UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | February 28 |
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|
Date of reporting period: | August 31, 2014 |
Item 1. Reports to Stockholders
Fidelity® Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity Large Cap Core Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index Fund
Fidelity International Enhanced Index Fund
Semiannual Report
(Fidelity Cover Art)
August 31, 2014
Contents
Shareholder Expense Example | An example of shareholder expenses | |
| ||
Fidelity® Large Cap Growth Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Value Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Core Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
|
|
|
Fidelity Mid Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Small Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity International Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Notes | Notes to the Financial Statements | |
Proxy Voting Results |
|
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.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
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. © 2014 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2014 to August 31, 2014).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,087.60 | $ 2.37 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,107.60 | $ 2.39 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Fidelity Large Cap Core Enhanced Index Fund | .44% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,096.90 | $ 2.33 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.99 | $ 2.24 |
Fidelity Mid Cap Enhanced Index Fund | .60% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,067.60 | $ 3.13 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.18 | $ 3.06 |
Fidelity Small Cap Enhanced Index Fund | .67% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,019.70 | $ 3.41 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.83 | $ 3.41 |
Fidelity International Enhanced Index Fund | .62% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,018.80 | $ 3.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.08 | $ 3.16 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 6.2 | 4.2 |
Microsoft Corp. | 2.5 | 3.5 |
Verizon Communications, Inc. | 2.4 | 2.5 |
Gilead Sciences, Inc. | 2.1 | 1.7 |
Facebook, Inc. Class A | 1.9 | 1.5 |
QUALCOMM, Inc. | 1.7 | 1.8 |
Comcast Corp. Class A | 1.7 | 1.7 |
Schlumberger Ltd. | 1.7 | 1.0 |
Google, Inc. Class A | 1.5 | 3.7 |
The Boeing Co. | 1.4 | 1.5 |
| 23.1 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Information Technology | 29.7 | 28.5 |
Consumer Discretionary | 17.1 | 17.3 |
Health Care | 15.1 | 14.4 |
Industrials | 10.3 | 12.0 |
Consumer Staples | 8.3 | 9.4 |
Energy | 6.9 | 3.6 |
Financials | 5.7 | 6.5 |
Telecommunication Services | 2.9 | 2.5 |
Materials | 2.9 | 4.2 |
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 17.1% | |||
Auto Components - 1.5% | |||
Delphi Automotive PLC | 19,391 | $ 1,349,226 | |
Gentex Corp. | 49,675 | 1,467,896 | |
Lear Corp. | 14,859 | 1,502,691 | |
| 4,319,813 | ||
Hotels, Restaurants & Leisure - 2.0% | |||
Brinker International, Inc. | 7,411 | 362,398 | |
Chipotle Mexican Grill, Inc. (a) | 835 | 566,673 | |
Las Vegas Sands Corp. | 25,298 | 1,682,570 | |
McDonald's Corp. | 13,473 | 1,262,690 | |
Starbucks Corp. | 2,458 | 191,257 | |
Wyndham Worldwide Corp. | 19,186 | 1,552,915 | |
| 5,618,503 | ||
Internet & Catalog Retail - 2.1% | |||
Amazon.com, Inc. (a) | 6,064 | 2,055,939 | |
Expedia, Inc. | 18,877 | 1,621,534 | |
Liberty Interactive Corp. (Venture Group) Series A (a) | 282 | 10,741 | |
Liberty TripAdvisor Holdings, Inc. (a) | 282 | 10,087 | |
priceline.com, Inc. (a) | 1,913 | 2,380,365 | |
| 6,078,666 | ||
Leisure Products - 0.6% | |||
Polaris Industries, Inc. | 11,206 | 1,629,128 | |
Media - 4.6% | |||
CBS Corp. Class B | 3,793 | 224,887 | |
Comcast Corp. Class A | 87,030 | 4,763,152 | |
DIRECTV (a) | 9,628 | 832,341 | |
Morningstar, Inc. | 9,021 | 619,562 | |
Omnicom Group, Inc. | 1,290 | 92,893 | |
Starz Series A (a)(e) | 48,360 | 1,513,184 | |
The Walt Disney Co. | 25,353 | 2,278,728 | |
Time Warner Cable, Inc. | 5,729 | 847,491 | |
Viacom, Inc. Class B (non-vtg.) | 25,400 | 2,061,210 | |
| 13,233,448 | ||
Multiline Retail - 0.6% | |||
Dillard's, Inc. Class A (e) | 2,430 | 277,798 | |
Macy's, Inc. | 22,243 | 1,385,516 | |
| 1,663,314 | ||
Specialty Retail - 4.6% | |||
Bed Bath & Beyond, Inc. (a)(e) | 23,569 | 1,514,544 | |
Best Buy Co., Inc. | 47,224 | 1,505,973 | |
Foot Locker, Inc. | 25,865 | 1,451,285 | |
GameStop Corp. Class A | 24,799 | 1,046,518 | |
Gap, Inc. | 40,246 | 1,857,353 | |
Home Depot, Inc. | 38,667 | 3,615,365 | |
Lowe's Companies, Inc. | 13,168 | 691,452 | |
Murphy U.S.A., Inc. (a) | 9 | 490 | |
O'Reilly Automotive, Inc. (a) | 8,326 | 1,298,689 | |
| 12,981,669 | ||
| |||
Shares | Value | ||
Textiles, Apparel & Luxury Goods - 1.1% | |||
Fossil Group, Inc. (a) | 2,965 | $ 300,325 | |
Hanesbrands, Inc. | 10,101 | 1,037,171 | |
Michael Kors Holdings Ltd. (a) | 332 | 26,600 | |
NIKE, Inc. Class B | 22,778 | 1,789,212 | |
| 3,153,308 | ||
TOTAL CONSUMER DISCRETIONARY | 48,677,849 | ||
CONSUMER STAPLES - 8.3% | |||
Beverages - 3.3% | |||
Brown-Forman Corp. Class B (non-vtg.) | 10,219 | 946,893 | |
Dr. Pepper Snapple Group, Inc. | 28,172 | 1,772,582 | |
Monster Beverage Corp. (a) | 100 | 8,841 | |
PepsiCo, Inc. | 39,659 | 3,668,061 | |
The Coca-Cola Co. | 73,959 | 3,085,569 | |
| 9,481,946 | ||
Food & Staples Retailing - 0.2% | |||
CVS Caremark Corp. | 6,088 | 483,692 | |
Wal-Mart Stores, Inc. | 1,451 | 109,551 | |
Walgreen Co. | 646 | 39,096 | |
| 632,339 | ||
Food Products - 2.3% | |||
Archer Daniels Midland Co. | 31,554 | 1,573,282 | |
Ingredion, Inc. | 4,825 | 384,842 | |
Pilgrims Pride Corp. (a)(e) | 48,123 | 1,437,434 | |
Sanderson Farms, Inc. (e) | 14,517 | 1,354,726 | |
The J.M. Smucker Co. | 3,314 | 340,016 | |
Tyson Foods, Inc. Class A | 37,624 | 1,431,969 | |
| 6,522,269 | ||
Household Products - 0.7% | |||
Colgate-Palmolive Co. | 5,298 | 342,940 | |
Kimberly-Clark Corp. | 13,838 | 1,494,504 | |
| 1,837,444 | ||
Tobacco - 1.8% | |||
Altria Group, Inc. | 34,236 | 1,474,887 | |
Lorillard, Inc. | 5,100 | 304,470 | |
Philip Morris International, Inc. | 38,383 | 3,284,817 | |
| 5,064,174 | ||
TOTAL CONSUMER STAPLES | 23,538,172 | ||
ENERGY - 6.9% | |||
Energy Equipment & Services - 3.3% | |||
Baker Hughes, Inc. | 21,065 | 1,456,434 | |
Dril-Quip, Inc. (a) | 4,906 | 497,812 | |
Halliburton Co. | 10,692 | 722,886 | |
Helmerich & Payne, Inc. | 13,319 | 1,399,161 | |
RPC, Inc. | 21,793 | 496,227 | |
Schlumberger Ltd. | 43,108 | 4,726,361 | |
| 9,298,881 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - 3.6% | |||
EOG Resources, Inc. | 25,600 | $ 2,812,928 | |
Exxon Mobil Corp. | 9,781 | 972,818 | |
Kosmos Energy Ltd. (a) | 37,866 | 379,417 | |
Marathon Petroleum Corp. | 16,371 | 1,489,925 | |
Occidental Petroleum Corp. | 13,163 | 1,365,398 | |
SM Energy Co. | 18,109 | 1,612,425 | |
Valero Energy Corp. | 29,491 | 1,596,643 | |
| 10,229,554 | ||
TOTAL ENERGY | 19,528,435 | ||
FINANCIALS - 5.7% | |||
Banks - 0.2% | |||
Wells Fargo & Co. | 9,122 | 469,236 | |
Capital Markets - 2.8% | |||
Franklin Resources, Inc. | 26,053 | 1,472,516 | |
Lazard Ltd. Class A | 30,485 | 1,666,310 | |
SEI Investments Co. | 41,193 | 1,561,009 | |
T. Rowe Price Group, Inc. | 23,215 | 1,880,299 | |
Waddell & Reed Financial, Inc. Class A | 24,305 | 1,324,623 | |
| 7,904,757 | ||
Consumer Finance - 0.7% | |||
American Express Co. | 19,324 | 1,730,464 | |
Santander Consumer U.S.A. Holdings, Inc. | 19,665 | 366,162 | |
| 2,096,626 | ||
Diversified Financial Services - 0.5% | |||
McGraw Hill Financial, Inc. | 18,909 | 1,534,087 | |
Insurance - 0.4% | |||
Erie Indemnity Co. Class A | 965 | 73,832 | |
Progressive Corp. | 45,550 | 1,139,661 | |
| 1,213,493 | ||
Real Estate Investment Trusts - 1.1% | |||
Public Storage | 9,125 | 1,598,518 | |
Weyerhaeuser Co. | 44,198 | 1,500,522 | |
| 3,099,040 | ||
TOTAL FINANCIALS | 16,317,239 | ||
HEALTH CARE - 15.1% | |||
Biotechnology - 6.4% | |||
Alexion Pharmaceuticals, Inc. (a) | 7,860 | 1,330,619 | |
Amgen, Inc. | 11,765 | 1,639,806 | |
Biogen Idec, Inc. (a) | 10,774 | 3,695,913 | |
Celgene Corp. (a) | 37,062 | 3,521,631 | |
Gilead Sciences, Inc. (a) | 55,910 | 6,014,798 | |
United Therapeutics Corp. (a)(e) | 16,528 | 1,947,494 | |
| 18,150,261 | ||
| |||
Shares | Value | ||
Health Care Equipment & Supplies - 1.5% | |||
C.R. Bard, Inc. | 11,343 | $ 1,683,755 | |
Edwards Lifesciences Corp. (a) | 18,296 | 1,816,061 | |
IDEXX Laboratories, Inc. (a) | 2,883 | 357,406 | |
Intuitive Surgical, Inc. (a) | 974 | 457,790 | |
| 4,315,012 | ||
Health Care Providers & Services - 2.4% | |||
Aetna, Inc. | 20,680 | 1,698,448 | |
Cardinal Health, Inc. | 16,778 | 1,236,539 | |
Centene Corp. (a) | 18,113 | 1,415,169 | |
Express Scripts Holding Co. (a) | 14,571 | 1,077,234 | |
UnitedHealth Group, Inc. | 431 | 37,359 | |
WellPoint, Inc. | 12,629 | 1,471,405 | |
| 6,936,154 | ||
Life Sciences Tools & Services - 0.9% | |||
Illumina, Inc. (a) | 10,967 | 1,967,041 | |
PAREXEL International Corp. (a) | 9,658 | 545,098 | |
| 2,512,139 | ||
Pharmaceuticals - 3.9% | |||
AbbVie, Inc. | 67,214 | 3,715,590 | |
Actavis PLC (a) | 794 | 180,222 | |
Allergan, Inc. | 6,447 | 1,055,245 | |
Bristol-Myers Squibb Co. | 21,715 | 1,099,865 | |
Eli Lilly & Co. | 17,672 | 1,123,232 | |
Johnson & Johnson | 25,452 | 2,640,136 | |
Pfizer, Inc. | 48,161 | 1,415,452 | |
| 11,229,742 | ||
TOTAL HEALTH CARE | 43,143,308 | ||
INDUSTRIALS - 10.3% | |||
Aerospace & Defense - 3.9% | |||
BE Aerospace, Inc. (a) | 296 | 25,083 | |
Honeywell International, Inc. | 10,363 | 986,868 | |
Lockheed Martin Corp. | 13,781 | 2,397,894 | |
Northrop Grumman Corp. | 10,566 | 1,344,207 | |
Raytheon Co. | 13,012 | 1,253,576 | |
The Boeing Co. | 30,156 | 3,823,781 | |
United Technologies Corp. | 11,422 | 1,233,348 | |
| 11,064,757 | ||
Air Freight & Logistics - 0.3% | |||
United Parcel Service, Inc. Class B | 8,140 | 792,266 | |
Airlines - 1.5% | |||
Alaska Air Group, Inc. | 31,142 | 1,443,120 | |
Copa Holdings SA Class A | 6,433 | 791,130 | |
Southwest Airlines Co. | 64,678 | 2,070,343 | |
| 4,304,593 | ||
Commercial Services & Supplies - 0.0% | |||
UniFirst Corp. | 632 | 61,272 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Electrical Equipment - 0.7% | |||
Emerson Electric Co. | 18,970 | $ 1,214,459 | |
Rockwell Automation, Inc. | 7,578 | 883,671 | |
| 2,098,130 | ||
Industrial Conglomerates - 1.2% | |||
3M Co. | 23,067 | 3,321,648 | |
Machinery - 1.4% | |||
Allison Transmission Holdings, Inc. | 40,297 | 1,236,312 | |
Toro Co. | 18,237 | 1,122,123 | |
Trinity Industries, Inc. (e) | 33,182 | 1,605,345 | |
| 3,963,780 | ||
Road & Rail - 1.3% | |||
Union Pacific Corp. | 36,202 | 3,810,985 | |
