,131 Appfolio Inc. 62,730 11,293,909 Appian Corp. 143,559 23,269,478 Asure Software Inc. 61,900 439,490 Avaya Holdings Corp. 342,528 6,559,411 Benefitfocus Inc. 117,452 1,700,705 Blackbaud Inc. 196,299 11,298,970 Blackline Inc. 205,874 27,459,474 Bottomline Technologies DE Inc. 178,904 9,435,397 Box Inc. 571,697 10,319,131 Cerence Inc. 146,600 14,730,368 ChannelAdvisor Corp. 111,242 1,777,647 Cloudera Inc. 789,050 10,975,686 CommVault Systems Inc. 168,551 9,332,669 Cornerstone OnDemand Inc. 249,885 11,004,935 Digimarc Corp. 48,692 2,300,210 Digital Turbine Inc. 336,829 19,051,048 Domo Inc. 101,174 6,451,866 Ebix Inc. 102,982 3,910,227 eGain Corp. 78,782 930,415 Envestnet Inc. 211,738 17,423,920 GTY Technology Holdings Inc. 189,013 979,087 Intelligent Systems Corp. 31,349 1,257,408 J2 Global Inc. 172,936 16,894,118 LivePerson Inc. 253,401 15,769,144 MicroStrategy Inc. 29,147 11,325,067 Mimecast Ltd. 227,800 12,948,152 Mitek Systems Inc. 155,264 2,760,594 Model N Inc. 135,809 4,845,665 OneSpan Inc. 134,967 2,791,118 Park City Group Inc. 70,400 337,216 Ping Identity Holding Corp. 147,736 4,231,159 Progress Software Corp. 181,514 8,202,618 PROS Holdings Inc. 156,459 7,943,423

The accompanying notes are an integral part of these combined financial statements. 73

Value Common Stock - 99.6% Shares ($)

Q2 Holdings Inc. 203,576 25,758,471 QAD Inc. 44,968 2,841,078 Qualys Inc. 135,750 16,543,853 Rapid7 Inc. 207,044 18,667,087 Rimini Street Inc. 90,481 400,831 Sailpoint Technologies Holdings Inc. 351,063 18,690,594 Sapiens International Corp. NV 101,100 3,094,671 SeaChange International Inc. 182,400 255,360 SecureWorks Corp. 38,860 552,589 ShotSpotter Inc. 35,979 1,356,408 Smith Micro Software Inc. 138,875 752,703 Sprout Social Inc. 113,100 5,135,871 SPS Commerce Inc. 144,545 15,696,142 Sumo Logic Inc. 56,700 1,620,486 SVMK Inc. 498,627 12,739,920 Synchronoss Technologies Inc. 157,495 740,227 Telenav Inc. 156,357 734,878 Tenable Holdings Inc. 286,956 14,996,321 Upland Software Inc. 105,971 4,863,009 Varonis Systems Inc. 124,319 20,339,832 Verint Systems Inc. 263,388 17,694,406 Veritone Inc. 94,600 2,691,370 VirnetX Holding Corp. 255,890 1,289,686 Workiva Inc. 161,227 14,771,618 Xperi Holding Corp. 416,565 8,706,209 Yext Inc. 417,904 6,569,451 Zix Corp. 220,905 1,906,410 Zuora Inc. 418,139 5,824,676 584,248,254

Specialty Retail - 2.6% Aaron's Co. Inc. 138,512 2,626,188 Abercrombie & Fitch Co. 251,956 5,129,824 Academy Sports & Outdoors Inc. 70,200 1,455,246 American Eagle Outfitters Inc. 601,448 12,071,061 America's Car-Mart Inc. 25,493 2,800,151 Asbury Automotive Group Inc. 76,821 11,195,893

The accompanying notes are an integral part of these combined financial statements. 74

Value Common Stock - 99.6% Shares ($)

