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

PACE^® Select Advisors Trust

Annual Report | July 31, 2022

Introduction

September 14, 2022

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, 2022 (the "reporting period"). Please note that the opinions of the subadvisors do not necessarily represent those of UBS Asset Management (Americas) Inc.

Economic headwinds develop

While the global economy continued to expand during the reporting period as a whole, there were signs of potential weakness on the horizon. These included the ongoing challenges from COVID-19 and its variants, elevated and persistent inflation, supply chain bottlenecks, monetary policy tightening, and repercussions from the war in Ukraine. Looking back, third quarter 2021 US annualized gross domestic product ("GDP") was 2.3%. GDP then grew 6.9% over the fourth quarter of the year. The US economy then contracted 1.6% in the first quarter of 2022. This was partially attributed to rising imports and moderating business inventory buildups. Finally, the Commerce Department's initial estimate for second quarter annualized GDP was -0.9%.

With US inflation hitting a 40-year high, the Federal Reserve Board (the "Fed") took a number of aggressive actions in an attempt to combat rising prices. The Fed ended its monthly asset purchases in March 2022 and then raised the federal funds rate, the interest rate that banks charge each other to borrow or lend excess reserves overnight, from a range between 0.00% to 0.25% to a range between 0.25% and 0.50% in March 2022, its first rate hike since 2018. The central bank then raised rates 0.50% and 0.75% at its May and June meetings, respectively. The latter rate hike was the largest by the Fed since 1994. The Fed also began shrinking its balance sheet, a process called "quantitative tightening." Finally, on July 27, 2022, the Fed raised rates 0.75%, to a range between 2.25% and 2.50%. Overseas, the Bank of England raised rates for a fifth consecutive time at its June 2022 meeting, and the European Central Bank raised rates at its July meeting—the first increase in 11 years.

From a global perspective, in its July 2022 World Economic Outlook, the International Monetary Fund ("IMF") said, "A tentative recovery in 2021 has been followed by increasingly gloomy developments in 2022. Performance was slightly better than expected in the first quarter, but world real GDP is estimated to have shrunk in the second quarter—the first contraction since 2020—owing to economic downturns in China and Russia." The IMF now expects U.S. GDP growth to be 2.3% in 2022, versus 5.7% in 2021. Elsewhere, the IMF expects 2022 GDP growth in the eurozone, U.K. and Japan will be 2.6%, 3.2% and 1.7%, respectively. For comparison purposes, GDP growth in these economies were 5.4%, 7.4% and 1.7%, respectively, in 2021.

Global equities experience a setback

Equities around the globe generated weak returns during the reporting period. The US market was dragged down by elevated inflation, expectations for aggressive Fed rate hikes and concerns whether the central bank could orchestrate a "soft landing" for the economy. Investor sentiment was also negatively impacted by the ongoing impact from the war in Ukraine. For the 12-months ended July 31, 2022, the S&P 500 Index¹ returned -4.64% and entered a bear market in June (a decline of 20% from a recent high). Outside the US, international developed equities, as measured by the MSCI EAFE Index (net),² returned -14.32%. Emerging markets equities were even weaker, as the MSCI Emerging Markets Index (net)³ returned -20.09%.

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.

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.

The fixed income market falls sharply

The global fixed income market also performed poorly, as many central banks pivoted to tightening monetary policy to battle inflation. In the US, short- and long-term US Treasury yields moved sharply higher. For the 12 months ended July 31, 2022, the yield on the US 10-year Treasury rose from 1.24% to 2.69%. 10-year government bond yields outside the US also moved higher. (Bond yields and prices generally move in the opposite direction.) For the 12-month reporting period as a whole, the overall US bond market, as measured by the Bloomberg US Aggregate Index,⁴ returned -9.12%. Returns of riskier fixed income securities also fell sharply. High yield bonds, as measured by the ICE BofAML US High Yield Cash Pay Constrained Index,⁵ returned -10.74%. Elsewhere, emerging markets debt, as measured by the J.P. Morgan Emerging Markets Bond Index Global (EMBI Global),⁶ returned -17.11% 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, 2022. 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 14, 2022. 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.

