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State Street Bank and 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, 2016

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

Report of Independent Auditors To the Trustee of State Street Bank and Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund We have audited the accompanying combined financial statements of State Street Bank and Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Bank and Trust Company 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, 2016, 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 Bank and Trust Company State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Bank and Trust Company State Street Russell Small Cap® Index Non-Lending Series Fund at December 31, 2016, 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 24, 2017




Combined Statement of Assets and Liabilities December 31, 2016

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

2

Assets Investments in securities, at value (including securities on loan of $476,182,692)

(cost $7,442,316,269) $ 10,256,816,031

Investment in State Street Cash Collateral Fund (cost $403,117,742) 403,117,742Cash 317,990Receivable for Fund units issued 29,124,011Dividends receivable 12,339,527Interest receivable 270,544

Total assets 10,701,985,845

Liabilities Due to Trustee 9,763Payable for collateral on securities loaned 403,117,742Payable for Fund units redeemed 26,029,855Payable for investments purchased 15,769,132Variation margin payable 1,982,309Accrued expenses 425,108

Total liabilities 447,333,909

Net Assets, at value $ 10,254,651,936




Combined Statement of Assets and Liabilities (continued) December 31, 2016


3

Lending Fund State Street Russell Small Cap® Index Securities Lending Series Fund - Class I (43,861,307 units outstanding, at $51.95 per unit net asset value) $ 2,278,593,772State Street Russell Small Cap® Index Securities Lending Series Fund - Class III (1,558,050 units outstanding, at $27.08 per unit net asset value) 42,186,924State Street Russell Small Cap® Index Securities Lending Series Fund - Class IV (856,844 units outstanding, at $18.29 per unit net asset value) 15,668,981State Street Russell Small Cap® Index Securities Lending Series Fund - Class V (50,529 units outstanding, at $27.16 per unit net asset value) 1,372,239State Street Russell Small Cap® Index Securities Lending Series Fund - Class VI (1,769,468 units outstanding, at $18.73 per unit net asset value) 33,147,108State Street Russell Small Cap® Index Securities Lending Series Fund - Class VII (508,605 units outstanding, at $17.83 per unit net asset value) 9,067,527State Street Russell Small Cap® Index Securities Lending Series Fund - Class VIII (13,066,500 units outstanding, at $18.79 per unit net asset value) 245,501,949

$ 2,625,538,500

Non-Lending Fund State Street Russell Small Cap® Index Non-Lending Series Fund - Class A (122,444,536 units outstanding, at $44.38 per unit net asset value) $ 5,434,193,364State Street Russell Small Cap® Index Non-Lending Series Fund - Class C (1,361,969 units outstanding, at $51.57 per unit net asset value) 70,236,529State Street Russell Small Cap® Index Non-Lending Series Fund - Class D (91,409 units outstanding, at $18.80 per unit net asset value) 1,718,427State Street Russell Small Cap® Index Non-Lending Series Fund - Class E (798,125 units outstanding, at $51.74 per unit net asset value) 41,294,582State Street Russell Small Cap® Index Non-Lending Series Fund - Class S (80,771,179 units outstanding, at $25.77 per unit net asset value) 2,081,670,534

$ 7,629,113,436

$ 10,254,651,936




Combined Statement of Operations Year Ended December 31, 2016


4

Investment income Dividends $ 146,030,096Securities lending fee income (net of related expenses), allocated to the Lending Fund 5,085,489Interest 1,403,632

Total investment income 152,519,217

Expenses Management 1,274,382Administration 910,751Administrative service fee 2,200,489Service fee 85,963Audit 55,400Other 15,143

Total expenses 4,542,128

Waivers and reimbursements (2,424)

Net expenses 4,539,704

Net investment income (loss) 147,979,513

Net realized and unrealized gain (loss): Net realized gain (loss): Investments 406,094,626Futures contracts 46,839,276

452,933,902

Net change in unrealized appreciation (depreciation): Investments 1,159,268,411Futures contracts (6,224,680)

1,153,043,731

Net realized and unrealized gain (loss) 1,605,977,633

Net increase (decrease) in net assets resulting from operations $ 1,753,957,146




Combined Statement of Changes in Net Assets Year Ended December 31, 2016


5

From operations Net investment income (loss) $ 147,979,513Net realized gain (loss) 452,933,902

Net change in unrealized appreciation (depreciation) 1,153,043,731

Net increase (decrease) in net assets resulting from operations 1,753,957,146

Net increase (decrease) in net assets resulting from participant transactions (600,774,762)

Net increase (decrease) in net assets 1,153,182,384Net Assets

Beginning of year 9,101,469,552

End of year $ 10,254,651,936




Combined Statement of Changes in Net Assets (continued) Year Ended December 31, 2016 Units Amount


6

Units of Participation Participant transactions for the Fund were as follows: Lending Fund Class I Units issued 6,280,328 $ 283,700,676Units redeemed (13,131,247) (553,881,461)

(6,850,919) (270,180,785)

Class III Units issued 375,493 $ 8,831,340Units redeemed (446,961) (10,628,728)

(71,468) (1,797,388)

Class IV Units issued 183,733 $ 2,851,395Units redeemed (177,788) (2,796,636)

5,945 54,759

Class V Units issued 10,683 $ 250,788Units redeemed (20,708) (473,308)

(10,025) (222,520)

Class VI Units issued 466,430 $ 7,459,943Units redeemed (507,063) (8,056,071)

(40,633) (596,128)

Class VII Units issued 125,360 $ 1,926,435Units redeemed (233,191) (3,676,123)

(107,831) (1,749,688)

Class VIII Units issued 1,945,050 $ 31,423,230Units redeemed (3,136,003) (51,317,457)

(1,190,953) (19,894,227)

(294,385,977)

Non-Lending Fund Class A Units issued 31,326,201 $ 1,199,755,901Units redeemed (42,389,352) (1,586,952,231)

(11,063,151) (387,196,330)




Combined Statement of Changes in Net Assets (continued) Year Ended December 31, 2016 Units Amount


7

Class C Units issued 223,677 $ 9,975,462Units redeemed (291,302) (12,931,132)

(67,625) (2,955,670)

Class D Units issued 179,365 $ 2,740,137Units redeemed (1,145,599) (18,980,494)

(966,234) (16,240,357)

Class E Units issued 698,977 $ 31,056,877Units redeemed (827,494) (36,809,325)

(128,517) (5,752,448)

Class S Units issued 28,002,915 $ 627,370,179Units redeemed (23,713,794) (521,614,159)

4,289,121 105,756,020

(306,388,785)

Net increase (decrease) $ (600,774,762)


State Street Russell Small Cap® Index Securities Lending Series Fund - Class I

Financial Highlights Year Ended December 31, 2016 (For a Unit of Participation Outstanding Throughout the Year)


8

Selected Per Unit Data

Net asset value, beginning of year $ 42.72

Net investment income (loss)1 0.83

Net realized and unrealized gain (loss) 8.40

Total from investment operations 9.23

Net asset value, end of year $ 51.95

Total return (%)2 21.61Ratios to Average Net Assets3 Ratio of expenses (%)4 0.012Ratio of net investment income (loss) (%) 1.869 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.

3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2).

4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.


State Street Russell Small Cap® Index Securities Lending Series Fund - Class III



9







Total return (%)2 20.88Ratios to Average Net Assets3 Ratio of expenses (%)4, 5 0.612Ratio of net investment income (loss) (%) 1.275 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 funds 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, 2016 (Note 2).



State Street Russell Small Cap® Index Securities Lending Series Fund - Class IV



10










4 The ratio of expenses to average daily net assets would have been approximately 0.003% higher had the Trustee not waived or reimbursed certain expenses for the year ended December 31, 2016 (Note 2).



State Street Russell Small Cap® Index Securities Lending Series Fund - Class V



11













State Street Russell Small Cap® Index Securities Lending Series Fund - Class VI



12













State Street Russell Small Cap® Index Securities Lending Series Fund - Class VII



13













State Street Russell Small Cap® Index Securities Lending Series Fund - Class VIII



14












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



15












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



16












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



17













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



18










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, 2016 (Note 2).



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



19














Combined Schedule of Investments (showing percentage of total value of investments)

December 31, 2016

The accompanying notes are an integral part

of these combined financial statements. 20

Common Stock - 95.5% (unless otherwise noted) Shares

Value ($)

Advertising - 0.0% Marchex Inc. 146,944 389,402

MDC Partners Inc. 262,852 1,721,681

2,111,083

Aerospace/Defense - 1.2% AAR Corp. 176,550 5,834,978 Aerojet Rocketdyne Holdings Inc. 315,789 5,668,413 Aerovironment Inc. 107,799 2,892,247 Astronics Corp. 113,879 3,853,665 Cubic Corp. 130,901 6,276,703 Curtiss-Wright Corp. 234,691 23,084,207 Ducommun Inc. 55,182 1,410,452 Esterline Technologies Corp. 152,298 13,584,982 Kaman Corp. 138,278 6,765,943 KLX Inc. 275,389 12,422,798 Kratos Defense & Security Solutions Inc. 297,611 2,202,321 Moog Inc. 169,217 11,114,173 National Presto Industries Inc. 25,735 2,738,204 Teledyne Technologies Inc. 178,455 21,949,965

Triumph Group Inc. 255,498 6,770,697

126,569,748

Agriculture - 0.4% Alico Inc. 17,407 472,600 Alliance One International Inc. 42,752 820,838 Andersons Inc. 139,993 6,257,687 British American Tobacco Malaysia Bhd 132,902 3,991,047 Limoneira Co. 56,767 1,221,058 MGP Ingredients Inc. 64,225 3,209,966 Tejon Ranch Co. 71,075 1,807,437 Turning Point Brands Inc. 30,551 374,250 Universal Corp. 115,207 7,344,446

Vector Group Ltd. 491,506 11,176,846

36,676,175





December 31, 2016




Value ($)

Airlines - 0.5% Allegiant Travel Co. 68,271 11,360,294 Hawaiian Holdings Inc. 271,325 15,465,525 Latam Airlines Group SA 323,532 10,094,198

Skywest Inc. 257,850 9,398,633

46,318,650

Apparel - 0.6% Columbia Sportswear Co. 143,071 8,341,039 CROCS Inc. 385,099 2,641,779 Deckers Outdoor Corp. 168,104 9,311,281 Delta Apparel Inc. 36,505 756,749 G-III Apparel Group Ltd. 219,812 6,497,643 Iconix Brand Group Inc. 225,432 2,105,535 Oxford Industries Inc. 79,220 4,763,499 Perry Ellis International Inc. 69,370 1,728,007 Sequential Brands Group Inc. 201,428 942,683 Steven Madden Ltd. 316,860 11,327,745 Superior Uniform Group Inc. 35,615 698,766 Unifi Inc. 83,161 2,713,543 Vince Holding Corp. 103,840 420,552 Weyco Group Inc. 36,133 1,130,963

Wolverine World Wide Inc. 499,892 10,972,629

64,352,413

Auto Manufacturers - 0.1% Blue Bird Corp. 22,453 346,899 Navistar International Corp. 254,095 7,970,960 Wabash National Corp. 335,067 5,300,760

Workhorse Group Inc. 58,662 414,154

14,032,773

Auto Parts & Equipment - 1.3% American Axle & Manufacturing Holdings Inc. 395,567 7,634,443 Cooper Tire & Rubber Co. 285,904 11,107,370 Cooper-Standard Holding Inc. 75,836 7,839,926 Dana Inc. 773,064 14,672,755





December 31, 2016




Value ($)

Dorman Products Inc. 136,982 10,007,905 Douglas Dynamics Inc. 116,180 3,909,457 Federal-Mogul Holdings Corp. 149,907 1,545,541 Gentherm Inc. 188,262 6,372,669 Horizon Global Corp. 97,098 2,330,352 LCI Industries 122,495 13,198,836 Meritor Inc. 449,263 5,579,846 Metaldyne Performance Group Inc. 77,012 1,767,425 Miller Industries Inc. 62,121 1,643,100 Modine Manufacturing Co. 252,693 3,765,126 Motorcar Parts of America Inc. 93,215 2,509,348 Spartan Motors Inc. 170,617 1,578,207 Standard Motor Products Inc. 111,048 5,909,975 Strattec Security Corp. 17,081 688,364 Superior Industries International Inc. 129,797 3,420,151 Supreme Industries Inc. 66,568 1,045,118 Tenneco Inc. 293,326 18,324,075 Titan International Inc. 228,490 2,561,373 Tower International Inc. 108,729 3,082,467

Unique Fabricating Inc. 36,770 536,842

131,030,671

Banks - 11.0% 1st Source Corp. 80,075 3,576,150 Access National Corp. 33,334 925,352 ACNB Corp. 30,551 954,719 Allegiance Bancshares Inc. 57,119 2,064,852 American National Bankshares Inc. 43,158 1,501,898 Ameris Bancorp 175,569 7,654,808 Ames National Corp. 44,810 1,478,730 Arrow Financial Corp. 59,191 2,397,236 Atlantic Capital Bancshares Inc. 88,822 1,687,618 Bancfirst Corp. 39,887 3,711,485 Bancorp Inc. 221,152 1,738,255 BancorpSouth Inc. 459,056 14,253,689 Bank of Marin Bancorp 31,292 2,182,617 Bank of NT Butterfield & Son Ltd. 64,000 2,012,160





December 31, 2016




Value ($)

Bank of the Ozarks Inc. 459,519 24,166,104 Bankwell Financial Group Inc. 29,380 954,850 Banner Corp. 155,544 8,680,911 Bar Harbor Bankshares 27,437 1,298,593 Blue Hills Bancorp Inc. 142,449 2,670,919 BNC Bancorp 199,693 6,370,207 Boston Private Financial Holdings Inc. 425,044 7,034,478 Bridge Bancorp Inc. 85,833 3,253,071 Bryn Mawr Bank Corp. 83,938 3,537,987 C&F Financial Corp. 16,496 822,326 Camden National Corp. 78,331 3,481,813 Capital Bank Financial Corp. 127,467 5,003,080 Capital City Bank Group Inc. 68,115 1,394,995 Cardinal Financial Corp. 161,373 5,291,421 Carolina Financial Corp. 52,513 1,616,875 Cascade Bancorp 162,857 1,322,399 Cass Information Systems Inc. 61,249 4,506,089 Cathay General Bancorp 386,290 14,690,609 Centerstate Banks Inc. 238,446 6,001,686 Central Pacific Financial Corp. 155,389 4,882,322 Central Valley Community Bancorp 44,899 896,184 Century Bancorp Inc. 19,536 1,172,160 Chemical Financial Corp. 341,275 18,486,867 Chemung Financial Corp. 16,105 585,417 Citizens & Northern Corp. 62,761 1,644,338 City Holding Co. 76,990 5,204,524 CNB Financial Corp. 76,486 2,045,236 CoBiz Financial Inc. 184,188 3,110,935 Codorus Valley Bancorp Inc. 41,609 1,190,017 Columbia Banking System Inc. 299,058 13,361,911 Community Bank System Inc. 223,157 13,788,871 Community Trust Bancorp Inc. 78,092 3,873,363 ConnectOne Bancorp Inc. 151,287 3,925,898 County Bancorp Inc. 24,695 666,024 CU Bancorp 82,675 2,959,765 Customers Bancorp Inc. 129,987 4,656,134 CVB Financial Corp. 536,740 12,307,448





December 31, 2016




Value ($)

Eagle Bancorp Inc. 157,309 9,587,984 Enterprise Bancorp Inc. 41,333 1,552,467 Enterprise Financial Services Corp. 101,546 4,366,478 Equity Bancshares Inc. 11,820 397,625 Farmers Capital Bank Corp. 33,674 1,415,992 Farmers National Banc Corp. 127,475 1,810,145 FB Financial Corp. 34,700 900,465 FCB Financial Holdings Inc. 154,138 7,352,383 Fidelity Southern Corp. 99,411 2,353,058 Financial Institutions Inc. 74,835 2,559,357 First Bancorp 623,294 4,119,973 First Bancorp 100,044 2,715,194 First Bancorp Inc. Maine 53,636 1,775,352 First Busey Corp. 161,964 4,985,252 First Business Financial Services Inc. 41,538 985,281 First Citizens BancShares Inc. 39,133 13,892,215 First Commonwealth Financial Corp. 453,954 6,437,068 First Community Bancshares Inc. 92,846 2,798,378 First Community Financial Partners Inc. 69,691 815,385 First Connecticut Bancorp Inc. 90,246 2,044,072 First Financial Bancorp 315,898 8,987,298 First Financial Bankshares Inc. 328,792 14,861,398 First Financial Corp. 54,552 2,880,346 First Foundation Inc. 68,739 1,959,062 First Internet Bancorp 26,647 852,704 First Interstate Bancsystem Inc. 103,281 4,394,607 First Merchants Corp. 210,433 7,922,802 First Mid-Illinois Bancshares Inc. 29,877 1,015,818 First Midwest Bancorp Inc. 415,975 10,495,049 First NBC Bank Holding Co. 77,889 568,590 First Northwest Bancorp 56,905 887,718 First of Long Island Corp. 99,373 2,837,099 FNB Corp. 1,091,113 17,490,541 Franklin Financial Network Inc. 59,420 2,486,727 Fulton Financial Corp. 911,792 17,141,690 German American Bancorp Inc. 70,713 3,720,211 Glacier Bancorp Inc. 394,817 14,304,220