TOTAL INDUSTRIALS | 29,417,431 | ||
INFORMATION TECHNOLOGY - 29.7% | |||
Communications Equipment - 2.6% | |||
Arris Group, Inc. (a) | 4,962 | 151,887 | |
Cisco Systems, Inc. | 54,965 | 1,373,575 | |
Harris Corp. | 8,688 | 620,236 | |
Juniper Networks, Inc. | 23,985 | 556,212 | |
QUALCOMM, Inc. | 64,039 | 4,873,368 | |
| 7,575,278 | ||
Electronic Equipment & Components - 0.2% | |||
Dolby Laboratories, Inc. Class A (a) | 10,082 | 469,620 | |
Internet Software & Services - 4.8% | |||
eBay, Inc. (a) | 14,047 | 779,609 | |
Facebook, Inc. Class A (a) | 73,345 | 5,487,673 | |
Google, Inc.: | |||
Class A (a) | 7,590 | 4,420,112 | |
Class C (a) | 5,300 | 3,029,480 | |
Rackspace Hosting, Inc. (a) | 3,105 | 107,433 | |
| 13,824,307 | ||
IT Services - 5.9% | |||
Alliance Data Systems Corp. (a) | 42 | 11,115 | |
Amdocs Ltd. | 28,059 | 1,321,579 | |
Booz Allen Hamilton Holding Corp. Class A | 59,949 | 1,329,669 | |
Computer Sciences Corp. | 22,685 | 1,356,336 | |
DST Systems, Inc. | 15,128 | 1,404,030 | |
Genpact Ltd. (a) | 3,186 | 55,436 | |
IBM Corp. | 18,302 | 3,519,475 | |
Jack Henry & Associates, Inc. | 20,491 | 1,184,585 | |
MasterCard, Inc. Class A | 43,676 | 3,311,078 | |
Paychex, Inc. | 3,266 | 136,029 | |
Visa, Inc. Class A | 14,545 | 3,091,103 | |
| 16,720,435 | ||
Semiconductors & Semiconductor Equipment - 3.1% | |||
Avago Technologies Ltd. | 13,786 | 1,131,693 | |
| |||
Shares | Value | ||
Broadcom Corp. Class A | 10,200 | $ 401,676 | |
Intel Corp. | 53,748 | 1,876,880 | |
Micron Technology, Inc. (a) | 69,416 | 2,262,962 | |
NVIDIA Corp. | 10,455 | 203,350 | |
Skyworks Solutions, Inc. | 27,384 | 1,551,577 | |
Texas Instruments, Inc. | 31,340 | 1,509,961 | |
| 8,938,099 | ||
Software - 5.7% | |||
Aspen Technology, Inc. (a) | 33,014 | 1,356,545 | |
CA Technologies, Inc. | 19,453 | 549,353 | |
Citrix Systems, Inc. (a)(e) | 11,467 | 805,671 | |
Electronic Arts, Inc. (a) | 3,971 | 150,263 | |
Microsoft Corp. | 155,221 | 7,051,690 | |
Oracle Corp. | 82,449 | 3,424,107 | |
Symantec Corp. | 57,306 | 1,391,390 | |
Synopsys, Inc. (a) | 34,266 | 1,401,479 | |
| 16,130,498 | ||
Technology Hardware, Storage & Peripherals - 7.4% | |||
Apple, Inc. | 172,950 | 17,727,369 | |
Hewlett-Packard Co. | 37,046 | 1,407,748 | |
NetApp, Inc. | 40,064 | 1,689,098 | |
SanDisk Corp. | 1,618 | 158,499 | |
| 20,982,714 | ||
TOTAL INFORMATION TECHNOLOGY | 84,640,951 | ||
MATERIALS - 2.9% | |||
Chemicals - 2.7% | |||
E.I. du Pont de Nemours & Co. | 2,190 | 144,781 | |
International Flavors & Fragrances, Inc. | 14,920 | 1,515,723 | |
LyondellBasell Industries NV Class A | 23,673 | 2,707,008 | |
Monsanto Co. | 2,166 | 250,498 | |
NewMarket Corp. | 639 | 260,003 | |
The Dow Chemical Co. | 28,820 | 1,543,311 | |
Westlake Chemical Corp. | 13,466 | 1,307,953 | |
| 7,729,277 | ||
Containers & Packaging - 0.2% | |||
Ball Corp. | 6,788 | 435,111 | |
Metals & Mining - 0.0% | |||
Compass Minerals International, Inc. | 1,667 | 148,480 | |
TOTAL MATERIALS | 8,312,868 | ||
TELECOMMUNICATION SERVICES - 2.9% | |||
Diversified Telecommunication Services - 2.9% | |||
AT&T, Inc. | 40,295 | 1,408,713 | |
Verizon Communications, Inc. | 140,113 | 6,980,430 | |
| 8,389,143 | ||
TOTAL COMMON STOCKS (Cost $215,961,121) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.06% 12/11/14 (f) | $ 300,000 | $ 299,983 |
Money Market Funds - 3.9% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 2,715,498 | 2,715,498 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 8,266,256 | 8,266,256 | |
TOTAL MONEY MARKET FUNDS (Cost $10,981,754) |
| ||
TOTAL INVESTMENT PORTFOLIO - 102.9% (Cost $227,242,825) | 293,247,133 | ||
NET OTHER ASSETS (LIABILITIES) - (2.9)% | (8,193,309) | ||
NET ASSETS - 100% | $ 285,053,824 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
30 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2014 | $ 3,002,100 | $ 89,066 |
|
The face value of futures purchased as a percentage of net assets is 1.1% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $154,991. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 5,278 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 48,677,849 | $ 48,677,849 | $ - | $ - |
Consumer Staples | 23,538,172 | 23,538,172 | - | - |
Energy | 19,528,435 | 19,528,435 | - | - |
Financials | 16,317,239 | 16,317,239 | - | - |
Health Care | 43,143,308 | 43,143,308 | - | - |
Industrials | 29,417,431 | 29,417,431 | - | - |
Information Technology | 84,640,951 | 84,640,951 | - | - |
Materials | 8,312,868 | 8,312,868 | - | - |
Telecommunication Services | 8,389,143 | 8,389,143 | - | - |
U.S. Government and Government Agency Obligations | 299,983 | - | 299,983 | - |
Money Market Funds | 10,981,754 | 10,981,754 | - | - |
Total Investments in Securities: | $ 293,247,133 | $ 292,947,150 | $ 299,983 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 89,066 | $ 89,066 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 89,066 | $ - |
Total Value of Derivatives | $ 89,066 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $8,314,792) - See accompanying schedule: Unaffiliated issuers (cost $216,261,071) | $ 282,265,379 |
|
Fidelity Central Funds (cost $10,981,754) | 10,981,754 |
|
Total Investments (cost $227,242,825) |
| $ 293,247,133 |
Receivable for investments sold | 3,812,661 | |
Receivable for fund shares sold | 507,654 | |
Dividends receivable | 465,719 | |
Interest receivable | 127 | |
Distributions receivable from Fidelity Central Funds | 330 | |
Receivable for daily variation margin for derivative instruments | 6,710 | |
Total assets | 298,040,334 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 4,441,345 | |
Payable for fund shares redeemed | 175,906 | |
Accrued management fee | 68,669 | |
Other affiliated payables | 34,334 | |
Collateral on securities loaned, at value | 8,266,256 | |
Total liabilities | 12,986,510 | |
|
|
|
Net Assets | $ 285,053,824 | |
Net Assets consist of: |
| |
Paid in capital | $ 204,497,332 | |
Undistributed net investment income | 1,601,634 | |
Accumulated undistributed net realized gain (loss) on investments | 12,861,484 | |
Net unrealized appreciation (depreciation) on investments | 66,093,374 | |
Net Assets, for 18,892,583 shares outstanding | $ 285,053,824 | |
Net Asset Value, offering price and redemption price per share ($285,053,824 ÷ 18,892,583 shares) | $ 15.09 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,189,406 |
Interest |
| 707 |
Income from Fidelity Central Funds |
| 5,278 |
Total income |
| 2,195,391 |
|
|
|
Expenses | ||
Management fee | $ 386,881 | |
Transfer agent fees | 194,162 | |
Independent trustees' compensation | 1,442 | |
Miscellaneous | 210 | |
Total expenses before reductions | 582,695 | |
Expense reductions | (11) | 582,684 |
Net investment income (loss) | 1,612,707 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 12,674,878 | |
Futures contracts | 302,301 | |
Total net realized gain (loss) |
| 12,977,179 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 7,565,718 | |
Futures contracts | 63,056 | |
Total change in net unrealized appreciation (depreciation) |
| 7,628,774 |
Net gain (loss) | 20,605,953 | |
Net increase (decrease) in net assets resulting from operations | $ 22,218,660 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,612,707 | $ 2,932,925 |
Net realized gain (loss) | 12,977,179 | 15,076,688 |
Change in net unrealized appreciation (depreciation) | 7,628,774 | 34,800,006 |
Net increase (decrease) in net assets resulting from operations | 22,218,660 | 52,809,619 |
Distributions to shareholders from net investment income | (609,796) | (2,727,604) |
Distributions to shareholders from net realized gain | (5,157,134) | (11,225,870) |
Total distributions | (5,766,930) | (13,953,474) |
Share transactions | 44,032,129 | 86,268,044 |
Reinvestment of distributions | 5,560,844 | 13,471,055 |
Cost of shares redeemed | (29,846,351) | (61,131,732) |
Net increase (decrease) in net assets resulting from share transactions | 19,746,622 | 38,607,367 |
Total increase (decrease) in net assets | 36,198,352 | 77,463,512 |
|
|
|
Net Assets | ||
Beginning of period | 248,855,472 | 171,391,960 |
End of period (including undistributed net investment income of $1,601,634 and undistributed net investment income of $598,723, respectively) | $ 285,053,824 | $ 248,855,472 |
Other Information Shares | ||
Sold | 3,063,873 | 6,581,361 |
Issued in reinvestment of distributions | 417,481 | 1,027,084 |
Redeemed | (2,085,050) | (4,678,770) |
Net increase (decrease) | 1,396,304 | 2,929,675 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 H | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 14.22 | $ 11.77 | $ 10.93 | $ 10.19 | $ 8.44 | $ 5.60 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .18 | .20 | .13 | .11 | .11 |
Net realized and unrealized gain (loss) | 1.11 | 3.15 | .81 | .72 | 1.75 | 2.83 |
Total from investment operations | 1.20 | 3.33 | 1.01 | .85 | 1.86 | 2.94 |
Distributions from net investment income | (.04) | (.17) | (.17) | (.11) | (.11) | (.10) |
Distributions from net realized gain | (.30) | (.71) | - | - | - | - |
Total distributions | (.33) I | (.88) | (.17) | (.11) | (.11) | (.10) |
Net asset value, end of period | $ 15.09 | $ 14.22 | $ 11.77 | $ 10.93 | $ 10.19 | $ 8.44 |
Total Return B, C | 8.76% | 29.08% | 9.36% | 8.40% | 22.14% | 52.50% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.25% A | 1.41% | 1.80% | 1.30% | 1.25% | 1.42% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 285,054 | $ 248,855 | $ 171,392 | $ 141,826 | $ 68,115 | $ 49,812 |
Portfolio turnover rateF | 84% A | 83% | 87% | 77% | 80% | 35% J |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. ITotal distributions of $.33 per share is comprised of distributions from net investment income of $.035 and distributions from net realized gain of $.296 per share. JReflects adjustments to exclude transaction in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 3.7 | 4.0 |
Johnson & Johnson | 2.9 | 2.8 |
General Electric Co. | 2.7 | 3.1 |
JPMorgan Chase & Co. | 2.7 | 2.4 |
Wells Fargo & Co. | 2.5 | 2.7 |
Pfizer, Inc. | 2.3 | 2.6 |
AT&T, Inc. | 2.2 | 1.3 |
Berkshire Hathaway, Inc. Class B | 2.0 | 2.4 |
Intel Corp. | 2.0 | 0.8 |
Chevron Corp. | 1.9 | 2.4 |
| 24.9 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 26.4 | 28.3 |
Health Care | 14.9 | 15.1 |
Energy | 13.9 | 12.3 |
Information Technology | 11.1 | 10.6 |
Industrials | 9.7 | 11.3 |
Consumer Staples | 6.6 | 5.7 |
Consumer Discretionary | 6.5 | 6.3 |
Utilities | 4.1 | 4.1 |
Telecommunication Services | 2.7 | 1.8 |
Materials | 2.3 | 2.3 |
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 6.5% | |||
Auto Components - 1.0% | |||
Gentex Corp. | 117,249 | $ 3,464,708 | |
Lear Corp. | 34,796 | 3,518,919 | |
TRW Automotive Holdings Corp. (a) | 916 | 88,202 | |
| 7,071,829 | ||
Automobiles - 0.2% | |||
Ford Motor Co. | 66,246 | 1,153,343 | |
