SSGA Active Trust N-CSRCertified annual shareholder report (management investment company)

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

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

The Bloomberg U.S. Government Inflation-Linked Bond Index includes publicly issued, U.S. Treasury inflation protected securities that have at least 1 year remaining to maturity on index rebalancing date, with an issue size equal to or in excess of $500 million. Bonds must be capital-indexed and linked to an eligible inflation index. The securities must be denominated in U.S. Dollars and pay coupon and principal in U.S. Dollars. The notional coupon of a bond must be fixed or zero. Bonds must settle on or before the index rebalancing date.

The DBIQ Optimum Yield Diversified Commodity Index Excess Return employs a rule based approach when it rolls from one futures contract to another for each commodity in the index. DBLCI Diversified Index represents 14 commodities drawn from the Energy, Precious Metals, Industrial Metals and Agriculture sectors.

The Bloomberg U.S. Long Government/Credit Index measures the investment return of all medium and larger public issues of U.S. Treasury, agency, investment-grade corporate, and investment-grade international dollar-denominated bonds with maturities longer than 10 years. The average maturity is approximately 20 years.

The Bloomberg U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States.

The Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index is designed to track the U.S. fully tax-exempt bond market. The index includes state and local general obligation bonds, revenue bonds, pre-refunded bonds, insured bonds and municipal lease obligations. The index is comprised of tax-exempt municipal securities issued by states, cities, counties, districts and their respective agencies, authorities and instrumentalities.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was 10.57%, and the Index was –5.73%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The allocations to commodities and global natural resource equities were primary drivers with global infrastructure equities providing additional support of Fund performance during the Reporting Period relative to the Index. For the one year lookback, the global growth recovery started to gain momentum. Multiple areas contributed to the reopening and recovery of the global economy, driven by increased vaccination rates, healthy manufacturing, and rising labor activity. However, increasing supply chain disruptions, rising political and regulatory risks in the U.S. and China along with global energy constraints posed key risks to the continued recovery. Commodities initially experienced a decline in the early months of the Reporting Period amid the emergence of concerns related to economic growth generated by the pandemic Omicron variant. U.S. Real Estate investment trusts (REITs) finished 2021 as one of the best-performing asset classes for 2021. The year closed out with U.S. inflation at levels last observed almost 40 years ago and the U.S. central bank having pivoted to communications on reducing stimulus and projecting rate increases in 2022. At the start of 2022, inflation expectations remained elevated with continued strong consumption demand, supply and labor challenged, high commodity prices, and the specter of higher wage pressures. Further complications came into play amid the Russia-Ukraine war starting at the end of February. Increasing commodity prices accelerated the trend as western countries imposed strict sanctions on Russia’s economy. By the end of the first quarter of 2022, more defensive positioning was established in the Fund with increased exposure to global infrastructure equities as well as holding some cash. The Fund finished the first three months of the year with significant gains of nearly 12%, one of the strongest quarterly returns over its history. However, by the close of the most recent quarter, the Fund had retreated as continued elevated inflation levels and global central bank communication and actions stoked fears of a pending emerging global slowdown. Commodities, along with global natural resources and infrastructure equities came off of recent highs but managed to post better relative returns that most broad equity indexes. Broad commodities and specifically energy were the best performing assets with demand expectations for 2023 surpassing pre-pandemic levels offset with supply concerns. Real estate continued its lackluster trend, with U.S. assets holding up better than non-U.S. due to the strong U.S. dollar, as tightening of monetary policy and declining growth served as performance headwinds. Inflation-linked bonds struggled as well with rising real rates, again the non-U.S. significantly underperforming it U.S. peers.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC), S&P Energy Select Sector SPDR Fund and SPDR S&P Global Infrastructure ETF (GII). The top negative contributor to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR FTSE International Government Inflation-Protected Bond ETF (WIP), SPDR Dow Jones REIT ETF and SPDR Dow Jones International Real Estate ETF (RWX).