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)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Stephen D. Fisher, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(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, 2009 |
Item 1. Reports to Stockholders
Fidelity®
Large Cap Growth Enhanced Index
Large Cap Value Enhanced Index
Large Cap Core Enhanced Index
Mid Cap Enhanced Index
Small Cap Enhanced Index
International Enhanced Index
Funds
Semiannual Report
(2_fidelity_logos) (Registered_Trademark)
August 31, 2009
Contents
Chairman's Message | The Chairman's message to shareholders | |
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 | |
Board Approval of Investment Advisory Contracts and Management Fees |
|
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.
Geode is a registered trademark of Geode Capital Management, LLC.
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.
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 or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson 3d)
Dear Shareholder:
We've seen a welcome uptick in the global equity markets this spring and summer, as signs of stabilization in some economic indicators have brought many investors back into the marketplace. But there remain other key measures - notably high unemployment and slack consumer spending - that suggest the road back to economic health could still be a bumpy ride. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There can be tax advantages and cost benefits to consider as well. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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, 2009 to August 31, 2009).
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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. 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 | $ 1,374.60 | $ 2.69 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,388.60 | $ 2.71 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,373.70 | $ 2.69 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Mid Cap Enhanced Index Fund | .60% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,469.20 | $ 3.73 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.18 | $ 3.06 |
Fidelity Small Cap Enhanced Index Fund | .67% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,422.30 | $ 4.09 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.83 | $ 3.41 |
Fidelity International Enhanced Index Fund | .62% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,502.90 | $ 3.91 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.08 | $ 3.16 |
A 5% return per year before expenses
* 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, 2009 | ||
| % of fund's | % of fund's net assets |
Microsoft Corp. | 3.2 | 3.2 |
Apple, Inc. | 3.0 | 2.2 |
International Business Machines Corp. | 2.9 | 3.4 |
Johnson & Johnson | 2.6 | 1.1 |
Cisco Systems, Inc. | 2.2 | 2.3 |
Wal-Mart Stores, Inc. | 2.0 | 2.3 |
Philip Morris International, Inc. | 1.9 | 1.9 |
Google, Inc. Class A | 1.9 | 2.2 |
Hewlett-Packard Co. | 1.8 | 2.0 |
Procter & Gamble Co. | 1.7 | 1.5 |
| 23.2 |
|
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Information Technology | 29.4 | 30.0 |
Health Care | 14.9 | 16.7 |
Consumer Staples | 13.9 | 12.7 |
Consumer Discretionary | 9.9 | 10.1 |
Industrials | 9.1 | 10.1 |
Energy | 4.9 | 8.2 |
Financials | 4.0 | 3.3 |
Materials | 3.7 | 3.7 |
Telecommunication Services | 1.0 | 1.5 |
Utilities | 0.8 | 1.4 |
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 91.6% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.9% | |||
Auto Components - 0.4% | |||
Autoliv, Inc. (c) | 1,209 | $ 38,773 | |
Johnson Controls, Inc. | 500 | 12,385 | |
TRW Automotive Holdings Corp. (a) | 6,000 | 105,900 | |
| 157,058 | ||
Automobiles - 0.1% | |||
Thor Industries, Inc. | 2,000 | 52,100 | |
Diversified Consumer Services - 1.0% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 1,550 | 100,471 | |
H&R Block, Inc. | 7,600 | 131,328 | |
ITT Educational Services, Inc. (a) | 710 | 74,543 | |
Service Corp. International | 6,500 | 46,020 | |
Weight Watchers International, Inc. | 1,673 | 45,890 | |
| 398,252 | ||
Hotels, Restaurants & Leisure - 2.3% | |||
Choice Hotels International, Inc. | 2,100 | 61,950 | |
McDonald's Corp. | 8,800 | 494,912 | |
Panera Bread Co. Class A (a) | 1,100 | 57,431 | |
Starbucks Corp. (a) | 2,500 | 47,475 | |
WMS Industries, Inc. (a) | 1,700 | 71,961 | |
Yum! Brands, Inc. | 5,000 | 171,250 | |
| 904,979 | ||
Household Durables - 0.5% | |||
Garmin Ltd. | 3,000 | 98,610 | |
NVR, Inc. (a)(c) | 130 | 87,783 | |
| 186,393 | ||
Internet & Catalog Retail - 0.3% | |||
Amazon.com, Inc. (a) | 1,500 | 121,785 | |
Media - 1.4% | |||
Comcast Corp. Class A | 8,000 | 122,560 | |
DISH Network Corp. Class A (a) | 2,000 | 32,620 | |
McGraw-Hill Companies, Inc. | 3,120 | 104,863 | |
Omnicom Group, Inc. | 3,941 | 143,137 | |
The Walt Disney Co. | 4,529 | 117,935 | |
Viacom, Inc. Class B (non-vtg.) (a) | 1,690 | 42,318 | |
| 563,433 | ||
Multiline Retail - 1.2% | |||
Dollar Tree, Inc. (a) | 1,400 | 69,916 | |
Macy's, Inc. | 7,000 | 108,640 | |
Nordstrom, Inc. | 3,000 | 84,120 | |
Target Corp. | 4,563 | 214,461 | |
| 477,137 | ||
Specialty Retail - 2.0% | |||
Aeropostale, Inc. (a)(c) | 1,600 | 62,640 | |
AutoZone, Inc. (a)(c) | 750 | 110,438 | |
Best Buy Co., Inc. | 3,200 | 116,096 | |
Rent-A-Center, Inc. (a) | 3,900 | 76,947 | |
Ross Stores, Inc. | 2,800 | 130,592 | |
Signet Jewelers Ltd. | 2,500 | 60,575 | |
| |||
Shares | Value | ||
TJX Companies, Inc. | 5,000 | $ 179,750 | |
Tractor Supply Co. (a)(c) | 1,100 | 51,766 | |
| 788,804 | ||
Textiles, Apparel & Luxury Goods - 0.7% | |||
Coach, Inc. | 4,600 | 130,134 | |
NIKE, Inc. Class B | 2,370 | 131,274 | |
| 261,408 | ||
TOTAL CONSUMER DISCRETIONARY | 3,911,349 | ||
CONSUMER STAPLES - 13.9% | |||
Beverages - 3.9% | |||
Coca-Cola Enterprises, Inc. | 7,500 | 151,575 | |
Constellation Brands, Inc. Class A | 2,500 | 36,975 | |
Hansen Natural Corp. (a)(c) | 1,600 | 52,256 | |
Pepsi Bottling Group, Inc. | 3,780 | 135,059 | |
PepsiCo, Inc. | 10,020 | 567,833 | |
The Coca-Cola Co. | 11,800 | 575,486 | |
| 1,519,184 | ||
Food & Staples Retailing - 3.4% | |||
Costco Wholesale Corp. | 990 | 50,470 | |
CVS Caremark Corp. | 6,000 | 225,120 | |
Kroger Co. | 5,000 | 107,950 | |
Safeway, Inc. | 1,950 | 37,148 | |
Sysco Corp. | 500 | 12,745 | |
Wal-Mart Stores, Inc. | 15,500 | 788,485 | |
Walgreen Co. | 3,774 | 127,863 | |
| 1,349,781 | ||
Food Products - 0.7% | |||
Archer Daniels Midland Co. | 2,300 | 66,309 | |
Dean Foods Co. (a)(c) | 6,500 | 117,910 | |
General Mills, Inc. | 1,650 | 98,555 | |
| 282,774 | ||
Household Products - 3.0% | |||
Church & Dwight Co., Inc. | 1,650 | 94,265 | |
Colgate-Palmolive Co. | 4,300 | 312,610 | |
Kimberly-Clark Corp. | 1,600 | 96,736 | |
Procter & Gamble Co. | 12,550 | 679,081 | |
| 1,182,692 | ||
Personal Products - 0.1% | |||
Herbalife Ltd. | 1,000 | 30,280 | |
Tobacco - 2.8% | |||
Altria Group, Inc. | 13,200 | 241,296 | |
Lorillard, Inc. | 1,800 | 130,986 | |
Philip Morris International, Inc. | 16,425 | 750,787 | |
| 1,123,069 | ||
TOTAL CONSUMER STAPLES | 5,487,780 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - 4.9% | |||
Energy Equipment & Services - 2.0% | |||
Cameron International Corp. (a)(c) | 3,010 | $ 107,487 | |
Diamond Offshore Drilling, Inc. (c) | 1,000 | 89,420 | |
Dresser-Rand Group, Inc. (a) | 2,500 | 74,250 | |
National Oilwell Varco, Inc. (a) | 1,400 | 50,890 | |
Noble Corp. | 1,700 | 59,551 | |
Schlumberger Ltd. | 4,725 | 265,545 | |
Tidewater, Inc. | 1,704 | 73,562 | |
Transocean Ltd. (a) | 600 | 45,504 | |
| 766,209 | ||
Oil, Gas & Consumable Fuels - 2.9% | |||
Alpha Natural Resources, Inc. (a) | 1,734 | 56,026 | |
Anadarko Petroleum Corp. | 900 | 47,583 | |
Apache Corp. | 600 | 50,970 | |
Chevron Corp. | 470 | 32,872 | |
ConocoPhillips | 595 | 26,793 | |
EXCO Resources, Inc. (a) | 2,200 | 32,252 | |
Exxon Mobil Corp. | 8,100 | 560,115 | |
McMoRan Exploration Co. (a)(c) | 3,400 | 28,356 | |
Murphy Oil Corp. | 1,850 | 105,450 | |
Occidental Petroleum Corp. | 1,500 | 109,650 | |
Peabody Energy Corp. | 3,000 | 98,040 | |
W&T Offshore, Inc. | 694 | 6,857 | |
| 1,154,964 | ||
TOTAL ENERGY | 1,921,173 | ||
FINANCIALS - 4.0% | |||
Capital Markets - 1.7% | |||
Charles Schwab Corp. | 2,300 | 41,538 | |
Eaton Vance Corp. (non-vtg.) | 3,000 | 85,710 | |
Federated Investors, Inc. Class B (non-vtg.) | 3,000 | 78,750 | |
Franklin Resources, Inc. (c) | 1,210 | 112,929 | |
Knight Capital Group, Inc. Class A (a) | 2,250 | 45,270 | |
Raymond James Financial, Inc. | 2,000 | 45,500 | |
State Street Corp. | 3,055 | 160,326 | |
TD Ameritrade Holding Corp. (a) | 5,000 | 96,200 | |
| 666,223 | ||
Commercial Banks - 0.2% | |||
Wells Fargo & Co. | 2,500 | 68,800 | |
Consumer Finance - 0.5% | |||
American Express Co. | 4,700 | 158,954 | |
SLM Corp. (a) | 4,650 | 41,385 | |
| 200,339 | ||
Diversified Financial Services - 0.4% | |||
CME Group, Inc. | 340 | 98,954 | |
The NASDAQ Stock Market, Inc. (a) | 1,700 | 37,315 | |
| 136,269 | ||
| |||
Shares | Value | ||
Insurance - 0.9% | |||
AFLAC, Inc. | 3,400 | $ 138,108 | |
American Financial Group, Inc. | 3,000 | 76,950 | |
The Chubb Corp. | 1,265 | 62,478 | |
The Travelers Companies, Inc. | 1,640 | 82,689 | |
| 360,225 | ||
Real Estate Investment Trusts - 0.2% | |||
Annaly Capital Management, Inc. | 3,750 | 65,025 | |
ProLogis Trust | 2,045 | 22,740 | |
| 87,765 | ||
Thrifts & Mortgage Finance - 0.1% | |||
Hudson City Bancorp, Inc. | 4,300 | 56,416 | |
TOTAL FINANCIALS | 1,576,037 | ||
HEALTH CARE - 14.9% | |||
Biotechnology - 2.7% | |||
Amgen, Inc. (a) | 6,800 | 406,232 | |
Biogen Idec, Inc. (a) | 3,000 | 150,630 | |
Celgene Corp. (a)(c) | 2,200 | 114,774 | |
Gilead Sciences, Inc. (a) | 7,700 | 346,962 | |
Isis Pharmaceuticals, Inc. (a) | 2,000 | 32,280 | |
| 1,050,878 | ||
Health Care Equipment & Supplies - 3.0% | |||
American Medical Systems Holdings, Inc. (a) | 2,300 | 35,052 | |
Baxter International, Inc. | 5,400 | 307,368 | |
Becton, Dickinson & Co. | 2,300 | 160,126 | |
Edwards Lifesciences Corp. (a) | 1,125 | 69,615 | |
Kinetic Concepts, Inc. (a)(c) | 3,500 | 111,825 | |
Medtronic, Inc. | 10,000 | 383,000 | |
St. Jude Medical, Inc. (a) | 500 | 19,270 | |
Zimmer Holdings, Inc. (a) | 1,700 | 80,495 | |
| 1,166,751 | ||
Health Care Providers & Services - 2.7% | |||
AmerisourceBergen Corp. | 4,400 | 93,764 | |
Express Scripts, Inc. (a) | 3,050 | 220,271 | |
Henry Schein, Inc. (a) | 2,000 | 105,960 | |
Laboratory Corp. of America Holdings (a)(c) | 2,100 | 146,559 | |
Medco Health Solutions, Inc. (a)(c) | 5,000 | 276,100 | |
UnitedHealth Group, Inc. | 3,000 | 84,000 | |
WellPoint, Inc. (a) | 2,450 | 129,483 | |
| 1,056,137 | ||
Life Sciences Tools & Services - 0.8% | |||
Life Technologies Corp. (a) | 3,280 | 146,058 | |
Mettler-Toledo International, Inc. (a) | 1,300 | 113,620 | |
Waters Corp. (a)(c) | 1,145 | 57,571 | |
| 317,249 | ||
Pharmaceuticals - 5.7% | |||
Abbott Laboratories | 11,500 | 520,145 | |
Bristol-Myers Squibb Co. | 6,221 | 137,671 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Eli Lilly & Co. | 2,810 | $ 94,023 | |
Johnson & Johnson | 17,000 | 1,027,480 | |
Merck & Co., Inc. | 1,000 | 32,430 | |
Pfizer, Inc. | 2,165 | 36,156 | |
Schering-Plough Corp. | 11,550 | 325,479 | |
Wyeth | 1,920 | 91,872 | |
| 2,265,256 | ||
TOTAL HEALTH CARE | 5,856,271 | ||
INDUSTRIALS - 9.1% | |||
Aerospace & Defense - 2.7% | |||
Cubic Corp. | 1,500 | 53,280 | |
DynCorp International, Inc. Class A (a) | 1,900 | 32,642 | |
General Dynamics Corp. | 1,250 | 73,988 | |
Honeywell International, Inc. | 3,250 | 119,470 | |
L-3 Communications Holdings, Inc. | 1,700 | 126,480 | |
Lockheed Martin Corp. | 2,514 | 188,500 | |
Northrop Grumman Corp. | 1,000 | 48,810 | |
Raytheon Co. | 2,310 | 108,986 | |
TransDigm Group, Inc. (a) | 1,600 | 71,232 | |
United Technologies Corp. | 4,000 | 237,440 | |
| 1,060,828 | ||
Air Freight & Logistics - 0.9% | |||
C.H. Robinson Worldwide, Inc. | 2,000 | 112,520 | |
United Parcel Service, Inc. Class B | 4,200 | 224,532 | |
| 337,052 | ||
Building Products - 0.1% | |||
Masco Corp. | 4,000 | 57,920 | |
Commercial Services & Supplies - 0.4% | |||
R.R. Donnelley & Sons Co. | 3,750 | 66,900 | |
Waste Management, Inc. | 3,200 | 95,776 | |
| 162,676 | ||
Construction & Engineering - 0.7% | |||
EMCOR Group, Inc. (a) | 4,365 | 101,137 | |
Fluor Corp. | 1,860 | 98,394 | |
Foster Wheeler AG (a) | 2,000 | 57,900 | |
Shaw Group, Inc. (a) | 1,000 | 29,330 | |
| 286,761 | ||
Electrical Equipment - 0.7% | |||
Brady Corp. Class A | 2,000 | 59,260 | |
Cooper Industries Ltd. Class A | 1,000 | 32,250 | |
Emerson Electric Co. | 5,000 | 184,350 | |
| 275,860 | ||
| |||
Shares | Value | ||
Industrial Conglomerates - 0.8% | |||
3M Co. | 3,290 | $ 237,209 | |
McDermott International, Inc. (a) | 2,534 | 60,208 | |
| 297,417 | ||
Machinery - 1.7% | |||
Bucyrus International, Inc. Class A | 1,400 | 41,790 | |
Flowserve Corp. | 815 | 70,294 | |
Illinois Tool Works, Inc. | 2,765 | 115,632 | |
Joy Global, Inc. | 3,300 | 128,205 | |
Lindsay Corp. | 1,100 | 45,661 | |
Oshkosh Co. | 5,000 | 168,000 | |
Valmont Industries, Inc. (c) | 1,300 | 107,029 | |
| 676,611 | ||
Professional Services - 0.2% | |||
FTI Consulting, Inc. (a)(c) | 1,500 | 65,310 | |
Road & Rail - 0.9% | |||
CSX Corp. | 2,800 | 119,000 | |
Norfolk Southern Corp. | 605 | 27,751 | |
Union Pacific Corp. | 3,500 | 209,335 | |
| 356,086 | ||
TOTAL INDUSTRIALS | 3,576,521 | ||
INFORMATION TECHNOLOGY - 29.4% | |||
Communications Equipment - 4.1% | |||
3Com Corp. (a)(c) | 4,000 | 17,400 | |
Adtran, Inc. | 1,660 | 37,748 | |
Cisco Systems, Inc. (a) | 40,000 | 864,000 | |
Harris Corp. | 1,900 | 65,987 | |
QUALCOMM, Inc. | 14,000 | 649,880 | |
| 1,635,015 | ||
Computers & Peripherals - 8.9% | |||
Apple, Inc. (a) | 7,000 | 1,177,470 | |
Dell, Inc. (a) | 6,200 | 98,146 | |
EMC Corp. (a) | 9,010 | 143,259 | |
Hewlett-Packard Co. | 16,000 | 718,240 | |
International Business Machines Corp. | 9,800 | 1,156,890 | |
NetApp, Inc. (a) | 4,080 | 92,820 | |
Teradata Corp. (a) | 4,060 | 109,336 | |
| 3,496,161 | ||
Electronic Equipment & Components - 0.5% | |||
Corning, Inc. | 4,404 | 66,412 | |
Tech Data Corp. (a) | 2,900 | 110,490 | |
| 176,902 | ||
Internet Software & Services - 3.0% | |||
Akamai Technologies, Inc. (a)(c) | 2,830 | 49,921 | |
eBay, Inc. (a) | 8,000 | 177,120 | |
Google, Inc. Class A (a) | 1,580 | 729,439 | |
Sohu.com, Inc. (a) | 1,730 | 105,703 | |
Yahoo!, Inc. (a) | 7,500 | 109,575 | |
| 1,171,758 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
IT Services - 2.2% | |||
Alliance Data Systems Corp. (a)(c) | 1,780 | $ 98,897 | |
Automatic Data Processing, Inc. | 1,750 | 67,113 | |
Fiserv, Inc. (a)(c) | 2,500 | 120,625 | |
Lender Processing Services, Inc. | 3,000 | 102,840 | |
MasterCard, Inc. Class A (c) | 700 | 141,841 | |
The Western Union Co. | 8,620 | 155,505 | |
Visa, Inc. Class A | 2,515 | 178,817 | |
| 865,638 | ||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Amkor Technology, Inc. (a)(c) | 6,610 | 36,619 | |
Cree, Inc. (a) | 3,000 | 110,520 | |
Intel Corp. | 27,800 | 564,896 | |
Linear Technology Corp. | 3,000 | 79,710 | |
Marvell Technology Group Ltd. (a)(c) | 10,600 | 161,650 | |
National Semiconductor Corp. (c) | 6,370 | 96,633 | |
Skyworks Solutions, Inc. (a)(c) | 6,750 | 78,638 | |
Tessera Technologies, Inc. (a) | 2,000 | 50,260 | |
Texas Instruments, Inc. | 13,500 | 331,965 | |
Xilinx, Inc. | 5,000 | 111,200 | |
| 1,622,091 | ||
Software - 6.6% | |||
Activision Blizzard, Inc. (a) | 3,000 | 34,830 | |
Adobe Systems, Inc. (a)(c) | 5,925 | 186,164 | |
BMC Software, Inc. (a) | 3,250 | 115,863 | |
CA, Inc. | 3,500 | 78,015 | |
McAfee, Inc. (a) | 3,050 | 121,329 | |
Microsoft Corp. | 52,100 | 1,284,265 | |
Oracle Corp. | 28,808 | 630,031 | |
Red Hat, Inc. (a) | 2,000 | 45,920 | |
Salesforce.com, Inc. (a)(c) | 1,000 | 51,870 | |
Solera Holdings, Inc. | 870 | 22,916 | |
Sybase, Inc. (a)(c) | 1,000 | 34,850 | |
| 2,606,053 | ||
TOTAL INFORMATION TECHNOLOGY | 11,573,618 | ||
MATERIALS - 3.7% | |||
Chemicals - 2.0% | |||
Celanese Corp. Class A | 2,750 | 70,043 | |
Monsanto Co. | 4,100 | 343,908 | |
Praxair, Inc. | 1,000 | 76,620 | |
Terra Industries, Inc. | 3,300 | 102,663 | |
The Mosaic Co. | 2,600 | 126,022 | |
Westlake Chemical Corp. | 2,300 | 55,292 | |
| 774,548 | ||
| |||
Shares | Value | ||
Containers & Packaging - 1.0% | |||
Crown Holdings, Inc. (a) | 4,100 | $ 101,803 | |
Greif, Inc. Class A | 1,050 | 52,017 | |
Owens-Illinois, Inc. (a) | 3,060 | 103,856 | |
Pactiv Corp. (a) | 2,200 | 54,670 | |
Rock-Tenn Co. Class A | 500 | 25,645 | |
Silgan Holdings, Inc. | 1,000 | 48,620 | |
| 386,611 | ||
Metals & Mining - 0.7% | |||
Freeport-McMoRan Copper & Gold, Inc. | 1,300 | 81,874 | |
Newmont Mining Corp. | 1,400 | 56,266 | |
Nucor Corp. | 1,760 | 78,390 | |
Reliance Steel & Aluminum Co. | 2,250 | 83,115 | |
| 299,645 | ||
TOTAL MATERIALS | 1,460,804 | ||
TELECOMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.7% | |||
CenturyTel, Inc. | 4,386 | 141,361 | |
Frontier Communications Corp. | 6,755 | 48,028 | |
Windstream Corp. | 10,510 | 90,071 | |
| 279,460 | ||
Wireless Telecommunication Services - 0.3% | |||
American Tower Corp. Class A (a) | 4,000 | 126,600 | |
TOTAL TELECOMMUNICATION SERVICES | 406,060 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.3% | |||
DPL, Inc. | 3,430 | 84,961 | |
Exelon Corp. | 908 | 45,410 | |
| 130,371 | ||
Gas Utilities - 0.1% | |||
Energen Corp. | 815 | 34,222 | |
Independent Power Producers & Energy Traders - 0.1% | |||
Constellation Energy Group, Inc. | 1,250 | 39,563 | |
Multi-Utilities - 0.3% | |||
Dominion Resources, Inc. | 1,095 | 36,223 | |
Public Service Enterprise Group, Inc. | 2,915 | 92,318 | |
| 128,541 | ||
TOTAL UTILITIES | 332,697 | ||
TOTAL COMMON STOCKS (Cost $37,169,245) | 36,102,310 |
U.S. Treasury Obligations - 0.8% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.42% to 0.53% 11/19/09 to 6/3/10 (d) | $ 340,000 | $ 339,512 |
Money Market Funds - 13.4% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.23% (f) | 3,014,282 | 3,014,282 | |
Fidelity Securities Lending Cash Central Fund, 0.23% (b)(e) | 2,261,756 | 2,261,756 | |
TOTAL MONEY MARKET FUNDS (Cost $5,276,038) | 5,276,038 | ||
TOTAL INVESTMENT PORTFOLIO - 105.8% (Cost $42,784,346) | 41,717,860 | ||
NET OTHER ASSETS - (5.8)% | (2,295,446) | ||
NET ASSETS - 100% | $ 39,422,414 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
64 CME E-mini S&P 500 Index Contracts | Sept. 2009 | $ 3,263,040 | $ 149,275 |
|
The face value of futures purchased as a percentage of net assets - 8.3% |
Legend |
(a) Non-income producing |
(b) Investment made with cash collateral received from securities on loan. |
(c) Security or a portion of the security is on loan at period end. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $339,512. |
(e) Affiliated fund that is 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. |
(f) The rate quoted is the annualized seven-day yield at period end. |
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 | $ 3,588 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security 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 | $ 3,911,349 | $ 3,911,349 | $ - | $ - |
Consumer Staples | 5,487,780 | 5,487,780 | - | - |
Energy | 1,921,173 | 1,921,173 | - | - |
Financials | 1,576,037 | 1,576,037 | - | - |
Health Care | 5,856,271 | 5,856,271 | - | - |
Industrials | 3,576,521 | 3,576,521 | - | - |
Information Technology | 11,573,618 | 11,573,618 | - | - |
Materials | 1,460,804 | 1,460,804 | - | - |
Telecommunication Services | 406,060 | 406,060 | - | - |
Utilities | 332,697 | 332,697 | - | - |
Money Market Funds | 5,276,038 | 5,276,038 | - | - |
U.S. Government and Government Agency Obligations | 339,512 | - | 339,512 | - |
Total Investments in Securities: | $ 41,717,860 | $ 41,378,348 | $ 339,512 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 149,275 | $ 149,275 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 149,275 | $ - |
Total Value of Derivatives | $ 149,275 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $3,603,801 of which $298,456 and $3,305,345 will expire on February 29, 2016 and February 28, 2017, respectively. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $1,528,392 of losses recognized during the period November 1, 2008 to February 28, 2009. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Growth Enhanced Index
Financial Statements
Statement of Assets and Liabilities
| August 31, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $2,176,897) - See accompanying schedule: Unaffiliated issuers (cost $40,522,590) | $ 39,456,104 |
|
Fidelity Central Funds (cost $2,261,756) | 2,261,756 |
|
Total Investments (cost $42,784,346) |
| $ 41,717,860 |
Receivable for investments sold | 169,198 | |
Receivable for fund shares sold | 107,601 | |
Dividends receivable | 68,444 | |
Interest receivable | 684 | |
Distributions receivable from Fidelity Central Funds | 342 | |
Other receivables | 1,097 | |
Total assets | 42,065,226 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 342,600 | |
Accrued management fee | 9,759 | |
Payable for daily variation on futures contracts | 23,854 | |
Other affiliated payables | 4,843 | |
Collateral on securities loaned, at value | 2,261,756 | |
Total liabilities | 2,642,812 | |
|
|
|
Net Assets | $ 39,422,414 | |
Net Assets consist of: |
| |
Paid in capital | $ 46,974,772 | |
Undistributed net investment income | 200,041 | |
Accumulated undistributed net realized gain (loss) on investments | (6,835,187) | |
Net unrealized appreciation (depreciation) on investments | (917,212) | |
Net Assets, for 5,130,082 shares outstanding | $ 39,422,414 | |
Net Asset Value, offering price and redemption price per share ($39,422,414 ÷ 5,130,082 shares) | $ 7.68 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 279,839 |
Interest |
| 5,044 |
Income from Fidelity Central Funds |
| 3,588 |
Total income |
| 288,471 |
|
|
|
Expenses | ||
Management fee | $ 46,990 | |
Transfer agent fees | 23,914 | |
Independent trustees' compensation | 838 | |
Total expenses | 71,742 | |
Net investment income (loss) | 216,729 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (1,956,284) | |
Futures contracts | 231,268 | |
Total net realized gain (loss) |
| (1,725,016) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 10,868,232 | |
Futures contracts | 208,462 | |
Total change in net unrealized appreciation (depreciation) |
| 11,076,694 |
Net gain (loss) | 9,351,678 | |
Net increase (decrease) in net assets resulting from operations | $ 9,568,407 |
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, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 216,729 | $ 344,006 |
Net realized gain (loss) | (1,725,016) | (4,362,634) |
Change in net unrealized appreciation (depreciation) | 11,076,694 | (8,733,972) |
Net increase (decrease) in net assets resulting from operations | 9,568,407 | (12,752,600) |
Distributions to shareholders from net investment income | (66,194) | (325,592) |
Share transactions | 16,194,377 | 19,969,543 |
Reinvestment of distributions | 62,787 | 301,227 |
Cost of shares redeemed | (8,441,040) | (20,030,860) |
Net increase (decrease) in net assets resulting from share transactions | 7,816,124 | 239,910 |
Total increase (decrease) in net assets | 17,318,337 | (12,838,282) |
|
|
|
Net Assets | ||
Beginning of period | 22,104,077 | 34,942,359 |
End of period (including undistributed net investment income of $200,041 and undistributed net investment income of $49,506, respectively) | $ 39,422,414 | $ 22,104,077 |
Other Information Shares | ||
Sold | 2,428,218 | 2,718,349 |
Issued in reinvestment of distributions | 9,645 | 46,905 |
Redeemed | (1,252,753) | (2,598,700) |
Net increase (decrease) | 1,185,110 | 166,554 |
Financial Highlights
| Six months ended August 31, 2009 | Years ended February 28, | |
(Unaudited) | 2009 | 2008 F,H | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 5.60 | $ 9.25 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) C | .05 | .09 | .08 |
Net realized and unrealized gain (loss) | 2.05 | (3.65) | (.78) |
Total from investment operations | 2.10 | (3.56) | (.70) |
Distributions from net investment income | (.02) | (.09) | (.05) |
Net asset value, end of period | $ 7.68 | $ 5.60 | $ 9.25 |
Total Return B | 37.46% | (38.61)% | (7.05)% |
Ratios to Average Net Assets D, G |
|
|
|
Expenses before reductions | .45% A | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% A |
Net investment income (loss) | 1.36% A | 1.14% | .89% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 39,422 | $ 22,104 | $ 34,942 |
Portfolio turnover rate E | 71% A | 86% | 36% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of the 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F For the period April 19, 2007 (commencement of operations) to February 29, 2008.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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.
