Pace Select Advisors Trust (PREEF) N-CSRCertified annual shareholder report (management investment company)

PACE^® Select Advisors Trust

Annual Report | July 31, 2021

Introduction

September 13, 2021

Dear PACE Shareholder,

We are pleased to provide you with the annual report for the PACE portfolios (the "Portfolios"), comprising the PACE Select Advisors Trust. This report includes summaries of the performance of each Portfolio, as well as commentaries from the investment advisor and subadvisors regarding the events that affected Portfolio performance during the 12 months ended July 31, 2021 (the "reporting period"). Please note that the opinions of the subadvisors do not necessarily represent those of UBS Asset Management (Americas) Inc.

An economic rebound

The US economy rebounded sharply following the dramatic downturn due to the COVID-19 global pandemic. Looking back, with large parts of the economy locked down, second quarter 2020 US annualized gross domestic product ("GDP") was -31.4% compared to the previous quarter. This was the largest quarterly contraction on record. With the economy reopening, third quarter GDP growth was 33.4%, the largest quarterly increase ever. GDP growth in the US was then 4.3% and 6.3% during the fourth quarter of 2020 and the first quarter of 2021, respectively. Finally, the Commerce Department's initial estimate for second quarter annualized GDP growth was 6.5%.

The US Federal Reserve Board (the "Fed") maintained its highly accommodative monetary policy during the reporting period. Throughout the 12 months ended June 30, 2021, the Fed maintained the federal funds rate in a record-low range between 0.00% and 0.25%. The Fed also continued to purchase Treasury and mortgage securities, as well as individual corporate bonds. While inflation picked up late in the period, at its June 2021 meeting they stated, "Progress on vaccinations has reduced the spread of COVID-19 in the United States... Inflation has risen, largely reflecting transitory factors." However, Fed officials pushed forward the time table for raising rates and now projects that it would institute two interest rate increases by the end of 2023, versus in 2024. Central banks outside the US, including the European Central Bank, the Bank of England and the Bank of Japan, also maintained their highly accommodative monetary policies.

From a global perspective, in its July 2021 World Economic Outlook Update, the International Monetary Fund ("IMF") said, "Economic prospects have diverged further across countries since the April 2021 World Economic Outlook forecast. Vaccine access has emerged as the principal fault line along which the global recovery splits into two blocs: those that can look forward to further normalization of activity later this year (almost all advanced economies) and those that will still face resurgent infections and rising COVID death tolls. The recovery, however, is not assured even in countries where infections are currently very low so long as the virus circulates elsewhere." From a regional perspective, the IMF projects the US economy will grow 7.0% in 2021, compared to a 3.5% contraction in 2020. Elsewhere, the IMF expects 2021 GDP growth in the eurozone, U.K. and Japan will be 4.6%, 7.0% and 2.8%, respectively.

Global equities rally sharply

The global equity market produced very strong results during the reporting period. Supporting the market were the continued COVID-19 vaccine rollout, aggressive monetary and fiscal policy and improving corporate profits. While there were periods of weakness, they were short lived and investor demand for equities was robust overall. For the 12-months ended July 31, 2021, the S&P 500 Index¹ gained 36.45% and reached several new all-time highs. Outside the US, interna-

¹  The S&P 500 Index is an unmanaged, weighted index composed of 500 widely held common stocks varying in composition and is not available for direct investment. Investors should note that indices do not reflect the deduction of fees and expenses.

tional developed equities, as measured by the MSCI EAFE Index (net),² returned 30.31% during the reporting period, while emerging markets equities, as measured by the MSCI Emerging Markets Index (net),³ gained 20.64%.

The overall fixed income market weakens

The overall global fixed income market generated weak results over the reporting period. Developed market central banks maintained their highly accommodative monetary policies to support their economies. While inflation moved higher, the US Fed characterized the increase as being transitory. Regardless, with global growth improving and inflation rising, both short- and long-term US Treasury yields moved higher (bond yields and prices move in the opposite direction). For the 12 month reporting period as a whole, the yield on the US 10-year Treasury rose from 0.55% to 1.24%. Most 10-year developed market government bond yields outside the US also moved higher. The overall US bond market, as measured by the Bloomberg Barclays US Aggregate Index,⁴ returned -0.70% during the 12-months ended July 31, 2021. Returns of riskier fixed income securities were positive. High yield bonds, as measured by the ICE BofAML US High Yield Cash Pay Constrained Index,⁵ returned 10.61%. Elsewhere, emerging markets debt, as measured by the J.P. Morgan Emerging Markets Bond Index Global (EMBI Global),⁶ gained 3.57% during the reporting period. We appreciate your confidence and continued investment in the PACE funds.