⁴  The Bloomberg 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, 2022 was 1.09% (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 Portfolio'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

With the Fed aggressively raising interest rates, the yields on short-term fixed income securities moved higher during the reporting period.

We tactically adjusted the Fund's weighted average maturity ("WAM") throughout the 12-month review period. When the reporting period began, the Fund had a WAM of 41 days. This was 21 days at the end of the reporting period.

A number of adjustments were made to the Fund's sector and issuer positioning during the 12-month period. We significantly reduced the Fund's exposures to US Treasury obligations and repurchase agreements. Meanwhile, we meaningfully increased its position in US government and agency obligations. (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.

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.

PACE Select Advisors Trust – UBS Government Money Market Investments Fund

Investment Advisor:

UBS Asset Management (Americas) Inc.

Portfolio Manager:

Robert Sabatino

Objective:

Current income consistent with preservation of capital and liquidity

Investment process:

The Fund 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 Fund. The Fund 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.

UBS Government Money Market Investments Fund

Yields and characteristics at a glance—July 31, 2022 (unaudited)

You could lose money by investing in UBS Government Money Market Investments Fund. 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 Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation ("FDIC") or any other government agency. UBS Government Money Market Investments Fund's sponsor has no legal obligation to provide financial support to UBS Government Money Market Investments Fund 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, 2022

UBS Government Money Market Investments Fund

Portfolio of investments—July 31, 2022

For a listing of defined portfolio acronyms that are used throughout the Portfolio of investments as well as the tables that follow, please refer to the Glossary of terms used in the Portfolio of investments.

Fair valuation summary

The following is a summary of the fair valuations according to the inputs used as of July 31, 2022 in valuing the Portfolio's investments. In the event a 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, 2022, there were no transfers in or out of Level 3.

Portfolio footnotes

¹  Variable or floating rate security. The interest rate shown is the rate in effect as of period end and changes periodically.

²  Rate shown is the discount rate at the date of purchase unless otherwise noted.

³  Rates shown reflect yield at July 31, 2022.

PACE Mortgage-Backed Securities Fixed Income Investments

Performance

For the 12-months ended July 31, 2022, the Portfolio's Class P shares returned -8.09% before the deduction of the maximum PACE Select program fee.¹ In comparison, the Bloomberg US Mortgage-Backed Securities Index (the "benchmark") returned -6.69%. (Returns for all share classes over various time periods are shown in the "Performance at a glance" table on page 10. 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 generated a negative return and underperformed its benchmark during the reporting period. Overall interest rate strategies were negative for results. An overweight to the 5-year and 7-year portions of the US bond curve detracted from returns as Treasury yields rose. Overall mortgage strategies detracted from relative performance. Relative value trades within agency mortgage-backed securities (MBS), including an up-in-coupon bias within Ginnie Mae and Fannie Mae mortgages, were headwinds for returns. An allocation to senior securitized credit contributed to performance. However, exposure to select collateralized loan obligations (CLOs) detracted from returns.

Overall, derivative usage was positive for performance during the period. The use of interest rate swaps to manage US interest rate exposure and yield curve positioning detracted from performance, while the use of interest rate options contributed to results. Mortgage pool options, used to manage interest rate and volatility risk within the sector, detracted from performance. Options on swaps were primarily used to manage interest rate exposure and currency volatility and were neutral for returns. Total return swaps, used to replicate broad exposure to interest only agency mortgages while limiting idiosyncratic risk of owning individual bonds, were neutral for results. Overall, the use of currency options, futures, and interest rate swaps were all neutral for performance.

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 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.

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 26, 2021 were as follows: Class A—1.14% and 0.98%; Class Y— 0.95% and 0.73%; and Class P— 0.96% and 0.73%. 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, 2022 (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 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 US Mortgage-Backed Securities Index over the 10 years ended July 31, 2022. 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, 2022

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, 2022

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2022

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2022

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2022

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2022

PACE Mortgage-Backed Securities Fixed Income Investments

Portfolio of investments—July 31, 2022