UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | February 28 |
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|
Date of reporting period: | August 31, 2013 |
Item 1. Reports to Stockholders
Fidelity® Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity Large Cap Core Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index Fund
Fidelity International Enhanced Index Fund
Semiannual Report
(Fidelity Cover Art)
August 31, 2013
Contents
Shareholder Expense Example | An example of shareholder expenses | |
| ||
Fidelity® Large Cap Growth Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Value Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Core Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
|
|
|
Fidelity Mid Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Small Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity International Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Notes | Notes to the Financial Statements |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2013 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2013 to August 31, 2013).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,093.80 | $ 2.37 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,084.90 | $ 2.36 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,091.80 | $ 2.37 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Mid Cap Enhanced Index Fund | .60% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,102.50 | $ 3.18 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.18 | $ 3.06 |
Fidelity Small Cap Enhanced Index Fund | .67% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,099.10 | $ 3.54 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.83 | $ 3.41 |
Fidelity International Enhanced Index Fund | .62% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,039.20 | $ 3.19 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.08 | $ 3.16 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 4.3 | 5.6 |
Microsoft Corp. | 3.6 | 3.1 |
Google, Inc. Class A | 2.8 | 2.9 |
IBM Corp. | 2.7 | 3.1 |
Verizon Communications, Inc. | 2.0 | 1.4 |
QUALCOMM, Inc. | 1.8 | 1.8 |
Home Depot, Inc. | 1.8 | 1.7 |
Oracle Corp. | 1.8 | 2.1 |
Comcast Corp. Class A | 1.7 | 1.0 |
Schlumberger Ltd. | 1.6 | 1.0 |
| 24.1 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Information Technology | 28.2 | 28.1 |
Consumer Discretionary | 19.8 | 15.5 |
Health Care | 13.8 | 11.9 |
Consumer Staples | 11.3 | 13.8 |
Industrials | 10.2 | 13.6 |
Financials | 7.0 | 5.7 |
Energy | 3.7 | 4.4 |
Materials | 2.9 | 3.5 |
Telecommunication Services | 2.0 | 1.4 |
Utilities | 0.0 | 0.7 |
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 19.8% | |||
Auto Components - 1.5% | |||
Delphi Automotive PLC | 7,219 | $ 397,189 | |
Gentex Corp. | 44,707 | 1,007,249 | |
Lear Corp. | 14,671 | 1,008,631 | |
Visteon Corp. (a) | 8,146 | 583,335 | |
| 2,996,404 | ||
Automobiles - 0.7% | |||
Ford Motor Co. | 92,959 | 1,505,006 | |
Distributors - 0.6% | |||
Genuine Parts Co. | 14,836 | 1,142,520 | |
Diversified Consumer Services - 0.3% | |||
Service Corp. International | 31,251 | 565,018 | |
Hotels, Restaurants & Leisure - 2.9% | |||
Bally Technologies, Inc. (a)(e) | 15,311 | 1,104,382 | |
International Game Technology | 56,731 | 1,071,649 | |
Las Vegas Sands Corp. | 26,780 | 1,509,053 | |
McDonald's Corp. | 17,995 | 1,698,008 | |
Starbucks Corp. | 5,201 | 366,775 | |
| 5,749,867 | ||
Household Durables - 0.6% | |||
PulteGroup, Inc. | 34,226 | 526,738 | |
Whirlpool Corp. | 5,493 | 706,674 | |
| 1,233,412 | ||
Internet & Catalog Retail - 1.4% | |||
Amazon.com, Inc. (a) | 5,451 | 1,531,622 | |
Liberty Media Corp. Interactive Series A (a) | 44,615 | 1,007,407 | |
priceline.com, Inc. (a) | 304 | 285,313 | |
| 2,824,342 | ||
Leisure Equipment & Products - 0.5% | |||
Polaris Industries, Inc. | 8,370 | 914,088 | |
Media - 5.0% | |||
AMC Networks, Inc. Class A (a) | 12,327 | 764,027 | |
Comcast Corp. Class A | 81,917 | 3,447,887 | |
DIRECTV (a) | 27,483 | 1,598,961 | |
Morningstar, Inc. | 2,678 | 201,091 | |
Starz - Liberty Capital Series A (a) | 43,034 | 1,074,129 | |
The Walt Disney Co. | 17,464 | 1,062,335 | |
Time Warner Cable, Inc. | 5,810 | 623,704 | |
Twenty-First Century Fox, Inc. Class A | 4,733 | 148,285 | |
Viacom, Inc. Class B (non-vtg.) | 15,957 | 1,269,539 | |
| 10,189,958 | ||
Multiline Retail - 1.0% | |||
Dillard's, Inc. Class A | 11,922 | 909,172 | |
Macy's, Inc. | 25,924 | 1,151,803 | |
| 2,060,975 | ||
Specialty Retail - 4.5% | |||
Foot Locker, Inc. | 28,617 | 921,467 | |
Gap, Inc. | 29,584 | 1,196,377 | |
Home Depot, Inc. | 48,054 | 3,579,542 | |
| |||
Shares | Value | ||
Lowe's Companies, Inc. | 25,176 | $ 1,153,564 | |
O'Reilly Automotive, Inc. (a) | 8,326 | 1,021,683 | |
PetSmart, Inc. | 16,869 | 1,188,084 | |
| 9,060,717 | ||
Textiles, Apparel & Luxury Goods - 0.8% | |||
Carter's, Inc. | 1,420 | 104,569 | |
Coach, Inc. | 329 | 17,374 | |
Hanesbrands, Inc. | 4,248 | 252,671 | |
NIKE, Inc. Class B | 21,209 | 1,332,349 | |
| 1,706,963 | ||
TOTAL CONSUMER DISCRETIONARY | 39,949,270 | ||
CONSUMER STAPLES - 11.3% | |||
Beverages - 2.8% | |||
PepsiCo, Inc. | 38,841 | 3,096,793 | |
The Coca-Cola Co. | 66,393 | 2,534,885 | |
| 5,631,678 | ||
Food & Staples Retailing - 3.1% | |||
Costco Wholesale Corp. | 3,459 | 386,958 | |
CVS Caremark Corp. | 20,020 | 1,162,161 | |
Kroger Co. | 39,070 | 1,429,962 | |
Rite Aid Corp. (a) | 137,032 | 474,131 | |
Wal-Mart Stores, Inc. | 37,912 | 2,766,818 | |
| 6,220,030 | ||
Food Products - 2.6% | |||
General Mills, Inc. | 23,865 | 1,177,022 | |
Ingredion, Inc. | 14,583 | 917,854 | |
Kraft Foods Group, Inc. | 13,286 | 687,816 | |
Pilgrims Pride Corp. (a)(e) | 50,684 | 776,986 | |
The J.M. Smucker Co. | 6,566 | 696,915 | |
Tyson Foods, Inc. Class A | 33,428 | 967,741 | |
| 5,224,334 | ||
Household Products - 0.8% | |||
Colgate-Palmolive Co. | 6,374 | 368,226 | |
Kimberly-Clark Corp. | 13,838 | 1,293,576 | |
| 1,661,802 | ||
Personal Products - 0.6% | |||
Nu Skin Enterprises, Inc. Class A | 13,534 | 1,132,931 | |
Tobacco - 1.4% | |||
Altria Group, Inc. | 18,326 | 620,885 | |
Philip Morris International, Inc. | 26,986 | 2,251,712 | |
| 2,872,597 | ||
TOTAL CONSUMER STAPLES | 22,743,372 | ||
ENERGY - 3.7% | |||
Energy Equipment & Services - 2.4% | |||
Atwood Oceanics, Inc. (a) | 13,663 | 760,756 | |
Diamond Offshore Drilling, Inc. | 653 | 41,812 | |
Dril-Quip, Inc. (a) | 5,524 | 563,503 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Halliburton Co. | 2,096 | $ 100,608 | |
Schlumberger Ltd. | 41,074 | 3,324,530 | |
| 4,791,209 | ||
Oil, Gas & Consumable Fuels - 1.3% | |||
CVR Energy, Inc. | 3,006 | 128,717 | |
Delek US Holdings, Inc. | 11,093 | 275,772 | |
HollyFrontier Corp. | 1,684 | 74,904 | |
Marathon Petroleum Corp. | 13,835 | 1,003,176 | |
Phillips 66 | 16,353 | 933,756 | |
World Fuel Services Corp. (e) | 4,618 | 176,177 | |
| 2,592,502 | ||
TOTAL ENERGY | 7,383,711 | ||
FINANCIALS - 7.0% | |||
Capital Markets - 1.6% | |||
Franklin Resources, Inc. | 27,394 | 1,264,507 | |
Goldman Sachs Group, Inc. | 6,038 | 918,561 | |
Waddell & Reed Financial, Inc. Class A | 21,566 | 1,026,973 | |
| 3,210,041 | ||
Commercial Banks - 0.5% | |||
Wells Fargo & Co. | 22,615 | 929,024 | |
Consumer Finance - 2.1% | |||
American Express Co. | 35,691 | 2,566,540 | |
Discover Financial Services | 20,066 | 948,119 | |
SLM Corp. | 28,665 | 687,673 | |
| 4,202,332 | ||
Diversified Financial Services - 1.7% | |||
CBOE Holdings, Inc. | 23,694 | 1,087,318 | |
McGraw-Hill Companies, Inc. | 20,215 | 1,179,950 | |
Moody's Corp. | 19,950 | 1,268,022 | |
| 3,535,290 | ||
Insurance - 1.1% | |||
The Chubb Corp. | 2,871 | 238,781 | |
The Travelers Companies, Inc. | 14,622 | 1,168,298 | |
Validus Holdings Ltd. | 25,452 | 880,894 | |
| 2,287,973 | ||
TOTAL FINANCIALS | 14,164,660 | ||
HEALTH CARE - 13.8% | |||
Biotechnology - 4.6% | |||
Amgen, Inc. | 27,387 | 2,983,540 | |
Biogen Idec, Inc. (a) | 9,930 | 2,115,289 | |
Celgene Corp. (a) | 7,824 | 1,095,204 | |
Gilead Sciences, Inc. (a) | 19,322 | 1,164,537 | |
Myriad Genetics, Inc. (a)(e) | 34,124 | 893,025 | |
United Therapeutics Corp. (a)(e) | 15,568 | 1,103,927 | |
| 9,355,522 | ||
| |||
Shares | Value | ||
Health Care Equipment & Supplies - 1.8% | |||
Abbott Laboratories | 28,378 | $ 945,839 | |
Baxter International, Inc. | 19,380 | 1,348,073 | |
St. Jude Medical, Inc. | 14,375 | 724,644 | |
Zimmer Holdings, Inc. | 7,516 | 594,440 | |
| 3,612,996 | ||
Health Care Providers & Services - 3.6% | |||
Aetna, Inc. | 17,874 | 1,133,033 | |
AmerisourceBergen Corp. | 23,288 | 1,325,553 | |
Cardinal Health, Inc. | 3,228 | 162,304 | |
Express Scripts Holding Co. (a) | 21,172 | 1,352,467 | |
McKesson Corp. | 13,478 | 1,636,364 | |
Quest Diagnostics, Inc. (e) | 10,892 | 638,489 | |
WellPoint, Inc. | 12,571 | 1,070,295 | |
| 7,318,505 | ||
Pharmaceuticals - 3.8% | |||
AbbVie, Inc. | 60,871 | 2,593,713 | |
Allergan, Inc. | 17,824 | 1,575,285 | |
Bristol-Myers Squibb Co. | 10,682 | 445,333 | |
Eli Lilly & Co. | 25,255 | 1,298,107 | |
Johnson & Johnson | 19,175 | 1,656,912 | |
| 7,569,350 | ||
TOTAL HEALTH CARE | 27,856,373 | ||
INDUSTRIALS - 10.2% | |||
Aerospace & Defense - 3.8% | |||
Honeywell International, Inc. | 10,363 | 824,584 | |
Lockheed Martin Corp. | 4,168 | 510,247 | |
Northrop Grumman Corp. | 11,587 | 1,069,132 | |
Raytheon Co. (e) | 13,181 | 993,979 | |
The Boeing Co. | 27,509 | 2,858,735 | |
United Technologies Corp. | 14,951 | 1,496,595 | |
| 7,753,272 | ||
Air Freight & Logistics - 0.2% | |||
United Parcel Service, Inc. Class B | 5,720 | 489,518 | |
Airlines - 0.3% | |||
Copa Holdings SA Class A | 4,096 | 535,675 | |
Electrical Equipment - 1.2% | |||
Babcock & Wilcox Co. | 7,385 | 228,861 | |
Emerson Electric Co. | 23,988 | 1,448,156 | |
Generac Holdings, Inc. (e) | 16,963 | 671,565 | |
| 2,348,582 | ||
Industrial Conglomerates - 0.7% | |||
3M Co. | 12,810 | 1,454,960 | |
Machinery - 2.5% | |||
Deere & Co. | 11,173 | 934,510 | |
Dover Corp. | 14,121 | 1,200,991 | |
Lincoln Electric Holdings, Inc. | 10,911 | 682,265 | |
Toro Co. | 8,789 | 464,147 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Machinery - continued | |||
Valmont Industries, Inc. | 7,361 | $ 993,441 | |
Wabtec Corp. | 14,334 | 838,826 | |
| 5,114,180 | ||
Marine - 0.4% | |||
Matson, Inc. | 26,774 | 712,992 | |
Road & Rail - 1.1% | |||
Union Pacific Corp. | 14,593 | 2,240,609 | |
TOTAL INDUSTRIALS | 20,649,788 | ||
INFORMATION TECHNOLOGY - 28.2% | |||
Communications Equipment - 2.7% | |||
Cisco Systems, Inc. | 39,073 | 910,792 | |
Harris Corp. | 11,823 | 669,536 | |
Motorola Solutions, Inc. | 5,566 | 311,752 | |
QUALCOMM, Inc. | 55,385 | 3,670,918 | |
| 5,562,998 | ||
Computers & Peripherals - 6.7% | |||
Apple, Inc. | 17,852 | 8,694,813 | |
EMC Corp. | 64,101 | 1,652,524 | |
NetApp, Inc. (e) | 30,856 | 1,281,758 | |
SanDisk Corp. (e) | 17,931 | 989,433 | |
Western Digital Corp. | 14,560 | 902,720 | |
| 13,521,248 | ||
Internet Software & Services - 3.6% | |||
eBay, Inc. (a) | 13,453 | 672,515 | |
Facebook, Inc. Class A (a) | 18,211 | 751,750 | |
Google, Inc. Class A (a) | 6,694 | 5,669,149 | |
Yahoo!, Inc. (a) | 6,602 | 179,046 | |
| 7,272,460 | ||
IT Services - 8.3% | |||
Accenture PLC Class A (e) | 4,609 | 333,000 | |
Amdocs Ltd. | 25,457 | 938,345 | |
Booz Allen Hamilton Holding Corp. Class A | 49,692 | 1,005,269 | |
Broadridge Financial Solutions, Inc. | 27,293 | 812,240 | |
Cognizant Technology Solutions Corp. Class A (a) | 21,074 | 1,544,724 | |
DST Systems, Inc. | 4,065 | 290,119 | |
IBM Corp. | 29,573 | 5,390,271 | |
Jack Henry & Associates, Inc. | 18,057 | 901,044 | |
MasterCard, Inc. Class A | 4,339 | 2,629,781 | |
Total System Services, Inc. | 39,759 | 1,100,132 | |
Vantiv, Inc. (a) | 17,866 | 471,841 | |
Visa, Inc. Class A | 8,230 | 1,435,477 | |
| 16,852,243 | ||
Semiconductors & Semiconductor Equipment - 1.0% | |||
Broadcom Corp. Class A | 11,432 | 288,772 | |
| |||
Shares | Value | ||
Intel Corp. | 50,511 | $ 1,110,232 | |
Maxim Integrated Products, Inc. | 19,812 | 551,665 | |
Texas Instruments, Inc. | 409 | 15,624 | |
| 1,966,293 | ||
Software - 5.9% | |||
Aspen Technology, Inc. (a) | 13,415 | 448,463 | |
CA Technologies, Inc. | 18,968 | 554,814 | |
Microsoft Corp. | 219,295 | 7,324,453 | |
Oracle Corp. | 110,386 | 3,516,898 | |
| 11,844,628 | ||
TOTAL INFORMATION TECHNOLOGY | 57,019,870 | ||
MATERIALS - 2.9% | |||
Chemicals - 2.3% | |||
E.I. du Pont de Nemours & Co. | 4,980 | 281,968 | |
LyondellBasell Industries NV Class A | 24,248 | 1,700,997 | |
Monsanto Co. | 17,315 | 1,694,965 | |
Westlake Chemical Corp. | 10,035 | 1,015,341 | |
| 4,693,271 | ||
Containers & Packaging - 0.6% | |||
Graphic Packaging Holding Co. (a) | 17,247 | 143,323 | |
Packaging Corp. of America | 21,257 | 1,127,471 | |
| 1,270,794 | ||
TOTAL MATERIALS | 5,964,065 | ||
TELECOMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 2.0% | |||
Verizon Communications, Inc. | 84,080 | 3,983,710 | |
TOTAL COMMON STOCKS (Cost $169,127,473) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.07% to 0.09% 12/12/13 to 6/26/14 (f) | $ 250,000 |
|
Money Market Funds - 4.0% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 1,754,451 | $ 1,754,451 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 6,271,125 | 6,271,125 | |
TOTAL MONEY MARKET FUNDS (Cost $8,025,576) |
| ||
TOTAL INVESTMENT PORTFOLIO - 103.0% (Cost $177,402,931) | 207,990,304 | ||
NET OTHER ASSETS (LIABILITIES) - (3.0)% | (6,121,521) | ||
NET ASSETS - 100% | $ 201,868,783 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
26 CME E-mini S&P 500 Index Contracts | Sept. 2013 | $ 2,120,690 | $ 43,103 |
|
The face value of futures purchased as a percentage of net assets is 1.1% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $109,992. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 6,642 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 39,949,270 | $ 39,949,270 | $ - | $ - |
Consumer Staples | 22,743,372 | 22,743,372 | - | - |
Energy | 7,383,711 | 7,383,711 | - | - |
Financials | 14,164,660 | 14,164,660 | - | - |
Health Care | 27,856,373 | 27,856,373 | - | - |
Industrials | 20,649,788 | 20,649,788 | - | - |
Information Technology | 57,019,870 | 57,019,870 | - | - |
Materials | 5,964,065 | 5,964,065 | - | - |
Telecommunication Services | 3,983,710 | 3,983,710 | - | - |
U.S. Government and Government Agency Obligations | 249,909 | - | 249,909 | - |
Money Market Funds | 8,025,576 | 8,025,576 | - | - |
Total Investments in Securities: | $ 207,990,304 | $ 207,740,395 | $ 249,909 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 43,103 | $ 43,103 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 43,103 | $ - |
Total Value of Derivatives | $ 43,103 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $6,061,247) - See accompanying schedule: Unaffiliated issuers (cost $171,131,806) | $ 201,719,179 |
|
Fidelity Central Funds (cost $6,271,125) | 6,271,125 |
|
Total Investments (cost $177,402,931) |
| $ 207,990,304 |
Cash |
| 456,064 |
Receivable for fund shares sold | 103,711 | |
Dividends receivable | 369,003 | |
Interest receivable | 124 | |
Distributions receivable from Fidelity Central Funds | 856 | |
Total assets | 208,920,062 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 456,064 | |
Payable for fund shares redeemed | 239,449 | |
Accrued management fee | 51,506 | |
Payable for daily variation margin for derivative instruments | 7,382 | |
Other affiliated payables | 25,753 | |
Collateral on securities loaned, at value | 6,271,125 | |
Total liabilities | 7,051,279 | |
|
|
|
Net Assets | $ 201,868,783 | |
Net Assets consist of: |
| |
Paid in capital | $ 162,444,800 | |
Undistributed net investment income | 1,396,109 | |
Accumulated undistributed net realized gain (loss) on investments | 7,397,398 | |
Net unrealized appreciation (depreciation) on investments | 30,630,476 | |
Net Assets, for 15,969,799 shares outstanding | $ 201,868,783 | |
Net Asset Value, offering price and redemption price per share ($201,868,783 ÷ 15,969,799 shares) | $ 12.64 |
Statement of Operations
Six months ended August 31, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,820,158 |
Interest |
| 928 |
Income from Fidelity Central Funds |
| 6,642 |
Total income |
| 1,827,728 |
|
|
|
Expenses | ||
Management fee | $ 283,129 | |
Transfer agent fees | 142,134 | |
Independent trustees' compensation | 1,139 | |
Miscellaneous | 201 | |
Total expenses | 426,603 | |
Net investment income (loss) | 1,401,125 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,239,699 | |
Futures contracts | 234,096 | |
Total net realized gain (loss) |
| 7,473,795 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 6,944,510 | |
Futures contracts | 21,372 | |
Total change in net unrealized appreciation (depreciation) |
| 6,965,882 |
Net gain (loss) | 14,439,677 | |
Net increase (decrease) in net assets resulting from operations | $ 15,840,802 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,401,125 | $ 2,903,760 |
Net realized gain (loss) | 7,473,795 | 6,475,353 |
Change in net unrealized appreciation (depreciation) | 6,965,882 | 5,009,598 |
Net increase (decrease) in net assets resulting from operations | 15,840,802 | 14,388,711 |
Distributions to shareholders from net investment income | (558,507) | (2,493,084) |
Distributions to shareholders from net realized gain | (2,663,649) | - |
Total distributions | (3,222,156) | (2,493,084) |
Share transactions | 43,416,103 | 80,543,311 |
Reinvestment of distributions | 3,109,286 | 2,387,285 |
Cost of shares redeemed | (28,667,212) | (65,260,416) |
Net increase (decrease) in net assets resulting from share transactions | 17,858,177 | 17,670,180 |
Total increase (decrease) in net assets | 30,476,823 | 29,565,807 |
Net Assets | ||
Beginning of period | 171,391,960 | 141,826,153 |
End of period (including undistributed net investment income of $1,396,109 and undistributed net investment income of $553,491, respectively) | $ 201,868,783 | $ 171,391,960 |
Other Information Shares | ||