Sincerely,

Igor Lasun
President, PACE Select Advisors Trust
Managing Director, UBS Asset Management (Americas) Inc.

This report is intended to assist investors in understanding how the Portfolios performed during the 12-month period ended July 31, 2021. The views expressed in the Advisor's and Subadvisors' comments sections are as of the end of the reporting period, reflect performance results gross of fees and expenses, and are those of the investment advisor and subadvisors. Subadvisors' comments on Portfolios that have more than one subadvisor are reflective of their portion of the Portfolio only. The views and opinions in this report were current as of September 13, 2021. They are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the investment advisor and subadvisors reserve the right to change their views about individual securities, sectors and markets at any time. As a result, the views expressed should not be relied upon as a forecast of a Portfolio's future investment intent.

²  The MSCI EAFE Index (net) is an index of stocks designed to measure the investment returns of developed economies outside of North America. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. Investors should note that indices do not reflect the deduction of fees and expenses.

³  The MSCI Emerging Markets Index (net) is a market capitalization-weighted index composed of different emerging market countries in Europe, Latin America, and the Pacific Basin. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. Investors should note that indices do not reflect the deduction of fees and expenses.

⁴  The Bloomberg Barclays US Aggregate Index is an unmanaged broad based index designed to measure the US dollar-denominated, investment-grade, taxable bond market. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed, asset-backed and commercial mortgage-backed sectors. Investors should note that indices do not reflect the deduction of fees and expenses.

⁵  The ICE BofAML US High Yield Cash Pay Constrained Index is an unmanaged index of publicly placed, non-convertible, coupon-bearing US dollar denominated, below investment grade corporate debt with a term to maturity of at least one year. The index is market capitalization weighted, so that larger bond issuers have a greater effect on the index's return. However, the representation of any single bond issuer is restricted to a maximum of 2% of the total index. Investors should note that indices do not reflect the deduction of fees and expenses.

⁶  The J.P. Morgan Emerging Markets Bond Index Global (EMBI Global) is an unmanaged index which is designed to track total returns for US dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans and Eurobonds. Investors should note that indices do not reflect the deduction of fees and expenses.

UBS Government Money Market Investments Fund

Performance

The seven-day current yield for the Fund as of July 31, 2021 was 0.01% (after fee waivers/expense reimbursements).¹ For more information on the Fund's performance, refer to "Yields and characteristics at a glance" on page 5. Please remember that the PACE program fee is assessed outside the Fund at the PACE program account level. The program fee does not impact the determination of the Fund's net asset value per share. For a detailed commentary on the market environment in general during the period, please refer to page 2.

Advisor's Comments

The US Federal Reserve Board (the "Fed") maintained its highly accommodative monetary policy during the reporting period. This included keeping the federal funds target rate in a range between 0.00% and 0.25%. The Fed also continued to make of $80 billion/month of Treasury and $40 billion/month of Agency mortgage securities purchases.

We tactically adjusted the Portfolio's weighted average maturity ("WAM") throughout the 12-month review period. When the reporting period began, the Portfolio had a WAM of 53 days. This was 41 days at the end of the reporting period.

A number of adjustments were made to the Portfolio's sector and issuer positioning during the 12-month period. We substantially reduced the Portfolio's exposures to US agency obligations. Meanwhile, we substantially increased its position in US Treasury obligations and increased its allocation to repurchase agreements to a lesser extent. (Repurchase agreements are transactions in which the seller of a security agrees to buy it back at a predetermined time and price or upon demand.)

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund's investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568 or by visiting our Website at www.ubs.com/am-us.

PACE Select Advisors Trust – UBS Government Money Market Investments Fund (formerly PACE Government Money Market Investments)

Investment Advisor:

UBS Asset Management (Americas) Inc.

Portfolio Manager:

Robert Sabatino

Objective:

Current income consistent with preservation of capital and liquidity

Investment process:

The Portfolio is a money market mutual fund and seeks to maintain a stable price of $1.00 per share, although it may be possible to lose money by investing in this Portfolio. The Portfolio invests in a diversified portfolio of high-quality money market instruments of governmental issuers and in related repurchase agreements. Security selection is based on the assessment of relative values and changes in market and economic conditions.

¹  Class P shares held through the PACE Select Advisors Program are subject to a maximum Program fee of 2.50%, which, if included, would have reduced performance. Class P shares held through other advisory programs also may be subject to a program fee, which, if included, would have reduced performance.

UBS Government Money Market Investments Fund

Yields and characteristics at a glance—July 31, 2021 (unaudited)

You could lose money by investing in UBS Government Money Market Investments. Although the portfolio seeks to preserve the value of your investment at $1.00 per share, the portfolio cannot guarantee it will do so. An investment in UBS Government Money Market Investments is not insured or guaranteed by the Federal Deposit Insurance Corporation ("FDIC") or any other government agency. UBS Government Money Market Investments' sponsor has no legal obligation to provide financial support to UBS Government Money Market Investments at any time.