December 31, 2016




Value ($)

Great Southern Bancorp Inc. 56,887 3,108,875 Great Western Bancorp Inc. 304,670 13,280,565 Green Bancorp Inc. 108,299 1,646,145 Guaranty Bancorp 76,931 1,861,730 Hancock Holding Co. 400,303 17,253,059 Hanmi Financial Corp. 165,907 5,790,154 HarborOne Bancorp Inc. 74,700 1,444,698 Heartland Financial USA Inc. 120,961 5,806,128 Heritage Commerce Corp. 134,861 1,946,044 Heritage Financial Corp. 156,734 4,035,901 Heritage Oaks Bancorp 120,923 1,490,981 Hilltop Holdings Inc. 385,230 11,479,854 Home Bancshares Inc. 621,049 17,246,531 Hope Bancorp Inc. 668,510 14,633,684 Horizon Bancorp 101,276 2,835,728 Iberiabank Corp. 229,376 19,210,240 Independent Bank Corp. MA 134,176 9,452,699 Independent Bank Corp. MI 111,443 2,418,313 Independent Bank Group Inc. 56,784 3,543,322 International Bancshares Corp. 290,201 11,840,201 Kearny Financial Corp. 471,578 7,333,038 Lakeland Bancorp Inc. 199,272 3,885,804 Lakeland Financial Corp. 126,847 6,007,474 LCNB Corp. 45,192 1,050,714 LegacyTexas Financial Group Inc. 237,748 10,237,429 Live Oak Bancshares Inc. 100,340 1,856,290 Macatawa Bank Corp. 135,674 1,412,366 MainSource Financial Group Inc. 119,527 4,111,729 MB Financial Inc. 394,344 18,624,867 MBT Financial Corp. 91,263 1,035,835 Mercantile Bank Corp. 86,588 3,264,368 Merchants Bancshares Inc. 30,929 1,676,352 Middleburg Financial Corp. 24,109 837,788 Midland States Bancorp Inc. 18,936 685,104 MidWestOne Financial Group Inc. 41,635 1,565,476 National Bankshares Inc. 40,517 1,760,464 National Commerce Corp. 43,863 1,629,510





December 31, 2016




Value ($)

NBT Bancorp Inc. 218,902 9,167,616 Nicolet Bankshares Inc. 33,551 1,600,047 Northrim BanCorp. Inc. 34,553 1,091,875 OFG Bancorp 234,021 3,065,675 Old Line Bancshares Inc. 42,947 1,029,869 Old National Bancorp 686,138 12,453,405 Old Second Bancorp Inc. 156,767 1,732,275 Opus Bank 88,042 2,645,662 Orrstown Financial Services Inc. 37,969 850,506 Pacific Continental Corp. 106,035 2,316,865 Pacific Mercantile Bancorp 78,574 573,590 Paragon Commercial Corp. 500 21,860 Park National Corp. 68,112 8,150,282 Park Sterling Corp. 246,441 2,659,098 Peapack Gladstone Financial Corp. 77,093 2,380,632 Penns Woods Bancorp Inc. 24,078 1,215,939 Peoples Bancorp Inc. 76,220 2,474,101 Peoples Financial Services Corp. 37,667 1,834,383 People's Utah Bancorp 66,666 1,789,982 Pinnacle Financial Partners Inc. 222,133 15,393,817 Preferred Bank 64,206 3,365,679 Premier Financial Bancorp Inc. 47,993 964,659 PrivateBancorp Inc. 409,973 22,216,437 Prosperity Bancshares Inc. 347,325 24,930,989 Provident Bancorp Inc. 22,645 405,346 QCR Holdings Inc. 57,847 2,504,775 Renasant Corp. 211,465 8,928,052 Republic Bancorp Inc. 51,224 2,025,397 Republic First Bancorp Inc. 262,369 2,190,781 S&T Bancorp Inc. 175,641 6,857,025 Sandy Spring Bancorp Inc. 131,163 5,245,208 Seacoast Banking Corp. of Florida 151,920 3,351,355 ServisFirst Bancshares Inc. 238,292 8,921,652 Shore Bancshares Inc. 64,323 980,926 Sierra Bancorp 69,238 1,841,038 Silvercrest Asset Management Group Inc. 36,115 474,912 Simmons First National Corp. 151,607 9,422,375





December 31, 2016




Value ($)

South State Corp. 123,217 10,769,166 Southern First Bancshares Inc. 29,380 1,057,680 Southern National Bancorp of Virginia Inc. 57,491 939,403 Southside Bancshares Inc. 129,474 4,877,286 Southwest Bancorp Inc. 93,734 2,718,286 State Bank Financial Corp. 180,327 4,843,583 Stock Yards Bancorp Inc. 115,468 5,421,223 Stonegate Bank 63,282 2,640,758 Suffolk Bancorp 59,455 2,545,863 Summit Financial Group Inc. 42,752 1,176,963 Sun Bancorp Inc. 51,207 1,331,382 Texas Capital Bancshares Inc. 257,184 20,163,226 Tompkins Financial Corp. 75,395 7,127,843 TowneBank 289,224 9,616,698 Trico Bancshares 118,838 4,061,883 Tristate Capital Holdings Inc. 118,766 2,624,729 Triumph Bancorp Inc. 79,257 2,072,571 Trustco Bank Corp. NY 478,806 4,189,553 Trustmark Corp. 348,167 12,412,154 UMB Financial Corp. 231,527 17,855,362 Umpqua Holdings Corp. 1,146,029 21,522,425 Union Bankshares Corp. 226,188 8,083,959 Union Bankshares Inc. 19,912 905,000 United Bankshares Inc. 342,983 15,862,964 United Community Banks Inc. 362,866 10,748,091 Univest Corp. of Pennsylvania 123,954 3,830,179 Valley National Bancorp 1,289,872 15,014,110 Veritex Holdings Inc. 42,361 1,131,462 Walker & Dunlop Inc. 144,070 4,494,984 Washington Trust Bancorp Inc. 78,393 4,393,928 WashingtonFirst Bankshare Inc. 43,557 1,262,722 Webster Financial Corp. 481,534 26,137,666 WesBanco Inc. 216,667 9,329,681 West Bancorporation Inc. 86,897 2,146,356 Westamerica Bancorporation 128,735 8,101,294 Western New England Bancorp Inc. 88,400 826,540 Wintrust Financial Corp. 265,803 19,289,324





December 31, 2016




Value ($)

Xenith Bankshares Inc. 38,715 1,091,763

Yadkin Financial Corp. 260,570 8,927,128

1,104,584,133

Beverages - 0.2% Boston Beer Co. Inc. 45,915 7,798,663 Coca-Cola Bottling Co. Consolidated 24,673 4,412,766 Craft Brewers Alliance Inc. 68,778 1,162,348 Farmer Brothers Co. 38,934 1,428,878 National Beverage Corp. 61,254 3,128,854

Primo Water Corp. 108,344 1,330,464

19,261,973

Biotechnology - 3.1% Acceleron Pharma Inc. 140,652 3,589,439 Achillion Pharmaceuticals Inc. 619,108 2,556,916 Acorda Therapeutics Inc. 224,410 4,218,908 Aduro Biotech Inc. 181,940 2,074,116 Advaxis Inc. 192,753 1,380,111 Adverum Biotechnologies Inc. 107,583 311,991 Aevi Genomic Medicine Inc. 104,335 540,455 Agenus Inc. 383,358 1,579,435 Alder Biopharmaceuticals Inc. 240,309 4,998,427 AMAG Pharmaceuticals Inc. 181,222 6,306,526 Anavex Life Sciences Corp. 85,600 338,976 ANI Pharmaceuticals Inc. 42,126 2,553,678 Applied Genetic Technologies Corp. 65,006 607,806 Aptevo Therapeutics Inc. 83,175 202,947 Aratana Therapeutics Inc. 179,129 1,286,146 Ardelyx Inc. 159,716 2,267,967 Arena Pharmaceuticals Inc. 1,310,064 1,860,291 Argos Therapeutics Inc. 61,558 301,634 Ariad Pharmaceuticals Inc. 907,382 11,287,832 Arrowhead Pharmaceuticals Inc. 304,534 472,028 Asterias Biotherapeutics Inc. 102,193 470,088 Atara Biotherapeutics Inc. 119,178 1,692,328 Athersys Inc. 418,124 639,730





December 31, 2016




Value ($)

Audentes Therapeutics Inc. 29,300 535,311 Bellicum Pharmaceuticals Inc. 107,563 1,465,008 BioCryst Pharmaceuticals Inc. 392,129 2,482,177 Biotime Inc. 280,304 1,011,897 Bluebird Bio Inc. 210,641 12,996,550 Blueprint Medicines Corp. 102,683 2,880,258 Cambrex Corp. 163,995 8,847,530 Celldex Therapeutics Inc. 495,001 1,752,304 Cellular Biomedicine Group Inc. 35,541 465,587 ChemoCentryx Inc. 143,370 1,060,938 ChromaDex Corp. 146,801 485,911 Clearside Biomedical Inc. 42,100 376,374 Coherus Biosciences Inc. 150,998 4,250,594 Corvus Pharmaceuticals Inc. 17,000 243,100 Curis Inc. 595,988 1,835,643 Cytokinetics Inc. 188,729 2,293,057 CytomX Therapeutics Inc. 104,635 1,149,939 CytRx Corp. 312,065 116,151 Dermira Inc. 124,656 3,780,816 Dimension Therapeutics Inc. 78,699 342,341 Dynavax Technologies Corp. 205,021 809,833 Edge Therapeutics Inc. 46,247 578,088 Editas Medicine Inc. 34,206 555,163 Eiger BioPharmaceuticals Inc. 17,764 206,951 Emergent Biosolutions Inc. 167,451 5,499,091 Endocyte Inc. 186,661 475,986 Enzo Biochem Inc. 203,608 1,413,040 Epizyme Inc. 206,485 2,498,469 Esperion Therapeutics Inc. 81,218 1,016,849 Exact Sciences Corp. 546,328 7,298,942 Exelixis Inc. 1,175,196 17,522,172 Five Prime Therapeutics Inc. 139,707 7,000,718 Flex Pharma Inc. 54,562 288,087 Fortress Biotech Inc. 174,912 472,262 Foundation Medicine Inc. 64,582 1,143,101 Galena Biopharma Inc. 45,411 88,097 Geron Corp. 785,321 1,625,614





December 31, 2016




Value ($)

GlycoMimetics Inc. 55,213 336,799 Halozyme Therapeutics Inc. 563,192 5,564,337 Idera Pharmaceuticals Inc. 481,358 722,037 Immunogen Inc. 462,458 943,414 Immunomedics Inc. 532,699 1,955,005 Infinity Pharmaceuticals Inc. 238,018 321,324 Innoviva Inc. 419,970 4,493,679 Inovio Pharmaceuticals Inc. 354,021 2,456,906 Insmed Inc. 321,540 4,253,974 Intellia Therapeutics Inc. 35,822 469,626 Karyopharm Therapeutics Inc. 130,045 1,222,423 Kite Pharma Inc. 201,071 9,016,024 Lexicon Pharmaceuticals Inc. 219,763 3,039,322 Ligand Pharmaceuticals Inc. 98,833 10,042,421 Lion Biotechnologies Inc. 285,834 1,986,546 Loxo Oncology Inc. 69,525 2,232,795 MacroGenics Inc. 165,181 3,376,300 Medicines Co. 345,197 11,715,986 Merrimack Pharmaceuticals Inc. 640,123 2,611,702 Momenta Pharmaceuticals Inc. 338,097 5,088,360 Myriad Genetics Inc. 347,384 5,790,891 NeoGenomics Inc. 273,983 2,348,034 NewLink Genetics Corp. 117,384 1,206,708 Novavax Inc. 1,384,485 1,744,451 Omeros Corp. 213,821 2,121,104 OncoMed Pharmaceuticals Inc. 109,652 845,417 Organovo Holdings Inc. 468,675 1,588,808 Otonomy Inc. 123,278 1,960,120 OvaScience Inc. 147,406 225,531 Pacific Biosciences of California Inc. 418,831 1,591,558 Paratek Pharmaceuticals Inc. 71,695 1,104,103 PDL BioPharma Inc. 869,471 1,843,279 Pfenex Inc. 83,454 756,928 PharmAthene Inc. 319,663 1,038,905 Prothena Corp. PLC 178,178 8,764,576 PTC Therapeutics Inc. 171,020 1,865,828 Puma Biotechnology Inc. 145,394 4,463,596





December 31, 2016




Value ($)

REGENXBIO Inc. 103,952 1,928,310 Repligen Corp. 174,403 5,375,100 Retrophin Inc. 188,278 3,564,103 Rigel Pharmaceuticals Inc. 506,489 1,205,444 RTI Surgical Inc. 303,467 986,268 Sage Therapeutics Inc. 154,069 7,866,763 Sangamo Biosciences Inc. 354,470 1,081,134 Second Sight Medical Products Inc. 69,191 136,306 Selecta Biosciences Inc. 26,400 452,760 Senseonics Holdings Inc. 142,702 381,014 Spark Therapeutics Inc. 98,742 4,927,226 Stemline Therapeutics Inc. 73,138 782,577 Syndax Pharmaceuticals Inc. 24,207 173,564 Synthetic Biologics Inc. 437,181 333,394 Theravance Biopharma Inc. 207,971 6,630,115 Tokai Pharmaceuticals Inc. 32,796 32,071 TrovaGene Inc. 138,678 291,224 Ultragenyx Pharmaceutical Inc. 192,384 13,526,519 Veracyte Inc. 49,245 381,156 Versartis Inc. 127,219 1,895,563 WaVe Life Sciences Ltd. 39,669 1,037,344 XBiotech Inc. 94,001 951,290

ZIOPHARM Oncology Inc. 635,644 3,400,695

316,850,481

Building Materials - 1.3% AAON Inc. 222,806 7,363,738 Apogee Enterprises Inc. 146,919 7,868,982 Armstrong Flooring Inc. 123,357 2,456,038 Boise Cascade Co. 204,672 4,605,120 Builders FirstSource Inc. 430,235 4,719,678 Caesarstone Ltd. 122,302 3,503,952 Continental Building Products Inc. 180,768 4,175,741 Forterra Inc. 96,300 2,085,858 Gibraltar Industries Inc. 162,825 6,781,661 Louisiana-Pacific Corp. 749,645 14,190,780 LSI Industries Inc. 116,466 1,134,379





December 31, 2016




Value ($)

Masonite International Corp. 156,903 10,324,217 NCI Building Systems Inc. 147,093 2,302,005 Patrick Industries Inc. 74,492 5,683,740 PGT Inc. 246,682 2,824,509 Ply Gem Holdings Inc. 103,801 1,686,766 Quanex Building Products Corp. 178,987 3,633,436 Simpson Manufacturing Co. Inc. 214,466 9,382,888 Summit Materials Inc. 402,800 9,582,619 Trex Co. Inc. 151,163 9,734,897 Universal Forest Products Inc. 102,629 10,486,631

US Concrete Inc. 74,876 4,904,378

129,432,013

Chemicals - 2.3% A Schulman Inc. 155,322 5,195,521 Aceto Corp. 155,051 3,406,470 AgroFresh Solutions Inc. 112,931 299,267 American Vanguard Corp. 148,502 2,843,813 Balchem Corp. 161,956 13,591,348 Calgon Carbon Corp. 258,978 4,402,626 Chemours Co. 951,944 21,028,443 Chemtura Corp. 333,180 11,061,576 Codexis Inc. 171,788 790,225 CSW Industrials Inc. 75,686 2,789,029 Ferro Corp. 440,839 6,317,223 GCP Applied Technologies Inc. 364,977 9,763,135 Hawkins Inc. 53,973 2,911,843 HB Fuller Co. 256,852 12,408,520 Ingevity Corp. 218,742 12,000,186 Innophos Holdings Inc. 104,888 5,481,447 Innospec Inc. 127,068 8,704,158 KMG Chemicals Inc. 47,517 1,847,936 Koppers Holdings Inc. 108,912 4,389,154 Kraton Corp. 153,276 4,365,300 Kronos Worldwide Inc. 115,372 1,377,542 Landec Corp. 135,018 1,863,248 Minerals Technologies Inc. 178,642 13,800,095