General Motors Co. | 11,295 | 393,066 | |
| 1,546,409 | ||
Diversified Consumer Services - 0.1% | |||
DeVry, Inc. | 15,038 | 645,581 | |
Hotels, Restaurants & Leisure - 0.5% | |||
Carnival Corp. unit | 72,106 | 2,731,375 | |
Royal Caribbean Cruises Ltd. | 11,160 | 711,562 | |
| 3,442,937 | ||
Internet & Catalog Retail - 0.5% | |||
Expedia, Inc. | 37,166 | 3,192,559 | |
Media - 2.0% | |||
Comcast Corp. Class A | 75,809 | 4,149,027 | |
News Corp. Class A (a) | 113,483 | 2,000,138 | |
Starz Series A (a)(e) | 91,976 | 2,877,929 | |
The Walt Disney Co. | 38,185 | 3,432,068 | |
Time Warner, Inc. | 19,886 | 1,531,819 | |
| 13,990,981 | ||
Multiline Retail - 0.3% | |||
Dillard's, Inc. Class A (e) | 19,783 | 2,261,593 | |
Specialty Retail - 1.9% | |||
Bed Bath & Beyond, Inc. (a)(e) | 31,621 | 2,031,965 | |
Best Buy Co., Inc. | 105,124 | 3,352,404 | |
Foot Locker, Inc. | 39,245 | 2,202,037 | |
GameStop Corp. Class A | 43,101 | 1,818,862 | |
Gap, Inc. | 73,418 | 3,388,241 | |
Staples, Inc. | 13,036 | 152,260 | |
| 12,945,769 | ||
TOTAL CONSUMER DISCRETIONARY | 45,097,658 | ||
CONSUMER STAPLES - 6.6% | |||
Beverages - 0.7% | |||
Dr. Pepper Snapple Group, Inc. | 15,215 | 957,328 | |
Molson Coors Brewing Co. Class B | 52,667 | 3,894,725 | |
| 4,852,053 | ||
Food & Staples Retailing - 1.4% | |||
CVS Caremark Corp. | 69,858 | 5,550,218 | |
Wal-Mart Stores, Inc. | 51,837 | 3,913,694 | |
| 9,463,912 | ||
Food Products - 2.5% | |||
Archer Daniels Midland Co. | 110,620 | 5,515,513 | |
Ingredion, Inc. | 4,825 | 384,842 | |
| |||
Shares | Value | ||
Mondelez International, Inc. | 20,347 | $ 736,358 | |
Pilgrims Pride Corp. (a)(e) | 122,830 | 3,668,932 | |
Sanderson Farms, Inc. (e) | 24,302 | 2,267,863 | |
The J.M. Smucker Co. | 8,137 | 834,856 | |
Tyson Foods, Inc. Class A | 108,545 | 4,131,223 | |
| 17,539,587 | ||
Household Products - 1.9% | |||
Colgate-Palmolive Co. | 24,590 | 1,591,711 | |
Kimberly-Clark Corp. | 3,742 | 404,136 | |
Procter & Gamble Co. | 138,717 | 11,528,770 | |
| 13,524,617 | ||
Tobacco - 0.1% | |||
Philip Morris International, Inc. | 5,000 | 427,900 | |
TOTAL CONSUMER STAPLES | 45,808,069 | ||
ENERGY - 13.9% | |||
Energy Equipment & Services - 3.1% | |||
Baker Hughes, Inc. | 76,475 | 5,287,482 | |
Halliburton Co. | 31,524 | 2,131,338 | |
Helmerich & Payne, Inc. | 30,766 | 3,231,968 | |
National Oilwell Varco, Inc. | 65,379 | 5,650,707 | |
Patterson-UTI Energy, Inc. | 48,317 | 1,668,869 | |
RPC, Inc. | 9,813 | 223,442 | |
Schlumberger Ltd. | 23,089 | 2,531,478 | |
Unit Corp. (a) | 8,180 | 538,326 | |
| 21,263,610 | ||
Oil, Gas & Consumable Fuels - 10.8% | |||
Anadarko Petroleum Corp. | 1,569 | 176,811 | |
Chevron Corp. | 101,241 | 13,105,647 | |
ConocoPhillips Co. | 112,880 | 9,168,114 | |
EOG Resources, Inc. | 26,850 | 2,950,278 | |
Exxon Mobil Corp. | 257,675 | 25,628,353 | |
Hess Corp. | 20,097 | 2,031,807 | |
Marathon Oil Corp. | 21,100 | 879,659 | |
Marathon Petroleum Corp. | 42,253 | 3,845,446 | |
Occidental Petroleum Corp. | 87,909 | 9,118,801 | |
SM Energy Co. | 39,212 | 3,491,436 | |
Valero Energy Corp. | 91,885 | 4,974,654 | |
| 75,371,006 | ||
TOTAL ENERGY | 96,634,616 | ||
FINANCIALS - 26.4% | |||
Banks - 9.7% | |||
Bank of America Corp. | 711,153 | 11,442,452 | |
Citigroup, Inc. | 245,053 | 12,656,987 | |
Fulton Financial Corp. | 10,626 | 122,571 | |
JPMorgan Chase & Co. | 310,804 | 18,477,298 | |
KeyCorp | 169,589 | 2,308,106 | |
Regions Financial Corp. | 259,086 | 2,629,723 | |
SunTrust Banks, Inc. | 11,092 | 422,383 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Banks - continued | |||
U.S. Bancorp | 37,730 | $ 1,595,224 | |
Wells Fargo & Co. | 344,037 | 17,697,263 | |
| 67,352,007 | ||
Capital Markets - 3.3% | |||
Franklin Resources, Inc. | 36,527 | 2,064,506 | |
Goldman Sachs Group, Inc. | 49,156 | 8,804,331 | |
Janus Capital Group, Inc. | 4,937 | 59,985 | |
Morgan Stanley | 204,690 | 7,022,914 | |
SEI Investments Co. | 52,875 | 2,003,698 | |
T. Rowe Price Group, Inc. | 33,192 | 2,688,386 | |
| 22,643,820 | ||
Consumer Finance - 1.8% | |||
Capital One Financial Corp. | 80,077 | 6,571,119 | |
Discover Financial Services | 73,290 | 4,571,097 | |
Navient Corp. | 69,643 | 1,249,395 | |
| 12,391,611 | ||
Diversified Financial Services - 2.6% | |||
Berkshire Hathaway, Inc. Class B (a) | 103,376 | 14,188,356 | |
McGraw Hill Financial, Inc. | 4,306 | 349,346 | |
Voya Financial, Inc. | 96,287 | 3,763,859 | |
| 18,301,561 | ||
Insurance - 5.5% | |||
ACE Ltd. | 31,369 | 3,335,466 | |
AFLAC, Inc. | 72,688 | 4,451,413 | |
Allied World Assurance Co. | 45,700 | 1,690,443 | |
American Financial Group, Inc. | 19,306 | 1,157,781 | |
American International Group, Inc. | 116,155 | 6,511,649 | |
American National Insurance Co. | 4,243 | 483,023 | |
Aspen Insurance Holdings Ltd. | 37,601 | 1,598,795 | |
Assured Guaranty Ltd. | 13,500 | 326,025 | |
CNA Financial Corp. | 5,928 | 229,829 | |
Endurance Specialty Holdings Ltd. | 11,162 | 648,177 | |
Hanover Insurance Group, Inc. | 2,135 | 135,466 | |
MBIA, Inc. (a) | 334,227 | 3,485,988 | |
MetLife, Inc. | 492 | 26,932 | |
PartnerRe Ltd. | 26,868 | 3,000,887 | |
Progressive Corp. | 132,290 | 3,309,896 | |
Reinsurance Group of America, Inc. | 20,078 | 1,666,072 | |
RenaissanceRe Holdings Ltd. | 2,848 | 291,607 | |
The Travelers Companies, Inc. | 52,790 | 4,999,741 | |
W.R. Berkley Corp. | 26,624 | 1,287,270 | |
| 38,636,460 | ||
Real Estate Investment Trusts - 3.5% | |||
American Capital Agency Corp. | 38,579 | 912,393 | |
Annaly Capital Management, Inc. | 344,362 | 4,097,908 | |
Chimera Investment Corp. | 370,671 | 1,226,921 | |
Columbia Property Trust, Inc. | 13,177 | 338,254 | |
Corrections Corp. of America | 38,551 | 1,373,958 | |
Hospitality Properties Trust (SBI) | 32,889 | 967,923 | |
| |||
Shares | Value | ||
Host Hotels & Resorts, Inc. | 156,936 | $ 3,581,280 | |
MFA Financial, Inc. | 393,104 | 3,317,798 | |
Public Storage | 20,316 | 3,558,957 | |
Starwood Property Trust, Inc. | 3,130 | 74,651 | |
Washington Prime Group, Inc. (a) | 16,505 | 322,178 | |
Weyerhaeuser Co. | 134,051 | 4,551,031 | |
| 24,323,252 | ||
TOTAL FINANCIALS | 183,648,711 | ||
HEALTH CARE - 14.9% | |||
Biotechnology - 1.0% | |||
Amgen, Inc. | 19,772 | 2,755,821 | |
United Therapeutics Corp. (a)(e) | 37,267 | 4,391,171 | |
| 7,146,992 | ||
Health Care Equipment & Supplies - 2.9% | |||
Abbott Laboratories | 108,818 | 4,596,472 | |
C.R. Bard, Inc. | 20,466 | 3,037,973 | |
Covidien PLC | 23,226 | 2,016,714 | |
Edwards Lifesciences Corp. (a) | 34,449 | 3,419,408 | |
Medtronic, Inc. | 84,210 | 5,376,809 | |
St. Jude Medical, Inc. | 22,420 | 1,470,528 | |
| 19,917,904 | ||
Health Care Providers & Services - 3.7% | |||
Aetna, Inc. | 59,571 | 4,892,566 | |
Cardinal Health, Inc. | 3,000 | 221,100 | |
Centene Corp. (a) | 2,022 | 157,979 | |
Cigna Corp. | 24,547 | 2,322,146 | |
Express Scripts Holding Co. (a) | 5,600 | 414,008 | |
Health Net, Inc. (a) | 58,794 | 2,775,077 | |
Laboratory Corp. of America Holdings (a) | 6,706 | 719,084 | |
UnitedHealth Group, Inc. | 101,842 | 8,827,665 | |
WellPoint, Inc. | 48,855 | 5,692,096 | |
| 26,021,721 | ||
Pharmaceuticals - 7.3% | |||
AbbVie, Inc. | 61,558 | 3,402,926 | |
Bristol-Myers Squibb Co. | 11,569 | 585,970 | |
Eli Lilly & Co. | 39,308 | 2,498,416 | |
Johnson & Johnson | 193,180 | 20,038,561 | |
Merck & Co., Inc. | 133,787 | 8,041,937 | |
Pfizer, Inc. | 546,726 | 16,068,277 | |
| 50,636,087 | ||
TOTAL HEALTH CARE | 103,722,704 | ||
INDUSTRIALS - 9.7% | |||
Aerospace & Defense - 3.2% | |||
General Dynamics Corp. | 6,776 | 835,142 | |
Huntington Ingalls Industries, Inc. | 33,000 | 3,369,630 | |
L-3 Communications Holdings, Inc. | 14,407 | 1,584,050 | |
Northrop Grumman Corp. | 37,634 | 4,787,797 | |
Raytheon Co. | 56,722 | 5,464,597 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Aerospace & Defense - continued | |||
The Boeing Co. | 26,658 | $ 3,380,234 | |
United Technologies Corp. | 23,658 | 2,554,591 | |
| 21,976,041 | ||
Airlines - 1.8% | |||
Alaska Air Group, Inc. | 75,012 | 3,476,056 | |
Copa Holdings SA Class A | 10,779 | 1,325,601 | |
Delta Air Lines, Inc. | 97,837 | 3,872,388 | |
Southwest Airlines Co. | 121,517 | 3,889,759 | |
| 12,563,804 | ||
Commercial Services & Supplies - 0.5% | |||
ADT Corp. (e) | 79,920 | 2,945,851 | |
UniFirst Corp. | 7,528 | 729,840 | |
| 3,675,691 | ||
Industrial Conglomerates - 3.1% | |||
3M Co. | 23,114 | 3,328,416 | |
General Electric Co. | 713,440 | 18,535,171 | |
| 21,863,587 | ||
Machinery - 1.0% | |||
Allison Transmission Holdings, Inc. | 48,468 | 1,486,998 | |
Caterpillar, Inc. | 6,419 | 700,120 | |
Dover Corp. | 12,748 | 1,120,167 | |
Snap-On, Inc. | 450 | 56,228 | |
Trinity Industries, Inc. (e) | 76,967 | 3,723,663 | |
| 7,087,176 | ||
Road & Rail - 0.1% | |||
Union Pacific Corp. | 4,500 | 473,715 | |
TOTAL INDUSTRIALS | 67,640,014 | ||
INFORMATION TECHNOLOGY - 11.1% | |||
Communications Equipment - 2.3% | |||
Brocade Communications Systems, Inc. | 294,364 | 3,105,540 | |
Cisco Systems, Inc. | 313,056 | 7,823,269 | |
Juniper Networks, Inc. | 100,835 | 2,338,364 | |
QUALCOMM, Inc. | 35,102 | 2,671,262 | |
| 15,938,435 | ||
IT Services - 0.9% | |||
Amdocs Ltd. | 40,692 | 1,916,593 | |
DST Systems, Inc. | 27,897 | 2,589,121 | |
Xerox Corp. | 136,644 | 1,887,054 | |
| 6,392,768 | ||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Broadcom Corp. Class A | 64,822 | 2,552,690 | |
Intel Corp. | 404,080 | 14,110,474 | |
Marvell Technology Group Ltd. | 274,521 | 3,818,587 | |
Micron Technology, Inc. (a) | 119,160 | 3,884,616 | |
| |||
Shares | Value | ||
NVIDIA Corp. | 112,200 | $ 2,182,290 | |
Skyworks Solutions, Inc. | 37,585 | 2,129,566 | |
| 28,678,223 | ||
Software - 1.5% | |||
Microsoft Corp. | 121,021 | 5,497,984 | |
Symantec Corp. | 183,645 | 4,458,901 | |
Synopsys, Inc. (a) | 2,300 | 94,070 | |
| 10,050,955 | ||
Technology Hardware, Storage & Peripherals - 2.3% | |||
Apple, Inc. | 32,165 | 3,296,913 | |
EMC Corp. | 12,620 | 372,669 | |
Hewlett-Packard Co. | 221,167 | 8,404,346 | |
NetApp, Inc. | 97,952 | 4,129,656 | |
| 16,203,584 | ||
TOTAL INFORMATION TECHNOLOGY | 77,263,965 | ||
MATERIALS - 2.3% | |||
Chemicals - 2.0% | |||
Celanese Corp. Class A | 20,036 | 1,253,051 | |
LyondellBasell Industries NV Class A | 32,494 | 3,715,689 | |
The Dow Chemical Co. | 106,636 | 5,710,358 | |
The Mosaic Co. | 980 | 46,805 | |
Westlake Chemical Corp. | 34,431 | 3,344,283 | |
| 14,070,186 | ||
Metals & Mining - 0.3% | |||
Alcoa, Inc. | 101,053 | 1,678,490 | |
TOTAL MATERIALS | 15,748,676 | ||
TELECOMMUNICATION SERVICES - 2.7% | |||
Diversified Telecommunication Services - 2.7% | |||
AT&T, Inc. | 446,728 | 15,617,611 | |
Verizon Communications, Inc. | 68,962 | 3,435,687 | |
| 19,053,298 | ||
UTILITIES - 4.1% | |||
Electric Utilities - 1.8% | |||
American Electric Power Co., Inc. | 20,955 | 1,125,284 | |
Duke Energy Corp. | 57,307 | 4,240,145 | |