Not FDIC insured. May lose value. No bank guarantee.

¹  Yields will fluctuate and reflect fee waivers and/or expense reimbursements, if any, unless otherwise noted. Performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be higher or lower than the performance data quoted.

²  The portfolio is actively managed and its weighted average maturity will differ over time.

³  Weightings represent percentages of the Portfolio's net assets as of the date indicated. The portfolio is actively managed and its composition will vary over time.

UBS Government Money Market Investments Fund

Portfolio of investments—July 31, 2021

UBS Government Money Market Investments Fund

Portfolio of investments—July 31, 2021

UBS Government Money Market Investments Fund

Portfolio of investments—July 31, 2021

Fair valuation summary

The following is a summary of the fair valuations according to the inputs used as of July 31, 2021 in valuing the Portfolio's investments. In the event the Portfolio holds investments for which fair value is measured using the NAV per share practical expedient (or its equivalent), a separate column will be added to the fair value hierarchy table; this is intended to permit reconciliation to the amounts presented in the Portfolio of investments:

At July 31, 2021, there were no transfers in or out of Level 3.

Portfolio footnotes

¹  Rate shown is the discount rate at the date of purchase unless otherwise noted.

²  Variable or floating rate security. The interest rate shown is the rate in effect as of period end and changes periodically.

PACE Mortgage-Backed Securities Fixed Income Investments

Performance

For the 12-months ended July 31, 2021, the Portfolio's Class P shares returned 1.53% before the deduction of the maximum PACE Select program fee.¹ In comparison, the Bloomberg Barclays US Mortgage-Backed Securities Index (the "benchmark") returned 0.03%. (Returns for all share classes over various time periods are shown in the "Performance at a glance" table on page 11. Please note that the returns shown do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.) For a detailed commentary on the market environment in general during the reporting period, please refer to page 2.

Subadvisor's comments²

The Portfolio outperformed its benchmark during the reporting period. Overall interest rate strategies were positive for relative performance. An underweight to US duration contributed to returns as Treasury yields rose. However, a focus on front-end interest rates detracted from performance as the yield curve steepened.

Overall mortgage strategies added to performance. An overweight to agency mortgage-backed securities (MBS) detracted from performance as the sector underperformed like-duration Treasurys. However, relative value positioning within agency MBS, including a focus on Federal Reserve supported coupons, added to performance. An allocation to senior securitized credit was additive for returns, as these securities remained well supported by strong fundamentals and limited supply. Additionally, exposure to commercial mortgage-backed securities (CMBS) and select collateralized loan obligations (CLOs) added to returns.

Overall, derivative usage was positive during the period. The use of interest rate swaps to reduce intermediate US interest rate exposure contributed to performance as swap rates underperformed relative to Treasury rates. The Portfolio used interest rate swaps to adjust interest rate and yield curve exposures, as well as to substitute for physical securities. The Portfolio benefited from the income generated from selling mortgage pool options as a way to manage interest rate and volatility risk within the sector. Additionally, options on swaps were primarily used to manage interest rate exposure and volatility. The purchase of options on swaps modestly detracted from performance due to premium payments made. Total return swaps used to replicate broad exposure to interest-only agency mortgages, while limiting idiosyncratic risk of owning individual bonds, was neutral for performance. The use of government futures and options on government futures to adjust interest rate exposures and replicate government bond positions were neutral for performance.

PACE Select Advisors Trust – PACE Mortgage-Backed Securities Fixed
Income Investments

Investment Manager:

UBS Asset Management (Americas) Inc. ("UBS AM")

Investment Subadvisor:

Pacific Investment Management Company LLC ("PIMCO")

Portfolio Management Team:

UBS AM: Mabel Lung, CFA, Gina Toth, CFA, Fred Lee, CFA, David Kelly and Christopher Andersen, CFA

PIMCO: Daniel Hyman and Michael Cudzil

Objective:

Current income

Investment process:

The subadvisor utilizes a strategy that involves buying or

selling specific bonds based on an analysis of their values

relative to other similar bonds.

¹  Class P shares held through the PACE Select Advisors Program are subject to a maximum Program fee of 2.50%, which, if included, would have reduced performance. Class P shares held through other advisory programs also may be subject to a program fee, which, if included, would have reduced performance.

²  Performance is discussed on a gross-of-fees basis—meaning that no fees or expenses are reflected when discussed at the level of a subadvisor's sleeve (or subadvisors' sleeves, if applicable). Alternatively, performance at the overall Portfolio level is shown net of fees, which does factor in fees and expenses associated with the Portfolio.