December 31, 2016




Value ($)

Olin Corp. 867,570 22,218,468 Omnova Solutions Inc. 249,412 2,494,120 PolyOne Corp. 436,588 13,988,280 Quaker Chemical Corp. 66,249 8,475,897 Rayonier Advanced Materials Inc. 226,975 3,509,034 Sensient Technologies Corp. 233,136 18,319,827 Stepan Co. 101,165 8,242,924 Tronox Ltd. 328,346 3,385,247 Univar Inc. 223,138 6,330,425

Valhi Inc. 90,271 312,338

237,914,665

Coal - 0.1% SunCoke Energy Inc. 354,576 4,020,892

Westmoreland Coal Co. 99,923 1,765,639

5,786,531

Commercial Services - 4.5% Aaron's Inc. 341,230 10,915,948 ABM Industries Inc. 286,353 11,694,657 Advisory Board Co. 211,282 7,025,127 Alarm.com Holdings Inc. 55,893 1,555,502 Albany Molecular Research Inc. 130,278 2,444,015 American Public Education Inc. 86,525 2,124,189 AMN Healthcare Services Inc. 245,283 9,431,131 Apollo Education Group Inc. 464,739 4,600,916 ARC Document Solutions Inc. 210,212 1,067,877 Ascent Capital Group Inc. 71,072 1,155,631 B. Riley Financial Inc. 47,632 878,810 Barrett Business Services Inc. 38,285 2,454,069 Bridgepoint Education Inc. 89,418 905,804 Bright Horizons Family Solutions Inc. 225,964 15,821,999 CAI International Inc. 87,229 756,275 Cambium Learning Group Inc. 66,275 330,712 Capella Education Co. 60,752 5,334,026 Cardtronics PLC 231,886 12,654,019 Care.com Inc. 54,139 463,971





December 31, 2016




Value ($)

Career Education Corp. 350,860 3,540,177 Carriage Services Inc. 82,588 2,365,320 CBIZ Inc. 224,283 3,072,677 CEB Inc. 168,783 10,228,250 Cimpress NV 132,982 12,182,481 Collectors Universe Inc. 34,098 723,901 Corvel Corp. 45,734 1,673,864 Cotiviti Holdings Inc. 64,909 2,232,870 CPI Card Group Inc. 109,842 455,844 CRA International Inc. 49,309 1,804,709 Cross Country Healthcare Inc. 170,175 2,656,432 Deluxe Corp. 254,122 18,197,676 EVERTEC Inc. 332,407 5,900,224 Forrester Research Inc. 50,164 2,154,544 Franklin Covey Co. 46,092 928,754 FTI Consulting Inc. 214,605 9,674,393 Grand Canyon Education Inc. 230,740 13,486,753 Great Lakes Dredge & Dock Corp. 299,559 1,258,148 Green Dot Corp. 223,725 5,268,724 Hackett Group Inc. 131,205 2,317,080 Healthcare Services Group Inc. 362,896 14,214,636 HealthEquity Inc. 221,373 8,970,034 Heidrick & Struggles International Inc. 91,383 2,206,899 Hillenbrand Inc. 303,891 11,654,220 HMS Holdings Corp. 433,871 7,879,097 Huron Consulting Group Inc. 114,986 5,824,041 ICF International Inc. 95,063 5,247,478 INC Research Holdings Inc. 213,191 11,213,847 Information Services Group Inc. 159,392 580,187 Insperity Inc. 81,044 5,750,072 James River Group Holdings Ltd. 73,205 3,041,668 K12 Inc. 178,767 3,067,642 Kelly Services Inc. 151,452 3,471,280 Kforce Inc. 130,892 3,023,605 Korn/Ferry International 297,185 8,746,155 Landauer Inc. 54,913 2,641,315 LendingTree Inc. 33,534 3,398,671





December 31, 2016




Value ($)

Liberty Tax Inc. 24,683 330,752 LifeLock Inc. 442,968 10,595,795 McGrath Rentcorp. 122,614 4,805,243 Medifast Inc. 55,464 2,308,966 MoneyGram International Inc. 154,322 1,822,543 Monro Muffler Brake Inc. 162,767 9,310,272 Multi-Color Corp. 70,219 5,448,994 National Research Corp. 51,842 984,998 Navigant Consulting Inc. 247,237 6,472,665 Neff Corp. 44,606 628,945 Nutrisystem Inc. 153,990 5,335,754 NV5 Global Inc. 37,579 1,255,139 On Assignment Inc. 262,654 11,598,801 Parexel International Corp. 275,492 18,105,334 Patriot National Inc. 49,654 230,891 Paylocity Holding Corp. 110,589 3,318,776 Pfsweb Inc. 57,698 490,433 Quad/Graphics Inc. 151,897 4,082,991 Rent-A-Center Inc. 273,228 3,073,815 Resources Connection Inc. 184,130 3,544,503 RPX Corp. 269,708 2,912,846 ServiceSource International Inc. 293,828 1,668,943 Sotheby's 261,379 10,418,567 SP Plus Corp. 86,403 2,432,244 Strayer Education Inc. 55,263 4,455,856 Team Health Holdings Inc. 350,400 15,224,880 Team Inc. 150,381 5,902,454 Travelport Worldwide Ltd. 592,461 8,353,700 TriNet Group Inc. 223,813 5,734,089 TrueBlue Inc. 220,172 5,427,240 Vectrus Inc. 57,508 1,371,566 Viad Corp. 105,922 4,671,160

Weight Watchers International Inc. 149,631 1,713,275

456,700,776

Computers - 2.5% 3D Systems Corp. 553,802 7,360,029





December 31, 2016




Value ($)

Agilysys Inc. 75,410 781,248 Barracuda Networks Inc. 114,831 2,460,828 CACI International Inc. 124,675 15,497,103 Carbonite Inc. 95,933 1,573,301 Cogint Inc. 77,890 268,721 Convergys Corp. 471,495 11,579,917 Cray Inc. 210,691 4,361,304 Datalink Corp. 105,925 1,192,716 Diebold Inc. 354,081 8,905,137 Digimarc Corp. 39,774 1,193,220 DMC Global Inc. 71,936 1,140,186 Electronics for Imaging Inc. 241,079 10,573,725 Engility Holdings Inc. 94,621 3,188,728 EPAM Systems Inc. 246,557 15,856,081 ExlService Holdings Inc. 167,318 8,439,520 ExOne Co. 53,535 500,017 Globant SA 131,867 4,397,764 Immersion Corp. 150,600 1,600,878 Insight Enterprises Inc. 191,145 7,729,904 Keyw Holding Corp. 174,896 2,062,024 LivePerson Inc. 289,421 2,185,129 Lumentum Holdings Inc. 259,244 10,019,781 MAXIMUS Inc. 333,492 18,605,519 Maxwell Technologies Inc. 161,637 827,581 Mentor Graphics Corp. 556,967 20,546,513 Mercury Computer Systems Inc. 201,384 6,085,824 Mitek Systems Inc. 157,796 970,445 MTS Systems Corp. 86,981 4,931,823 NCI Inc. 30,941 431,627 Netscout Systems Inc. 465,102 14,650,713 Nimble Storage Inc. 322,494 2,554,152 Pure Storage Inc. 353,821 4,001,716 Qualys Inc. 139,359 4,410,712 Radisys Corp. 182,720 809,450 Science Applications International Corp. 221,778 18,806,774 SecureWorks Corp. 31,137 329,741 Silver Spring Networks Inc. 184,636 2,457,505





December 31, 2016




Value ($)

Stratasys Ltd. 254,507 4,209,546 Super Micro Computer Inc. 200,734 5,630,589 Sykes Enterprises Inc. 201,611 5,818,493 Syntel Inc. 169,770 3,359,748 TeleTech Holdings Inc. 87,888 2,680,584 Unisys Corp. 261,884 3,915,166 USA Technologies Inc. 183,892 790,736 Varonis Systems Inc. 54,758 1,467,514 Virtusa Corp. 151,884 3,815,326

Vocera Communications Inc. 132,279 2,445,839

257,420,897

Cosmetics/Personal Care - 0.2% Avon Products Inc. 2,296,980 11,576,779 e.l.f. Beauty Inc. 50,100 1,449,894 Inter Parfums Inc. 90,126 2,951,627

Revlon Inc. 59,358 1,730,286

17,708,586

Distribution/Wholesale - 0.7% Anixter International Inc. 149,946 12,153,123 Beacon Roofing Supply Inc. 307,486 14,165,880 Core-Mark Holding Co. Inc. 236,471 10,184,806 Essendant Inc. 189,921 3,969,349 Fossil Group Inc. 217,524 5,625,171 H&E Equipment Services Inc. 164,110 3,815,558 MRC Global Inc. 496,970 10,068,612 Scansource Inc. 130,499 5,265,635 SiteOne Landscape Supply Inc. 59,736 2,074,631 Titan Machinery Inc. 94,959 1,383,553 Triton International Ltd. 196,748 3,108,618

Veritiv Corp. 41,264 2,217,940

74,032,876

Diversified Financial Services - 2.2% Aircastle Ltd. 251,362 5,240,898 Altisource Portfolio Solutions SA 64,518 1,715,534





December 31, 2016




Value ($)

Associated Capital Group Inc. 33,939 1,114,896 BGC Partners Inc. 1,120,448 11,462,183 Blackhawk Network Holdings Inc. 283,396 10,676,944 Calamos Asset Management Inc. 98,416 841,457 California First National Bancorp 100 1,565 Cohen & Steers Inc. 108,371 3,641,266 Cowen Group Inc. 141,907 2,199,559 Diamond Hill Investment Group Inc. 15,689 3,300,652 Encore Capital Group Inc. 133,333 3,819,990 Enova International Inc. 137,089 1,720,467 Evercore Partners Inc. 200,358 13,764,595 FBR & Co. 32,113 417,469 Federal Agricultural Mortgage Corp. 55,263 3,164,912 Financial Engines Inc. 274,712 10,095,666 FNFV Group 360,360 4,936,932 Gain Capital Holdings Inc. 168,673 1,109,868 GAMCO Investors Inc. 34,039 1,051,465 Greenhill & Co. Inc. 144,850 4,012,345 Hannon Armstrong Sustainable Infrastructure Capital Inc. 210,583 3,998,971 Hennessy Advisors Inc. 14,836 471,043 Houlihan Lokey Inc. 61,590 1,916,681 IMPAC Mortgage Holdings Inc. 41,067 575,759 INTL. FCStone Inc. 78,917 3,125,113 Investment Technology Group Inc. 169,685 3,349,582 Janus Capital Group Inc. 754,107 10,007,000 KCG Holdings Inc. 269,214 3,567,086 Ladder Capital Corp. 220,069 3,019,347 Ladenburg Thalmann Financial Services Inc. 541,949 1,322,356 LendingClub Corp. 1,698,324 8,916,201 Manning & Napier Inc. 76,719 579,228 Marlin Business Services Corp. 43,584 910,906 Medley Management Inc. 26,183 259,212 Moelis & Co. 96,025 3,255,248 Nationstar Mortgage Holdings Inc. 196,045 3,540,573 Nelnet Inc. 104,601 5,308,501 NewStar Financial Inc. 137,374 1,270,710 Ocwen Financial Corp. 541,719 2,919,865





December 31, 2016




Value ($)

OM Asset Management Plc 205,853 2,984,869 On Deck Capital Inc. 246,165 1,139,744 Oppenheimer Holdings Inc. 55,846 1,038,736 PennyMac Financial Services Inc. 69,579 1,158,490 PHH Corp. 275,318 4,173,821 Piper Jaffray Cos 78,489 5,690,453 PJT Partners Inc. 90,970 2,809,154 PRA Group Inc. 235,356 9,202,420 Pzena Investment Management Inc. 60,187 668,678 Regional Management Corp. 54,135 1,422,668 Safeguard Scientifics Inc. 106,102 1,427,072 Stifel Financial Corp. 335,819 16,774,159 Virtu Financial Inc. 129,037 2,058,140 Virtus Investment Partners Inc. 30,686 3,622,482 Waddell & Reed Financial Inc. 411,210 8,022,707 WageWorks Inc. 187,019 13,558,878 Walter Investment Management Corp. 174,624 829,464 Westwood Holdings Group Inc. 38,258 2,295,097 WisdomTree Investments Inc. 599,489 6,678,307

World Acceptance Corp. 34,680 2,229,230

230,386,614

Electric - 1.9% Allete Inc. 255,741 16,416,015 Ameresco Inc. 110,508 607,794 Atlantic Power Corp. 649,378 1,623,445 Atlantica Yield PLC 306,494 5,930,659 Avista Corp. 326,528 13,057,855 Black Hills Corp. 269,030 16,502,300 Dynegy Inc. 599,609 5,072,692 El Paso Electric Co. 209,671 9,749,702 Empire District Electric Co. 223,205 7,609,058 EnerNOC Inc. 140,902 845,412 Genie Energy Ltd. 56,689 325,962 IDACORP Inc. 267,921 21,581,037 MGE Energy Inc. 182,905 11,943,697 NorthWestern Corp. 252,255 14,345,742





December 31, 2016




Value ($)

NRG Yield Inc. 184,986 2,841,385 NRG Yield Inc. 327,826 5,179,651 Ormat Technologies Inc. 195,603 10,488,233 Otter Tail Corp. 193,255 7,884,804 PNM Resources Inc. 417,882 14,333,353 Portland General Electric Co. 463,832 20,097,841 Spark Energy Inc. 25,085 760,076

Unitil Corp. 75,582 3,426,888

190,623,601

Electrical Components & Equipment - 1.1% Advanced Energy Industries Inc. 209,372 11,463,117 American Superconductor Corp. 60,224 443,851 Belden Inc. 217,713 16,278,401 Encore Wire Corp. 109,206 4,734,080 Energous Corp. 76,036 1,281,207 EnerSys 226,554 17,693,867 Generac Holdings Inc. 344,923 14,052,163 General Cable Corp. 253,581 4,830,718 Graham Corp. 53,447 1,183,851 Insteel Industries Inc. 100,242 3,572,625 Littelfuse Inc. 115,274 17,495,135 Novanta Inc. 163,578 3,435,138 Powell Industries Inc. 52,299 2,039,661 Universal Display Corp. 213,530 12,021,739

Vicor Corp. 102,032 1,540,683

112,066,236

Electronics - 2.3% Allied Motion Technologies Inc. 27,440 586,942 Applied Optoelectronics Inc. 88,259 2,068,791 AV Tech Corp. 96,893 7,375,495 AVX Corp. 236,502 3,696,526 Badger Meter Inc. 147,690 5,457,146 Bel Fuse Inc. 50,992 1,575,653 Benchmark Electronics Inc. 260,691 7,951,076 Brady Corp. 243,415 9,140,233





December 31, 2016




Value ($)

Coherent Inc. 124,655 17,125,727 Control4 Corp. 104,670 1,067,634 CTS Corp. 161,237 3,611,709 Electro Scientific Industries Inc. 141,042 834,969 FARO Technologies Inc. 90,134 3,244,824 Fluidigm Corp. 146,363 1,065,523 GoPro Inc. - Class A 526,089 4,582,235 II-VI Inc. 307,882 9,128,701 IMAX Corp. 304,611 9,564,785 IsuPetasys Co. Ltd. 116,931 1,672,113 Itron Inc. 177,287 11,142,488 Kimball Electronics Inc. 140,400 2,555,280 Knowles Corp. 459,944 7,685,664 Mesa Laboratories Inc. 15,568 1,910,972 Methode Electronics Inc. 192,110 7,943,749 NVE Corp. 24,705 1,764,678 Park Electrochemical Corp. 100,306 1,870,707 Plexus Corp. 171,570 9,271,643 Rogers Corp. 93,462 7,178,816 Sanmina Corp. 380,936 13,961,304 Sparton Corp. 49,217 1,173,825 Stoneridge Inc. 139,752 2,472,213 Taser International Inc. 270,565 6,558,496 Tech Data Corp. 181,718 15,387,880 Tessera Holding Corp. 253,158 11,189,584 TTM Technologies Inc. 376,986 5,138,319 Vishay Intertechnology Inc. 706,248 11,441,218 Vishay Precision Group Inc. 69,205 1,307,975 Watts Water Technologies Inc. 143,295 9,342,834 Woodward Inc. 277,759 19,179,259