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, 2009 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 4.9 | 8.5 |
JPMorgan Chase & Co. | 3.4 | 2.4 |
AT&T, Inc. | 3.3 | 4.0 |
General Electric Co. | 3.0 | 2.5 |
Bank of America Corp. | 3.0 | 0.7 |
Chevron Corp. | 2.7 | 3.6 |
Wells Fargo & Co. | 2.5 | 1.4 |
Pfizer, Inc. | 2.2 | 2.8 |
Goldman Sachs Group, Inc. | 1.7 | 1.0 |
Verizon Communications, Inc. | 1.7 | 2.4 |
| 28.4 | |
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Financials | 25.5 | 18.3 |
Energy | 17.5 | 18.0 |
Consumer Discretionary | 9.9 | 8.0 |
Health Care | 8.8 | 15.3 |
Industrials | 8.3 | 6.9 |
Information Technology | 6.3 | 2.8 |
Utilities | 5.8 | 7.5 |
Telecommunication Services | 5.7 | 7.8 |
Consumer Staples | 5.5 | 11.5 |
Materials | 4.4 | 2.4 |
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.9% | |||
Auto Components - 0.3% | |||
Autoliv, Inc. | 3,900 | $ 125,073 | |
Johnson Controls, Inc. | 3,500 | 86,695 | |
| 211,768 | ||
Automobiles - 0.5% | |||
Ford Motor Co. (a) | 42,000 | 319,200 | |
Diversified Consumer Services - 0.5% | |||
Apollo Group, Inc. Class A (non-vtg.) (a)(c) | 2,323 | 150,577 | |
Weight Watchers International, Inc. | 5,391 | 147,875 | |
| 298,452 | ||
Hotels, Restaurants & Leisure - 0.3% | |||
Carnival Corp. unit | 837 | 24,482 | |
McDonald's Corp. | 1,073 | 60,346 | |
MGM Mirage, Inc. (a)(c) | 5,580 | 47,263 | |
The Cheesecake Factory, Inc. (a)(c) | 4,926 | 90,491 | |
| 222,582 | ||
Household Durables - 1.2% | |||
Black & Decker Corp. | 1,700 | 75,004 | |
Garmin Ltd. (c) | 4,200 | 138,054 | |
Jarden Corp. (a)(c) | 3,700 | 90,095 | |
M.D.C. Holdings, Inc. | 2,200 | 82,412 | |
Newell Rubbermaid, Inc. | 9,696 | 134,968 | |
Tempur-Pedic International, Inc. (c) | 7,435 | 110,038 | |
Tupperware Brands Corp. | 3,904 | 144,409 | |
| 774,980 | ||
Internet & Catalog Retail - 0.2% | |||
Liberty Media Corp. Interactive Series A (a) | 12,000 | 114,960 | |
Media - 4.0% | |||
CBS Corp. Class B | 4,943 | 51,160 | |
Comcast Corp. Class A | 35,177 | 538,912 | |
DISH Network Corp. Class A (a)(c) | 2,738 | 44,657 | |
Liberty Global, Inc. Class A (a)(c) | 2,032 | 44,480 | |
Liberty Media Corp. Entertainment Series A (a) | 4,000 | 111,560 | |
McGraw-Hill Companies, Inc. | 5,618 | 188,821 | |
News Corp. Class A | 12,201 | 130,795 | |
The Walt Disney Co. (c) | 21,923 | 570,875 | |
Time Warner Cable, Inc. (c) | 7,257 | 267,928 | |
Time Warner, Inc. | 15,935 | 444,746 | |
Viacom, Inc. Class B (non-vtg.) (a)(c) | 6,042 | 151,292 | |
| 2,545,226 | ||
Multiline Retail - 0.6% | |||
Macy's, Inc. | 24,463 | 379,666 | |
Specialty Retail - 2.1% | |||
Gap, Inc. (c) | 4,302 | 84,534 | |
Home Depot, Inc. | 21,011 | 573,390 | |
Lowe's Companies, Inc. (c) | 9,341 | 200,832 | |
RadioShack Corp. (c) | 10,084 | 152,571 | |
| |||
Shares | Value | ||
Rent-A-Center, Inc. (a) | 10,475 | $ 206,672 | |
Sally Beauty Holdings, Inc. (a) | 9,055 | 64,381 | |
Sherwin-Williams Co. (c) | 906 | 54,541 | |
| 1,336,921 | ||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Carter's, Inc. (a)(c) | 3,935 | 99,005 | |
TOTAL CONSUMER DISCRETIONARY | 6,302,760 | ||
CONSUMER STAPLES - 5.5% | |||
Beverages - 0.9% | |||
Coca-Cola Enterprises, Inc. | 12,941 | 261,538 | |
Dr Pepper Snapple Group, Inc. (a) | 3,071 | 81,197 | |
The Coca-Cola Co. | 4,726 | 230,487 | |
| 573,222 | ||
Food & Staples Retailing - 0.8% | |||
CVS Caremark Corp. (c) | 11,445 | 429,416 | |
SUPERVALU, Inc. | 8,019 | 115,073 | |
| 544,489 | ||
Food Products - 1.7% | |||
Archer Daniels Midland Co. | 9,454 | 272,559 | |
ConAgra Foods, Inc. (c) | 2,432 | 49,929 | |
General Mills, Inc. (c) | 2,902 | 173,336 | |
Kraft Foods, Inc. Class A | 21,545 | 610,801 | |
| 1,106,625 | ||
Household Products - 1.5% | |||
Kimberly-Clark Corp. | 4,192 | 253,448 | |
Procter & Gamble Co. | 12,503 | 676,537 | |
| 929,985 | ||
Personal Products - 0.1% | |||
Herbalife Ltd. | 1,362 | 41,241 | |
Tobacco - 0.5% | |||
Lorillard, Inc. | 1,431 | 104,134 | |
Reynolds American, Inc. | 4,179 | 191,022 | |
| 295,156 | ||
TOTAL CONSUMER STAPLES | 3,490,718 | ||
ENERGY - 17.5% | |||
Energy Equipment & Services - 2.6% | |||
Cameron International Corp. (a)(c) | 6,760 | 241,400 | |
Dresser-Rand Group, Inc. (a)(c) | 5,876 | 174,517 | |
ENSCO International, Inc. | 2,265 | 83,579 | |
FMC Technologies, Inc. (a)(c) | 1,500 | 71,550 | |
Halliburton Co. | 6,972 | 165,306 | |
National Oilwell Varco, Inc. (a) | 8,200 | 298,070 | |
Oil States International, Inc. (a)(c) | 4,400 | 129,668 | |
Schlumberger Ltd. | 9,388 | 527,606 | |
| 1,691,696 | ||
Oil, Gas & Consumable Fuels - 14.9% | |||
Anadarko Petroleum Corp. | 2,752 | 145,498 | |
Apache Corp. | 4,939 | 419,568 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Chesapeake Energy Corp. | 8,923 | $ 203,801 | |
Chevron Corp. | 24,496 | 1,713,250 | |
ConocoPhillips | 18,341 | 825,895 | |
Devon Energy Corp. | 6,356 | 390,131 | |
Encore Acquisition Co. (a) | 3,625 | 136,626 | |
EOG Resources, Inc. | 1,400 | 100,800 | |
Exxon Mobil Corp. | 44,639 | 3,086,782 | |
Hess Corp. | 2,417 | 122,276 | |
Marathon Oil Corp. | 7,077 | 218,467 | |
Murphy Oil Corp. | 3,962 | 225,834 | |
Newfield Exploration Co. (a)(c) | 1,334 | 51,612 | |
Noble Energy, Inc. | 906 | 54,777 | |
Occidental Petroleum Corp. | 11,618 | 849,276 | |
Southern Union Co. (c) | 8,800 | 174,592 | |
Spectra Energy Corp. | 18,290 | 344,218 | |
World Fuel Services Corp. (c) | 3,275 | 147,179 | |
XTO Energy, Inc. | 6,415 | 247,619 | |
| 9,458,201 | ||
TOTAL ENERGY | 11,149,897 | ||
FINANCIALS - 25.5% | |||
Capital Markets - 5.0% | |||
Bank of New York Mellon Corp. | 11,719 | 347,000 | |
Federated Investors, Inc. Class B (non-vtg.) (c) | 1,400 | 36,750 | |
Franklin Resources, Inc. (c) | 2,510 | 234,258 | |
Goldman Sachs Group, Inc. | 6,738 | 1,114,869 | |
Invesco Ltd. | 11,700 | 242,775 | |
Investment Technology Group, Inc. (a) | 2,700 | 66,528 | |
Knight Capital Group, Inc. Class A (a)(c) | 6,000 | 120,720 | |
Morgan Stanley (c) | 12,835 | 371,702 | |
optionsXpress Holdings, Inc. (c) | 4,000 | 66,560 | |
Raymond James Financial, Inc. | 5,984 | 136,136 | |
State Street Corp. (c) | 6,306 | 330,939 | |
TD Ameritrade Holding Corp. (a)(c) | 5,600 | 107,744 | |
| 3,175,981 | ||
Commercial Banks - 4.7% | |||
BB&T Corp. | 11,823 | 330,335 | |
Commerce Bancshares, Inc. | 1,400 | 51,422 | |
M&T Bank Corp. (c) | 1,300 | 80,288 | |
PNC Financial Services Group, Inc. (c) | 4,303 | 183,265 | |
Prosperity Bancshares, Inc. (c) | 4,042 | 139,570 | |
U.S. Bancorp, Delaware | 28,386 | 642,091 | |
Wells Fargo & Co. | 56,905 | 1,566,026 | |
| 2,992,997 | ||
Consumer Finance - 0.8% | |||
American Express Co. (c) | 11,402 | 385,616 | |
Capital One Financial Corp. (c) | 4,262 | 158,930 | |
| 544,546 | ||
| |||
Shares | Value | ||
Diversified Financial Services - 8.2% | |||
Bank of America Corp. | 106,375 | $ 1,871,136 | |
Citigroup, Inc. | 143,881 | 719,405 | |
CME Group, Inc. | 408 | 118,744 | |
JPMorgan Chase & Co. | 49,605 | 2,155,833 | |
Moody's Corp. | 3,225 | 87,849 | |
NYSE Euronext | 4,966 | 140,736 | |
The NASDAQ Stock Market, Inc. (a)(c) | 5,671 | 124,478 | |
| 5,218,181 | ||
Insurance - 5.0% | |||
ACE Ltd. | 2,868 | 149,652 | |
AFLAC, Inc. (c) | 2,293 | 93,142 | |
Allied World Assurance Co. Holdings Ltd. | 3,006 | 139,268 | |
Allstate Corp. | 4,033 | 118,530 | |
American Financial Group, Inc. (c) | 11,408 | 292,615 | |
Aspen Insurance Holdings Ltd. | 8,305 | 210,947 | |
Axis Capital Holdings Ltd. (c) | 3,841 | 117,074 | |
CNA Financial Corp. (c) | 6,300 | 154,161 | |
Hartford Financial Services Group, Inc. | 2,474 | 58,683 | |
MetLife, Inc. (c) | 6,799 | 256,730 | |
PartnerRe Ltd. | 2,350 | 173,689 | |
Protective Life Corp. (c) | 6,800 | 146,540 | |
Prudential Financial, Inc. | 2,960 | 149,717 | |
Reinsurance Group of America, Inc. | 2,500 | 107,625 | |
The Chubb Corp. (c) | 3,784 | 186,892 | |
The Travelers Companies, Inc. | 7,782 | 392,368 | |
Transatlantic Holdings, Inc. | 2,640 | 128,990 | |
Unum Group (c) | 13,459 | 303,231 | |
| 3,179,854 | ||
Real Estate Investment Trusts - 1.6% | |||
Alexandria Real Estate Equities, Inc. | 3,000 | 167,130 | |
Annaly Capital Management, Inc. (c) | 19,411 | 336,587 | |
HCP, Inc. (c) | 1,200 | 34,176 | |
HRPT Properties Trust (SBI) (c) | 43,333 | 280,798 | |
Mack-Cali Realty Corp. | 2,073 | 66,398 | |
National Retail Properties, Inc. (c) | 3,100 | 63,612 | |
Public Storage | 981 | 69,210 | |
| 1,017,911 | ||
Thrifts & Mortgage Finance - 0.2% | |||
Hudson City Bancorp, Inc. (c) | 8,686 | 113,960 | |
TOTAL FINANCIALS | 16,243,430 | ||
HEALTH CARE - 8.8% | |||
Health Care Equipment & Supplies - 0.4% | |||
American Medical Systems Holdings, Inc. (a)(c) | 4,218 | 64,282 | |
Boston Scientific Corp. (a) | 6,615 | 77,726 | |
Kinetic Concepts, Inc. (a)(c) | 2,500 | 79,875 | |
| 221,883 | ||
Health Care Providers & Services - 1.9% | |||
CIGNA Corp. (c) | 2,654 | 78,107 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Health Management Associates, Inc. Class A (a)(c) | 29,281 | $ 202,332 | |
HealthSouth Corp. (a)(c) | 4,368 | 68,184 | |
Lincare Holdings, Inc. (a)(c) | 3,812 | 100,599 | |
UnitedHealth Group, Inc. (c) | 16,074 | 450,072 | |
WellPoint, Inc. (a)(c) | 5,952 | 314,563 | |
| 1,213,857 | ||
Life Sciences Tools & Services - 0.2% | |||
Thermo Fisher Scientific, Inc. (a)(c) | 3,200 | 144,672 | |
Pharmaceuticals - 6.3% | |||
Bristol-Myers Squibb Co. (c) | 8,300 | 183,679 | |
Eli Lilly & Co. (c) | 6,056 | 202,634 | |
Forest Laboratories, Inc. (a)(c) | 6,686 | 195,699 | |
Johnson & Johnson (c) | 10,160 | 614,070 | |
Merck & Co., Inc. | 21,755 | 705,515 | |
Pfizer, Inc. | 83,053 | 1,386,985 | |
Watson Pharmaceuticals, Inc. (a)(c) | 1,970 | 69,521 | |
Wyeth | 13,916 | 665,881 | |
| 4,023,984 | ||
TOTAL HEALTH CARE | 5,604,396 | ||
INDUSTRIALS - 8.3% | |||
Aerospace & Defense - 2.6% | |||
General Dynamics Corp. (c) | 4,475 | 264,875 | |
ITT Corp. (c) | 6,300 | 315,504 | |
L-3 Communications Holdings, Inc. | 2,827 | 210,329 | |
Lockheed Martin Corp. | 850 | 63,733 | |
Northrop Grumman Corp. | 2,988 | 145,844 | |
Raytheon Co. (c) | 6,404 | 302,141 | |
The Boeing Co. (c) | 6,700 | 332,789 | |
| 1,635,215 | ||
Air Freight & Logistics - 0.3% | |||
FedEx Corp. | 2,732 | 187,716 | |
Building Products - 0.1% | |||
Masco Corp. (c) | 3,074 | 44,512 | |
Commercial Services & Supplies - 0.0% | |||
Republic Services, Inc. (c) | 1,132 | 28,991 | |
Electrical Equipment - 0.1% | |||
Cooper Industries Ltd. Class A | 2,324 | 74,949 | |
Industrial Conglomerates - 3.3% | |||
Carlisle Companies, Inc. (c) | 6,600 | 217,734 | |
General Electric Co. | 136,013 | 1,890,581 | |
| 2,108,315 | ||
Machinery - 0.6% | |||
Caterpillar, Inc. | 4,000 | 181,240 | |
Illinois Tool Works, Inc. (c) | 4,115 | 172,089 | |
| 353,329 | ||
| |||
Shares | Value | ||
Road & Rail - 1.3% | |||
Burlington Northern Santa Fe Corp. | 2,045 | $ 169,776 | |
Con-way, Inc. | 1,900 | 79,344 | |
CSX Corp. | 9,289 | 394,783 | |
Norfolk Southern Corp. (c) | 2,356 | 108,070 | |
Ryder System, Inc. (c) | 2,546 | 96,748 | |
| 848,721 | ||
TOTAL INDUSTRIALS | 5,281,748 | ||
INFORMATION TECHNOLOGY - 6.3% | |||
Communications Equipment - 0.5% | |||
Cisco Systems, Inc. (a) | 11,567 | 249,847 | |
Motorola, Inc. (c) | 8,959 | 64,326 | |
| 314,173 | ||
Computers & Peripherals - 1.6% | |||
EMC Corp. (a) | 19,858 | 315,742 | |
Hewlett-Packard Co. | 7,369 | 330,794 | |
International Business Machines Corp. | 1,041 | 122,890 | |
Teradata Corp. (a) | 7,882 | 212,262 | |
Western Digital Corp. (a)(c) | 1,000 | 34,280 | |
| 1,015,968 | ||
Electronic Equipment & Components - 0.8% | |||
SYNNEX Corp. (a)(c) | 7,767 | 230,292 | |
Tech Data Corp. (a)(c) | 6,506 | 247,879 | |
| 478,171 | ||
Internet Software & Services - 0.2% | |||
eBay, Inc. (a)(c) | 7,100 | 157,194 | |
IT Services - 0.8% | |||
Broadridge Financial Solutions, Inc. | 3,943 | 82,093 | |
Computer Sciences Corp. (a)(c) | 2,000 | 97,700 | |
Lender Processing Services, Inc. | 4,247 | 145,587 | |
Wright Express Corp. (a) | 6,240 | 196,685 | |
| 522,065 | ||
Office Electronics - 0.1% | |||
Xerox Corp. (c) | 9,800 | 84,770 | |
Semiconductors & Semiconductor Equipment - 2.1% | |||
Intel Corp. | 27,945 | 567,842 | |
Intersil Corp. Class A (c) | 13,837 | 204,788 | |
Marvell Technology Group Ltd. (a)(c) | 11,578 | 176,565 | |
Skyworks Solutions, Inc. (a)(c) | 9,086 | 105,852 | |
Tessera Technologies, Inc. (a)(c) | 5,300 | 133,189 | |
Texas Instruments, Inc. (c) | 6,771 | 166,499 | |
| 1,354,735 | ||
Software - 0.2% | |||
Symantec Corp. (a)(c) | 6,725 | 101,682 | |
TOTAL INFORMATION TECHNOLOGY | 4,028,758 | ||
MATERIALS - 4.4% | |||
Chemicals - 1.4% | |||
Cabot Corp. | 4,696 | 92,934 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Chemicals - continued | |||
CF Industries Holdings, Inc. | 3,067 | $ 250,451 | |
Dow Chemical Co. | 13,779 | 293,355 | |
E.I. du Pont de Nemours & Co. (c) | 4,246 | 135,575 | |
Lubrizol Corp. | 1,800 | 114,696 | |
| 887,011 | ||
Containers & Packaging - 1.0% | |||
Crown Holdings, Inc. (a)(c) | 3,900 | 96,837 | |
Owens-Illinois, Inc. (a)(c) | 2,324 | 78,877 | |
Pactiv Corp. (a) | 9,732 | 241,840 | |
Rock-Tenn Co. Class A (c) | 4,396 | 225,471 | |
| 643,025 | ||
Metals & Mining - 1.3% | |||
AK Steel Holding Corp. (c) | 6,972 | 141,671 | |
Freeport-McMoRan Copper & Gold, Inc. (c) | 4,522 | 284,796 | |
Nucor Corp. | 902 | 40,175 | |
United States Steel Corp. (c) | 4,200 | 183,876 | |
Walter Energy, Inc. | 2,500 | 129,775 | |
| 780,293 | ||
Paper & Forest Products - 0.7% | |||
International Paper Co. (c) | 19,936 | 457,531 | |
TOTAL MATERIALS | 2,767,860 | ||
TELECOMMUNICATION SERVICES - 5.7% | |||
Diversified Telecommunication Services - 5.3% | |||
AT&T, Inc. | 80,557 | 2,098,510 | |
CenturyTel, Inc. | 4,233 | 136,430 | |
Qwest Communications International, Inc. | 20,453 | 73,426 | |
Verizon Communications, Inc. (c) | 35,363 | 1,097,668 | |
| 3,406,034 | ||
Wireless Telecommunication Services - 0.4% | |||
Sprint Nextel Corp. (a)(c) | 65,485 | 239,675 | |
TOTAL TELECOMMUNICATION SERVICES | 3,645,709 | ||
UTILITIES - 5.8% | |||
Electric Utilities - 2.8% | |||
American Electric Power Co., Inc. | 3,870 | 121,634 | |
DPL, Inc. (c) | 7,633 | 189,069 | |
Duke Energy Corp. (c) | 12,161 | 188,374 | |
Edison International (c) | 1,983 | 66,252 | |
Entergy Corp. | 1,580 | 124,820 | |
Exelon Corp. | 8,634 | 431,873 | |
FirstEnergy Corp. (c) | 2,100 | 94,773 | |
FPL Group, Inc. | 3,723 | 209,158 | |
Progress Energy, Inc. (c) | 2,943 | 116,337 | |
Southern Co. | 8,372 | 261,206 | |
| 1,803,496 | ||
| |||
Shares | Value | ||
Gas Utilities - 0.3% | |||
Energen Corp. (c) | 4,030 | $ 169,220 | |
Independent Power Producers & Energy Traders - 0.7% | |||
Constellation Energy Group, Inc. | 2,600 | 82,290 | |
Mirant Corp. (a)(c) | 7,431 | 125,212 | |
NRG Energy, Inc. (a) | 9,030 | 242,456 | |
| 449,958 | ||
Multi-Utilities - 2.0% | |||
CMS Energy Corp. (c) | 10,729 | 143,876 | |
Consolidated Edison, Inc. (c) | 1,302 | 52,327 | |
Dominion Resources, Inc. | 10,907 | 360,804 | |
NiSource, Inc. (c) | 3,148 | 41,585 | |
PG&E Corp. (c) | 3,177 | 128,954 | |
Public Service Enterprise Group, Inc. | 3,800 | 120,346 | |
Sempra Energy (c) | 6,651 | 333,681 | |
Xcel Energy, Inc. (c) | 4,041 | 79,810 | |
| 1,261,383 | ||
TOTAL UTILITIES | 3,684,057 | ||
TOTAL COMMON STOCKS (Cost $62,600,353) | 62,199,333 |
U.S. Treasury Obligations - 0.5% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.31% to 0.49% 11/19/09 to 5/6/10 (d) | $ 280,000 | 279,818 |
Money Market Funds - 31.9% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.23% (f) | 1,061,249 | 1,061,249 | |
Fidelity Securities Lending Cash Central Fund, 0.23% (b)(e) | 19,268,926 | 19,268,926 | |
TOTAL MONEY MARKET FUNDS (Cost $20,330,175) | 20,330,175 | ||
TOTAL INVESTMENT PORTFOLIO - 130.1% (Cost $83,210,111) | 82,809,326 | ||
NET OTHER ASSETS - (30.1)% | (19,152,719) | ||
NET ASSETS - 100% | $ 63,656,607 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
28 CME E-mini S&P 500 Index Contracts | Sept. 2009 | $ 1,427,580 | $ 19,024 |
|
The face value of futures purchased as a percentage of net assets - 2.2% |
Legend |
(a) Non-income producing |
(b) Includes investment made with cash collateral received from securities on loan. |
(c) Security or a portion of the security is on loan at period end. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $279,818. |
(e) Affiliated fund that is 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. |
(f) The rate quoted is the annualized seven-day yield at period end. |
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 | $ 86,327 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security 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 | $ 6,302,760 | $ 6,302,760 | $ - | $ - |
Consumer Staples | 3,490,718 | 3,490,718 | - | - |
Energy | 11,149,897 | 11,149,897 | - | - |
Financials | 16,243,430 | 16,243,430 | - | - |
Health Care | 5,604,396 | 5,604,396 | - | - |
Industrials | 5,281,748 | 5,281,748 | - | - |
Information Technology | 4,028,758 | 4,028,758 | - | - |
Materials | 2,767,860 | 2,767,860 | - | - |
Telecommunication Services | 3,645,709 | 3,645,709 | - | - |
Utilities | 3,684,057 | 3,684,057 | - | - |
Money Market Funds | 20,330,175 | 20,330,175 | - | - |
U.S. Government and Government Agency Obligations | 279,818 | - | 279,818 | - |
Total Investments in Securities: | $ 82,809,326 | $ 82,529,508 | $ 279,818 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 19,024 | $ 19,024 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 19,024 | $ - |
Total Value of Derivatives | $ 19,024 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $3,138,587 of which $514,035 and $2,624,552 will expire on February 29, 2016 and February 28, 2017, respectively. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $2,309,119 of losses recognized during the period November 1, 2008 to February 28, 2009. |
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, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $18,641,629) - See accompanying schedule: Unaffiliated issuers (cost $63,941,185) | $ 63,540,400 |
|
Fidelity Central Funds (cost $19,268,926) | 19,268,926 |
|
Total Investments (cost $83,210,111) |
| $ 82,809,326 |
Receivable for investments sold | 29,581 | |
Receivable for fund shares sold | 105,444 | |
Dividends receivable | 162,686 | |
Interest receivable | 182 | |
Distributions receivable from Fidelity Central Funds | 1,543 | |
Total assets | 83,108,762 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 29,503 | |
Payable for fund shares redeemed | 117,948 | |
Accrued management fee | 16,967 | |
Payable for daily variation on futures contracts | 10,362 | |
Other affiliated payables | 8,449 | |
Collateral on securities loaned, at value | 19,268,926 | |
Total liabilities | 19,452,155 | |
|
|
|
Net Assets | $ 63,656,607 | |
Net Assets consist of: |
| |
Paid in capital | $ 66,114,029 | |
Undistributed net investment income | 649,917 | |
Accumulated undistributed net realized gain (loss) on investments | (2,725,578) | |
Net unrealized appreciation (depreciation) on investments | (381,761) | |
Net Assets, for 10,028,867 shares outstanding | $ 63,656,607 | |
Net Asset Value, offering price and redemption price per share ($63,656,607 ÷ 10,028,867 shares) | $ 6.35 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 753,586 |
Interest |
| 7,109 |
Income from Fidelity Central Funds |
| 86,327 |
Total income |
| 847,022 |
|
|
|
Expenses | ||
Management fee | $ 86,552 | |
Transfer agent fees | 44,024 | |
Independent trustees' compensation | 1,497 | |
Interest | 139 | |
Total expenses | 132,212 | |
Net investment income (loss) | 714,810 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 2,324,106 | |
Futures contracts | 419,375 | |
Total net realized gain (loss) |
| 2,743,481 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 14,106,099 | |
Futures contracts | 56,780 | |
Total change in net unrealized appreciation (depreciation) |
| 14,162,879 |
Net gain (loss) | 16,906,360 | |
Net increase (decrease) in net assets resulting from operations | $ 17,621,170 |
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, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 714,810 | $ 740,208 |
Net realized gain (loss) | 2,743,481 | (4,640,909) |
Change in net unrealized appreciation (depreciation) | 14,162,879 | (11,545,005) |
Net increase (decrease) in net assets resulting | 17,621,170 | (15,445,706) |
Distributions to shareholders from net investment income | (239,009) | (635,673) |
Share transactions | 50,538,323 | 31,493,760 |
Reinvestment of distributions | 234,508 | 592,446 |
Cost of shares redeemed | (24,660,177) | (20,222,512) |
Net increase (decrease) in net assets resulting from share transactions | 26,112,654 | 11,863,694 |
Total increase (decrease) in net assets | 43,494,815 | (4,217,685) |
|
|
|
Net Assets | ||
Beginning of period | 20,161,792 | 24,379,477 |
End of period (including undistributed net investment income of $649,917 and undistributed net investment income of $174,116, respectively) | $ 63,656,607 | $ 20,161,792 |
Other Information Shares | ||
Sold | 9,836,779 | 4,645,514 |
Issued in reinvestment of distributions | 43,751 | 98,582 |
Redeemed | (4,239,961) | (3,162,980) |
Net increase (decrease) | 5,640,569 | 1,581,116 |
Financial Highlights
| Six months ended August 31, 2009 | Years ended February 28, | |
(Unaudited) | 2009 | 2008 G, I | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 4.59 | $ 8.68 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) D | .07 | .20 | .18 |
Net realized and unrealized gain (loss) | 1.71 | (4.14) | (1.37) |
Total from investment operations | 1.78 | (3.94) | (1.19) |
Distributions from net investment income | (.02) | (.15) | (.13) |
Net asset value, end of period | $ 6.35 | $ 4.59 | $ 8.68 |
Total Return B, C | 38.86% | (45.82)% | (12.00)% |
Ratios to Average Net Assets E, H |
|
|
|
Expenses before reductions | .45% A | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% A |
Net investment income (loss) | 2.44% A | 2.81% | 2.12% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 63,657 | $ 20,162 | $ 24,379 |
Portfolio turnover rate F | 284% A | 117% | 65% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the 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 For the period April 19, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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.