Sold | 3,459,822 | 7,227,786 |
Issued in reinvestment of distributions | 256,119 | 217,076 |
Redeemed | (2,312,746) | (5,855,594) |
Net increase (decrease) | 1,403,195 | 1,589,268 |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 H | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.77 | $ 10.93 | $ 10.19 | $ 8.44 | $ 5.60 | $ 9.25 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .20 | .13 | .11 | .11 | .09 |
Net realized and unrealized gain (loss) | 1.01 | .81 | .72 | 1.75 | 2.83 | (3.65) |
Total from investment operations | 1.10 | 1.01 | .85 | 1.86 | 2.94 | (3.56) |
Distributions from net investment income | (.04) | (.17) | (.11) | (.11) | (.10) | (.09) |
Distributions from net realized gain | (.19) | - | - | - | - | - |
Total distributions | (.23) | (.17) | (.11) | (.11) | (.10) | (.09) |
Net asset value, end of period | $ 12.64 | $ 11.77 | $ 10.93 | $ 10.19 | $ 8.44 | $ 5.60 |
Total Return B, C | 9.38% | 9.36% | 8.40% | 22.14% | 52.50% | (38.61)% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.48% A | 1.80% | 1.30% | 1.25% | 1.42% | 1.14% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 201,869 | $ 171,392 | $ 141,826 | $ 68,115 | $ 49,812 | $ 22,104 |
Portfolio turnover rate F | 89% A | 87% | 77% | 80% | 35% I | 58% I |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. H For the year ended February 29. I Reflects adjustments to exclude transactions in money market funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 5.0 | 5.3 |
Chevron Corp. | 3.1 | 3.1 |
Johnson & Johnson | 3.0 | 2.1 |
Berkshire Hathaway, Inc. Class B | 2.8 | 1.8 |
Wells Fargo & Co. | 2.8 | 2.3 |
General Electric Co. | 2.7 | 3.3 |
JPMorgan Chase & Co. | 2.7 | 2.6 |
Pfizer, Inc. | 2.3 | 2.4 |
Bank of America Corp. | 2.2 | 1.7 |
Citigroup, Inc. | 2.1 | 1.7 |
| 28.7 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 28.5 | 27.3 |
Health Care | 14.0 | 11.1 |
Energy | 12.9 | 15.0 |
Information Technology | 10.5 | 6.2 |
Industrials | 8.8 | 9.8 |
Consumer Discretionary | 7.1 | 7.0 |
Consumer Staples | 6.3 | 7.9 |
Utilities | 4.3 | 6.8 |
Telecommunication Services | 2.8 | 2.4 |
Materials | 2.3 | 2.6 |
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.5% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 7.1% | |||
Auto Components - 1.1% | |||
Gentex Corp. | 31,066 | $ 699,917 | |
Lear Corp. | 11,999 | 824,931 | |
| 1,524,848 | ||
Automobiles - 0.8% | |||
Ford Motor Co. | 66,270 | 1,072,911 | |
Diversified Consumer Services - 0.0% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 3,650 | 67,781 | |
Hotels, Restaurants & Leisure - 0.5% | |||
International Game Technology | 38,751 | 732,006 | |
Household Durables - 0.4% | |||
Whirlpool Corp. | 4,039 | 519,617 | |
Internet & Catalog Retail - 0.0% | |||
Liberty Media Corp. Interactive Series A (a) | 609 | 13,751 | |
Media - 2.8% | |||
Comcast Corp. Class A | 18,627 | 784,010 | |
Starz - Liberty Capital Series A (a) | 31,938 | 797,172 | |
The Walt Disney Co. | 19,765 | 1,202,305 | |
Time Warner, Inc. | 10,820 | 654,935 | |
Washington Post Co. Class B (e) | 860 | 485,040 | |
| 3,923,462 | ||
Multiline Retail - 0.5% | |||
Dillard's, Inc. Class A | 8,061 | 614,732 | |
Target Corp. | 449 | 28,426 | |
| 643,158 | ||
Specialty Retail - 1.0% | |||
Foot Locker, Inc. | 20,524 | 660,873 | |
Home Depot, Inc. | 9,231 | 687,617 | |
PetSmart, Inc. | 1,543 | 108,673 | |
| 1,457,163 | ||
TOTAL CONSUMER DISCRETIONARY | 9,954,697 | ||
CONSUMER STAPLES - 6.3% | |||
Food & Staples Retailing - 1.8% | |||
CVS Caremark Corp. | 25,109 | 1,457,577 | |
Kroger Co. | 11,564 | 423,242 | |
Wal-Mart Stores, Inc. | 8,239 | 601,282 | |
| 2,482,101 | ||
Food Products - 2.5% | |||
Archer Daniels Midland Co. | 30,182 | 1,062,708 | |
Ingredion, Inc. | 6,201 | 390,291 | |
Kraft Foods Group, Inc. | 1,074 | 55,601 | |
Mondelez International, Inc. | 6,641 | 203,679 | |
Pilgrims Pride Corp. (a) | 45,008 | 689,973 | |
The J.M. Smucker Co. | 2,202 | 233,720 | |
Tyson Foods, Inc. Class A | 29,151 | 843,921 | |
| 3,479,893 | ||
| |||
Shares | Value | ||
Household Products - 2.0% | |||
Procter & Gamble Co. | 36,265 | $ 2,824,681 | |
TOTAL CONSUMER STAPLES | 8,786,675 | ||
ENERGY - 12.9% | |||
Energy Equipment & Services - 0.5% | |||
Diamond Offshore Drilling, Inc. (e) | 5,617 | 359,657 | |
Schlumberger Ltd. | 3,813 | 308,624 | |
| 668,281 | ||
Oil, Gas & Consumable Fuels - 12.4% | |||
Anadarko Petroleum Corp. | 2,055 | 187,868 | |
Chevron Corp. | 36,140 | 4,352,340 | |
ConocoPhillips (e) | 18,956 | 1,256,783 | |
Exxon Mobil Corp. | 81,259 | 7,082,541 | |
HollyFrontier Corp. | 16,111 | 716,617 | |
Marathon Petroleum Corp. | 15,018 | 1,088,955 | |
Occidental Petroleum Corp. | 5,936 | 523,615 | |
Phillips 66 | 21,690 | 1,238,499 | |
Valero Energy Corp. | 26,305 | 934,617 | |
| 17,381,835 | ||
TOTAL ENERGY | 18,050,116 | ||
FINANCIALS - 28.5% | |||
Capital Markets - 2.2% | |||
Franklin Resources, Inc. | 209 | 9,647 | |
Goldman Sachs Group, Inc. | 11,939 | 1,816,280 | |
Morgan Stanley | 48,087 | 1,238,721 | |
| 3,064,648 | ||
Commercial Banks - 7.0% | |||
CIT Group, Inc. (a) | 16,478 | 788,802 | |
Fifth Third Bancorp | 51,029 | 933,320 | |
PNC Financial Services Group, Inc. | 17,304 | 1,250,560 | |
Regions Financial Corp. | 85,202 | 800,899 | |
SunTrust Banks, Inc. | 28,097 | 899,666 | |
Synovus Financial Corp. | 219,281 | 699,506 | |
U.S. Bancorp | 15,399 | 556,366 | |
Wells Fargo & Co. | 95,712 | 3,931,849 | |
| 9,860,968 | ||
Consumer Finance - 1.9% | |||
American Express Co. | 8,862 | 637,266 | |
Capital One Financial Corp. | 1,501 | 96,890 | |
Discover Financial Services | 22,045 | 1,041,626 | |
SLM Corp. | 34,519 | 828,111 | |
| 2,603,893 | ||
Diversified Financial Services - 7.0% | |||
Bank of America Corp. | 217,745 | 3,074,559 | |
Citigroup, Inc. | 61,480 | 2,971,328 | |
JPMorgan Chase & Co. | 75,512 | 3,815,621 | |
| 9,861,508 | ||
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Insurance - 8.4% | |||
ACE Ltd. | 3,428 | $ 300,704 | |
Allstate Corp. | 13,750 | 658,900 | |
American Financial Group, Inc. | 1,810 | 93,269 | |
American International Group, Inc. | 9,638 | 447,781 | |
American National Insurance Co. | 3,840 | 403,085 | |
Aspen Insurance Holdings Ltd. | 3,526 | 125,420 | |
Axis Capital Holdings Ltd. | 8,659 | 372,250 | |
Berkshire Hathaway, Inc. Class B (a) | 35,852 | 3,987,459 | |
Everest Re Group Ltd. | 5,217 | 714,468 | |
First American Financial Corp. | 14,094 | 294,565 | |
HCC Insurance Holdings, Inc. | 702 | 29,624 | |
Marsh & McLennan Companies, Inc. | 2,621 | 108,064 | |
MetLife, Inc. | 1,333 | 61,571 | |
PartnerRe Ltd. | 8,754 | 762,911 | |
Platinum Underwriters Holdings Ltd. | 11,166 | 645,171 | |
ProAssurance Corp. | 9,318 | 439,251 | |
RenaissanceRe Holdings Ltd. | 7,694 | 672,456 | |
The Travelers Companies, Inc. | 13,203 | 1,054,920 | |
Validus Holdings Ltd. | 18,009 | 623,291 | |
| 11,795,160 | ||
Real Estate Investment Trusts - 2.0% | |||
Chimera Investment Corp. | 23,523 | 69,158 | |
Corrections Corp. of America | 20,917 | 689,006 | |
Extra Space Storage, Inc. | 8,551 | 352,558 | |
MFA Financial, Inc. | 83,811 | 603,439 | |
Public Storage | 1,238 | 189,005 | |
Retail Properties America, Inc. | 10,469 | 139,656 | |
RLJ Lodging Trust | 23,047 | 529,620 | |
Starwood Property Trust, Inc. | 4,946 | 123,304 | |
Weyerhaeuser Co. | 6,376 | 174,575 | |
| 2,870,321 | ||
TOTAL FINANCIALS | 40,056,498 | ||
HEALTH CARE - 14.0% | |||
Biotechnology - 0.5% | |||
Amgen, Inc. | 212 | 23,095 | |
United Therapeutics Corp. (a)(e) | 9,641 | 683,643 | |
| 706,738 | ||
Health Care Equipment & Supplies - 1.9% | |||
Abbott Laboratories | 15,105 | 503,450 | |
CareFusion Corp. (a) | 22,403 | 803,148 | |
Medtronic, Inc. | 26,776 | 1,385,658 | |
| 2,692,256 | ||
Health Care Providers & Services - 4.1% | |||
AmerisourceBergen Corp. | 11,825 | 673,079 | |
Cardinal Health, Inc. | 19,106 | 960,650 | |
Humana, Inc. | 6,215 | 572,277 | |
McKesson Corp. | 5,661 | 687,302 | |
| |||
Shares | Value | ||
Omnicare, Inc. (e) | 9,570 | $ 520,321 | |
Quest Diagnostics, Inc. | 8,827 | 517,439 | |
UnitedHealth Group, Inc. | 10,670 | 765,466 | |
WellPoint, Inc. | 12,975 | 1,104,692 | |
| 5,801,226 | ||
Pharmaceuticals - 7.5% | |||
AbbVie, Inc. | 16,025 | 682,825 | |
Eli Lilly & Co. | 14,309 | 735,483 | |
Johnson & Johnson | 48,132 | 4,159,086 | |
Merck & Co., Inc. | 36,080 | 1,706,223 | |
Pfizer, Inc. | 111,881 | 3,156,163 | |
| 10,439,780 | ||
TOTAL HEALTH CARE | 19,640,000 | ||
INDUSTRIALS - 8.8% | |||
Aerospace & Defense - 3.2% | |||
Alliant Techsystems, Inc. | 5,286 | 511,473 | |
General Dynamics Corp. | 7,368 | 613,386 | |
L-3 Communications Holdings, Inc. | 5,359 | 484,078 | |
Northrop Grumman Corp. | 11,329 | 1,045,327 | |
Raytheon Co. (e) | 14,516 | 1,094,652 | |
The Boeing Co. | 6,726 | 698,966 | |
| 4,447,882 | ||
Commercial Services & Supplies - 0.3% | |||
ADT Corp. (e) | 12,223 | 486,842 | |
Industrial Conglomerates - 3.5% | |||
3M Co. | 4,062 | 461,362 | |
Danaher Corp. | 9,973 | 653,431 | |
General Electric Co. | 166,835 | 3,860,562 | |
| 4,975,355 | ||
Machinery - 1.5% | |||
AGCO Corp. (e) | 12,669 | 716,559 | |
Caterpillar, Inc. (e) | 760 | 62,730 | |
CNH Global NV | 15,507 | 711,461 | |
Dover Corp. | 3,486 | 296,484 | |
Trinity Industries, Inc. (e) | 7,544 | 318,508 | |
| 2,105,742 | ||
Road & Rail - 0.3% | |||
Union Pacific Corp. | 2,559 | 392,909 | |
TOTAL INDUSTRIALS | 12,408,730 | ||
INFORMATION TECHNOLOGY - 10.5% | |||
Communications Equipment - 2.9% | |||
Brocade Communications Systems, Inc. (a) | 93,179 | 689,525 | |
Cisco Systems, Inc. | 116,985 | 2,726,920 | |
QUALCOMM, Inc. | 10,412 | 690,107 | |
| 4,106,552 | ||
Computers & Peripherals - 4.3% | |||
Apple, Inc. | 5,064 | 2,466,421 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - continued | |||
EMC Corp. | 42,705 | $ 1,100,935 | |
Hewlett-Packard Co. | 10,760 | 240,378 | |
NetApp, Inc. (e) | 16,901 | 702,068 | |
SanDisk Corp. (e) | 12,988 | 716,678 | |
Western Digital Corp. | 13,279 | 823,298 | |
| 6,049,778 | ||
Electronic Equipment & Components - 0.1% | |||
Avnet, Inc. | 2,152 | 82,981 | |
IT Services - 1.7% | |||
Amdocs Ltd. | 19,422 | 715,895 | |
Booz Allen Hamilton Holding Corp. Class A | 24,452 | 494,664 | |
CoreLogic, Inc. (a) | 15,607 | 401,100 | |
IBM Corp. | 702 | 127,954 | |
Total System Services, Inc. | 23,456 | 649,028 | |
| 2,388,641 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Intel Corp. | 47,456 | 1,043,083 | |
Software - 0.8% | |||
Activision Blizzard, Inc. | 4,204 | 68,609 | |
CA Technologies, Inc. | 18,708 | 547,209 | |
Microsoft Corp. | 12,526 | 418,368 | |
Oracle Corp. | 1,718 | 54,735 | |
| 1,088,921 | ||
TOTAL INFORMATION TECHNOLOGY | 14,759,956 | ||
MATERIALS - 2.3% | |||
Chemicals - 2.2% | |||
CF Industries Holdings, Inc. | 4,195 | 798,476 | |
LyondellBasell Industries NV Class A | 10,279 | 721,072 | |
Monsanto Co. | 3,314 | 324,407 | |
The Mosaic Co. | 17,617 | 733,748 | |
Westlake Chemical Corp. | 5,974 | 604,449 | |
| 3,182,152 | ||
Containers & Packaging - 0.1% | |||
Packaging Corp. of America | 1,958 | 103,852 | |
TOTAL MATERIALS | 3,286,004 | ||
TELECOMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 2.8% | |||
AT&T, Inc. | 86,387 | 2,922,472 | |
CenturyLink, Inc. (e) | 31,012 | 1,027,117 | |
| 3,949,589 | ||
UTILITIES - 4.3% | |||
Electric Utilities - 1.7% | |||
Duke Energy Corp. | 1,892 | 124,115 | |
| |||
Shares | Value | ||
Edison International | 19,704 | $ 904,217 | |
Pinnacle West Capital Corp. | 8,576 | 465,420 | |
UNS Energy Corp. | 6,341 | 289,974 | |
Xcel Energy, Inc. | 18,413 | 514,091 | |
| 2,297,817 | ||
Independent Power Producers & Energy Traders - 0.1% | |||
The AES Corp. | 14,284 | 181,550 | |
Multi-Utilities - 2.2% | |||
Ameren Corp. | 14,976 | 506,339 | |
Consolidated Edison, Inc. | 9,089 | 511,074 | |
DTE Energy Co. | 9,709 | 649,241 | |
Public Service Enterprise Group, Inc. | 29,733 | 963,944 | |
SCANA Corp. | 2,415 | 116,210 | |
Vectren Corp. | 3,903 | 127,238 | |
Wisconsin Energy Corp. (e) | 4,497 | 184,557 | |
| 3,058,603 | ||
Water Utilities - 0.3% | |||
American Water Works Co., Inc. | 11,001 | 448,181 | |
TOTAL UTILITIES | 5,986,151 | ||
TOTAL COMMON STOCKS (Cost $116,132,915) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.09% 12/12/13 (f) | $ 200,000 |
|
Money Market Funds - 7.3% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 2,497,172 | 2,497,172 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 7,688,000 | 7,688,000 | |
TOTAL MONEY MARKET FUNDS (Cost $10,185,172) |
| ||
TOTAL INVESTMENT PORTFOLIO - 104.9% (Cost $126,518,037) | 147,263,575 | ||
NET OTHER ASSETS (LIABILITIES) - (4.9)% | (6,856,038) | ||
NET ASSETS - 100% | $ 140,407,537 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
43 CME E-mini S&P 500 Index Contracts | Sept. 2013 | $ 3,507,295 | $ 68,948 |
|
The face value of futures purchased as a percentage of net assets is 2.5% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $199,987. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 3,604 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 9,954,697 | $ 9,954,697 | $ - | $ - |
Consumer Staples | 8,786,675 | 8,786,675 | - | - |
Energy | 18,050,116 | 18,050,116 | - | - |
Financials | 40,056,498 | 40,056,498 | - | - |
Health Care | 19,640,000 | 19,640,000 | - | - |
Industrials | 12,408,730 | 12,408,730 | - | - |
Information Technology | 14,759,956 | 14,759,956 | - | - |
Materials | 3,286,004 | 3,286,004 | - | - |
Telecommunication Services | 3,949,589 | 3,949,589 | - | - |
Utilities | 5,986,151 | 5,986,151 | - | - |
U.S. Government and Government Agency Obligations | 199,987 | - | 199,987 | - |
Money Market Funds | 10,185,172 | 10,185,172 | - | - |
Total Investments in Securities: | $ 147,263,575 | $ 147,063,588 | $ 199,987 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 68,948 | $ 68,948 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 68,948 | $ - |
Total Value of Derivatives | $ 68,948 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $7,465,126) - See accompanying schedule: Unaffiliated issuers (cost $118,830,037) | $ 139,575,575 |
|
Fidelity Central Funds (cost $7,688,000) | 7,688,000 |
|
Total Investments (cost $126,518,037) |
| $ 147,263,575 |
Cash |
| 297,659 |
Receivable for investments sold | 148,722 | |
Receivable for fund shares sold | 701,398 | |
Dividends receivable | 331,836 | |
Interest receivable | 103 | |
Distributions receivable from Fidelity Central Funds | 500 | |
Other receivables | 1,649 | |
Total assets | 148,745,442 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 297,659 | |
Payable for fund shares redeemed | 289,925 | |
Accrued management fee | 35,089 | |
Payable for daily variation margin for derivative instruments | 9,687 | |
Other affiliated payables | 17,545 | |
Collateral on securities loaned, at value | 7,688,000 | |
Total liabilities | 8,337,905 | |
|
|
|
Net Assets | $ 140,407,537 | |
Net Assets consist of: |
| |
Paid in capital | $ 112,564,511 | |
Undistributed net investment income | 1,315,388 | |
Accumulated undistributed net realized gain (loss) on investments | 5,713,152 | |
Net unrealized appreciation (depreciation) on investments | 20,814,486 | |
Net Assets, for 14,865,983 shares outstanding | $ 140,407,537 | |
Net Asset Value, offering price and redemption price per share ($140,407,537 ÷ 14,865,983 shares) | $ 9.44 |
Statement of Operations
| Six months ended August 31, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,598,872 |
Interest |
| 991 |
Income from Fidelity Central Funds |
| 3,604 |
Total income |
| 1,603,467 |
|
|
|
Expenses | ||
Management fee | $ 188,401 | |
Transfer agent fees | 94,582 | |
Independent trustees' compensation | 763 | |
Miscellaneous | 125 | |
Total expenses | 283,871 | |
Net investment income (loss) | 1,319,596 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 5,494,330 | |
Futures contracts | 501,932 | |
Total net realized gain (loss) |
| 5,996,262 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 2,101,944 | |
Futures contracts | (79,445) | |
Total change in net unrealized appreciation (depreciation) |
| 2,022,499 |
Net gain (loss) | 8,018,761 | |
Net increase (decrease) in net assets resulting from operations | $ 9,338,357 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,319,596 | $ 1,862,514 |
Net realized gain (loss) | 5,996,262 | 4,128,067 |
Change in net unrealized appreciation (depreciation) | 2,022,499 | 8,731,072 |
Net increase (decrease) in net assets resulting from operations | 9,338,357 | 14,721,653 |
Distributions to shareholders from net investment income | (444,787) | (1,610,247) |
Distributions to shareholders from net realized gain | (2,071,438) | (1,265,614) |
Total distributions | (2,516,225) | (2,875,861) |
Share transactions | 59,926,674 | 49,477,878 |
Reinvestment of distributions | 2,432,168 | 2,776,149 |
Cost of shares redeemed | (35,513,507) | (28,713,291) |
Net increase (decrease) in net assets resulting from share transactions | 26,845,335 | 23,540,736 |
Total increase (decrease) in net assets | 33,667,467 | 35,386,528 |
Net Assets | ||
Beginning of period | 106,740,070 | 71,353,542 |
End of period (including undistributed net investment income of $1,315,388 and undistributed net investment income of $440,579, respectively) | $ 140,407,537 | $ 106,740,070 |
Other Information Shares | ||
Sold | 6,398,161 | 6,067,936 |
Issued in reinvestment of distributions | 266,102 | 349,249 |
Redeemed | (3,807,519) | (3,584,294) |
Net increase (decrease) | 2,856,744 | 2,832,891 |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 I | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.89 | $ 7.78 | $ 7.92 | $ 6.70 | $ 4.59 | $ 8.68 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .10 | .18 | .15 | .12 | .13 | .20 |
Net realized and unrealized gain (loss) | .65 | 1.21 | .10 G | 1.22 | 2.11 | (4.14) |
Total from investment operations | .75 | 1.39 | .25 | 1.34 | 2.24 | (3.94) |
Distributions from net investment income | (.04) | (.15) | (.13) | (.12) | (.13) | (.15) |
Distributions from net realized gain | (.16) | (.13) | (.26) | - | - | - |