At Home Group Inc. 218,541 3,378,644 Bed Bath & Beyond Inc. 509,321 9,045,541 Boot Barn Holdings Inc. 115,411 5,004,221 Buckle Inc. 113,458 3,312,974 Caleres Inc. 141,428 2,213,348 Camping World Holdings Inc. 130,091 3,388,871 Cato Corp. 100,726 965,962 Chico's FAS Inc. 492,924 783,749 Children's Place Inc. 54,405 2,725,691 Citi Trends Inc. 37,108 1,843,525 Conn's Inc. 69,774 815,658 Container Store Group Inc. 78,442 748,337 Designer Brands Inc. 235,355 1,800,466 Envela Corp. 43,300 225,160 Express Inc. 264,597 240,783 GameStop Corp. 232,130 4,373,329 Genesco Inc. 57,016 1,715,611 Group 1 Automotive Inc. 70,840 9,289,958 GrowGeneration Corp. 145,800 5,864,076 Guess? Inc. 154,652 3,498,228 Haverty Furniture Cos. Inc. 68,874 1,905,744 Hibbett Sports Inc. 64,541 2,980,503 Lithia Motors Inc. 104,417 30,559,723 Lumber Liquidators Holdings Inc. 115,432 3,548,380 MarineMax Inc. 84,211 2,949,911 Michaels Cos. Inc. 291,155 3,787,927 Monro Inc. 136,650 7,283,445 Murphy USA Inc. 107,671 14,090,904 National Vision Holdings Inc. 320,862 14,531,840 ODP Corp. 207,123 6,068,704 OneWater Marine Inc. 19,700 573,073 Rent-A-Center Inc. 200,600 7,680,974 RH 62,952 28,172,279 Sally Beauty Holdings Inc. 447,687 5,837,838 Shoe Carnival Inc. 38,033 1,490,133 Signet Jewelers Ltd. 216,376 5,900,574 Sleep Number Corp. 110,600 9,053,716

The accompanying notes are an integral part of these combined financial statements. 75

Value Common Stock - 99.6% Shares ($)

Sonic Automotive Inc. 94,666 3,651,268 Sportsman's Warehouse Holdings Inc. 167,532 2,940,187 Tilly's Inc. 92,215 752,474 Urban Outfitters Inc. 285,300 7,303,680 Winmark Corp. 11,737 2,180,735 Zumiez Inc. 84,610 3,111,956 262,868,463

Technology Hardware, Storage & Peripherals - 0.2% 3D Systems Corp. 461,752 4,839,161 Avid Technology Inc. 133,528 2,119,089 Corsair Gaming Inc. 60,900 2,205,798 Diebold Nixdorf Inc. 283,754 3,024,818 Eastman Kodak Co. 57,795 470,451 Immersion Corp. 68,452 772,823 Intevac Inc. 114,036 822,200 Quantum Corp. 142,786 873,850 Super Micro Computer Inc. 178,800 5,660,808 20,788,998

Textiles, Apparel & Luxury Goods - 0.9% Crocs Inc. 266,218 16,681,220 Deckers Outdoor Corp. 111,585 32,000,346 Fossil Group Inc. 175,215 1,519,114 G-III Apparel Group Ltd. 172,157 4,087,007 Kontoor Brands Inc. 210,006 8,517,843 Lakeland Industries Inc. 27,500 749,375 Movado Group Inc. 68,226 1,133,916 Oxford Industries Inc. 64,442 4,221,595 Rocky Brands Inc. 28,355 795,925 Steven Madden Ltd. 328,565 11,604,916 Superior Group of Cos. Inc. 43,590 1,013,032 Unifi Inc. 54,007 958,084 Vera Bradley Inc. 75,248 598,974 Wolverine World Wide Inc. 329,158 10,286,188 94,167,535

The accompanying notes are an integral part of these combined financial statements. 76

Value Common Stock - 99.6% Shares ($)