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –10.41%, and the Index was –14.34%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Across global asset classes, allocations to U.S. Treasury and corporate bonds were primary drivers of Fund performance during the Reporting Period relative to the Index. Overall, Fund underperformance was largely driven by asset allocation positioning within the Fund, which detracted from performance. The Reporting Period saw an everchanging market landscape, as different headwinds came into play. Inflation was broad-based and proved stickier than anticipated, geopolitical risks from the war in Ukraine continue halfway through the period, and the Omicron COVID-19 variant exacerbated supply chain bottlenecks globally. Concerns surrounding economic growth momentum, peak earnings and supply chain delays led to a risk-off sentiment in the market. At the start of the Reporting Period, directionally our preference for equities relative to bonds dented returns, driving our consistent equity de-risk throughout the quarter. Our underweight REIT exposure also detracted from performance, as REITs benefitted from strong service sector activity and positive price momentum. Our fixed income positioning dented performance, as the magnitude of the U.S. yield curve flattening was far more severe than anticipated, causing a detraction from benchmark-relative performance as both long government bonds and long corporate bonds fell by more than nearly 10%. Our exposure to corporate bonds dented returns as increasing interest rates throughout the Reporting Period led to vulnerability within the bond markets. By the end of the Reporting Period, we held a defensive stance, as risks potentially outweighed the potential for a meaningful stock rebound, as valuations improved, but high inflation and slow manufacturing data turned cycle indicators in a less productive direction.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period was the SPDR S&P Global Infrastructure ETF, the SPDR Portfolio S&P 500 High Dividend ETF and the Invesco KBW Premium Yield Equity REIT ETF. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR Portfolio Long Term Treasury ETF, the SPDR Bloomberg Emerging Markets Local Bond ETF and the SPDR Bloomberg Convertible Securities ETF.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –11.58%, and the Index was –16.52%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Broad diversification across global asset classes as well as asset allocation positioning were primary drivers of Fund performance during the Reporting Period relative to the Index. The Reporting Period saw an everchanging market landscape, as different headwinds came into play. Inflation was broad-based and proved stickier than anticipated, geopolitical risks from the war in Ukraine continue halfway through the period, and the Omicron COVID-19 variant exacerbated supply chain bottlenecks globally. Directionally, our preference for commodities and our tail risk basket, both cash and gold, aided relative performance in the Reporting Period. Our targeted overweight to commodities held throughout the past year was the driver of outperformance. Commodities benefited from the fundamental backdrop of tight supply, low inventory and limited excess capacity in energy sectors due to the Russia-Ukraine conflict. A targeted allocation to U.S. equity energy sector also contributed to performance, as appealing valuations due to strong supply and demand fundamentals buoyed the sector. By the end of the Reporting Period, our healthy allocation to cash proved beneficial as both equities and bonds sold off. Offsetting some positive performance was our meaningful underweight to U.S. Real Estate Investment Trusts (REITs), as real estate continued to perform positively, benefitting from strong service sector activity and price momentum. Further, our fixed income positioning dented performance, as the magnitude of the U.S. yield curve flattening was far more severe than anticipated, causing a detraction from benchmark-relative performance as both long government bonds and long corporate bonds fell by more than nearly 10%. Therefore, our overweight positions to long bonds, both credit and Treasury, were headwinds to performance. While both the Fund and Index delivered negative returns for the Reporting Period, the Fund outperformed the Index.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF, the Energy Select Sector SPDR Fund and the Consumer Staples Select Sector SPDR Fund. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR Portfolio Developed World ex-US ETF, the SPDR Portfolio Emerging Markets ETF and the SPDR S&P 500 ETF Trust.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –1.05%, and the Index was 0.17%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The Fund’s over-weight allocation to duration, and allocation to investment grade corporate credit and commercial mortgage-backed securities (“CMBS”), were the primary drivers of the Fund’s under-performance relative to the Index during the Reporting Period. During the Reporting Period, improvements in economic activity in the context of COVID-19 led supply chain shortages and Russia’s invasion of Ukraine, which significantly impacted the commodity markets, led to a strong rebound in inflation. During the Reporting Period, the Federal Reserve (“the Fed”) increased the Fed Funds rate from a range of (0.00% - 0.25%) to (1.50% - 1.75%). Also during the Reporting Period, the Feds balance sheet grew from $8.1 trillion to $8.9 trillion. The above-mentioned strong rebound in inflation caused the Fed to tighten monetary policy at an accelerated pace, and are the key drivers to the significant increase in short-term interest rates and widening of investment grade corporate credit and CMBS spreads observed during the Reporting Period. The Fund maintained a duration profile in the range of 0.25 – 0.50 during the Reporting Period.

For the since inception period ended June 30, 2022 (the “Reporting Period”), the net total return for the Fund was –11.25%, and the Index was –10.58%. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

During the Reporting Period, the Fund used index credit default swaps (“CDX”), forwards, and interest rate futures exposures for hedging credit beta, hedging currency exposure, duration/interest rate positioning respectively. On an absolute basis, the Fund’s net use of interest rate futures detracted from performance. Our use of forwards slightly contributed, while CDX use slightly detracted from Fund performance relative to the Index.