Total distributions | (.20) | (.28) | (.39) | (.12) | (.13) | (.15) |
Net asset value, end of period | $ 9.44 | $ 8.89 | $ 7.78 | $ 7.92 | $ 6.70 | $ 4.59 |
Total Return B, C | 8.49% | 18.38% | 3.58% | 20.15% | 48.83% | (45.82)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.09% A | 2.27% | 2.04% | 1.76% | 2.11% | 2.81% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 140,408 | $ 106,740 | $ 71,354 | $ 85,123 | $ 69,024 | $ 20,162 |
Portfolio turnover rate F | 80% A | 76% | 85% | 83% | 89% J | 72% J |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I For the year ended February 29. J Reflects adjustments to exclude transactions in money market funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 3.5 | 3.3 |
Exxon Mobil Corp. | 3.1 | 3.3 |
Johnson & Johnson | 2.1 | 1.8 |
Microsoft Corp. | 2.0 | 1.8 |
Chevron Corp. | 2.0 | 2.0 |
General Electric Co. | 1.9 | 2.1 |
Google, Inc. Class A | 1.9 | 1.7 |
Berkshire Hathaway, Inc. Class B | 1.9 | 1.0 |
Wells Fargo & Co. | 1.8 | 1.6 |
JPMorgan Chase & Co. | 1.8 | 1.7 |
| 22.0 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Information Technology | 19.5 | 18.6 |
Financials | 17.2 | 16.4 |
Health Care | 14.5 | 11.2 |
Consumer Discretionary | 13.9 | 10.3 |
Consumer Staples | 10.1 | 11.7 |
Industrials | 8.5 | 11.1 |
Energy | 8.5 | 10.3 |
Materials | 2.2 | 2.6 |
Telecommunication Services | 2.1 | 1.9 |
Utilities | 1.3 | 4.2 |
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.9% | |||
Auto Components - 2.0% | |||
Delphi Automotive PLC | 21,600 | $ 1,188,432 | |
Gentex Corp. | 46,677 | 1,051,633 | |
Johnson Controls, Inc. | 39,657 | 1,607,298 | |
Lear Corp. | 11,642 | 800,388 | |
| 4,647,751 | ||
Automobiles - 0.6% | |||
Ford Motor Co. | 93,735 | 1,517,570 | |
Hotels, Restaurants & Leisure - 1.5% | |||
Bally Technologies, Inc. (a) | 8,436 | 608,489 | |
International Game Technology | 67,831 | 1,281,328 | |
McDonald's Corp. | 19,114 | 1,803,597 | |
| 3,693,414 | ||
Household Durables - 0.6% | |||
Whirlpool Corp. | 10,353 | 1,331,913 | |
Internet & Catalog Retail - 0.5% | |||
Amazon.com, Inc. (a) | 2,012 | 565,332 | |
Liberty Media Corp. Interactive Series A (a) | 28,769 | 649,604 | |
| 1,214,936 | ||
Media - 4.9% | |||
Comcast Corp. Class A | 70,045 | 2,948,194 | |
DIRECTV (a) | 23,167 | 1,347,856 | |
Starz - Liberty Capital Series A (a) | 46,082 | 1,150,207 | |
The Walt Disney Co. | 36,512 | 2,221,025 | |
Time Warner Cable, Inc. | 4,558 | 489,301 | |
Time Warner, Inc. | 23,126 | 1,399,817 | |
Viacom, Inc. Class B (non-vtg.) | 19,509 | 1,552,136 | |
Washington Post Co. Class B | 848 | 478,272 | |
| 11,586,808 | ||
Multiline Retail - 0.0% | |||
Dillard's, Inc. Class A | 655 | 49,950 | |
Specialty Retail - 3.3% | |||
Foot Locker, Inc. | 33,170 | 1,068,074 | |
Gap, Inc. | 32,007 | 1,294,363 | |
Home Depot, Inc. | 39,003 | 2,905,333 | |
Lowe's Companies, Inc. | 32,924 | 1,508,578 | |
PetSmart, Inc. | 11,786 | 830,088 | |
TJX Companies, Inc. | 3,684 | 194,220 | |
| 7,800,656 | ||
Textiles, Apparel & Luxury Goods - 0.5% | |||
NIKE, Inc. Class B | 17,539 | 1,101,800 | |
TOTAL CONSUMER DISCRETIONARY | 32,944,798 | ||
| |||
Shares | Value | ||
CONSUMER STAPLES - 10.1% | |||
Beverages - 1.4% | |||
PepsiCo, Inc. | 24,579 | $ 1,959,684 | |
The Coca-Cola Co. | 31,794 | 1,213,895 | |
| 3,173,579 | ||
Food & Staples Retailing - 3.1% | |||
CVS Caremark Corp. | 37,234 | 2,161,434 | |
Kroger Co. | 30,726 | 1,124,572 | |
Rite Aid Corp. (a) | 353,031 | 1,221,487 | |
Wal-Mart Stores, Inc. | 39,578 | 2,888,402 | |
| 7,395,895 | ||
Food Products - 2.9% | |||
Archer Daniels Midland Co. | 26,988 | 950,247 | |
General Mills, Inc. | 27,282 | 1,345,548 | |
Ingredion, Inc. | 683 | 42,988 | |
Kraft Foods Group, Inc. | 21,767 | 1,126,878 | |
Pilgrims Pride Corp. (a) | 56,403 | 864,658 | |
The J.M. Smucker Co. | 12,292 | 1,304,673 | |
Tyson Foods, Inc. Class A | 45,212 | 1,308,887 | |
| 6,943,879 | ||
Household Products - 2.3% | |||
Kimberly-Clark Corp. | 16,264 | 1,520,359 | |
Procter & Gamble Co. | 50,202 | 3,910,234 | |
| 5,430,593 | ||
Tobacco - 0.4% | |||
Philip Morris International, Inc. | 12,198 | 1,017,801 | |
TOTAL CONSUMER STAPLES | 23,961,747 | ||
ENERGY - 8.5% | |||
Energy Equipment & Services - 0.7% | |||
Diamond Offshore Drilling, Inc. | 9,591 | 614,112 | |
Schlumberger Ltd. | 12,677 | 1,026,076 | |
| 1,640,188 | ||
Oil, Gas & Consumable Fuels - 7.8% | |||
Chevron Corp. | 38,579 | 4,646,069 | |
ConocoPhillips | 24,615 | 1,631,975 | |
Delek US Holdings, Inc. | 16,337 | 406,138 | |
Exxon Mobil Corp. | 84,753 | 7,387,071 | |
HollyFrontier Corp. | 2,868 | 127,569 | |
Marathon Petroleum Corp. | 21,552 | 1,562,736 | |
Occidental Petroleum Corp. | 315 | 27,786 | |
Phillips 66 | 29,160 | 1,665,036 | |
Valero Energy Corp. | 30,492 | 1,083,381 | |
| 18,537,761 | ||
TOTAL ENERGY | 20,177,949 | ||
FINANCIALS - 17.2% | |||
Capital Markets - 2.0% | |||
Franklin Resources, Inc. | 16,670 | 769,487 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Capital Markets - continued | |||
Goldman Sachs Group, Inc. | 14,064 | $ 2,139,556 | |
Morgan Stanley | 67,299 | 1,733,622 | |
| 4,642,665 | ||
Commercial Banks - 3.4% | |||
CIT Group, Inc. (a) | 24,445 | 1,170,182 | |
Fifth Third Bancorp | 76,083 | 1,391,558 | |
Regions Financial Corp. | 66,275 | 622,985 | |
U.S. Bancorp | 12,232 | 441,942 | |
Wells Fargo & Co. | 107,177 | 4,402,831 | |
| 8,029,498 | ||
Consumer Finance - 2.1% | |||
American Express Co. | 31,206 | 2,244,023 | |
Discover Financial Services | 31,351 | 1,481,335 | |
SLM Corp. | 56,515 | 1,355,795 | |
| 5,081,153 | ||
Diversified Financial Services - 5.4% | |||
Bank of America Corp. | 251,446 | 3,550,418 | |
CBOE Holdings, Inc. | 13,331 | 611,760 | |
Citigroup, Inc. | 72,430 | 3,500,542 | |
JPMorgan Chase & Co. | 82,664 | 4,177,012 | |
The NASDAQ Stock Market, Inc. | 30,725 | 917,449 | |
| 12,757,181 | ||
Insurance - 4.3% | |||
Axis Capital Holdings Ltd. | 13,736 | 590,511 | |
Berkshire Hathaway, Inc. Class B (a) | 39,697 | 4,415,100 | |
CNA Financial Corp. | 9,980 | 352,094 | |
Everest Re Group Ltd. | 28 | 3,835 | |
First American Financial Corp. | 16,377 | 342,279 | |
HCC Insurance Holdings, Inc. | 71 | 2,996 | |
Marsh & McLennan Companies, Inc. | 20,673 | 852,348 | |
PartnerRe Ltd. | 6,294 | 548,522 | |
Platinum Underwriters Holdings Ltd. | 7,127 | 411,798 | |
RenaissanceRe Holdings Ltd. | 8,132 | 710,737 | |
The Travelers Companies, Inc. | 19,717 | 1,575,388 | |
Validus Holdings Ltd. | 12,525 | 433,490 | |
| 10,239,098 | ||
TOTAL FINANCIALS | 40,749,595 | ||
HEALTH CARE - 14.5% | |||
Biotechnology - 1.8% | |||
Amgen, Inc. | 6,373 | 694,275 | |
Biogen Idec, Inc. (a) | 8,736 | 1,860,943 | |
Celgene Corp. (a) | 904 | 126,542 | |
Gilead Sciences, Inc. (a)(e) | 6,307 | 380,123 | |
United Therapeutics Corp. (a)(e) | 17,403 | 1,234,047 | |
| 4,295,930 | ||
| |||
Shares | Value | ||
Health Care Equipment & Supplies - 2.5% | |||
Abbott Laboratories | 59,097 | $ 1,969,703 | |
CareFusion Corp. (a) | 36,142 | 1,295,691 | |
Medtronic, Inc. | 37,477 | 1,939,435 | |
St. Jude Medical, Inc. | 13,949 | 703,169 | |
| 5,907,998 | ||
Health Care Providers & Services - 4.0% | |||
Aetna, Inc. | 13,737 | 870,788 | |
AmerisourceBergen Corp. | 23,593 | 1,342,914 | |
Cardinal Health, Inc. | 29,156 | 1,465,964 | |
McKesson Corp. | 13,411 | 1,628,230 | |
Omnicare, Inc. (e) | 13,563 | 737,420 | |
UnitedHealth Group, Inc. | 25,465 | 1,826,859 | |
WellPoint, Inc. | 19,136 | 1,629,239 | |
| 9,501,414 | ||
Pharmaceuticals - 6.2% | |||
AbbVie, Inc. | 52,475 | 2,235,960 | |
Eli Lilly & Co. | 22,988 | 1,181,583 | |
Johnson & Johnson | 57,189 | 4,941,701 | |
Merck & Co., Inc. | 53,241 | 2,517,767 | |
Pfizer, Inc. | 137,586 | 3,881,301 | |
| 14,758,312 | ||
TOTAL HEALTH CARE | 34,463,654 | ||
INDUSTRIALS - 8.5% | |||
Aerospace & Defense - 3.9% | |||
Exelis, Inc. | 26,617 | 391,536 | |
General Dynamics Corp. | 17,905 | 1,490,591 | |
Honeywell International, Inc. | 6,619 | 526,674 | |
L-3 Communications Holdings, Inc. | 14,554 | 1,314,663 | |
Northrop Grumman Corp. | 16,458 | 1,518,580 | |
Raytheon Co. | 20,658 | 1,557,820 | |
The Boeing Co. | 21,876 | 2,273,354 | |
United Technologies Corp. | 2,005 | 200,701 | |
| 9,273,919 | ||
Electrical Equipment - 0.4% | |||
Generac Holdings, Inc. (e) | 25,034 | 991,096 | |
Industrial Conglomerates - 2.7% | |||
3M Co. | 16,704 | 1,897,240 | |
General Electric Co. | 194,839 | 4,508,574 | |
| 6,405,814 | ||
Machinery - 0.6% | |||
AGCO Corp. | 6,673 | 377,425 | |
CNH Global NV | 13,459 | 617,499 | |
Dover Corp. | 6,062 | 515,573 | |
Mueller Industries, Inc. | 1,265 | 67,728 | |
| 1,578,225 | ||
Marine - 0.1% | |||
Matson, Inc. | 9,179 | 244,437 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Road & Rail - 0.8% | |||
Union Pacific Corp. | 11,838 | $ 1,817,607 | |
TOTAL INDUSTRIALS | 20,311,098 | ||
INFORMATION TECHNOLOGY - 19.5% | |||
Communications Equipment - 3.1% | |||
Brocade Communications Systems, Inc. (a) | 65,304 | 483,250 | |
Cisco Systems, Inc. | 131,652 | 3,068,808 | |
Harris Corp. | 11,822 | 669,480 | |
QUALCOMM, Inc. | 45,325 | 3,004,141 | |
| 7,225,679 | ||
Computers & Peripherals - 6.1% | |||
Apple, Inc. | 17,077 | 8,317,350 | |
EMC Corp. | 79,178 | 2,041,209 | |
NetApp, Inc. (e) | 35,366 | 1,469,104 | |
SanDisk Corp. | 25,129 | 1,386,618 | |
Western Digital Corp. | 21,880 | 1,356,560 | |
| 14,570,841 | ||
Internet Software & Services - 1.9% | |||
Google, Inc. Class A (a) | 5,222 | 4,422,512 | |
Yahoo!, Inc. (a) | 4,299 | 116,589 | |
| 4,539,101 | ||
IT Services - 3.8% | |||
Amdocs Ltd. | 26,088 | 961,604 | |
Cognizant Technology Solutions Corp. Class A (a) | 22,080 | 1,618,464 | |
IBM Corp. | 18,709 | 3,410,089 | |
MasterCard, Inc. Class A | 3,589 | 2,175,221 | |
Total System Services, Inc. | 19,289 | 533,727 | |
Visa, Inc. Class A | 2,098 | 365,933 | |
| 9,065,038 | ||
Semiconductors & Semiconductor Equipment - 1.0% | |||
Intel Corp. | 109,366 | 2,403,865 | |
Software - 3.6% | |||
CA Technologies, Inc. | 45,934 | 1,343,570 | |
Microsoft Corp. | 141,146 | 4,714,276 | |
Oracle Corp. | 78,535 | 2,502,125 | |
| 8,559,971 | ||
TOTAL INFORMATION TECHNOLOGY | 46,364,495 | ||
MATERIALS - 2.2% | |||
Chemicals - 2.0% | |||
CF Industries Holdings, Inc. | 4,493 | 855,198 | |
LyondellBasell Industries NV Class A | 23,527 | 1,650,419 | |
| |||
Shares | Value | ||
Monsanto Co. | 15,509 | $ 1,518,176 | |
Westlake Chemical Corp. | 5,974 | 604,449 | |
| 4,628,242 | ||
Containers & Packaging - 0.2% | |||
Graphic Packaging Holding Co. (a) | 18,381 | 152,746 | |
Packaging Corp. of America | 7,357 | 390,215 | |
| 542,961 | ||
TOTAL MATERIALS | 5,171,203 | ||
TELECOMMUNICATION SERVICES - 2.1% | |||
Diversified Telecommunication Services - 2.1% | |||
AT&T, Inc. | 69,336 | 2,345,637 | |
CenturyLink, Inc. | 39,295 | 1,301,450 | |
Verizon Communications, Inc. | 30,241 | 1,432,819 | |
| 5,079,906 | ||
UTILITIES - 1.3% | |||
Electric Utilities - 0.1% | |||
Edison International | 2,470 | 113,348 | |
Multi-Utilities - 1.1% | |||
Ameren Corp. | 25,422 | 859,518 | |
DTE Energy Co. | 12,289 | 821,765 | |
Public Service Enterprise Group, Inc. | 30,543 | 990,204 | |
| 2,671,487 | ||
Water Utilities - 0.1% | |||
American Water Works Co., Inc. | 5,810 | 236,699 | |
TOTAL UTILITIES | 3,021,534 | ||
TOTAL COMMON STOCKS (Cost $209,732,557) |
|
U.S. Treasury Obligations - 0.2% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.08% 9/19/13 (f) | $ 500,000 |
|
Money Market Funds - 3.5% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 4,472,386 | $ 4,472,386 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 3,791,875 | 3,791,875 | |
TOTAL MONEY MARKET FUNDS (Cost $8,264,261) |
| ||
TOTAL INVESTMENT PORTFOLIO - 101.5% (Cost $218,496,797) | 241,010,236 | ||
NET OTHER ASSETS (LIABILITIES) - (1.5)% | (3,598,433) | ||
NET ASSETS - 100% | $ 237,411,803 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
64 CME E-mini S&P 500 Index Contracts | Sept. 2013 | $ 5,220,160 | $ 57,649 |
|
The face value of futures purchased as a percentage of net assets is 2.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $318,997. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 13,413 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 32,944,798 | $ 32,944,798 | $ - | $ - |
Consumer Staples | 23,961,747 | 23,961,747 | - | - |
Energy | 20,177,949 | 20,177,949 | - | - |
Financials | 40,749,595 | 40,749,595 | - | - |
Health Care | 34,463,654 | 34,463,654 | - | - |
Industrials | 20,311,098 | 20,311,098 | - | - |
Information Technology | 46,364,495 | 46,364,495 | - | - |
Materials | 5,171,203 | 5,171,203 | - | - |
Telecommunication Services | 5,079,906 | 5,079,906 | - | - |
Utilities | 3,021,534 | 3,021,534 | - | - |
U.S. Government and Government Agency Obligations | 499,996 | - | 499,996 | - |
Money Market Funds | 8,264,261 | 8,264,261 | - | - |
Total Investments in Securities: | $ 241,010,236 | $ 240,510,240 | $ 499,996 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 57,649 | $ 57,649 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 57,649 | $ - |
Total Valude of Derivatives | $ 57,649 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $3,655,351) - See accompanying schedule: Unaffiliated issuers (cost $214,704,922) | $ 237,218,361 |
|
Fidelity Central Funds (cost $3,791,875) | 3,791,875 |
|
Total Investments (cost $218,496,797) |
| $ 241,010,236 |
Cash |
| 610,375 |
Receivable for fund shares sold | 96,983 | |
Dividends receivable | 514,081 | |
Interest receivable | 182 | |
Distributions receivable from Fidelity Central Funds | 307 | |
Total assets | 242,232,164 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 610,375 | |
Payable for fund shares redeemed | 309,257 | |
Accrued management fee | 60,809 | |
Payable for daily variation margin for derivative instruments | 17,642 | |
Other affiliated payables | 30,403 | |
Collateral on securities loaned, at value | 3,791,875 | |
Total liabilities | 4,820,361 | |
|
|
|
Net Assets | $ 237,411,803 | |
Net Assets consist of: |
| |
Paid in capital | $ 223,254,699 | |
Undistributed net investment income | 2,567,349 | |
Accumulated undistributed net realized gain (loss) on investments | (10,981,333) | |
Net unrealized appreciation (depreciation) on investments | 22,571,088 | |
Net Assets, for 21,518,802 shares outstanding | $ 237,411,803 | |
Net Asset Value, offering price and redemption price per share ($237,411,803 ÷ 21,518,802 shares) | $ 11.03 |
Statement of Operations
| Six months ended August 31, 2013 (Unaudited) | |
Investment Income |
|
|
Dividends |
| $ 2,435,195 |
Interest |
| 1,156 |
Income from Fidelity Central Funds |
| 13,413 |
Total income |
| 2,449,764 |
|
|
|
Expenses | ||
Management fee | $ 340,458 | |
Transfer agent fees | 170,920 | |
Independent trustees' compensation | 1,382 | |
Miscellaneous | 249 | |
Total expenses before reductions | 513,009 | |
Expense reductions | (13) | 512,996 |
Net investment income (loss) | 1,936,768 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 5,969,901 | |
Futures contracts | 268,413 | |
Total net realized gain (loss) |
| 6,238,314 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 10,817,755 | |
Futures contracts | 64,214 | |
Total change in net unrealized appreciation (depreciation) |
| 10,881,969 |
Net gain (loss) | 17,120,283 | |
Net increase (decrease) in net assets resulting from operations | $ 19,057,051 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,936,768 | $ 4,941,579 |
Net realized gain (loss) | 6,238,314 | 11,950,985 |
Change in net unrealized appreciation (depreciation) | 10,881,969 | 9,631,714 |
Net increase (decrease) in net assets resulting from operations | 19,057,051 | 26,524,278 |
Distributions to shareholders from net investment income | (797,257) | (4,152,614) |
Distributions to shareholders from net realized gain | (11,414,389) | (1,162,732) |
Total distributions | (12,211,646) | (5,315,346) |
Share transactions | 29,816,071 | 52,970,505 |
Reinvestment of distributions | 11,683,616 | 5,061,436 |
Cost of shares redeemed | (19,608,518) | (132,790,409) |
Net increase (decrease) in net assets resulting from share transactions | 21,891,169 | (74,758,468) |
Total increase (decrease) in net assets | 28,736,574 | (53,549,536) |
Net Assets | ||
Beginning of period | 208,675,229 | 262,224,765 |
End of period (including undistributed net investment income of $2,567,349 and undistributed net investment income of $1,427,838, respectively) | $ 237,411,803 | $ 208,675,229 |
Other Information Shares | ||
Sold | 2,700,232 | 5,322,241 |
Issued in reinvestment of distributions | 1,100,152 | 509,712 |
Redeemed | (1,785,097) | (13,418,567) |
Net increase (decrease) | 2,015,287 | (7,586,614) |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 I | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.70 | $ 9.68 | $ 9.09 | $ 7.69 | $ 5.27 | $ 9.20 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .21 | .14 | .13 | .12 | .16 |
Net realized and unrealized gain (loss) | .87 | 1.03 | .48 G | 1.42 | 2.43 | (3.95) |
Total from investment operations | .96 | 1.24 | .62 | 1.55 | 2.55 | (3.79) |
Distributions from net investment income | (.04) | (.18) | (.03) | (.15) | (.13) | (.14) |
Distributions from net realized gain | (.59) | (.05) | - | - | - | - |
Total distributions | (.63) | (.22) J | (.03) | (.15) | (.13) | (.14) |
Net asset value, end of period | $ 11.03 | $ 10.70 | $ 9.68 | $ 9.09 | $ 7.69 | $ 5.27 |
Total Return B, C | 9.18% | 13.03% | 6.78% | 20.25% | 48.52% | (41.51)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.70% A | 2.08% | 1.53% | 1.58% | 1.76% | 2.05% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 237,412 | $ 208,675 | $ 262,225 | $ 968,646 | $ 1,006,185 | $ 723,548 |
Portfolio turnover rate F | 76% A | 85% | 104% | 64% | 60% K | 45% K |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. I For the year ended February 29. J Total distributions of $0.22 per share is comprised of distributions from net investment income of $0.175 and distributions from net realized gain of $.049 per share. K Reflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