Thrifts & Mortgage Finance - 1.7% Axos Financial Inc. 228,146 8,562,319 Bogota Financial Corp. 34,000 302,940 Bridgewater Bancshares Inc. 100,250 1,252,123 Capitol Federal Financial Inc. 535,137 6,689,213 Columbia Financial Inc. 198,366 3,086,575 ESSA Bancorp Inc. 41,080 616,200 Essent Group Ltd. 439,760 18,997,632 Federal Agricultural Mortgage Corp. 36,749 2,728,613 Flagstar Bancorp Inc. 191,840 7,819,398 FS Bancorp Inc. 17,380 952,424 Greene County Bancorp Inc. 12,955 330,223 Hingham Institution For Savings 5,819 1,256,904 Home Bancorp Inc. 34,832 974,948 HomeStreet Inc. 86,977 2,935,474 Kearny Financial Corp. 313,458 3,310,116 Luther Burbank Corp. 85,275 835,695 Merchants Bancorp 38,950 1,076,189 Meridian Bancorp Inc. 194,174 2,895,134 Meta Financial Group Inc. 130,863 4,784,351 MMA Capital Holdings Inc. 22,103 543,734 Mr Cooper Group Inc. 301,544 9,356,910 NMI Holdings Inc. 333,504 7,553,866 Northfield Bancorp Inc. 188,020 2,318,287 Northwest Bancshares Inc. 486,784 6,201,628 Oconee Federal Financial Corp. 6,800 172,040 OP Bancorp 52,194 401,894 PCSB Financial Corp. 66,990 1,067,821 PDL Community Bancorp 35,817 376,437 PennyMac Financial Services Inc. 163,111 10,703,344 Pioneer Bancorp Inc. 43,275 457,417 Premier Financial Corp. 144,915 3,333,045 Provident Bancorp Inc. 38,608 463,296 Provident Financial Holdings Inc. 26,131 410,518 Provident Financial Services Inc. 284,320 5,106,387 Prudential Bancorp Inc. 36,042 499,182 Radian Group Inc. 763,391 15,458,668

The accompanying notes are an integral part of these combined financial statements. 77

Value Common Stock - 99.6% Shares ($)

Riverview Bancorp Inc. 86,751 456,310 Security National Financial Corp. 53,300 445,055 Southern Missouri Bancorp Inc. 32,004 974,202 Standard AVB Financial Corp. 17,600 573,584 Sterling Bancorp Inc. 87,761 398,435 Territorial Bancorp Inc. 35,114 843,789 Timberland Bancorp Inc. 27,984 678,892 TrustCo Bank Corp. NY 368,726 2,459,402 Walker & Dunlop Inc. 112,797 10,379,580 Washington Federal Inc. 304,513 7,838,165 Waterstone Financial Inc. 97,341 1,831,958 Western New England Bancorp Inc. 108,723 749,101 WSFS Financial Corp. 198,881 8,925,779 170,385,197

Tobacco - 0.1% Turning Point Brands Inc. 50,688 2,258,657 Universal Corp. 96,421 4,687,025 Vector Group Ltd. 578,644 6,741,203 13,686,885

Trading Companies & Distributors - 1.5% Alta Equipment Group Inc. 74,000 731,120 Applied Industrial Technologies Inc. 154,114 12,019,351 Beacon Roofing Supply Inc. 223,704 8,990,664 BMC Stock Holdings Inc. 268,127 14,393,057 CAI International Inc. 67,521 2,109,356 DXP Enterprises Inc. 67,890 1,509,195 EVI Industries Inc. 15,800 472,736 Foundation Building Materials Inc. 82,394 1,582,789 GATX Corp. 138,890 11,552,870 General Finance Corp. 40,659 346,008 GMS Inc. 165,246 5,036,698 H&E Equipment Services Inc. 129,150 3,849,962 Herc Holdings Inc. 96,490 6,407,901 Lawson Products Inc. 18,962 965,355 MRC Global Inc. 317,577 2,105,536

The accompanying notes are an integral part of these combined financial statements. 78

Value Common Stock - 99.6% Shares ($)

Nesco Holdings Inc. 67,100 494,527 NOW Inc. 442,847 3,179,641 Rush Enterprises Inc. 169,436 7,018,039 Rush Enterprises Inc. 29,392 1,113,663 SiteOne Landscape Supply Inc. 175,152 27,784,362 Systemax Inc. 53,337 1,914,265 Textainer Group Holdings Ltd. 203,553 3,904,147 Titan Machinery Inc. 81,443 1,592,211 Transcat Inc. 31,155 1,080,455 Triton International Ltd. 240,993 11,690,570 Veritiv Corp. 57,640 1,198,336 WESCO International Inc. 195,714 15,363,549 Willis Lease Finance Corp. 14,168 431,557 148,837,920