The SPDR Nuveen Municipal Bond ETF (the “Fund”) seeks to provide current income that is exempt from regular federal income taxes. Capital appreciation is a secondary objective when consistent with the Fund’s primary objective. The Fund’s benchmark is the Bloomberg 3-15 Year Blend (2-17) Municipal Bond Index (the “Index”)*.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –8.83% and the Index was –7.06%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Municipal interest rate changes, credit spread widening and the relative performance of certain individual securities were primary drivers of Fund performance during the Reporting Period. The municipal credit curve moved 176 basis points higher during the Reporting Period, which hurt performance as inflation expectations changed the interest rate environment.

Curve positioning was a detractor from performance this year, with duration longer than the benchmark. An overweight to bonds with durations longer than 6 years hurt performance, as did an underweight to bonds with durations less than 4 years. Rating allocation was a detractor from performance, with an overweight to bonds rated BBB and BB hurting performance. Bonds with longer curve positioning and lower coupons tended to underperform given the rising interest rate environment.

On an individual security level, the top contributors to the Fund’s performance during the Reporting Period were Washington State Various Purpose, Energy Northwest Columbia Electric Revenue and Salt Lake City Airport Revenue bonds. The largest detractors from the Fund’s performance during the Reporting Period were New York City general obligation, Medford Oregon Asante Health and New Jersey School Facility Construction bonds.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –11.78%, and the Index was –10.29%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Asset allocation positioning and active rotation across fixed income sectors were primary drivers of Fund performance during the Reporting Period relative to the Index. Economies experienced a material slowdown from strong economic growth driven by excess stimulus and the resumption of normal activity to something more fragile. A plethora of headwinds weighed on economies and markets alike over the past year. Supply chain troubles lingered which combined with surging energy prices pushed inflation higher. Russia invaded Ukraine in February and added to inflation pressures with inflation continuing to broaden out while remaining stickier than anticipated. In response, central banks become more hawkish with aggressive rate hikes in the U.S. and UK which raised fears of a recession and resulted in downgraded growth expectations. While underlying fundamentals remained strong, the combination of elevated inflation and higher rates sank markets, both equities and bonds. The fund finished lower and underperformed it’s benchmark largely due to targeted allocations to long bonds, both investment grade credit and Treasuries in 2022. A healthy allocation to cash aided performance with both credit and government bonds down on a one-year lookback. The acceleration of U.S. inflation combined with aggressive rate hikes offset growing recession fears and pushed yields across the curve significantly higher in 2022 which more negatively impacted longer duration assets.

On an individual security level, the top positive contributor to the Fund’s performance on an absolute basis during the Reporting Period were SPDR Bloomberg 1-3 Month T-Bill ETF, SPDR Bloomberg International Treasury Bond ETF and SPDR Bloomberg High Yield Bond ETF. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were SPDR Portfolio Long Term Treasury ETF, SPDR Portfolio Long Term Corporate Bond ETF and SDPR Portfolio Mortgage Backed Bond ETF.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –11.02%, and the Index was –10.62%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Asset allocation and select sector positioning were primary drivers of Fund performance during the Reporting Period. Poor sector selection in the third and fourth quarter of the Reporting Period offset outperformance in the early part of the Reporting Period and contributed to overall portfolio underperformance compared to the Index. Market valuations improved but high inflation and slow manufacturing data turned cycle indicators in a less productive direction. Price momentum weakened, but earnings and sales expectations reigned especially weak. With the riskier backdrop, we preferred a relatively defensive stance as it pertained to equity market exposure. Within the sectors, improvements in economic growth propelled energy up our sector rankings in July 2021. Additionally, the uptick in COVID-19 cases brought demand concerns which further pressured energy, resulting in a large source of negative performance. As the Reporting Period progressed, a targeted overweight to the energy sector was the largest contributor to outperformance, as strong demand and sticky inflation buoyed the sector. Our targeted technology allocation contributed to negative performance, as rising rates and further expectations of a hawkish U.S. Federal Reserve increased and impacted sector sensitivity. By the end of the Reporting Period, targeted allocations to energy and utilities supported relative performance and offset negative impacts from financials and technology. The defensive nature of utilities helped provide ballast to the otherwise more cyclical sectors, as utilities fared well due to relatively stable earnings and sales expectations.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Consumer Staples Select Sector SPDR Fund (XLP), the Energy Select Sector SPDR Fund (XLE) and the Utilities Select Sector SPDR Fund (XLU). The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Consumer Discretionary Select Sector SPDR Fund (XLY), the Technology Select Sector SPDR Fund (XLK) and the Communication Services Select Sector SPDR Fund (XLC).