CIGNA Corp. | 0.9 | 0.8 |
Kroger Co. | 0.9 | 0.7 |
Noble Energy, Inc. | 0.8 | 0.0 |
Cardinal Health, Inc. | 0.8 | 0.0 |
VF Corp. | 0.8 | 0.0 |
Public Service Enterprise Group, Inc. | 0.8 | 0.0 |
Delphi Automotive PLC | 0.8 | 0.8 |
Symantec Corp. | 0.8 | 0.8 |
McGraw-Hill Companies, Inc. | 0.8 | 0.7 |
Weyerhaeuser Co. | 0.8 | 0.8 |
| 8.2 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 20.5 | 21.4 |
Consumer Discretionary | 18.5 | 14.3 |
Information Technology | 15.1 | 14.9 |
Health Care | 12.1 | 7.6 |
Industrials | 10.6 | 14.5 |
Consumer Staples | 7.5 | 7.9 |
Utilities | 5.1 | 6.2 |
Energy | 4.9 | 6.7 |
Materials | 3.8 | 3.9 |
Telecommunication Services | 0.0 | 0.2 |
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 18.5% | |||
Auto Components - 3.2% | |||
BorgWarner, Inc. | 915 | $ 88,371 | |
Delphi Automotive PLC | 33,643 | 1,851,038 | |
Gentex Corp. | 55,604 | 1,252,758 | |
Lear Corp. | 20,766 | 1,427,663 | |
The Goodyear Tire & Rubber Co. (a) | 70,816 | 1,424,818 | |
TRW Automotive Holdings Corp. (a) | 18,228 | 1,259,008 | |
Visteon Corp. (a) | 900 | 64,449 | |
| 7,368,105 | ||
Distributors - 0.2% | |||
Genuine Parts Co. | 6,090 | 468,991 | |
Hotels, Restaurants & Leisure - 2.2% | |||
Bally Technologies, Inc. (a)(e) | 17,605 | 1,269,849 | |
International Game Technology | 66,133 | 1,249,252 | |
Marriott Vacations Worldwide Corp. (a)(e) | 5,894 | 256,978 | |
Wyndham Worldwide Corp. | 9,570 | 568,075 | |
Wynn Resorts Ltd. (e) | 11,880 | 1,675,555 | |
| 5,019,709 | ||
Household Durables - 1.4% | |||
Mohawk Industries, Inc. (a) | 3,589 | 421,672 | |
PulteGroup, Inc. | 73,545 | 1,131,858 | |
Whirlpool Corp. | 12,093 | 1,555,764 | |
| 3,109,294 | ||
Internet & Catalog Retail - 1.4% | |||
Expedia, Inc. | 12,195 | 570,238 | |
Liberty Media Corp. Interactive | 53,094 | 1,198,863 | |
Netflix, Inc. (a)(e) | 5,389 | 1,529,991 | |
| 3,299,092 | ||
Leisure Equipment & Products - 1.2% | |||
Mattel, Inc. | 32,862 | 1,330,911 | |
Polaris Industries, Inc. | 13,192 | 1,440,698 | |
Smith & Wesson Holding Corp. (a) | 8,768 | 95,922 | |
| 2,867,531 | ||
Media - 2.0% | |||
AMC Networks, Inc. Class A (a) | 17,617 | 1,091,902 | |
Charter Communications, Inc. Class A (a) | 4,000 | 485,680 | |
Scripps Networks Interactive, Inc. Class A | 17,353 | 1,275,966 | |
Starz - Liberty Capital Series A (a) | 56,292 | 1,405,048 | |
Washington Post Co. Class B | 486 | 274,104 | |
| 4,532,700 | ||
Multiline Retail - 0.8% | |||
Dillard's, Inc. Class A | 3,527 | 268,969 | |
Macy's, Inc. | 36,607 | 1,626,449 | |
| 1,895,418 | ||
Specialty Retail - 4.0% | |||
Best Buy Co., Inc. | 42,738 | 1,538,568 | |
Foot Locker, Inc. | 8,516 | 274,215 | |
Gap, Inc. | 40,352 | 1,631,835 | |
| |||
Shares | Value | ||
L Brands, Inc. | 15,355 | $ 880,763 | |
O'Reilly Automotive, Inc. (a) | 14,062 | 1,725,548 | |
PetSmart, Inc. | 20,771 | 1,462,902 | |
Ross Stores, Inc. | 26,450 | 1,779,027 | |
| 9,292,858 | ||
Textiles, Apparel & Luxury Goods - 2.1% | |||
Coach, Inc. | 14,708 | 776,729 | |
Fossil Group, Inc. (a) | 7,396 | 858,971 | |
Hanesbrands, Inc. | 22,824 | 1,357,572 | |
VF Corp. | 9,956 | 1,863,863 | |
| 4,857,135 | ||
TOTAL CONSUMER DISCRETIONARY | 42,710,833 | ||
CONSUMER STAPLES - 7.5% | |||
Beverages - 0.5% | |||
Coca-Cola Enterprises, Inc. | 15,218 | 569,153 | |
Dr. Pepper Snapple Group, Inc. | 12,700 | 568,452 | |
| 1,137,605 | ||
Food & Staples Retailing - 1.4% | |||
Kroger Co. | 54,101 | 1,980,097 | |
Rite Aid Corp. (a) | 358,875 | 1,241,708 | |
| 3,221,805 | ||
Food Products - 4.5% | |||
Campbell Soup Co. (e) | 29,562 | 1,276,487 | |
ConAgra Foods, Inc. | 37,698 | 1,274,946 | |
Hormel Foods Corp. (e) | 17,624 | 730,162 | |
Ingredion, Inc. | 15,615 | 982,808 | |
Pilgrims Pride Corp. (a)(e) | 73,145 | 1,121,313 | |
Sanderson Farms, Inc. | 5,390 | 352,937 | |
The Hershey Co. | 18,536 | 1,704,385 | |
The J.M. Smucker Co. | 15,383 | 1,632,752 | |
Tyson Foods, Inc. Class A | 49,181 | 1,423,790 | |
| 10,499,580 | ||
Household Products - 0.4% | |||
Energizer Holdings, Inc. | 8,167 | 807,145 | |
Personal Products - 0.6% | |||
Nu Skin Enterprises, Inc. Class A | 16,774 | 1,404,152 | |
Tobacco - 0.1% | |||
Lorillard, Inc. | 5,000 | 211,500 | |
TOTAL CONSUMER STAPLES | 17,281,787 | ||
ENERGY - 4.9% | |||
Energy Equipment & Services - 1.4% | |||
Diamond Offshore Drilling, Inc. (e) | 18,534 | 1,186,732 | |
Helmerich & Payne, Inc. (e) | 15,657 | 987,017 | |
Oceaneering International, Inc. | 12,939 | 1,003,808 | |
| 3,177,557 | ||
Oil, Gas & Consumable Fuels - 3.5% | |||
Delek US Holdings, Inc. | 9,978 | 248,053 | |
HollyFrontier Corp. | 29,583 | 1,315,852 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Marathon Petroleum Corp. | 15,863 | $ 1,150,226 | |
Murphy Oil Corp. | 16,299 | 1,098,879 | |
Noble Energy, Inc. | 31,452 | 1,932,096 | |
Tesoro Corp. | 26,723 | 1,231,663 | |
Valero Energy Corp. | 32,211 | 1,144,457 | |
| 8,121,226 | ||
TOTAL ENERGY | 11,298,783 | ||
FINANCIALS - 20.5% | |||
Capital Markets - 1.9% | |||
Ameriprise Financial, Inc. | 1,141 | 98,297 | |
LPL Financial | 12,804 | 470,931 | |
Raymond James Financial, Inc. | 16,675 | 697,515 | |
SEI Investments Co. | 28,179 | 838,607 | |
T. Rowe Price Group, Inc. | 23,059 | 1,617,358 | |
Waddell & Reed Financial, Inc. Class A | 12,868 | 612,774 | |
| 4,335,482 | ||
Commercial Banks - 5.3% | |||
CIT Group, Inc. (a) | 29,981 | 1,435,190 | |
Fifth Third Bancorp | 94,661 | 1,731,350 | |
First Republic Bank | 31,132 | 1,378,525 | |
Huntington Bancshares, Inc. (e) | 166,678 | 1,373,427 | |
M&T Bank Corp. | 14,991 | 1,699,080 | |
Regions Financial Corp. | 171,378 | 1,610,953 | |
SunTrust Banks, Inc. | 55,055 | 1,762,861 | |
Synovus Financial Corp. | 368,615 | 1,175,882 | |
| 12,167,268 | ||
Consumer Finance - 1.4% | |||
Credit Acceptance Corp. (a) | 5,398 | 580,555 | |
Discover Financial Services | 24,077 | 1,137,638 | |
SLM Corp. | 65,364 | 1,568,082 | |
| 3,286,275 | ||
Diversified Financial Services - 2.9% | |||
CBOE Holdings, Inc. | 24,064 | 1,104,297 | |
ING U.S., Inc. | 37,774 | 1,087,891 | |
McGraw-Hill Companies, Inc. | 30,935 | 1,805,676 | |
Moody's Corp. | 25,309 | 1,608,640 | |
MSCI, Inc. Class A (a) | 22,307 | 836,736 | |
The NASDAQ Stock Market, Inc. | 5,339 | 159,423 | |
| 6,602,663 | ||
Insurance - 4.1% | |||
American International Group, Inc. warrants 1/19/21 (a) | 574 | 10,734 | |
Aon PLC | 25,262 | 1,676,892 | |
Arthur J. Gallagher & Co. | 12,493 | 516,461 | |
Aspen Insurance Holdings Ltd. | 20,896 | 743,271 | |
Axis Capital Holdings Ltd. | 28,098 | 1,207,933 | |
Everest Re Group Ltd. | 10,024 | 1,372,787 | |
HCC Insurance Holdings, Inc. | 22,300 | 941,060 | |
| |||
Shares | Value | ||
PartnerRe Ltd. | 4,249 | $ 370,300 | |
ProAssurance Corp. | 13,206 | 622,531 | |
Progressive Corp. (e) | 8,060 | 202,064 | |
RenaissanceRe Holdings Ltd. | 10,122 | 884,663 | |
Validus Holdings Ltd. | 24,657 | 853,379 | |
| 9,402,075 | ||
Real Estate Investment Trusts - 4.3% | |||
American Capital Agency Corp. | 15,251 | 347,113 | |
Camden Property Trust (SBI) | 6,879 | 425,053 | |
CBL & Associates Properties, Inc. | 35,083 | 673,594 | |
Corrections Corp. of America | 38,632 | 1,272,538 | |
Extra Space Storage, Inc. | 26,437 | 1,089,998 | |
General Growth Properties, Inc. | 66,649 | 1,278,328 | |
HCP, Inc. | 5,464 | 222,549 | |
Home Properties, Inc. | 3,296 | 190,179 | |
MFA Financial, Inc. | 94,809 | 682,625 | |
New Residential Investment Corp. | 84,524 | 536,727 | |
Potlatch Corp. | 4,890 | 188,558 | |
Retail Properties America, Inc. | 11,776 | 157,092 | |
RLJ Lodging Trust | 32,777 | 753,215 | |
The Geo Group, Inc. | 12,022 | 375,207 | |
Ventas, Inc. | 1,141 | 71,039 | |
Weyerhaeuser Co. | 65,679 | 1,798,291 | |
| 10,062,106 | ||
Thrifts & Mortgage Finance - 0.6% | |||
Home Loan Servicing Solutions Ltd. | 12,375 | 282,150 | |
Ocwen Financial Corp. (a) | 22,808 | 1,150,436 | |
| 1,432,586 | ||
TOTAL FINANCIALS | 47,288,455 | ||
HEALTH CARE - 12.1% | |||
Biotechnology - 2.1% | |||
Biogen Idec, Inc. (a) | 5,083 | 1,082,781 | |
Myriad Genetics, Inc. (a)(e) | 39,689 | 1,038,661 | |
Pharmacyclics, Inc. (a) | 13,071 | 1,457,417 | |
United Therapeutics Corp. (a)(e) | 18,335 | 1,300,135 | |
| 4,878,994 | ||
Health Care Equipment & Supplies - 3.2% | |||
Boston Scientific Corp. (a) | 91,724 | 970,440 | |
CareFusion Corp. (a) | 25,408 | 910,877 | |
Edwards Lifesciences Corp. (a)(e) | 20,333 | 1,431,037 | |
Sirona Dental Systems, Inc. (a) | 4,090 | 264,909 | |
St. Jude Medical, Inc. | 33,823 | 1,705,017 | |
Thoratec Corp. (a) | 14,730 | 526,303 | |
Zimmer Holdings, Inc. | 19,539 | 1,545,340 | |
| 7,353,923 | ||
Health Care Providers & Services - 5.5% | |||
AmerisourceBergen Corp. | 28,970 | 1,648,972 | |
Cardinal Health, Inc. | 37,279 | 1,874,388 | |
CIGNA Corp. | 26,295 | 2,069,154 | |
HCA Holdings, Inc. | 40,257 | 1,537,415 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Humana, Inc. | 16,590 | $ 1,527,607 | |
Laboratory Corp. of America Holdings (a)(e) | 11,303 | 1,081,923 | |
Omnicare, Inc. (e) | 25,627 | 1,393,340 | |
Quest Diagnostics, Inc. (e) | 26,333 | 1,543,640 | |
| 12,676,439 | ||
Pharmaceuticals - 1.3% | |||
Actavis, Inc. (a) | 1,700 | 229,806 | |
Mylan, Inc. (a) | 47,394 | 1,674,904 | |
Santarus, Inc. (a) | 12,933 | 291,251 | |
Warner Chilcott PLC | 6,752 | 144,830 | |
Zoetis, Inc. Class A | 25,773 | 751,283 | |
| 3,092,074 | ||
TOTAL HEALTH CARE | 28,001,430 | ||
INDUSTRIALS - 10.6% | |||
Aerospace & Defense - 2.2% | |||
Alliant Techsystems, Inc. | 13,340 | 1,290,778 | |
BE Aerospace, Inc. (a) | 20,510 | 1,398,577 | |
Exelis, Inc. | 12,925 | 190,127 | |
L-3 Communications Holdings, Inc. | 16,328 | 1,474,908 | |
Rockwell Collins, Inc. | 12,254 | 867,216 | |
| 5,221,606 | ||
Airlines - 0.3% | |||
Copa Holdings SA Class A | 226 | 29,556 | |
Delta Air Lines, Inc. | 32,329 | 637,851 | |
Southwest Airlines Co. | 245 | 3,138 | |
| 670,545 | ||
Commercial Services & Supplies - 0.3% | |||
UniFirst Corp. | 6,797 | 651,696 | |
Construction & Engineering - 0.1% | |||
AECOM Technology Corp. (a) | 5,567 | 162,167 | |
Electrical Equipment - 1.4% | |||
AMETEK, Inc. | 11,724 | 503,194 | |
Generac Holdings, Inc. (e) | 25,015 | 990,344 | |
Rockwell Automation, Inc. | 17,831 | 1,733,708 | |
| 3,227,246 | ||
Machinery - 4.8% | |||
AGCO Corp. (e) | 24,693 | 1,396,636 | |
CNH Global NV | 25,904 | 1,188,476 | |
Crane Co. | 12,272 | 704,536 | |
Dover Corp. | 20,485 | 1,742,249 | |
Ingersoll-Rand PLC | 20,313 | 1,201,311 | |
Lincoln Electric Holdings, Inc. | 6,839 | 427,643 | |
Parker Hannifin Corp. | 4,235 | 423,288 | |
Snap-On, Inc. | 3,403 | 318,521 | |
Toro Co. | 8,976 | 474,023 | |
Trinity Industries, Inc. (e) | 17,104 | 722,131 | |
Valmont Industries, Inc. | 8,523 | 1,150,264 | |
| |||
Shares | Value | ||
WABCO Holdings, Inc. (a) | 7,454 | $ 581,337 | |
Wabtec Corp. | 14,526 | 850,062 | |
| 11,180,477 | ||
Professional Services - 1.5% | |||
Equifax, Inc. | 686 | 40,536 | |
Manpower, Inc. | 20,174 | 1,308,284 | |
Robert Half International, Inc. | 20,068 | 707,798 | |
Towers Watson & Co. | 16,743 | 1,377,112 | |
| 3,433,730 | ||
TOTAL INDUSTRIALS | 24,547,467 | ||
INFORMATION TECHNOLOGY - 15.1% | |||
Communications Equipment - 1.0% | |||
Brocade Communications Systems, Inc. (a) | 175,850 | 1,301,290 | |
Harris Corp. | 12,944 | 733,019 | |
Juniper Networks, Inc. (a) | 16,474 | 311,359 | |
| 2,345,668 | ||
Computers & Peripherals - 2.2% | |||
NetApp, Inc. (e) | 41,314 | 1,716,184 | |
SanDisk Corp. (e) | 31,146 | 1,718,636 | |
Western Digital Corp. | 26,526 | 1,644,612 | |
| 5,079,432 | ||
Electronic Equipment & Components - 0.5% | |||
Avnet, Inc. | 22,008 | 848,628 | |
Ingram Micro, Inc. Class A (a) | 14,176 | 313,290 | |
| 1,161,918 | ||
Internet Software & Services - 0.0% | |||
AOL, Inc. | 1,935 | 63,720 | |
IT Services - 2.3% | |||
Amdocs Ltd. | 35,324 | 1,302,043 | |
Booz Allen Hamilton Holding Corp. | 28,925 | 585,153 | |
Computer Sciences Corp. | 3,514 | 176,227 | |
Fidelity National Information Services, Inc. | 20,032 | 890,623 | |
Genpact Ltd. | 4,677 | 90,032 | |
Jack Henry & Associates, Inc. | 5,581 | 278,492 | |
The Western Union Co. | 28,452 | 498,764 | |
Total System Services, Inc. | 48,333 | 1,337,374 | |
| 5,158,708 | ||
Office Electronics - 0.7% | |||
Xerox Corp. | 166,999 | 1,666,650 | |
Semiconductors & Semiconductor Equipment - 5.1% | |||
Analog Devices, Inc. | 22,083 | 1,022,001 | |
Avago Technologies Ltd. | 39,029 | 1,503,007 | |
KLA-Tencor Corp. | 19,829 | 1,093,569 | |
Linear Technology Corp. (e) | 29,887 | 1,145,569 | |
Marvell Technology Group Ltd. | 110,585 | 1,339,184 | |
Maxim Integrated Products, Inc. | 51,057 | 1,421,682 | |
Micron Technology, Inc. (a) | 125,523 | 1,703,347 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
NVIDIA Corp. (e) | 62,954 | $ 928,572 | |
Xilinx, Inc. | 36,748 | 1,595,598 | |
| 11,752,529 | ||
Software - 3.3% | |||
Activision Blizzard, Inc. | 86,855 | 1,417,474 | |
Aspen Technology, Inc. (a) | 25,731 | 860,187 | |
CA Technologies, Inc. | 51,810 | 1,515,443 | |
Intuit, Inc. (e) | 18,406 | 1,169,333 | |
Symantec Corp. | 72,189 | 1,848,760 | |
Synopsys, Inc. (a) | 21,633 | 784,413 | |
| 7,595,610 | ||
TOTAL INFORMATION TECHNOLOGY | 34,824,235 | ||
MATERIALS - 3.8% | |||
Chemicals - 1.5% | |||
CF Industries Holdings, Inc. | 8,285 | 1,576,967 | |
Eastman Chemical Co. | 8,807 | 669,332 | |
Westlake Chemical Corp. | 11,860 | 1,199,995 | |
| 3,446,294 | ||
Containers & Packaging - 1.6% | |||
Avery Dennison Corp. | 1,431 | 61,190 | |
Bemis Co., Inc. | 6,082 | 242,003 | |
Graphic Packaging Holding Co. (a) | 101,068 | 839,875 | |
Packaging Corp. of America | 25,696 | 1,362,916 | |
Rock-Tenn Co. Class A | 8,261 | 917,880 | |
Silgan Holdings, Inc. | 5,581 | 263,312 | |
| 3,687,176 | ||
Paper & Forest Products - 0.7% | |||
International Paper Co. | 20,497 | 967,663 | |
Kapstone Paper & Packaging Corp. (e) | 14,918 | 626,556 | |
Louisiana-Pacific Corp. (a) | 6,134 | 91,765 | |
| 1,685,984 | ||
TOTAL MATERIALS | 8,819,454 | ||
UTILITIES - 5.1% | |||
Electric Utilities - 1.3% | |||
Edison International | 3,117 | 143,039 | |
NV Energy, Inc. | 6,333 | 148,509 | |
Pinnacle West Capital Corp. | 17,155 | 931,002 | |
Xcel Energy, Inc. | 62,751 | 1,752,008 | |
| 2,974,558 | ||
Gas Utilities - 0.0% | |||
National Fuel Gas Co. | 1,278 | 83,428 | |
Independent Power Producers & Energy Traders - 0.2% | |||
The AES Corp. | 37,796 | 480,387 | |
| |||
Shares | Value | ||
Multi-Utilities - 3.3% | |||
Alliant Energy Corp. | 13,219 | $ 655,795 | |
Ameren Corp. | 41,949 | 1,418,296 | |
CenterPoint Energy, Inc. | 15,968 | 366,146 | |
CMS Energy Corp. | 1,520 | 40,326 | |
DTE Energy Co. | 23,558 | 1,575,323 | |
Public Service Enterprise Group, Inc. | 57,228 | 1,855,332 | |
SCANA Corp. | 4,456 | 214,423 | |
Wisconsin Energy Corp. (e) | 34,530 | 1,417,111 | |
| 7,542,752 | ||
Water Utilities - 0.3% | |||
American Water Works Co., Inc. | 20,471 | 833,989 | |
TOTAL UTILITIES | 11,915,114 | ||
TOTAL COMMON STOCKS (Cost $204,310,340) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.09% 12/12/13 (f) | $ 250,000 |
|
Money Market Funds - 14.4% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 6,640,758 | 6,640,758 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 26,650,925 | 26,650,925 | |
TOTAL MONEY MARKET FUNDS (Cost $33,291,683) |
| ||
TOTAL INVESTMENT PORTFOLIO - 112.6% (Cost $237,851,961) | 260,229,225 | ||
NET OTHER ASSETS (LIABILITIES) - (12.6)% | (29,079,765) | ||
NET ASSETS - 100% | $ 231,149,460 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
37 CME E-mini S&P MidCap 400 Index Contracts | Sept. 2013 | $ 4,376,730 | $ 84,053 |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $249,984. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 21,038 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 42,710,833 | $ 42,710,833 | $ - | $ - |
Consumer Staples | 17,281,787 | 17,281,787 | - | - |
Energy | 11,298,783 | 11,298,783 | - | - |
Financials | 47,288,455 | 47,288,455 | - | - |
Health Care | 28,001,430 | 28,001,430 | - | - |
Industrials | 24,547,467 | 24,547,467 | - | - |
Information Technology | 34,824,235 | 34,824,235 | - | - |
Materials | 8,819,454 | 8,819,454 | - | - |
Utilities | 11,915,114 | 11,915,114 | - | - |
U.S. Government and Government Agency Obligations | 249,984 | - | 249,984 | - |
Money Market Funds | 33,291,683 | 33,291,683 | - | - |
Total Investments in Securities: | $ 260,229,225 | $ 259,979,241 | $ 249,984 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 84,053 | $ 84,053 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 84,053 | $ - |
Total Value of Derivatives | $ 84,053 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $25,900,736) - See accompanying schedule: Unaffiliated issuers (cost $211,201,036) | $ 233,578,300 |
|
Fidelity Central Funds (cost $26,650,925) | 26,650,925 |
|
Total Investments (cost $237,851,961) |
| $ 260,229,225 |
Receivable for investments sold | 8,322,713 | |
Receivable for fund shares sold | 408,156 | |
Dividends receivable | 358,273 | |
Interest receivable | 192 | |
Distributions receivable from Fidelity Central Funds | 2,377 | |
Other receivables | 32 | |
Total assets | 269,320,968 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 11,057,353 | |
Payable for fund shares redeemed | 287,377 | |
Accrued management fee | 87,584 | |
Payable for daily variation margin for derivative instruments | 59,075 | |
Other affiliated payables | 29,194 | |
Collateral on securities loaned, at value | 26,650,925 | |
Total liabilities | 38,171,508 | |
|
|
|
Net Assets | $ 231,149,460 | |
Net Assets consist of: |
| |
Paid in capital | $ 201,081,053 | |
Undistributed net investment income | 1,458,323 | |
Accumulated undistributed net realized gain (loss) on investments | 6,148,767 | |
Net unrealized appreciation (depreciation) on investments | 22,461,317 | |
Net Assets, for 19,424,038 shares outstanding | $ 231,149,460 | |
Net Asset Value, offering price and redemption price per share ($231,149,460 ÷ 19,424,038 shares) | $ 11.90 |