Entergy Corp. | 57,652 | 4,462,841 | |
Exelon Corp. | 40,319 | 1,347,461 | |
Southern Co. | 25,632 | 1,138,061 | |
| 12,313,792 | ||
Gas Utilities - 0.6% | |||
AGL Resources, Inc. | 71,700 | 3,822,327 | |
UGI Corp. | 3,300 | 174,834 | |
| 3,997,161 | ||
Independent Power Producers & Energy Traders - 0.1% | |||
NRG Energy, Inc. | 19,404 | 597,255 | |
Multi-Utilities - 1.5% | |||
Alliant Energy Corp. | 619 | 36,205 | |
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Multi-Utilities - continued | |||
Ameren Corp. | 22,733 | $ 909,093 | |
CMS Energy Corp. | 10,382 | 317,066 | |
Consolidated Edison, Inc. | 23,956 | 1,386,813 | |
DTE Energy Co. | 15,985 | 1,250,826 | |
Public Service Enterprise Group, Inc. | 126,646 | 4,735,294 | |
TECO Energy, Inc. | 7,324 | 132,564 | |
Vectren Corp. | 10,828 | 446,438 | |
Wisconsin Energy Corp. | 28,683 | 1,300,200 | |
| 10,514,499 | ||
Water Utilities - 0.1% | |||
American Water Works Co., Inc. | 19,610 | 992,462 | |
TOTAL UTILITIES | 28,415,169 | ||
TOTAL COMMON STOCKS (Cost $624,260,560) |
|
U.S. Treasury Obligations - 0.2% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.06% 12/11/14 (f) | $ 1,000,000 |
|
Money Market Funds - 4.1% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 12,077,505 | 12,077,505 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 16,418,919 | 16,418,919 | |
TOTAL MONEY MARKET FUNDS (Cost $28,496,424) |
| ||
TOTAL INVESTMENT PORTFOLIO - 102.5% (Cost $653,756,816) | 712,529,248 | ||
NET OTHER ASSETS (LIABILITIES) - (2.5)% | (17,172,461) | ||
NET ASSETS - 100% | $ 695,356,787 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
114 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2014 | $ 11,407,980 | $ 274,845 |
|
The face value of futures purchased as a percentage of net assets is 1.6% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $552,969. |
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 | $ 5,268 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 45,097,658 | $ 45,097,658 | $ - | $ - |
Consumer Staples | 45,808,069 | 45,808,069 | - | - |
Energy | 96,634,616 | 96,634,616 | - | - |
Financials | 183,648,711 | 183,648,711 | - | - |
Health Care | 103,722,704 | 103,722,704 | - | - |
Industrials | 67,640,014 | 67,640,014 | - | - |
Information Technology | 77,263,965 | 77,263,965 | - | - |
Materials | 15,748,676 | 15,748,676 | - | - |
Telecommunication Services | 19,053,298 | 19,053,298 | - | - |
Utilities | 28,415,169 | 28,415,169 | - | - |
U.S. Government and Government Agency Obligations | 999,944 | - | 999,944 | - |
Money Market Funds | 28,496,424 | 28,496,424 | - | - |
Total Investments in Securities: | $ 712,529,248 | $ 711,529,304 | $ 999,944 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 274,845 | $ 274,845 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 274,845 | $ - |
Total Value of Derivatives | $ 274,845 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $16,188,083) - See accompanying schedule: Unaffiliated issuers (cost $625,260,392) | $ 684,032,824 |
|
Fidelity Central Funds (cost $28,496,424) | 28,496,424 |
|
Total Investments (cost $653,756,816) |
| $ 712,529,248 |
Receivable for investments sold | 10,969,951 | |
Receivable for fund shares sold | 2,636,596 | |
Dividends receivable | 1,616,384 | |
Interest receivable | 526 | |
Distributions receivable from Fidelity Central Funds | 770 | |
Receivable for daily variation margin for derivative instruments | 23,653 | |
Other receivables |
| 154 |
Total assets | 727,777,282 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 15,386,456 | |
Payable for fund shares redeemed | 368,895 | |
Accrued management fee | 164,150 | |
Other affiliated payables | 82,075 | |
Collateral on securities loaned, at value | 16,418,919 | |
Total liabilities | 32,420,495 | |
|
|
|
Net Assets | $ 695,356,787 | |
Net Assets consist of: |
| |
Paid in capital | $ 623,838,716 | |
Undistributed net investment income | 3,238,964 | |
Accumulated undistributed net realized gain (loss) on investments | 9,231,830 | |
Net unrealized appreciation (depreciation) on investments | 59,047,277 | |
Net Assets, for 62,352,741 shares outstanding | $ 695,356,787 | |
Net Asset Value, offering price and redemption price per share ($695,356,787 ÷ 62,352,741 shares) | $ 11.15 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 4,084,805 |
Interest |
| 2,494 |
Income from Fidelity Central Funds |
| 5,268 |
Total income |
| 4,092,567 |
|
|
|
Expenses | ||
Management fee | $ 557,787 | |
Transfer agent fees | 279,691 | |
Independent trustees' compensation | 1,596 | |
Miscellaneous | 189 | |
Total expenses before reductions | 839,263 | |
Expense reductions | (17) | 839,246 |
Net investment income (loss) | 3,253,321 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 9,640,318 | |
Futures contracts | (23,766) | |
Total net realized gain (loss) |
| 9,616,552 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 23,975,768 | |
Futures contracts | 138,925 | |
Total change in net unrealized appreciation (depreciation) |
| 24,114,693 |
Net gain (loss) | 33,731,245 | |
Net increase (decrease) in net assets resulting from operations | $ 36,984,566 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 3,253,321 | $ 2,811,455 |
Net realized gain (loss) | 9,616,552 | 10,223,773 |
Change in net unrealized appreciation (depreciation) | 24,114,693 | 16,140,597 |
Net increase (decrease) in net assets resulting from operations | 36,984,566 | 29,175,825 |
Distributions to shareholders from net investment income | (580,263) | (2,268,365) |
Distributions to shareholders from net realized gain | (2,281,031) | (8,439,014) |
Total distributions | (2,861,294) | (10,707,379) |
Share transactions | 795,505,832 | 119,086,235 |
Reinvestment of distributions | 2,758,169 | 10,328,295 |
Cost of shares redeemed | (317,111,851) | (74,541,681) |
Net increase (decrease) in net assets resulting from share transactions | 481,152,150 | 54,872,849 |
Total increase (decrease) in net assets | 515,275,422 | 73,341,295 |
|
|
|
Net Assets | ||
Beginning of period | 180,081,365 | 106,740,070 |
End of period (including undistributed net investment income of $3,238,964 and undistributed net investment income of $565,906, respectively) | $ 695,356,787 | $ 180,081,365 |
Other Information Shares | ||
Sold | 74,275,860 | 12,278,472 |
Issued in reinvestment of distributions | 274,445 | 1,075,131 |
Redeemed | (29,828,664) | (7,731,742) |
Net increase (decrease) | 44,721,641 | 5,621,861 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 H | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.21 | $ 8.89 | $ 7.78 | $ 7.92 | $ 6.70 | $ 4.59 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .20 | .18 | .15 | .12 | .13 |
Net realized and unrealized gain (loss) | .99 | 1.87 | 1.21 | .10 | 1.22 | 2.11 |
Total from investment operations | 1.08 | 2.07 | 1.39 | .25 | 1.34 | 2.24 |
Distributions from net investment income | (.03) | (.16) | (.15) | (.13) | (.12) | (.13) |
Distributions from net realized gain | (.11) | (.59) | (.13) | (.26) | - | - |
Total distributions | (.14) | (.75) | (.28) | (.39) | (.12) | (.13) |
Net asset value, end of period | $ 11.15 | $ 10.21 | $ 8.89 | $ 7.78 | $ 7.92 | $ 6.70 |
Total Return B, C | 10.76% | 23.92% | 18.38% | 3.58% | 20.15% | 48.83% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.74% A | 2.01% | 2.27% | 2.04% | 1.76% | 2.11% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 695,357 | $ 180,081 | $ 106,740 | $ 71,354 | $ 85,123 | $ 69,024 |
Portfolio turnover rate F | 88% A,J | 85% | 76% | 85% | 83% | 89% I |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. IReflects adjustments to exclude transactions in money market mutual funds. JPortfolio turnover rate excludes securities received or delivered in-kind. |
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, 2014 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 4.0 | 3.2 |
Exxon Mobil Corp. | 2.8 | 2.1 |
Microsoft Corp. | 2.3 | 2.3 |
Johnson & Johnson | 2.1 | 2.0 |
General Electric Co. | 1.9 | 1.6 |
Chevron Corp. | 1.8 | 1.7 |
Wells Fargo & Co. | 1.8 | 1.8 |
Procter & Gamble Co. | 1.7 | 1.4 |
Verizon Communications, Inc. | 1.6 | 1.7 |
Pfizer, Inc. | 1.5 | 1.6 |
| 21.5 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Information Technology | 21.0 | 20.4 |
Health Care | 15.5 | 15.3 |
Financials | 14.1 | 15.3 |
Energy | 12.0 | 8.1 |
Consumer Discretionary | 11.2 | 11.1 |
Industrials | 9.7 | 12.3 |
Consumer Staples | 8.3 | 7.5 |
Telecommunication Services | 3.1 | 3.0 |
Materials | 2.6 | 4.3 |
Utilities | 1.2 | 1.5 |
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 11.2% | |||
Auto Components - 1.6% | |||
Delphi Automotive PLC | 25,387 | $ 1,766,427 | |
Gentex Corp. | 42,027 | 1,241,898 | |
Lear Corp. | 16,040 | 1,622,125 | |
| 4,630,450 | ||
Hotels, Restaurants & Leisure - 0.8% | |||
Carnival Corp. unit | 9,994 | 378,573 | |
McDonald's Corp. | 4,241 | 397,467 | |
Wyndham Worldwide Corp. | 21,095 | 1,707,429 | |
| 2,483,469 | ||
Internet & Catalog Retail - 0.7% | |||
Amazon.com, Inc. (a) | 1,850 | 627,224 | |
Expedia, Inc. | 18,407 | 1,581,161 | |
| 2,208,385 | ||
Media - 4.1% | |||
CBS Corp. Class B | 3,442 | 204,076 | |
Comcast Corp. Class A | 69,153 | 3,784,744 | |
DIRECTV (a) | 4,273 | 369,401 | |
Starz Series A (a)(e) | 51,959 | 1,625,797 | |
The Walt Disney Co. | 42,960 | 3,861,245 | |
Time Warner Cable, Inc. | 2,590 | 383,139 | |
Time Warner, Inc. | 1,230 | 94,747 | |
Viacom, Inc. Class B (non-vtg.) | 23,428 | 1,901,182 | |
| 12,224,331 | ||
Multiline Retail - 0.6% | |||
Macy's, Inc. | 30,963 | 1,928,685 | |
Specialty Retail - 2.9% | |||
Bed Bath & Beyond, Inc. (a)(e) | 27,692 | 1,779,488 | |
Best Buy Co., Inc. | 7,476 | 238,410 | |
Foot Locker, Inc. | 19,662 | 1,103,235 | |
Gap, Inc. | 35,745 | 1,649,632 | |
Home Depot, Inc. | 39,917 | 3,732,240 | |
| 8,503,005 | ||
Textiles, Apparel & Luxury Goods - 0.5% | |||
NIKE, Inc. Class B | 17,522 | 1,376,353 | |
TOTAL CONSUMER DISCRETIONARY | 33,354,678 | ||
CONSUMER STAPLES - 8.3% | |||
Beverages - 1.3% | |||
Brown-Forman Corp. Class B (non-vtg.) | 389 | 36,045 | |
Dr. Pepper Snapple Group, Inc. | 26,386 | 1,660,207 | |
PepsiCo, Inc. | 10,241 | 947,190 | |
The Coca-Cola Co. | 26,954 | 1,124,521 | |
| 3,767,963 | ||
Food & Staples Retailing - 0.5% | |||
CVS Caremark Corp. | 9,232 | 733,482 | |
Wal-Mart Stores, Inc. | 8,730 | 659,115 | |
| 1,392,597 | ||
| |||
Shares | Value | ||
Food Products - 2.0% | |||
Archer Daniels Midland Co. | 41,702 | $ 2,079,262 | |
Pilgrims Pride Corp. (a)(e) | 51,067 | 1,525,371 | |
Sanderson Farms, Inc. (e) | 6,509 | 607,420 | |
Tyson Foods, Inc. Class A | 43,958 | 1,673,041 | |
| 5,885,094 | ||
Household Products - 2.5% | |||
Colgate-Palmolive Co. | 35,323 | 2,286,458 | |
Kimberly-Clark Corp. | 73 | 7,884 | |
Procter & Gamble Co. | 62,048 | 5,156,809 | |
| 7,451,151 | ||
Tobacco - 2.0% | |||