Water Utilities - 0.4% American States Water Co. 147,095 11,695,523 Artesian Resources Corp. 35,012 1,298,245 Cadiz Inc. 88,118 938,457 California Water Service Group 196,173 10,599,227 Consolidated Water Co. Ltd. 55,653 670,619 Global Water Resources Inc. 42,611 614,025 Middlesex Water Co. 70,836 5,133,485 Pure Cycle Corp. 74,731 839,229 SJW Group 109,109 7,567,800 York Water Co. 50,775 2,366,115 41,722,725

Wireless Telecommunication Services - 0.1% Boingo Wireless Inc. 169,473 2,155,697 Gogo Inc. 215,393 2,074,235 Shenandoah Telecommunications Co. 194,790 8,424,668 Spok Holdings Inc. 74,264 826,558 13,481,158 Total Common Stock 9,934,216,465 (Cost $6,873,359,128)

The accompanying notes are an integral part of these combined financial statements. 79

Value Rights/Warrants - 0.0% Shares ($)

Biotechnology - 0.0% Aduro Biotech CVR1 53,768 6,990 Oncternal Therapeutics Inc. CVR1 2,600 4,914 Pulse Biosciences Inc.1 1,370 23,085 34,989

Capital Markets - 0.0% Newstar Financial, Inc. CVR1 135,019 11,498

Media - 0.0% Media General, Inc. CVR1 579,148 57,915

Metals & Mining - 0.0% Hycroft Mining Holding Corp. 9 3

Oil, Gas & Consumable Fuels - 0.0% Whiting Petroleum Corp. 21,397 37,445 Whiting Petroleum Corp. 10,698 20,326 57,771

Pharmaceuticals - 0.0% Alder Biopharmaceuticals Inc. CVR1 6,510 5,729 Omthera Pharmaceutical CVR1 18,900 0 Tobira Therapeutics, Inc. CVR1 45,485 644,522 650,251 Total Rights/Warrants 812,427 (Cost $14,409)

The accompanying notes are an integral part of these combined financial statements. 80

State Street Global Advisors Trust Company Collective Investment Funds - Value 0.4% Units ($)

State Street Short Term Investment Fund2 37,252,179 37,252,179 Total State Street Global Advisors Trust Company Collective Investment 37,252,179 Funds (Cost $37,252,179)

TOTAL INVESTMENTS - 100.0% 9,972,281,071 (Cost $6,910,625,716)

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

At December 31, 2020, segregated balances totaling $4,554,027 were pledged to cover margin requirements for open futures contracts. The following futures contracts were open at December 31, 2020:

Number of Contracts Notional Expiration Unrealized Futures Contracts Long/(Short) Amount ( $ ) Value ( $ ) Date Gain/(Loss) ( $ ) CME E-mini Russell 2000 Index 759 72,511,635 74,943,660 March 2021 2,432,025 Futures

The accompanying notes are an integral part of these combined financial statements. 81

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund State Street Russell Small Cap® Index Non-Lending Series Fund Notes to Combined Financial Statements December 31, 2020

1. Fund Organization and Investment Objective State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Russell Small Cap® Index Non- Lending Series Fund (individually, the "Lending Fund" and "Non-Lending Fund," respectively, and collectively the "Fund") were 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® Index (the "Index") over the long term, while providing participants the ability to purchase and redeem units on an "as of" basis.

The participants in the Lending Fund have authorized the Lending Fund to participate in the State Street Global Securities Lending Program maintained by State Street Bank. The investment objective, techniques and results of operations of the Lending Fund are identical to those of the Non-Lending Fund, except that the Lending Fund engages in securities lending activity. Accordingly, the financial statements of the Lending Fund and the Non-Lending Fund have been prepared on a combined basis, with separate disclosure of the participant transactions and financial highlights of the Lending Fund and the Non-Lending Fund. The Lending Fund and the Non-Lending Fund each maintain a divided pro- rata interest in the combined assets and liabilities (including each investment security position but excluding assets and liabilities related to securities lending activity) proportionate to the outstanding combined net assets of the Fund. All interfund transactions have been eliminated in the combined financial statements. Except as stated otherwise, use of the term "financial statements" herein shall refer to the combined financial statements of the Fund.