Zagg Inc. 145,351 1,031,992

239,258,978

Energy - Alternate Sources - 0.4% Clean Energy Fuels Corp. 465,180 1,330,415 FuelCell Energy Inc. 131,254 229,695 FutureFuel Corp. 119,817 1,665,456





December 31, 2016




Value ($)

Green Plains Inc. 186,476 5,193,357 Headwaters Inc. 380,055 8,938,894 Pacific Ethanol Inc. 159,306 1,513,407 Pattern Energy Group Inc. 344,209 6,536,529 Plug Power Inc. 985,449 1,182,539 Renewable Energy Group Inc. 205,984 1,998,045 REX American Resources Corp. 32,196 3,179,355 Sunrun Inc. 324,446 1,722,808 TerraForm Global Inc. 468,807 1,851,788 TerraForm Power Inc. 448,797 5,749,090 TPI Composites Inc. 33,000 529,320

Vivint Solar Inc. 106,931 272,674

41,893,372

Engineering & Construction - 1.1% Aegion Corp. 179,909 4,263,843 Argan Inc. 69,697 4,917,123 Comfort Systems USA Inc. 194,353 6,471,955 Dycom Industries Inc. 161,360 12,955,594 EMCOR Group Inc. 317,464 22,463,753 Exponent Inc. 132,424 7,985,167 Granite Construction Inc. 204,048 11,222,640 Hill International Inc. 147,893 643,335 IES Holdings Inc. 40,214 770,098 Layne Christensen Co. 92,922 1,010,062 MasTec Inc. 340,852 13,037,589 Mistras Group Inc. 87,952 2,258,607 MYR Group Inc. 76,600 2,886,288 Orion Group Holdings Inc. 154,515 1,537,424 Primoris Services Corp. 200,516 4,567,754 TopBuild Corp. 199,852 7,114,731 Tutor Perini Corp. 196,040 5,489,120

VSE Corp. 44,044 1,710,669

111,305,752

Entertainment - 0.7% AMC Entertainment Holdings Inc. 155,745 5,240,819





December 31, 2016




Value ($)

Caesars Acquisition Co. 244,452 3,300,102 Churchill Downs Inc. 69,931 10,521,119 Eldorado Resorts Inc. 144,361 2,446,919 Empire Resorts Inc. 42,852 974,883 Eros International PLC 146,956 1,917,776 Golden Entertainment Inc. 52,903 640,655 International Speedway Corp. 137,460 5,058,528 Isle of Capri Casinos Inc. 129,621 3,200,342 Marriott Vacations Worldwide Corp. 118,651 10,067,537 National CineMedia Inc. 317,505 4,676,849 Penn National Gaming Inc. 399,953 5,515,352 Pinnacle Entertainment Inc. 301,664 4,374,128 Reading International Inc. 86,672 1,438,755 Red Rock Resorts Inc. 159,519 3,699,246 Scientific Games Corp. 272,688 3,817,632 SeaWorld Entertainment Inc. 345,627 6,542,719

Speedway Motorsports Inc. 61,222 1,326,681

74,760,042

Environmental Control - 0.4% Advanced Disposal Services Inc. 115,700 2,570,854 Aqua Metals Inc. 55,148 722,990 AquaVenture Holdings Ltd. 37,400 917,422 Casella Waste Systems Inc. 201,505 2,500,677 Ceco Environmental Corp. 151,718 2,116,466 Energy Recovery Inc. 176,669 1,828,524 Heritage-Crystal Clean Inc. 55,790 875,903 MSA Safety Inc. 162,157 11,242,345 Tetra Tech Inc. 298,741 12,890,674 TRC Cos Inc. 77,245 818,797

US Ecology Inc. 113,459 5,576,510

42,061,162

Food - 1.6% Amplify Snack Brands Inc. 150,022 1,321,694 B&G Foods Inc. 339,306 14,861,603 Calavo Growers Inc. 79,225 4,864,415





December 31, 2016




Value ($)

Cal-Maine Foods Inc. 157,995 6,979,429 Chefs' Warehouse Inc. 98,984 1,563,947 Darling International Inc. 841,745 10,866,928 Dean Foods Co. 473,964 10,322,936 Fresh Del Monte Produce Inc. 166,959 10,122,724 Ingles Markets Inc. 71,386 3,433,667 Inventure Foods Inc. 88,978 876,433 J&J Snack Foods Corp. 77,776 10,377,652 John B Sanfilippo & Son Inc. 45,004 3,167,832 Lancaster Colony Corp. 97,017 13,717,234 Lifeway Foods Inc. 27,504 316,571 Performance Food Group Co. 192,991 4,631,784 Sanderson Farms Inc. 105,108 9,905,378 Seaboard Corp. 1,359 5,370,754 Seneca Foods Corp. 36,349 1,455,777 Smart & Final Stores Inc. 120,899 1,704,676 Snyders-Lance Inc. 416,627 15,973,479 SpartanNash Co. 193,240 7,640,710 SUPERVALU Inc. 1,388,609 6,484,804 TerraVia Holdings Inc. 399,590 459,529 Tootsie Roll Industries Inc. 95,741 3,805,705 United Natural Foods Inc. 256,803 12,254,639 Village Super Market Inc. 40,108 1,239,337

Weis Markets Inc. 57,604 3,850,251

167,569,888

Food Service - 0.0%

AdvancePierre Foods Holdings Inc. 110,500 3,290,690

Forest Products & Paper - 0.3% Clearwater Paper Corp. 88,703 5,814,482 Deltic Timber Corp. 54,776 4,221,586 Neenah Paper Inc. 86,419 7,362,899 Orchids Paper Products Co. 40,644 1,064,060 PH Glatfelter Co. 226,623 5,414,023





December 31, 2016




Value ($)

Schweitzer-Mauduit International Inc. 157,244 7,159,319

31,036,369

Gas - 1.1% Chesapeake Utilities Corp. 76,619 5,129,642 Delta Natural Gas Co. Inc. 35,041 1,027,753 New Jersey Resources Corp. 442,978 15,725,719 Northwest Natural Gas Co. 140,654 8,411,109 ONE Gas Inc. 269,139 17,214,130 South Jersey Industries Inc. 411,508 13,863,705 Southwest Gas Corp. 245,179 18,785,615 Spire Inc. 231,844 14,965,530

WGL Holdings Inc. 267,348 20,393,305

115,516,508

Hand/Machine Tools - 0.2% Franklin Electric Co. Inc. 239,923 9,333,005 Hardinge Inc. 60,028 665,110 Kennametal Inc. 411,460 12,862,240

Milacron Holdings Corp. 75,060 1,398,368

24,258,723

Healthcare - Products - 3.0% Abaxis Inc. 112,469 5,934,989 Accelerate Diagnostics Inc. 121,414 2,519,341 Accuray Inc. 407,883 1,876,262 Analogic Corp. 64,666 5,364,045 Angiodynamics Inc. 143,523 2,421,233 AtriCure Inc. 156,562 3,063,918 Atrion Corp. 7,011 3,555,979 Avinger Inc. 68,026 251,696 AxoGen Inc. 137,066 1,233,594 BioTelemetry Inc. 142,186 3,177,857 Cantel Medical Corp. 185,089 14,575,759 Cardiovascular Systems Inc. 162,265 3,928,436 Cerus Corp. 518,728 2,256,467 ConforMIS Inc. 183,404 1,485,572





December 31, 2016




Value ($)

CONMED Corp. 142,376 6,288,748 CryoLife Inc. 152,051 2,911,777 Cutera Inc. 65,787 1,141,404 Cynosure Inc. 124,674 5,685,134 Endologix Inc. 415,853 2,378,679 Entellus Medical Inc. 40,560 769,423 Exactech Inc. 53,936 1,472,453 GenMark Diagnostics Inc. 203,439 2,490,093 Genomic Health Inc. 98,213 2,886,480 Glaukos Corp. 85,797 2,942,837 Globus Medical Inc. 361,013 8,956,733 Haemonetics Corp. 264,279 10,624,016 Halyard Health Inc. 242,617 8,971,977 ICU Medical Inc. 76,534 11,277,285 Inogen Inc. 84,455 5,672,842 Insulet Corp. 295,477 11,133,573 Integer Holdings Corp. 156,874 4,619,939 Integra LifeSciences Holdings Corp. 155,084 13,304,656 Intersect ENT Inc. 134,891 1,632,181 Invacare Corp. 161,417 2,106,492 InVivo Therapeutics Holdings Corp. 143,517 602,771 iRadimed Corp. 10,346 114,841 iRhythm Technologies Inc. 37,100 1,113,000 Iridex Corp. 38,652 543,447 K2M Group Holdings Inc. 132,062 2,646,522 LeMaitre Vascular Inc. 67,803 1,718,128 Luminex Corp. 213,068 4,310,366 Masimo Corp. 218,587 14,732,764 Meridian Bioscience Inc. 213,452 3,778,100 Merit Medical Systems Inc. 223,107 5,912,336 MiMedx Group Inc. 549,084 4,864,884 NanoString Technologies Inc. 76,091 1,696,829 Natus Medical Inc. 166,277 5,786,440 Nevro Corp. 123,278 8,957,379 Novan Inc. 24,700 667,394 Novocure Ltd. 259,830 2,039,666 NuVasive Inc. 256,038 17,246,720





December 31, 2016




Value ($)

NxStage Medical Inc. 329,417 8,634,020 Obalon Therapeutics Inc. 24,900 220,365 Ocular Therapeutix Inc. 103,894 869,593 OraSure Technologies Inc. 274,167 2,407,186 Orthofix International NV 93,614 3,386,955 Oxford Immunotec Global PLC 91,122 1,362,274 Penumbra Inc. 132,698 8,466,132 Quidel Corp. 150,180 3,216,856 Rockwell Medical Inc. 250,730 1,642,282 Spectranetics Corp. 221,046 5,415,627 Staar Surgical Co. 193,817 2,102,914 SurModics Inc. 76,598 1,945,589 T2 Biosystems Inc. 45,518 239,425 Tactile Systems Technology Inc. 21,300 349,533 Tandem Diabetes Care Inc. 58,217 125,167 TransEnterix Inc. 248,871 323,532 Utah Medical Products Inc. 19,738 1,435,940 Vascular Solutions Inc. 88,095 4,942,130 ViewRay Inc. 3,400 10,642 Wright Medical Group NV 534,663 12,286,556

Zeltiq Aesthetics Inc. 182,082 7,924,209

302,950,384

Healthcare - Services - 1.3% AAC Holdings Inc. 60,702 439,482 Addus HomeCare Corp. 38,233 1,340,067 Adeptus Health Inc. 72,645 555,008 Air Methods Corp. 181,361 5,776,348 Almost Family Inc. 42,229 1,862,299 Amedisys Inc. 145,385 6,197,763 American Renal Associates Holdings Inc. 44,802 953,387 Capital Senior Living Corp. 157,110 2,521,616 Chemed Corp. 85,335 13,688,587 Civitas Solutions Inc. 79,949 1,590,985 Community Health Systems Inc. 582,316 3,255,146 Ensign Group Inc. 260,835 5,793,145 Genesis Healthcare Inc. 219,494 932,850





December 31, 2016




Value ($)

Healthsouth Corp. 459,885 18,965,657 Invitae Corp. 116,738 926,900 Kindred Healthcare Inc. 436,831 3,429,123 LHC Group Inc. 76,717 3,505,967 Magellan Health Inc. 128,184 9,645,846 Medpace Holdings Inc. 41,600 1,500,512 Molina Healthcare Inc. 223,090 12,104,863 Natera Inc. 133,819 1,567,020 National Healthcare Corp. 55,496 4,206,042 Nobilis Health Corp. 286,749 602,173 Providence Service Corp. 67,743 2,577,621 Quorum Health Corp. 152,169 1,106,269 RadNet Inc. 203,995 1,315,768 Select Medical Holdings Corp. 550,168 7,289,726 Surgery Partners Inc. 90,921 1,441,098 Surgical Care Affiliates Inc. 137,724 6,372,489 Teladoc Inc. 108,989 1,798,319 Tivity Health Inc. 167,169 3,803,095 Triple-S Management Corp. 126,412 2,616,728 Universal American Corp. 296,644 2,951,608

US Physical Therapy Inc. 62,866 4,413,193

137,046,700

Holding Companies-Diversified - 0.1% HRG Group Inc. 608,835 9,473,473 National Bank Holdings Corp. 127,136 4,054,367 Tiptree Financial Inc. 135,576 833,792

Wins Finance Holdings Inc. 4,400 792,000

15,153,632

Home Builders - 0.6% AV Homes Inc. 58,359 922,072 Beazer Homes USA Inc. 160,555 2,135,382 Cavco Industries Inc. 43,745 4,367,938 Century Communities Inc. 74,246 1,559,166 Green Brick Partners Inc. 112,782 1,133,459 Hovnanian Enterprises Inc. 608,594 1,661,462





December 31, 2016




Value ($)

Installed Building Products Inc. 104,802 4,328,323 KB Home 432,888 6,843,959 LGI Homes Inc. 80,941 2,325,435 M/I Homes Inc. 129,855 3,269,749 MDC Holdings Inc. 214,922 5,514,909 Meritage Homes Corp. 198,398 6,904,250 New Home Co. Inc. 72,689 851,188 Pico Holdings Inc. 117,201 1,775,595 Taylor Morrison Home Corp. 163,882 3,156,367 TRI Pointe Group Inc. 770,430 8,844,536 UCP Inc. 41,483 499,870 WCI Communities Inc. 110,897 2,600,535 William Lyon Homes 126,818 2,413,347

Winnebago Industries Inc. 144,558 4,575,261

65,682,803

Home Furnishings - 0.5% American Woodmark Corp. 70,871 5,333,043 Bassett Furniture Industries Inc. 53,850 1,637,040 Daktronics Inc. 193,270 2,067,989 Ethan Allen Interiors Inc. 135,109 4,978,767 Flexsteel Industries Inc. 30,003 1,850,285 Hooker Furniture Corp. 53,127 2,016,170 iRobot Corp. 148,298 8,668,018 La-Z-Boy Inc. 257,365 7,991,183 RH 201,179 6,176,195 Select Comfort Corp. 239,071 5,407,786

Universal Electronics Inc. 72,353 4,670,386

50,796,862

Household Products/Wares - 0.4% ACCO Brands Corp. 551,580 7,198,119 Central Garden & Pet Co. 51,927 1,718,264 Central Garden & Pet Co. 177,149 5,473,904 CSS Industries Inc. 46,572 1,260,704 Ennis Inc. 136,661 2,371,068 Helen of Troy Ltd. 144,931 12,239,423





December 31, 2016




Value ($)

Oil-Dri Corp. of America 27,015 1,032,243

WD-40 Co. 73,597 8,603,489

39,897,214

Housewares - 0.1% Libbey Inc. 115,015 2,238,192 Lifetime Brands Inc. 57,704 1,024,246

NACCO Industries Inc. 23,336 2,113,075

5,375,513

Insurance - 2.8% Ambac Financial Group Inc. 232,243 5,225,468 American Equity Investment Life Holding Co. 445,551 10,042,720 AMERISAFE Inc. 97,843 6,100,511 Argo Group International Holdings Ltd. 154,409 10,175,553 Atlas Financial Holdings Inc. 62,137 1,121,573 Baldwin & Lyons Inc. 49,712 1,252,742 Blue Capital Reinsurance Holdings Ltd. 30,258 558,260 Citizens Inc. 245,366 2,409,494 CNO Financial Group Inc. 926,676 17,745,845 Crawford & Co. 64,310 807,734 Donegal Group Inc. 46,044 804,849 eHealth Inc. 89,153 949,479 EMC Insurance Group Inc. 40,230 1,207,302 Employers Holdings Inc. 166,151 6,579,580 Enstar Group Ltd. 58,754 11,615,666 Essent Group Ltd. 384,603 12,449,599 FBL Financial Group Inc. 50,520 3,948,138 Federated National Holding Co. 66,551 1,243,838 Fidelity & Guaranty Life 57,703 1,367,561 Genworth Holdings Inc. 2,578,279 9,823,243 Global Indemnity Ltd. 41,581 1,588,810 Greenlight Capital Re Ltd. 146,985 3,351,258 Hallmark Financial Services Inc. 74,024 860,899 HCI Group Inc. 48,250 1,904,910 Heritage Insurance Holdings Inc. 129,947 2,036,269 Horace Mann Educators Corp. 209,179 8,952,861





December 31, 2016




Value ($)