Altria Group, Inc. | 66,452 | 2,862,752 | |
Lorillard, Inc. | 1,061 | 63,342 | |
Philip Morris International, Inc. | 35,823 | 3,065,732 | |
| 5,991,826 | ||
TOTAL CONSUMER STAPLES | 24,488,631 | ||
ENERGY - 12.0% | |||
Energy Equipment & Services - 2.8% | |||
Baker Hughes, Inc. | 28,065 | 1,940,414 | |
Halliburton Co. | 34,256 | 2,316,048 | |
Helmerich & Payne, Inc. | 1,477 | 155,159 | |
National Oilwell Varco, Inc. | 857 | 74,071 | |
Schlumberger Ltd. | 34,417 | 3,773,480 | |
| 8,259,172 | ||
Oil, Gas & Consumable Fuels - 9.2% | |||
Chevron Corp. | 42,078 | 5,446,997 | |
ConocoPhillips Co. | 37,485 | 3,044,532 | |
EOG Resources, Inc. | 22,343 | 2,455,049 | |
Exxon Mobil Corp. | 84,339 | 8,388,357 | |
Marathon Oil Corp. | 1,464 | 61,034 | |
Marathon Petroleum Corp. | 15,764 | 1,434,682 | |
Occidental Petroleum Corp. | 27,006 | 2,801,332 | |
SM Energy Co. | 18,496 | 1,646,884 | |
Valero Energy Corp. | 38,054 | 2,060,244 | |
| 27,339,111 | ||
TOTAL ENERGY | 35,598,283 | ||
FINANCIALS - 14.1% | |||
Banks - 3.9% | |||
Bank of America Corp. | 83,201 | 1,338,704 | |
Citigroup, Inc. | 21,861 | 1,129,121 | |
JPMorgan Chase & Co. | 45,351 | 2,696,117 | |
KeyCorp | 70,432 | 958,580 | |
Wells Fargo & Co. | 103,166 | 5,306,859 | |
| 11,429,381 | ||
Capital Markets - 3.8% | |||
Franklin Resources, Inc. | 31,881 | 1,801,914 | |
Goldman Sachs Group, Inc. | 5,551 | 994,240 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Capital Markets - continued | |||
Lazard Ltd. Class A | 28,179 | $ 1,540,264 | |
Morgan Stanley | 67,242 | 2,307,073 | |
SEI Investments Co. | 42,536 | 1,611,902 | |
T. Rowe Price Group, Inc. | 22,292 | 1,805,541 | |
Waddell & Reed Financial, Inc. Class A | 24,853 | 1,354,489 | |
| 11,415,423 | ||
Consumer Finance - 1.4% | |||
American Express Co. | 160 | 14,328 | |
Capital One Financial Corp. | 27,176 | 2,230,063 | |
Discover Financial Services | 30,745 | 1,917,566 | |
| 4,161,957 | ||
Diversified Financial Services - 1.7% | |||
Berkshire Hathaway, Inc. Class B (a) | 24,046 | 3,300,314 | |
CBOE Holdings, Inc. | 20 | 1,061 | |
McGraw Hill Financial, Inc. | 22,056 | 1,789,403 | |
| 5,090,778 | ||
Insurance - 2.3% | |||
ACE Ltd. | 1,429 | 151,946 | |
AFLAC, Inc. | 30,481 | 1,866,656 | |
American Financial Group, Inc. | 2,114 | 126,777 | |
MBIA, Inc. (a) | 129,450 | 1,350,164 | |
Progressive Corp. | 48,312 | 1,208,766 | |
The Travelers Companies, Inc. | 20,984 | 1,987,395 | |
| 6,691,704 | ||
Real Estate Investment Trusts - 1.0% | |||
MFA Financial, Inc. | 81,164 | 685,024 | |
Public Storage | 3,350 | 586,853 | |
Weyerhaeuser Co. | 52,958 | 1,797,924 | |
| 3,069,801 | ||
TOTAL FINANCIALS | 41,859,044 | ||
HEALTH CARE - 15.5% | |||
Biotechnology - 4.3% | |||
Alexion Pharmaceuticals, Inc. (a) | 1,706 | 288,809 | |
Amgen, Inc. | 16,960 | 2,363,885 | |
Biogen Idec, Inc. (a) | 8,486 | 2,911,037 | |
Celgene Corp. (a) | 19,028 | 1,808,041 | |
Gilead Sciences, Inc. (a) | 40,255 | 4,330,633 | |
United Therapeutics Corp. (a) | 9,039 | 1,065,065 | |
| 12,767,470 | ||
Health Care Equipment & Supplies - 1.5% | |||
C.R. Bard, Inc. | 11,463 | 1,701,568 | |
Covidien PLC | 4,056 | 352,182 | |
Edwards Lifesciences Corp. (a) | 17,948 | 1,781,518 | |
Medtronic, Inc. | 10,942 | 698,647 | |
| 4,533,915 | ||
Health Care Providers & Services - 2.4% | |||
Aetna, Inc. | 24,357 | 2,000,440 | |
| |||
Shares | Value | ||
Cardinal Health, Inc. | 46 | $ 3,390 | |
UnitedHealth Group, Inc. | 33,057 | 2,865,381 | |
WellPoint, Inc. | 18,273 | 2,128,987 | |
| 6,998,198 | ||
Pharmaceuticals - 7.3% | |||
AbbVie, Inc. | 52,564 | 2,905,738 | |
Allergan, Inc. | 3,102 | 507,735 | |
Bristol-Myers Squibb Co. | 47,146 | 2,387,945 | |
Eli Lilly & Co. | 39,078 | 2,483,798 | |
Johnson & Johnson | 60,465 | 6,272,034 | |
Merck & Co., Inc. | 41,500 | 2,494,565 | |
Pfizer, Inc. | 154,448 | 4,539,227 | |
| 21,591,042 | ||
TOTAL HEALTH CARE | 45,890,625 | ||
INDUSTRIALS - 9.7% | |||
Aerospace & Defense - 3.3% | |||
General Dynamics Corp. | 5,092 | 627,589 | |
Lockheed Martin Corp. | 13,372 | 2,326,728 | |
Northrop Grumman Corp. | 15,183 | 1,931,581 | |
Raytheon Co. | 20,658 | 1,990,192 | |
The Boeing Co. | 22,580 | 2,863,144 | |
United Technologies Corp. | 1,150 | 124,177 | |
| 9,863,411 | ||
Air Freight & Logistics - 0.7% | |||
United Parcel Service, Inc. Class B | 20,195 | 1,965,579 | |
Airlines - 2.0% | |||
Alaska Air Group, Inc. | 30,512 | 1,413,926 | |
Copa Holdings SA Class A | 3,834 | 471,505 | |
Delta Air Lines, Inc. | 52,759 | 2,088,201 | |
Southwest Airlines Co. | 61,541 | 1,969,927 | |
| 5,943,559 | ||
Industrial Conglomerates - 2.9% | |||
3M Co. | 20,139 | 2,900,016 | |
General Electric Co. | 218,179 | 5,668,290 | |
| 8,568,306 | ||
Machinery - 0.2% | |||
Allison Transmission Holdings, Inc. | 7,430 | 227,952 | |
Toro Co. | 562 | 34,580 | |
Trinity Industries, Inc. (e) | 3,686 | 178,329 | |
| 440,861 | ||
Road & Rail - 0.6% | |||
Union Pacific Corp. | 17,540 | 1,846,436 | |
TOTAL INDUSTRIALS | 28,628,152 | ||
INFORMATION TECHNOLOGY - 21.0% | |||
Communications Equipment - 2.6% | |||
Cisco Systems, Inc. | 115,164 | 2,877,948 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Communications Equipment - continued | |||
Juniper Networks, Inc. | 59,121 | $ 1,371,016 | |
QUALCOMM, Inc. | 46,740 | 3,556,914 | |
| 7,805,878 | ||
Internet Software & Services - 2.6% | |||
Facebook, Inc. Class A (a) | 49,110 | 3,674,410 | |
Google, Inc.: | |||
Class A (a) | 4,620 | 2,690,503 | |
Class C (a) | 2,476 | 1,415,282 | |
| 7,780,195 | ||
IT Services - 2.5% | |||
Amdocs Ltd. | 31,003 | 1,460,241 | |
DST Systems, Inc. | 16,061 | 1,490,621 | |
IBM Corp. | 8,967 | 1,724,354 | |
MasterCard, Inc. Class A | 14,130 | 1,071,195 | |
Visa, Inc. Class A | 6,891 | 1,464,475 | |
Xerox Corp. | 3,306 | 45,656 | |
| 7,256,542 | ||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Avago Technologies Ltd. | 23,765 | 1,950,869 | |
Broadcom Corp. Class A | 10,962 | 431,684 | |
Intel Corp. | 126,846 | 4,429,462 | |
Marvell Technology Group Ltd. | 107,982 | 1,502,030 | |
Micron Technology, Inc. (a) | 63,367 | 2,065,764 | |
Skyworks Solutions, Inc. | 28,295 | 1,603,195 | |
| 11,983,004 | ||
Software - 3.6% | |||
Microsoft Corp. | 152,202 | 6,914,537 | |
Oracle Corp. | 41,469 | 1,722,208 | |
Symantec Corp. | 71,237 | 1,729,634 | |
Synopsys, Inc. (a) | 7,924 | 324,092 | |
| 10,690,471 | ||
Technology Hardware, Storage & Peripherals - 5.6% | |||
Apple, Inc. | 114,523 | 11,738,602 | |
Hewlett-Packard Co. | 72,838 | 2,767,844 | |
Lexmark International, Inc. Class A | 6,426 | 324,899 | |
NetApp, Inc. | 44,116 | 1,859,931 | |
| 16,691,276 | ||
TOTAL INFORMATION TECHNOLOGY | 62,207,366 | ||
MATERIALS - 2.6% | |||
Chemicals - 2.6% | |||
International Flavors & Fragrances, Inc. | 16,254 | 1,651,244 | |
LyondellBasell Industries NV Class A | 21,060 | 2,408,211 | |
PPG Industries, Inc. | 2,152 | 443,011 | |
The Dow Chemical Co. | 28,718 | 1,537,849 | |
| |||
Shares | Value | ||
The Mosaic Co. | 18,172 | $ 867,895 | |
Westlake Chemical Corp. | 7,511 | 729,543 | |
| 7,637,753 | ||
Containers & Packaging - 0.0% | |||
Ball Corp. | 817 | 52,370 | |
TOTAL MATERIALS | 7,690,123 | ||
TELECOMMUNICATION SERVICES - 3.1% | |||
Diversified Telecommunication Services - 3.1% | |||
AT&T, Inc. | 127,312 | 4,450,828 | |
Verizon Communications, Inc. | 97,471 | 4,856,005 | |
| 9,306,833 | ||
UTILITIES - 1.2% | |||
Electric Utilities - 0.6% | |||
Entergy Corp. | 21,692 | 1,679,178 | |
Multi-Utilities - 0.6% | |||
Public Service Enterprise Group, Inc. | 47,239 | 1,766,266 | |
TOTAL UTILITIES | 3,445,444 | ||
TOTAL COMMON STOCKS (Cost $240,868,491) |
| ||
Money Market Funds - 2.4% | |||
|
|
|
|
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 2,333,985 | 2,333,985 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 4,673,275 | 4,673,275 | |
TOTAL MONEY MARKET FUNDS (Cost $7,007,260) |
| ||
TOTAL INVESTMENT PORTFOLIO - 101.1% (Cost $247,875,751) | 299,476,439 | ||
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (3,164,789) | ||
NET ASSETS - 100% | $ 296,311,650 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
37 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2014 | $ 3,702,590 | $ 70,254 |
|
The face value of futures purchased as a percentage of net assets is 1.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
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 | $ 4,898 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. 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, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 70,254 | $ - |
Total Value of Derivatives | $ 70,254 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $4,566,340) - See accompanying schedule: Unaffiliated issuers (cost $240,868,491) | $ 292,469,179 |
|
Fidelity Central Funds (cost $7,007,260) | 7,007,260 |
|
Total Investments (cost $247,875,751) |
| $ 299,476,439 |
Segregated cash with brokers for derivative instruments | 151,800 | |
Receivable for investments sold | 4,310,909 | |
Receivable for fund shares sold | 929,228 | |
Dividends receivable | 668,445 | |
Interest receivable | 53 | |
Distributions receivable from Fidelity Central Funds | 203 | |
Receivable for daily variation margin for derivative instruments | 7,885 | |
Total assets | 305,544,962 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 4,084,345 | |
Payable for fund shares redeemed | 367,645 | |
Accrued management fee | 72,031 | |
Other affiliated payables | 36,016 | |
Collateral on securities loaned, at value | 4,673,275 | |
Total liabilities | 9,233,312 | |
|
|
|
Net Assets | $ 296,311,650 | |
Net Assets consist of: |
| |
Paid in capital | $ 240,646,580 | |
Undistributed net investment income | 3,189,135 | |
Accumulated undistributed net realized gain (loss) on investments | 804,993 | |
Net unrealized appreciation (depreciation) on investments | 51,670,942 | |
Net Assets, for 24,267,711 shares outstanding | $ 296,311,650 | |
Net Asset Value, offering price and redemption price per share ($296,311,650 ÷ 24,267,711 shares) | $ 12.21 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 4,103,473 |
Interest |
| 1,047 |
Income from Fidelity Central Funds |
| 4,898 |
Total income |
| 4,109,418 |
|
|
|
Expenses | ||
Management fee | $ 615,545 | |
Transfer agent fees | 295,804 | |
Independent trustees' compensation | 2,503 | |
Miscellaneous | 362 | |
Total expenses before reductions | 914,214 | |
Expense reductions | (36) | 914,178 |
Net investment income (loss) | 3,195,240 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 19,165,928 | |
Futures contracts | 553,579 | |
Total net realized gain (loss) |
| 19,719,507 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 15,265,847 | |
Futures contracts | (134,787) | |
Total change in net unrealized appreciation (depreciation) |
| 15,131,060 |
Net gain (loss) | 34,850,567 | |
Net increase (decrease) in net assets resulting from operations | $ 38,045,807 |