The Trustee has the authority to establish unlimited classes of units of the Lending and the Non-Lending 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 Lending Fund have been established and are currently funded: Class I, Class II, Class III, Class IV, Class VI, Class VII and Class VIII. The following Class(es) of units of the Non-Lending Fund have been established and are currently funded: Class A, Class C, Class K and Class S.

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 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 investments in securities and derivative instruments for which market quotations are not readily available, including instances where available market quotations are deemed unreliable;

 Determining appropriate pricing vendors and sources for various securities or instruments, including secondary and tertiary source options;  Recommending changes to approved pricing sources, and monitoring pricing vendors' overall performance, including evaluating the pricing methodologies these pricing vendors employ;  Escalating valuation challenges;  Reviewing results of fair value determinations; and  Maintaining valuation records.

The regional valuation committees seek out input from members of the investment team as-needed. 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 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 in securities and derivative instruments, if any, 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), if any, are valued on the basis of valuations furnished by independent pricing vendors. These independent pricing vendors 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. 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, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodologies used for valuing investments in securities and derivative instruments may not be an indication of the risk associated with investing in those securities or derivative instruments.

Level 1 Level 2 Level 3 Total Investments in securities, long - Assets Common Stock $ 9,934,131,962 $ 84,503 $ 0 $ 9,934,216,465 Rights/Warrants 57,774 754,653 0 812,427 Collective Investment Funds - - - 163,906,713 $ 9,934,189,736 $ 839,156 $ 0 $ 10,098,935,605 Other financial instruments - Assets Futures Contracts $ 2,432,025 $ - $ - $ 2,432,025

Please refer to the Combined Schedule of Investments and Combined Statement of Assets and Liabilities 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 Combined 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, 2020.

C. Investment Transactions and Income Recognition Investment 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, net of applicable withholding taxes, if any, 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 (other than securities lending 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. Securities lending income is allocated daily to each Lending Fund Class based upon the relative proportion of the Lending Fund's net assets.

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 reasonably 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 II 0.012 $ 8,011 Class III 0.600 140,033 Class IV 0.084 10,562 Class VI 0.084 11,728 Class VII 0.084 2,447 Class VIII 0.064 124,576 Class C 0.200 19,998 Class K 0.023 418,996 Class S 0.040 236,582 Total Management Fees $ 972,933

Class I is not charged a direct management fee. SSGA receives investment management fees from the Class participants and therefore, the Class makes no payments for these services.

Class A is not charged a direct management fee. SSGA receives investment management fees from the Class participants and therefore, the Class makes 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 transaction costs for each Fund transaction of securities and portfolio instruments, as set forth in the Custody Trade Processing Fee Schedule. Such custody trade processing fees are payable to the Fund's Custodian, an affiliate of the Trustee. 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.

Administrative Service Fee The following Class(es) are charged an administrative service fee, as a percentage of average daily net assets, which compensates third parties or intermediaries for services including, but not limited to, record keeping, asset servicing, sub- accounting and communication services:

Administrative Service Class Rate (%) Fees Class IV 0.110 $ 13,832 Class VI 0.420 58,639 Class VII 0.670 19,522 Class VIII 0.500 973,248 Total Administrative Service Fees $ 1,065,241

Waivers and Reimbursements During the period ended December 31, 2020, certain direct and/or indirect expenses, if any, incurred by the Fund were contractually or voluntarily waived and/or reimbursed by the Trustee:

Total Annual Operating Expense Waivers and/or Class Ratio (%) Reimbursements Class I 0.008 $ (45,778) Class II 0.020 (3,328) Class III 0.608 (1,488) Class IV 0.202 (1,061) Class VI 0.512 (1,112) Class VII 0.762 (668) Class VIII 0.572 (8,431) Class A 0.012 (2,955) Class C 0.212 (550) Class K 0.035 (1,589) Class S 0.052 (813) Total Waivers and Reimbursements $ (67,773)

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 (excluding securities lending fee income, if any) and net realized gains are retained by the Fund. Securities lending income is retained by the Lending Fund.

H. 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 Combined Schedule of Investments.

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, 2020:

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Asset Derivative Variation margin receivable/(payable)* $ - $ 2,432,025 $ - $ - $ 2,432,025

*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Combined Schedule of Investments. Only current day's variation margin is reported within the Combined Statement of Assets and Liabilities.