Independence Holding Co. 44,679 873,474 Infinity Property & Casualty Corp. 55,901 4,913,698 Investors Title Co. 7,321 1,158,036 Kemper Corp. 214,533 9,503,812 Kinsale Capital Group Inc. 34,100 1,159,741 Maiden Holdings Ltd. 355,581 6,204,888 MBIA Inc. 678,177 7,256,494 MGIC Investment Corp. 1,764,421 17,979,450 National General Holdings Corp. 248,410 6,207,766 National Western Life Group Inc. 11,461 3,562,079 Navigators Group Inc. 58,238 6,857,525 NMI Holdings Inc. 255,145 2,717,294 OneBeacon Insurance Group Ltd. 110,226 1,769,127 Primerica Inc. 245,513 16,977,224 Radian Group Inc. 1,112,259 19,998,417 RLI Corp. 201,285 12,707,122 Safety Insurance Group Inc. 73,343 5,405,379 Selective Insurance Group Inc. 291,327 12,541,627 State Auto Financial Corp. 80,315 2,153,245 State National Cos Inc. 124,066 1,719,555 Stewart Information Services Corp. 117,802 5,428,316 Third Point Reinsurance Ltd. 352,328 4,069,388 Trupanion Inc. 82,380 1,278,538 United Fire Group Inc. 110,651 5,440,710 United Insurance Holdings Corp. 86,609 1,311,260 Universal Insurance Holdings Inc. 169,843 4,823,541

WMIH Corp. 1,041,761 1,614,730

289,756,598

Internet - 2.1% 1-800-Flowers.com Inc. 138,339 1,480,227 8x8 Inc. 458,104 6,550,887 Angie's List Inc. 222,855 1,834,097 Autobytel Inc. 44,704 601,269 Bankrate Inc. 243,289 2,688,343 Bazaarvoice Inc. 370,352 1,796,207 Blucora Inc. 222,208 3,277,568





December 31, 2016




Value ($)

Blue Nile Inc. 66,264 2,692,306 Boingo Wireless Inc. 182,458 2,224,163 Box Inc. 258,660 3,585,028 ChannelAdvisor Corp. 107,998 1,549,771 Chegg Inc. 424,252 3,130,980 Cogent Communications Holdings Inc. 215,634 8,916,466 comScore Inc. 246,853 7,795,618 Corindus Vascular Robotics Inc. 351,651 245,593 DHI Group Inc. 239,097 1,494,356 Endurance International Group Holdings Inc. 320,254 2,978,362 ePlus Inc. 32,338 3,725,338 Etsy Inc. 549,094 6,468,327 FTD Cos Inc. 100,741 2,401,665 Global Eagle Entertainment Inc. 225,694 1,457,983 Global Sources Ltd. 42,069 372,311 GrubHub Inc. 415,837 15,643,788 HealthStream Inc. 131,774 3,300,939 IntraLinks Holdings Inc. 205,516 2,778,576 j2 Global Inc. 245,563 20,087,053 Lands' End Inc. 85,249 1,291,522 Limelight Networks Inc. 320,575 807,849 Lionbridge Technologies Inc. 359,295 2,083,911 Liquidity Services Inc. 127,277 1,240,951 MeetMe Inc. 211,807 1,044,209 New Media Investment Group Inc. 220,525 3,526,195 NIC Inc. 323,761 7,737,888 Overstock.com Inc. 64,899 1,135,733 Perficient Inc. 183,554 3,210,359 Q2 Holdings Inc. 131,184 3,784,658 QuinStreet Inc. 194,747 732,249 Quotient Technology Inc. 321,755 3,458,866 Rapid7 Inc. 102,097 1,242,520 RealNetworks Inc. 130,170 632,626 Reis Inc. 44,437 988,723 RetailMeNot Inc. 207,107 1,926,095 Rightside Group Ltd. 59,638 493,206 RingCentral Inc. 300,239 6,184,923





December 31, 2016




Value ($)

Rubicon Project Inc. 191,017 1,417,346 Shutterfly Inc. 180,163 9,040,579 Shutterstock Inc. 98,947 4,701,961 Stamps.com Inc. 84,042 9,635,415 TechTarget Inc. 80,843 689,591 Trade Desk Inc. 28,100 777,527 TrueCar Inc. 286,251 3,578,138 VASCO Data Security International Inc. 157,031 2,143,473 VirnetX Holding Corp. 237,842 523,252 Wayfair Inc. 162,633 5,700,287 Web.com Group Inc. 220,902 4,672,077 WebMD Health Corp. 186,421 9,240,889 XO Group Inc. 143,337 2,787,905 Zendesk Inc. 416,587 8,831,644

Zix Corp. 286,724 1,416,417

215,756,205

Investment Companies - 0.0% Acacia Research Corp. 257,211 1,671,872 Arlington Asset Investment Corp. 116,311 1,723,729

Real Industry Inc. 133,775 816,028

4,211,629

Iron/Steel - 0.5% AK Steel Holding Corp. 1,608,077 16,418,466 ALJ Regional Holdings Inc. 94,776 416,067 Allegheny Technologies Inc. 564,041 8,985,173 Carpenter Technology Corp. 241,274 8,726,881 Cliffs Natural Resources Inc. 1,141,156 9,597,122 Ryerson Holding Corp. 71,503 954,565

Schnitzer Steel Industries Inc. 141,473 3,635,856

48,734,130

Leisure - 0.4% Acushnet Holdings Corp. 116,200 2,290,302 Arctic Cat Inc. 68,098 1,022,832 Callaway Golf Co. 483,728 5,301,659





December 31, 2016




Value ($)

Camping World Holdings Inc. 62,100 2,023,839 ClubCorp. Holdings Inc. 332,202 4,767,099 Escalade Inc. 52,805 697,026 Fox Factory Holding Corp. 114,763 3,184,673 Intrawest Resorts Holdings Inc. 82,966 1,480,943 Johnson Outdoors Inc. 29,249 1,160,893 Liberty TripAdvisor Holdings Inc. 373,152 5,615,938 Lindblad Expeditions Holdings Inc. 75,548 713,929 Malibu Boats Inc. 85,721 1,635,557 Marine Products Corp. 37,671 522,497 MCBC Holdings Inc. 40,427 589,426 Nautilus Inc. 155,998 2,885,963

Planet Fitness Inc. 135,357 2,720,676

36,613,252

Lodging - 0.4% Belmond Ltd. 429,387 5,732,316 Boyd Gaming Corp. 422,784 8,527,553 Caesars Entertainment Corp. 300,643 2,555,466 Century Casinos Inc. 109,418 900,510 ILG Inc. 587,373 10,672,567 La Quinta Holdings Inc. 449,151 6,382,436 Marcus Corp. 95,306 3,002,139 Monarch Casino & Resort Inc. 53,914 1,389,903

Red Lion Hotels Corp. 72,815 608,005

39,770,895

Machinery - Construction & Mining - 0.3% Astec Industries Inc. 100,443 6,775,885 Babcock & Wilcox Enterprises Inc. 239,347 3,970,767 Hyster-Yale Materials Handling Inc. 47,794 3,047,823

Joy Global Inc. 513,195 14,369,460

28,163,935

Machinery - Diversified - 0.7% Alamo Group Inc. 48,598 3,698,308 Albany International Corp. 144,162 6,674,701





December 31, 2016




Value ($)

Altra Industrial Motion Corp. 146,284 5,397,880 Applied Industrial Technologies Inc. 187,518 11,138,569 Briggs & Stratton Corp. 221,701 4,935,064 Chart Industries Inc. 161,604 5,820,976 Columbus McKinnon Corp. 103,422 2,796,531 DXP Enterprises Inc. 80,653 2,801,885 Gencor Industries Inc. 42,578 668,475 Gorman-Rupp Co. 107,487 3,326,723 Hurco Cos Inc. 32,889 1,088,626 Kadant Inc. 55,818 3,416,062 Lindsay Corp. 55,213 4,119,442 Manitowoc Co. Inc. 652,601 3,902,554 Power Solutions International Inc. 23,024 172,680 SPX FLOW Inc. 182,559 5,852,842

Tennant Co. 91,826 6,538,011

72,349,329

Media - 1.4% Central European Media Enterprises Ltd. 400,289 1,020,737 Daily Journal Corp. 5,835 1,410,903 Entercom Communications Corp. 130,834 2,001,760 Entravision Communications Corp. 334,390 2,340,730 EW Scripps Co. 310,649 6,004,845 Gannett Co. Inc. 611,312 5,935,840 Gray Television Inc. 334,292 3,627,068 Hemisphere Media Group Inc. 48,329 541,285 Houghton Mifflin Harcourt Co. 644,226 6,989,852 Liberty Braves Group 46,949 961,985 Liberty Braves Group 167,542 3,449,690 Liberty Media Group LLC 241,192 7,556,545 Liberty Media Group LLC 117,421 3,681,148 Media General Inc. 563,348 10,607,843 Meredith Corp. 195,759 11,579,145 MSG Networks Inc. 305,413 6,566,380 New York Times Co. 644,484 8,571,637 Nexstar Broadcasting Group Inc. 158,019 10,002,603 Radio One Inc. 126,694 367,413





December 31, 2016




Value ($)

Saga Communications Inc. 20,096 1,010,829 Salem Media Group Inc. 56,710 354,438 Scholastic Corp. 140,570 6,675,669 Sinclair Broadcast Group Inc. 341,789 11,398,663 Time Inc. 533,418 9,521,511 TiVo Corp. 599,423 12,527,941 Townsquare Media Inc. 44,188 459,997 tronc Inc. 143,848 1,995,172

World Wrestling Entertainment Inc. 185,496 3,413,126

140,574,755

Metal Fabrication/Hardware - 1.0% Advanced Drainage Systems Inc. 180,332 3,714,839 Ampco-Pittsburgh Corp. 43,923 735,710 Atkore International Group Inc. 62,000 1,482,420 CIRCOR International Inc. 85,135 5,523,559 Commercial Metals Co. 595,616 12,972,516 Global Brass & Copper Holdings Inc. 109,340 3,750,362 Haynes International Inc. 65,551 2,818,037 Lawson Products Inc. 24,619 585,932 Mueller Industries Inc. 293,131 11,713,515 Mueller Water Products Inc. 826,294 10,997,973 NN Inc. 134,738 2,566,759 Olympic Steel Inc. 55,379 1,341,833 Omega Flex Inc. 15,847 883,629 RBC Bearings Inc. 116,902 10,849,675 Rexnord Corp. 439,497 8,609,746 Sun Hydraulics Corp. 120,247 4,806,273 TimkenSteel Corp. 201,266 3,115,598

Worthington Industries Inc. 241,332 11,448,790

97,917,166

Mining - 0.7% Century Aluminum Co. 268,527 2,298,591 Coeur Mining Inc. 928,291 8,438,165 Ferroglobe PLC 343,398 3,719,000 Ferroglobe Representation & Warranty Insurance Trust1 343,398 0





December 31, 2016




Value ($)

Gold Resource Corp. 256,511 1,115,823 Hecla Mining Co. 1,969,286 10,319,059 Hycroft Mining Corp.1 9 0 Kaiser Aluminum Corp. 91,909 7,140,410 Materion Corp. 104,351 4,132,300 Smart Sand Inc. 61,200 1,012,860 Stillwater Mining Co. 628,950 10,132,385 United States Lime & Minerals Inc. 10,469 793,027

US Silica Holdings Inc. 383,997 21,764,950

70,866,570

Miscellaneous Manufacturing - 1.9% Actuant Corp. 304,353 7,897,960 American Outdoor Brands Corp. 281,860 5,941,609 American Railcar Industries Inc. 42,474 1,923,647 AZZ Inc. 134,745 8,610,206 Barnes Group Inc. 259,400 12,300,748 Brink's Co. 242,562 10,005,683 Chase Corp. 37,633 3,144,237 CLARCOR Inc. 251,273 20,722,484 EnPro Industries Inc. 115,048 7,749,633 ESCO Technologies Inc. 131,218 7,433,500 Fabrinet 180,647 7,280,074 Federal Signal Corp. 306,873 4,790,288 FreightCar America Inc. 63,319 945,353 GP Strategies Corp. 66,568 1,903,845 Griffon Corp. 173,799 4,553,534 Handy & Harman Ltd. 10,890 278,240 Harsco Corp. 420,083 5,713,129 John Bean Technologies Corp. 150,318 12,919,832 LSB Industries Inc. 113,430 955,081 Lydall Inc. 86,469 5,348,108 Matthews International Corp. 168,358 12,938,312 NL Industries Inc. 41,055 334,598 Park-Ohio Holdings Corp. 47,431 2,020,561 Proto Labs Inc. 126,519 6,496,751 Raven Industries Inc. 190,754 4,807,001





December 31, 2016




Value ($)

SPX Corp. 215,672 5,115,740 Standex International Corp. 65,240 5,731,334 Sturm Ruger & Co. Inc. 94,467 4,978,411 Tredegar Corp. 138,185 3,316,440 Trimas Corp. 239,295 5,623,433

Trinseo SA 147,884 8,769,521

190,549,293

Multi-National - 0.0%

Banco Latinoamericano de Comercio Exterior SA 156,965 4,621,050

Office Furnishings - 0.5% Herman Miller Inc. 312,827 10,698,683 HNI Corp. 233,466 13,055,419 Interface Inc. 330,773 6,135,839 Kimball International Inc. 185,771 3,262,139 Knoll Inc. 245,995 6,870,640

Steelcase Inc. 446,448 7,991,419

48,014,139

Office/Business Equipment - 0.0%

Eastman Kodak Co. 87,001 1,348,516

Oil & Gas - 1.9% Abraxas Petroleum Corp. 603,029 1,549,785 Adams Resources & Energy Inc. 11,688 463,429 Alon USA Energy Inc. 159,792 1,818,433 Atwood Oceanics Inc. 317,710 4,171,532 Bill Barrett Corp. 262,763 1,836,713 California Resources Corp. 162,613 3,462,031 Callon Petroleum Co. 746,119 11,467,849 Carrizo Oil & Gas Inc. 318,969 11,913,492 Clayton Williams Energy Inc. 31,575 3,765,635 Cobalt International Energy Inc. 2,093,867 2,554,518 Contango Oil & Gas Co. 98,906 923,782





December 31, 2016




Value ($)

CVR Energy Inc. 81,209 2,061,897 Delek US Holdings Inc. 323,673 7,790,809 Denbury Resources Inc. 1,810,955 6,664,314 Eclipse Resources Corp. 315,091 841,293 EP Energy Corp. 198,630 1,301,027 Erin Energy Corp. 53,277 162,495 Evolution Petroleum Corp. 104,929 1,049,290 EXCO Resources Inc. 799,585 698,597 Fairmount Santrol Holdings Inc. 470,994 5,553,019 Isramco Inc. 5,845 726,534 Jones Energy Inc. 230,924 1,154,620 Matador Resources Co. 425,374 10,957,634 Northern Oil and Gas Inc. 314,855 865,851 Oasis Petroleum Inc. 1,208,093 18,290,528 Panhandle Oil and Gas Inc. 80,215 1,889,063 Par Pacific Holdings Inc. 160,386 2,332,012 Parker Drilling Co. 616,927 1,604,010 PDC Energy Inc. 290,314 21,070,990 Ring Energy Inc. 183,404 2,382,418 RSP Permian Inc. 516,703 23,055,288 Sanchez Energy Corp. 293,803 2,653,041 Seadrill Ltd. 1,961,236 6,687,815 Synergy Resources Corp. 958,213 8,537,678 Trecora Resources 102,225 1,415,816 Unit Corp. 263,871 7,090,214 W&T Offshore Inc. 182,019 504,193

Western Refining Inc. 422,187 15,979,778

197,247,423

Oil & Gas Services - 0.9% Archrock Inc. 361,612 4,773,278 Bristow Group Inc. 171,620 3,514,778 CARBO Ceramics Inc. 112,514 1,176,896 Dawson Geophysical Co. 103,464 831,851 Era Group Inc. 105,196 1,785,176 Exterran Corp. 174,717 4,175,736 Flotek Industries Inc. 284,034 2,667,079





December 31, 2016




Value ($)

Forum Energy Technologies Inc. 310,288 6,826,336 Geospace Technologies Corp. 69,130 1,407,487 Helix Energy Solutions Group Inc. 587,399 5,180,859 Independence Contract Drilling Inc. 153,536 1,028,691 Mammoth Energy Services Inc. 40,500 615,600 Matrix Service Co. 138,554 3,145,176 McDermott International Inc. 1,265,221 9,349,983 Natural Gas Services Group Inc. 69,815 2,244,552 Newpark Resources Inc. 456,253 3,421,898 NOW Inc. 557,138 11,404,615 Oil States International Inc. 265,088 10,338,432 PHI Inc. 73,927 1,332,165 Pioneer Energy Services Corp. 325,144 2,227,236 SEACOR Holdings Inc. 84,564 6,027,722 Tesco Corp. 218,976 1,806,552 TETRA Technologies Inc. 473,638 2,377,663 Thermon Group Holdings Inc. 168,082 3,208,685