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, 2009 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 3.9 | 5.5 |
International Business Machines Corp. | 2.1 | 2.2 |
Microsoft Corp. | 2.1 | 1.9 |
Apple, Inc. | 2.0 | 1.4 |
Johnson & Johnson | 2.0 | 2.5 |
Cisco Systems, Inc. | 1.9 | 1.3 |
JPMorgan Chase & Co. | 1.8 | 1.1 |
Chevron Corp. | 1.8 | 2.0 |
Procter & Gamble Co. | 1.7 | 2.5 |
General Electric Co. | 1.7 | 1.4 |
| 21.0 | |
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Information Technology | 20.0 | 17.0 |
Financials | 15.6 | 9.5 |
Health Care | 13.2 | 16.5 |
Energy | 11.3 | 13.2 |
Consumer Staples | 11.2 | 14.1 |
Industrials | 9.0 | 8.8 |
Consumer Discretionary | 8.6 | 7.4 |
Materials | 4.2 | 2.6 |
Telecommunication Services | 3.3 | 4.1 |
Utilities | 2.8 | 4.2 |
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 8.6% | |||
Auto Components - 0.1% | |||
Autoliv, Inc. | 33,431 | $ 1,072,132 | |
Automobiles - 0.2% | |||
Ford Motor Co. (a) | 340,000 | 2,584,000 | |
Diversified Consumer Services - 0.4% | |||
Apollo Group, Inc. Class A (non-vtg.) (a)(d) | 63,048 | 4,086,771 | |
Hotels, Restaurants & Leisure - 1.9% | |||
Choice Hotels International, Inc. (d) | 29,783 | 878,599 | |
McDonald's Corp. | 205,088 | 11,534,149 | |
The Cheesecake Factory, Inc. (a)(d) | 80,000 | 1,469,600 | |
WMS Industries, Inc. (a)(d) | 106,997 | 4,529,183 | |
Yum! Brands, Inc. (d) | 60,000 | 2,055,000 | |
| 20,466,531 | ||
Household Durables - 0.5% | |||
Garmin Ltd. (d) | 60,000 | 1,972,200 | |
Newell Rubbermaid, Inc. | 110,328 | 1,535,766 | |
Tempur-Pedic International, Inc. (d) | 115,000 | 1,702,000 | |
| 5,209,966 | ||
Internet & Catalog Retail - 0.3% | |||
Amazon.com, Inc. (a)(d) | 41,281 | 3,351,604 | |
Media - 2.1% | |||
Comcast Corp. Class A | 357,561 | 5,477,835 | |
DISH Network Corp. Class A (a)(d) | 80,879 | 1,319,136 | |
Marvel Entertainment, Inc. (a) | 21,319 | 1,031,200 | |
News Corp. Class A | 120,094 | 1,287,408 | |
The Walt Disney Co. | 199,511 | 5,195,266 | |
Time Warner Cable, Inc. (d) | 43,601 | 1,609,749 | |
Time Warner, Inc. | 173,703 | 4,848,051 | |
Viacom, Inc. Class B (non-vtg.) (a)(d) | 57,893 | 1,449,641 | |
| 22,218,286 | ||
Multiline Retail - 1.0% | |||
Macy's, Inc. | 448,169 | 6,955,583 | |
Target Corp. | 90,092 | 4,234,324 | |
| 11,189,907 | ||
Specialty Retail - 1.9% | |||
AutoZone, Inc. (a)(d) | 6,341 | 933,712 | |
Foot Locker, Inc. | 313,747 | 3,344,543 | |
Gap, Inc. (d) | 130,809 | 2,570,397 | |
Home Depot, Inc. | 202,999 | 5,539,843 | |
Lowe's Companies, Inc. | 91,813 | 1,973,980 | |
RadioShack Corp. (d) | 143,545 | 2,171,836 | |
Rent-A-Center, Inc. (a)(d) | 194,061 | 3,828,824 | |
| 20,363,135 | ||
Textiles, Apparel & Luxury Goods - 0.2% | |||
NIKE, Inc. Class B | 29,897 | 1,655,995 | |
TOTAL CONSUMER DISCRETIONARY | 92,198,327 | ||
| |||
Shares | Value | ||
CONSUMER STAPLES - 11.2% | |||
Beverages - 2.6% | |||
Coca-Cola Enterprises, Inc. | 245,041 | $ 4,952,279 | |
Dr Pepper Snapple Group, Inc. (a)(d) | 114,426 | 3,025,423 | |
PepsiCo, Inc. | 172,353 | 9,767,245 | |
The Coca-Cola Co. | 207,809 | 10,134,845 | |
| 27,879,792 | ||
Food & Staples Retailing - 2.4% | |||
Costco Wholesale Corp. (d) | 7,788 | 397,032 | |
CVS Caremark Corp. (d) | 172,590 | 6,475,577 | |
Kroger Co. | 136,306 | 2,942,847 | |
SUPERVALU, Inc. | 37,443 | 537,307 | |
Wal-Mart Stores, Inc. | 283,245 | 14,408,673 | |
Walgreen Co. | 42,298 | 1,433,056 | |
| 26,194,492 | ||
Food Products - 1.6% | |||
Archer Daniels Midland Co. | 171,502 | 4,944,403 | |
Bunge Ltd. (d) | 14,863 | 995,970 | |
Dean Foods Co. (a)(d) | 106,493 | 1,931,783 | |
General Mills, Inc. (d) | 38,996 | 2,329,231 | |
H.J. Heinz Co. (d) | 22,969 | 884,307 | |
Hershey Co. | 64,188 | 2,518,095 | |
Kraft Foods, Inc. Class A | 123,785 | 3,509,305 | |
| 17,113,094 | ||
Household Products - 2.7% | |||
Colgate-Palmolive Co. (d) | 85,313 | 6,202,255 | |
Kimberly-Clark Corp. | 67,509 | 4,081,594 | |
Procter & Gamble Co. | 350,935 | 18,989,093 | |
| 29,272,942 | ||
Personal Products - 0.1% | |||
Herbalife Ltd. | 41,414 | 1,254,016 | |
Tobacco - 1.8% | |||
Altria Group, Inc. | 247,219 | 4,519,163 | |
Lorillard, Inc. | 28,338 | 2,062,156 | |
Philip Morris International, Inc. | 215,370 | 9,844,563 | |
Reynolds American, Inc. | 66,000 | 3,016,860 | |
| 19,442,742 | ||
TOTAL CONSUMER STAPLES | 121,157,078 | ||
ENERGY - 11.3% | |||
Energy Equipment & Services - 2.0% | |||
Cameron International Corp. (a)(d) | 137,095 | 4,895,662 | |
ENSCO International, Inc. | 57,507 | 2,122,008 | |
FMC Technologies, Inc. (a)(d) | 20,172 | 962,204 | |
Halliburton Co. | 21,887 | 518,941 | |
National Oilwell Varco, Inc. (a) | 99,436 | 3,614,499 | |
Schlumberger Ltd. | 166,587 | 9,362,189 | |
Transocean Ltd. (a) | 6,940 | 526,330 | |
| 22,001,833 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - 9.3% | |||
Anadarko Petroleum Corp. | 37,310 | $ 1,972,580 | |
Apache Corp. | 39,585 | 3,362,746 | |
Chevron Corp. | 271,946 | 19,019,903 | |
ConocoPhillips | 154,700 | 6,966,141 | |
Devon Energy Corp. (d) | 52,672 | 3,233,007 | |
EOG Resources, Inc. (d) | 5,006 | 360,432 | |
Exxon Mobil Corp. | 609,579 | 42,152,383 | |
Hess Corp. | 4,988 | 252,343 | |
Marathon Oil Corp. | 37,616 | 1,161,206 | |
McMoRan Exploration Co. (a)(d) | 78,433 | 654,131 | |
Murphy Oil Corp. | 68,917 | 3,928,269 | |
Noble Energy, Inc. | 12,786 | 773,042 | |
Occidental Petroleum Corp. | 124,009 | 9,065,058 | |
Southern Union Co. (d) | 74,109 | 1,470,323 | |
Spectra Energy Corp. | 223,082 | 4,198,403 | |
XTO Energy, Inc. | 30,456 | 1,175,602 | |
| 99,745,569 | ||
TOTAL ENERGY | 121,747,402 | ||
FINANCIALS - 15.6% | |||
Capital Markets - 4.2% | |||
Bank of New York Mellon Corp. | 143,607 | 4,252,203 | |
Charles Schwab Corp. | 112,767 | 2,036,572 | |
Eaton Vance Corp. (non-vtg.) (d) | 56,000 | 1,599,920 | |
Federated Investors, Inc. Class B (non-vtg.) (d) | 72,941 | 1,914,701 | |
Franklin Resources, Inc. (d) | 18,000 | 1,679,940 | |
Goldman Sachs Group, Inc. | 73,830 | 12,215,912 | |
Invesco Ltd. | 135,000 | 2,801,250 | |
Investment Technology Group, Inc. (a)(d) | 40,000 | 985,600 | |
Knight Capital Group, Inc. Class A (a)(d) | 86,659 | 1,743,579 | |
Morgan Stanley (d) | 139,318 | 4,034,649 | |
Northern Trust Corp. | 26,333 | 1,539,427 | |
optionsXpress Holdings, Inc. (d) | 60,000 | 998,400 | |
Raymond James Financial, Inc. | 51,541 | 1,172,558 | |
State Street Corp. (d) | 105,782 | 5,551,439 | |
T. Rowe Price Group, Inc. (d) | 30,000 | 1,359,600 | |
TD Ameritrade Holding Corp. (a)(d) | 87,281 | 1,679,286 | |
| 45,565,036 | ||
Commercial Banks - 2.6% | |||
BB&T Corp. (d) | 118,072 | 3,298,932 | |
Commerce Bancshares, Inc. | 26,000 | 954,980 | |
PNC Financial Services Group, Inc. (d) | 74,126 | 3,157,026 | |
Prosperity Bancshares, Inc. (d) | 80,975 | 2,796,067 | |
U.S. Bancorp, Delaware | 179,079 | 4,050,767 | |
Wells Fargo & Co. | 511,028 | 14,063,491 | |
| 28,321,263 | ||
| |||
Shares | Value | ||
Consumer Finance - 0.8% | |||
American Express Co. (d) | 224,025 | $ 7,576,526 | |
Discover Financial Services (d) | 100,000 | 1,375,000 | |
| 8,951,526 | ||
Diversified Financial Services - 4.4% | |||
Bank of America Corp. | 1,034,408 | 18,195,237 | |
Citigroup, Inc. | 1,223,820 | 6,119,100 | |
CME Group, Inc. | 3,682 | 1,071,609 | |
JPMorgan Chase & Co. | 453,791 | 19,721,757 | |
The NASDAQ Stock Market, Inc. (a)(d) | 80,320 | 1,763,024 | |
| 46,870,727 | ||
Insurance - 2.7% | |||
ACE Ltd. (d) | 74,703 | 3,898,003 | |
AFLAC, Inc. (d) | 162,133 | 6,585,842 | |
American Financial Group, Inc. (d) | 95,000 | 2,436,750 | |
Aspen Insurance Holdings Ltd. (d) | 96,506 | 2,451,252 | |
CNA Financial Corp. (d) | 55,506 | 1,358,232 | |
Hartford Financial Services Group, Inc. | 31,262 | 741,535 | |
MetLife, Inc. (d) | 125,670 | 4,745,299 | |
Prudential Financial, Inc. (d) | 30,852 | 1,560,494 | |
The Chubb Corp. (d) | 20,554 | 1,015,162 | |
The Travelers Companies, Inc. | 33,581 | 1,693,154 | |
Transatlantic Holdings, Inc. | 40,247 | 1,966,468 | |
| 28,452,191 | ||
Real Estate Investment Trusts - 0.9% | |||
Alexandria Real Estate Equities, Inc. (d) | 21,985 | 1,224,784 | |
Annaly Capital Management, Inc. (d) | 154,867 | 2,685,394 | |
Developers Diversified Realty Corp. (d) | 193,174 | 1,514,484 | |
HRPT Properties Trust (SBI) (d) | 310,601 | 2,012,694 | |
ProLogis Trust (d) | 181,052 | 2,013,298 | |
Simon Property Group, Inc. | 9,445 | 600,891 | |
| 10,051,545 | ||
TOTAL FINANCIALS | 168,212,288 | ||
HEALTH CARE - 13.2% | |||
Biotechnology - 1.5% | |||
Amgen, Inc. (a) | 111,489 | 6,660,353 | |
Biogen Idec, Inc. (a)(d) | 72,848 | 3,657,698 | |
Celgene Corp. (a)(d) | 9,796 | 511,057 | |
Gilead Sciences, Inc. (a)(d) | 125,973 | 5,676,343 | |
| 16,505,451 | ||
Health Care Equipment & Supplies - 1.2% | |||
American Medical Systems Holdings, Inc. (a)(d) | 63,984 | 975,116 | |
Baxter International, Inc. | 75,688 | 4,308,161 | |
Becton, Dickinson & Co. | 11,300 | 786,706 | |
Boston Scientific Corp. (a)(d) | 185,714 | 2,182,140 | |
Kinetic Concepts, Inc. (a)(d) | 37,038 | 1,183,364 | |
Medtronic, Inc. (d) | 94,251 | 3,609,813 | |
| 13,045,300 | ||
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - 1.6% | |||
Aetna, Inc. | 31,446 | $ 896,211 | |
CIGNA Corp. (d) | 54,962 | 1,617,532 | |
Express Scripts, Inc. (a) | 32,408 | 2,340,506 | |
HealthSouth Corp. (a)(d) | 150,164 | 2,344,060 | |
LifePoint Hospitals, Inc. (a)(d) | 41,043 | 1,031,411 | |
McKesson Corp. | 14,097 | 801,555 | |
Medco Health Solutions, Inc. (a)(d) | 12,237 | 675,727 | |
UnitedHealth Group, Inc. | 127,588 | 3,572,464 | |
WellPoint, Inc. (a) | 75,647 | 3,997,944 | |
| 17,277,410 | ||
Life Sciences Tools & Services - 0.6% | |||
Mettler-Toledo International, Inc. (a)(d) | 26,960 | 2,356,304 | |
Thermo Fisher Scientific, Inc. (a)(d) | 57,544 | 2,601,564 | |
Waters Corp. (a)(d) | 22,218 | 1,117,121 | |
| 6,074,989 | ||
Pharmaceuticals - 8.3% | |||
Abbott Laboratories | 237,730 | 10,752,528 | |
Bristol-Myers Squibb Co. (d) | 239,522 | 5,300,622 | |
Eli Lilly & Co. (d) | 231,113 | 7,733,041 | |
Forest Laboratories, Inc. (a)(d) | 78,000 | 2,283,060 | |
Johnson & Johnson | 358,068 | 21,641,630 | |
Merck & Co., Inc. | 251,104 | 8,143,303 | |
Pfizer, Inc. | 904,678 | 15,108,123 | |
Schering-Plough Corp. | 230,082 | 6,483,711 | |
Sepracor, Inc. (a)(d) | 64,889 | 1,177,735 | |
Watson Pharmaceuticals, Inc. (a)(d) | 57,932 | 2,044,420 | |
Wyeth | 173,021 | 8,279,055 | |
| 88,947,228 | ||
TOTAL HEALTH CARE | 141,850,378 | ||
INDUSTRIALS - 9.0% | |||
Aerospace & Defense - 3.7% | |||
General Dynamics Corp. (d) | 92,712 | 5,487,623 | |
Honeywell International, Inc. | 130,854 | 4,810,193 | |
ITT Corp. (d) | 84,058 | 4,209,625 | |
L-3 Communications Holdings, Inc. | 49,656 | 3,694,406 | |
Lockheed Martin Corp. | 40,171 | 3,012,022 | |
Northrop Grumman Corp. | 67,064 | 3,273,394 | |
Raytheon Co. (d) | 115,205 | 5,435,372 | |
The Boeing Co. (d) | 55,776 | 2,770,394 | |
United Technologies Corp. | 124,171 | 7,370,791 | |
| 40,063,820 | ||
Air Freight & Logistics - 0.5% | |||
FedEx Corp. | 18,987 | 1,304,597 | |
United Parcel Service, Inc. Class B | 84,544 | 4,519,722 | |
| 5,824,319 | ||
Electrical Equipment - 0.2% | |||
Emerson Electric Co. | 58,449 | 2,155,015 | |
| |||
Shares | Value | ||
Industrial Conglomerates - 2.4% | |||
3M Co. | 61,170 | $ 4,410,357 | |
Carlisle Companies, Inc. (d) | 95,000 | 3,134,050 | |
General Electric Co. | 1,333,390 | 18,534,121 | |
| 26,078,528 | ||
Machinery - 0.8% | |||
Caterpillar, Inc. (d) | 70,527 | 3,195,578 | |
Deere & Co. (d) | 18,136 | 790,730 | |
Flowserve Corp. (d) | 34,292 | 2,957,685 | |
Joy Global, Inc. | 28,006 | 1,088,033 | |
| 8,032,026 | ||
Road & Rail - 1.4% | |||
Burlington Northern Santa Fe Corp. | 20,327 | 1,687,548 | |
Con-way, Inc. | 23,000 | 960,480 | |
CSX Corp. | 112,805 | 4,794,213 | |
Norfolk Southern Corp. | 87,251 | 4,002,203 | |
Union Pacific Corp. | 53,443 | 3,196,426 | |
| 14,640,870 | ||
TOTAL INDUSTRIALS | 96,794,578 | ||
INFORMATION TECHNOLOGY - 20.0% | |||
Communications Equipment - 3.0% | |||
3Com Corp. (a)(d) | 35,180 | 153,033 | |
Arris Group, Inc. (a)(d) | 179,881 | 2,385,222 | |
Cisco Systems, Inc. (a) | 951,376 | 20,549,722 | |
Harris Stratex Networks, Inc. Class A (a) | 12,568 | 76,162 | |
QUALCOMM, Inc. | 198,687 | 9,223,051 | |
| 32,387,190 | ||
Computers & Peripherals - 6.7% | |||
Apple, Inc. (a) | 130,384 | 21,931,893 | |
Dell, Inc. (a)(d) | 181,488 | 2,872,955 | |
EMC Corp. (a) | 120,783 | 1,920,450 | |
Hewlett-Packard Co. | 376,059 | 16,881,289 | |
International Business Machines Corp. | 196,636 | 23,212,880 | |
Teradata Corp. (a) | 184,994 | 4,981,888 | |
| 71,801,355 | ||
Electronic Equipment & Components - 0.8% | |||
Corning, Inc. | 187,000 | 2,819,960 | |
SYNNEX Corp. (a)(d) | 65,000 | 1,927,250 | |
Tech Data Corp. (a)(d) | 92,000 | 3,505,200 | |
| 8,252,410 | ||
Internet Software & Services - 1.4% | |||
eBay, Inc. (a) | 132,573 | 2,935,166 | |
Google, Inc. Class A (a) | 27,133 | 12,526,492 | |
| 15,461,658 | ||
IT Services - 1.6% | |||
Alliance Data Systems Corp. (a)(d) | 54,861 | 3,048,077 | |
Automatic Data Processing, Inc. | 32,664 | 1,252,664 | |
Broadridge Financial Solutions, Inc. | 180,141 | 3,750,536 | |
Computer Sciences Corp. (a)(d) | 18,000 | 879,300 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
IT Services - continued | |||
MasterCard, Inc. Class A | 8,543 | $ 1,731,068 | |
The Western Union Co. | 223,564 | 4,033,095 | |
Wright Express Corp. (a)(d) | 94,679 | 2,984,282 | |
| 17,679,022 | ||
Semiconductors & Semiconductor Equipment - 2.8% | |||
Intel Corp. | 679,298 | 13,803,335 | |
Intersil Corp. Class A (d) | 244,994 | 3,625,911 | |
Marvell Technology Group Ltd. (a)(d) | 102,982 | 1,570,476 | |
Skyworks Solutions, Inc. (a)(d) | 226,841 | 2,642,698 | |
Tessera Technologies, Inc. (a)(d) | 75,000 | 1,884,750 | |
Texas Instruments, Inc. (d) | 231,855 | 5,701,314 | |
Xilinx, Inc. (d) | 27,792 | 618,094 | |
| 29,846,578 | ||
Software - 3.7% | |||
Adobe Systems, Inc. (a)(d) | 46,216 | 1,452,107 | |
Microsoft Corp. | 908,580 | 22,396,497 | |
Oracle Corp. | 684,773 | 14,975,986 | |
Symantec Corp. (a)(d) | 105,385 | 1,593,421 | |
| 40,418,011 | ||
TOTAL INFORMATION TECHNOLOGY | 215,846,224 | ||
MATERIALS - 4.2% | |||
Chemicals - 1.5% | |||
CF Industries Holdings, Inc. | 25,063 | 2,046,645 | |
Dow Chemical Co. | 161,954 | 3,448,001 | |
E.I. du Pont de Nemours & Co. (d) | 7,652 | 244,328 | |
Lubrizol Corp. | 35,000 | 2,230,200 | |
Monsanto Co. | 32,766 | 2,748,412 | |
OM Group, Inc. (a)(d) | 65,000 | 1,768,650 | |
Praxair, Inc. | 18,000 | 1,379,160 | |
Sigma Aldrich Corp. | 48,000 | 2,438,400 | |
| 16,303,796 | ||
Containers & Packaging - 1.1% | |||
Pactiv Corp. (a)(d) | 218,266 | 5,423,910 | |
Rock-Tenn Co. Class A (d) | 50,000 | 2,564,500 | |
Sealed Air Corp. | 207,691 | 3,927,437 | |
| 11,915,847 | ||
Metals & Mining - 0.8% | |||
Freeport-McMoRan Copper & Gold, Inc. (d) | 81,185 | 5,113,031 | |
Newmont Mining Corp. | 25,000 | 1,004,750 | |
| |||
Shares | Value | ||
Southern Copper Corp. (d) | 24,357 | $ 688,329 | |
Walter Energy, Inc. (d) | 40,000 | 2,076,400 | |
| 8,882,510 | ||
Paper & Forest Products - 0.8% | |||
International Paper Co. (d) | 359,787 | 8,257,112 | |
TOTAL MATERIALS | 45,359,265 | ||
TELECOMMUNICATION SERVICES - 3.3% | |||
Diversified Telecommunication Services - 3.1% | |||
AT&T, Inc. | 689,252 | 17,955,015 | |
CenturyTel, Inc. | 33,976 | 1,095,046 | |
Frontier Communications Corp. | 63,191 | 449,288 | |
Qwest Communications International, Inc. (d) | 600,000 | 2,154,000 | |
Verizon Communications, Inc. | 383,404 | 11,900,860 | |
| 33,554,209 | ||
Wireless Telecommunication Services - 0.2% | |||
Sprint Nextel Corp. (a)(d) | 429,733 | 1,572,823 | |
TOTAL TELECOMMUNICATION SERVICES | 35,127,032 | ||
UTILITIES - 2.8% | |||
Electric Utilities - 1.2% | |||
American Electric Power Co., Inc. | 52,336 | 1,644,920 | |
DPL, Inc. (d) | 164,606 | 4,077,291 | |
Duke Energy Corp. (d) | 53,906 | 835,004 | |
Exelon Corp. | 51,515 | 2,576,780 | |
FPL Group, Inc. | 42,740 | 2,401,133 | |
Southern Co. | 51,626 | 1,610,731 | |
| 13,145,859 | ||
Independent Power Producers & Energy Traders - 0.5% | |||
AES Corp. (d) | 130,842 | 1,788,610 | |
Constellation Energy Group, Inc. | 25,847 | 818,058 | |
NRG Energy, Inc. (a) | 106,532 | 2,860,384 | |
| 5,467,052 | ||
Multi-Utilities - 1.1% | |||
Dominion Resources, Inc. | 118,730 | 3,927,588 | |
PG&E Corp. (d) | 25,000 | 1,014,750 | |
Public Service Enterprise Group, Inc. | 61,234 | 1,939,281 | |
Sempra Energy (d) | 89,857 | 4,508,126 | |
| 11,389,745 | ||
TOTAL UTILITIES | 30,002,656 | ||
TOTAL COMMON STOCKS (Cost $1,178,830,881) | 1,068,295,228 |
U.S. Treasury Obligations - 0.2% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.4% to 0.53% 5/6/10 to 6/3/10 (e) (Cost $2,092,471) | $ 2,100,000 | $ 2,096,069 |
Money Market Funds - 22.0% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.23% (b) | 5,059,905 | 5,059,905 | |
Fidelity Securities Lending Cash Central Fund, 0.23% (c)(f) | 231,581,120 | 231,581,120 | |
TOTAL MONEY MARKET FUNDS (Cost $236,641,025) | 236,641,025 | ||
TOTAL INVESTMENT PORTFOLIO - 121.4% (Cost $1,417,564,377) | 1,307,032,322 | ||
NET OTHER ASSETS - (21.4)% | (230,046,942) | ||
NET ASSETS - 100% | $ 1,076,985,380 |
Futures Contracts | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | ||
Purchased | |||||
Equity Index Contracts | |||||
167 CME E-mini S&P 500 Index Contracts | Sept. 2009 | $ 8,514,495 | $ 92,774 |
|
The face value of futures purchased as a percentage of net assets - 0.8% |
Legend |
(a) Non-income producing |
(b) The rate quoted is the annualized seven-day yield of the fund at period end. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,497,222. |
(f) Affiliated fund that is 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. |
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 | $ 568,698 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security 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 | $ 92,198,327 | $ 92,198,327 | $ - | $ - |
Consumer Staples | 121,157,078 | 121,157,078 | - | - |
Energy | 121,747,402 | 121,747,402 | - | - |
Financials | 168,212,288 | 168,212,288 | - | - |
Health Care | 141,850,378 | 141,850,378 | - | - |
Industrials | 96,794,578 | 96,794,578 | - | - |
Information Technology | 215,846,224 | 215,846,224 | - | - |
Materials | 45,359,265 | 45,359,265 | - | - |
Telecommunication Services | 35,127,032 | 35,127,032 | - | - |
Utilities | 30,002,656 | 30,002,656 | - | - |
Money Market Funds | 236,641,025 | 236,641,025 | - | - |
U.S. Government and Government Agency Obligations | 2,096,069 | - | 2,096,069 | - |
Total Investments in Securities: | $ 1,307,032,322 | $ 1,304,936,253 | $ 2,096,069 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 92,774 | $ 92,774 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 92,774 | $ - |
Total Value of Derivatives | $ 92,774 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $100,229,482 of which $391,157 and $99,838,325 will expire on February 29, 2016 and February 28, 2017, respectively. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $68,344,760 of losses recognized during the period November 1, 2008 to February 28, 2009. |
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, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $223,556,282) - See accompanying schedule: Unaffiliated issuers (cost $1,185,983,257) | $ 1,075,451,202 |
|
Fidelity Central Funds (cost $231,581,120) | 231,581,120 |
|
Total Investments (cost $1,417,564,377) |
| $ 1,307,032,322 |
Receivable for fund shares sold | 536,591 | |
Dividends receivable | 2,591,297 | |
Interest receivable | 2,182 | |
Distributions receivable from Fidelity Central Funds | 19,682 | |
Total assets | 1,310,182,074 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 1,145,711 | |
Accrued management fee | 267,605 | |
Payable for daily variation on futures contracts | 68,492 | |
Other affiliated payables | 133,766 | |
Collateral on securities loaned, at value | 231,581,120 | |
Total liabilities | 233,196,694 | |
|
|
|
Net Assets | $ 1,076,985,380 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,359,601,168 | |
Undistributed net investment income | 8,837,151 | |
Accumulated undistributed net realized gain (loss) on investments | (181,013,658) | |
Net unrealized appreciation (depreciation) on investments | (110,439,281) | |
Net Assets, for 149,325,570 shares outstanding | $ 1,076,985,380 | |
Net Asset Value, offering price and redemption price per share ($1,076,985,380 ÷ 149,325,570 shares) | $ 7.21 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 10,846,594 |
Interest |
| 38,646 |
Income from Fidelity Central Funds |
| 568,698 |
Total income |
| 11,453,938 |
|
|
|
Expenses | ||
Management fee | $ 1,399,138 | |
Transfer agent fees | 712,331 | |
Independent trustees' compensation | 25,523 | |
Total expenses before reductions | 2,136,992 | |
Expense reductions | (6) | 2,136,986 |
Net investment income (loss) | 9,316,952 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (10,825,077) | |
Futures contracts | (215,646) | |
Total net realized gain (loss) |
| (11,040,723) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 296,789,924 | |
Futures contracts | 3,260,556 | |
Total change in net unrealized appreciation (depreciation) |
| 300,050,480 |
Net gain (loss) | 289,009,757 | |
Net increase (decrease) in net assets resulting from operations | $ 298,326,709 |
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) | $ 9,316,952 | $ 18,462,259 |
Net realized gain (loss) | (11,040,723) | (167,465,380) |
Change in net unrealized appreciation (depreciation) | 300,050,480 | (317,143,825) |
Net increase (decrease) in net assets resulting from operations | 298,326,709 | (466,146,946) |
Distributions to shareholders from net investment income | (3,746,040) | (17,085,488) |
Share transactions | 143,484,060 | 479,166,881 |
Reinvestment of distributions | 3,733,494 | 17,020,121 |
Cost of shares redeemed | (88,360,987) | (123,929,208) |
Net increase (decrease) in net assets resulting from share transactions | 58,856,567 | 372,257,794 |
Total increase (decrease) in net assets | 353,437,236 | (110,974,640) |
|
|
|
Net Assets | ||
Beginning of period | 723,548,144 | 834,522,784 |
End of period (including undistributed net investment income of $8,837,151 and undistributed net investment income of $3,266,239, respectively) | $ 1,076,985,380 | $ 723,548,144 |
Other Information Shares | ||
Sold | 25,117,881 | 61,499,478 |
Issued in reinvestment of distributions | 613,053 | 2,593,329 |
Redeemed | (13,801,474) | (17,449,263) |
Net increase (decrease) | 11,929,460 | 46,643,544 |
Financial Highlights
| Six months ended | Years ended | |
(Unaudited) | 2009 | 2008 G,I | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 5.27 | $ 9.20 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) D | .06 | .16 | .15 |
Net realized and unrealized gain (loss) | 1.91 | (3.95) | (.90) |
Total from investment operations | 1.97 | (3.79) | (.75) |
Distributions from net investment income | (.03) | (.14) | (.05) |
Net asset value, end of period | $ 7.21 | $ 5.27 | $ 9.20 |
Total Return B,C | 37.37% | (41.51)% | (7.59)% |
Ratios to Average Net Assets E,H |
|
|
|
Expenses before reductions | .45% A | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% A |
Net investment income (loss) | 1.96% A | 2.05% | 1.83% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 1,076,985 | $ 723,548 | $ 834,523 |
Portfolio turnover rate F | 65% A | 72% | 5% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the 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 For the period April 19, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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.