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, 2020.

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

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Futures contracts $ - $ 14,973,745 $ - $ - $ 14,973,745

Effect of Derivative Instruments on the Combined Statement of Operations - Net Change in Unrealized Appreciation (Depreciation):

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Futures contracts $ - $ 1,672,845 $ - $ - $ 1,672,845

During the period ended December 31, 2020, the Fund had a year to date average of 1,327 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 Netting Agreement, on the Combined Statement of Assets and Liabilities. Futures are included within variation margin receivable or payable on the Combined 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, 2020:

Amounts Eligible Net Derivative Collateral Derivative Type Gross Liabilities for Offset Liability Balance Pledged Net Exposure Futures contracts $ (64,515) $ - $ (64,515) $ - $ (64,515)

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 Lending Fund Class I 4 86% - % Class II 4 64% - % Class III 2 81% - % Class IV 2 99% - % Class VI 2 100% - % Class VII 1 100% - % Class VIII 1 99% - %

Non-Lending Fund Class A 3 57% - % Class C 2 97% - % Class K 4 91% - % Class S 1 41% - %

4. Risks and Uncertainties A. Market and Credit Risk The Fund’s investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile, and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in actual or perceived creditworthiness of issuers and general market liquidity. Even if general economic conditions do not change, the value of an investment in a Fund could decline if the particular industries, sectors or companies in which the Fund invests do not perform well or are adversely affected by events. Further, legal, political, regulatory and tax changes also may cause fluctuations in markets and securities prices. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.

5. State Street Global Securities Lending Program The Lending Fund is authorized to participate in the State Street Global Securities Lending Program under the terms and conditions of a Securities Lending Authorization Agreement (“SLAA”). Under the State Street Global Securities Lending Program, securities held by participating funds are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an amount equal to at least 100% of the fair value of the loaned securities. The Borrowers are required to maintain the collateral at not less than 100% of the fair value of the loaned securities. Cash collateral provided by the Borrowers is invested in the State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund (the "Cash Collateral Fund"). Loans of securities may be terminated at any time, and the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous. SSGA, or an affiliate, acts as Investment Manager for the Cash Collateral Fund and is compensated for these services.

State Street Bank generally manages the Global Securities Lending Program as a global program, instead of a series of individual programs for each securities lending participant. Securities are loaned to Borrowers with an objective of maximizing return, while maintaining latent liquidity. Latent liquidity represents the ability to increase the amount of securities on loan, which would increase cash collateral from Borrowers to be invested in securities lending collateral vehicles. Borrower loans of securities may be reassigned or transferred to other participants upon redemption of underlying lendable securities. Accordingly, Lending Fund contributions or redemptions may not necessarily result in a change in the amount of the Lending Fund's securities on loan or the Lending Fund's investment in securities lending collateral collective investment funds or other collateral.

Risks and Indemnification State Street Bank, as lending agent, indemnifies the Lending Fund for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral.

Financial Statement Presentation The fair value of securities loaned by the Lending Fund at December 31, 2020 is disclosed on the Combined Statement of Assets and Liabilities. The Lending Fund's investment in the Cash Collateral Fund is recorded on the Combined Statement of Assets and Liabilities at fair value. U.S. Treasury and/or U.S. Government Agency securities held in a segregated account are additional collateral for the benefit of the Lending Fund and each securities lending counterparty, and are valued at $82,057,841.

For financial reporting purposes, the Fund does not offset financial assets and liabilities related to securities lending, including those that may be subject to an enforceable SLAA, on the Combined Statement of Assets and Liabilities.

The following table sets forth the Fund’s net exposure to financial assets and liabilities related to securities lending at December 31, 2020.

Financial Gross Assets Gross Liabilities Instruments Net Exposure Securities Lending $ - $ (126,654,534) $ 121,361,720 $ (5,292,814)

Cash Collateral Fund Objectives The objectives of the Cash Collateral Fund are (i) to generate investment returns that exceed the rebate payable to the Borrowers on the cash collateral posted by the Borrowers, (ii) to avoid any undue risk of loss of principal, and (iii) to have sufficient liquidity to return any cash collateral to the Borrowers when the related securities loan terminates. The

Cash Collateral Fund is managed in a manner designed to achieve these objectives, with a principal focus on asset- liability matching.