Statement of Operations
| Six months ended August 31, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,036,240 |
Interest |
| 1,748 |
Income from Fidelity Central Funds |
| 21,038 |
Total income |
| 2,059,026 |
|
|
|
Expenses | ||
Management fee | $ 441,863 | |
Transfer agent fees | 147,681 | |
Independent trustees' compensation | 1,180 | |
Miscellaneous | 160 | |
Total expenses before reductions | 590,884 | |
Expense reductions | (4) | 590,880 |
Net investment income | 1,468,146 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 6,816,087 | |
Futures contracts | 657,554 | |
Total net realized gain (loss) |
| 7,473,641 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 8,274,856 | |
Futures contracts | (58,545) | |
Total change in net unrealized appreciation (depreciation) |
| 8,216,311 |
Net gain (loss) | 15,689,952 | |
Net increase (decrease) in net assets resulting from operations | $ 17,158,098 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended August 31, 2013 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,468,146 | $ 1,438,276 |
Net realized gain (loss) | 7,473,641 | 3,806,329 |
Change in net unrealized appreciation (depreciation) | 8,216,311 | 6,452,442 |
Net increase (decrease) in net assets resulting from operations | 17,158,098 | 11,697,047 |
Distributions to shareholders from net investment income | (219,292) | (1,338,905) |
Distributions to shareholders from net realized gain | (2,662,837) | (1,032,505) |
Total distributions | (2,882,129) | (2,371,410) |
Share transactions | 110,145,674 | 62,334,770 |
Reinvestment of distributions | 2,757,859 | 2,289,379 |
Cost of shares redeemed | (24,165,693) | (24,883,399) |
Net increase (decrease) in net assets resulting from share transactions | 88,737,840 | 39,740,750 |
Redemption fees | 5,483 | 2,311 |
Total increase (decrease) in net assets | 103,019,292 | 49,068,698 |
|
|
|
Net Assets | ||
Beginning of period | 128,130,168 | 79,061,470 |
End of period (including undistributed net investment income of $1,458,323 and undistributed net investment income of $209,469, respectively) | $ 231,149,460 | $ 128,130,168 |
Other Information Shares | ||
Sold | 9,576,662 | 5,905,950 |
Issued in reinvestment of distributions | 244,925 | 235,166 |
Redeemed | (2,075,132) | (2,543,261) |
Net increase (decrease) | 7,746,455 | 3,597,855 |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 H | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.97 | $ 9.79 | $ 10.28 | $ 8.33 | $ 5.12 | $ 9.16 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .18 | .10 | .10 | .09 | .10 |
Net realized and unrealized gain (loss) | 1.02 | 1.30 | .05 | 2.30 | 3.20 | (4.07) |
Total from investment operations | 1.11 | 1.48 | .15 | 2.40 | 3.29 | (3.97) |
Distributions from net investment income | (.01) | (.17) | (.07) | (.10) | (.08) | (.08) |
Distributions from net realized gain | (.17) | (.13) | (.58) | (.35) | - | - |
Total distributions | (.18) | (.30) | (.64) K | (.45) | (.08) | (.08) |
Redemption fees added to paid in capital D | - I | - I | - I | - I | - I | .01 |
Net asset value, end of period | $ 11.90 | $ 10.97 | $ 9.79 | $ 10.28 | $ 8.33 | $ 5.12 |
Total Return B, C | 10.25% | 15.57% | 1.91% | 29.44% | 64.37% | (43.40)% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .60% A | .60% | .60% | .60% | .60% | .60% |
Expenses net of fee waivers, if any | .60% A | .60% | .60% | .60% | .60% | .60% |
Expenses net of all reductions | .60% A | .60% | .60% | .60% | .60% | .60% |
Net investment income (loss) | 1.49% A | 1.80% | 1.03% | 1.16% | 1.21% | 1.39% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 231,149 | $ 128,130 | $ 79,061 | $ 62,104 | $ 33,617 | $ 14,235 |
Portfolio turnover rate F | 93% A | 99% | 92% | 59% | 80% K | 58% K |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of all reductions represent the net expenses paid by the Fund. H For the year ended February 29. I Amount represents less than $.01 per share. J Total distributions of $.64 per share is comprised of distributions from net investment income of $.069 and distributions from net realized gain of $.575 per share. K Reflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
CommVault Systems, Inc. | 0.7 | 0.6 |
Aspen Technology, Inc. | 0.7 | 0.6 |
Rite Aid Corp. | 0.7 | 0.5 |
Dana Holding Corp. | 0.7 | 0.2 |
RLJ Lodging Trust | 0.7 | 0.6 |
Team Health Holdings, Inc. | 0.7 | 0.5 |
Thoratec Corp. | 0.7 | 0.2 |
ValueClick, Inc. | 0.6 | 0.0 |
Express, Inc. | 0.6 | 0.2 |
Platinum Underwriters Holdings Ltd. | 0.6 | 0.5 |
| 6.7 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 20.6 | 23.7 |
Information Technology | 19.1 | 15.4 |
Industrials | 14.9 | 15.7 |
Consumer Discretionary | 14.5 | 11.4 |
Health Care | 11.9 | 9.8 |
Consumer Staples | 5.1 | 4.5 |
Energy | 4.9 | 6.3 |
Materials | 4.8 | 5.1 |
Utilities | 2.7 | 4.3 |
Telecommunication Services | 0.0 | 0.0* |
* Amount represents less than 0.1% |
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.5% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 14.5% | |||
Auto Components - 1.8% | |||
Dana Holding Corp. | 91,619 | $ 1,920,334 | |
Drew Industries, Inc. (e) | 6,144 | 257,802 | |
Gentherm, Inc. (a) | 10,912 | 182,558 | |
Remy International, Inc. | 14,318 | 279,774 | |
Standard Motor Products, Inc. | 24,095 | 738,753 | |
Stoneridge, Inc. (a) | 14,131 | 175,790 | |
Superior Industries International, Inc. | 5,728 | 99,896 | |
Tenneco, Inc. (a) | 21,754 | 1,003,512 | |
Tower International, Inc. (a) | 25,653 | 525,373 | |
| 5,183,792 | ||
Distributors - 0.1% | |||
Core-Mark Holding Co., Inc. | 2,120 | 133,772 | |
VOXX International Corp. (a) | 17,216 | 209,347 | |
| 343,119 | ||
Diversified Consumer Services - 0.6% | |||
Bridgepoint Education, Inc. (a) | 15,867 | 262,123 | |
Grand Canyon Education, Inc. (a) | 4,476 | 154,467 | |
Hillenbrand, Inc. | 32,288 | 799,451 | |
LifeLock, Inc. | 32,854 | 414,289 | |
Regis Corp. | 2,503 | 39,497 | |
| 1,669,827 | ||
Hotels, Restaurants & Leisure - 5.0% | |||
Bloomin' Brands, Inc. | 54,265 | 1,220,963 | |
Bob Evans Farms, Inc. | 10,652 | 522,268 | |
CEC Entertainment, Inc. | 3,810 | 154,191 | |
Churchill Downs, Inc. | 1,316 | 106,596 | |
Cracker Barrel Old Country Store, Inc. | 7,326 | 721,025 | |
DineEquity, Inc. | 4,367 | 289,401 | |
Jack in the Box, Inc. (a) | 39,600 | 1,563,804 | |
Krispy Kreme Doughnuts, Inc. (a) | 79,259 | 1,562,987 | |
Marcus Corp. | 5,991 | 73,689 | |
Marriott Vacations Worldwide Corp. (a) | 34,491 | 1,503,808 | |
Multimedia Games Holding Co., Inc. (a) | 40,185 | 1,576,859 | |
Papa John's International, Inc. | 14,005 | 954,161 | |
Pinnacle Entertainment, Inc. (a) | 48,608 | 1,151,037 | |
Red Robin Gourmet Burgers, Inc. (a) | 1,374 | 89,118 | |
SHFL Entertainment, Inc. (a) | 18,027 | 410,475 | |
Sonic Corp. (a) | 42,859 | 684,030 | |
Texas Roadhouse, Inc. Class A | 63,890 | 1,587,667 | |
| 14,172,079 | ||
Household Durables - 0.6% | |||
Flexsteel Industries, Inc. | 29,608 | 665,884 | |
Helen of Troy Ltd. (a) | 4,053 | 162,850 | |
NACCO Industries, Inc. Class A | 13,324 | 740,548 | |
Ryland Group, Inc. | 224 | 7,800 | |
| 1,577,082 | ||
| |||
Shares | Value | ||
Internet & Catalog Retail - 0.2% | |||
Overstock.com, Inc. (a)(e) | 16,385 | $ 460,910 | |
ValueVision Media, Inc. Class A (a) | 8,177 | 39,986 | |
| 500,896 | ||
Leisure Equipment & Products - 0.5% | |||
Brunswick Corp. | 3,362 | 122,242 | |
Smith & Wesson Holding Corp. (a)(e) | 124,835 | 1,365,695 | |
| 1,487,937 | ||
Media - 2.6% | |||
Belo Corp. Series A | 102,794 | 1,453,507 | |
Dex Media, Inc. (a) | 22,703 | 210,457 | |
E.W. Scripps Co. Class A (a) | 40,084 | 609,678 | |
Entravision Communication Corp. | 157,901 | 825,822 | |
Global Sources Ltd. (a) | 52,426 | 321,896 | |
Harte-Hanks, Inc. | 9,321 | 77,364 | |
Loral Space & Communications Ltd. | 9,635 | 636,970 | |
Media General, Inc. Class A (a)(e) | 12,046 | 126,363 | |
Nexstar Broadcasting Group, Inc. | 44,656 | 1,499,102 | |
Sinclair Broadcast Group, Inc. Class A | 61,397 | 1,468,616 | |
| 7,229,775 | ||
Specialty Retail - 2.7% | |||
Big 5 Sporting Goods Corp. | 72,629 | 1,215,083 | |
Brown Shoe Co., Inc. | 11,831 | 265,251 | |
Christopher & Banks Corp. (a) | 20,669 | 114,506 | |
Destination Maternity Corp. | 9,329 | 259,066 | |
Express, Inc. (a)(e) | 82,496 | 1,731,591 | |
Finish Line, Inc. Class A | 39,397 | 825,761 | |
Haverty Furniture Companies, Inc. | 5,432 | 131,509 | |
Pier 1 Imports, Inc. | 11,570 | 253,614 | |
Sears Hometown & Outlet Stores, Inc. (a) | 8,306 | 266,456 | |
The Cato Corp. Class A (sub. vtg.) | 16,605 | 417,782 | |
The Children's Place Retail Stores, Inc. (a) | 10,845 | 576,737 | |
The Men's Wearhouse, Inc. | 42,105 | 1,585,253 | |
| 7,642,609 | ||
Textiles, Apparel & Luxury Goods - 0.4% | |||
Movado Group, Inc. | 19,455 | 828,978 | |
Perry Ellis International, Inc. | 7,434 | 136,191 | |
| 965,169 | ||
TOTAL CONSUMER DISCRETIONARY | 40,772,285 | ||
CONSUMER STAPLES - 5.1% | |||
Beverages - 0.1% | |||
Coca-Cola Bottling Co. CONSOLIDATED | 1,498 | 94,134 | |
Food & Staples Retailing - 1.2% | |||
Andersons, Inc. | 15,047 | 987,986 | |
Harris Teeter Supermarkets, Inc. | 8,724 | 428,785 | |
Rite Aid Corp. (a) | 560,395 | 1,938,967 | |
| 3,355,738 | ||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Food Products - 2.8% | |||
Cal-Maine Foods, Inc. | 18,167 | $ 828,960 | |
Chiquita Brands International, Inc. (a) | 30,006 | 369,974 | |
Fresh Del Monte Produce, Inc. | 40,726 | 1,175,352 | |
J&J Snack Foods Corp. | 10,574 | 813,352 | |
Lancaster Colony Corp. | 2,090 | 154,179 | |
Omega Protein Corp. (a) | 18,038 | 161,440 | |
Pilgrims Pride Corp. (a)(e) | 90,889 | 1,393,328 | |
Post Holdings, Inc. (a) | 3,448 | 147,230 | |
Sanderson Farms, Inc. | 23,718 | 1,553,055 | |
Seneca Foods Corp. Class A (a) | 5,543 | 163,352 | |
TreeHouse Foods, Inc. (a) | 18,035 | 1,172,816 | |
| 7,933,038 | ||
Household Products - 0.2% | |||
Orchids Paper Products Co. | 14,298 | 393,052 | |
WD-40 Co. | 2,460 | 143,123 | |
| 536,175 | ||
Personal Products - 0.8% | |||
Inter Parfums, Inc. | 5,810 | 154,372 | |
MediFast, Inc. (a) | 11,654 | 289,718 | |
Nature's Sunshine Products, Inc. | 5,405 | 94,371 | |
Nu Skin Enterprises, Inc. Class A | 17,193 | 1,439,226 | |
Nutraceutical International Corp. | 1,594 | 35,945 | |
Prestige Brands Holdings, Inc. (a) | 9,432 | 306,257 | |
| 2,319,889 | ||
TOTAL CONSUMER STAPLES | 14,238,974 | ||
ENERGY - 4.9% | |||
Energy Equipment & Services - 2.4% | |||
Bristow Group, Inc. | 10,234 | 672,374 | |
Dril-Quip, Inc. (a) | 13,701 | 1,397,639 | |
Exterran Holdings, Inc. (a) | 46,576 | 1,277,580 | |
Geospace Technologies Corp. (a)(e) | 2,493 | 173,912 | |
Gulf Island Fabrication, Inc. | 6,531 | 153,413 | |
Hercules Offshore, Inc. (a) | 223,551 | 1,609,567 | |
ION Geophysical Corp. (a)(e) | 40,632 | 194,627 | |
Matrix Service Co. (a) | 17,456 | 272,139 | |
Newpark Resources, Inc. (a) | 23,811 | 265,016 | |
Parker Drilling Co. (a) | 17,668 | 101,414 | |
RigNet, Inc. (a) | 9,423 | 342,149 | |
Tesco Corp. (a) | 13,327 | 205,902 | |
| 6,665,732 | ||
Oil, Gas & Consumable Fuels - 2.5% | |||
Adams Resources & Energy, Inc. | 736 | 44,756 | |
Alon U.S.A. Energy, Inc. | 79,048 | 981,776 | |
CVR Energy, Inc. | 31,374 | 1,343,435 | |
Delek US Holdings, Inc. | 53,615 | 1,332,869 | |
Green Plains Renewable Energy, Inc. | 16,408 | 264,005 | |
Renewable Energy Group, Inc. (a)(e) | 52,861 | 816,702 | |
Rex American Resources Corp. (a) | 12,648 | 373,622 | |
| |||
Shares | Value | ||
VAALCO Energy, Inc. (a) | 53,038 | $ 294,891 | |
Warren Resources, Inc. (a) | 3,157 | 9,029 | |
Western Refining, Inc. (e) | 57,028 | 1,672,631 | |
| 7,133,716 | ||
TOTAL ENERGY | 13,799,448 | ||
FINANCIALS - 20.6% | |||
Capital Markets - 2.1% | |||
American Capital Ltd. (a) | 95,148 | 1,187,447 | |
Arlington Asset Investment Corp. | 8,504 | 197,463 | |
BGC Partners, Inc. Class A | 30,879 | 172,614 | |
Calamos Asset Management, Inc. | 7,509 | 74,489 | |
Evercore Partners, Inc. Class A | 36,233 | 1,615,629 | |
FBR & Co. (a) | 2,816 | 75,525 | |
FXCM, Inc. Class A | 22,438 | 426,098 | |
Investment Technology Group, Inc. (a) | 12,987 | 220,779 | |
MCG Capital Corp. | 30,830 | 150,759 | |
New Mountain Finance Corp. | 7,661 | 112,463 | |
Piper Jaffray Companies (a)(e) | 12,133 | 394,444 | |
Solar Capital Ltd. (e) | 8,806 | 193,292 | |
TCP Capital Corp. | 59,009 | 919,360 | |
Virtus Investment Partners, Inc. (a) | 1,273 | 221,884 | |
| 5,962,246 | ||
Commercial Banks - 5.7% | |||
Banco Latinoamericano de Exporaciones SA (BLADEX) Series E | 28,487 | 685,967 | |
BancorpSouth, Inc. | 18,891 | 366,108 | |
Bank of Marin Bancorp | 2,320 | 91,431 | |
Banner Bank | 25,825 | 884,765 | |
BBCN Bancorp, Inc. | 12,840 | 171,542 | |
BNC Bancorp | 7,886 | 102,676 | |
Central Pacific Financial Corp. | 26,306 | 446,939 | |
Citizens & Northern Corp. | 4,777 | 91,718 | |
Customers Bancorp, Inc. (a) | 22,542 | 369,238 | |
Eagle Bancorp, Inc., Maryland | 7,915 | 201,674 | |
First Bancorp, Puerto Rico (a) | 221,382 | 1,414,631 | |
First Community Bancshares, Inc. | 6,073 | 91,399 | |
First Financial Holdings, Inc. | 3,667 | 197,395 | |
First Interstate Bancsystem, Inc. | 2,097 | 47,665 | |
First Merchants Corp. | 28,387 | 484,850 | |
FirstMerit Corp. | 63,693 | 1,347,744 | |
Flushing Financial Corp. | 12,610 | 225,719 | |
Hanmi Financial Corp. | 56,363 | 920,408 | |
Home Bancshares, Inc. | 4,083 | 103,790 | |
MainSource Financial Group, Inc. | 3,166 | 45,116 | |
MB Financial, Inc. (e) | 52,477 | 1,416,354 | |
Mercantile Bank Corp. | 962 | 19,240 | |
Merchants Bancshares, Inc. | 13,888 | 406,502 | |
NBT Bancorp, Inc. | 4,364 | 93,477 | |
Peoples Bancorp, Inc. | 4,241 | 88,891 | |
Pinnacle Financial Partners, Inc. (a) | 4,152 | 116,048 | |
PrivateBancorp, Inc. | 40,412 | 881,790 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Republic Bancorp, Inc., Kentucky | 3,917 | $ 103,448 | |
Sterling Financial Corp. | 13,106 | 317,165 | |
Susquehanna Bancshares, Inc. | 37,551 | 473,518 | |
Umpqua Holdings Corp. | 52,416 | 851,236 | |
Union First Market Bankshares Corp. | 18,305 | 391,544 | |
United Community Banks, Inc., Georgia (a) | 16,576 | 241,678 | |
Washington Trust Bancorp, Inc. | 7,856 | 235,759 | |
Webster Financial Corp. | 9,438 | 249,729 | |
WesBanco, Inc. | 7,363 | 211,244 | |
Wilshire Bancorp, Inc. | 100,611 | 817,967 | |
Wintrust Financial Corp. | 17,853 | 707,693 | |
Yadkin Financial Corp. (a) | 8,537 | 126,604 | |
| 16,040,662 | ||
Consumer Finance - 1.5% | |||
Cash America International, Inc. | 16,224 | 694,063 | |
Credit Acceptance Corp. (a) | 6,378 | 685,954 | |
DFC Global Corp. (a)(e) | 13,744 | 155,307 | |
Encore Capital Group, Inc. (a)(e) | 8,633 | 370,097 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 12,904 | 219,110 | |
Nelnet, Inc. Class A | 32,672 | 1,237,615 | |
Portfolio Recovery Associates, Inc. (a) | 183 | 9,706 | |
World Acceptance Corp. (a)(e) | 9,370 | 802,728 | |
| 4,174,580 | ||
Diversified Financial Services - 0.6% | |||
MarketAxess Holdings, Inc. | 22,551 | 1,144,689 | |
Marlin Business Services Corp. | 20,351 | 495,750 | |
Vector Capital Corp. rights (a) | 8,300 | 0 | |
| 1,640,439 | ||
Insurance - 2.8% | |||
Argo Group International Holdings, Ltd. | 18,743 | 765,464 | |
CNO Financial Group, Inc. | 3,753 | 51,003 | |
Enstar Group Ltd. (a) | 2,482 | 334,499 | |
FBL Financial Group, Inc. Class A | 9,266 | 408,445 | |
First American Financial Corp. | 78,973 | 1,650,536 | |
HCI Group, Inc. | 87 | 3,034 | |
Hilltop Holdings, Inc. (a)(e) | 36,090 | 565,169 | |
Horace Mann Educators Corp. | 33,179 | 874,598 | |
Maiden Holdings Ltd. | 27,981 | 365,991 | |
Montpelier Re Holdings Ltd. | 12,897 | 320,490 | |
Platinum Underwriters Holdings Ltd. | 29,958 | 1,730,973 | |
Primerica, Inc. | 1,662 | 61,710 | |
ProAssurance Corp. | 17,411 | 820,755 | |
| 7,952,667 | ||
Real Estate Investment Trusts - 4.4% | |||
Anworth Mortgage Asset Corp. | 108,234 | 479,477 | |
Apollo Commercial Real Estate | 50,340 | 756,107 | |
Apollo Residential Mortgage, Inc. | 22,582 | 343,472 | |
| |||
Shares | Value | ||
Capstead Mortgage Corp. | 23,162 | $ 271,922 | |
Extra Space Storage, Inc. | 9,919 | 408,960 | |
Gyrodyne Co. of America, Inc. | 694 | 49,205 | |
MFA Financial, Inc. | 122,801 | 884,167 | |
New Residential Investment Corp. | 142,443 | 904,513 | |
Potlatch Corp. | 20,912 | 806,367 | |
PS Business Parks, Inc. | 2,830 | 205,656 | |
Redwood Trust, Inc. (e) | 79,230 | 1,409,502 | |
Resource Capital Corp. | 128,865 | 749,994 | |
RLJ Lodging Trust | 82,313 | 1,891,553 | |
Select Income (REIT) | 18,078 | 439,838 | |
Sovran Self Storage, Inc. | 18,480 | 1,224,670 | |
Spirit Realty Capital, Inc. | 135,504 | 1,180,240 | |
The Geo Group, Inc. | 9,676 | 301,988 | |
| 12,307,631 | ||
Real Estate Management & Development - 0.2% | |||
Alexander & Baldwin, Inc. (a) | 8,960 | 322,291 | |
Forestar Group, Inc. (a) | 11,469 | 228,921 | |
| 551,212 | ||
Thrifts & Mortgage Finance - 3.3% | |||
Capitol Federal Financial, Inc. | 18,127 | 221,874 | |
Dime Community Bancshares, Inc. | 44,455 | 707,724 | |
Doral Financial Corp. (a) | 12,095 | 286,289 | |
EverBank Financial Corp. (e) | 87,400 | 1,228,844 | |
Farmer Mac Class C (non-vtg.) | 5,004 | 168,385 | |
Flagstar Bancorp, Inc. (a)(e) | 74,593 | 1,081,599 | |
Fox Chase Bancorp, Inc. | 3,066 | 51,754 | |
Home Loan Servicing Solutions Ltd. | 71,159 | 1,622,425 | |
HomeStreet, Inc. | 26,193 | 514,169 | |
MGIC Investment Corp. (a) | 74,425 | 537,349 | |
Northwest Bancshares, Inc. | 26,803 | 357,552 | |
Ocwen Financial Corp. (a) | 29,485 | 1,487,223 | |
Provident Financial Holdings, Inc. | 5,592 | 99,370 | |
Simplicity Bancorp, Inc. | 5,078 | 75,256 | |
WSFS Financial Corp. | 15,963 | 951,395 | |
| 9,391,208 | ||
TOTAL FINANCIALS | 58,020,645 | ||
HEALTH CARE - 11.9% | |||
Biotechnology - 1.8% | |||
Aegerion Pharmaceuticals, Inc. (a) | 10,154 | 880,149 | |
Alkermes PLC (a) | 19,349 | 614,331 | |
Alnylam Pharmaceuticals, Inc. (a) | 2,449 | 126,858 | |
Celldex Therapeutics, Inc. (a)(e) | 34,152 | 741,781 | |