PACE Mortgage-Backed Securities Fixed Income Investments

Mutual funds are sold by prospectus only. You should read it carefully and consider a fund's investment objectives, risks, charges, expenses and other important information contained in the prospectus before investing. Prospectuses for most of our funds can be obtained from your financial advisor, by calling UBS Funds at 800-647 1568 or by visiting our Website at www.ubs.com/am-us

Special considerations

The Portfolio may be appropriate for long-term investors seeking current income who are able to withstand short-term fluctuations in the fixed income markets in return for potentially higher returns over the long term. The yield and value of the Portfolio change every day and can be affected by changes in interest rates, general market conditions, and other political, social and economic developments, as well as specific matters relating to the issuers in which the Portfolio invests. It is important to note that an investment in the Portfolio is only one component of a balanced investment plan.

PACE Mortgage-Backed Securities Fixed Income Investments

Performance at a glance (unaudited)

Most recent calendar quarter-end returns (unaudited)

The annualized gross and net expense ratios, respectively, for each class of shares as in the prospectuses dated November 27, 2020 (as revised June 11, 2021), as supplemented, were as follows: Class A—1.36% and 1.20%; Class Y—1.23% and 0.97%; and Class P—1.18% and 0.95%. Net expenses reflect fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses. The Portfolio and UBS Asset Management (Americas) Inc. ("UBS AM") have entered into a written fee waiver/expense reimbursement agreement pursuant to which UBS AM is contractually obligated to waive its management fees and/or reimburse expenses so that the Portfolio's ordinary total operating expenses of each class through November 30, 2021 (excluding dividend expense, borrowing costs, and interest expense relating to short sales, and expenses attributable to investment in other investment companies, interest, taxes, brokerage commissions, trustee elections, as well as other matters related to shareholder meetings (unless specifically agreed by UBS AM) and extraordinary expenses) would not exceed Class A—0.97%; Class Y—0.72%; and Class P—0.72%. The Portfolio has agreed to repay UBS AM for any waived fees/reimbursed expenses to the extent that it can do so over the following three fiscal years without causing the Portfolio's expenses in any of those three years to exceed these expense caps and that UBS AM has not waived the right to do so. The fee waiver/expense reimbursement agreement may be terminated by the Portfolio's board at any time and also will terminate automatically upon the expiration or termination of the Portfolio's advisory contract with UBS AM. Upon termination of the agreement, however, UBS AM's three year recoupment rights will survive.

¹  Maximum sales charge for Class A shares is 3.75%. Class A shares bear ongoing 12b-1 service fees of 0.25% annually.

²  The Portfolio offers Class Y shares to a limited group of eligible investors, including certain qualifying retirement plans. Class Y shares do not bear initial or contingent deferred sales charges or ongoing 12b-1 service and distribution fees.

³  Class P shares do not bear initial or contingent deferred sales charges or ongoing 12b-1 service and distribution fees, but Class P shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance.

⁴  The Bloomberg Barclays US Mortgage-Backed Securities Index is an unmanaged index which primarily covers the mortgage-backed passthrough securities issued by Ginnie Mae (formally known as the Government National Mortgage Association or GNMA), Freddie Mac (formally known as Federal Home Loan Mortgage Corporation or FHLMC), and Fannie Mae (formally known as Federal National Mortgage Association or FNMA). Investors should note that indices do not reflect the deduction of fees and expenses.

Prior to August 3, 2015, a 1% redemption fee was imposed on sales or exchanges of any class of shares of the Portfolio made during the specified holding period.

Past performance does not predict future performance, and the performance information provided does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The return and principal value of an investment will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For month-end performance figures, please visit www.ubs.com/us-mutualfundperformance.

PACE Mortgage-Backed Securities Fixed Income Investments

Illustration of an assumed investment of $10,000 in Class P shares of the Portfolio (unaudited)

The following graph depicts the performance of PACE Mortgage-Backed Securities Fixed Income Investments Class P shares versus the Bloomberg Barclays US Mortgage-Backed Securities Index over the 10 years ended July 31, 2021. Class P shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance of the other classes will vary based upon the different class specific expenses and sales charges. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that PACE Mortgage-Backed Securities Fixed Income Investments is a professionally managed portfolio while the Index is not available for investment and is unmanaged. The comparison is shown for illustration purposes only.

PACE Mortgage-Backed Securities Fixed Income Investments

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio statistics and industry diversification—(unaudited)¹

As a percentage of net assets as of July 31, 2021

^†  Amount is less than 0.05% or (0.05)%.

¹  The portfolio is actively managed and its composition will vary over time.

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2021