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, 2009 | ||
| % of fund's | % of fund's net assets |
TJX Companies, Inc. | 0.7 | 0.5 |
H.J. Heinz Co. | 0.7 | 0.8 |
Spectra Energy Corp. | 0.7 | 0.5 |
Liberty Media Corp. | 0.7 | 0.2 |
Lorillard, Inc. | 0.6 | 0.7 |
CenturyTel, Inc. | 0.6 | 0.5 |
Sempra Energy | 0.6 | 0.7 |
International Paper Co. | 0.6 | 0.0 |
Western Digital Corp. | 0.6 | 0.4 |
T. Rowe Price Group, Inc. | 0.6 | 0.2 |
| 6.4 |
|
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Financials | 17.6 | 14.5 |
Consumer Discretionary | 16.1 | 16.2 |
Information Technology | 14.6 | 14.6 |
Industrials | 11.7 | 11.6 |
Health Care | 8.6 | 10.0 |
Consumer Staples | 6.8 | 7.6 |
Utilities | 6.8 | 8.2 |
Energy | 6.1 | 7.2 |
Materials | 5.8 | 4.7 |
Telecommunication Services | 1.9 | 3.6 |
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 16.1% | |||
Auto Components - 0.8% | |||
Autoliv, Inc. | 1,470 | $ 47,143 | |
Gentex Corp. | 3,700 | 53,983 | |
TRW Automotive Holdings Corp. (a) | 3,735 | 65,923 | |
WABCO Holdings, Inc. | 2,000 | 38,140 | |
| 205,189 | ||
Automobiles - 0.3% | |||
Ford Motor Co. (a) | 8,194 | 62,274 | |
Diversified Consumer Services - 1.6% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 1,815 | 117,648 | |
DeVry, Inc. | 1,120 | 57,232 | |
H&R Block, Inc. | 5,300 | 91,584 | |
ITT Educational Services, Inc. (a) | 625 | 65,619 | |
Service Corp. International | 5,760 | 40,781 | |
Weight Watchers International, Inc. | 1,050 | 28,802 | |
| 401,666 | ||
Hotels, Restaurants & Leisure - 2.2% | |||
Bally Technologies, Inc. (a) | 1,700 | 68,731 | |
Brinker International, Inc. | 2,000 | 29,120 | |
Interval Leisure Group, Inc. (a) | 4,300 | 45,107 | |
MGM Mirage, Inc. (a) | 9,600 | 81,312 | |
Panera Bread Co. Class A (a) | 1,000 | 52,210 | |
Starbucks Corp. (a) | 2,400 | 45,576 | |
Starwood Hotels & Resorts Worldwide, Inc. | 2,800 | 83,384 | |
Wyndham Worldwide Corp. | 2,000 | 30,300 | |
Wynn Resorts Ltd. (a) | 1,000 | 54,130 | |
Yum! Brands, Inc. | 1,300 | 44,525 | |
| 534,395 | ||
Household Durables - 2.0% | |||
D.R. Horton, Inc. | 5,710 | 76,571 | |
Fortune Brands, Inc. | 865 | 34,436 | |
Garmin Ltd. | 2,200 | 72,314 | |
KB Home | 2,200 | 40,062 | |
Lennar Corp. Class A | 2,050 | 31,058 | |
M.D.C. Holdings, Inc. | 1,000 | 37,460 | |
NVR, Inc. (a) | 75 | 50,644 | |
Pulte Homes, Inc. | 3,900 | 49,842 | |
Tempur-Pedic International, Inc. | 4,160 | 61,568 | |
Whirlpool Corp. | 400 | 25,684 | |
| 479,639 | ||
Internet & Catalog Retail - 1.2% | |||
Expedia, Inc. (a) | 4,720 | 108,796 | |
Liberty Media Corp. Interactive | 12,200 | 116,876 | |
Priceline.com, Inc. (a) | 500 | 76,990 | |
| 302,662 | ||
| |||
Shares | Value | ||
Leisure Equipment & Products - 0.3% | |||
Hasbro, Inc. | 1,600 | $ 45,424 | |
Polaris Industries, Inc. | 790 | 29,791 | |
| 75,215 | ||
Media - 2.1% | |||
Cablevision Systems Corp. - NY Group Class A | 600 | 13,404 | |
CBS Corp. Class B | 8,500 | 87,975 | |
DISH Network Corp. Class A (a) | 4,900 | 79,919 | |
Interpublic Group of Companies, Inc. (a) | 12,000 | 75,480 | |
Liberty Global, Inc. Class A (a) | 980 | 21,452 | |
Liberty Media Corp. Entertainment | 1,500 | 41,835 | |
McGraw-Hill Companies, Inc. | 3,300 | 110,913 | |
Scripps Networks Interactive, Inc. Class A | 1,500 | 48,705 | |
Virgin Media, Inc. | 3,500 | 40,005 | |
| 519,688 | ||
Multiline Retail - 1.6% | |||
Big Lots, Inc. (a) | 2,240 | 56,941 | |
JCPenney Co., Inc. | 2,100 | 63,084 | |
Kohl's Corp. (a) | 1,015 | 52,364 | |
Macy's, Inc. | 7,500 | 116,400 | |
Nordstrom, Inc. | 3,300 | 92,532 | |
| 381,321 | ||
Specialty Retail - 3.3% | |||
Aeropostale, Inc. (a) | 1,500 | 58,725 | |
AutoZone, Inc. (a) | 660 | 97,185 | |
Barnes & Noble, Inc. | 1,175 | 24,311 | |
Bed Bath & Beyond, Inc. (a) | 490 | 17,875 | |
Gamestop Corp. Class A (a) | 3,000 | 71,400 | |
Gap, Inc. | 3,330 | 65,435 | |
Office Depot, Inc. (a) | 9,000 | 46,980 | |
Ross Stores, Inc. | 2,590 | 120,798 | |
Sherwin-Williams Co. | 1,610 | 96,922 | |
Signet Jewelers Ltd. | 1,700 | 41,191 | |
TJX Companies, Inc. | 5,000 | 179,750 | |
| 820,572 | ||
Textiles, Apparel & Luxury Goods - 0.7% | |||
Coach, Inc. | 4,695 | 132,822 | |
Deckers Outdoor Corp. (a) | 500 | 34,150 | |
VF Corp. | 250 | 17,390 | |
| 184,362 | ||
TOTAL CONSUMER DISCRETIONARY | 3,966,983 | ||
CONSUMER STAPLES - 6.8% | |||
Beverages - 1.6% | |||
Brown-Forman Corp. Class B (non-vtg.) | 800 | 35,776 | |
Coca-Cola Enterprises, Inc. | 5,335 | 107,820 | |
Constellation Brands, Inc. Class A | 4,380 | 64,780 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Beverages - continued | |||
Dr Pepper Snapple Group, Inc. (a) | 3,500 | $ 92,540 | |
Pepsi Bottling Group, Inc. | 2,600 | 92,898 | |
| 393,814 | ||
Food & Staples Retailing - 0.6% | |||
BJ's Wholesale Club, Inc. (a) | 1,800 | 58,680 | |
Rite Aid Corp. (a) | 5,000 | 7,700 | |
Safeway, Inc. | 1,450 | 27,623 | |
SUPERVALU, Inc. | 3,700 | 53,095 | |
| 147,098 | ||
Food Products - 2.4% | |||
Bunge Ltd. | 1,495 | 100,180 | |
Darling International, Inc. (a) | 8,000 | 56,080 | |
Dean Foods Co. (a) | 4,095 | 74,283 | |
H.J. Heinz Co. | 4,300 | 165,550 | |
Hershey Co. | 2,630 | 103,175 | |
Hormel Foods Corp. | 1,000 | 36,950 | |
McCormick & Co., Inc. (non-vtg.) | 1,500 | 48,855 | |
| 585,073 | ||
Household Products - 0.4% | |||
Church & Dwight Co., Inc. | 1,200 | 68,556 | |
Clorox Co. | 610 | 36,045 | |
| 104,601 | ||
Personal Products - 0.9% | |||
Avon Products, Inc. | 4,305 | 137,200 | |
Estee Lauder Companies, Inc. Class A | 238 | 8,532 | |
Herbalife Ltd. | 2,190 | 66,313 | |
| 212,045 | ||
Tobacco - 0.9% | |||
Lorillard, Inc. | 2,235 | 162,641 | |
Reynolds American, Inc. | 1,450 | 66,280 | |
| 228,921 | ||
TOTAL CONSUMER STAPLES | 1,671,552 | ||
ENERGY - 6.1% | |||
Energy Equipment & Services - 2.5% | |||
Cameron International Corp. (a) | 3,500 | 124,985 | |
Diamond Offshore Drilling, Inc. | 1,175 | 105,069 | |
Dresser-Rand Group, Inc. (a) | 2,625 | 77,963 | |
ENSCO International, Inc. | 2,800 | 103,320 | |
FMC Technologies, Inc. (a) | 1,800 | 85,860 | |
Noble Corp. | 1,800 | 63,054 | |
Pride International, Inc. (a) | 1,046 | 26,966 | |
Seahawk Drilling, Inc. (a) | 69 | 1,538 | |
Smith International, Inc. | 740 | 20,402 | |
| 609,157 | ||
Oil, Gas & Consumable Fuels - 3.6% | |||
Alpha Natural Resources, Inc. (a) | 2,168 | 70,048 | |
| |||
Shares | Value | ||
Cimarex Energy Co. | 1,500 | $ 58,560 | |
CONSOL Energy, Inc. | 505 | 18,892 | |
Delta Petroleum Corp. (a) | 5,000 | 9,000 | |
El Paso Corp. | 3,150 | 29,075 | |
Encore Acquisition Co. (a) | 1,500 | 56,535 | |
McMoRan Exploration Co. (a) | 7,700 | 64,218 | |
Murphy Oil Corp. | 2,455 | 139,935 | |
Noble Energy, Inc. | 1,980 | 119,711 | |
Range Resources Corp. | 250 | 12,093 | |
SandRidge Energy, Inc. (a) | 1,030 | 12,566 | |
Southwestern Energy Co. (a) | 1,300 | 47,918 | |
Spectra Energy Corp. | 8,600 | 161,852 | |
W&T Offshore, Inc. | 2,400 | 23,712 | |
World Fuel Services Corp. | 1,507 | 67,725 | |
| 891,840 | ||
TOTAL ENERGY | 1,500,997 | ||
FINANCIALS - 17.6% | |||
Capital Markets - 3.1% | |||
Ameriprise Financial, Inc. | 1,200 | 36,036 | |
Eaton Vance Corp. (non-vtg.) | 2,670 | 76,282 | |
Federated Investors, Inc. Class B (non-vtg.) | 2,000 | 52,500 | |
Invesco Ltd. | 5,300 | 109,975 | |
Knight Capital Group, Inc. Class A (a) | 2,700 | 54,324 | |
Legg Mason, Inc. | 2,000 | 57,520 | |
Northern Trust Corp. | 1,030 | 60,214 | |
optionsXpress Holdings, Inc. | 1,950 | 32,448 | |
Raymond James Financial, Inc. | 2,300 | 52,325 | |
T. Rowe Price Group, Inc. | 3,200 | 145,024 | |
TD Ameritrade Holding Corp. (a) | 4,400 | 84,656 | |
| 761,304 | ||
Commercial Banks - 1.8% | |||
Banco Latin Americano de Exporaciones SA (BLADEX) Series E | 4,450 | 63,235 | |
BancorpSouth, Inc. | 1,692 | 38,916 | |
Bank of Hawaii Corp. | 1,127 | 44,460 | |
Cullen/Frost Bankers, Inc. | 1,000 | 49,280 | |
KeyCorp | 2,000 | 13,320 | |
M&T Bank Corp. | 1,230 | 75,965 | |
Popular, Inc. | 7,500 | 16,125 | |
Prosperity Bancshares, Inc. | 900 | 31,077 | |
Regions Financial Corp. | 3,500 | 20,510 | |
Southside Bancshares, Inc. | 2,420 | 52,320 | |
SunTrust Banks, Inc. | 1,400 | 32,718 | |
| 437,926 | ||
Consumer Finance - 0.3% | |||
Discover Financial Services | 2,250 | 30,938 | |
SLM Corp. (a) | 4,000 | 35,600 | |
| 66,538 | ||
Diversified Financial Services - 0.4% | |||
Moody's Corp. | 1,070 | 29,147 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
NYSE Euronext | 1,000 | $ 28,340 | |
The NASDAQ Stock Market, Inc. (a) | 2,400 | 52,680 | |
| 110,167 | ||
Insurance - 5.9% | |||
Allied World Assurance Co. Holdings | 1,667 | 77,232 | |
American Equity Investment Life Holding Co. | 6,500 | 52,455 | |
American Financial Group, Inc. | 2,900 | 74,385 | |
Amerisafe, Inc. (a) | 1,750 | 29,890 | |
Aon Corp. | 800 | 33,408 | |
Arch Capital Group Ltd. (a) | 1,195 | 77,639 | |
Arthur J. Gallagher & Co. | 2,000 | 47,540 | |
Aspen Insurance Holdings Ltd. | 1,800 | 45,720 | |
Axis Capital Holdings Ltd. | 1,800 | 54,864 | |
CNA Financial Corp. | 2,500 | 61,175 | |
Genworth Financial, Inc. Class A | 3,000 | 31,680 | |
Hartford Financial Services Group, Inc. | 4,000 | 94,880 | |
HCC Insurance Holdings, Inc. | 1,000 | 26,440 | |
Marsh & McLennan Companies, Inc. | 1,230 | 28,954 | |
Old Republic International Corp. | 4,400 | 52,404 | |
PartnerRe Ltd. | 1,200 | 88,692 | |
Principal Financial Group, Inc. | 2,990 | 84,916 | |
Progressive Corp. (a) | 6,170 | 101,928 | |
Reinsurance Group of America, Inc. | 1,500 | 64,575 | |
Torchmark Corp. | 1,845 | 78,615 | |
Transatlantic Holdings, Inc. | 1,350 | 65,961 | |
Unum Group | 5,920 | 133,378 | |
W.R. Berkley Corp. | 1,400 | 35,770 | |
| 1,442,501 | ||
Real Estate Investment Trusts - 5.5% | |||
Alexandria Real Estate Equities, Inc. | 800 | 44,568 | |
AMB Property Corp. (SBI) | 580 | 13,241 | |
Annaly Capital Management, Inc. | 7,680 | 133,171 | |
Apartment Investment & Management Co. Class A | 3,000 | 36,510 | |
Boston Properties, Inc. | 780 | 47,252 | |
Chimera Investment Corp. | 20,700 | 78,660 | |
Digital Realty Trust, Inc. | 750 | 32,685 | |
Douglas Emmett, Inc. | 5,500 | 66,605 | |
Duke Realty LP | 980 | 11,290 | |
Equity Residential (SBI) | 300 | 8,193 | |
HCP, Inc. | 4,000 | 113,920 | |
Hospitality Properties Trust (SBI) | 2,705 | 49,285 | |
Host Hotels & Resorts, Inc. | 2,530 | 25,224 | |
HRPT Properties Trust (SBI) | 11,665 | 75,589 | |
Kimco Realty Corp. | 291 | 3,652 | |
Liberty Property Trust (SBI) | 1,200 | 39,324 | |
MFA Financial, Inc. | 7,200 | 57,024 | |
Nationwide Health Properties, Inc. | 1,940 | 61,847 | |
NorthStar Realty Finance Corp. | 7,666 | 29,131 | |
| |||
Shares | Value | ||
Plum Creek Timber Co., Inc. | 2,000 | $ 60,580 | |
Public Storage | 450 | 31,748 | |
Regency Centers Corp. | 425 | 14,259 | |
SL Green Realty Corp. | 2,800 | 98,812 | |
The Macerich Co. | 2,874 | 82,369 | |
UDR, Inc. | 3,250 | 41,568 | |
Vornado Realty Trust | 1,880 | 108,138 | |
| 1,364,645 | ||
Thrifts & Mortgage Finance - 0.6% | |||
Hudson City Bancorp, Inc. | 6,350 | 83,312 | |
New York Community Bancorp, Inc. | 6,500 | 69,160 | |
| 152,472 | ||
TOTAL FINANCIALS | 4,335,553 | ||
HEALTH CARE - 8.6% | |||
Biotechnology - 0.8% | |||
Biogen Idec, Inc. (a) | 930 | 46,695 | |
Cubist Pharmaceuticals, Inc. (a) | 2,825 | 58,421 | |
Martek Biosciences | 1,850 | 45,418 | |
OSI Pharmaceuticals, Inc. (a) | 1,200 | 40,104 | |
| 190,638 | ||
Health Care Equipment & Supplies - 2.4% | |||
American Medical Systems Holdings, Inc. (a) | 4,155 | 63,322 | |
C.R. Bard, Inc. | 1,250 | 100,725 | |
Hologic, Inc. (a) | 3,800 | 62,510 | |
Hospira, Inc. (a) | 2,800 | 109,452 | |
Intuitive Surgical, Inc. (a) | 150 | 33,407 | |
Kinetic Concepts, Inc. (a) | 2,640 | 84,348 | |
St. Jude Medical, Inc. (a) | 1,115 | 42,972 | |
Varian Medical Systems, Inc. (a) | 2,350 | 101,215 | |
| 597,951 | ||
Health Care Providers & Services - 2.7% | |||
AmerisourceBergen Corp. | 5,570 | 118,697 | |
Brookdale Senior Living, Inc. | 2,810 | 44,651 | |
Coventry Health Care, Inc. (a) | 3,000 | 65,490 | |
Express Scripts, Inc. (a) | 700 | 50,554 | |
Genoptix, Inc. (a) | 1,100 | 31,559 | |
Laboratory Corp. of America Holdings (a) | 1,590 | 110,966 | |
Lincare Holdings, Inc. (a) | 2,750 | 72,573 | |
Owens & Minor, Inc. | 950 | 42,038 | |
Quest Diagnostics, Inc. | 2,200 | 118,712 | |
| 655,240 | ||
Life Sciences Tools & Services - 1.6% | |||
Illumina, Inc. (a) | 2,300 | 81,121 | |
Life Technologies Corp. (a) | 2,700 | 120,231 | |
Mettler-Toledo International, Inc. (a) | 655 | 57,247 | |
Millipore Corp. (a) | 1,225 | 81,132 | |
Waters Corp. (a) | 1,000 | 50,280 | |
| 390,011 | ||
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - 1.1% | |||
Allergan, Inc. | 1,080 | $ 60,394 | |
Endo Pharmaceuticals Holdings, Inc. (a) | 4,270 | 96,374 | |
Forest Laboratories, Inc. (a) | 1,800 | 52,686 | |
Warner Chilcott PLC (a) | 3,650 | 74,351 | |
| 283,805 | ||
TOTAL HEALTH CARE | 2,117,645 | ||
INDUSTRIALS - 11.7% | |||
Aerospace & Defense - 1.7% | |||
Alliant Techsystems, Inc. (a) | 750 | 57,960 | |
ITT Corp. | 2,730 | 136,718 | |
L-3 Communications Holdings, Inc. | 1,580 | 117,552 | |
Precision Castparts Corp. | 500 | 45,640 | |
Rockwell Collins, Inc. | 360 | 16,574 | |
TransDigm Group, Inc. (a) | 750 | 33,390 | |
| 407,834 | ||
Air Freight & Logistics - 0.9% | |||
C.H. Robinson Worldwide, Inc. | 2,250 | 126,585 | |
Expeditors International of Washington, Inc. | 2,820 | 92,101 | |
| 218,686 | ||
Airlines - 0.2% | |||
AMR Corp. (a) | 1,000 | 5,460 | |
Republic Airways Holdings, Inc. (a) | 4,000 | 36,840 | |
| 42,300 | ||
Building Products - 0.5% | |||
Masco Corp. | 8,000 | 115,840 | |
Commercial Services & Supplies - 1.6% | |||
Avery Dennison Corp. | 2,135 | 65,972 | |
Covanta Holding Corp. (a) | 3,324 | 59,500 | |
Deluxe Corp. | 1,850 | 30,914 | |
Herman Miller, Inc. | 1,800 | 29,196 | |
Pitney Bowes, Inc. | 2,750 | 61,463 | |
R.R. Donnelley & Sons Co. | 3,780 | 67,435 | |
Republic Services, Inc. | 800 | 20,488 | |
Stericycle, Inc. (a) | 1,375 | 68,090 | |
| 403,058 | ||
Construction & Engineering - 1.5% | |||
EMCOR Group, Inc. (a) | 2,370 | 54,913 | |
Fluor Corp. | 2,485 | 131,457 | |
Foster Wheeler AG (a) | 2,030 | 58,769 | |
Jacobs Engineering Group, Inc. (a) | 1,200 | 52,776 | |
KBR, Inc. | 579 | 13,114 | |
URS Corp. (a) | 1,400 | 60,522 | |
| 371,551 | ||
Electrical Equipment - 0.6% | |||
Cooper Industries Ltd. Class A | 1,490 | 48,053 | |
| |||
Shares | Value | ||
Hubbell, Inc. Class B | 770 | $ 29,622 | |
Roper Industries, Inc. | 870 | 41,221 | |
Thomas & Betts Corp. (a) | 990 | 27,413 | |
| 146,309 | ||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 1,000 | 32,990 | |
McDermott International, Inc. (a) | 3,000 | 71,280 | |
| 104,270 | ||
Machinery - 3.1% | |||
Cummins, Inc. | 390 | 17,675 | |
Dover Corp. | 1,660 | 57,419 | |
Eaton Corp. | 2,120 | 114,374 | |
Flowserve Corp. | 1,050 | 90,563 | |
Gardner Denver, Inc. (a) | 2,250 | 73,058 | |
Joy Global, Inc. | 1,500 | 58,275 | |
Lindsay Corp. | 1,000 | 41,510 | |
Manitowoc Co., Inc. | 3,700 | 24,568 | |
Nordson Corp. | 500 | 26,790 | |
Oshkosh Co. | 3,500 | 117,600 | |
Pall Corp. | 2,900 | 86,217 | |
SPX Corp. | 1,000 | 55,680 | |
| 763,729 | ||
Professional Services - 0.5% | |||
FTI Consulting, Inc. (a) | 400 | 17,416 | |
IHS, Inc. Class A (a) | 1,000 | 48,400 | |
Manpower, Inc. | 1,250 | 64,625 | |
| 130,441 | ||
Road & Rail - 0.2% | |||
CSX Corp. | 1,070 | 45,475 | |
Trading Companies & Distributors - 0.5% | |||
Beacon Roofing Supply, Inc. (a) | 2,700 | 45,414 | |
W.W. Grainger, Inc. | 885 | 77,411 | |
| 122,825 | ||
TOTAL INDUSTRIALS | 2,872,318 | ||
INFORMATION TECHNOLOGY - 14.6% | |||
Communications Equipment - 1.2% | |||
3Com Corp. (a) | 6,000 | 26,100 | |
Harris Corp. | 2,715 | 94,292 | |
Harris Stratex Networks, Inc. Class A (a) | 546 | 3,309 | |
Juniper Networks, Inc. (a) | 3,000 | 69,210 | |
Starent Networks Corp. (a) | 1,300 | 26,312 | |
Tellabs, Inc. (a) | 13,870 | 87,936 | |
| 307,159 | ||
Computers & Peripherals - 1.8% | |||
Lexmark International, Inc. Class A (a) | 2,300 | 43,332 | |
NetApp, Inc. (a) | 4,695 | 106,811 | |
Sun Microsystems, Inc. (a) | 5,000 | 46,400 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - continued | |||
Teradata Corp. (a) | 3,520 | $ 94,794 | |
Western Digital Corp. (a) | 4,265 | 146,204 | |
| 437,541 | ||
Electronic Equipment & Components - 0.9% | |||
Agilent Technologies, Inc. | 1,945 | 49,948 | |
Avnet, Inc. (a) | 2,500 | 66,625 | |
Molex, Inc. | 3,150 | 57,362 | |
Tech Data Corp. (a) | 1,170 | 44,577 | |
| 218,512 | ||
IT Services - 3.0% | |||
Affiliated Computer Services, Inc. | 1,300 | 58,240 | |
Alliance Data Systems Corp. (a) | 1,500 | 83,340 | |
Cognizant Technology Solutions Corp. Class A (a) | 500 | 17,440 | |
Computer Sciences Corp. (a) | 2,095 | 102,341 | |
Fidelity National Information Services, Inc. | 3,325 | 81,662 | |
Fiserv, Inc. (a) | 2,165 | 104,461 | |
Hewitt Associates, Inc. Class A (a) | 1,700 | 61,234 | |
MasterCard, Inc. Class A | 190 | 38,500 | |
Metavante Technologies, Inc. (a) | 1,000 | 31,510 | |
Paychex, Inc. | 900 | 25,461 | |
SAIC, Inc. (a) | 3,520 | 65,085 | |
Syntel, Inc. | 1,900 | 76,133 | |
| 745,407 | ||
Office Electronics - 0.4% | |||
Xerox Corp. | 10,190 | 88,144 | |
Semiconductors & Semiconductor Equipment - 4.2% | |||
Altera Corp. | 5,300 | 101,813 | |
Analog Devices, Inc. | 4,250 | 120,063 | |
Broadcom Corp. Class A (a) | 2,010 | 57,185 | |
Cree, Inc. (a) | 2,000 | 73,680 | |
Integrated Device Technology, Inc. (a) | 3,615 | 24,690 | |
Intersil Corp. Class A | 3,300 | 48,840 | |
Linear Technology Corp. | 1,995 | 53,007 | |
Marvell Technology Group Ltd. (a) | 8,750 | 133,438 | |
Microchip Technology, Inc. | 3,000 | 79,650 | |
Micron Technology, Inc. (a) | 9,500 | 70,015 | |
National Semiconductor Corp. | 2,810 | 42,628 | |
Sigma Designs, Inc. (a) | 2,700 | 38,151 | |
Skyworks Solutions, Inc. (a) | 6,300 | 73,395 | |
Xilinx, Inc. | 5,090 | 113,202 | |
| 1,029,757 | ||
Software - 3.1% | |||
Activision Blizzard, Inc. (a) | 2,000 | 23,220 | |
Autodesk, Inc. (a) | 1,849 | 43,322 | |
BMC Software, Inc. (a) | 2,300 | 81,995 | |
CA, Inc. | 5,945 | 132,514 | |
Cadence Design Systems, Inc. (a) | 3,640 | 22,823 | |
| |||
Shares | Value | ||
Compuware Corp. (a) | 8,000 | $ 57,680 | |
Intuit, Inc. (a) | 1,810 | 50,264 | |
Jack Henry & Associates, Inc. | 2,210 | 51,515 | |
Red Hat, Inc. (a) | 3,400 | 78,064 | |
Salesforce.com, Inc. (a) | 1,625 | 84,289 | |
Sybase, Inc. (a) | 1,000 | 34,850 | |
Synopsys, Inc. (a) | 2,800 | 59,444 | |
TIBCO Software, Inc. (a) | 5,100 | 45,237 | |
| 765,217 | ||
TOTAL INFORMATION TECHNOLOGY | 3,591,737 | ||
MATERIALS - 5.8% | |||
Chemicals - 2.0% | |||
Air Products & Chemicals, Inc. | 450 | 33,764 | |
Cabot Corp. | 1,700 | 33,643 | |
Celanese Corp. Class A | 1,150 | 29,291 | |
Ecolab, Inc. | 700 | 29,603 | |
FMC Corp. | 1,125 | 53,663 | |
OM Group, Inc. (a) | 1,855 | 50,475 | |
Sigma Aldrich Corp. | 2,240 | 113,792 | |
Terra Industries, Inc. | 2,200 | 68,442 | |
The Scotts Miracle-Gro Co. Class A | 2,060 | 83,821 | |
| 496,494 | ||
Containers & Packaging - 2.2% | |||
Ball Corp. | 2,025 | 98,132 | |
Bemis Co., Inc. | 2,030 | 53,978 | |
Crown Holdings, Inc. (a) | 2,775 | 68,903 | |
Owens-Illinois, Inc. (a) | 3,160 | 107,250 | |
Pactiv Corp. (a) | 3,310 | 82,254 | |
Rock-Tenn Co. Class A | 1,645 | 84,372 | |
Sealed Air Corp. | 600 | 11,346 | |
Sonoco Products Co. | 1,426 | 36,990 | |
| 543,225 | ||
Metals & Mining - 0.9% | |||
Reliance Steel & Aluminum Co. | 1,200 | 44,328 | |
United States Steel Corp. | 2,560 | 112,077 | |
Walter Energy, Inc. | 1,150 | 59,697 | |
| 216,102 | ||
Paper & Forest Products - 0.7% | |||