Cepheid, Inc. (a)(e) | 3,914 | 140,043 | |
Clovis Oncology, Inc. (a) | 3,808 | 245,616 | |
Emergent BioSolutions, Inc. (a) | 19,637 | 345,218 | |
Insys Therapeutics, Inc. (a) | 9,504 | 266,207 | |
Isis Pharmaceuticals, Inc. (a)(e) | 4,914 | 126,929 | |
PDL BioPharma, Inc. (e) | 44,539 | 353,640 | |
Pharmacyclics, Inc. (a) | 5,428 | 605,222 | |
Puma Biotechnology, Inc. (a) | 2,664 | 134,905 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Biotechnology - continued | |||
Stemline Therapeutics, Inc. | 9,647 | $ 334,269 | |
Trius Therapeutics, Inc. (a) | 2,341 | 32,001 | |
| 4,947,169 | ||
Health Care Equipment & Supplies - 2.6% | |||
Anika Therapeutics, Inc. (a) | 587 | 13,583 | |
CONMED Corp. | 6,745 | 209,702 | |
Cyberonics, Inc. (a)(e) | 17,431 | 886,715 | |
Greatbatch, Inc. (a) | 9,891 | 335,997 | |
Haemonetics Corp. (a) | 1,766 | 70,375 | |
Integra LifeSciences Holdings Corp. (a)(e) | 12,964 | 526,857 | |
Invacare Corp. | 18,008 | 270,300 | |
Natus Medical, Inc. (a) | 5,311 | 69,840 | |
Orthofix International NV (a) | 3,408 | 75,215 | |
RTI Biologics, Inc. (a) | 73,985 | 246,370 | |
Sirona Dental Systems, Inc. (a) | 19,680 | 1,274,674 | |
SurModics, Inc. (a) | 15,050 | 297,990 | |
The Spectranetics Corp. (a) | 13,714 | 216,544 | |
Thoratec Corp. (a) | 51,771 | 1,849,778 | |
Vascular Solutions, Inc. (a) | 6,300 | 99,351 | |
West Pharmaceutical Services, Inc. | 12,863 | 951,219 | |
| 7,394,510 | ||
Health Care Providers & Services - 5.6% | |||
Addus HomeCare Corp. (a) | 6,685 | 141,588 | |
Alliance Healthcare Services, Inc. (a) | 65,849 | 1,600,131 | |
AMN Healthcare Services, Inc. (a) | 24,801 | 337,294 | |
AmSurg Corp. (a) | 13,714 | 511,395 | |
Centene Corp. (a) | 10,120 | 578,358 | |
Chemed Corp. (e) | 22,600 | 1,573,864 | |
Corvel Corp. (a) | 3,945 | 129,948 | |
Five Star Quality Care, Inc. (a) | 77,611 | 402,801 | |
Gentiva Health Services, Inc. (a)(e) | 23,829 | 273,319 | |
Hanger, Inc. (a) | 39,198 | 1,203,771 | |
HealthSouth Corp. | 11,021 | 346,721 | |
Kindred Healthcare, Inc. | 11,260 | 165,522 | |
Magellan Health Services, Inc. (a) | 23,637 | 1,328,636 | |
Molina Healthcare, Inc. (a)(e) | 28,862 | 963,702 | |
National Healthcare Corp. | 7,593 | 350,341 | |
Owens & Minor, Inc. | 11,594 | 395,471 | |
PharMerica Corp. (a) | 3,378 | 41,549 | |
Providence Service Corp. (a)(e) | 27,369 | 734,584 | |
Select Medical Holdings Corp. | 123,890 | 1,049,348 | |
Team Health Holdings, Inc. (a) | 49,180 | 1,889,987 | |
The Ensign Group, Inc. | 1,544 | 59,676 | |
Triple-S Management Corp. (a) | 2,249 | 41,944 | |
Universal American Spin Corp. | 28,889 | 210,890 | |
Wellcare Health Plans, Inc. (a)(e) | 21,044 | 1,339,871 | |
| 15,670,711 | ||
| |||
Shares | Value | ||
Health Care Technology - 0.5% | |||
Medidata Solutions, Inc. (a) | 5,045 | $ 451,225 | |
Omnicell, Inc. (a) | 50,096 | 1,089,087 | |
| 1,540,312 | ||
Life Sciences Tools & Services - 0.4% | |||
Albany Molecular Research, Inc. (a) | 30,974 | 341,024 | |
Cambrex Corp. (a) | 12,208 | 166,395 | |
PAREXEL International Corp. (a) | 16,509 | 766,513 | |
| 1,273,932 | ||
Pharmaceuticals - 1.0% | |||
Auxilium Pharmaceuticals, Inc. (a) | 1,496 | 26,105 | |
Endocyte, Inc. (a)(e) | 4,340 | 62,322 | |
Jazz Pharmaceuticals PLC (a)(e) | 8,228 | 721,513 | |
Pozen, Inc. (a)(e) | 34,529 | 178,515 | |
Questcor Pharmaceuticals, Inc. | 11,406 | 760,552 | |
Santarus, Inc. (a) | 25,502 | 574,305 | |
The Medicines Company (a) | 15,330 | 484,581 | |
| 2,807,893 | ||
TOTAL HEALTH CARE | 33,634,527 | ||
INDUSTRIALS - 14.9% | |||
Aerospace & Defense - 1.9% | |||
AAR Corp. | 33,661 | 844,554 | |
American Science & Engineering, Inc. | 11,614 | 654,797 | |
Curtiss-Wright Corp. | 22,088 | 922,395 | |
Engility Holdings, Inc. (a)(e) | 4,522 | 152,211 | |
Esterline Technologies Corp. (a) | 14,386 | 1,097,508 | |
Moog, Inc. Class A (a) | 17,382 | 883,006 | |
Taser International, Inc. (a) | 49,029 | 570,698 | |
Teledyne Technologies, Inc. (a) | 2,490 | 192,153 | |
| 5,317,322 | ||
Air Freight & Logistics - 0.1% | |||
Forward Air Corp. | 4,741 | 174,611 | |
Park-Ohio Holdings Corp. (a) | 2,346 | 81,101 | |
| 255,712 | ||
Airlines - 0.9% | |||
Alaska Air Group, Inc. | 4,823 | 273,078 | |
Republic Airways Holdings, Inc. (a) | 49,301 | 550,692 | |
SkyWest, Inc. | 65,863 | 848,974 | |
Spirit Airlines, Inc. (a) | 25,052 | 780,871 | |
| 2,453,615 | ||
Building Products - 0.6% | |||
A.O. Smith Corp. | 9,535 | 400,947 | |
American Woodmark Corp. (a) | 5,694 | 198,550 | |
Apogee Enterprises, Inc. | 34,985 | 976,082 | |
Gibraltar Industries, Inc. (a) | 6,419 | 82,677 | |
PGT, Inc. (a) | 15,017 | 152,873 | |
| 1,811,129 | ||
Commercial Services & Supplies - 1.8% | |||
Consolidated Graphics, Inc. (a) | 5,825 | 311,638 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Commercial Services & Supplies - continued | |||
Deluxe Corp. | 12,795 | $ 503,483 | |
G&K Services, Inc. Class A | 22,914 | 1,178,696 | |
Intersections, Inc. | 29,927 | 273,832 | |
Kimball International, Inc. Class B | 37,063 | 364,700 | |
Mine Safety Appliances Co. | 6,060 | 291,668 | |
Steelcase, Inc. Class A | 32,506 | 471,987 | |
UniFirst Corp. | 12,077 | 1,157,943 | |
United Stationers, Inc. | 4,860 | 193,136 | |
Viad Corp. | 11,447 | 258,359 | |
West Corp. | 6,976 | 152,565 | |
| 5,158,007 | ||
Construction & Engineering - 0.9% | |||
Argan, Inc. | 39,325 | 698,019 | |
Dycom Industries, Inc. (a) | 19,452 | 494,275 | |
EMCOR Group, Inc. | 2,209 | 83,036 | |
Granite Construction, Inc. | 27,213 | 770,672 | |
MYR Group, Inc. (a) | 4,491 | 98,443 | |
Primoris Services Corp. | 16,588 | 372,898 | |
| 2,517,343 | ||
Electrical Equipment - 0.8% | |||
AZZ, Inc. | 8,142 | 305,651 | |
Generac Holdings, Inc. (e) | 43,722 | 1,730,954 | |
Powell Industries, Inc. (a) | 1,986 | 104,722 | |
| 2,141,327 | ||
Machinery - 3.1% | |||
Alamo Group, Inc. | 1,465 | 66,452 | |
Albany International Corp. Class A | 4,059 | 130,984 | |
American Railcar Industries, Inc. (e) | 21,506 | 760,667 | |
Hurco Companies, Inc. | 2,579 | 70,948 | |
Hyster-Yale Materials Handling Class A | 19,811 | 1,497,910 | |
John Bean Technologies Corp. | 4,544 | 99,559 | |
Kadant, Inc. | 20,647 | 641,502 | |
Kaydon Corp. | 5,903 | 167,940 | |
L.B. Foster Co. Class A | 3,869 | 164,123 | |
Lindsay Corp. | 18,230 | 1,385,845 | |
Lydall, Inc. (a) | 2,365 | 36,728 | |
Mueller Industries, Inc. | 27,498 | 1,472,243 | |
Mueller Water Products, Inc. Class A | 174,109 | 1,314,523 | |
RBC Bearings, Inc. (a) | 2,670 | 159,479 | |
Standex International Corp. | 3,575 | 190,869 | |
Tennant Co. | 5,954 | 305,857 | |
Woodward, Inc. | 8,023 | 309,367 | |
| 8,774,996 | ||
Marine - 0.4% | |||
Matson, Inc. | 41,022 | 1,092,416 | |
Professional Services - 1.8% | |||
Barrett Business Services, Inc. | 16,173 | 1,039,439 | |
Insperity, Inc. | 17,190 | 548,361 | |
Kelly Services, Inc. Class A (non-vtg.) | 17,562 | 319,628 | |
| |||
Shares | Value | ||
Korn/Ferry International (a) | 11,603 | $ 205,489 | |
Navigant Consulting, Inc. (a) | 3,333 | 45,495 | |
On Assignment, Inc. (a) | 8,013 | 241,752 | |
Resources Connection, Inc. | 15,510 | 189,842 | |
RPX Corp. (a) | 55,876 | 876,694 | |
TrueBlue, Inc. (a) | 7,709 | 187,483 | |
WageWorks, Inc. (a) | 36,814 | 1,536,616 | |
| 5,190,799 | ||
Road & Rail - 2.0% | |||
AMERCO | 6,849 | 1,120,496 | |
Celadon Group, Inc. | 11,517 | 208,918 | |
Heartland Express, Inc. (e) | 33,561 | 467,169 | |
Knight Transportation, Inc. | 14,764 | 240,358 | |
Old Dominion Freight Lines, Inc. (a) | 27,526 | 1,195,179 | |
Saia, Inc. (a) | 20,358 | 610,944 | |
Swift Transporation Co. (a)(e) | 89,895 | 1,614,514 | |
Universal Truckload Services, Inc. | 5,066 | 127,663 | |
Werner Enterprises, Inc. (e) | 2,574 | 59,305 | |
| 5,644,546 | ||
Trading Companies & Distributors - 0.4% | |||
Aceto Corp. | 8,595 | 126,347 | |
Aircastle Ltd. | 49,905 | 813,452 | |
H&E Equipment Services, Inc. (e) | 8,223 | 198,010 | |
| 1,137,809 | ||
Transportation Infrastructure - 0.2% | |||
Wesco Aircraft Holdings, Inc. (a) | 24,617 | 470,923 | |
TOTAL INDUSTRIALS | 41,965,944 | ||
INFORMATION TECHNOLOGY - 19.1% | |||
Communications Equipment - 3.6% | |||
Alliance Fiber Optic Products, Inc. (e) | 10,551 | 390,704 | |
Anaren, Inc. (a) | 20,836 | 512,149 | |
Arris Group, Inc. (a) | 107,726 | 1,688,066 | |
Aruba Networks, Inc. (a) | 28,839 | 479,593 | |
Black Box Corp. | 26,800 | 712,076 | |
Communications Systems, Inc. | 6,908 | 83,449 | |
Comtech Telecommunications Corp. | 22,407 | 537,096 | |
Emulex Corp. (a) | 40,400 | 290,880 | |
Finisar Corp. (a)(e) | 24,692 | 505,445 | |
Globecomm Systems, Inc. (a) | 26,085 | 362,582 | |
Harmonic, Inc. (a) | 40,824 | 288,626 | |
InterDigital, Inc. | 16,605 | 590,142 | |
Ixia (a)(e) | 26,053 | 378,290 | |
NETGEAR, Inc. (a)(e) | 17,772 | 514,322 | |
Oplink Communications, Inc. (a) | 3,312 | 61,570 | |
Plantronics, Inc. | 24,075 | 1,040,040 | |
Tellabs, Inc. | 376,680 | 836,230 | |
Tessco Technologies, Inc. | 16,289 | 514,081 | |
Ubiquiti Networks, Inc. | 12,484 | 437,689 | |
| 10,223,030 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - 1.6% | |||
Cray, Inc. (a)(e) | 16,347 | $ 399,848 | |
Electronics for Imaging, Inc. (a) | 27,505 | 805,346 | |
QLogic Corp. (a) | 111,701 | 1,182,914 | |
Silicon Graphics International Corp. (a) | 28,865 | 425,470 | |
Super Micro Computer, Inc. (a) | 7,270 | 93,347 | |
Synaptics, Inc. (a)(e) | 41,774 | 1,614,983 | |
| 4,521,908 | ||
Electronic Equipment & Components - 1.7% | |||
Anixter International, Inc. (a) | 745 | 62,252 | |
Benchmark Electronics, Inc. (a) | 67,794 | 1,489,434 | |
Checkpoint Systems, Inc. (a) | 7,218 | 105,888 | |
Coherent, Inc. | 2,540 | 142,570 | |
Daktronics, Inc. | 6,611 | 70,672 | |
Electro Scientific Industries, Inc. | 44,460 | 488,615 | |
Insight Enterprises, Inc. (a) | 17,240 | 329,456 | |
Newport Corp. (a) | 10,407 | 159,643 | |
Plexus Corp. (a) | 8,263 | 270,531 | |
Sanmina Corp. (a) | 12,727 | 207,068 | |
ScanSource, Inc. (a) | 2,952 | 91,453 | |
SYNNEX Corp. (a) | 26,162 | 1,242,957 | |
Vishay Precision Group, Inc. (a)(e) | 1,382 | 19,528 | |
| 4,680,067 | ||
Internet Software & Services - 2.1% | |||
Blucora, Inc. (a)(e) | 21,266 | 425,745 | |
comScore, Inc. (a) | 7,712 | 219,715 | |
CoStar Group, Inc. (a) | 2,500 | 371,275 | |
Demand Media, Inc. (a) | 44,623 | 289,157 | |
Stamps.com, Inc. (a) | 11,007 | 460,973 | |
United Online, Inc. | 80,357 | 630,802 | |
ValueClick, Inc. (a)(e) | 83,195 | 1,760,406 | |
WebMD Health Corp. (a)(e) | 51,561 | 1,620,047 | |
XO Group, Inc. (a) | 17,291 | 206,800 | |
| 5,984,920 | ||
IT Services - 2.0% | |||
Acxiom Corp. (a) | 34,679 | 862,814 | |
Convergys Corp. (e) | 19,543 | 344,543 | |
CSG Systems International, Inc. | 5,680 | 133,707 | |
ExlService Holdings, Inc. (a) | 4,395 | 119,148 | |
Global Cash Access Holdings, Inc. (a) | 80,516 | 619,973 | |
Jack Henry & Associates, Inc. | 25,272 | 1,261,073 | |
Maximus, Inc. | 20,242 | 759,277 | |
NCI, Inc. Class A (a) | 8,583 | 46,262 | |
Sapient Corp. (a) | 23,394 | 349,740 | |
Syntel, Inc. | 2,586 | 185,856 | |
Teletech Holdings, Inc. (a) | 29,504 | 721,963 | |
Unisys Corp. (a)(e) | 14,339 | 360,769 | |
| 5,765,125 | ||
Semiconductors & Semiconductor Equipment - 2.8% | |||
Advanced Energy Industries, Inc. (a) | 35,972 | 655,770 | |
Ambarella, Inc. (a)(e) | 66,071 | 947,458 | |
| |||
Shares | Value | ||
ATMI, Inc. (a) | 4,838 | $ 118,773 | |
Cabot Microelectronics Corp. (a) | 10,690 | 386,123 | |
Cirrus Logic, Inc. (a)(e) | 44,746 | 1,006,785 | |
Exar Corp. (a) | 5,185 | 63,361 | |
First Solar, Inc. (a) | 26,168 | 960,889 | |
Intersil Corp. Class A | 19,490 | 202,111 | |
Kulicke & Soffa Industries, Inc. (a) | 125,225 | 1,384,989 | |
Rambus, Inc. (a) | 89,028 | 726,468 | |
RF Micro Devices, Inc. (a) | 149,071 | 739,392 | |
Semtech Corp. (a) | 5,424 | 161,201 | |
Spansion, Inc. Class A (a) | 37,601 | 389,922 | |
| 7,743,242 | ||
Software - 5.3% | |||
Actuate Corp. (a) | 24,002 | 166,814 | |
Advent Software, Inc. | 34,352 | 927,160 | |
Aspen Technology, Inc. (a) | 58,999 | 1,972,337 | |
AVG Technologies NV (a)(e) | 68,622 | 1,487,039 | |
CommVault Systems, Inc. (a) | 24,543 | 2,057,440 | |
Fair Isaac Corp. | 5,062 | 253,505 | |
Manhattan Associates, Inc. (a) | 17,020 | 1,489,250 | |
Monotype Imaging Holdings, Inc. | 38,469 | 990,577 | |
NetScout Systems, Inc. (a) | 31,182 | 774,561 | |
Pegasystems, Inc. | 6,769 | 249,438 | |
Progress Software Corp. (a) | 17,838 | 436,317 | |
Proofpoint, Inc. (a) | 8,646 | 249,091 | |
QAD, Inc.: | |||
Class A | 5,607 | 69,415 | |
Class B | 2,823 | 31,109 | |
Rally Software Development Corp. | 8,005 | 206,769 | |
SS&C Technologies Holdings, Inc. (a) | 32,663 | 1,155,944 | |
TeleCommunication Systems, Inc. | 164,210 | 423,662 | |
TeleNav, Inc. (a) | 57,486 | 311,574 | |
TiVo, Inc. (a) | 144,800 | 1,689,816 | |
| 14,941,818 | ||
TOTAL INFORMATION TECHNOLOGY | 53,860,110 | ||
MATERIALS - 4.8% | |||
Chemicals - 1.5% | |||
A. Schulman, Inc. | 6,035 | 162,704 | |
American Pacific Corp. (a) | 4,951 | 242,549 | |
FutureFuel Corp. | 45,812 | 739,406 | |
Innospec, Inc. | 13,099 | 536,011 | |
Landec Corp. (a) | 10,300 | 135,960 | |
LSB Industries, Inc. (a) | 5,807 | 174,326 | |
Minerals Technologies, Inc. | 24,766 | 1,099,610 | |
Olin Corp. | 10,634 | 245,645 | |
Quaker Chemical Corp. | 2,442 | 162,051 | |
Sensient Technologies Corp. | 8,714 | 361,282 | |
Stepan Co. | 4,704 | 265,494 | |
| 4,125,038 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Construction Materials - 0.0% | |||
Headwaters, Inc. (a) | 1,909 | $ 16,341 | |
Containers & Packaging - 1.6% | |||
AEP Industries, Inc. (a)(e) | 9,557 | 747,740 | |
Berry Plastics Group, Inc. | 24,426 | 562,042 | |
Boise, Inc. | 79,193 | 677,100 | |
Graphic Packaging Holding Co. (a) | 193,912 | 1,611,409 | |
Myers Industries, Inc. | 52,874 | 981,341 | |
| 4,579,632 | ||
Metals & Mining - 0.1% | |||
Kaiser Aluminum Corp. (e) | 3,162 | 218,557 | |
Paper & Forest Products - 1.6% | |||
Boise Cascade Co. (e) | 15,050 | 347,655 | |
Clearwater Paper Corp. (a) | 1,821 | 86,789 | |
Kapstone Paper & Packaging Corp. (e) | 20,935 | 879,270 | |
Louisiana-Pacific Corp. (a) | 102,518 | 1,533,669 | |
Neenah Paper, Inc. | 5,913 | 216,416 | |
P.H. Glatfelter Co. | 5,495 | 140,782 | |
Schweitzer-Mauduit International, Inc. | 22,126 | 1,267,156 | |
| 4,471,737 | ||
TOTAL MATERIALS | 13,411,305 | ||
UTILITIES - 2.7% | |||
Electric Utilities - 1.4% | |||
Allete, Inc. | 648 | 30,586 | |
Cleco Corp. | 12,114 | 547,068 | |
El Paso Electric Co. | 32,245 | 1,109,228 | |
IDACORP, Inc. | 13,754 | 658,404 | |
PNM Resources, Inc. | 26,360 | 577,548 | |
Portland General Electric Co. | 4,985 | 143,618 | |
UNS Energy Corp. | 20,474 | 936,276 | |
| 4,002,728 | ||
Gas Utilities - 0.3% | |||
Southwest Gas Corp. | 15,052 | 704,133 | |
Independent Power Producers & Energy Traders - 0.2% | |||
Black Hills Corp. | 8,715 | 418,494 | |
Genie Energy Ltd. Class B | 16,110 | 137,257 | |
| 555,751 | ||
Multi-Utilities - 0.5% | |||
Avista Corp. | 16,019 | 420,819 | |
NorthWestern Energy Corp. | 23,027 | 924,995 | |
| 1,345,814 | ||
Water Utilities - 0.3% | |||
American States Water Co. | 17,355 | 912,873 | |
TOTAL UTILITIES | 7,521,299 | ||
TOTAL COMMON STOCKS (Cost $249,192,561) |
|
U.S. Treasury Obligations - 0.4% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.09% 12/12/13 (f) | $ 1,000,000 | $ 999,937 |
Money Market Funds - 19.1% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 20,258,807 | 20,258,807 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 33,582,657 | 33,582,657 | |
TOTAL MONEY MARKET FUNDS (Cost $53,841,464) |
| ||
TOTAL INVESTMENT PORTFOLIO - 118.0% (Cost $304,033,777) | 332,065,938 | ||
NET OTHER ASSETS (LIABILITIES) - (18.0)% | (50,626,326) | ||
NET ASSETS - 100% | $ 281,439,612 |
Futures Contracts | ||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |
Purchased | ||||
Equity Index Contracts | ||||
41 NYFE Russell 2000 Mini Index Contracts | Sept. 2013 | $ 4,141,410 | $ 130,112 |
|
The face value of futures purchased as a percentage of net assets is 1.5% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $189,988. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 29,636 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 40,772,285 | $ 40,772,285 | $ - | $ - |
Consumer Staples | 14,238,974 | 14,238,974 | - | - |
Energy | 13,799,448 | 13,799,448 | - | - |
Financials | 58,020,645 | 58,020,645 | - | - |
Health Care | 33,634,527 | 33,634,527 | - | - |
Industrials | 41,965,944 | 41,965,944 | - | - |
Information Technology | 53,860,110 | 53,860,110 | - | - |
Materials | 13,411,305 | 13,411,305 | - | - |
Utilities | 7,521,299 | 7,521,299 | - | - |
U.S. Government and Government Agency Obligations | 999,937 | - | 999,937 | - |
Money Market Funds | 53,841,464 | 53,841,464 | - | - |
Total Investments in Securities: | $ 332,065,938 | $ 331,066,001 | $ 999,937 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 130,112 | $ 130,112 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 130,112 | $ - |
Total Value of Derivatives | $ 130,112 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $32,150,549) - See accompanying schedule: Unaffiliated issuers (cost $270,451,120) | $ 298,483,281 |
|
Fidelity Central Funds (cost $33,582,657) | 33,582,657 |
|
Total Investments (cost $304,033,777) |
| $ 332,065,938 |
Receivable for investments sold | 7,092,066 | |
Receivable for fund shares sold | 996,064 | |
Dividends receivable | 207,655 | |
Interest receivable | 550 | |
Distributions receivable from Fidelity Central Funds | 4,833 | |
Other receivables | 1,044 | |
Total assets | 340,368,150 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 24,934,974 | |
Payable for fund shares redeemed | 206,253 | |
Accrued management fee | 121,289 | |
Payable for daily variation margin for derivative instruments | 48,378 | |
Other affiliated payables | 34,987 | |
Collateral on securities loaned, at value | 33,582,657 | |
Total liabilities | 58,928,538 | |
|
|
|
Net Assets | $ 281,439,612 | |
Net Assets consist of: |
| |