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) | $ 3,195,240 | $ 3,926,816 |
Net realized gain (loss) | 19,719,507 | 20,025,727 |
Change in net unrealized appreciation (depreciation) | 15,131,060 | 24,850,763 |
Net increase (decrease) in net assets resulting from operations | 38,045,807 | 48,803,306 |
Distributions to shareholders from net investment income | (1,040,494) | (3,668,730) |
Distributions to shareholders from net realized gain | (5,562,638) | (26,223,165) |
Total distributions | (6,603,132) | (29,891,895) |
Share transactions | 87,784,925 | 343,600,256 |
Reinvestment of distributions | 6,271,213 | 27,812,729 |
Cost of shares redeemed | (270,960,362) | (157,226,426) |
Net increase (decrease) in net assets resulting from share transactions | (176,904,224) | 214,186,559 |
Total increase (decrease) in net assets | (145,461,549) | 233,097,970 |
|
|
|
Net Assets | ||
Beginning of period | 441,773,199 | 208,675,229 |
End of period (including undistributed net investment income of $3,189,135 and undistributed net investment income of $1,034,389, respectively) | $ 296,311,650 | $ 441,773,199 |
Other Information Shares | ||
Sold | 7,584,964 | 30,726,909 |
Issued in reinvestment of distributions | 577,460 | 2,592,207 |
Redeemed | (22,990,351) | (13,726,993) |
Net increase (decrease) | (14,827,927) | 19,592,123 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 H | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.30 | $ 10.70 | $ 9.68 | $ 9.09 | $ 7.69 | $ 5.27 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .09 | .19 | .21 | .14 | .13 | .12 |
Net realized and unrealized gain (loss) | .99 | 2.45 | 1.03 | .48 | 1.42 | 2.43 |
Total from investment operations | 1.08 | 2.64 | 1.24 | .62 | 1.55 | 2.55 |
Distributions from net investment income | (.03) | (.27) | (.18) | (.03) | (.15) | (.13) |
Distributions from net realized gain | (.14) | (1.77) | (.05) | - | - | - |
Total distributions | (.17) | (2.04) | (.22) I | (.03) | (.15) | (.13) |
Net asset value, end of period | $ 12.21 | $ 11.30 | $ 10.70 | $ 9.68 | $ 9.09 | $ 7.69 |
Total Return B, C | 9.69% | 26.44% | 13.03% | 6.78% | 20.25% | 48.52% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .44% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .44% A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .44% A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.55% A | 1.67% | 2.08% | 1.53% | 1.58% | 1.76% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 296,312 | $ 441,773 | $ 208,675 | $ 262,225 | $ 968,646 | $ 1,006,185 |
Portfolio turnover rate F | 103% A | 125% | 85% | 104% | 64% | 60% J |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. ITotal distributions of $0.22 per share is comprised of distributions from net investment income of $0.175 and distributions from net realized gain of $.049 per share. JReflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
HCA Holdings, Inc. | 0.9 | 0.0 |
Cigna Corp. | 0.9 | 0.0 |
Illumina, Inc. | 0.9 | 0.0 |
Southwest Airlines Co. | 0.9 | 0.8 |
Cardinal Health, Inc. | 0.9 | 0.9 |
Macy's, Inc. | 0.9 | 0.9 |
Avago Technologies Ltd. | 0.9 | 0.1 |
Western Digital Corp. | 0.9 | 0.8 |
McGraw Hill Financial, Inc. | 0.8 | 0.8 |
Dollar General Corp. | 0.8 | 0.8 |
| 8.8 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 18.1 | 19.0 |
Information Technology | 16.2 | 15.6 |
Consumer Discretionary | 16.2 | 17.5 |
Health Care | 12.7 | 11.2 |
Industrials | 12.3 | 15.2 |
Consumer Staples | 6.6 | 7.1 |
Materials | 6.2 | 4.9 |
Energy | 6.2 | 4.7 |
Utilities | 3.9 | 3.8 |
Telecommunication Services | 0.4 | 0.0 |
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 16.2% | |||
Auto Components - 1.8% | |||
Delphi Automotive PLC | 23,227 | $ 1,616,135 | |
Gentex Corp. | 71,153 | 2,102,571 | |
Lear Corp. | 24,290 | 2,456,448 | |
TRW Automotive Holdings Corp. (a) | 2,451 | 236,007 | |
| 6,411,161 | ||
Diversified Consumer Services - 0.3% | |||
Apollo Education Group, Inc. Class A (non-vtg.) (a) | 7,884 | 218,939 | |
DeVry, Inc. | 20,000 | 858,600 | |
| 1,077,539 | ||
Hotels, Restaurants & Leisure - 1.8% | |||
ARAMARK Holdings Corp. | 10,797 | 279,642 | |
Chipotle Mexican Grill, Inc. (a) | 4,412 | 2,994,204 | |
Hilton Worldwide Holdings, Inc. | 36,326 | 919,774 | |
Wyndham Worldwide Corp. | 30,689 | 2,483,968 | |
| 6,677,588 | ||
Internet & Catalog Retail - 1.0% | |||
Expedia, Inc. | 26,114 | 2,243,193 | |
Liberty Interactive Corp. (Venture Group) Series A (a) | 21,752 | 828,534 | |
Liberty TripAdvisor Holdings, Inc. (a) | 21,752 | 778,069 | |
| 3,849,796 | ||
Leisure Products - 0.6% | |||
Polaris Industries, Inc. | 15,315 | 2,226,495 | |
Media - 1.6% | |||
Morningstar, Inc. | 11,608 | 797,237 | |
Omnicom Group, Inc. | 22,778 | 1,640,244 | |
Starz Series A (a) | 68,280 | 2,136,481 | |
Viacom, Inc. Class B (non-vtg.) | 15,083 | 1,223,985 | |
| 5,797,947 | ||
Multiline Retail - 2.1% | |||
Dillard's, Inc. Class A (e) | 11,326 | 1,294,788 | |
Dollar General Corp. (a) | 47,454 | 3,036,581 | |
Family Dollar Stores, Inc. | 1,248 | 99,628 | |
Macy's, Inc. | 50,818 | 3,165,453 | |
| 7,596,450 | ||
Specialty Retail - 4.5% | |||
Bed Bath & Beyond, Inc. (a)(e) | 39,905 | 2,564,295 | |
Best Buy Co., Inc. | 73,496 | 2,343,787 | |
Dick's Sporting Goods, Inc. | 21,578 | 972,520 | |
Foot Locker, Inc. | 40,858 | 2,292,542 | |
GameStop Corp. Class A | 24,342 | 1,027,232 | |
Gap, Inc. | 57,493 | 2,653,302 | |
GNC Holdings, Inc. | 39,800 | 1,510,410 | |
Murphy U.S.A., Inc. (a) | 4,454 | 242,609 | |
O'Reilly Automotive, Inc. (a) | 16,912 | 2,637,934 | |
| 16,244,631 | ||
Textiles, Apparel & Luxury Goods - 2.5% | |||
Fossil Group, Inc. (a) | 20,228 | 2,048,894 | |
| |||
Shares | Value | ||
Hanesbrands, Inc. | 24,144 | $ 2,479,106 | |
Michael Kors Holdings Ltd. (a) | 27,613 | 2,212,354 | |
VF Corp. | 36,676 | 2,351,665 | |
| 9,092,019 | ||
TOTAL CONSUMER DISCRETIONARY | 58,973,626 | ||
CONSUMER STAPLES - 6.6% | |||
Beverages - 2.6% | |||
Brown-Forman Corp. Class B (non-vtg.) | 15,716 | 1,456,245 | |
Coca-Cola Enterprises, Inc. | 21,787 | 1,040,983 | |
Constellation Brands, Inc. Class A (sub. vtg.) (a) | 25,143 | 2,189,704 | |
Dr. Pepper Snapple Group, Inc. | 39,873 | 2,508,809 | |
Molson Coors Brewing Co. Class B | 22,881 | 1,692,050 | |
Monster Beverage Corp. (a) | 4,262 | 376,803 | |
| 9,264,594 | ||
Food & Staples Retailing - 0.2% | |||
Rite Aid Corp. (a) | 119,019 | 740,298 | |
Safeway, Inc. | 2,852 | 99,193 | |
| 839,491 | ||
Food Products - 3.3% | |||
Archer Daniels Midland Co. | 35,530 | 1,771,526 | |
Hormel Foods Corp. | 10,482 | 531,228 | |
Ingredion, Inc. | 8,858 | 706,514 | |
Mead Johnson Nutrition Co. Class A | 24,749 | 2,366,004 | |
Pilgrims Pride Corp. (a)(e) | 65,718 | 1,962,997 | |
The J.M. Smucker Co. | 4,492 | 460,879 | |
Tyson Foods, Inc. Class A | 64,180 | 2,442,691 | |
WhiteWave Foods Co. (a) | 53,969 | 1,889,994 | |
| 12,131,833 | ||
Household Products - 0.1% | |||
Church & Dwight Co., Inc. | 7,284 | 497,060 | |
Personal Products - 0.1% | |||
Nu Skin Enterprises, Inc. Class A | 6,623 | 296,181 | |
Tobacco - 0.3% | |||
Lorillard, Inc. | 14,972 | 893,828 | |
TOTAL CONSUMER STAPLES | 23,922,987 | ||
ENERGY - 6.2% | |||
Energy Equipment & Services - 3.5% | |||
Baker Hughes, Inc. | 25,540 | 1,765,836 | |
Dril-Quip, Inc. (a) | 16,955 | 1,720,424 | |
Helmerich & Payne, Inc. | 23,193 | 2,436,425 | |
Nabors Industries Ltd. | 42,933 | 1,168,207 | |
Patterson-UTI Energy, Inc. | 62,132 | 2,146,039 | |
RPC, Inc. | 81,359 | 1,852,544 | |
Seadrill Ltd. | 1,600 | 59,600 | |
Unit Corp. (a) | 26,180 | 1,722,906 | |
| 12,871,981 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - 2.7% | |||
Chesapeake Energy Corp. | 3,717 | $ 101,102 | |
Cimarex Energy Co. | 10,703 | 1,553,647 | |
Kosmos Energy Ltd. (a) | 9,878 | 98,978 | |
Marathon Petroleum Corp. | 15,149 | 1,378,710 | |
SM Energy Co. | 26,682 | 2,375,765 | |
Southwestern Energy Co. (a) | 57,932 | 2,385,640 | |
Valero Energy Corp. | 33,823 | 1,831,177 | |
| 9,725,019 | ||
TOTAL ENERGY | 22,597,000 | ||
FINANCIALS - 18.1% | |||
Banks - 1.5% | |||
Fifth Third Bancorp | 97,255 | 1,984,488 | |
KeyCorp | 138,097 | 1,879,500 | |
Regions Financial Corp. | 171,378 | 1,739,487 | |
| 5,603,475 | ||
Capital Markets - 3.8% | |||
Affiliated Managers Group, Inc. (a) | 11,534 | 2,435,404 | |
Artisan Partners Asset Management, Inc. | 33,495 | 1,858,303 | |
Franklin Resources, Inc. | 1,841 | 104,053 | |
Lazard Ltd. Class A | 42,646 | 2,331,030 | |
SEI Investments Co. | 59,974 | 2,272,715 | |
T. Rowe Price Group, Inc. | 37,149 | 3,008,883 | |
Waddell & Reed Financial, Inc. Class A | 34,270 | 1,867,715 | |
| 13,878,103 | ||
Consumer Finance - 1.0% | |||
Capital One Financial Corp. | 18,247 | 1,497,349 | |
Discover Financial Services | 13,230 | 825,155 | |
Navient Corp. | 56,251 | 1,009,143 | |
Santander Consumer U.S.A. Holdings, Inc. | 21,907 | 407,908 | |
| 3,739,555 | ||
Diversified Financial Services - 2.1% | |||
CBOE Holdings, Inc. | 29,404 | 1,559,147 | |
McGraw Hill Financial, Inc. | 37,487 | 3,041,320 | |
Moody's Corp. | 29,908 | 2,798,492 | |
MSCI, Inc. Class A (a) | 872 | 40,234 | |
Voya Financial, Inc. | 2,944 | 115,081 | |
| 7,554,274 | ||
Insurance - 3.3% | |||
Allied World Assurance Co. | 12,360 | 457,196 | |
American International Group, Inc. warrants 1/19/21 (a) | 574 | 14,758 | |
Aspen Insurance Holdings Ltd. | 12,306 | 523,251 | |
Axis Capital Holdings Ltd. | 14,315 | 690,269 | |
Endurance Specialty Holdings Ltd. | 7,781 | 451,843 | |
Erie Indemnity Co. Class A | 2,356 | 180,258 | |
HCC Insurance Holdings, Inc. | 18,148 | 909,941 | |
MBIA, Inc. (a) | 186,568 | 1,945,904 | |
| |||
Shares | Value | ||
PartnerRe Ltd. | 18,239 | $ 2,037,114 | |
Progressive Corp. | 104,324 | 2,610,186 | |
The Travelers Companies, Inc. | 549 | 51,996 | |
Unum Group | 48,841 | 1,771,463 | |
W.R. Berkley Corp. | 6,033 | 291,696 | |
| 11,935,875 | ||
Real Estate Investment Trusts - 6.4% | |||
American Capital Agency Corp. | 19,999 | 472,976 | |
Annaly Capital Management, Inc. | 207,174 | 2,465,371 | |
Chimera Investment Corp. | 279,287 | 924,440 | |
Corrections Corp. of America | 47,523 | 1,693,720 | |
Equity Lifestyle Properties, Inc. | 39,816 | 1,819,193 | |
Extra Space Storage, Inc. | 33,338 | 1,756,913 | |
General Growth Properties, Inc. | 47,021 | 1,155,306 | |
Healthcare Trust of America, Inc. | 26,601 | 331,182 | |
Hospitality Properties Trust (SBI) | 66,421 | 1,954,770 | |
Host Hotels & Resorts, Inc. | 123,271 | 2,813,044 | |
MFA Financial, Inc. | 226,902 | 1,915,053 | |
Public Storage | 8,598 | 1,506,198 | |
Rayonier, Inc. | 11,367 | 389,547 | |
Starwood Property Trust, Inc. | 53,634 | 1,279,171 | |
UDR, Inc. | 3,198 | 95,684 | |
Weyerhaeuser Co. | 84,083 | 2,854,618 | |
| 23,427,186 | ||
TOTAL FINANCIALS | 66,138,468 | ||
HEALTH CARE - 12.7% | |||
Biotechnology - 1.1% | |||
Alexion Pharmaceuticals, Inc. (a) | 8,956 | 1,516,161 | |