International Paper Co. | 6,400 | 146,880 | |
Weyerhaeuser Co. | 425 | 15,891 | |
| 162,771 | ||
TOTAL MATERIALS | 1,418,592 | ||
TELECOMMUNICATION SERVICES - 1.9% | |||
Diversified Telecommunication Services - 1.4% | |||
CenturyTel, Inc. | 4,740 | 152,770 | |
Cincinnati Bell, Inc. (a) | 14,630 | 48,718 | |
Common Stocks - continued | |||
Shares | Value | ||
TELECOMMUNICATION SERVICES - continued | |||
Diversified Telecommunication Services - continued | |||
Qwest Communications International, | 17,270 | $ 61,999 | |
Windstream Corp. | 9,600 | 82,272 | |
| 345,759 | ||
Wireless Telecommunication Services - 0.5% | |||
American Tower Corp. Class A (a) | 1,500 | 47,475 | |
NII Holdings, Inc. (a) | 2,400 | 56,904 | |
U.S. Cellular Corp. (a) | 700 | 25,557 | |
| 129,936 | ||
TOTAL TELECOMMUNICATION SERVICES | 475,695 | ||
UTILITIES - 6.8% | |||
Electric Utilities - 1.8% | |||
American Electric Power Co., Inc. | 1,640 | 51,545 | |
DPL, Inc. | 2,410 | 59,696 | |
Edison International | 4,100 | 136,960 | |
IDACORP, Inc. | 1,600 | 45,568 | |
NV Energy, Inc. | 3,400 | 41,004 | |
Pepco Holdings, Inc. | 1,720 | 24,648 | |
PPL Corp. | 1,870 | 54,978 | |
Progress Energy, Inc. | 870 | 34,391 | |
| 448,790 | ||
Gas Utilities - 0.7% | |||
Energen Corp. | 1,595 | 66,974 | |
National Fuel Gas Co. New Jersey | 1,100 | 49,159 | |
UGI Corp. | 1,700 | 43,367 | |
| 159,500 | ||
Independent Power Producers & Energy Traders - 1.8% | |||
AES Corp. | 10,200 | 139,434 | |
Constellation Energy Group, Inc. | 3,455 | 109,351 | |
Mirant Corp. (a) | 5,120 | 86,272 | |
NRG Energy, Inc. (a) | 4,000 | 107,400 | |
| 442,457 | ||
Multi-Utilities - 2.5% | |||
CenterPoint Energy, Inc. | 6,350 | 78,740 | |
CMS Energy Corp. | 4,250 | 56,993 | |
Consolidated Edison, Inc. | 2,470 | 99,269 | |
DTE Energy Co. | 2,400 | 83,472 | |
PG&E Corp. | 1,000 | 40,590 | |
Sempra Energy | 3,025 | 151,764 | |
| |||
Shares | Value | ||
TECO Energy, Inc. | 3,200 | $ 42,624 | |
Xcel Energy, Inc. | 2,750 | 54,313 | |
| 607,765 | ||
TOTAL UTILITIES | 1,658,512 | ||
TOTAL COMMON STOCKS (Cost $22,316,559) | 23,609,584 |
U.S. Treasury Obligations - 0.8% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.34% to 0.52% 11/19/09 to 6/3/10 (c) | $ 200,000 | 199,685 |
Money Market Funds - 6.1% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.23% (b) | 1,494,047 | 1,494,047 | |
TOTAL INVESTMENT PORTFOLIO - 102.9% (Cost $24,010,113) | 25,303,316 | ||
NET OTHER ASSETS - (2.9)% | (703,007) | ||
NET ASSETS - 100% | $ 24,600,309 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
15 CME E-mini S&P MidCap 400 Index Contracts | Sept. 2009 | $ 981,000 | $ 765 |
|
The face value of futures purchased as a percentage of net assets - 4% |
Legend |
(a) Non-income producing |
(b) The rate quoted is the annualized seven-day yield of the fund at period end. |
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $199,685. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security 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 | $ 3,966,983 | $ 3,966,983 | $ - | $ - |
Consumer Staples | 1,671,552 | 1,671,552 | - | - |
Energy | 1,500,997 | 1,500,997 | - | - |
Financials | 4,335,553 | 4,335,553 | - | - |
Health Care | 2,117,645 | 2,117,645 | - | - |
Industrials | 2,872,318 | 2,872,318 | - | - |
Information Technology | 3,591,737 | 3,591,737 | - | - |
Materials | 1,418,592 | 1,418,592 | - | - |
Telecommunication Services | 475,695 | 475,695 | - | - |
Utilities | 1,658,512 | 1,658,512 | - | - |
Money Market Funds | 1,494,047 | 1,494,047 | - | - |
U.S. Government and Government Agency Obligations | 199,685 | - | 199,685 | - |
Total Investments in Securities: | $ 25,303,316 | $ 25,103,631 | $ 199,685 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 765 | $ 765 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 765 | $ - |
Total Value of Derivatives | $ 765 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $419,790 all of which will expire on February 28, 2017. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $1,426,116 of losses recognized during the period November 1, 2008 to February 28, 2009, to the extent provided by regulations and may be limited. |
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, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $24,010,113) |
| $ 25,303,316 |
Receivable for investments sold | 344,869 | |
Receivable for fund shares sold | 52,769 | |
Dividends receivable | 35,519 | |
Interest receivable | 301 | |
Total assets | 25,736,774 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 1,045,781 | |
Payable for fund shares redeemed | 67,449 | |
Accrued management fee | 8,868 | |
Payable for daily variation on futures contracts | 11,412 | |
Other affiliated payables | 2,955 | |
Total liabilities | 1,136,465 | |
|
|
|
Net Assets | $ 24,600,309 | |
Net Assets consist of: |
| |
Paid in capital | $ 24,969,714 | |
Undistributed net investment income | 120,862 | |
Accumulated undistributed net realized gain (loss) on investments | (1,784,235) | |
Net unrealized appreciation (depreciation) on investments | 1,293,968 | |
Net Assets, for 3,277,179 shares outstanding | $ 24,600,309 | |
Net Asset Value, offering price and redemption price per share ($24,600,309 ÷ 3,277,179 shares) | $ 7.51 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 178,509 |
Interest |
| 2,013 |
Total income |
| 180,522 |
|
|
|
Expenses | ||
Management fee | $ 43,370 | |
Transfer agent fees | 14,630 | |
Independent trustees' compensation | 519 | |
Total expenses | 58,519 | |
Net investment income (loss) | 122,003 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (46,356) | |
Futures contracts | 181,366 | |
Total net realized gain (loss) |
| 135,010 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 6,909,907 | |
Futures contracts | 10,379 | |
Total change in net unrealized appreciation (depreciation) |
| 6,920,286 |
Net gain (loss) | 7,055,296 | |
Net increase (decrease) in net assets resulting from operations | $ 7,177,299 |
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, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 122,003 | $ 148,308 |
Net realized gain (loss) | 135,010 | (1,905,794) |
Change in net unrealized appreciation (depreciation) | 6,920,286 | (5,191,986) |
Net increase (decrease) in net assets resulting from operations | 7,177,299 | (6,949,472) |
Distributions to shareholders from net investment income | (31,487) | (131,855) |
Share transactions | 10,805,361 | 22,132,191 |
Reinvestment of distributions | 29,860 | 124,856 |
Cost of shares redeemed | (7,617,567) | (6,916,010) |
Net increase (decrease) in net assets resulting from share transactions | 3,217,654 | 15,341,037 |
Redemption fees | 1,451 | 8,450 |
Total increase (decrease) in net assets | 10,364,917 | 8,268,160 |
|
|
|
Net Assets | ||
Beginning of period | 14,235,392 | 5,967,232 |
End of period (including undistributed net investment income of $120,862 and undistributed net investment income of $30,346, respectively) | $ 24,600,309 | $ 14,235,392 |
Other Information Shares | ||
Sold | 1,714,559 | 3,149,005 |
Issued in reinvestment of distributions | 4,847 | 20,672 |
Redeemed | (1,220,116) | (1,042,897) |
Net increase (decrease) | 499,290 | 2,126,780 |
Financial Highlights
| Six months ended August 31, 2009 | Years ended February 28, | |
(Unaudited) | 2009 | 2008 E,G | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 5.12 | $ 9.16 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) D | .04 | .10 | .02 |
Net realized and unrealized gain (loss) | 2.36 | (4.07) | (.86) |
Total from investment operations | 2.40 | (3.97) | (.84) |
Distributions from net investment income | (.01) | (.08) | - |
Redemption fees added to paid in capital D | - H | .01 | - H |
Net asset value, end of period | $ 7.51 | $ 5.12 | $ 9.16 |
Total Return B,C | 46.92% | (43.40)% | (8.40)% |
Ratios to Average Net Assets F |
|
|
|
Expenses before reductions | .60% A | .60% | .60% A |
Expenses net of fee waivers, if any | .60% A | .60% | .60% A |
Expenses net of all reductions | .60% A | .60% | .60% A |
Net investment income (loss) | 1.25% A | 1.39% | 1.25% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 24,600 | $ 14,235 | $ 5,967 |
Portfolio turnover rate | 110% A | 140% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period December 20, 2007 (commencement of operations) to February 29, 2008.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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.
G For the year ended February 29.
H Amount represents less than $.01 per share.
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, 2009 | ||
| % of fund's | % of fund's net assets |
Atheros Communications, Inc. | 0.9 | 0.3 |
Bally Technologies, Inc. | 0.7 | 0.4 |
Skyworks Solutions, Inc. | 0.7 | 0.5 |
Rock-Tenn Co. Class A | 0.7 | 0.6 |
Valassis Communications, Inc. | 0.7 | 0.0 |
HealthSouth Corp. | 0.7 | 0.4 |
WMS Industries, Inc. | 0.6 | 0.0 |
Knight Capital Group, Inc. Class A | 0.6 | 0.7 |
Oriental Financial Group, Inc. | 0.6 | 0.1 |
3Com Corp. | 0.6 | 0.5 |
| 6.8 | |
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Information Technology | 20.3 | 17.2 |
Financials | 18.9 | 19.2 |
Consumer Discretionary | 15.0 | 11.6 |
Industrials | 14.4 | 14.2 |
Health Care | 13.0 | 15.2 |
Materials | 4.4 | 3.9 |
Energy | 3.5 | 3.9 |
Consumer Staples | 3.2 | 4.5 |
Utilities | 2.6 | 3.8 |
Telecommunication Services | 2.0 | 2.3 |
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.3% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 15.0% | |||
Auto Components - 0.2% | |||
Cooper Tire & Rubber Co. | 2,445 | $ 34,915 | |
Spartan Motors, Inc. | 10,500 | 57,015 | |
Superior Industries International, Inc. | 2,660 | 37,825 | |
| 129,755 | ||
Diversified Consumer Services - 1.1% | |||
American Public Education, Inc. (a) | 4,800 | 166,320 | |
Corinthian Colleges, Inc. (a) | 7,000 | 134,190 | |
DeVry, Inc. | 4,000 | 204,400 | |
Jackson Hewitt Tax Service, Inc. | 9,990 | 55,844 | |
Stewart Enterprises, Inc. Class A | 27,955 | 148,441 | |
Strayer Education, Inc. | 406 | 85,707 | |
| 794,902 | ||
Hotels, Restaurants & Leisure - 3.1% | |||
Bally Technologies, Inc. (a) | 13,500 | 545,805 | |
Bob Evans Farms, Inc. | 10,000 | 268,700 | |
Buffalo Wild Wings, Inc. (a)(d) | 2,898 | 119,485 | |
Denny's Corp. (a) | 85,070 | 216,929 | |
Domino's Pizza, Inc. (a) | 16,000 | 129,440 | |
Isle of Capri Casinos, Inc. (a) | 14,296 | 146,248 | |
Jack in the Box, Inc. (a) | 2,625 | 53,524 | |
Papa John's International, Inc. (a) | 11,500 | 268,295 | |
Pinnacle Entertainment, Inc. (a) | 5,346 | 50,145 | |
WMS Industries, Inc. (a) | 10,326 | 437,100 | |
| 2,235,671 | ||
Household Durables - 1.2% | |||
Meritage Homes Corp. (a) | 3,223 | 72,227 | |
Ryland Group, Inc. | 7,648 | 175,292 | |
Sealy Corp., Inc. (a) | 83,195 | 217,971 | |
Tupperware Brands Corp. | 5,200 | 192,348 | |
Universal Electronics, Inc. (a) | 9,830 | 185,001 | |
| 842,839 | ||
Internet & Catalog Retail - 0.5% | |||
HSN, Inc. (a) | 7,143 | 74,287 | |
Netflix, Inc. (a)(d) | 3,182 | 138,926 | |
NutriSystem, Inc. | 9,220 | 131,201 | |
| 344,414 | ||
Leisure Equipment & Products - 0.5% | |||
Polaris Industries, Inc. | 7,930 | 299,040 | |
Smith & Wesson Holding Corp. (a) | 15,500 | 83,390 | |
| 382,430 | ||
Media - 1.3% | |||
Cinemark Holdings, Inc. | 13,000 | 130,520 | |
Marvel Entertainment, Inc. (a) | 6,215 | 300,620 | |
Valassis Communications, Inc. (a) | 30,971 | 486,245 | |
| 917,385 | ||
Specialty Retail - 4.7% | |||
Aeropostale, Inc. (a) | 7,724 | 302,395 | |
Asbury Automotive Group, Inc. | 18,700 | 233,750 | |
| |||
Shares | Value | ||
Dress Barn, Inc. (a)(d) | 15,020 | $ 243,775 | |
Finish Line, Inc. Class A | 27,303 | 225,250 | |
Genesco, Inc. (a) | 13,210 | 289,299 | |
Gymboree Corp. (a) | 8,635 | 386,762 | |
Hot Topic, Inc. (a) | 15,000 | 104,400 | |
J. Crew Group, Inc. (a) | 4,200 | 143,178 | |
Jo-Ann Stores, Inc. (a)(d) | 13,165 | 359,668 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 6,562 | 84,059 | |
Midas, Inc. (a) | 8,790 | 79,462 | |
Rent-A-Center, Inc. (a) | 9,615 | 189,704 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 20,488 | 262,656 | |
Stein Mart, Inc. (a) | 15,000 | 185,400 | |
The Men's Wearhouse, Inc. | 4,500 | 117,000 | |
Tractor Supply Co. (a) | 4,012 | 188,805 | |
| 3,395,563 | ||
Textiles, Apparel & Luxury Goods - 2.4% | |||
Carter's, Inc. (a) | 4,800 | 120,768 | |
Deckers Outdoor Corp. (a) | 5,000 | 341,500 | |
Fossil, Inc. (a) | 11,851 | 300,778 | |
Jones Apparel Group, Inc. | 17,295 | 269,629 | |
Maidenform Brands, Inc. (a) | 20,900 | 337,326 | |
Oxford Industries, Inc. | 8,500 | 119,000 | |
Warnaco Group, Inc. (a) | 3,800 | 144,590 | |
Wolverine World Wide, Inc. | 4,300 | 107,113 | |
| 1,740,704 | ||
TOTAL CONSUMER DISCRETIONARY | 10,783,663 | ||
CONSUMER STAPLES - 3.2% | |||
Food & Staples Retailing - 1.1% | |||
Andersons, Inc. | 5,500 | 180,950 | |
Casey's General Stores, Inc. | 13,000 | 360,750 | |
Nash-Finch Co. | 5,525 | 149,949 | |
United Natural Foods, Inc. (a) | 3,817 | 103,135 | |
| 794,784 | ||
Food Products - 1.5% | |||
Calavo Growers, Inc. | 7,000 | 123,200 | |
Darling International, Inc. (a) | 38,500 | 269,885 | |
Diamond Foods, Inc. | 4,970 | 138,912 | |
Lancaster Colony Corp. | 3,000 | 150,780 | |
TreeHouse Foods, Inc. (a) | 10,190 | 377,540 | |
| 1,060,317 | ||
Personal Products - 0.6% | |||
Bare Escentuals, Inc. (a) | 7,185 | 66,677 | |
Chattem, Inc. (a) | 4,202 | 257,330 | |
Prestige Brands Holdings, Inc. (a) | 20,528 | 152,112 | |
| 476,119 | ||
TOTAL CONSUMER STAPLES | 2,331,220 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - 3.5% | |||
Energy Equipment & Services - 0.7% | |||
Carbo Ceramics, Inc. (d) | 3,294 | $ 141,807 | |
Gulfmark Offshore, Inc. (a) | 5,500 | 164,010 | |
Newpark Resources, Inc. (a) | 18,000 | 48,060 | |
T-3 Energy Services, Inc. (a) | 1,510 | 26,546 | |
Willbros Group, Inc. (a) | 11,000 | 136,950 | |
| 517,373 | ||
Oil, Gas & Consumable Fuels - 2.8% | |||
Concho Resources, Inc. (a) | 8,970 | 292,332 | |
Endeavor International Corp. (a) | 83,930 | 93,162 | |
Gulfport Energy Corp. (a) | 27,841 | 208,808 | |
Knightsbridge Tankers Ltd. | 4,300 | 55,728 | |
McMoRan Exploration Co. (a) | 19,000 | 158,460 | |
Nordic American Tanker Shipping Ltd. (d) | 5,000 | 148,850 | |
Petroquest Energy, Inc. (a) | 27,299 | 113,564 | |
Rosetta Resources, Inc. (a) | 19,130 | 225,925 | |
Stone Energy Corp. (a) | 10,000 | 127,600 | |
Swift Energy Co. (a) | 2,500 | 50,925 | |
Vaalco Energy, Inc. | 19,000 | 89,680 | |
Venoco, Inc. (a) | 14,000 | 112,700 | |
Western Refining, Inc. (a) | 10,000 | 60,700 | |
World Fuel Services Corp. | 5,500 | 247,170 | |
| 1,985,604 | ||
TOTAL ENERGY | 2,502,977 | ||
FINANCIALS - 18.9% | |||
Capital Markets - 2.9% | |||
Allied Capital Corp. | 56,000 | 168,000 | |
BGC Partners, Inc. Class A | 17,158 | 77,554 | |
BlackRock Kelso Capital Corp. | 18,060 | 143,577 | |
Broadpoint Gleacher Securities Group, Inc. (a) | 15,000 | 113,250 | |
Calamos Asset Management, Inc. Class A | 8,525 | 96,162 | |
Hercules Technology Growth Capital, Inc. | 25,449 | 235,912 | |
Knight Capital Group, Inc. Class A (a) | 21,500 | 432,580 | |
MCG Capital Corp. (a) | 60,000 | 181,800 | |
optionsXpress Holdings, Inc. | 9,645 | 160,493 | |
PennantPark Investment Corp. | 22,120 | 184,702 | |
Penson Worldwide, Inc. (a)(d) | 19,100 | 193,674 | |
Piper Jaffray Companies (a) | 1,730 | 87,676 | |
| 2,075,380 | ||
Commercial Banks - 5.1% | |||
Community Bank System, Inc. | 13,800 | 246,054 | |
First Bancorp, Puerto Rico (d) | 27,400 | 87,406 | |
First Financial Bankshares, Inc. (d) | 5,700 | 284,088 | |
Glacier Bancorp, Inc. (d) | 9,150 | 136,427 | |
Hancock Holding Co. | 2,000 | 76,620 | |
Home Bancshares, Inc. | 10,655 | 215,764 | |
| |||
Shares | Value | ||
Lakeland Financial Corp. | 5,755 | $ 114,467 | |
MainSource Financial Group, Inc. | 6,200 | 39,928 | |
NBT Bancorp, Inc. | 2,800 | 63,280 | |
Oriental Financial Group, Inc. | 29,891 | 404,724 | |
Prosperity Bancshares, Inc. | 11,300 | 390,189 | |
Renasant Corp. | 8,100 | 123,282 | |
S&T Bancorp, Inc. | 9,200 | 127,420 | |
Smithtown Bancorp, Inc. | 6,000 | 81,240 | |
Suffolk Bancorp | 7,380 | 213,651 | |
SVB Financial Group (a) | 4,830 | 191,993 | |
Tompkins Financial Corp. | 3,000 | 131,100 | |
UMB Financial Corp. | 2,700 | 108,081 | |
WesBanco, Inc. | 10,485 | 153,920 | |
Westamerica Bancorp. | 2,500 | 128,575 | |
Wilshire Bancorp, Inc. | 21,000 | 173,880 | |
Wintrust Financial Corp. | 6,152 | 170,226 | |
| 3,662,315 | ||
Consumer Finance - 0.5% | |||
Dollar Financial Corp. (a) | 14,500 | 252,735 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 5,283 | 70,634 | |
Nelnet, Inc. Class A (a) | 4,497 | 66,376 | |
| 389,745 | ||
Diversified Financial Services - 0.4% | |||
Encore Capital Group, Inc. (a) | 14,115 | 210,314 | |
PHH Corp. (a) | 5,000 | 106,300 | |
| 316,614 | ||
Insurance - 3.6% | |||
American Equity Investment Life Holding Co. | 24,000 | 193,680 | |
Amerisafe, Inc. (a) | 16,700 | 285,236 | |
Aspen Insurance Holdings Ltd. | 14,550 | 369,570 | |
Assured Guaranty Ltd. | 15,990 | 318,201 | |
Conseco, Inc. (a) | 69,695 | 298,992 | |
FBL Financial Group, Inc. Class A | 2,780 | 47,260 | |
Hallmark Financial Services, Inc. (a) | 15,000 | 109,500 | |
IPC Holdings Ltd. | 4,900 | 158,858 | |
Maiden Holdings Ltd. | 31,000 | 236,840 | |
Navigators Group, Inc. (a) | 4,800 | 249,120 | |
Platinum Underwriters Holdings Ltd. | 4,498 | 163,053 | |
SeaBright Insurance Holdings, Inc. (a) | 18,580 | 185,986 | |
| 2,616,296 | ||
Real Estate Investment Trusts - 5.6% | |||
American Capital Agency Corp. | 2,532 | 63,021 | |
BioMed Realty Trust, Inc. | 17,000 | 229,160 | |
Capstead Mortgage Corp. | 26,250 | 358,313 | |
Cedar Shopping Centers, Inc. | 33,000 | 212,190 | |
Chimera Investment Corp. | 32,000 | 121,600 | |
Colonial Properties Trust (SBI) | 18,544 | 167,452 | |
Developers Diversified Realty Corp. (d) | 29,000 | 227,360 | |
Extra Space Storage, Inc. | 16,000 | 158,400 | |
Hatteras Financial Corp. | 3,000 | 89,670 | |
Highwoods Properties, Inc. (SBI) | 1,625 | 47,726 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Home Properties, Inc. | 2,800 | $ 106,316 | |
LaSalle Hotel Properties (SBI) | 12,500 | 206,875 | |
MFA Financial, Inc. | 28,000 | 221,760 | |
Mid-America Apartment Communities, Inc. | 2,470 | 108,137 | |
Mission West Properties, Inc. | 12,270 | 84,663 | |
National Health Investors, Inc. | 7,475 | 247,423 | |
National Retail Properties, Inc. | 13,485 | 276,712 | |
Nationwide Health Properties, Inc. | 3,945 | 125,767 | |
NorthStar Realty Finance Corp. (d) | 27,000 | 102,600 | |
Omega Healthcare Investors, Inc. | 19,000 | 321,290 | |
Parkway Properties, Inc. | 3,500 | 63,350 | |
PS Business Parks, Inc. | 3,925 | 207,750 | |
Redwood Trust, Inc. | 6,679 | 107,064 | |
Sunstone Hotel Investors, Inc. | 26,000 | 162,760 | |
| 4,017,359 | ||
Real Estate Management & Development - 0.1% | |||
Altisource Portfolio Solutions SA (a) | 5,746 | 82,340 | |
Thrifts & Mortgage Finance - 0.7% | |||
ESSA Bancorp, Inc. | 4,400 | 55,704 | |
Flushing Financial Corp. | 3,130 | 41,160 | |
Northwest Bancorp, Inc. | 5,500 | 112,750 | |
Ocwen Financial Corp. (a) | 17,240 | 178,434 | |
United Financial Bancorp, Inc. | 7,000 | 86,030 | |
| 474,078 | ||
TOTAL FINANCIALS | 13,634,127 | ||
HEALTH CARE - 13.0% | |||
Biotechnology - 2.9% | |||
Alnylam Pharmaceuticals, Inc. (a)(d) | 11,600 | 258,912 | |
ARIAD Pharmaceuticals, Inc. (a) | 75,000 | 164,250 | |
Celldex Therapeutics, Inc. (a)(d) | 14,000 | 80,360 | |
Cubist Pharmaceuticals, Inc. (a) | 10,200 | 210,936 | |
Enzon Pharmaceuticals, Inc. (a)(d) | 16,215 | 116,262 | |