Paid in capital | $ 244,021,592 | |
Undistributed net investment income | 1,143,760 | |
Accumulated undistributed net realized gain (loss) on investments | 8,111,987 | |
Net unrealized appreciation (depreciation) on investments | 28,162,273 | |
Net Assets, for 24,838,472 shares outstanding | $ 281,439,612 | |
Net Asset Value, offering price and redemption price per share ($281,439,612 ÷ 24,838,472 shares) | $ 11.33 |
Statement of Operations
| Six months ended August 31, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,848,740 |
Interest |
| 3,092 |
Income from Fidelity Central Funds |
| 29,636 |
Total income |
| 1,881,468 |
|
|
|
Expenses | ||
Management fee | $ 562,350 | |
Transfer agent fees | 162,572 | |
Independent trustees' compensation | 1,234 | |
Miscellaneous | 195 | |
Total expenses before reductions | 726,351 | |
Expense reductions | (7) | 726,344 |
Net investment income (loss) | 1,155,124 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 7,551,548 | |
Futures contracts | 894,715 | |
Total net realized gain (loss) |
| 8,446,263 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 7,310,339 | |
Futures contracts | (17,379) | |
Total change in net unrealized appreciation (depreciation) |
| 7,292,960 |
Net gain (loss) | 15,739,223 | |
Net increase (decrease) in net assets resulting from operations | $ 16,894,347 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2013 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,155,124 | $ 2,572,404 |
Net realized gain (loss) | 8,446,263 | 11,106,179 |
Change in net unrealized appreciation (depreciation) | 7,292,960 | 6,331,981 |
Net increase (decrease) in net assets resulting from operations | 16,894,347 | 20,010,564 |
Distributions to shareholders from net investment income | (83,907) | (2,545,839) |
Distributions to shareholders from net realized gain | (4,262,452) | (6,901,191) |
Total distributions | (4,346,359) | (9,447,030) |
Share transactions | 136,165,742 | 52,452,774 |
Reinvestment of distributions | 4,209,269 | 9,101,641 |
Cost of shares redeemed | (29,121,603) | (36,450,246) |
Net increase (decrease) in net assets resulting from share transactions | 111,253,408 | 25,104,169 |
Redemption fees | 70,813 | 26,146 |
Total increase (decrease) in net assets | 123,872,209 | 35,693,849 |
|
|
|
Net Assets | ||
Beginning of period | 157,567,403 | 121,873,554 |
End of period (including undistributed net investment income of $1,143,760 and undistributed net investment income of $72,543, respectively) | $ 281,439,612 | $ 157,567,403 |
Other Information Shares | ||
Sold | 12,168,999 | 5,233,611 |
Issued in reinvestment of distributions | 395,980 | 954,511 |
Redeemed | (2,645,560) | (3,697,266) |
Net increase (decrease) | 9,919,419 | 2,490,856 |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 H | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.56 | $ 9.81 | $ 10.72 | $ 8.05 | $ 5.20 | $ 9.03 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .06 | .20 | .07 | .06 | .05 | .09 |
Net realized and unrealized gain (loss) | .97 | 1.30 | .14 | 2.67 | 2.86 | (3.87) |
Total from investment operations | 1.03 | 1.50 | .21 | 2.73 | 2.91 | (3.78) |
Distributions from net investment income | (.01) | (.20) | (.06) | (.06) | (.06) | (.06) |
Distributions from net realized gain | (.25) | (.55) | (1.08) | - | - | - |
Total distributions | (.26) | (.75) | (1.13) J | (.06) | (.06) | (.06) |
Redemption fees added to paid in capital D | - I | - I | .01 | - I | - I | .01 |
Net asset value, end of period | $ 11.33 | $ 10.56 | $ 9.81 | $ 10.72 | $ 8.05 | $ 5.20 |
Total Return B, C | 9.91% | 16.15% | 2.87% | 34.01% | 55.93% | (41.94)% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .67% A | .67% | .67% | .67% | .67% | .67% |
Expenses net of fee waivers, if any | .67% A | .67% | .67% | .67% | .67% | .67% |
Expenses net of all reductions | .67% A | .67% | .67% | .67% | .67% | .67% |
Net investment income (loss) | 1.06% A | 2.02% | .69% | .63% | .77% | 1.29% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 281,440 | $ 157,567 | $ 121,874 | $ 113,829 | $ 85,243 | $ 57,443 |
Portfolio turnover rate F | 94% A | 106% | 79% | 90% | 98% K | 36% K |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. H For the year ended February 29. I Amount represents less than $.01 per share. J Total distributions of $1.13 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $1.075 per share. K Reflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Investment Changes (Unaudited)
Geographic Diversification (% of fund's net assets) | |||
As of August 31, 2013 | |||
![]() | United Kingdom | 21.8% |
|
![]() | Japan | 20.9% |
|
![]() | France | 9.3% |
|
![]() | Germany | 9.1% |
|
![]() | Switzerland | 8.4% |
|
![]() | Australia | 7.7% |
|
![]() | Hong Kong | 2.8% |
|
![]() | Sweden | 2.5% |
|
![]() | Italy | 2.5% |
|
![]() | Other* | 15.0% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
As of February 28, 2013 | |||
![]() | United Kingdom | 21.0% |
|
![]() | Japan | 20.9% |
|
![]() | France | 8.1% |
|
![]() | Switzerland | 8.0% |
|
![]() | Australia | 8.0% |
|
![]() | Germany | 7.8% |
|
![]() | Hong Kong | 3.2% |
|
![]() | Sweden | 2.8% |
|
![]() | Spain | 2.7% |
|
![]() | Other* | 17.5% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
Asset Allocation as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Stocks and Equity Futures | 99.7 | 99.3 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.3 | 0.7 |
Top Ten Stocks as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 1.9 | 1.7 |
Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services) | 1.9 | 1.3 |
Toyota Motor Corp. (Japan, Automobiles) | 1.8 | 1.0 |
Novartis AG (Switzerland, Pharmaceuticals) | 1.8 | 1.5 |
Nestle SA (Switzerland, Food Products) | 1.6 | 1.9 |
HSBC Holdings PLC (United Kingdom, Commercial Banks) | 1.5 | 1.7 |
BP PLC (United Kingdom, Oil, Gas & Consumable Fuels) | 1.5 | 1.3 |
Total SA (France, Oil, Gas & Consumable Fuels) | 1.4 | 1.2 |
Commonwealth Bank of Australia (Australia, Commercial Banks) | 1.4 | 1.2 |
GlaxoSmithKline PLC (United Kingdom, Pharmaceuticals) | 1.3 | 1.1 |
| 16.1 | |
Market Sectors as of August 31, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 25.8 | 25.6 |
Consumer Discretionary | 13.2 | 11.5 |
Industrials | 12.3 | 11.2 |
Health Care | 10.8 | 10.2 |
Consumer Staples | 10.5 | 11.8 |
Energy | 7.3 | 7.4 |
Materials | 6.4 | 8.5 |
Telecommunication Services | 5.6 | 3.9 |
Information Technology | 3.1 | 4.3 |
Utilities | 2.9 | 3.3 |
Semiannual Report
Fidelity International Enhanced Index Fund
Investments August 31, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.4% | |||
Shares | Value | ||
Australia - 7.7% | |||
Amcor Ltd. | 9,158 | $ 85,016 | |
ASX Ltd. | 3,673 | 115,892 | |
Australia & New Zealand Banking | 12,215 | 322,789 | |
BHP Billiton Ltd. | 4,226 | 133,642 | |
Commonwealth Bank of Australia | 6,953 | 450,772 | |
CSL Ltd. | 1,425 | 86,233 | |
DEXUS Property Group unit | 47,022 | 43,107 | |
Insurance Australia Group Ltd. | 30,498 | 157,982 | |
Leighton Holdings Ltd. | 3,251 | 50,348 | |
Macquarie Group Ltd. | 2,327 | 90,840 | |
National Australia Bank Ltd. | 2,844 | 82,141 | |
Ramsay Health Care Ltd. | 2,786 | 92,616 | |
Suncorp-Metway Ltd. | 8,277 | 90,834 | |
Telstra Corp. Ltd. | 48,832 | 212,968 | |
The GPT Group unit | 27,555 | 87,065 | |
Wesfarmers Ltd. | 358 | 12,956 | |
Westfield Group unit | 9,913 | 97,760 | |
Westfield Retail Trust unit | 36,888 | 95,870 | |
Westpac Banking Corp. | 7,353 | 205,433 | |
TOTAL AUSTRALIA | 2,514,264 | ||
Austria - 0.8% | |||
OMV AG | 2,426 | 111,997 | |
Voestalpine AG | 3,286 | 140,603 | |
TOTAL AUSTRIA | 252,600 | ||
Bailiwick of Jersey - 0.1% | |||
Shire PLC | 877 | 32,260 | |
Belgium - 0.6% | |||
Ageas | 1,620 | 63,761 | |
Anheuser-Busch InBev SA NV | 644 | 60,060 | |
Solvay SA Class A | 604 | 84,138 | |
TOTAL BELGIUM | 207,959 | ||
Bermuda - 0.1% | |||
Yue Yuen Industrial (Holdings) Ltd. | 6,500 | 20,034 | |
Cayman Islands - 0.3% | |||
MGM China Holdings Ltd. | 23,200 | 69,261 | |
Sands China Ltd. | 6,400 | 36,810 | |
TOTAL CAYMAN ISLANDS | 106,071 | ||
Denmark - 1.8% | |||
A.P. Moller - Maersk A/S Series B | 23 | 195,597 | |
Coloplast A/S Series B | 2,548 | 138,364 | |
Novo Nordisk A/S Series B | 1,593 | 266,343 | |
TOTAL DENMARK | 600,304 | ||
Finland - 0.2% | |||
Metso Corp. | 453 | 17,428 | |
Orion Oyj (B Shares) | 678 | 15,708 | |
| |||
Shares | Value | ||
Sampo Oyj (A Shares) | 969 | $ 40,354 | |
Stora Enso Oyj (R Shares) | 11 | 85 | |
TOTAL FINLAND | 73,575 | ||
France - 9.3% | |||
AXA SA | 6,657 | 145,039 | |
BNP Paribas SA | 2,861 | 179,288 | |
Bouygues SA | 3,816 | 119,352 | |
Cap Gemini SA | 2,607 | 142,783 | |
Christian Dior SA | 269 | 46,094 | |
Compagnie de St. Gobain | 3,574 | 166,931 | |
EDF SA | 6,195 | 173,578 | |
France Telecom SA | 20,918 | 212,341 | |
GDF Suez | 6,265 | 135,794 | |
Kering SA | 631 | 142,524 | |
Lafarge SA (Bearer) | 2,056 | 125,540 | |
LVMH Moet Hennessy - Louis Vuitton SA | 78 | 13,664 | |
Michelin CGDE Series B | 1,693 | 161,976 | |
Safran SA | 1,838 | 102,063 | |
Sanofi SA | 3,980 | 381,429 | |
Schneider Electric SA | 498 | 38,109 | |
Societe Generale Series A | 985 | 43,110 | |
Thales SA | 353 | 17,393 | |
Total SA | 8,269 | 457,903 | |
Unibail-Rodamco | 88 | 19,784 | |
VINCI SA | 4,002 | 206,651 | |
TOTAL FRANCE | 3,031,346 | ||
Germany - 7.7% | |||
adidas AG | 661 | 69,889 | |
Allianz AG | 1,481 | 212,178 | |
BASF AG | 3,627 | 317,002 | |
Bayer AG | 2,968 | 329,660 | |
Bayerische Motoren Werke AG (BMW) | 991 | 93,372 | |
Continental AG | 816 | 123,161 | |
Daimler AG (Germany) | 748 | 51,328 | |
Deutsche Bank AG | 2,023 | 87,820 | |
Deutsche Lufthansa AG (a) | 7,248 | 129,369 | |
Deutsche Post AG | 5,839 | 168,696 | |
Deutsche Telekom AG | 1,402 | 17,959 | |
Hannover Reins Corp. | 192 | 13,396 | |
Metro AG | 2,072 | 76,074 | |
Muenchener Rueckversicherungs AG | 662 | 120,653 | |
OSRAM Licht AG (a) | 296 | 11,850 | |
ProSiebenSat.1 Media AG | 3,991 | 169,186 | |
RWE AG | 3,070 | 84,375 | |
SAP AG | 357 | 26,368 | |
Siemens AG | 2,965 | 314,041 | |
Suedzucker AG (Bearer) | 2,801 | 90,383 | |
TOTAL GERMANY | 2,506,760 | ||
Greece - 0.0% | |||
Greek Organization of Football Prognostics SA | 2 | 20 | |
Common Stocks - continued | |||
Shares | Value | ||
Hong Kong - 2.8% | |||
Cheung Kong Holdings Ltd. | 8,000 | $ 114,205 | |
Hang Seng Bank Ltd. | 3,800 | 59,050 | |
Hopewell Holdings Ltd. | 38,500 | 122,136 | |
Hysan Development Co. Ltd. | 24,005 | 104,323 | |
Sino Land Ltd. | 86,000 | 115,562 | |
SJM Holdings Ltd. | 64,000 | 164,076 | |
Sun Hung Kai Properties Ltd. | 4,788 | 62,116 | |
Wharf Holdings Ltd. | 18,000 | 147,980 | |
Wheelock and Co. Ltd. | 6,000 | 30,640 | |
TOTAL HONG KONG | 920,088 | ||
Ireland - 0.1% | |||
Bank of Ireland (a) | 87,597 | 25,563 | |
CRH PLC | 1,075 | 22,724 | |
TOTAL IRELAND | 48,287 | ||
Italy - 2.4% | |||
Assicurazioni Generali SpA | 4,900 | 93,903 | |
Enel SpA | 64,419 | 213,019 | |
ENI SpA | 2,294 | 52,252 | |
EXOR SpA | 1,583 | 54,062 | |
Fiat Industrial SpA | 11,016 | 131,980 | |
Fiat Industrial SpA rights 9/10/13 (a) | 11,016 | 5 | |
Intesa Sanpaolo SpA | 8,499 | 16,681 | |
Luxottica Group SpA | 701 | 36,518 | |
Telecom Italia SpA | 201,913 | 140,628 | |
UniCredit SpA | 5,621 | 31,781 | |
TOTAL ITALY | 770,829 | ||
Japan - 20.9% | |||
Aisin Seiki Co. Ltd. | 2,200 | 83,976 | |
Ajinomoto Co., Inc. | 13,000 | 166,258 | |
Aozora Bank Ltd. | 34,000 | 97,574 | |
Asahi Kasei Corp. | 15,000 | 109,773 | |
Bridgestone Corp. | 2,300 | 75,069 | |
Canon, Inc. | 5,300 | 158,516 | |
Central Japan Railway Co. | 1,200 | 136,624 | |
Coca-Cola West Co. Ltd. | 2,500 | 49,518 | |
Daihatsu Motor Co. Ltd. | 6,000 | 111,992 | |
Daiwa House Industry Co. Ltd. | 3,000 | 53,602 | |
Daiwa Securities Group, Inc. | 21,000 | 167,997 | |
DENSO Corp. | 4,500 | 204,421 | |
Fast Retailing Co. Ltd. | 100 | 32,195 | |
Fuji Heavy Industries Ltd. | 8,000 | 192,596 | |
Fujifilm Holdings Corp. | 2,000 | 43,394 | |
Hino Motors Ltd. | 10,000 | 129,549 | |
Honda Motor Co. Ltd. | 3,500 | 125,493 | |
Hoya Corp. | 5,600 | 118,723 | |
Itochu Corp. | 10,500 | 118,201 | |
Japan Exchange Group, Inc. | 800 | 62,777 | |
Japan Tobacco, Inc. | 5,500 | 185,762 | |
JFE Holdings, Inc. | 2,100 | 46,062 | |
| |||
Shares | Value | ||
Kao Corp. | 4,400 | $ 128,064 | |
Kinden Corp. | 2,000 | 19,621 | |
Kobe Steel Ltd. (a) | 49,000 | 77,562 | |
Konica Minolta Holdings, Inc. | 3,000 | 24,535 | |
Marubeni Corp. | 1,000 | 7,223 | |
Mazda Motor Corp. (a) | 24,000 | 95,545 | |
Medipal Holdings Corp. | 8,300 | 92,387 | |
Mitsubishi Heavy Industries Ltd. | 32,000 | 174,568 | |
Mitsubishi UFJ Financial Group, Inc. | 17,300 | 100,821 | |
Mitsui & Co. Ltd. | 11,900 | 164,564 | |
Mizuho Financial Group, Inc. | 128,100 | 259,645 | |
MS&AD Insurance Group Holdings, Inc. | 1,300 | 32,568 | |
Namco Bandai Holdings, Inc. | 5,800 | 92,259 | |
Nippon Steel & Sumitomo Metal Corp. | 9,000 | 25,422 | |
Nippon Telegraph & Telephone Corp. | 3,100 | 157,268 | |
Nitto Denko Corp. | 800 | 42,308 | |
Nomura Holdings, Inc. | 27,500 | 189,607 | |
NTT DoCoMo, Inc. | 106 | 169,455 | |
ORIX Corp. | 9,200 | 125,359 | |
Osaka Gas Co. Ltd. | 27,000 | 108,753 | |
Otsuka Holdings Co. Ltd. | 3,400 | 105,044 | |
Resona Holdings, Inc. | 35,500 | 168,450 | |
ROHM Co. Ltd. | 2,000 | 70,084 | |
SBI Holdings, Inc. Japan | 9,500 | 98,139 | |
Sekisui House Ltd. | 7,000 | 84,170 | |
Seven & i Holdings Co., Ltd. | 4,000 | 136,943 | |
SoftBank Corp. | 300 | 18,716 | |
Sojitz Corp. | 62,900 | 111,719 | |
Sumitomo Corp. | 9,300 | 117,161 | |
Sumitomo Metal Mining Co. Ltd. | 1,000 | 13,361 | |
Sumitomo Mitsui Financial Group, Inc. | 5,500 | 241,757 | |
Suzuki Motor Corp. | 6,700 | 143,042 | |
Takashimaya Co. Ltd. | 5,000 | 43,717 | |
Tokyo Electric Power Co. (a) | 6,200 | 31,206 | |
Tokyo Gas Co. Ltd. | 8,000 | 41,402 | |
Toto Ltd. | 2,000 | 24,671 | |
Toyo Seikan Group Holdings Ltd. | 5,100 | 85,714 | |
Toyoda Gosei Co. Ltd. | 2,300 | 55,293 | |
Toyota Motor Corp. | 9,800 | 589,484 | |
Trend Micro, Inc. | 600 | 20,908 | |
Yahoo! Japan Corp. | 130 | 64,039 | |
TOTAL JAPAN | 6,822,626 | ||
Luxembourg - 0.3% | |||
Tenaris SA | 3,901 | 86,153 | |
Netherlands - 2.3% | |||
European Aeronautic Defence and Space Co. (EADS) NV | 4,183 | 241,069 | |
Heineken Holding NV (A Shares) | 222 | 13,397 | |
ING Groep NV (Certificaten Van Aandelen) (a) | 6,842 | 74,493 | |
Koninklijke Ahold NV | 12,628 | 201,195 | |
Common Stocks - continued | |||
Shares | Value | ||
Netherlands - continued | |||
Koninklijke Philips Electronics NV | 5,130 | $ 158,630 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 1,870 | 70,360 | |
TOTAL NETHERLANDS | 759,144 | ||
New Zealand - 0.2% | |||
Telecom Corp. of New Zealand Ltd. | 44,490 | 78,219 | |
Norway - 1.3% | |||
DNB ASA | 5,322 | 82,615 | |
Gjensidige Forsikring ASA | 2,422 | 34,411 | |
StatoilHydro ASA | 9,579 | 210,157 | |
Yara International ASA | 2,561 | 101,271 | |
TOTAL NORWAY | 428,454 | ||
Portugal - 0.0% | |||
Energias de Portugal SA | 586 | 2,071 | |
Portugal Telecom SGPS SA (Reg.) | 18 | 68 | |
TOTAL PORTUGAL | 2,139 | ||
Singapore - 2.4% | |||
ComfortDelgro Corp. Ltd. | 65,000 | 94,015 | |
DBS Group Holdings Ltd. | 11,106 | 137,563 | |
Keppel Ld Ltd. | 58,000 | 153,230 | |
Singapore Technologies Engineering Ltd. | 33,000 | 102,446 | |
United Overseas Bank Ltd. | 13,000 | 202,705 | |
Yangzijiang Shipbuilding Holdings Ltd. | 122,000 | 90,381 | |
TOTAL SINGAPORE | 780,340 | ||
Spain - 2.4% | |||
Amadeus IT Holding SA Class A | 3,996 | 129,075 | |
Banco Bilbao Vizcaya Argentaria SA | 11,712 | 111,926 | |
Banco de Sabadell SA | 13,630 | 31,417 | |
Banco Santander SA (Spain) | 24,391 | 172,353 | |
Distribuidora Internacional de Alimentacion SA | 9,116 | 72,048 | |
Gas Natural SDG SA | 7,556 | 147,998 | |
Repsol YPF SA | 1,104 | 25,615 | |
Telefonica SA (a) | 7,341 | 99,797 | |
TOTAL SPAIN | 790,229 | ||
Sweden - 2.5% | |||
Industrivarden AB Series C | 2,875 | 49,541 | |
Investor AB (B Shares) | 2,744 | 79,082 | |
Nordea Bank AB | 3,829 | 44,574 | |
Sandvik AB | 7,819 | 104,590 | |
Securitas AB (B Shares) | 15,790 | 166,421 | |
Skandinaviska Enskilda Banken AB (A Shares) | 3,279 | 33,669 | |
Svenska Handelsbanken AB (A Shares) | 352 | 15,105 | |
Swedbank AB (A Shares) | 3,112 | 70,435 | |
| |||
Shares | Value | ||
Telefonaktiebolaget LM Ericsson (B Shares) | 14,763 | $ 173,625 | |
TeliaSonera AB | 12,825 | 91,843 | |
TOTAL SWEDEN | 828,885 | ||
Switzerland - 8.4% | |||
ABB Ltd. (Reg.) | 1,152 | 24,639 | |
Actelion Ltd. | 1,936 | 131,605 | |
Compagnie Financiere Richemont SA Series A | 1,349 | 128,166 | |
Credit Suisse Group | 2,849 | 82,121 | |
Ems-Chemie Holding AG | 343 | 109,762 | |
Givaudan SA | 15 | 20,200 | |
Nestle SA | 8,065 | 527,808 | |
Novartis AG | 8,078 | 588,480 | |
Roche Holding AG (participation certificate) | 2,505 | 624,866 | |
Swiss Re Ltd. | 1,518 | 116,487 | |
Transocean Ltd. (Switzerland) | 2,819 | 128,066 | |
UBS AG | 7,807 | 150,844 | |
Zurich Insurance Group AG | 418 | 104,045 | |
TOTAL SWITZERLAND | 2,737,089 | ||
United Kingdom - 21.8% | |||
3I Group PLC | 8,552 | 47,512 | |
Aberdeen Asset Management PLC | 9,695 | 52,916 | |
Anglo American PLC (United Kingdom) | 3,519 | 80,628 | |
Antofagasta PLC | 6,980 | 92,485 | |
ARM Holdings PLC | 2,768 | 37,448 | |
Associated British Foods PLC | 4,463 | 127,606 | |
AstraZeneca PLC: | |||
(United Kingdom) | 1,546 | 76,121 | |
sponsored ADR | 3,408 | 167,708 | |
Aviva PLC | 15,924 | 95,316 | |
BAE Systems PLC | 7,610 | 51,312 | |
Barclays PLC | 32,953 | 144,354 | |
BG Group PLC | 954 | 18,140 | |
BHP Billiton PLC | 7,371 | 214,388 | |
BP PLC | 69,397 | 479,868 | |
British American Tobacco PLC (United Kingdom) | 6,349 | 321,035 | |
British Sky Broadcasting Group PLC | 10,403 | 135,340 | |
Burberry Group PLC | 1,581 | 37,584 | |
Capita Group PLC | 4,341 | 64,144 | |
Cobham PLC | 25,045 | 110,498 | |
Compass Group PLC | 3,187 | 42,277 | |
Diageo PLC | 3,637 | 111,461 | |
Direct Line Insurance Group PLC | 16,851 | 56,615 | |