United Therapeutics Corp. (a)(e) | 22,741 | 2,679,572 | |
| 4,195,733 | ||
Health Care Equipment & Supplies - 3.7% | |||
Boston Scientific Corp. (a) | 76,244 | 966,774 | |
C.R. Bard, Inc. | 16,653 | 2,471,971 | |
CareFusion Corp. (a) | 38,661 | 1,774,927 | |
Edwards Lifesciences Corp. (a) | 25,726 | 2,553,563 | |
Hill-Rom Holdings, Inc. | 18,068 | 791,559 | |
IDEXX Laboratories, Inc. (a) | 16,048 | 1,989,471 | |
St. Jude Medical, Inc. | 43,268 | 2,837,948 | |
| 13,386,213 | ||
Health Care Providers & Services - 6.1% | |||
Aetna, Inc. | 13,216 | 1,085,430 | |
Cardinal Health, Inc. | 43,370 | 3,196,369 | |
Centene Corp. (a) | 27,569 | 2,153,966 | |
Cigna Corp. | 33,891 | 3,206,089 | |
HCA Holdings, Inc. (a) | 46,553 | 3,250,333 | |
Health Net, Inc. (a) | 44,072 | 2,080,198 | |
Humana, Inc. | 22,083 | 2,842,965 | |
Laboratory Corp. of America Holdings (a) | 10,931 | 1,172,131 | |
Quest Diagnostics, Inc. | 30 | 1,896 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
VCA Antech, Inc. (a) | 32,769 | $ 1,335,337 | |
WellPoint, Inc. | 15,316 | 1,784,467 | |
| 22,109,181 | ||
Life Sciences Tools & Services - 1.1% | |||
Charles River Laboratories International, Inc. (a) | 12,079 | 713,869 | |
Illumina, Inc. (a)(e) | 17,852 | 3,201,935 | |
| 3,915,804 | ||
Pharmaceuticals - 0.7% | |||
Mallinckrodt PLC (a) | 31,733 | 2,585,922 | |
TOTAL HEALTH CARE | 46,192,853 | ||
INDUSTRIALS - 12.3% | |||
Aerospace & Defense - 2.2% | |||
BE Aerospace, Inc. (a) | 21,741 | 1,842,332 | |
Hexcel Corp. (a) | 11,986 | 493,703 | |
Huntington Ingalls Industries, Inc. | 21,418 | 2,186,992 | |
L-3 Communications Holdings, Inc. | 15,407 | 1,694,000 | |
Northrop Grumman Corp. | 3,251 | 413,592 | |
Raytheon Co. | 13,294 | 1,280,744 | |
| 7,911,363 | ||
Airlines - 2.7% | |||
Alaska Air Group, Inc. | 46,486 | 2,154,161 | |
Copa Holdings SA Class A | 12,875 | 1,583,368 | |
Delta Air Lines, Inc. | 47,337 | 1,873,598 | |
Southwest Airlines Co. | 99,856 | 3,196,391 | |
Spirit Airlines, Inc. (a) | 12,262 | 863,122 | |
| 9,670,640 | ||
Building Products - 0.1% | |||
A.O. Smith Corp. | 5,663 | 277,940 | |
Lennox International, Inc. | 1,076 | 90,126 | |
| 368,066 | ||
Commercial Services & Supplies - 0.7% | |||
ADT Corp. (e) | 42,089 | 1,551,401 | |
Cintas Corp. (e) | 3,469 | 229,440 | |
Pitney Bowes, Inc. | 27,652 | 748,263 | |
| 2,529,104 | ||
Electrical Equipment - 1.0% | |||
AMETEK, Inc. | 35,105 | 1,858,459 | |
Rockwell Automation, Inc. | 16,915 | 1,972,458 | |
| 3,830,917 | ||
Industrial Conglomerates - 0.1% | |||
Roper Industries, Inc. | 3,379 | 508,742 | |
Machinery - 4.4% | |||
Allison Transmission Holdings, Inc. | 65,294 | 2,003,220 | |
Graco, Inc. | 18,844 | 1,448,350 | |
IDEX Corp. | 20,893 | 1,607,507 | |
| |||
Shares | Value | ||
Lincoln Electric Holdings, Inc. | 25,133 | $ 1,786,956 | |
Oshkosh Truck Corp. | 5,983 | 297,235 | |
Parker Hannifin Corp. | 4,235 | 489,143 | |
Snap-On, Inc. | 17,197 | 2,148,765 | |
Toro Co. | 30,917 | 1,902,323 | |
Trinity Industries, Inc. (e) | 49,101 | 2,375,506 | |
WABCO Holdings, Inc. (a) | 19,450 | 2,007,240 | |
| 16,066,245 | ||
Marine - 0.0% | |||
Kirby Corp. (a) | 531 | 63,343 | |
Professional Services - 0.8% | |||
Manpower, Inc. | 25,758 | 1,998,306 | |
Robert Half International, Inc. | 14,034 | 704,647 | |
Verisk Analytics, Inc. (a) | 3,892 | 249,827 | |
| 2,952,780 | ||
Road & Rail - 0.3% | |||
AMERCO | 829 | 230,304 | |
Landstar System, Inc. | 1,640 | 111,299 | |
Old Dominion Freight Lines, Inc. (a) | 9,951 | 663,433 | |
| 1,005,036 | ||
TOTAL INDUSTRIALS | 44,906,236 | ||
INFORMATION TECHNOLOGY - 16.2% | |||
Communications Equipment - 2.4% | |||
Brocade Communications Systems, Inc. | 191,115 | 2,016,263 | |
CommScope Holding Co., Inc. | 17,877 | 460,512 | |
F5 Networks, Inc. (a)(e) | 18,760 | 2,329,804 | |
Harris Corp. | 22,517 | 1,607,489 | |
Juniper Networks, Inc. | 101,676 | 2,357,866 | |
| 8,771,934 | ||
Electronic Equipment & Components - 1.1% | |||
CDW Corp. | 45,345 | 1,498,199 | |
Ingram Micro, Inc. Class A (a) | 34,743 | 1,001,641 | |
Zebra Technologies Corp. Class A (a) | 17,325 | 1,351,870 | |
| 3,851,710 | ||
IT Services - 4.3% | |||
Alliance Data Systems Corp. (a) | 1,640 | 434,010 | |
Amdocs Ltd. | 46,457 | 2,188,125 | |
Booz Allen Hamilton Holding Corp. Class A | 69,939 | 1,551,247 | |
Computer Sciences Corp. | 35,071 | 2,096,895 | |
DST Systems, Inc. | 21,063 | 1,954,857 | |
Genpact Ltd. (a) | 30,403 | 529,012 | |
Jack Henry & Associates, Inc. | 29,792 | 1,722,276 | |
Paychex, Inc. | 59,176 | 2,464,680 | |
Xerox Corp. | 196,535 | 2,714,148 | |
| 15,655,250 | ||
Semiconductors & Semiconductor Equipment - 3.6% | |||
Analog Devices, Inc. | 17,942 | 917,195 | |
Avago Technologies Ltd. | 38,498 | 3,160,301 | |
Marvell Technology Group Ltd. | 153,601 | 2,136,590 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
Micron Technology, Inc. (a) | 54,934 | $ 1,790,848 | |
NVIDIA Corp. | 123,259 | 2,397,388 | |
ON Semiconductor Corp. (a) | 21,013 | 205,087 | |
Skyworks Solutions, Inc. | 45,322 | 2,567,945 | |
| 13,175,354 | ||
Software - 2.4% | |||
Activision Blizzard, Inc. | 80,207 | 1,888,073 | |
Aspen Technology, Inc. (a) | 35,660 | 1,465,269 | |
Intuit, Inc. | 4,304 | 358,007 | |
Symantec Corp. | 115,944 | 2,815,120 | |
Synopsys, Inc. (a) | 52,567 | 2,149,990 | |
| 8,676,459 | ||
Technology Hardware, Storage & Peripherals - 2.4% | |||
Lexmark International, Inc. Class A | 8,102 | 409,637 | |
NetApp, Inc. | 65,863 | 2,776,784 | |
SanDisk Corp. | 27,160 | 2,660,594 | |
Western Digital Corp. | 29,990 | 3,089,270 | |
| 8,936,285 | ||
TOTAL INFORMATION TECHNOLOGY | 59,066,992 | ||
MATERIALS - 6.2% | |||
Chemicals - 4.4% | |||
Celanese Corp. Class A | 22,978 | 1,437,044 | |
CF Industries Holdings, Inc. | 85 | 21,902 | |
Eastman Chemical Co. | 22,723 | 1,873,966 | |
International Flavors & Fragrances, Inc. | 22,193 | 2,254,587 | |
LyondellBasell Industries NV Class A | 17,101 | 1,955,499 | |
NewMarket Corp. | 4,007 | 1,630,408 | |
Sigma Aldrich Corp. | 19,182 | 1,994,928 | |
The Mosaic Co. | 53,166 | 2,539,208 | |
The Scotts Miracle-Gro Co. Class A | 3,828 | 220,990 | |
Westlake Chemical Corp. | 22,676 | 2,202,520 | |
| 16,131,052 | ||
Containers & Packaging - 1.0% | |||
Avery Dennison Corp. | 1,431 | 68,874 | |
Ball Corp. | 34,473 | 2,209,719 | |
Graphic Packaging Holding Co. (a) | 3,431 | 43,882 | |
Packaging Corp. of America | 17,397 | 1,182,822 | |
| 3,505,297 | ||
Metals & Mining - 0.8% | |||
Compass Minerals International, Inc. | 14,004 | 1,247,336 | |
| |||
Shares | Value | ||
Reliance Steel & Aluminum Co. | 5,230 | $ 365,682 | |
Steel Dynamics, Inc. | 61,598 | 1,431,538 | |
| 3,044,556 | ||
TOTAL MATERIALS | 22,680,905 | ||
TELECOMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.4% | |||
Level 3 Communications, Inc. (a) | 31,734 | 1,426,761 | |
UTILITIES - 3.9% | |||
Electric Utilities - 0.8% | |||
Edison International | 4,795 | 283,576 | |
Entergy Corp. | 31,885 | 2,468,218 | |
Pepco Holdings, Inc. | 1,262 | 34,781 | |
| 2,786,575 | ||
Gas Utilities - 0.8% | |||
AGL Resources, Inc. | 30,032 | 1,601,006 | |
UGI Corp. | 29,007 | 1,536,791 | |
| 3,137,797 | ||
Multi-Utilities - 1.8% | |||
Ameren Corp. | 35,251 | 1,409,687 | |
DTE Energy Co. | 8,966 | 701,590 | |
Public Service Enterprise Group, Inc. | 77,305 | 2,890,434 | |
Vectren Corp. | 3,813 | 157,210 | |
Wisconsin Energy Corp. | 28,243 | 1,280,255 | |
| 6,439,176 | ||
Water Utilities - 0.5% | |||
American Water Works Co., Inc. | 36,377 | 1,841,040 | |
TOTAL UTILITIES | 14,204,588 | ||
TOTAL COMMON STOCKS (Cost $310,915,364) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.05% 3/5/15 (f) | $ 300,000 |
|
Money Market Funds - 4.8% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 3,123,828 | $ 3,123,828 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 14,419,002 | 14,419,002 | |
TOTAL MONEY MARKET FUNDS (Cost $17,542,830) |
| ||
TOTAL INVESTMENT PORTFOLIO - 103.7% (Cost $328,758,112) | 377,953,173 | ||
NET OTHER ASSETS (LIABILITIES) - (3.7)% | (13,539,239) | ||
NET ASSETS - 100% | $ 364,413,934 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
28 CME E-mini S&P MidCap 400 Index Contracts | Sept. 2014 | $ 4,023,880 | $ 121,934 |
|
The face value of futures purchased as a percentage of net assets is 1.1% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $179,956. |
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 | $ 12,141 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 58,973,626 | $ 58,973,626 | $ - | $ - |
Consumer Staples | 23,922,987 | 23,922,987 | - | - |
Energy | 22,597,000 | 22,597,000 | - | - |
Financials | 66,138,468 | 66,138,468 | - | - |
Health Care | 46,192,853 | 46,192,853 | - | - |
Industrials | 44,906,236 | 44,906,236 | - | - |
Information Technology | 59,066,992 | 59,066,992 | - | - |
Materials | 22,680,905 | 22,680,905 | - | - |
Telecommunication Services | 1,426,761 | 1,426,761 | - | - |
Utilities | 14,204,588 | 14,204,588 | - | - |
U.S. Government and Government Agency Obligations | 299,927 | - | 299,927 | - |
Money Market Funds | 17,542,830 | 17,542,830 | - | - |
Total Investments in Securities: | $ 377,953,173 | $ 377,653,246 | $ 299,927 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 121,934 | $ 121,934 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 121,934 | $ - |
Total Value of Derivatives | $ 121,934 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $14,224,576) - See accompanying schedule: Unaffiliated issuers (cost $311,215,282) | $ 360,410,343 |
|
Fidelity Central Funds (cost $17,542,830) | 17,542,830 |
|
Total Investments (cost $328,758,112) |
| $ 377,953,173 |
Receivable for investments sold | 896,550 | |
Receivable for fund shares sold | 1,115,929 | |
Dividends receivable | 404,647 | |
Interest receivable | 149 | |
Distributions receivable from Fidelity Central Funds | 1,529 | |
Receivable for daily variation margin for derivative instruments | 14,362 | |
Total assets | 380,386,339 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 803,436 | |
Payable for fund shares redeemed | 574,720 | |
Accrued management fee | 131,434 | |
Other affiliated payables | 43,813 | |
Collateral on securities loaned, at value | 14,419,002 | |
Total liabilities | 15,972,405 | |
|
|
|
Net Assets | $ 364,413,934 | |
Net Assets consist of: |
| |
Paid in capital | $ 298,788,005 | |
Undistributed net investment income | 1,468,140 | |
Accumulated undistributed net realized gain (loss) on investments | 14,840,794 | |
Net unrealized appreciation (depreciation) on investments | 49,316,995 | |
Net Assets, for 26,609,260 shares outstanding | $ 364,413,934 | |
Net Asset Value, offering price and redemption price per share ($364,413,934 ÷ 26,609,260 shares) | $ 13.70 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,383,576 |
Interest |
| 1,217 |
Income from Fidelity Central Funds |
| 12,141 |