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –14.57%, and the Index was –14.25%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The primary drivers of Fund performance during the Reporting Period were duration positioning and asset allocation. In terms of duration positioning, the Fund consistently maintained a longer duration than the Index, which hurt relative performance as U.S. Treasury yields rose during the period. In terms of asset allocation, the Fund benefitted from its underweight allocation to Europe, particularly Russia and Ukraine, as well as its overweight position to Latin America. Additionally, the Fund was overweight Emerging Market (“the EM”) Sovereign debt, which hurt performance as Emerging Market Sovereign debt underperformed Emerging Market Corporate debt.

The Fund successfully avoided the fallout of the Russia/Ukraine conflict by carrying no allocation to Emerging Market European debt. This benefit was offset by the Fund’s duration positioning versus the Index. The Fund maintains a longer duration than the index and is overweight Emerging Market Sovereigns versus the Index. Shorter duration Emerging Market Corporate credit tended to outperform longer duration Emerging Market Sovereigns as the U.S. Treasury curve rose significantly over the period, with 2-year yields increasing by 271 basis points (bps), 10-year yields increasing by 155 bps and the 30-year yields increasing by 110 bps.

On a sector level, the top contributor to the Fund’s performance during the Reporting Period was Emerging Market Corporate credit, which delivered a negative return but outperformed the benchmark. The top negative contributor to the Fund’s performance on an absolute basis during the Reporting Period was Emerging Market sovereign credit.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –4.52%, and the Index was –3.58%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The primary driver of underperformance was asset allocation as the portfolio maintained a higher credit allocation than the Index. This detracted from performance as credit spreads widened significantly in the second half of the reporting period. In terms of asset allocation, the Fund maintained a roughly sixty-five percent weighting to credit risk sectors compared to approximately thirty percent in the Index. This contributed negatively to performance as spread widening outweighed the duration benefit of these sectors. In terms of duration positioning, the Fund consistently maintained a shorter duration position than the Index.

The best performing sector within the Fund was U.S. Treasuries as the bills held in the portfolio benefitted from their ultra-short duration and high credit quality. The shorter duration structured credit sectors Collateralized Loan Obligations (CLOs), Commercial MBS and Asset Backed Securities were the next best performers as they were less negatively impacted by the rise in U.S. Treasury yields. Agency MBS and Emerging Markets experienced some duration-related price declines and were subsequently the largest detractors from performance.

On a sector level, the top positive contributor to the Fund’s performance on an absolute basis during the Reporting Period was U.S. Treasuries. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Agency RMBS, Emerging Markets and Investment Grade Corporates.

For the 12-month period ended June 30, 2022 (the “Reporting Period”), the total return for the Fund was –9.75%, and the Index was –10.29%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

The primary drivers of Fund performance were asset allocation and duration positioning. In terms of asset allocation, the Fund maintained a roughly forty-nine percent weighting to credit risk sectors compared to approximately thirty percent in the Index. This contributed positively to outperformance as the benefit of the shorter duration credit of the Fund outweighed spread widening. In terms of duration positioning, the Fund consistently maintained a shorter duration position than the Index, which bolstered relative performance as U.S. Treasury yields rose.

Speaking broadly, shorter duration credit sectors tended to outperform longer duration sectors as a result of the sharp rise in U.S. Treasury yields which occurred over the period. The best-performing sector within the Fund was Collateralized Loan Obligations (“the CLOs”), which generated only small, negative returns due to their low duration. Solid housing market fundamentals and short duration drove non-Agency MBS to be the second best performing sector, delivering a smaller negative return than the benchmark. The worst performing sectors were Emerging Markets and High Yield Corporates as increased risk-off sentiment drove spread widening towards the end of the period and the sectors’ longer duration detracted from returns.

On a sector level, every sector in the portfolio declined during the period. The top contributors to the Fund’s outperformance during the Reporting Period were the shorter duration credit sectors Collateralized Loan Obligations (“the CLOs”), Non-Agency MBS, and Bank Loans. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Investment Grade Corporates, High Yield Corporates and Emerging Markets.