Willbros Group Inc. 221,861 718,830

91,587,276

Packaging & Containers - 0.2% AEP Industries Inc. 21,518 2,498,240 Greif Inc. 134,279 6,889,855 Greif Inc. NPV 29,380 1,984,619 KapStone Paper and Packaging Corp. 457,546 10,088,889 Multi Packaging Solutions International Ltd. 96,826 1,380,739

UFP Technologies Inc. 34,094 867,692

23,710,034

Pharmaceuticals - 3.1% AcelRx Pharmaceuticals Inc. 181,549 472,027 Aclaris Therapeutics Inc. 58,480 1,587,147 Adamas Pharmaceuticals Inc. 85,504 1,445,018 Aerie Pharmaceuticals Inc. 148,664 5,626,932 Agile Therapeutics Inc. 44,071 251,205 Aimmune Therapeutics Inc. 134,893 2,758,562 Akebia Therapeutics Inc. 183,989 1,915,325





December 31, 2016




Value ($)

Amicus Therapeutics Inc. 737,811 3,666,921 Amphastar Pharmaceuticals Inc. 179,773 3,311,419 Ampio Pharmaceuticals Inc. 257,375 231,689 Anika Therapeutics Inc. 72,366 3,543,039 Anthera Pharmaceuticals Inc. 207,773 134,865 Array Biopharma Inc. 854,457 7,510,677 AstraZeneca PLC1 18,900 0 Avexis Inc. 26,126 1,246,994 Axovant Sciences Ltd. 125,425 1,557,779 Axsome Therapeutics Inc. 57,003 384,770 Bio-Path Holdings Inc. 438,855 592,454 BioScrip Inc. 472,574 491,477 Biospecifics Technologies Corp. 22,145 1,233,477 Cara Therapeutics Inc. 100,242 931,248 Catalent Inc. 516,768 13,932,065 Cempra Inc. 231,043 646,920 Chelsea Therapeutics International Ltd.1 273,217 0 Chimerix Inc. 227,454 1,046,288 Cidara Therapeutics Inc. 25,662 266,885 Clovis Oncology Inc. 167,603 7,444,925 Collegium Pharmaceutical Inc. 69,399 1,080,542 Concert Pharmaceuticals Inc. 81,600 839,664 Corcept Therapeutics Inc. 382,599 2,777,669 Cubist Pharmaceuticals Inc.1 231,244 0 Depomed Inc. 319,791 5,762,634 Diplomat Pharmacy Inc. 234,647 2,956,552 Durata Therapeutics Inc.1 80,912 0 Durect Corp. 696,691 933,566 Eagle Pharmaceuticals Inc. 46,440 3,684,550 Egalet Corp. 113,615 869,155 Enanta Pharmaceuticals Inc. 80,697 2,703,350 FibroGen Inc. 268,224 5,739,994 Flexion Therapeutics Inc. 138,456 2,633,433 Global Blood Therapeutics Inc. 88,832 1,283,622 Heron Therapeutics Inc. 166,197 2,177,181 Heska Corp. 32,687 2,340,389 Horizon Pharma PLC 829,206 13,416,553





December 31, 2016




Value ($)

Ignyta Inc. 165,573 877,537 Immune Design Corp. 55,715 306,433 Impax Laboratories Inc. 375,112 4,970,234 Inotek Pharmaceuticals Corp. 89,506 545,987 Insys Therapeutics Inc. 122,959 1,131,223 Intra-Cellular Therapies Inc. 176,083 2,657,092 Ironwood Pharmaceuticals Inc. 662,659 10,132,056 Kadmon Holdings Inc. 41,400 221,490 Keryx Biopharmaceuticals Inc. 405,082 2,373,781 La Jolla Pharmaceutical Co. 70,358 1,233,376 Lannett Co. Inc. 145,027 3,197,845 Lifevantage Corp. 70,472 574,347 Lipocine Inc. 84,918 312,498 MannKind Corp. 1,660,853 1,057,465 MediciNova Inc. 152,365 918,761 Minerva Neurosciences Inc. 84,921 997,822 Mirati Therapeutics Inc. 49,726 236,199 MyoKardia Inc. 48,818 632,193 Myovant Sciences Ltd. 54,900 682,956 NantKwest Inc. 55,767 318,987 Natural Grocers by Vitamin Cottage Inc. 51,379 610,896 Natural Health Trends Corp. 39,726 987,191 Nature's Sunshine Products Inc. 61,547 923,205 Nektar Therapeutics 732,179 8,983,836 Neogen Corp. 193,755 12,787,830 Neos Therapeutics Inc. 45,208 264,467 Nutraceutical International Corp. 46,658 1,630,697 Omega Protein Corp. 114,582 2,870,279 Ophthotech Corp. 165,764 800,640 Osiris Therapeutics Inc. 99,080 486,483 Owens & Minor Inc. 321,964 11,362,110 Pacira Pharmaceuticals Inc. 186,693 6,030,184 PharMerica Corp. 154,919 3,896,213 Phibro Animal Health Corp. 98,637 2,890,064 Portola Pharmaceuticals Inc. 257,038 5,767,933 PRA Health Sciences Inc. 124,156 6,843,479 Prestige Brands Holdings Inc. 277,563 14,461,032





December 31, 2016




Value ($)

Progenics Pharmaceuticals Inc. 352,891 3,048,978 Protagonist Therapeutics Inc. 38,700 851,013 Proteostasis Therapeutics Inc. 36,582 448,495 Ra Pharmaceuticals Inc. 42,400 644,056 Radius Health Inc. 166,908 6,347,511 Reata Pharmaceuticals Inc. 29,185 637,109 Regulus Therapeutics Inc. 198,656 446,976 Revance Therapeutics Inc. 97,232 2,012,702 Sarepta Therapeutics Inc. 256,041 7,023,205 Sciclone Pharmaceuticals Inc. 263,480 2,845,584 Seres Therapeutics Inc. 91,458 905,434 Shire PLC1 758,890 842,368 Sorrento Therapeutics Inc. 142,994 700,671 Spectrum Pharmaceuticals Inc. 415,937 1,842,601 Sucampo Pharmaceuticals Inc. 125,010 1,693,886 Supernus Pharmaceuticals Inc. 242,203 6,115,626 Synergy Pharmaceuticals Inc. 959,691 5,844,518 Synutra International Inc. 100,425 537,274 Syros Pharmaceuticals Inc. 23,800 289,408 Teligent Inc. 200,501 1,325,312 TESARO Inc. 147,564 19,844,407 Tetraphase Pharmaceuticals Inc. 182,171 734,149 TG Therapeutics Inc. 204,622 951,492 TherapeuticsMD Inc. 769,970 4,442,727 Titan Pharmaceuticals Inc. 104,233 416,932 Trevena Inc. 229,474 1,349,307 USANA Health Sciences Inc. 54,626 3,343,111 Vanda Pharmaceuticals Inc. 206,894 3,299,959 Vital Therapies Inc. 110,697 481,532 Voyager Therapeutics Inc. 63,626 810,595 vTv Therapeutics Inc. 31,532 152,300 Xencor Inc. 186,985 4,921,445 Zafgen Inc. 94,961 301,976

Zogenix Inc. 126,398 1,535,736

313,392,178





December 31, 2016




Value ($)

Pipelines - 0.1%

SemGroup Corp. 337,831 14,104,444

Private Equity - 0.2% Fifth Street Asset Management Inc. 22,059 147,795

Gramercy Property Trust 2,194,224 20,142,976

20,290,771

Real Estate - 0.6% Alexander & Baldwin Inc. 244,454 10,968,651 Community Healthcare Trust Inc. 64,714 1,490,363 Consolidated-Tomoka Land Co. 21,406 1,143,509 Farmland Partners Inc. 59,736 666,654 Forestar Group Inc. 182,358 2,425,361 Four Corners Property Trust Inc. 309,798 6,357,055 FRP Holdings Inc. 33,903 1,278,143 HFF Inc. 194,018 5,869,045 Kennedy-Wilson Holdings Inc. 431,047 8,836,464 Marcus & Millichap Inc. 77,320 2,065,990 RE/MAX Holdings Inc. 91,067 5,099,752 RMR Group Inc. 26,464 1,045,328 St. Joe Co. 275,106 5,227,014 Stratus Properties Inc. 31,918 1,045,315 Trinity Place Holdings Inc. 99,364 921,104

Xenia Hotels & Resorts Inc. 534,885 10,387,467

64,827,215

Real Estate Investment Trusts (REITs) - 7.6% Acadia Realty Trust 413,830 13,523,964 AG Mortgage Investment Trust Inc. 144,952 2,480,129 Agree Realty Corp. 130,543 6,011,505 Alexander's Inc. 11,080 4,729,720 Altisource Residential Corp. 304,132 3,357,617 American Assets Trust Inc. 203,813 8,780,264 Anworth Mortgage Asset Corp. 493,605 2,551,938 Apollo Commercial Real Estate Finance Inc. 368,829 6,129,938





December 31, 2016




Value ($)

Ares Commercial Real Estate Corp. 137,790 1,891,857 Armada Hoffler Properties Inc. 175,650 2,559,221 ARMOUR Residential REIT Inc. 190,892 4,140,447 Ashford Hospitality Prime Inc. 147,104 2,007,970 Ashford Hospitality Trust Inc. 423,009 3,282,550 Bluerock Residential Growth REIT Inc. 87,372 1,198,744 Capstead Mortgage Corp. 498,270 5,077,371 CareTrust REIT Inc. 331,818 5,083,452 CatchMark Timber Trust Inc. 194,948 2,195,114 CBL & Associates Properties Inc. 871,863 10,026,425 Cedar Shopping Centers Inc. 423,760 2,767,153 Chatham Lodging Trust 191,163 3,928,400 Chesapeake Lodging Trust 308,122 7,968,035 City Office REIT Inc. 96,436 1,270,062 Colony Capital Inc. 585,846 11,863,382 Colony Starwood Homes 335,921 9,677,884 CorEnergy Infrastructure Trust Inc. 63,797 2,225,239 Coresite Realty Corp. 172,688 13,706,247 Cousins Properties Inc. 1,762,853 15,001,879 CYS Investments Inc. 780,579 6,033,876 DiamondRock Hospitality Co. 1,035,118 11,934,911 DuPont Fabros Technology Inc. 387,111 17,005,786 Dynex Capital Inc. 240,751 1,641,922 Easterly Government Properties Inc. 165,702 3,317,354 EastGroup Properties Inc. 163,179 12,049,137 Education Realty Trust Inc. 381,994 16,158,346 FelCor Lodging Trust Inc. 723,507 5,795,291 First Industrial Realty Trust Inc. 604,502 16,956,281 First Potomac Realty Trust 296,613 3,253,845 Franklin Street Properties Corp. 527,004 6,829,972 Geo Group Inc. 382,905 13,757,777 Getty Realty Corp. 137,046 3,493,303 Gladstone Commercial Corp. 112,503 2,261,310 Global Medical REIT Inc. 77,500 691,300 Global Net Lease Inc. 901,938 7,062,175 Government Properties Income Trust 360,445 6,871,884 Great Ajax Corp. 67,923 901,338





December 31, 2016




Value ($)

Healthcare Realty Trust Inc. 595,383 18,052,013 Hersha Hospitality Trust 226,696 4,873,964 Hudson Pacific Properties Inc. 558,258 19,416,213 Independence Realty Trust Inc. 286,658 2,556,989 InfraREIT Inc. 204,389 3,660,607 Invesco Mortgage Capital Inc. 585,486 8,548,096 Investors Real Estate Trust 616,610 4,396,429 iStar Inc. 383,722 4,746,641 Kite Realty Group Trust 427,723 10,042,936 LaSalle Hotel Properties 558,073 17,004,484 Lexington Realty Trust 1,190,586 12,858,329 LTC Properties Inc. 196,599 9,236,221 Mack-Cali Realty Corp. 467,164 13,557,099 MedEquities Realty Trust Inc. 107,100 1,188,810 Medical Properties Trust Inc. 1,523,074 18,733,810 Monmouth Real Estate Investment Corp. 323,033 4,923,023 Monogram Residential Trust Inc. 867,819 9,389,802 MTGE Investment Corp. 241,076 3,784,893 National Health Investors Inc. 190,707 14,144,738 National Storage Affiliates Trust 178,845 3,947,109 New Residential Investment Corp. 1,268,682 19,943,681 New Senior Investment Group Inc. 397,058 3,887,198 New York Mortgage Trust Inc. 577,646 3,812,464 New York REIT Inc. 863,560 8,739,227 NexPoint Residential Trust Inc. 87,944 1,964,669 NorthStar Realty Europe Corp. 305,998 3,846,395 One Liberty Properties Inc. 68,707 1,725,920 Orchid Island Capital Inc. 124,604 1,349,461 Owens Realty Mortgage Inc. 51,439 952,650 Parkway Inc. 217,281 4,834,502 Pebblebrook Hotel Trust 366,970 10,917,358 Pennsylvania Real Estate Investment Trust 348,526 6,608,053 PennyMac Mortgage Investment Trust 354,509 5,803,312 Physicians Realty Trust 691,768 13,115,921 Potlatch Corp. 212,408 8,846,793 Preferred Apartment Communities Inc. 106,814 1,592,597 PS Business Parks Inc. 101,043 11,773,530





December 31, 2016




Value ($)

QTS Realty Trust Inc. 240,309 11,931,342 RAIT Financial Trust 468,341 1,573,626 Ramco-Gershenson Properties Trust 410,608 6,807,881 Redwood Trust Inc. 413,373 6,287,403 Resource Capital Corp. 168,957 1,407,412 Retail Opportunity Investments Corp. 555,369 11,734,947 Rexford Industrial Realty Inc. 344,956 7,999,530 RLJ Lodging Trust 637,771 15,619,012 Ryman Hospitality Properties Inc. 222,758 14,035,982 Sabra Health Care REIT Inc. 332,229 8,113,032 Saul Centers Inc. 49,407 3,291,000 Select Income REIT 325,964 8,214,293 Seritage Growth Properties 129,661 5,537,821 Silver Bay Realty Trust Corp. 176,696 3,028,569 STAG Industrial Inc. 393,755 9,398,932 Summit Hotel Properties Inc. 449,608 7,207,216 Sunstone Hotel Investors Inc. 1,134,585 17,302,421 Terreno Realty Corp. 223,578 6,369,737 Tier REIT Inc. 245,091 4,262,132 UMH Properties Inc. 100,883 1,518,289 Universal Health Realty Income Trust 64,221 4,212,255 Urban Edge Properties 468,727 12,894,680 Urstadt Biddle Properties Inc. 143,272 3,454,288 Washington Prime Group Inc. 970,321 10,101,042 Washington Real Estate Investment Trust 378,982 12,388,922 Western Asset Mortgage Capital Corp. 208,661 2,101,216

Whitestone REIT 125,285 1,801,598

782,822,830

Retail - 4.6% Abercrombie & Fitch Co. 354,138 4,249,656 American Eagle Outfitters Inc. 862,938 13,090,769 America's Car-Mart Inc. 41,142 1,799,963 Asbury Automotive Group Inc. 111,677 6,890,471 Ascena Retail Group Inc. 891,454 5,518,100 At Home Group Inc. 42,500 621,775 Barnes & Noble Education Inc. 205,210 2,353,759





December 31, 2016




Value ($)

Barnes & Noble Inc. 326,140 3,636,461 Big 5 Sporting Goods Corp. 92,090 1,597,762 Big Lots Inc. 236,067 11,852,924 Biglari Holdings Inc. 5,546 2,624,367 BJ's Restaurants Inc. 119,831 4,709,358 Bloomin' Brands Inc. 589,075 10,621,022 BMC Stock Holdings Inc. 290,007 5,655,137 Bob Evans Farms Inc. 104,557 5,563,478 Bojangles' Inc. 43,076 803,367 Boot Barn Holdings Inc. 71,424 894,228 Buckle Inc. 149,200 3,401,760 Buffalo Wild Wings Inc. 98,267 15,172,425 Build-A-Bear Workshop Inc. 69,789 959,599 Caleres Inc. 222,510 7,302,778 Carrols Restaurant Group Inc. 171,740 2,619,035 Cato Corp. 133,048 4,002,084 Cheesecake Factory Inc. 240,724 14,414,553 Chico's FAS Inc. 691,467 9,950,210 Children's Place Inc. 99,314 10,025,748 Chuy's Holdings Inc. 86,684 2,812,896 Citi Trends Inc. 88,451 1,666,417 Conn's Inc. 121,019 1,530,890 Container Store Group Inc. 92,163 585,235 Cracker Barrel Old Country Store Inc. 99,430 16,602,821 Dave & Buster's Entertainment Inc. 195,331 10,997,135 Del Frisco's Restaurant Group Inc. 120,405 2,046,885 Del Taco Restaurants Inc. 118,690 1,675,903 Denny's Corp. 414,766 5,321,448 Destination XL Group Inc. 182,413 775,255 DineEquity Inc. 90,086 6,936,622 DSW Inc. 348,134 7,885,235 Duluth Holdings Inc. 51,840 1,316,736 El Pollo Loco Holdings Inc. 103,854 1,277,404 Express Inc. 381,118 4,100,830 Ezcorp Inc. 272,122 2,898,099 Fiesta Restaurant Group Inc. 139,466 4,163,060 Finish Line Inc. 216,310 4,068,791