Human Genome Sciences, Inc. (a) | 11,500 | 227,470 | |
Idera Pharmaceuticals, Inc. (a) | 15,500 | 117,645 | |
Isis Pharmaceuticals, Inc. (a) | 8,000 | 129,120 | |
Martek Biosciences | 7,324 | 179,804 | |
Medivation, Inc. (a) | 7,039 | 178,227 | |
Momenta Pharmaceuticals, Inc. (a) | 2,800 | 27,720 | |
ONYX Pharmaceuticals, Inc. (a) | 300 | 9,621 | |
PDL BioPharma, Inc. | 18,000 | 162,900 | |
Regeneron Pharmaceuticals, Inc. (a) | 5,612 | 127,561 | |
Savient Pharmaceuticals, Inc. (a)(d) | 5,323 | 73,936 | |
| 2,064,724 | ||
Health Care Equipment & Supplies - 4.1% | |||
American Medical Systems Holdings, Inc. (a) | 14,100 | 214,884 | |
Cantel Medical Corp. (a) | 14,000 | 188,160 | |
| |||
Shares | Value | ||
ev3, Inc. (a) | 20,000 | $ 254,800 | |
Haemonetics Corp. (a) | 2,293 | 120,704 | |
Invacare Corp. | 12,640 | 273,782 | |
Kensey Nash Corp. (a) | 5,500 | 143,605 | |
Masimo Corp. (a) | 12,000 | 301,440 | |
Meridian Bioscience, Inc. | 10,470 | 252,327 | |
Merit Medical Systems, Inc. (a) | 14,000 | 252,700 | |
NuVasive, Inc. (a) | 3,249 | 130,187 | |
Quidel Corp. (a) | 14,155 | 218,553 | |
RTI Biologics, Inc. (a) | 27,082 | 123,223 | |
Steris Corp. | 13,440 | 390,029 | |
Thoratec Corp. (a) | 5,129 | 134,585 | |
| 2,998,979 | ||
Health Care Providers & Services - 4.4% | |||
AMN Healthcare Services, Inc. (a) | 13,150 | 129,791 | |
AmSurg Corp. (a) | 10,320 | 209,496 | |
Centene Corp. (a) | 14,100 | 244,071 | |
Continucare Corp. (a) | 28,000 | 79,520 | |
Cross Country Healthcare, Inc. (a) | 7,500 | 69,075 | |
Genoptix, Inc. (a)(d) | 7,750 | 222,348 | |
Hanger Orthopedic Group, Inc. (a) | 10,380 | 145,424 | |
HealthSouth Corp. (a)(d) | 29,568 | 461,556 | |
Magellan Health Services, Inc. (a) | 3,000 | 96,270 | |
Molina Healthcare, Inc. (a)(d) | 7,000 | 141,750 | |
NightHawk Radiology Holdings, Inc. (a) | 35,000 | 218,050 | |
Owens & Minor, Inc. | 8,500 | 376,125 | |
PharMerica Corp. (a) | 15,005 | 300,850 | |
Providence Service Corp. (a) | 12,541 | 142,466 | |
RehabCare Group, Inc. (a) | 14,000 | 293,860 | |
Skilled Healthcare Group, Inc. (a) | 5,000 | 37,800 | |
| 3,168,452 | ||
Health Care Technology - 0.2% | |||
Phase Forward, Inc. (a) | 9,000 | 115,740 | |
Life Sciences Tools & Services - 0.2% | |||
Biodelivery Sciences International, Inc. (a) | 15,853 | 76,411 | |
Dionex Corp. (a) | 1,485 | 89,308 | |
| 165,719 | ||
Pharmaceuticals - 1.2% | |||
Auxilium Pharmaceuticals, Inc. (a) | 3,500 | 100,765 | |
DepoMed, Inc. (a) | 54,000 | 168,480 | |
Medicis Pharmaceutical Corp. Class A | 12,000 | 221,640 | |
Questcor Pharmaceuticals, Inc. (a) | 18,000 | 104,580 | |
Valeant Pharmaceuticals International (a) | 11,000 | 284,790 | |
| 880,255 | ||
TOTAL HEALTH CARE | 9,393,869 | ||
INDUSTRIALS - 14.4% | |||
Aerospace & Defense - 2.3% | |||
Ceradyne, Inc. (a) | 1,043 | 19,525 | |
Cubic Corp. | 8,690 | 308,669 | |
Curtiss-Wright Corp. | 872 | 28,401 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Aerospace & Defense - continued | |||
Ducommun, Inc. | 9,500 | $ 171,570 | |
DynCorp International, Inc. Class A (a) | 9,400 | 161,492 | |
GenCorp, Inc. (non-vtg.) (a) | 60,000 | 264,600 | |
Stanley, Inc. (a) | 3,835 | 98,368 | |
Teledyne Technologies, Inc. (a) | 7,000 | 236,320 | |
TransDigm Group, Inc. (a) | 7,800 | 347,256 | |
| 1,636,201 | ||
Air Freight & Logistics - 0.3% | |||
Hub Group, Inc. Class A (a) | 11,000 | 241,230 | |
Airlines - 0.3% | |||
SkyWest, Inc. | 13,941 | 215,388 | |
Building Products - 0.6% | |||
AAON, Inc. | 9,800 | 204,624 | |
Gibraltar Industries, Inc. | 15,000 | 180,600 | |
Universal Forest Products, Inc. | 1,600 | 66,080 | |
| 451,304 | ||
Commercial Services & Supplies - 2.4% | |||
American Reprographics Co. (a) | 10,500 | 95,970 | |
ATC Technology Corp. (a) | 7,940 | 166,105 | |
Cenveo, Inc. (a)(d) | 37,950 | 193,925 | |
Comfort Systems USA, Inc. | 24,540 | 291,290 | |
Deluxe Corp. | 15,300 | 255,663 | |
ICT Group, Inc. (a) | 8,000 | 88,000 | |
Knoll, Inc. | 21,180 | 203,963 | |
Schawk, Inc. Class A | 14,000 | 158,620 | |
Tetra Tech, Inc. (a) | 5,392 | 159,280 | |
Waste Services, Inc. (a) | 20,000 | 87,800 | |
| 1,700,616 | ||
Construction & Engineering - 1.3% | |||
Dycom Industries, Inc. (a) | 18,165 | 203,811 | |
EMCOR Group, Inc. (a) | 12,000 | 278,040 | |
Great Lakes Dredge & Dock Corp. | 15,000 | 98,100 | |
MasTec, Inc. (a) | 12,051 | 114,002 | |
Michael Baker Corp. (a) | 5,205 | 174,263 | |
Sterling Construction Co., Inc. (a) | 2,000 | 32,200 | |
| 900,416 | ||
Electrical Equipment - 2.0% | |||
Belden, Inc. | 13,200 | 276,276 | |
Brady Corp. Class A | 9,525 | 282,226 | |
Encore Wire Corp. | 7,614 | 180,300 | |
GrafTech International Ltd. (a) | 23,118 | 328,969 | |
Regal-Beloit Corp. | 3,000 | 136,380 | |
Woodward Governor Co. | 12,820 | 269,092 | |
| 1,473,243 | ||
Industrial Conglomerates - 0.1% | |||
Tredegar Corp. | 7,145 | 107,032 | |
Machinery - 2.4% | |||
Actuant Corp. Class A | 9,470 | 133,811 | |
Chart Industries, Inc. (a) | 11,000 | 205,260 | |
| |||
Shares | Value | ||
CIRCOR International, Inc. | 6,500 | $ 167,765 | |
Columbus McKinnon Corp. (NY Shares) (a) | 12,500 | 153,750 | |
Federal Signal Corp. | 27,030 | 193,265 | |
Nordson Corp. | 5,930 | 317,729 | |
Tennant Co. | 10,991 | 281,040 | |
Watts Water Technologies, Inc. Class A | 8,735 | 263,535 | |
| 1,716,155 | ||
Marine - 0.1% | |||
Horizon Lines, Inc. Class A | 16,000 | 86,720 | |
Professional Services - 1.1% | |||
Administaff, Inc. | 2,800 | 67,592 | |
ICF International, Inc. (a) | 4,000 | 109,400 | |
MPS Group, Inc. (a) | 9,000 | 88,740 | |
Navigant Consulting, Inc. (a) | 11,335 | 142,708 | |
Spherion Corp. (a) | 28,000 | 151,760 | |
Watson Wyatt Worldwide, Inc. Class A | 4,870 | 212,819 | |
| 773,019 | ||
Road & Rail - 0.7% | |||
Avis Budget Group, Inc. (a) | 15,604 | 151,827 | |
Celadon Group, Inc. (a) | 14,000 | 137,060 | |
Werner Enterprises, Inc. | 12,500 | 218,500 | |
| 507,387 | ||
Trading Companies & Distributors - 0.8% | |||
Applied Industrial Technologies, Inc. | 3,700 | 76,331 | |
Beacon Roofing Supply, Inc. (a) | 22,700 | 381,814 | |
Watsco, Inc. | 2,087 | 110,256 | |
| 568,401 | ||
TOTAL INDUSTRIALS | 10,377,112 | ||
INFORMATION TECHNOLOGY - 20.3% | |||
Communications Equipment - 3.5% | |||
3Com Corp. (a) | 91,000 | 395,850 | |
ADC Telecommunications, Inc. (a) | 29,000 | 246,790 | |
Adtran, Inc. | 15,300 | 347,922 | |
Arris Group, Inc. (a) | 10,500 | 139,230 | |
Avocent Corp. (a) | 5,703 | 93,073 | |
Blue Coat Systems, Inc. (a) | 13,304 | 260,891 | |
Palm, Inc. (a)(d) | 6,000 | 79,980 | |
Polycom, Inc. (a) | 14,000 | 330,260 | |
Powerwave Technologies, Inc. (a) | 55,000 | 68,200 | |
Starent Networks Corp. (a) | 10,000 | 202,400 | |
Tekelec (a) | 19,900 | 309,843 | |
ViaSat, Inc. (a) | 1,280 | 31,014 | |
| 2,505,453 | ||
Computers & Peripherals - 0.9% | |||
Cray, Inc. (a) | 17,054 | 124,665 | |
Novatel Wireless, Inc. (a) | 25,399 | 245,100 | |
Synaptics, Inc. (a)(d) | 9,705 | 250,195 | |
| 619,960 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Components - 2.3% | |||
Anixter International, Inc. (a) | 4,675 | $ 163,999 | |
Benchmark Electronics, Inc. (a) | 16,467 | 270,059 | |
Brightpoint, Inc. (a) | 14,408 | 105,755 | |
CPI International, Inc. (a) | 5,010 | 46,994 | |
CTS Corp. | 9,000 | 79,740 | |
Insight Enterprises, Inc. (a) | 14,000 | 160,580 | |
L-1 Identity Solutions, Inc. (a) | 16,000 | 114,720 | |
Multi-Fineline Electronix, Inc. (a) | 4,250 | 117,470 | |
OSI Systems, Inc. (a) | 9,500 | 160,265 | |
ScanSource, Inc. (a) | 5,900 | 165,141 | |
SYNNEX Corp. (a) | 7,346 | 217,809 | |
TTM Technologies, Inc. (a) | 7,500 | 75,900 | |
| 1,678,432 | ||
Internet Software & Services - 2.6% | |||
Art Technology Group, Inc. (a) | 35,000 | 141,400 | |
Digital River, Inc. (a) | 9,800 | 346,136 | |
EarthLink, Inc. | 37,000 | 307,840 | |
InfoSpace, Inc. (a) | 10,000 | 81,000 | |
j2 Global Communications, Inc. (a) | 11,500 | 245,755 | |
Mercadolibre, Inc. (a) | 7,300 | 229,731 | |
NIC, Inc. | 4,450 | 34,132 | |
Open Text Corp. (a) | 1,497 | 52,736 | |
United Online, Inc. | 17,500 | 122,500 | |
ValueClick, Inc. (a) | 20,000 | 205,000 | |
VistaPrint Ltd. (a) | 3,500 | 145,040 | |
| 1,911,270 | ||
IT Services - 1.9% | |||
Acxiom Corp. | 27,000 | 246,240 | |
CSG Systems International, Inc. (a) | 11,820 | 178,127 | |
Global Cash Access Holdings, Inc. (a) | 22,200 | 160,950 | |
Maximus, Inc. | 3,530 | 147,025 | |
RightNow Technologies, Inc. (a) | 14,000 | 176,120 | |
SAIC, Inc. (a) | 10,620 | 196,364 | |
Wright Express Corp. (a) | 8,200 | 258,464 | |
| 1,363,290 | ||
Semiconductors & Semiconductor Equipment - 4.9% | |||
Amkor Technology, Inc. (a) | 50,000 | 277,000 | |
Applied Micro Circuits Corp. (a) | 33,000 | 262,020 | |
Atheros Communications, Inc. (a) | 22,000 | 608,080 | |
Entropic Communications, Inc. (a) | 45,000 | 137,700 | |
MKS Instruments, Inc. (a) | 11,560 | 213,051 | |
PMC-Sierra, Inc. (a) | 39,641 | 359,940 | |
Power Integrations, Inc. | 3,000 | 98,250 | |
RF Micro Devices, Inc. (a) | 41,853 | 196,709 | |
Semtech Corp. (a) | 5,200 | 95,004 | |
Sigma Designs, Inc. (a)(d) | 12,000 | 169,560 | |
Skyworks Solutions, Inc. (a) | 45,803 | 533,605 | |
| |||
Shares | Value | ||
Tessera Technologies, Inc. (a) | 9,200 | $ 231,196 | |
Veeco Instruments, Inc. (a) | 16,500 | 354,420 | |
| 3,536,535 | ||
Software - 4.2% | |||
Actuate Corp. (a) | 25,000 | 140,500 | |
Informatica Corp. (a) | 7,300 | 130,889 | |
Interactive Intelligence, Inc. (a) | 14,000 | 241,080 | |
Jack Henry & Associates, Inc. | 14,500 | 337,995 | |
Kenexa Corp. (a) | 10,000 | 122,600 | |
Lawson Software, Inc. (a) | 25,000 | 154,000 | |
MICROS Systems, Inc. (a) | 3,750 | 104,513 | |
MicroStrategy, Inc. Class A (a) | 2,710 | 167,343 | |
Net 1 UEPS Technologies, Inc. (a) | 4,592 | 87,661 | |
Quest Software, Inc. (a) | 14,400 | 237,456 | |
Solera Holdings, Inc. | 10,775 | 283,814 | |
SonicWALL, Inc. (a) | 19,000 | 142,310 | |
SPSS, Inc. (a) | 4,440 | 221,112 | |
SuccessFactors, Inc. (a) | 14,067 | 166,975 | |
Take-Two Interactive Software, Inc. | 14,000 | 147,000 | |
TeleCommunication Systems, Inc. Class A (a) | 12,500 | 94,250 | |
TIBCO Software, Inc. (a) | 10,430 | 92,514 | |
Vasco Data Security International, Inc. (a) | 14,500 | 125,570 | |
| 2,997,582 | ||
TOTAL INFORMATION TECHNOLOGY | 14,612,522 | ||
MATERIALS - 4.4% | |||
Chemicals - 1.9% | |||
H.B. Fuller Co. | 11,200 | 221,088 | |
Innophos Holdings, Inc. | 11,000 | 209,990 | |
NewMarket Corp. | 3,500 | 290,920 | |
OM Group, Inc. (a) | 7,000 | 190,470 | |
OMNOVA Solutions, Inc. (a) | 38,000 | 179,360 | |
Spartech Corp. | 22,646 | 261,335 | |
W.R. Grace & Co. (a) | 410 | 6,859 | |
| 1,360,022 | ||
Containers & Packaging - 1.2% | |||
Rock-Tenn Co. Class A | 10,210 | 523,671 | |
Silgan Holdings, Inc. | 6,630 | 322,351 | |
| 846,022 | ||
Metals & Mining - 0.5% | |||
Compass Minerals International, Inc. | 2,200 | 116,996 | |
Worthington Industries, Inc. | 22,000 | 289,740 | |
| 406,736 | ||
Paper & Forest Products - 0.8% | |||
Buckeye Technologies, Inc. (a) | 32,000 | 322,560 | |
Glatfelter | 25,230 | 263,149 | |
| 585,709 | ||
TOTAL MATERIALS | 3,198,489 | ||
Common Stocks - continued | |||
Shares | Value | ||
TELECOMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 0.9% | |||
Cincinnati Bell, Inc. (a) | 74,000 | $ 246,420 | |
Consolidated Communications Holdings, Inc. | 15,025 | 211,853 | |
Iowa Telecommunication Services, Inc. | 16,000 | 182,560 | |
| 640,833 | ||
Wireless Telecommunication Services - 1.1% | |||
NTELOS Holdings Corp. | 13,400 | 217,214 | |
Syniverse Holdings, Inc. (a) | 18,460 | 329,880 | |
USA Mobility, Inc. | 21,400 | 272,422 | |
| 819,516 | ||
TOTAL TELECOMMUNICATION SERVICES | 1,460,349 | ||
UTILITIES - 2.6% | |||
Electric Utilities - 1.0% | |||
Central Vermont Public Service Corp. | 3,000 | 54,900 | |
Cleco Corp. | 5,000 | 122,100 | |
Portland General Electric Co. | 14,000 | 273,280 | |
UIL Holdings Corp. | 9,500 | 246,430 | |
| 696,710 | ||
Gas Utilities - 1.2% | |||
Chesapeake Utilities Corp. | 4,300 | 132,440 | |
New Jersey Resources Corp. | 3,740 | 137,445 | |
Nicor, Inc. | 2,000 | 72,440 | |
Northwest Natural Gas Co. | 2,245 | 94,515 | |
Piedmont Natural Gas Co., Inc. | 6,200 | 148,924 | |
Southwest Gas Corp. | 5,980 | 145,613 | |
WGL Holdings, Inc. | 4,459 | 147,147 | |
| 878,524 | ||
Independent Power Producers & Energy Traders - 0.1% | |||
Black Hills Corp. | 3,200 | 81,856 | |
Multi-Utilities - 0.3% | |||
Avista Corp. | 12,465 | 243,306 | |
TOTAL UTILITIES | 1,900,396 | ||
TOTAL COMMON STOCKS (Cost $67,436,490) | 70,194,724 |
U.S. Treasury Obligations - 0.3% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.31% to 0.42% 12/17/09 to 6/3/10 (e) | $ 220,000 | 219,761 |
Money Market Funds - 6.9% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.23% (b) | 1,034,230 | $ 1,034,230 | |
Fidelity Securities Lending Cash Central Fund, 0.23% (c)(f) | 3,924,950 | 3,924,950 | |
TOTAL MONEY MARKET FUNDS (Cost $4,959,180) | 4,959,180 | ||
TOTAL INVESTMENT PORTFOLIO - 104.5% (Cost $72,615,277) | 75,373,665 | ||
NET OTHER ASSETS - (4.5)% | (3,250,841) | ||
NET ASSETS - 100% | $ 72,122,824 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
33 NYFE Russell 2000 Mini Index Contracts | Sept. 2009 | $ 1,886,610 | $ 2,510 |
|
The face value of futures purchased as a percentage of net assets - 2.6% |
Legend |
(a) Non-income producing |
(b) The rate quoted is the annualized seven-day yield of the fund at period end. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $169,874. |
(f) Affiliated fund that is 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. |
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 | $ 21,647 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security 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 | $ 10,783,663 | $ 10,783,663 | $ - | $ - |
Consumer Staples | 2,331,220 | 2,331,220 | - | - |
Energy | 2,502,977 | 2,502,977 | - | - |
Financials | 13,634,127 | 13,634,127 | - | - |
Health Care | 9,393,869 | 9,393,869 | - | - |
Industrials | 10,377,112 | 10,377,112 | - | - |
Information Technology | 14,612,522 | 14,612,522 | - | - |
Materials | 3,198,489 | 3,198,489 | - | - |
Telecommunication Services | 1,460,349 | 1,460,349 | - | - |
Utilities | 1,900,396 | 1,900,396 | - | - |
Money Market Funds | 4,959,180 | 4,959,180 | - | - |
U.S. Government and Government Agency Obligations | 219,761 | - | 219,761 | - |
Total Investments in Securities: | $ 75,373,665 | $ 75,153,904 | $ 219,761 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 2,510 | $ 2,510 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 2,510 | $ - |
Total Value of Derivatives | $ 2,510 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $480,659 all of which will expire on February 28, 2017. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $5,085,961 of losses recognized during the period November 1, 2008 to February 28, 2009. |
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, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $3,765,758) - See accompanying schedule: Unaffiliated issuers (cost $68,690,327) | $ 71,448,715 |
|
Fidelity Central Funds (cost $3,924,950) | 3,924,950 |
|
Total Investments (cost $72,615,277) |
| $ 75,373,665 |
Receivable for investments sold | 1,938,900 | |
Receivable for fund shares sold | 148,266 | |
Dividends receivable | 47,070 | |
Interest receivable | 145 | |
Distributions receivable from Fidelity Central Funds | 4,261 | |
Other receivables | 114 | |
Total assets | 77,512,421 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 1,296,314 | |
Payable for fund shares redeemed | 109,976 | |
Accrued management fee | 31,001 | |
Payable for daily variation on futures contracts | 18,413 | |
Other affiliated payables | 8,943 | |
Collateral on securities loaned, at value | 3,924,950 | |
Total liabilities | 5,389,597 | |
|
|
|
Net Assets | $ 72,122,824 | |
Net Assets consist of: |
| |
Paid in capital | $ 79,037,687 | |
Undistributed net investment income | 263,548 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (9,939,308) | |
Net unrealized appreciation (depreciation) on investments | 2,760,897 | |
Net Assets, for 9,758,893 shares outstanding | $ 72,122,824 | |
Net Asset Value, offering price and redemption price per share ($72,122,824 ÷ 9,758,893 shares) | $ 7.39 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 505,553 |
Interest |
| 8,005 |
Income from Fidelity Central Funds |
| 21,647 |
Total income |
| 535,205 |
|
|
|
Expenses | ||
Management fee | $ 176,287 | |
Transfer agent fees | 51,393 | |
Independent trustees' compensation | 1,875 | |
Total expenses before reductions | 229,555 | |
Expense reductions | (2) | 229,553 |
Net investment income (loss) | 305,652 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (5,136,253) | |
Foreign currency transactions | (86) | |
Futures contracts | 424,035 | |
Total net realized gain (loss) |
| (4,712,304) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 27,543,629 | |
Futures contracts | 425,545 | |
Total change in net unrealized appreciation (depreciation) |
| 27,969,174 |
Net gain (loss) | 23,256,870 | |
Net increase (decrease) in net assets resulting from operations | $ 23,562,522 |
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) | $ 305,652 | $ 420,939 |
Net realized gain (loss) | (4,712,304) | (5,156,864) |
Change in net unrealized appreciation (depreciation) | 27,969,174 | (24,753,688) |
Net increase (decrease) in net assets resulting from operations | 23,562,522 | (29,489,613) |
Distributions to shareholders from net investment income | (59,555) | (415,431) |
Share transactions | 21,409,172 | 95,724,306 |
Reinvestment of distributions | 57,159 | 393,536 |
Cost of shares redeemed | (30,322,324) | (15,170,851) |
Net increase (decrease) in net assets resulting from share transactions | (8,855,993) | 80,946,991 |
Redemption fees | 32,795 | 58,221 |
Total increase (decrease) in net assets | 14,679,769 | 51,100,168 |
|
|
|
Net Assets | ||
Beginning of period | 57,443,055 | 6,342,887 |
End of period (including undistributed net investment income of $263,548 and undistributed net investment income of $17,451, respectively) | $ 72,122,824 | $ 57,443,055 |
Other Information Shares | ||
Sold | 3,464,458 | 12,651,787 |
Issued in reinvestment of distributions | 9,160 | 63,034 |
Redeemed | (4,758,496) | (2,373,595) |
Net increase (decrease) | (1,284,878) | 10,341,226 |
Financial Highlights
| Six months ended | Years ended | |
(Unaudited) | 2009 | 2008 G,I | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 5.20 | $ 9.03 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) D | .03 | .09 | .02 |
Net realized and unrealized gain (loss) | 2.17 | (3.87) | (.99) |
Total from investment operations | 2.20 | (3.78) | (.97) |
Distributions from net investment income | (.01) | (.06) | - |
Redemption fees added to paid in capital D | - J | .01 | - J |
Net asset value, end of period | $ 7.39 | $ 5.20 | $ 9.03 |
Total Return B,C | 42.23% | (41.94)% | (9.70)% |
Ratios to Average Net Assets E,H |
|
|
|
Expenses before reductions | .67% A | .67% | .67% A |
Expenses net of fee waivers, if any | .67% A | .67% | .67% A |
Expenses net of all reductions | .67% A | .67% | .67% A |
Net investment income (loss) | .89% A | 1.29% | 1.19% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 72,123 | $ 57,443 | $ 6,343 |
Portfolio turnover rate F | 113% A | 184% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the 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 For the period December 20, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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 Amount represents less than $.01 per share.