GlaxoSmithKline PLC | 1,351 | 34,455 | |
GlaxoSmithKline PLC sponsored ADR (e) | 7,689 | 391,293 | |
HSBC Holdings PLC: | |||
(United Kingdom) | 35,397 | 370,605 | |
sponsored ADR (e) | 2,237 | 117,264 | |
Imperial Tobacco Group PLC | 3,908 | 129,119 | |
ITV PLC | 70,811 | 180,625 | |
Common Stocks - continued | |||
Shares | Value | ||
United Kingdom - continued | |||
J Sainsbury PLC | 28,037 | $ 167,105 | |
Kingfisher PLC | 2,717 | 16,211 | |
Legal & General Group PLC | 5,299 | 15,340 | |
Lloyds Banking Group PLC (a) | 86,296 | 97,068 | |
Marks & Spencer Group PLC | 13,455 | 98,355 | |
Next PLC | 1,908 | 144,707 | |
Old Mutual PLC | 28,487 | 79,905 | |
Pearson PLC | 850 | 16,741 | |
Prudential PLC | 4,861 | 81,305 | |
Reckitt Benckiser Group PLC | 2,090 | 142,025 | |
Rexam PLC | 13,567 | 102,580 | |
Rio Tinto PLC | 2,779 | 125,471 | |
Royal & Sun Alliance Insurance | 34,053 | 62,588 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 9,839 | 318,213 | |
Class B (United Kingdom) | 12,609 | 424,393 | |
Scottish & Southern Energy PLC | 111 | 2,689 | |
Standard Chartered PLC (United Kingdom) | 8,519 | 190,239 | |
Standard Life PLC | 4,412 | 22,645 | |
Tate & Lyle PLC | 8,200 | 102,296 | |
Tesco PLC | 36,381 | 206,660 | |
TUI Travel PLC | 20,150 | 107,544 | |
Unilever PLC | 5,270 | 200,944 | |
Vodafone Group PLC | 190,740 | 614,472 | |
TOTAL UNITED KINGDOM | 7,127,613 | ||
TOTAL COMMON STOCKS (Cost $30,200,889) |
| ||
Nonconvertible Preferred Stocks - 1.5% | |||
|
|
|
|
Germany - 1.4% | |||
Henkel AG & Co. KGaA | 1,684 | 163,141 | |
Porsche Automobil Holding SE (Germany) | 1,910 | 160,549 | |
Volkswagen AG | 590 | 134,199 | |
TOTAL GERMANY | 457,889 | ||
Italy - 0.1% | |||
Telecom Italia SpA (Risparmio Shares) | 78,802 | 43,567 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $466,815) |
|
Government Obligations - 0.2% | ||||
| Principal Amount |
| ||
United States of America - 0.2% | ||||
U.S. Treasury Bills, yield at date of purchase 0.07% 2/6/14 (f) | $ 50,000 |
|
Money Market Funds - 3.1% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 510,625 | $ 510,625 | |
Fidelity Securities Lending Cash Central Fund, 0.10% (b)(d) | 510,075 | 510,075 | |
TOTAL MONEY MARKET FUNDS (Cost $1,020,700) |
| ||
TOTAL INVESTMENT PORTFOLIO - 101.2% (Cost $31,738,388) | 33,097,435 | ||
NET OTHER ASSETS (LIABILITIES) - (1.2)% | (376,355) | ||
NET ASSETS - 100% | $ 32,721,080 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
7 NYSE E-mini MSCI EAFE Index Contracts | Sept. 2013 | $ 592,095 | $ (22,599) |
|
The face value of futures purchased as a percentage of net assets is 1.8% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $49,991. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 210 |
Other Information |
Categorizations in the Schedule of Investments are based on country or territory of incorporation. |
The following is a summary of the inputs used, as of August 31, 2013, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 4,329,463 | $ 2,346,952 | $ 1,982,511 | $ - |
Consumer Staples | 3,462,218 | 1,504,005 | 1,958,213 | - |
Energy | 2,312,757 | 369,971 | 1,942,786 | - |
Financials | 8,400,318 | 5,308,254 | 3,092,064 | - |
Health Care | 3,554,572 | 1,978,053 | 1,576,519 | - |
Industrials | 4,003,995 | 2,502,779 | 1,501,216 | - |
Information Technology | 1,009,498 | 271,858 | 737,640 | - |
Materials | 2,155,737 | 1,259,310 | 896,427 | - |
Telecommunication Services | 1,857,301 | 400,989 | 1,456,312 | - |
Utilities | 940,885 | 759,524 | 181,361 | - |
Government Obligations | 49,991 | - | 49,991 | - |
Money Market Funds | 1,020,700 | 1,020,700 | - | - |
Total Investments in Securities: | $ 33,097,435 | $ 17,722,395 | $ 15,375,040 | $ - |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $ (22,599) | $ (22,599) | $ - | $ - |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2013. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements: |
Transfers | Total |
Level 1 to Level 2 | $ 3,237,333 |
Level 2 to Level 1 | $ 0 |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (22,599) |
Total Value of Derivatives | $ - | $ (22,599) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $491,757) - See accompanying schedule: Unaffiliated issuers (cost $31,228,313) | $ 32,587,360 |
|
Fidelity Central Funds (cost $510,075) | 510,075 |
|
Total Investments (cost $31,738,388) |
| $ 33,097,435 |
Foreign currency held at value (cost $73,216) | 72,572 | |
Receivable for fund shares sold | 16,705 | |
Dividends receivable | 117,520 | |
Interest receivable | 28 | |
Distributions receivable from Fidelity Central Funds | 19 | |
Total assets | 33,304,279 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 49,155 | |
Accrued management fee | 13,129 | |
Payable for daily variation margin for derivative instruments | 6,650 | |
Other affiliated payables | 4,190 | |
Collateral on securities loaned, at value | 510,075 | |
Total liabilities | 583,199 | |
|
|
|
Net Assets | $ 32,721,080 | |
Net Assets consist of: |
| |
Paid in capital | $ 32,981,562 | |
Undistributed net investment income | 644,267 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (2,239,940) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 1,335,191 | |
Net Assets, for 4,238,208 shares outstanding | $ 32,721,080 | |
Net Asset Value, offering price and redemption price per share ($32,721,080 ÷ 4,238,208 shares) | $ 7.72 |
Statement of Operations
| Six months ended August 31, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 806,837 |
Interest |
| 189 |
Income from Fidelity Central Funds |
| 210 |
Income before foreign taxes withheld |
| 807,236 |
Less foreign taxes withheld |
| (60,659) |
Total income |
| 746,577 |
|
|
|
Expenses | ||
Management fee | $ 75,616 | |
Transfer agent fees | 24,197 | |
Independent trustees' compensation | 200 | |
Miscellaneous | 35 | |
Total expenses | 100,048 | |
Net investment income | 646,529 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,282,096 | |
Foreign currency transactions | (15,938) | |
Futures contracts | 59,903 | |
Total net realized gain (loss) |
| 1,326,061 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (818,444) | |
Assets and liabilities in foreign currencies | 3,816 | |
Futures contracts | (20,605) | |
Total change in net unrealized appreciation (depreciation) |
| (835,233) |
Net gain (loss) | 490,828 | |
Net increase (decrease) in net assets resulting from operations | $ 1,137,357 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2013 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 646,529 | $ 779,169 |
Net realized gain (loss) | 1,326,061 | 344,459 |
Change in net unrealized appreciation (depreciation) | (835,233) | 1,499,563 |
Net increase (decrease) in net assets resulting from operations | 1,137,357 | 2,623,191 |
Distributions to shareholders from net investment income | (71,061) | (774,163) |
Distributions to shareholders from net realized gain | (20,900) | (63,148) |
Total distributions | (91,961) | (837,311) |
Share transactions | 7,076,898 | 9,411,727 |
Reinvestment of distributions | 89,457 | 807,297 |
Cost of shares redeemed | (5,903,231) | (7,659,451) |
Net increase (decrease) in net assets resulting from share transactions | 1,263,124 | 2,559,573 |
Redemption fees | 912 | 229 |
Total increase (decrease) in net assets | 2,309,432 | 4,345,682 |
|
|
|
Net Assets | ||
Beginning of period | 30,411,648 | 26,065,966 |
End of period (including undistributed net investment income of $644,267 and undistributed net investment income of $68,799, respectively) | $ 32,721,080 | $ 30,411,648 |
Other Information Shares | ||
Sold | 912,042 | 1,352,694 |
Issued in reinvestment of distributions | 11,633 | 114,634 |
Redeemed | (766,995) | (1,136,991) |
Net increase (decrease) | 156,680 | 330,337 |
Financial Highlights
| Six months ended August 31, 2013 | Years ended February 28, | ||||
| (Unaudited) | 2013 | 2012 H | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 7.45 | $ 6.95 | $ 7.77 | $ 6.58 | $ 4.42 | $ 9.35 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .16 | .21 | .20 | .17 | .15 | .18 |
Net realized and unrealized gain (loss) | .13 | .52 | (.82) | 1.19 | 2.17 | (4.96) |
Total from investment operations | .29 | .73 | (.62) | 1.36 | 2.32 | (4.78) |
Distributions from net investment income | (.02) | (.21) | (.19) | (.17) | (.14) | (.14) |
Distributions from net realized gain | (.01) | (.02) | (.01) | - | (.02) | (.01) |
Total distributions | (.02) J | (.23) | (.20) | (.17) | (.16) | (.15) |
Redemption fees added to paid in capital D, I | - | - | - | - | - | - |
Net asset value, end of period | $ 7.72 | $ 7.45 | $ 6.95 | $ 7.77 | $ 6.58 | $ 4.42 |
Total Return B, C | 3.92% | 10.64% | (7.81)% | 20.95% | 52.44% | (51.52)% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .62% A | .62% | .62% | .62% | .62% | .62% |
Expenses net of fee waivers, if any | .62% A | .62% | .62% | .62% | .62% | .62% |
Expenses net of all reductions | .62% A | .62% | .62% | .62% | .62% | .62% |
Net investment income (loss) | 4.01% A | 3.04% | 2.84% | 2.50% | 2.39% | 2.69% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 32,721 | $ 30,412 | $ 26,066 | $ 25,475 | $ 19,958 | $ 12,950 |
Portfolio turnover rate F | 74% A | 56% | 49% | 32% | 22% K | 42% K |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. H For the year ended February 29. I Amount represents less than $.01 per share. J Total distributions of $0.02 per share is comprised of distributions from net investment income of $.017 and distributions from net realized gain of $0.005 per share. K Reflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended August 31, 2013 (Unaudited)
1. Organization.
Fidelity® Large Cap Growth Enhanced Index Fund, Fidelity® Large Cap Value Enhanced Index Fund, Fidelity Large Cap Core Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund (the Funds) are funds of Fidelity Commonwealth Trust II (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Funds:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Strategic Advisers Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
Each Fund categorizes the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2013, including information on transfers between Levels 1 and 2, is included at the end of each applicable Fund's Schedule of Investments.
Semiannual Report
2. Significant Accounting Policies - continued
Foreign Currency. The Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Funds determine the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
| Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized |
Fidelity Large Cap Growth Enhanced Index Fund | $ 177,441,011 | $ 33,360,502 | $ (2,811,209) | $ 30,549,293 |
Fidelity Large Cap Value Enhanced Index Fund | 126,646,852 | 22,754,230 | (2,137,507) | 20,616,723 |
Fidelity Large Cap Core Enhanced Index Fund | 220,683,457 | 30,111,088 | (9,784,309) | 20,326,779 |
Fidelity Mid Cap Enhanced Index Fund | 237,859,620 | 26,598,465 | (4,228,860) | 22,369,605 |
Fidelity Small Cap Enhanced Index Fund | 304,308,778 | 37,199,887 | (9,442,727) | 27,757,160 |
Fidelity International Enhanced Index Fund | 31,755,324 | 3,507,151 | (2,165,040) | 1,342,111 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| Fiscal year of expiration | Total with expiration | ||
| 2017 | 2018 | 2019 |
|
Fidelity Large Cap Core Enhanced Index Fund | $ - | $ (13,309,569) | $ - | $ (13,309,569) |
Fidelity Mid Cap Enhanced Index Fund | - | (654,342) | (508,445) | (1,162,787) |
Fidelity International Enhanced Index Fund | (730,243) | (1,890,764) | (754,234) | (3,375,241) |
|
| No expiration |
|
|
| Short-term | Long-term | Total no expiration | Total capital |
Fidelity Large Cap Core Enhanced Index Fund | $ - | $ (811,748) | $ (811,748) | $ (14,121,317) |
Fidelity Mid Cap Enhanced Index Fund | - | - | - | (1,162,787) |
Fidelity International Enhanced Index Fund | (16,735) | - | (16,735) | (3,391,976) |
Due to large redemptions or subscriptions in a prior period, capital losses that will be available to offset future capital gains of Fidelity Large Cap Core Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund will be limited to approximately $2,804,338, $541,266 and $706,051 per year, respectively.
Short Term Trading (Redemption) Fees. Shares held by investors of Fidelity Small Cap Enhanced Index Fund less than 90 days may be subject to a redemption fee equal to 1.50% of the net asset value of shares redeemed. Shares held by investors of Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days may be subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Funds' investment objective allows the Funds to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Funds used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Funds may not achieve their objectives.
The Funds' use of derivatives increased or decreased their exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Semiannual Report
3. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Fidelity Large Cap Growth Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 234,096 | $ 21,372 |
Fidelity Large Cap Value Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 501,932 | $ (79,445) |
Fidelity Large Cap Core Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 268,413 | $ 64,214 |
Fidelity Mid Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 657,554 | $ (58,545) |
Fidelity Small Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 894,715 | $ (17,380) |
Fidelity International Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 59,903 | $ (20,605) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Funds used futures contracts to manage their exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
| Purchases ($) | Sales ($) |
Fidelity Large Cap Growth Enhanced Index Fund | 98,638,127 | 82,087,586 |
Fidelity Large Cap Value Enhanced Index Fund | 75,286,462 | 48,542,372 |
Fidelity Large Cap Core Enhanced Index Fund | 94,188,810 | 83,893,512 |
Fidelity Mid Cap Enhanced Index Fund | 173,204,910 | 86,639,136 |
Fidelity Small Cap Enhanced Index Fund | 209,107,839 | 98,154,721 |
Fidelity International Enhanced Index Fund | 13,393,246 | 11,527,128 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR), provides the Funds with investment management related services. For these services, the Funds pay a monthly management fee to Strategic Advisers. The management fee is based on an annual rate of 0.30% of average net assets for Fidelity Large Cap Growth Enhanced Index, Fidelity Large Cap Value Enhanced Index and Fidelity Large Cap Core Enhanced Index, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index, 0.52% of average net assets for Fidelity Small Cap Enhanced Index and 0.47% of average net assets for Fidelity International Enhanced Index. Under the management contract, Strategic Advisers pays all other ordinary fund-wide operating expenses (such as custody, audit, legal and pricing and bookkeeping fees), except the compensation of the independent Trustees and certain other expenses such as interest expense. The management fee paid to Strategic Advisers by the Funds is reduced by an amount equal to the fees and expenses paid by the Funds to the independent Trustees.
In addition, under the expense contract, Strategic Advisers pays other expenses such as those listed above for each of the Funds so that the total expenses do not exceed certain amounts of each Fund's average net assets with certain exceptions, as noted in the following table:
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
Fidelity Mid Cap Enhanced Index Fund | .60% |
Fidelity Small Cap Enhanced Index Fund | .67% |
Fidelity International Enhanced Index Fund | .62% |
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by Strategic Advisers for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each fund paid transfer agent fees at the annualized rate of 0.15% of average net assets.
6. Investments in Fidelity Central Funds.
The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Securities Lending Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Fidelity Large Cap Growth Enhanced Index Fund | $ 201 |
Fidelity Large Cap Value Enhanced Index Fund | 125 |
Fidelity Large Cap Core Enhanced Index Fund | 249 |
Fidelity Mid Cap Enhanced Index Fund | 160 |
Fidelity Small Cap Enhanced Index Fund | 195 |
Fidelity International Enhanced Index Fund | 35 |
During the period, there were no borrowings on this line of credit.
Semiannual Report
8. Security Lending.
Certain Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Funds may apply collateral received from the borrower against the obligation. The Funds may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as income from Fidelity Central Funds.
9. Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
|
| Expense |
Fidelity Large Cap Core Enhanced Index Fund |
| $ 13 |
Fidelity Mid Cap Enhanced Index Fund |
| 4 |
Fidelity Small Cap Enhanced Index Fund |
| 7 |
10. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers U.S. Opportunity Fund was the owner of record of approximately 34% of the outstanding shares of the Fidelity Large Cap Core Enhanced Index Fund. Mutual funds managed by FMR or its affiliates were the owners of record, in the aggregate, of approximately 43% of the total outstanding shares of the Fidelity Large Cap Core Enhanced Index Fund.
Semiannual Report
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
Investment Sub-Adviser
Geode Capital Management, LLC
Boston, MA
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
GEI-USAN-1013 1.855141.106
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Commonwealth Trust II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Commonwealth Trust II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Commonwealth Trust II
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | October 24, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | October 24, 2013 |
By: | /s/Nicholas E. Steck |
| Nicholas E. Steck |
| Chief Financial Officer |
|
|
Date: | October 24, 2013 |