December 31, 2016




Value ($)

FirstCash Inc. 247,008 11,609,376 Five Below Inc. 276,487 11,048,421 Fogo De Chao Inc. 25,768 369,771 Francesca's Holdings Corp. 210,945 3,803,338 Fred's Inc. 184,656 3,427,215 Freshpet Inc. 117,932 1,197,010 Gaia Inc. 34,553 298,883 Genesco Inc. 110,960 6,890,616 GMS Inc. 36,505 1,068,866 GNC Holdings Inc. 352,166 3,887,913 Group 1 Automotive Inc. 108,783 8,478,547 Guess? Inc. 312,167 3,777,221 Habit Restaurants Inc. 75,093 1,295,354 Haverty Furniture Cos Inc. 103,427 2,451,220 Hibbett Sports Inc. 119,523 4,458,208 HSN Inc. 163,940 5,623,142 J Alexander's Holdings Inc. 69,693 749,200 Jack in the Box Inc. 173,110 19,326,000 Jamba Inc. 65,006 669,562 Kirkland's Inc. 77,617 1,203,840 Kona Grill Inc. 37,286 467,939 Lithia Motors Inc. 122,043 11,817,424 Luby's Inc. 99,754 426,947 Lumber Liquidators Holdings Inc. 140,269 2,207,834 MarineMax Inc. 125,246 2,423,510 Movado Group Inc. 80,823 2,323,661 Nathan's Famous Inc. 15,617 1,013,543 Noodles & Co. 56,037 229,752 Office Depot Inc. 2,870,586 12,975,049 Ollie's Bargain Outlet Holdings Inc. 108,456 3,085,573 Papa John's International Inc. 140,467 12,021,166 Party City Holdco Inc. 142,492 2,023,386 PC Connection Inc. 58,113 1,632,394 PetMed Express Inc. 116,068 2,677,689 Pier 1 Imports Inc. 447,391 3,820,719 Popeyes Louisiana Kitchen Inc. 115,181 6,966,147 Potbelly Corp. 112,613 1,452,708





December 31, 2016




Value ($)

Pricesmart Inc. 102,990 8,599,665 Red Robin Gourmet Burgers Inc. 70,229 3,960,916 Regis Corp. 189,500 2,751,540 Ruby Tuesday Inc. 299,729 968,125 Rush Enterprises Inc. 151,214 4,823,727 Rush Enterprises Inc. 33,772 1,042,542 Ruth's Hospitality Group Inc. 168,753 3,088,180 Sears Holdings Corp. 57,783 536,804 Sears Hometown and Outlet Stores Inc. 57,686 271,124 Shake Shack Inc. 80,623 2,885,497 Shoe Carnival Inc. 81,403 2,196,253 Sonic Automotive Inc. 164,044 3,756,608 Sonic Corp. 245,055 6,496,408 Sportsman's Warehouse Holdings Inc. 143,402 1,346,545 Stage Stores Inc. 149,224 652,109 Stein Mart Inc. 169,609 929,457 Systemax Inc. 65,342 573,049 Tailored Brands Inc. 255,426 6,526,134 Texas Roadhouse Inc. 343,988 16,593,981 Tile Shop Holdings Inc. 167,147 3,267,724 Tilly's Inc. 58,927 777,247 Tuesday Morning Corp. 238,354 1,287,112 Vera Bradley Inc. 107,021 1,254,286 Vitamin Shoppe Inc. 126,974 3,015,633 West Marine Inc. 93,004 973,752 Wingstop Inc. 80,721 2,388,534 Winmark Corp. 12,296 1,551,140 Zoe's Kitchen Inc. 97,412 2,336,914

Zumiez Inc. 94,559 2,066,114

473,108,715

Rights/Warrants - 0.0% Asterias Biotherapeutics Inc. 10,919 5,951 Forest Laboratories Inc. CVR1 79,028 0

Tobira Therapeutics Inc. CVR1 45,485 624,964

630,915





December 31, 2016




Value ($)

Savings & Loans - 2.1% Astoria Financial Corp. 473,976 8,839,652 Banc of California Inc. 250,022 4,337,882 Bank Mutual Corp. 230,723 2,180,332 BankFinancial Corp. 89,726 1,329,739 Bear State Financial Inc. 60,712 616,227 Beneficial Bancorp Inc. 368,526 6,780,878 Berkshire Hills Bancorp Inc. 172,607 6,360,568 BofI Holding Inc. 309,195 8,827,517 Brookline Bancorp Inc. 360,422 5,910,921 BSB Bancorp Inc. 36,519 1,057,225 Capitol Federal Financial Inc. 675,702 11,122,055 Charter Financial Corp. 80,820 1,347,269 Clifton Bancorp Inc. 137,328 2,323,590 Dime Community Bancshares Inc. 158,881 3,193,508 ESSA Bancorp Inc. 41,873 658,244 EverBank Financial Corp. 539,349 10,490,338 First Defiance Financial Corp. 49,888 2,531,317 First Financial Northwest Inc. 46,656 920,989 Flagstar Bancorp Inc. 110,343 2,972,640 Flushing Financial Corp. 140,846 4,139,464 Greene County Bancorp Inc. 15,520 355,408 Hingham Institution for Savings 5,964 1,173,596 Home Bancorp Inc. 29,477 1,138,107 HomeStreet Inc. 122,173 3,860,667 HomeTrust Bancshares Inc. 94,596 2,450,036 Investors Bancorp Inc. 1,577,343 22,003,935 Lake Sunapee Bank Group 40,214 948,648 Meridian Bancorp Inc. 271,342 5,128,364 Meta Financial Group Inc. 39,969 4,112,810 MutualFirst Financial Inc. 27,916 924,020 Northfield Bancorp Inc. 236,940 4,731,692 Northwest Bancshares Inc. 501,599 9,043,830 Oritani Financial Corp. 219,782 4,120,913 Pacific Premier Bancorp Inc. 142,125 5,024,119 Provident Financial Holdings Inc. 33,870 684,851 Provident Financial Services Inc. 327,690 9,273,627





December 31, 2016




Value ($)

SI Financial Group Inc. 57,100 879,340 Southern Missouri Bancorp Inc. 29,965 1,060,162 Sterling Bancorp 655,847 15,346,820 Territorial Bancorp Inc. 42,097 1,382,465 United Community Financial Corp. 257,337 2,300,593 United Financial Bancorp Inc. 248,447 4,511,798 Washington Federal Inc. 481,959 16,555,292 Waterstone Financial Inc. 135,659 2,496,126

WSFS Financial Corp. 148,864 6,899,846

212,347,420

Semiconductors - 3.5% Advanced Micro Devices Inc. 3,920,619 44,459,783 Alpha & Omega Semiconductor Ltd. 92,724 1,972,239 Ambarella Inc. 165,609 8,964,415 Amkor Technology Inc. 520,632 5,492,668 Applied Micro Circuits Corp. 419,962 3,464,687 Axcelis Technologies Inc. 146,234 2,127,705 Brooks Automation Inc. 353,683 6,037,369 Cabot Microelectronics Corp. 123,905 7,827,079 Cavium Inc. 340,463 21,258,510 Ceva Inc. 106,343 3,567,808 Cirrus Logic Inc. 325,025 18,376,914 Cohu Inc. 134,537 1,870,064 Diodes Inc. 194,167 4,984,267 DSP Group Inc. 112,579 1,469,156 Emcore Corp. 128,256 1,115,827 Entegris Inc. 729,244 13,053,468 Exar Corp. 195,031 2,102,434 Formfactor Inc. 369,868 4,142,522 GigPeak Inc. 335,859 846,365 Impinj Inc. 28,500 1,007,190 Inphi Corp. 206,595 9,218,269 Integrated Device Technology Inc. 695,665 16,389,867 Intersil Corp. 691,673 15,424,308 InvenSense Inc. 428,004 5,474,171 IXYS Corp. 130,827 1,556,841





December 31, 2016




Value ($)

Kopin Corp. 388,799 1,104,189 Lattice Semiconductor Corp. 624,741 4,598,094 MACOM Technology Solutions Holdings Inc. 121,474 5,621,817 MaxLinear Inc. 287,714 6,272,165 Microsemi Corp. 596,614 32,199,258 MKS Instruments Inc. 272,702 16,198,499 Monolithic Power Systems Inc. 202,591 16,598,281 Nanometrics Inc. 130,880 3,279,853 Photronics Inc. 333,101 3,764,041 Power Integrations Inc. 148,711 10,090,041 Rambus Inc. 570,366 7,853,940 Rudolph Technologies Inc. 160,448 3,746,461 Semtech Corp. 335,380 10,581,239 Sigma Designs Inc. 184,926 1,109,556 Silicon Laboratories Inc. 215,321 13,995,865 Synaptics Inc. 190,315 10,197,078 Ultra Clean Holdings Inc. 173,524 1,683,183 Ultratech Inc. 122,440 2,936,111 Veeco Instruments Inc. 207,157 6,038,627

Xcerra Corp. 277,444 2,119,672

362,191,896

Software - 3.7% 2U Inc. 188,186 5,673,808 ACI Worldwide Inc. 598,955 10,871,033 Actua Corp. 107,001 1,498,014 Acxiom Corp. 402,424 10,784,963 Amber Road Inc. 79,801 724,593 American Software Inc. 136,577 1,410,840 Appfolio Inc. 36,296 865,660 Apptio Inc. 36,100 668,933 Aspen Technology Inc. 427,885 23,396,752 Avid Technology Inc. 162,906 716,786 Benefitfocus Inc. 66,080 1,962,576 Blackbaud Inc. 241,831 15,477,184 Blackline Inc. 51,700 1,428,471 Bottomline Technologies Inc. 209,538 5,242,641





December 31, 2016




Value ($)

Brightcove Inc. 151,721 1,221,354 BroadSoft Inc. 151,499 6,249,334 Callidus Software Inc. 317,558 5,334,974 Castlight Health Inc. 195,229 966,384 CommVault Systems Inc. 205,079 10,541,061 Computer Programs & Systems Inc. 60,966 1,438,798 Cornerstone OnDemand Inc. 262,737 11,116,402 Coupa Software Inc. 44,500 1,112,945 CSG Systems International Inc. 167,777 8,120,407 Digi International Inc. 136,980 1,883,475 Ebix Inc. 133,627 7,623,420 Ellie Mae Inc. 169,195 14,158,238 Envestnet Inc. 212,573 7,493,198 Everbridge Inc. 45,100 832,095 Evolent Health Inc. 81,247 1,202,456 Exa Corp. 71,156 1,092,956 Fair Isaac Corp. 160,016 19,077,108 Five9 Inc. 169,446 2,404,439 Glu Mobile Inc. 593,614 1,151,611 Guidance Software Inc. 97,945 693,451 Hortonworks Inc. 215,727 1,792,691 HubSpot Inc. 148,070 6,959,290 Imperva Inc. 147,317 5,656,973 InnerWorkings Inc. 206,044 2,029,533 Instructure Inc. 53,782 1,051,438 Jive Software Inc. 267,508 1,163,660 Majesco 500 3,040 Mantech International Corp. 127,939 5,405,423 Medidata Solutions Inc. 282,240 14,018,861 MicroStrategy Inc. 50,388 9,946,591 MINDBODY Inc. 73,791 1,571,748 MobileIron Inc. 212,193 795,724 Model N Inc. 113,936 1,008,334 Monotype Imaging Holdings Inc. 208,951 4,147,677 NantHealth Inc. 33,800 335,972 New Relic Inc. 113,039 3,193,352 Omnicell Inc. 184,990 6,271,161





December 31, 2016




Value ($)

Park City Group Inc. 46,557 591,274 Paycom Software Inc. 225,863 10,274,508 PDF Solutions Inc. 142,908 3,222,575 pdvWireless Inc. 64,194 1,447,575 Pegasystems Inc. 186,765 6,723,540 Planet Payment Inc. 217,176 886,078 Progress Software Corp. 261,552 8,351,355 Proofpoint Inc. 209,694 14,814,881 PROS Holdings Inc. 122,724 2,641,020 QAD Inc. - Class B 37,772 1,148,269 Quality Systems Inc. 267,295 3,514,929 RealPage Inc. 278,404 8,352,120 Rosetta Stone Inc. 99,071 882,723 Sapiens International Corp. NV 109,039 1,563,619 SPS Commerce Inc. 85,787 5,995,653 Synchronoss Technologies Inc. 211,877 8,114,889 SYNNEX Corp. 151,992 18,394,072 Tabula Rasa HealthCare Inc. 25,900 387,982 Take-Two Interactive Software Inc. 429,013 21,146,051 Tangoe Inc. 190,659 1,502,393 Verint Systems Inc. 319,646 11,267,522 Workiva Inc. 116,036 1,583,891

Xactly Corp. 117,129 1,288,419

383,883,166

Storage/Warehousing - 0.1% Mobile Mini Inc. 233,492 7,063,133

Wesco Aircraft Holdings Inc. 292,358 4,370,752

11,433,885

Telecommunications - 2.7% A10 Networks Inc. 225,587 1,874,628 Acacia Communications Inc. 26,842 1,657,494 ADTRAN Inc. 256,217 5,726,450 Aerohive Networks Inc. 122,692 699,344 ATN International Inc. 55,018 4,408,592 Black Box Corp. 83,730 1,276,883





December 31, 2016




Value ($)

CalAmp Corp. 187,641 2,720,795 Calix Inc. 225,880 1,739,276 Ciena Corp. 710,828 17,351,311 Cincinnati Bell Inc. 220,312 4,923,973 Clearfield Inc. 60,614 1,254,710 Comtech Telecommunications Corp. 101,643 1,204,470 Consolidated Communications Holdings Inc. 257,796 6,921,823 DigitalGlobe Inc. 329,778 9,448,140 EarthLink Holdings Corp. 555,822 3,134,836 Extreme Networks Inc. 548,933 2,761,133 Fairpoint Communications Inc. 108,470 2,028,389 Finisar Corp. 551,621 16,697,568 General Communication Inc. 147,034 2,859,811 Gigamon Inc. 166,790 7,597,285 Globalstar Inc. 2,014,475 3,182,871 Gogo Inc. 293,392 2,705,074 GTT Communications Inc. 136,332 3,919,545 Harmonic Inc. 436,589 2,182,945 Hawaiian Telcom Holdco Inc. 50,151 1,242,742 HC2 Holdings Inc. 126,595 750,708 IDT Corp. 87,816 1,628,109 Infinera Corp. 716,882 6,086,328 Inteliquent Inc. 170,790 3,914,507 Intelsat SA 155,204 414,395 InterDigital Inc. 181,564 16,585,871 Iridium Communications Inc. 423,065 4,061,424 Ixia 325,664 5,243,190 KVH Industries Inc. 81,870 966,066 Leap Wireless International Inc.1 341,538 1,084,383 LogMeIn Inc. 129,567 12,509,694 Loral Space & Communications Inc. 72,824 2,989,425 Lumos Networks Corp. 100,075 1,563,172 NeoPhotonics Corp. 165,349 1,787,423 Netgear Inc. 167,159 9,085,092 NeuStar Inc. 281,052 9,387,137 NII Holdings Inc. 274,666 590,532 Numerex Corp. 75,160 556,184





December 31, 2016




Value ($)

Oclaro Inc. 583,647 5,223,641 ORBCOMM Inc. 331,111 2,738,288 Plantronics Inc. 177,847 9,738,902 Preformed Line Products Co. 15,186 882,610 Quantenna Communications Inc. 35,000 634,550 RigNet Inc. 61,973 1,434,675 Shenandoah Telecommunications Co. 246,794 6,737,476 ShoreTel Inc. 357,696 2,557,526 Silicom Ltd. 28,794 1,183,145 Sonus Networks Inc. 252,493 1,590,706 Spok Holdings Inc. 115,904 2,405,008 Straight Path Communications Inc. 52,544 1,781,767 TeleNav Inc. 152,568 1,075,604 Ubiquiti Networks Inc. 143,980 8,322,044 Viasat Inc. 267,370 17,705,241 Viavi Solutions Inc. 1,212,686 9,919,771 Vonage Holdings Corp. 987,230 6,762,526 West Corp. 225,860 5,592,294