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, 2009 | |||
![]() | Japan | 21.2% |
|
![]() | United Kingdom | 19.5% |
|
![]() | France | 9.4% |
|
![]() | Switzerland | 7.4% |
|
![]() | Germany | 7.3% |
|
![]() | Australia | 7.1% |
|
![]() | United States of America | 6.4% |
|
![]() | Spain | 4.5% |
|
![]() | Italy | 3.4% |
|
![]() | Other | 13.8% |
|
Percentages are adjusted for the effect of futures contracts, if applicable. |
As of February 28, 2009 | |||
![]() | Japan | 24.3% |
|
![]() | United Kingdom | 21.0% |
|
![]() | France | 9.2% |
|
![]() | Germany | 7.7% |
|
![]() | Switzerland | 7.4% |
|
![]() | Australia | 5.8% |
|
![]() | Spain | 4.2% |
|
![]() | Italy | 3.1% |
|
![]() | United States of America | 2.7% |
|
![]() | Other | 14.6% |
|
Percentages are adjusted for the effect of futures contracts, if applicable. |
Asset Allocation | ||
| % of fund's | % of fund's net assets |
Stocks and Equity Futures | 99.7 | 99.9 |
Short-Term Investments and Net Other Assets | 0.3 | 0.1 |
Top Ten Stocks as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
HSBC Holding PLC (United Kingdom, Commercial Banks) | 1.8 | 1.4 |
BP PLC (United Kingdom, Oil, Gas & Consumable Fuels) | 1.8 | 2.1 |
Nestle SA (Reg.) (Switzerland, Food Products) | 1.7 | 1.9 |
Banco Santander SA (Spain, Commercial Banks) | 1.4 | 0.8 |
GlaxoSmithKline PLC sponsored ADR (United Kingdom, Pharmaceuticals) | 1.3 | 1.5 |
Telefonica SA (Spain, Diversified Telecommunication Services) | 1.3 | 1.3 |
Toyota Motor Corp. (Japan, Automobiles) | 1.3 | 1.4 |
Total SA Series B (France, Oil, Gas & Consumable Fuels) | 1.3 | 1.5 |
Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services) | 1.2 | 1.4 |
BHP Billiton Ltd. (Australia, Metals & Mining) | 1.2 | 0.8 |
| 14.3 | |
Market Sectors as of August 31, 2009 | ||
| % of fund's | % of fund's net assets |
Financials | 24.9 | 17.5 |
Industrials | 11.4 | 11.7 |
Materials | 9.3 | 7.0 |
Consumer Discretionary | 8.9 | 9.8 |
Consumer Staples | 8.8 | 11.9 |
Health Care | 8.0 | 11.3 |
Energy | 8.2 | 9.0 |
Telecommunication Services | 5.4 | 7.7 |
Utilities | 5.2 | 8.1 |
Information Technology | 3.5 | 3.3 |
Semiannual Report
Fidelity International Enhanced Index Fund
Investments August 31, 2009 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 93.6% | |||
Shares | Value | ||
Australia - 7.1% | |||
Amcor Ltd. | 19,164 | $ 93,498 | |
ASX Ltd. | 806 | 22,558 | |
Australia & New Zealand Banking Group Ltd. | 2,039 | 36,706 | |
BHP Billiton Ltd. | 6,990 | 217,503 | |
Coca-Cola Amatil Ltd. | 2,540 | 21,284 | |
Commonwealth Bank of Australia | 4,203 | 163,477 | |
CSL Ltd. | 1,685 | 45,891 | |
Fosters Group Ltd. | 13,957 | 64,671 | |
Incitec Pivot Ltd. | 10,848 | 27,609 | |
Metcash Ltd. | 13,213 | 47,817 | |
National Australia Bank Ltd. | 2,073 | 49,920 | |
Newcrest Mining Ltd. | 2,798 | 70,999 | |
Orica Ltd. | 2,500 | 47,731 | |
Origin Energy Ltd. | 2,975 | 38,512 | |
QBE Insurance Group Ltd. | 2,405 | 46,528 | |
Rio Tinto Ltd. | 1,611 | 76,432 | |
Telstra Corp. Ltd. | 8,656 | 23,860 | |
Westfield Group unit | 6,049 | 64,753 | |
Westpac Banking Corp. | 2,751 | 56,687 | |
Woolworths Ltd. | 3,482 | 82,497 | |
TOTAL AUSTRALIA | 1,298,933 | ||
Austria - 0.4% | |||
Erste Bank AG | 754 | 31,955 | |
OMV AG | 849 | 33,449 | |
TOTAL AUSTRIA | 65,404 | ||
Belgium - 1.0% | |||
Anheuser-Busch InBev SA NV | 858 | 37,045 | |
Colruyt NV | 145 | 33,262 | |
Delhaize Group SA | 445 | 29,845 | |
Fortis rights 12/31/49 (a) | 772 | 0 | |
Mobistar SA | 403 | 25,942 | |
Solvay SA | 462 | 48,651 | |
TOTAL BELGIUM | 174,745 | ||
Bermuda - 0.2% | |||
Cheung Kong Infrastructure Holdings Ltd. | 11,000 | 40,023 | |
Denmark - 0.7% | |||
Coloplast AS Series B | 300 | 23,200 | |
Novo Nordisk AS Series B | 1,225 | 74,677 | |
Novozymes AS Series B | 280 | 24,026 | |
Sydbank AS (a) | 550 | 15,414 | |
TOTAL DENMARK | 137,317 | ||
Finland - 1.2% | |||
KCI Konecranes Oyj | 1,613 | 45,604 | |
Kone Oyj (B Shares) | 1,420 | 49,369 | |
Nokia Corp. | 5,892 | 82,717 | |
| |||
Shares | Value | ||
Outokumpu Oyj (A Shares) | 712 | $ 15,047 | |
Wartsila Corp. | 563 | 21,285 | |
TOTAL FINLAND | 214,022 | ||
France - 9.4% | |||
Aeroports de Paris | 349 | 30,012 | |
Alstom SA | 873 | 61,336 | |
AXA SA | 2,102 | 48,014 | |
BNP Paribas SA | 1,585 | 127,642 | |
Bouygues SA | 702 | 34,839 | |
Carrefour SA | 244 | 11,490 | |
Casino Guichard Perrachon et Compagnie | 332 | 25,132 | |
CNP Assurances | 305 | 30,461 | |
Credit Agricole SA | 2,056 | 38,084 | |
Danone | 370 | 20,121 | |
Eutelsat Communications | 1,412 | 37,755 | |
France Telecom SA | 3,806 | 97,998 | |
GDF Suez | 2,623 | 110,524 | |
Gecina SA | 405 | 40,169 | |
Hermes International SA | 399 | 59,121 | |
Klepierre SA | 773 | 29,053 | |
L'Air Liquide SA | 743 | 79,307 | |
PagesJaunes Groupe SA | 2,773 | 30,954 | |
Safran SA | 1,803 | 33,126 | |
Sanofi-Aventis | 2,748 | 187,118 | |
Schneider Electric SA | 243 | 22,401 | |
Societe Generale Series A | 888 | 71,562 | |
Technip SA | 745 | 46,073 | |
Total SA Series B | 4,039 | 231,773 | |
Unibail-Rodamco | 414 | 81,880 | |
VINCI SA | 1,400 | 75,119 | |
Vivendi | 1,574 | 44,840 | |
Zodiac Aerospace | 560 | 21,244 | |
TOTAL FRANCE | 1,727,148 | ||
Germany - 7.3% | |||
Allianz AG (Reg.) | 762 | 88,039 | |
BASF AG | 1,857 | 96,884 | |
Bayer AG | 1,938 | 119,004 | |
Bilfinger Berger AG | 359 | 22,173 | |
Commerzbank AG (a) | 2,315 | 21,374 | |
Daimler AG (Reg.) | 2,028 | 91,614 | |
Deutsche Bank AG | 764 | 51,648 | |
Deutsche Boerse AG | 677 | 51,685 | |
Deutsche Postbank AG (a) | 867 | 30,777 | |
Deutsche Telekom AG (Reg.) | 5,892 | 78,506 | |
E.ON AG | 2,232 | 94,433 | |
K&S AG | 975 | 49,428 | |
Linde AG | 638 | 64,121 | |
Munich Re Group (Reg.) | 426 | 63,537 | |
RWE AG | 1,160 | 107,436 | |
SAP AG | 606 | 29,558 | |
Siemens AG (Reg.) | 2,019 | 175,386 | |
Common Stocks - continued | |||
Shares | Value | ||
Germany - continued | |||
Thyssenkrupp AG | 460 | $ 15,630 | |
TUI AG (a) | 1,812 | 15,756 | |
Volkswagen AG | 97 | 18,781 | |
Wacker Chemie AG | 525 | 63,234 | |
TOTAL GERMANY | 1,349,004 | ||
Greece - 0.5% | |||
Greek Organization of Football Prognostics SA | 839 | 20,449 | |
National Bank of Greece SA (a) | 1,096 | 34,334 | |
Piraeus Bank SA | 1,685 | 26,477 | |
Public Power Corp. of Greece (a) | 710 | 16,694 | |
TOTAL GREECE | 97,954 | ||
Hong Kong - 1.8% | |||
Bank of East Asia Ltd. | 9,680 | 31,224 | |
BOC Hong Kong Holdings Ltd. | 17,000 | 34,086 | |
CLP Holdings Ltd. | 10,000 | 66,964 | |
Esprit Holdings Ltd. | 4,800 | 29,201 | |
Hang Seng Bank Ltd. | 1,000 | 14,206 | |
Henderson Land Development Co. Ltd. | 4,000 | 23,508 | |
Hong Kong Electric Holdings Ltd. | 3,500 | 19,554 | |
Hong Kong Exchange & Clearing Ltd. | 1,600 | 27,869 | |
Hutchison Whampoa Ltd. | 3,000 | 21,096 | |
Sun Hung Kai Properties Ltd. | 3,495 | 47,304 | |
Wharf Holdings Ltd. | 5,000 | 22,418 | |
TOTAL HONG KONG | 337,430 | ||
Ireland - 0.3% | |||
CRH PLC | 1,350 | 34,645 | |
Kerry Group PLC Class A | 680 | 17,792 | |
TOTAL IRELAND | 52,437 | ||
Italy - 3.4% | |||
Assicurazioni Generali SpA | 1,101 | 27,419 | |
Banca Carige SpA | 9,787 | 29,607 | |
Enel SpA | 16,890 | 99,524 | |
ENI SpA | 5,321 | 126,439 | |
Finmeccanica SpA | 2,949 | 47,100 | |
Fondiaria-Sai SpA | 1,771 | 34,024 | |
Intesa Sanpaolo SpA | 20,964 | 90,845 | |
Mediobanca SpA | 3,569 | 48,968 | |
Telecom Italia SpA | 19,506 | 31,613 | |
UniCredit SpA | 20,633 | 74,767 | |
Unipol Gruppo Finanziario SpA (a) | 17,626 | 23,400 | |
TOTAL ITALY | 633,706 | ||
Japan - 21.2% | |||
Aeon Mall Co. Ltd. | 1,700 | 40,098 | |
Asics Corp. | 5,000 | 49,162 | |
Astellas Pharma, Inc. | 2,200 | 88,180 | |
Bank of Yokohama Ltd. | 6,000 | 33,849 | |
Canon, Inc. | 1,500 | 57,334 | |
| |||
Shares | Value | ||
Central Japan Railway Co. | 10 | $ 67,591 | |
Chiba Bank Ltd. | 4,000 | 25,188 | |
Chubu Electric Power Co., Inc. | 1,900 | 44,203 | |
Chuo Mitsui Trust Holdings, Inc. | 9,000 | 37,911 | |
Daito Trust Construction Co. | 1,000 | 47,711 | |
Daiwa Securities Group, Inc. | 4,000 | 24,672 | |
DeNA Co. Ltd. | 8 | 25,326 | |
East Japan Railway Co. | 1,300 | 84,934 | |
Eisai Co. Ltd. | 1,000 | 36,643 | |
Electric Power Development Co. Ltd. | 900 | 27,321 | |
FamilyMart Co. Ltd. | 1,200 | 37,137 | |
Fast Retailing Co. Ltd. | 400 | 47,926 | |
Fujifilm Holdings Corp. | 1,400 | 41,662 | |
Fukuoka Financial Group, Inc. | 10,000 | 44,917 | |
Hitachi Ltd. | 12,000 | 42,208 | |
Hokuhoku Financial Group, Inc. | 9,000 | 22,437 | |
Honda Motor Co. Ltd. | 2,800 | 87,786 | |
Inpex Corp. | 6 | 49,001 | |
Isetan Mitsukoshi Holdings Ltd. | 1,400 | 15,450 | |
Itochu Corp. | 6,000 | 42,553 | |
Japan Steel Works Ltd. | 4,000 | 49,688 | |
Japan Tobacco, Inc. | 9 | 26,103 | |
JFE Holdings, Inc. | 900 | 31,431 | |
JGC Corp. | 2,000 | 37,116 | |
Jupiter Telecommunications Co. | 33 | 28,723 | |
Kansai Electric Power Co., Inc. | 1,900 | 43,692 | |
Kao Corp. | 2,700 | 68,472 | |
KDDI Corp. | 13 | 73,899 | |
Kinden Corp. | 4,000 | 35,805 | |
Konami Corp. | 1,800 | 35,455 | |
Lawson, Inc. | 700 | 30,314 | |
Leopalace21 Corp. | 4,700 | 42,525 | |
Marubeni Corp. | 5,000 | 24,876 | |
Minebea Ltd. | 9,000 | 41,780 | |
Mitsubishi Corp. | 3,200 | 64,818 | |
Mitsubishi Motors Corp. of Japan (a) | 33,000 | 59,929 | |
Mitsubishi UFJ Financial Group, Inc. | 21,700 | 137,938 | |
Mitsui & Co. Ltd. | 4,000 | 52,095 | |
Mitsui Engineering & Shipbuilding Co. | 16,000 | 43,499 | |
Mitsui O.S.K. Lines Ltd. | 4,000 | 25,575 | |
Mizuho Financial Group, Inc. | 20,000 | 49,001 | |
Nidec Corp. | 300 | 21,567 | |
Nintendo Co. Ltd. | 250 | 67,749 | |
Nippon Electric Glass Co. Ltd. | 3,000 | 31,141 | |
Nippon Telegraph & Telephone Corp. | 400 | 17,805 | |
Nitori Co. Ltd. | 550 | 42,553 | |
Nomura Real Estate Holdings, Inc. | 1,500 | 26,273 | |
NTT Data Corp. | 11 | 37,470 | |
NTT DoCoMo, Inc. | 28 | 43,105 | |
Oji Paper Co. Ltd. | 11,000 | 51,891 | |
ORIX Corp. | 380 | 29,196 | |
Osaka Gas Co. Ltd. | 13,000 | 44,982 | |
Panasonic Corp. | 2,000 | 31,921 | |
Sankyo Co. Ltd. (Gunma) | 900 | 56,673 | |
Common Stocks - continued | |||
Shares | Value | ||
Japan - continued | |||
SHIMANO, Inc. | 600 | $ 25,596 | |
Shin-Etsu Chemical Co., Ltd. | 900 | 53,192 | |
Sompo Japan Insurance, Inc. | 3,000 | 20,471 | |
Sony Corp. | 2,000 | 53,658 | |
Sumitomo Corp. | 4,300 | 44,035 | |
Sumitomo Heavy Industries Ltd. | 4,000 | 20,245 | |
Sumitomo Mitsui Financial Group, Inc. | 1,500 | 64,636 | |
Sumitomo Realty & Development Co. Ltd. | 4,000 | 84,204 | |
Sumitomo Trust & Banking Co. Ltd. | 7,000 | 42,800 | |
Suzuki Motor Corp. | 2,800 | 66,796 | |
Takeda Pharmaceutical Co. Ltd. | 2,000 | 80,593 | |
Tokio Marine Holdings, Inc. | 800 | 23,813 | |
Tokuyama Corp. | 6,000 | 41,908 | |
Tokyo Electric Power Co. | 2,000 | 52,117 | |
Tokyo Gas Co. Ltd. | 11,000 | 44,090 | |
Tokyu Land Corp. | 6,000 | 28,111 | |
TonenGeneral Sekiyu KK | 3,000 | 28,691 | |
Toshiba Corp. | 7,000 | 35,955 | |
Toyo Suisan Kaisha Ltd. | 1,500 | 38,201 | |
Toyoda Gosei Co. Ltd. | 2,300 | 66,484 | |
Toyota Motor Corp. | 5,500 | 234,463 | |
Yamada Denki Co. Ltd. | 520 | 35,427 | |
Yamato Kogyo Co. Ltd. | 900 | 26,886 | |
Yamazaki Baking Co. Ltd. | 4,000 | 54,159 | |
TOTAL JAPAN | 3,892,791 | ||
Luxembourg - 0.5% | |||
ArcelorMittal SA (Netherlands) | 943 | 33,759 | |
SES SA FDR (France) unit | 2,688 | 52,662 | |
TOTAL LUXEMBOURG | 86,421 | ||
Netherlands - 2.3% | |||
Akzo Nobel NV | 372 | 21,069 | |
European Aeronautic Defence and Space Co. EADS NV | 1,712 | 35,492 | |
ING Groep NV (Certificaten Van Aandelen) | 3,530 | 53,229 | |
Koninklijke Ahold NV | 6,306 | 73,873 | |
Koninklijke Boskalis Westminster NV (Certificaten Van Aandelen) unit | 1,550 | 48,756 | |
Koninklijke KPN NV | 2,705 | 41,535 | |
Koninklijke Philips Electronics NV | 1,195 | 27,017 | |
Reed Elsevier NV | 2,452 | 25,976 | |
Unilever NV (Certificaten Van Aandelen) | 3,540 | 98,943 | |
TOTAL NETHERLANDS | 425,890 | ||
New Zealand - 0.1% | |||
Sky City Entertainment Group Ltd. | 7,695 | 17,221 | |
Norway - 0.6% | |||
DnB NOR ASA (a) | 4,700 | 48,033 | |
StatoilHydro ASA | 2,800 | 60,999 | |
TOTAL NORWAY | 109,032 | ||
| |||
Shares | Value | ||
Portugal - 0.4% | |||
Banco Espirito Santo SA (Reg.) | 6,552 | $ 43,117 | |
Portugal Telecom SGPS SA (Reg.) | 2,076 | 21,460 | |
TOTAL PORTUGAL | 64,577 | ||
Singapore - 1.3% | |||
ComfortDelgro Corp. Ltd. | 20,000 | 21,512 | |
Keppel Corp. Ltd. | 7,000 | 36,966 | |
SembCorp Industries Ltd. | 22,000 | 49,006 | |
SembCorp Marine Ltd. | 29,000 | 62,184 | |
Singapore Telecommunications Ltd. | 11,000 | 23,969 | |
Wilmar International Ltd. | 8,000 | 36,307 | |
TOTAL SINGAPORE | 229,944 | ||
Spain - 4.5% | |||
Banco Bilbao Vizcaya Argentaria SA | 7,605 | 135,221 | |
Banco Santander SA | 16,253 | 250,235 | |
EDP Renovaveis SA (a) | 60 | 595 | |
Iberdrola SA | 7,140 | 66,129 | |
Mapfre SA (Reg.) | 8,200 | 33,741 | |
Repsol YPF SA | 2,174 | 54,040 | |
Telefonica SA | 9,273 | 234,484 | |
Vallehermoso SA | 3,572 | 59,559 | |
TOTAL SPAIN | 834,004 | ||
Sweden - 2.5% | |||
Alfa Laval AB | 672 | 7,495 | |
H&M Hennes & Mauritz AB (B Shares) | 925 | 51,262 | |
Nordea Bank AB | 5,780 | 60,491 | |
Skandinaviska Enskilda Banken AB (A Shares) (a) | 8,640 | 60,686 | |
SSAB Svenskt Stal AB (A Shares) | 2,220 | 32,355 | |
Svenska Handelsbanken AB (A Shares) | 2,531 | 66,310 | |
Swedish Match Co. | 1,570 | 30,215 | |
TELE2 AB (B Shares) | 4,345 | 60,305 | |
Telefonaktiebolaget LM Ericsson (B Shares) | 9,061 | 86,945 | |
TOTAL SWEDEN | 456,064 | ||
Switzerland - 7.4% | |||
ABB Ltd. (Reg.) | 4,611 | 88,480 | |
Credit Suisse Group (Reg.) | 1,431 | 73,005 | |
Geberit AG (Reg.) | 481 | 73,993 | |
Nestle SA (Reg.) | 7,683 | 319,088 | |
Novartis AG (Reg.) | 3,349 | 155,564 | |
Pargesa Holding SA | 537 | 42,648 | |
Roche Holding AG (participation certificate) | 1,314 | 208,835 | |
Sonova Holding AG | 448 | 42,856 | |
Straumann Holding AG | 132 | 30,016 | |
Sulzer AG (Reg.) | 748 | 57,851 | |
Swiss Reinsurance Co. (Reg.) | 807 | 37,205 | |
Syngenta AG (Switzerland) | 298 | 70,040 | |
Common Stocks - continued | |||
Shares | Value | ||
Switzerland - continued | |||
UBS AG (For. Reg.) (a) | 4,473 | $ 82,341 | |
Zurich Financial Services AG (Reg.) | 368 | 80,867 | |
TOTAL SWITZERLAND | 1,362,789 | ||
United Kingdom - 19.5% | |||
Anglo American PLC (United Kingdom) | 2,509 | 82,553 | |
Antofagasta PLC | 2,483 | 30,985 | |
AstraZeneca PLC: | |||
(United Kingdom) | 429 | 19,909 | |
sponsored ADR | 3,360 | 156,677 | |
Aviva PLC | 5,824 | 38,515 | |
BAE Systems PLC | 12,002 | 61,003 | |
Barclays PLC | 15,399 | 94,267 | |
BG Group PLC | 6,748 | 111,728 | |
BHP Billiton PLC | 3,484 | 92,342 | |
BP PLC | 38,171 | 327,168 | |
British American Tobacco PLC (United Kingdom) | 4,436 | 134,797 | |
British Land Co. PLC | 4,756 | 37,554 | |
Cable & Wireless PLC | 14,975 | 36,180 | |
Capita Group PLC | 3,727 | 41,352 | |
Centrica PLC | 11,849 | 48,593 | |
Compass Group PLC | 11,730 | 62,333 | |
Diageo PLC | 1,146 | 17,736 | |
Experian PLC | 6,436 | 54,224 | |
GlaxoSmithKline PLC | 479 | 9,354 | |
GlaxoSmithKline PLC sponsored ADR | 5,929 | 231,824 | |
HSBC Holdings PLC: | |||
(United Kingdom) (Reg.) | 19,800 | 214,022 | |
sponsored ADR | 2,256 | 121,644 | |
Imperial Tobacco Group PLC | 1,420 | 39,995 | |
Land Securities Group PLC | 3,006 | 30,220 | |
Legal & General Group PLC | 27,032 | 33,887 | |
Lloyds TSB Group PLC | 48,188 | 87,349 | |
LogicaCMG PLC | 28,630 | 53,603 | |
National Grid PLC | 5,403 | 52,118 | |
NEXT PLC | 1,809 | 48,300 | |
Pearson PLC | 2,105 | 25,771 | |
Reckitt Benckiser Group PLC | 1,451 | 67,396 | |
Reed Elsevier PLC | 7,505 | 54,617 | |
Rio Tinto PLC (Reg.) | 3,101 | 120,136 | |
Royal Bank of Scotland Group PLC | 31,851 | 29,894 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 7,752 | 215,933 | |
Class B | 5,262 | 141,980 | |
Serco Group PLC | 5,541 | 42,245 | |
Stagecoach Group PLC | 12,557 | 27,558 | |
| |||
Shares | Value | ||
Standard Chartered PLC (United Kingdom) | 3,466 | $ 78,774 | |
Tesco PLC | 6,450 | 39,473 | |
Tomkins PLC | 10,511 | 30,546 | |
Unilever PLC | 4,002 | 109,365 | |
Vodafone Group PLC | 105,696 | 228,722 | |
TOTAL UNITED KINGDOM | 3,582,642 | ||
TOTAL COMMON STOCKS (Cost $17,541,924) | 17,189,498 |
Government Obligations - 1.7% | ||||
| Principal Amount |
| ||
United States of America - 1.7% | ||||
U.S. Treasury Bills, yield at date of purchase 0.33% to 0.52% 10/22/09 to 5/6/10 (c) | $ 310,000 | 309,780 |
Money Market Funds - 4.8% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.23% (b) | 882,272 | 882,272 | |
TOTAL INVESTMENT PORTFOLIO - 100.1% (Cost $18,733,737) | 18,381,550 | ||
NET OTHER ASSETS - (0.1)% | (17,038) | ||
NET ASSETS - 100% | $ 18,364,512 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
15 CME E-mini MSCI EAFE Index Contracts | Sept. 2009 | $ 1,121,625 | $ 51,871 |
|
The face value of futures purchased as a percentage of net assets - 6.1% |
Legend |
(a) Non-income producing |
(b) The rate quoted is the annualized seven-day yield of the fund at period end. |
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $309,780. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2009, involving the Fund's assets and liabilities carried at 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Japan | $ 3,892,791 | $ 3,077,162 | $ 815,629 | $ - |
United Kingdom | 3,582,648 | 2,165,192 | 1,417,456 | - |
France | 1,727,148 | 1,162,245 | 564,903 | - |
Switzerland | 1,362,783 | 981,833 | 380,950 | - |
Germany | 1,349,004 | 834,253 | 514,751 | - |
Australia | 1,298,933 | 1,081,430 | 217,503 | - |
Spain | 834,004 | 160,024 | 673,980 | - |
Italy | 633,706 | 475,654 | 158,052 | - |
Sweden | 456,064 | 369,119 | 86,945 | - |
Other | 2,052,417 | 1,859,609 | 192,808 | - |
Government Obligations | 309,780 | - | 309,780 | - |
Money Market Funds | $ 882,272 | $ 882,272 | $ - | $ - |
Total Investments in Securities: | $ 18,381,550 | $ 13,048,793 | $ 5,332,757 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 51,871 | $ 51,871 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 51,871 | $ - |
Total Value of Derivatives | $ 51,871 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2009, the fund had a capital loss carryforward of approximately $1,011,502 all of which will expire on February 28, 2017. |
The fund intends to elect to defer to its fiscal year ending February 28, 2010 approximately $1,510,622 of losses recognized during the period November 1, 2008 to February 28, 2009. |
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, 2009 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $18,733,737) |
| $ 18,381,550 |
Foreign currency held at value (cost $218,517) | 226,902 | |
Receivable for fund shares sold | 47,298 | |
Dividends receivable | 69,884 | |
Interest receivable | 90 | |
Total assets | 18,725,724 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 342,053 | |
Accrued management fee | 6,971 | |
Payable for daily variation on futures contracts | 9,964 | |
Other affiliated payables | 2,224 | |
Total liabilities | 361,212 | |
|
|
|
Net Assets | $ 18,364,512 | |
Net Assets consist of: |
| |
Paid in capital | $ 21,333,676 | |
Undistributed net investment income | 296,152 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (2,974,521) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (290,795) | |
Net Assets, for 2,767,951 shares outstanding | $ 18,364,512 | |
Net Asset Value, offering price and redemption price per share ($18,364,512 ÷ 2,767,951 shares) | $ 6.63 |
Statement of Operations
Six months ended August 31, 2009 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 393,931 |
Interest |
| 1,869 |
|
| 395,800 |
Less foreign taxes withheld |
| (35,894) |
Total income |
| 359,906 |
|
|
|
Expenses | ||
Management fee | $ 36,449 | |
Transfer agent fees | 11,766 | |
Independent trustees' compensation | 417 | |
Total expenses | 48,632 | |
Net investment income (loss) | 311,274 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (725,565) | |
Foreign currency transactions | 4,896 | |
Futures contracts | 284,689 | |
Total net realized gain (loss) |
| (435,980) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 6,355,588 | |
Assets and liabilities in foreign currencies | 14,011 | |
Futures contracts | 72,020 | |
Total change in net unrealized appreciation (depreciation) |
| 6,441,619 |
Net gain (loss) | 6,005,639 | |
Net increase (decrease) in net assets resulting from operations | $ 6,316,913 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended August 31, 2009 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 311,274 | $ 299,281 |
Net realized gain (loss) | (435,980) | (2,512,896) |
Change in net unrealized appreciation (depreciation) | 6,441,619 | (6,423,041) |
Net increase (decrease) in net assets resulting | 6,316,913 | (8,636,656) |
Distributions to shareholders from net investment income | (28,899) | (257,558) |
Distributions to shareholders from net realized gain | - | (9,293) |
Total distributions | (28,899) | (266,851) |
Share transactions | 5,616,414 | 21,608,123 |
Reinvestment of distributions | 27,641 | 242,848 |
Cost of shares redeemed | (6,517,355) | (7,276,980) |
Net increase (decrease) in net assets resulting from share transactions | (873,300) | 14,573,991 |
Redemption fees | 241 | 5,813 |
Total increase (decrease) in net assets | 5,414,955 | 5,676,297 |
|
|
|
Net Assets | ||
Beginning of period | 12,949,557 | 7,273,260 |
End of period (including undistributed net investment income of $296,152 and undistributed net investment income of $13,777, respectively) | $ 18,364,512 | $ 12,949,557 |
Other Information Shares | ||
Sold | 1,017,559 | 3,341,102 |
Issued in reinvestment of distributions | 5,420 | 42,907 |
Redeemed | (1,185,486) | (1,231,035) |
Net increase (decrease) | (162,507) | 2,152,974 |
Financial Highlights
| Six months ended August 31, 2009 | Years ended February 28, | |
(Unaudited) | 2009 | 2008 E, G | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 4.42 | $ 9.35 | $ 10.00 |
Income from Investment Operations |
|
|
|
Net investment income (loss) D | .11 | .18 | .03 |
Net realized and unrealized gain (loss) | 2.11 | (4.96) | (.68) |
Total from investment operations | 2.22 | (4.78) | (.65) |
Distributions from net investment income | (.01) | (.14) | - |
Distributions from net realized gain | - | (.01) | - |
Total distributions | (.01) | (.15) | - |
Redemption fees added to pain in capital D, H | - | - | - |
Net asset value, end of period | $ 6.63 | $ 4.42 | $ 9.35 |
Total Return B, C | 50.29% | (51.52)% | (6.50)% |
Ratios to Average Net Assets F |
|
|
|
Expenses before reductions | .62% A | .62% | .62% A |
Expenses net of fee waivers, if any | .62% A | .62% | .62% A |
Expenses net of all reductions | .62% A | .62% | .62% A |
Net investment income (loss) | 3.97% A | 2.69% | 1.58% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 18,365 | $ 12,950 | $ 7,273 |
Portfolio turnover rate | 95% A | 143% | 15% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period December 20, 2007 (commencement of operations) to February 29, 2008.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. 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.