During 2020, the Cash Collateral Fund issued and redeemed its units at a price of $1.00 per unit in accordance with its governing documents.

Cash Collateral Funds Income Distribution Proceeds collected by State Street Bank on investment of cash collateral or any fee income is allocated at 70% payable to the Lending Fund and 30% payable to State Street Bank (after deduction of such other amounts payable to State Street Bank or the Borrowers under the terms of the SLAA). Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. Securities lending fee income, if any, is recorded on an accrual basis by the Lending Fund.

Investment in Cash Collateral Funds Valuation Management of the Lending Fund(s) regularly reviews the performance of the Cash Collateral Funds and the variation between their per unit fair values and the expected transaction price of $1.00. The Cash Collateral Funds primarily utilize quotations from independent pricing vendors, quotations from bond dealers and information with respect to bond and note transactions ("pricing vendor information") to determine fair value of their investments. Such pricing vendor information may also consist of quotations derived from valuation models or matrix pricing. At December 31, 2020, the per unit fair value was $1.00 for the State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund. Investments in Cash Collateral Funds are measured at the net asset value per unit.

6. Investment Transactions The Fund may purchase investments from or sell investments to other eligible funds or accounts advised by the Trustee. Such cross-trading activity is conducted in compliance with applicable law and available exemptions. The Trustee does not receive any direct or indirect transaction-related compensation as a result of any cross-trade transaction.

7. 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.

8. 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.

9. Recent Accounting Pronouncements In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20)—Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For callable debt securities held at a premium that have explicit, non-contingent call features and that

are callable at fixed prices on preset dates, ASU 2017-08 requires the premium to be amortized to the earliest call date. The adoption resulted in a change in accounting principle, since the Fund had historically amortized such premiums, if any, to maturity. Accordingly, effective January 1, 2020, the Fund has adopted ASU 2017-08 to amend the premium amortization period for certain purchased callable debt securities with non-contingent call features, if any, to the earliest call date. The adoption of ASU 2017-08 did not have any impact on the Fund as of December 31, 2020, or during the period ended December 31, 2020.

This change in accounting policy has been made to comply with the newly issued accounting standard. With respect to the Fund’s results of operations, amortization of premium to the first call date accelerates amortization with the intent of more closely aligning the recognition of income on such bonds with the economics of the instrument.

10. 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.

11. Subsequent Events The Trustee has evaluated subsequent events after December 31, 2020 through March 19, 2021, 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.

12. Additional Expense Information During the period ended December 31, 2020, 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 Class(es) 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 I 0.008 0.012 - 0.012 (0.004) 0.008 Class II 0.020 0.025 - 0.025 (0.005) 0.020 Class III 0.608 0.614 - 0.614 (0.006) 0.608 Class IV 0.202 0.210 - 0.210 (0.008) 0.202 Class VI 0.512 0.520 - 0.520 (0.008) 0.512 Class VII 0.762 0.785 - 0.785 (0.023) 0.762 Class VIII 0.572 0.576 - 0.576 (0.004) 0.572 Class A 0.012 0.012 - 0.012 (0.000)1 0.012 Class C 0.212 0.218 - 0.218 (0.006) 0.212 Class K 0.035 0.035 - 0.035 (0.000)1 0.035 Class S 0.052 0.052 - 0.052 (0.000)1 0.052

Total Annual Operating Total direct and indirect expenses the Fund or Class, as applicable, will incur, as set Expense Ratio ("TAOER") 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 Total direct and indirect expenses incurred, prior to the application of any waivers Expense ("TAGOE") and/or reimbursements, if any.

Waivers and/or Amounts waived and/or reimbursed by the Trustee to the extent the total direct and Reimbursements ("W/R") 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 Total direct and indirect expenses incurred, net of waivers and/or reimbursements, Expense ("TANOE") 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.

1 Zero amounts represent those which are between (0.0005)% and 0.0005%.

State Street Global Advisors Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund State Street Russell Small Cap® Index Non-Lending Series Fund Brokerage Commissions (unaudited) December 31, 2020

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 $586,680 for 2020. 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, 2020.