Windstream Holdings Inc. 498,054 3,650,736

278,660,238

Textiles - 0.2% Culp Inc. 54,128 2,010,855 G&K Services Inc. 101,219 9,762,573

Unifirst Corp. 77,517 11,135,317

22,908,745

Toys/Games/Hobbies - 0.0%

Jakks Pacific Inc. 79,820 411,073

Transportation - 1.5% Air Transport Services Group Inc. 259,447 4,140,774 ArcBest Corp. 137,388 3,798,778 Ardmore Shipping Corp. 155,433 1,150,204 Atlas Air Worldwide Holdings Inc. 126,562 6,600,208 Celadon Group Inc. 148,843 1,064,227





December 31, 2016




Value ($)

Costamare Inc. 142,771 799,518 Covenant Transportation Group Inc. 59,150 1,143,961 DHT Holdings Inc. 494,799 2,048,468 Dorian LPG Ltd. 128,158 1,052,177 Echo Global Logistics Inc. 152,370 3,816,869 Forward Air Corp. 156,580 7,418,760 Frontline Ltd. 333,377 2,370,310 GasLog Ltd. 215,109 3,463,255 Gener8 Maritime Inc. 201,461 902,545 Golar LNG Ltd. 496,611 11,392,256 Heartland Express Inc. 254,559 5,182,821 Hornbeck Offshore Services Inc. 161,250 1,164,225 HUB Group Inc. 182,419 7,980,831 International Seaways Inc. 68,177 957,205 Knight Transportation Inc. 342,747 11,327,788 Marten Transport Ltd. 126,343 2,943,792 Matson Inc. 222,335 7,868,436 Navios Maritime Acquisition Corp. 420,101 714,172 Nordic American Tankers Ltd. 515,296 4,328,486 Overseas Shipholding Group Inc. 204,553 783,438 PAM Transportation Services Inc. 8,199 213,010 Radiant Logistics Inc. 166,704 650,146 Roadrunner Transportation Systems Inc. 149,947 1,557,949 Saia Inc. 129,360 5,711,244 Scorpio Bulkers Inc. 283,208 1,430,200 Scorpio Tankers Inc. 865,095 3,918,880 Ship Finance International Ltd. 313,642 4,657,584 Swift Transportation Co. 386,091 9,405,177 Teekay Corp. 264,372 2,122,907 Teekay Tankers Ltd. 625,864 1,414,453 Tidewater Inc. 237,088 808,470 Universal Logistics Holdings Inc. 31,390 513,227 USA Truck Inc. 39,677 345,587 Werner Enterprises Inc. 231,010 6,225,720 XPO Logistics Inc. 505,053 21,798,087





December 31, 2016




Value ($)

YRC Worldwide Inc. 167,532 2,224,825

157,410,970

Trucking & Leasing - 0.2% GATX Corp. 212,155 13,064,505 Greenbrier Cos Inc. 141,785 5,891,167 Textainer Group Holdings Ltd. 125,627 935,921

Willis Lease Finance Corp. 21,864 559,281

20,450,874

Water - 0.3% American States Water Co. 189,389 8,628,563 Artesian Resources Corp. 40,574 1,295,934 California Water Service Group 247,261 8,382,148 Connecticut Water Service Inc. 55,511 3,100,289 Consolidated Water Co. Ltd. 65,885 714,852 Global Water Resources Inc. 42,264 384,602 Middlesex Water Co. 85,089 3,653,722 SJW Corp. 86,477 4,840,982

York Water Co. 64,106 2,448,849

33,449,941

Total Common Stock (Cost $6,981,331,807)

9,795,832,958

Government Issues - 0.2% Interest

Rate Maturity

Date Principal Value

($) Treasury Bill - 0.2% United States Treasury Bill2, 3 0.00% 03/02/2017 USD 17,714,000 17,700,183 United States Treasury Bill2, 3 0.00% 06/08/2017 5,693,000 5,677,703

23,377,886

Total Government Issues (Cost $23,379,275)

23,377,886





December 31, 2016



State Street Bank and Trust Company Collective Investment Funds - 4.3% Units Value

($)

State Street Short Term Investment Fund4 437,605,187 437,605,187

Total State Street Bank and Trust Company Collective Investment Funds (Cost $437,605,187)

437,605,187

TOTAL INVESTMENTS - 100.0% (Cost $7,442,316,269)

10,256,816,031

1 Valued by Trustee. 2 Denotes a zero coupon investment. 3 All or a portion of this security was pledged to cover margin requirements for open futures contracts. 4 Collective investment fund advised by State Street Global Advisors. At December 31, 2016, one or more Treasury Bills totaling $23,377,886 were pledged to cover margin requirements for open futures contracts. The following futures contracts were open at December 31, 2016:

Futures Contracts

Number of Contracts

Long/(Short) Notional Cost Maturity Date Unrealized

Gain/(Loss) ( $ )

Russell 2000 Mini Index Futures 6,834 USD 470,096,600 March 2017 (6,443,870)

USD : United States Dollar




Notes to Combined Financial Statements December 31, 2016

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1. Fund Organization and Investment Objective State Street Bank and Trust Company ("State Street Bank") State Street Russell Small Cap® Index Securities Lending Series Fund and State Street Bank and Trust Company 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 by State Street Bank under the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). State Street Bank is Trustee, Custodian, and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. State Street Global Advisors ("SSGA"), a division of State Street Bank, is the Fund's Investment Manager. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee. The investment objective of the Fund is to approximate as closely as practicable, before expenses, the performance of the Russell 2000® 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 III, Class IV, Class V, 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 D, Class E 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 and the Investment Manager assign valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These regional valuation committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to:

Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments for which market quotations are not readily available, including where available market quotations are deemed unreliable;





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Determining appropriate pricing services and sources for various securities or instruments, including secondary and tertiary source options;

Recommending changes to approved pricing sources, and monitoring pricing services' overall performance, including evaluating the pricing methodologies these pricing services employ;

Escalating valuation challenges; Reviewing results of fair value determinations; and Maintaining valuation records.

The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA’s North America Valuation Committee is responsible for valuation oversight of the Fund. SSGA 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 investment valuation policy of the Fund is to value investments at fair value, which is generally defined as the price that could reasonably be expected to be realized from an orderly transaction to sell an asset or paid to transfer a liability between market participants. 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. Investments and other portfolio instruments are generally valued using a market approach. In accordance with valuation policies and procedures approved by the Trustee, equity investments for which market quotations are readily available (including registered investment companies that are exchange traded) are valued at the last reported sale price on their principal exchange, market or system on valuation date, or official close price for certain markets. If no sales are reported for that day, investments 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. Short-term investments are valued on the basis of valuations furnished by independent pricing services and are classified within Level 2 of the fair value hierarchy. These valuation services determine fair value using market-based factors such as credit, liquidity, and interest rate conditions and issuer-specific factors such as creditworthiness of the issuer and likelihood of full repayment at maturity. 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. Please refer to the Derivative Instruments note for further details on the valuation policy for derivatives. 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. The use of alternative valuation methods would generally result in the investments being classified within Level 2 or Level 3 of the fair value hierarchy.





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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, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodologies used for valuing investments and other financial instruments may not be an indication of the risk associated with investing in those securities.

Level 1 Level 2 Level 3 Total

Investments in securities, long - Assets Common Stock $ 9,793,281,243 $ 2,551,715 $ - $ 9,795,832,958Government Issues - 23,377,886 - 23,377,886

Collective Investment Funds - - - 840,722,929

$ 9,793,281,243 $ 25,929,601 $ - $ 10,659,933,773

Other financial instruments - Liabilities

Futures Contracts $ (6,443,870) $ - $ - $ (6,443,870)

Transfers between Level 1 and Level 2 within the fair value hierarchy, if any, were not significant to the Fund. Transfers between fair value hierarchy levels are recognized at the end of the period. 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. C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from underlying funds, if any, are recorded on the ex-dividend date and retain the character of income as earned by the underlying funds. Dividend income, if any, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest





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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 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. The Fund recognized gains/(losses) of $44,366,030 from securities delivered through in-kind redemptions during the period. These amounts are included as net realized gain/(loss) on investments in the Combined Statement of Operations. F. Expenses Under the Trust, the Fund may pay certain expenses for services received. 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. The Fund indirectly bears the expenses incurred by the underlying funds, if any.





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The Investment Manager charges a management fee to the Classes at the following rate of average daily net asset value:

Class Rate (%) Management Fees Class III 0.600 $ 225,722Class IV 0.080 10,809Class V 0.040 506Class VI 0.080 22,773Class VII 0.080 7,127Class VIII 0.080 177,940Class C 0.200 123,175Class D 0.040 4,155Class E 0.040 15,595Class S 0.040 686,580

Total Management Fees $ 1,274,382

Class I is not charged a direct management fee. SSGA receives investment 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 fees from the Class participants and therefore, the Class makes no payments for these services. The Fund may be charged by the Trustee an annual administration fee equal to 0.010% of the average daily net asset value of the Fund and $5 per Fund transaction of securities and portfolio instruments. Alternatively, should the Fund, in the discretion of the Trustee, invest more than 50% of its assets directly in collective investment funds, the Trustee will instead charge an administration fee equal to $25,000 to each Class. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate. 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:

Class Rate (%) Administrative Service

Fees Class IV 0.110 $ 14,862Class V 0.500 6,332Class VI 0.420 119,556Class VII 0.670 59,690Class VIII 0.870 1,935,094Class D 0.250 25,968Class E 0.100 38,987

Total Administrative Service Fees $ 2,200,489





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During the period ended December 31, 2016, certain direct and/or indirect expenses incurred by the Fund were contractually or voluntarily waived and/or reimbursed by the Trustee:

Class

Total Annual Operating Expense

Ratio (%) Waivers and/or

Reimbursements Class III 0.612 $ 168 Class IV 0.202 412 Class V 0.552 536 Class VI 0.512 260 Class VII 0.762 459 Class D 0.302 437 Class E 0.152 152

Total Waivers and Reimbursements $ 2,424 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





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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.





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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, 2016: Derivatives not accounted for as hedging instruments Credit Equity

Foreign Exchange Interest Rate Total

Liability Derivative Variation margin

receivable/(payable)* $ - $ (6,443,870) $ - $ - $ (6,443,870)

*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, 2016. Effect of Derivative Instruments on the Combined Statement of Operations - Net Realized Gain/(Loss): Derivatives not accounted for as hedging instruments Credit Equity


Futures contracts $ - $ 46,839,276 $ - $ - $ 46,839,276

Effect of Derivative Instruments on the Combined Statement of Operations - Net Change in Unrealized Appreciation/(Depreciation): Derivatives not accounted for as hedging instruments Credit Equity


Futures contracts $ - $ (6,224,680) $ - $ - $ (6,224,680)

During the period ended December 31, 2016, the Fund had an average of 2,287 futures contracts outstanding. For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Master Agreement, on the Combined Statement of Assets and Liabilities. Futures that settle variation margin daily 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, 2016:

Derivative Type Gross Liabilities Amounts Eligible

for Offset Net Derivative

Liability Balance Collateral Pledged Net Exposure

Futures contracts $ (1,982,309) $ - $ (1,982,309) $ - $ (1,982,309) The actual value of collateral, if any, may be more than the amount presented.





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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 State Street Bank Collective Investment Funds. 10% or Greater Participants % of Units Outstanding held by other

# of Participants % of Units held State Street Bank Collective

Investment Funds

Lending Fund Class I 4 72% - % Class III 3 100% - % Class IV 2 100% - % Class V 1 100% - % Class VI 2 100% - % Class VII 1 100% - % Class VIII 1 99% - % Non-Lending Fund Class A 2 41% - % Class C 2 62% - % Class D 1 85% - % Class E 2 99% - % Class S 2 55% - %

4. Risks and Uncertainties A. Market and Credit Risk In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The Fund may be exposed to credit risk, which is the risk that an issuer, guarantor or liquidity provider of a fixed-income security held by the Fund may be unable or unwilling, or may be perceived as unable or unwilling, to make timely principal and/or interest payments, or to otherwise honor its obligations. The Fund may be exposed to additional credit risk that an institution or other entity with which the Fund has unsettled or open transactions will default, or otherwise fail to perform on its obligations as counterparty. Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery.

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 Lending 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"). SSGA acts as 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





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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. 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. Risks and Indemnification State Street Bank, as lending agent, indemnifies the Lending Funds 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 At December 31, 2016, the fair value of securities loaned by the Lending Fund 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. The Lending Fund also received U.S. Treasury and Agency securities valued at $88,567,717 as additional collateral. 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, 2016.

Gross Assets Gross Liabilities Financial

Instruments Net Exposure

Securities Lending $ - $ (403,117,742) $ 390,417,807 $ (12,699,935)

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 2016, 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.





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Investment in Cash Collateral Funds Valuation Management of the Lending Funds 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 services, quotations from bond dealers and information with respect to bond and note transactions ("pricing service information") to determine fair value of their investments. Such pricing service information may also consist of quotations derived from valuation models or matrix pricing. At December 31, 2016, 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. 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.

7. 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.

8. Recent Accounting Pronouncements

In May 2015, the Financial Accounting Standards Board (“FASB”) issued an amendment to U.S. GAAP that removes the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the net asset value per share practical expedient. The Fund adopted the amendment on January 1, 2016. The principal effect of the amendment is that collective investment funds measured at fair value using the net asset value per share practical expedient are no longer classified within the fair value hierarchy. Consequently, the disclosures in the Notes to Combined Financial Statements have been modified to reflect this change.

In August 2014, the FASB issued an amendment to U.S. GAAP which clarifies that management is responsible for evaluating and disclosing conditions or events that raise substantial doubt about an entity’s ability to continue as a going concern. The Fund adopted the amendment for the period ended December 31, 2016. The amendment did not have a material impact on the Fund’s financial statements.

9. 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.





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10. Subsequent Events The Trustee has evaluated subsequent events after December 31, 2016 through March 24, 2017, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in the financial statements, except for: State Street Bank has established State Street Global Advisors Trust Company (“SSGA Trust Company”), a non-depository trust company. This trust company is a wholly-owned subsidiary of State Street Bank, the current Trustee. SSGA Trust Company will be appointed as successor trustee to the Fund, replacing State Street Bank, with an expected effective date of April 1, 2017. There will be no impact to the Fund, aside from the change of trustee from State Street Bank to SSGA Trust Company, as a result of this transfer.





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11. Additional Expense Information During the period ended December 31, 2016, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying funds, if any. As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Classes to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Class may exceed the Class' total direct expenses incurred. Ratios of expense classifications as a % of average daily net assets

TAOER DE IE TAGOE W/R TANOE

Class I 0.012 0.012 - 0.012 - 0.012 Class III 0.612 0.612 - 0.612 (0.000)1 0.612 Class IV 0.202 0.205 - 0.205 (0.003) 0.202 Class V 0.552 0.594 - 0.594 (0.042) 0.552 Class VI 0.512 0.513 - 0.513 (0.001) 0.512 Class VII 0.762 0.767 - 0.767 (0.005) 0.762 Class VIII 0.962 0.962 - 0.962 - 0.962 Class A 0.012 0.012 - 0.012 - 0.012 Class C 0.212 0.212 - 0.212 - 0.212 Class D 0.302 0.309 - 0.309 (0.007) 0.302 Class E 0.152 0.152 - 0.152 (0.000)1 0.152 Class S 0.052 0.052 - 0.052 - 0.052 Total Annual Operating Expense Ratio ("TAOER")

Limitation on the total direct and indirect expenses the Fund will incur, as set forth in the Fund’s governing documents.

Direct Expenses ("DE")

Fees and expenses directly incurred by the Fund 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 as a result of its investment in underlying funds which may include administration, audit and legal fees, if any.

Total Annual Gross Operating Expense ("TAGOE")

Total direct and indirect expenses incurred, prior to the application of any waivers and/or reimbursements, if any.

Waivers and/or Reimbursements ("W/R")

Amounts waived and/or reimbursed by the Trustee to the extent the total direct and indirect expenses of the Fund exceeded the total annual operating expense ratio, as described in the Fund’s governing documents.

Total Annual Net Operating Expense ("TANOE")

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





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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%.




Brokerage Commissions (unaudited)

December 31, 2016

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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 funds, participated in arrangements or programs pursuant to which transactions generated “credits” which were 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 funds 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 $270,217 for 2016. 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, 2016.

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