G For the year ended February 29.
H Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended August 31, 2009 (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, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued October 13, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Funds:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Each Fund uses independent pricing services approved by the Board of Trustees to value their investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. The aggregate value by input level, as of August 31, 2009, for each Fund's investments is included at the end of each Fund's Schedule of Investments. Valuation techniques of each Fund's major categories of assets and liabilities as presented in the Schedule of Investments 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 an independent pricing service on the primary market or exchange on which they are traded. 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. Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. 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 rate 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. 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. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. 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 by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Each Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. 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 recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
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 futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
| Cost for Federal | Unrealized | Unrealized | Net Unrealized |
Fidelity Large Cap Growth Enhanced Index Fund | $ 42,819,123 | $ 3,452,188 | $ (4,553,451) | $ (1,101,263) |
Fidelity Large Cap Value Enhanced Index Fund | 83,268,945 | 7,397,615 | (7,857,234) | (459,619) |
Fidelity Large Cap Core Enhanced Index Fund | 1,421,512,627 | 93,614,698 | (208,095,003) | (114,480,305) |
Fidelity Mid Cap Enhanced Index Fund | 24,058,015 | 3,454,486 | (2,209,185) | 1,245,301 |
Fidelity Small Cap Enhanced Index Fund | 72,689,633 | 10,201,246 | (7,517,214) | 2,684,032 |
Fidelity International Enhanced Index Fund | 18,770,160 | 2,141,812 | (2,530,422) | (388,610) |
Short Term Trading (Redemption) Fees. Shares held in Fidelity Small Cap Enhanced Index Fund less than 90 days are subject to a redemption fee equal to 1.50% of the proceeds of the redeemed shares. Shares held in Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days are subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the proceeds of the redeemed shares. All redemption fees are retained by the Funds and accounted for as an addition to paid in capital.
3. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Funds use derivative instruments ("derivatives"), including futures contracts, in order to meet their investment objectives. The Funds' strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. 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.
While utilizing derivatives in pursuit of their investment objectives, the Funds are exposed to certain financial risk relative to those derivatives. This risk is further explained below:
Equity Risk | Equity risk is the risk that the value of financial instruments will fluctuate 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 following notes provide more detailed information about each derivative type held by the Funds:
Futures Contracts. The Funds use futures contracts to manage their exposure to the stock market. 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. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument. Risks of loss may exceed any
Semiannual Report
3. Investments in Derivative Instruments - continued
Futures Contracts - continued
futures variation margin reflected in each applicable Fund's Statement of Assets and Liabilities and may include equity risk and potential lack of liquidity in the market. Futures have minimal counterparty risk to the Funds since the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end.
The purchaser or seller of a futures contract is not required to pay for or deliver the instrument unless the contract is held until the delivery date. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Securities deposited to meet margin requirements are identified in each applicable Fund's Schedule of Investments. Futures contracts are marked-to-market daily and subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities and changes in value are recognized as unrealized gain (loss). Realized gain (loss) is recorded upon the expiration or closing of the futures contract. The net realized gain (loss) and change in unrealized gain (loss) on futures contracts during the period is included on the Statement of Operations. The total underlying face amount of all open futures contracts at period end is indicative of the volume of this derivative type.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Funds' value of derivatives by primary risk exposure as of period end, if any, is included at the end of each Funds' Schedule of Investments. The table below reflects the Funds' realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in Unrealized |
Fidelity Large Cap Growth Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 231,268 | $ 208,462 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 231,268 | $ 208,462 |
Fidelity Large Cap Value Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 419,375 | $ 56,780 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 419,375 | $ 56,780 |
Fidelity Large Cap Core Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ (215,646) | $ 3,260,556 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ (215,646) | $ 3,260,556 |
Fidelity Mid Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 181,366 | $ 10,379 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 181,366 | $ 10,379 |
Fidelity Small Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 424,035 | $ 425,545 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 424,035 | $ 425,545 |
Fidelity International Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 284,689 | $ 72,020 |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ 284,689 | $ 72,020 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Investments in Derivative Instruments - continued
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments - continued
(a) Derivatives realized gain (loss) is included in the Statement of Operations.
(b) Derivatives change in unrealized gain (loss) is included in the Statement of Operations.
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 | 19,613,969 | 11,222,427 |
Fidelity Large Cap Value Enhanced Index Fund | 105,794,709 | 78,806,696 |
Fidelity Large Cap Core Enhanced Index Fund | 376,443,505 | 305,152,062 |
Fidelity Mid Cap Enhanced Index Fund | 14,698,080 | 10,758,029 |
Fidelity Small Cap Enhanced Index Fund | 38,115,129 | 46,015,235 |
Fidelity International Enhanced Index Fund | 7,388,336 | 7,518,169 |
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 Fund, Fidelity Large Cap Value Enhanced Index Fund and Fidelity Large Cap Core Enhanced Index Fund, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index Fund, 0.52% of average net assets for Fidelity Small Cap Enhanced Index Fund and 0.47% of average net assets for Fidelity International Enhanced Index Fund. 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 .15% of average net assets.
6. Investments in Fidelity Central Funds.
The Funds may 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 as an investment of each Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their 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) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
Semiannual Report
7. Interfund Lending Program.
Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
| Borrower or | Average Daily Loan Balance | Weighted Average | Interest |
Fidelity Large Cap Value Enhanced Index Fund | Borrower | $ 5,606,000 | .45% | $ 139 |
8. Security Lending.
Certain Funds lend portfolio securities 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. 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 fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period amounted to:
Fidelity Large Cap Growth Enhanced Index Fund | $ 3,588 |
Fidelity Large Cap Value Enhanced Index Fund | 86,327 |
Fidelity Large Cap Core Enhanced Index Fund | 568,698 |
Fidelity Small Cap Enhanced Index Fund | 21,647 |
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 | $ 6 |
Fidelity Small Cap Enhanced Index Fund | 2 |
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, FMR or its affiliates were owner of record of more than 10% of the outstanding shares of the following funds:
Fund | Affiliated % |
|
|
Fidelity Large Cap Core Enhanced Index Fund | 11% |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund, and Fidelity International Enhanced Index Fund:
Each year the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract and sub-advisory agreement (together, the Advisory Contracts) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly four times per year and considers at each of its meetings factors that it believes are relevant to its annual consideration of the renewal of each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders. While the full Board or the Independent Trustees, as appropriate, act on all major matters, a portion of the activities of the Board (including certain of those described herein) may be conducted through committees.
At its June 2009 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew each fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including, but not limited to, (i) the nature, extent, and quality of the services to be provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness of each fund's management fee and total expenses; (iii) the total costs of the services and the profits, if any, to be realized by Strategic Advisers, Inc. (Strategic Advisers) from its relationship with each fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. The Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the compensation to be received by Strategic Advisers under the management contracts is consistent with Strategic Advisers' fiduciary duty under applicable law. The Board's decision to renew the Advisory Contracts was not based on any single factor noted above, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in each fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Strategic Advisers, and that each fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, managed by Strategic Advisers.
In its deliberations, the Board did not identify any particular information that was all-important or controlling.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, and the sub-adviser, Geode Capital Management, LLC (Geode) (together, the Investment Advisers), including the backgrounds of each fund's investment personnel and each fund's investment objectives and disciplines. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that the Investment Advisers' analysts have access to a variety of technological tools that enable them to perform quantitative analysis and to specialize in various disciplines.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping services, and securities lending services for each fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers; and (iii) the resources devoted to, and the record of compliance with, each fund's compliance policies and procedures.
Investment Performance. The Board considered whether each fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed each fund's absolute investment performance, as well as each fund's relative investment performance measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds. Because each fund had been in existence less than three calendar years, for each fund the following table, which reflects information considered by the Board, shows, for the one-year period and the three-month period ended March 31, 2009, the fund's total return, the total return of a broad-based securities market index ("benchmark"), and how the fund's total returns ranked relative to a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund.
Fund-specific performance results reviewed by the Board are discussed below, though due to the passage of time, they are likely to differ from performance results for more recent periods, including those shown elsewhere in this report.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Total Return % for the One-Year and Three-month Periods Ended March, 2009 vs. Russell Midcap Index and Lipper Mid-Cap Growth Peer Group
| Year to Date |
| Variance to | 1 Year |
| Variance to Index |
|
|
|
|
|
|
|
Mid Cap Enhanced Index Fund (net) | -9.21 |
| -0.23 | -37.96 |
| 2.85 |
Mid Cap Enhanced Index Fund (gross) | -9.07 |
| -0.09 | -37.57 |
| 3.24 |
|
|
|
|
|
|
|
Russell MidCap | -8.98 |
|
| -40.81 |
|
|
LIPPER PEER GROUP RESULTS: |
|
|
|
|
|
|
LA Mid-Cap Growth Average/Total | -3.90 |
|
| -38.87 |
|
|
LA Mid-Cap Growth Median | -3.56 |
|
| -38.87 |
|
|
LA Mid-Cap Growth Rank/Count | 538 / 580 |
|
| 227/ 564 |
|
|
Quartile | 4 |
|
| 2 |
|
|
Percent Beaten | 7% |
|
| 60% |
|
|
The Board reviewed the relative investment performance of the fund against the Lipper Mid-Cap Growth peer group and observed that for the one-year period ended March 31, 2009, the fund out-performed 60% of its peers and was in the second quartile for the period. The Board also observed the cumulative return from January 1, 2009 to March 31, 2009, and noted that the fund under-performed 93% of its peers and was in the fourth quartile for the period. The Board also noted that the investment performance of the fund was higher than the fund's benchmark, the Russell Mid-Cap Index, for the one-year period and lower for the three-month period shown. The Board also noted that a more comprehensive analysis of the fund's performance will be possible once the fund has completed an additional year of performance.
Fidelity Small Cap Enhanced Index Fund
Total Return % for the One-Year and Three-month Periods Ended March, 2009 vs. Russell 2000 Index and Lipper Small-Cap Growth Peer Group
| Year to Date |
| Variance to | 1 Year |
| Variance to Index |
|
|
|
|
|
|
|
Small Cap Enhanced Index Fund (net) | -14.79 |
| 0.17 | -37.24 |
| 0.26 |
Small Cap Enhanced Index Fund (gross) | -14.64 |
| 0.32 | -36.80 |
| 0.70 |
|
|
|
|
|
|
|
Russell 2000 | -14.95 |
|
| -37.50 |
|
|
LIPPER PEER GROUP RESULTS: |
|
|
|
|
|
|
LA Small-Cap Growth Average/Total | -8.11 |
|
| -37.73 |
|
|
LA Small-Cap Growth Median | -8.43 |
|
| -37.73 |
|
|
LA Small-Cap Growth Rank/Count | 596 / 617 |
|
| 284 / 594 |
|
|
Quartile | 4 |
|
| 2 |
|
|
Percent Beaten | 3% |
|
| 52% |
|
|
The Board reviewed the relative investment performance of the fund against the Lipper Small-Cap Growth peer group and observed that for the one-year period ended March 31, 2009, the fund out-performed 52% of its peers and was in the second quartile for the period. The Board also observed the cumulative return from January 1, 2009 to March 31, 2009, and noted that the fund under-performed 97% of its peers and was in the fourth quartile for the period. The Board also noted that the investment performance of the fund was higher than the fund's benchmark, the Russell 2000 Index, for the one-year and three-month periods shown. The Board also noted that a more comprehensive analysis of the fund's performance will be possible once the fund has completed an additional year of performance.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
Fidelity International Enhanced Index Fund
Total Return % for the One-Year and Three-month Periods Ended March, 2009 vs. MSCI EAFE Index and Lipper International Multi-Cap Core Peer Group
| Year to Date Cumulative |
| Variance to Index | 1 Year |
| Variance to Index |
|
|
|
|
|
|
|
International Enhanced Index Fund (net) | -17.11 |
| -3.17 | -48.17 |
| -1.75 |
International Enhanced Index Fund (gross) | -16.97 |
| -3.03 | -47.83 |
| -1.41 |
|
|
|
|
|
|
|
MSCI EAFE (Net MA tax)* | -13.94 |
|
| -46.42 |
|
|
LIPPER PEER GROUP RESULTS: |
|
|
|
|
|
|
LA International Multi-Cap Core Average/Total | -13.06 |
|
| -45.80 |
|
|
LA International Multi-Cap Core Median | -13.44 |
|
| -45.80 |
|
|
LA International Multi-Cap Core Rank/Count | 354 / 376 |
|
| 255 / 349 |
|
|
Quartile | 4 |
|
| 3 |
|
|
Percent Beaten | 6% |
|
| 27% |
|
|
* The Net version of the MSCI EAFE adjusts for withholding taxes applicable to Massachusetts Business Trusts. |
The Board reviewed the relative investment performance of the fund against the Lipper International Multi-Cap Core peer group and observed that for the one-year period ended March 31, 2009, the fund under-performed 73% of its peers and was in the third quartile for the period. The Board also observed the cumulative return from January 1, 2009 to March 31, 2009, and noted that the fund under-performed 94% of its peers and was in the fourth quartile for the period. The Board also noted that the investment performance of the fund was lower than the fund's benchmark, the MSCI EAFE Index, for the one-year and three-month periods shown. The Board also noted that a more comprehensive analysis of the fund's performance will be possible once the fund has completed an additional year of performance.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to each fund will continue to benefit each fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid by shareholders to the Investment Advisers. The Board considered information comparing the management fees and total expenses of the funds to those of other registered investment companies with investment objectives similar to those of the funds. The Board also considered expense contracts currently in effect between the funds and Strategic Advisers, which limit the total annual operating expenses (excluding interest, taxes, securities lending costs, brokerage commissions and certain other expenses) for Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund, and Fidelity International Enhanced Index Fund to 0.60%, 0.67%, and 0.62%, respectively.
The Board noted that each fund's management fee and total expenses were compared to "mapped groups" of competitive funds. Strategic Advisers uses "mapped groups" for comparison purposes, which are created by combining similar Lipper investment objective categories. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of different universes to which Strategic Advisers' funds are compared.
The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." The comparison of management fees to Total Mapped Groups is intended to show a fund's standing relative to the total universe of funds with comparable objectives regardless of fund size. Strategic Advisers then compared each fund to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the Total Mapped Group made up of competitive funds. The ASPG comparison focuses on a fund's standing relative to non-Fidelity funds of similar size within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). The Board also noted that the management fee paid by each fund was below the median of each fund's respective Total Mapped Group and ASPG.
The Board further noted that each fund's total expenses were compared to competitive funds with classes having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed each fund's position relative to competitive funds with the same load type. The Board also noted that each fund's total expenses paid were below the median of each fund's respective peer group in each fund's respective Total Mapped Group.
Based on its review, the Board concluded that each fund's management fee and total expenses (giving effect to the fund's expense contract with Strategic Advisers) were fair and reasonable in light of the services that each fund and its shareholders receive and the other factors considered.
Semiannual Report
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and expenses incurred by Strategic Advisers and its affiliates attributable to the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Strategic Advisers presented information to the Board on its profitability for managing the funds. Strategic Advisers calculates the profitability for each fund using a series of detailed revenue and cost allocation methodologies. Strategic Advisers noted that it employs the same corporate reporting of revenues and expenses as those used by the Fidelity Group of Funds.
The Board concluded that the costs of the services provided by and the profits realized by Strategic Advisers and its affiliates in connection with the operation of each fund were not relevant to the renewal of each fund's Advisory Contracts because the funds have not generated sufficient revenue to cover the fund's expenses.
Potential Fall-Out Benefits. The Board considered information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the funds, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any. The Board considered the receipt of these benefits in light of Strategic Advisers' and its affiliates' profitability and other considerations described above. The Board noted that Strategic Advisers did not calculate potential fall-out benefit revenue because Strategic Advisers did not believe that the management of the funds has resulted in significant quantifiable fall-out benefits to the businesses of Strategic Advisers and its affiliates.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the funds. The Board considered that Fidelity Mid Cap Enhanced Index Fund's and Fidelity International Enhanced Index Fund's sub-advisory contract provides for breakpoints as both funds' assets grow and noted that any potential decline in sub-advisory fees will accrue directly to Strategic Advisers. The Board also reviewed each fund's expense contract with Strategic Advisers, which limits the total annual expenses for Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund, and Fidelity International Enhanced Index Fund, to 0.60%, 0.67%, and 0.62%, respectively. The Board noted that each fund has not generated sufficient revenue to cover its expenses because each fund is priced at a level that assumes it will eventually have greater assets and, thus, greater revenue. The Board noted that as fund assets increase, it will continue to monitor whether management fee breakpoints are appropriate.
Conclusion. Based on its evaluation of all of the considerations noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable and that each fund's Advisory Contracts should be renewed.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated Service Telephone (FAST®)
1-800-544-5555
Press
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual fund activity.
To change your PIN.
To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
To Write Fidelity
We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(letter_graphic)
Making Changes
To Your Account
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(letter_graphic)
For Non-Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(letter_graphic)
For Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
Semiannual Report
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
Arizona
7001 West Ray Road
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Connecticut
48 West Putnam Avenue
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Delaware
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Florida
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4400 N. Federal Highway
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8880 Tamiami Trail, North
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230 Royal Palm Way
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1502 N. Westshore Blvd.
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2465 State Road 7
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Georgia
3445 Peachtree Road, N.E.
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1000 Abernathy Road
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Illinois
One North LaSalle Street
Chicago, IL
401 North Michigan Avenue
Chicago, IL
One Skokie Valley Road
Highland Park, IL
1415 West 22nd Street
Oak Brook, IL
15105 S LaGrange Road
Orland Park, IL
1572 East Golf Road
Schaumburg, IL
Indiana
4729 East 82nd Street
Indianapolis, IN
8480 Keystone Crossing
Indianapolis, IN
Kansas
5400 College Boulevard
Overland Park, KS
Maine
Three Canal Plaza
Portland, ME
Maryland
7315 Wisconsin Avenue
Bethesda, MD
610 York Road
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Massachusetts
801 Boylston Street
Boston, MA
155 Congress Street
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300 Granite Street
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44 Mall Road
Burlington, MA
238 Main Street
Cambridge, MA
200 Endicott Street
Danvers, MA
405 Cochituate Road
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551 Boston Turnpike
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Michigan
500 E. Eisenhower Pkwy.
Ann Arbor, MI
280 Old N. Woodward Ave.
Birmingham, MI
30200 Northwestern Hwy.
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43420 Grand River Avenue
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Minnesota
7740 France Avenue South
Edina, MN
8342 3rd Street North
Oakdale, MN
Missouri
1524 South Lindbergh Blvd.
St. Louis, MO
Nevada
2225 Village Walk Drive
Henderson, NV
New Jersey
501 Route 73 South
Marlton, NJ
150 Essex Street
Millburn, NJ
35 Morris Street
Morristown, NJ
396 Route 17, North
Paramus, NJ
3518 Route 1 North
Princeton, NJ
530 Broad Street
Shrewsbury, NJ
New Mexico
2261 Q Street NE
Albuquerque, NM
New York
1130 Franklin Avenue
Garden City, NY
37 West Jericho Turnpike
Huntington Station, NY
1271 Avenue of the Americas
New York, NY
980 Madison Avenue
New York, NY
61 Broadway
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350 Park Avenue
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200 Fifth Avenue
New York, NY
733 Third Avenue
New York, NY
11 Penn Plaza
New York, NY
2070 Broadway
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1075 Northern Blvd.
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799 Central Park Avenue
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North Carolina
4611 Sharon Road
Charlotte, NC
7011 Fayetteville Road
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Ohio
3805 Edwards Road
Cincinnati, OH
1324 Polaris Parkway
Columbus, OH
1800 Crocker Road
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28699 Chagrin Boulevard
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Oregon
7493 SW Bridgeport Road
Tigard, OR
Pennsylvania
600 West DeKalb Pike
King of Prussia, PA
1735 Market Street
Philadelphia, PA
12001 Perry Highway
Wexford, PA
Rhode Island
10 Memorial Boulevard
Providence, RI
Tennessee
3018 Peoples Street
Johnson City, TN
7628 West Farmington Blvd.
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2035 Mallory Lane
Franklin, TN
Texas
10000 Research Boulevard
Austin, TX
4001 Northwest Parkway
Dallas, TX
12532 Memorial Drive
Houston, TX
2701 Drexel Drive
Houston, TX
6560 Fannin Street
Houston, TX
1701 Lake Robbins Drive
The Woodlands, TX
6500 N. MacArthur Blvd.
Irving, TX
6005 West Park Boulevard
Plano, TX
14100 San Pedro
San Antonio, TX
1576 East Southlake Blvd.
Southlake, TX
Utah
279 West South Temple
Salt Lake City, UT
Virginia
1861 International Drive
McLean, VA
Washington
10500 NE 8th Street
Bellevue, WA
1518 6th Avenue
Seattle, WA
Washington, DC
1900 K Street, N.W.
Washington, DC
Wisconsin
16020 West Bluemound Road
Brookfield, WI
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
Investment Sub-Adviser
Geode Capital Management, LLC
Boston, MA
General Distributor
Fidelity Distributors Corporation
Boston, MA
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
GEI-USAN-1009 1.855141.102
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
Not applicable.
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/ Mark Osterheld |
| Mark Osterheld |
| President and Treasurer |
|
|
Date: | October 30, 2009 |
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/ Mark Osterheld |
| Mark Osterheld |
| President and Treasurer |
|
|
Date: | October 30, 2009 |
By: | /s/ Nicholas E. Steck |
| Nicholas E. Steck |
| Chief Financial Officer |
|
|
Date: | October 30, 2009 |