Total income |
| 2,396,934 |
|
|
|
Expenses | ||
Management fee | $ 687,304 | |
Transfer agent fees | 229,651 | |
Independent trustees' compensation | 1,650 | |
Miscellaneous | 238 | |
Total expenses before reductions | 918,843 | |
Expense reductions | (20) | 918,823 |
Net investment income (loss) | 1,478,111 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 15,155,986 | |
Futures contracts | 496,289 | |
Total net realized gain (loss) |
| 15,652,275 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 3,638,245 | |
Futures contracts | 80,704 | |
Total change in net unrealized appreciation (depreciation) |
| 3,718,949 |
Net gain (loss) | 19,371,224 | |
Net increase (decrease) in net assets resulting from operations | $ 20,849,335 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,478,111 | $ 2,902,316 |
Net realized gain (loss) | 15,652,275 | 28,115,740 |
Change in net unrealized appreciation (depreciation) | 3,718,949 | 31,353,040 |
Net increase (decrease) in net assets resulting from operations | 20,849,335 | 62,371,096 |
Distributions to shareholders from net investment income | (378,937) | (2,628,221) |
Distributions to shareholders from net realized gain | (14,359,728) | (11,600,638) |
Total distributions | (14,738,665) | (14,228,859) |
Share transactions | 132,020,799 | 215,726,408 |
Reinvestment of distributions | 14,078,956 | 13,509,070 |
Cost of shares redeemed | (59,477,441) | (133,847,136) |
Net increase (decrease) in net assets resulting from share transactions | 86,622,314 | 95,388,342 |
Redemption fees | 6,598 | 13,605 |
Total increase (decrease) in net assets | 92,739,582 | 143,544,184 |
|
|
|
Net Assets | ||
Beginning of period | 271,674,352 | 128,130,168 |
End of period (including undistributed net investment income of $1,468,140 and undistributed net investment income of $368,966, respectively) | $ 364,413,934 | $ 271,674,352 |
Other Information Shares | ||
Sold | 9,965,573 | 17,672,910 |
Issued in reinvestment of distributions | 1,139,996 | 1,086,837 |
Redeemed | (4,472,478) | (10,461,161) |
Net increase (decrease) | 6,633,091 | 8,298,586 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 H | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 13.60 | $ 10.97 | $ 9.79 | $ 10.28 | $ 8.33 | $ 5.12 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .06 | .15 | .18 | .10 | .10 | .09 |
Net realized and unrealized gain (loss) | .78 | 3.17 | 1.30 | .05 | 2.30 | 3.20 |
Total from investment operations | .84 | 3.32 | 1.48 | .15 | 2.40 | 3.29 |
Distributions from net investment income | (.02) | (.12) | (.17) | (.07) | (.10) | (.08) |
Distributions from net realized gain | (.72) | (.57) | (.13) | (.58) | (.35) | - |
Total distributions | (.74) | (.69) | (.30) | (.64) J | (.45) | (.08) |
Redemption fees added to paid in capital D, I | - | - | - | - | - | - |
Net asset value, end of period | $ 13.70 | $ 13.60 | $ 10.97 | $ 9.79 | $ 10.28 | $ 8.33 |
Total Return B, C | 6.76% | 30.97% | 15.57% | 1.91% | 29.44% | 64.37% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .60% A | .60% | .60% | .60% | .60% | .60% |
Expenses net of fee waivers, if any | .60% A | .60% | .60% | .60% | .60% | .60% |
Expenses net of all reductions | .60% A | .60% | .60% | .60% | .60% | .60% |
Net investment income (loss) | .96% A | 1.24% | 1.80% | 1.03% | 1.16% | 1.21% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 364,414 | $ 271,674 | $ 128,130 | $ 79,061 | $ 62,104 | $ 33,617 |
Portfolio turnover rate F | 107% A | 128% | 99% | 92% | 59% | 80% K |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. IAmount represents less than $.01 per share. JTotal distributions of $.64 per share is comprised of distributions from net investment income of $.069 and distributions from net realized gain of $.575 per share. KReflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Graphic Packaging Holding Co. | 0.8 | 0.6 |
RF Micro Devices, Inc. | 0.8 | 0.0 |
Team Health Holdings, Inc. | 0.7 | 0.7 |
TreeHouse Foods, Inc. | 0.7 | 0.5 |
Dynegy, Inc. | 0.7 | 0.0 |
Dana Holding Corp. | 0.7 | 0.7 |
RLJ Lodging Trust | 0.7 | 0.6 |
Aspen Technology, Inc. | 0.7 | 0.8 |
Strategic Hotel & Resorts, Inc. | 0.7 | 0.0 |
Fairchild Semiconductor International, Inc. | 0.7 | 0.0 |
| 7.2 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 20.8 | 20.5 |
Information Technology | 18.6 | 19.4 |
Health Care | 15.0 | 15.7 |
Industrials | 14.4 | 15.7 |
Consumer Discretionary | 11.0 | 11.0 |
Energy | 7.8 | 4.8 |
Materials | 4.3 | 4.5 |
Consumer Staples | 3.1 | 4.7 |
Utilities | 1.8 | 1.2 |
Telecommunication Services | 0.6 | 0.7 |
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.4% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 11.0% | |||
Auto Components - 3.3% | |||
Cooper Tire & Rubber Co. | 29,380 | $ 905,785 | |
Dana Holding Corp. | 124,140 | 2,883,772 | |
Dorman Products, Inc. (a)(e) | 27,286 | 1,223,231 | |
Drew Industries, Inc. | 16,022 | 711,217 | |
Gentherm, Inc. (a)(e) | 51,136 | 2,497,994 | |
Remy International, Inc. | 22,622 | 499,946 | |
Standard Motor Products, Inc. | 13,619 | 512,211 | |
Stoneridge, Inc. (a) | 2,105 | 26,228 | |
Tenneco, Inc. (a) | 29,779 | 1,908,238 | |
Tower International, Inc. (a) | 62,643 | 2,100,420 | |
| 13,269,042 | ||
Automobiles - 0.3% | |||
Winnebago Industries, Inc. (a)(e) | 49,475 | 1,223,517 | |
Distributors - 0.1% | |||
VOXX International Corp. (a) | 31,162 | 308,504 | |
Diversified Consumer Services - 0.9% | |||
Grand Canyon Education, Inc. (a) | 7,705 | 333,164 | |
ITT Educational Services, Inc. (a)(e) | 95,036 | 801,153 | |
K12, Inc. (a)(e) | 14,546 | 273,901 | |
LifeLock, Inc. (a)(e) | 142,098 | 2,105,892 | |
Steiner Leisure Ltd. (a) | 1,642 | 69,818 | |
| 3,583,928 | ||
Hotels, Restaurants & Leisure - 2.5% | |||
Bloomin' Brands, Inc. (a) | 13,852 | 230,497 | |
Buffalo Wild Wings, Inc. (a)(e) | 17,349 | 2,563,315 | |
DineEquity, Inc. | 3,113 | 259,002 | |
Interval Leisure Group, Inc. | 4,500 | 97,290 | |
Jack in the Box, Inc. | 38,218 | 2,272,060 | |
Marriott Vacations Worldwide Corp. (a) | 41,057 | 2,446,587 | |
Multimedia Games Holding Co., Inc. (a) | 51,447 | 1,430,741 | |
Papa John's International, Inc. | 9,954 | 394,178 | |
Ruth's Hospitality Group, Inc. | 44,467 | 495,807 | |
Texas Roadhouse, Inc. Class A | 4,842 | 128,749 | |
| 10,318,226 | ||
Household Durables - 1.0% | |||
Flexsteel Industries, Inc. | 35,548 | 1,245,602 | |
Helen of Troy Ltd. (a) | 5,381 | 313,282 | |
La-Z-Boy, Inc. | 43,329 | 924,641 | |
Skullcandy, Inc. (a) | 171,450 | 1,421,321 | |
Universal Electronics, Inc. (a) | 6,765 | 369,843 | |
| 4,274,689 | ||
Internet & Catalog Retail - 0.0% | |||
NutriSystem, Inc. | 5,353 | 87,361 | |
Leisure Products - 0.0% | |||
Malibu Boats, Inc. Class A (a) | 4,865 | 101,241 | |
Nautilus, Inc. (a) | 3,848 | 45,483 | |
| 146,724 | ||
| |||
Shares | Value | ||
Media - 0.7% | |||
A.H. Belo Corp. Class A | 12,994 | $ 149,691 | |
E.W. Scripps Co. Class A (a)(e) | 56,774 | 1,076,435 | |
Entravision Communication Corp. Class A | 280,828 | 1,286,192 | |
Global Sources Ltd. (a)(e) | 49,274 | 351,324 | |
Saga Communications, Inc. Class A | 800 | 30,424 | |
| 2,894,066 | ||
Multiline Retail - 0.4% | |||
Burlington Stores, Inc. (e) | 42,275 | 1,507,949 | |
Specialty Retail - 0.9% | |||
Big 5 Sporting Goods Corp. | 102,039 | 1,040,798 | |
Brown Shoe Co., Inc. | 7,376 | 220,100 | |
Citi Trends, Inc. (a) | 6,585 | 153,167 | |
Finish Line, Inc. Class A | 20,907 | 619,474 | |
Haverty Furniture Companies, Inc. | 8,444 | 196,492 | |
Outerwall, Inc. (a) | 1,590 | 93,699 | |
The Cato Corp. Class A (sub. vtg.) | 16,220 | 562,347 | |
The Children's Place Retail Stores, Inc. (e) | 13,137 | 706,245 | |
| 3,592,322 | ||
Textiles, Apparel & Luxury Goods - 0.9% | |||
Movado Group, Inc. | 17,881 | 663,922 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 44,956 | 2,624,082 | |
Steven Madden Ltd. (a) | 6,677 | 226,951 | |
Unifi, Inc. (a) | 1,000 | 28,510 | |
| 3,543,465 | ||
TOTAL CONSUMER DISCRETIONARY | 44,749,793 | ||
CONSUMER STAPLES - 3.1% | |||
Food & Staples Retailing - 0.5% | |||
Andersons, Inc. | 30,139 | 2,072,659 | |
Weis Markets, Inc. | 2,014 | 86,501 | |
| 2,159,160 | ||
Food Products - 2.2% | |||
Cal-Maine Foods, Inc. | 24,650 | 1,950,062 | |
J&J Snack Foods Corp. | 1,745 | 165,269 | |
Omega Protein Corp. (a) | 82,887 | 1,249,107 | |
Sanderson Farms, Inc. (e) | 26,314 | 2,455,622 | |
Seneca Foods Corp. Class A (a) | 6,141 | 185,274 | |
TreeHouse Foods, Inc. (a) | 35,466 | 2,926,654 | |
| 8,931,988 | ||
Household Products - 0.3% | |||
Orchids Paper Products Co. | 14,387 | 400,246 | |
WD-40 Co. | 13,138 | 902,581 | |
| 1,302,827 | ||
Personal Products - 0.1% | |||
Nature's Sunshine Products, Inc. | 1,213 | 19,954 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Personal Products - continued | |||
Nutraceutical International Corp. (a) | 1,722 | $ 41,741 | |
USANA Health Sciences, Inc. (a)(e) | 1,362 | 99,467 | |
| 161,162 | ||
TOTAL CONSUMER STAPLES | 12,555,137 | ||
ENERGY - 7.8% | |||
Energy Equipment & Services - 3.2% | |||
Basic Energy Services, Inc. (a)(e) | 78,242 | 1,894,239 | |
Dril-Quip, Inc. (a) | 19,030 | 1,930,974 | |
Exterran Holdings, Inc. (e) | 29,240 | 1,363,461 | |
Geospace Technologies Corp. (a) | 6,430 | 264,402 | |
Gulf Island Fabrication, Inc. | 6,268 | 132,067 | |
Helix Energy Solutions Group, Inc. (a) | 12,118 | 331,064 | |
Matrix Service Co. (a) | 67,762 | 1,911,566 | |
Pioneer Energy Services Corp. (a) | 148,763 | 2,287,975 | |
RigNet, Inc. (a) | 9,493 | 443,038 | |
Tesco Corp. | 89,145 | 1,891,657 | |
Willbros Group, Inc. (a) | 35,339 | 386,609 | |
| 12,837,052 | ||
Oil, Gas & Consumable Fuels - 4.6% | |||
Abraxas Petroleum Corp. (a) | 388,824 | 2,297,950 | |
Adams Resources & Energy, Inc. | 445 | 29,188 | |
Athlon Energy, Inc. | 40,593 | 1,889,198 | |
Callon Petroleum Co. (a) | 127,841 | 1,371,734 | |
Clayton Williams Energy, Inc. (a)(e) | 11,909 | 1,410,502 | |
Comstock Resources, Inc. | 39,998 | 975,151 | |
CVR Energy, Inc. (e) | 8,615 | 427,562 | |
Delek U.S. Holdings, Inc. | 13,725 | 480,101 | |
Evolution Petroleum Corp. | 8,898 | 89,247 | |
Green Plains, Inc. | 56,307 | 2,516,360 | |
Kodiak Oil & Gas Corp. (a) | 37,124 | 604,007 | |
Pacific Ethanol, Inc. (a) | 73,218 | 1,692,068 | |
Panhandle Royalty Co. Class A | 6,786 | 415,100 | |
Renewable Energy Group, Inc. (a)(e) | 87,208 | 1,060,449 | |
Rex American Resources Corp. (a) | 22,893 | 2,445,659 | |
Warren Resources, Inc. (a) | 76,834 | 495,579 | |
Western Refining, Inc. | 7,567 | 352,093 | |
| 18,551,948 | ||
TOTAL ENERGY | 31,389,000 | ||
FINANCIALS - 20.8% | |||
Banks - 4.9% | |||
Ameris Bancorp | 10,350 | 236,912 | |
BancFirst Corp. | 1,850 | 117,734 | |
Banner Bank | 10,998 | 433,101 | |
BNC Bancorp | 8,737 | 148,354 | |
Central Pacific Financial Corp. | 42,548 | 747,994 | |
Chemical Financial Corp. | 11,333 | 321,517 | |
| |||
Shares | Value | ||
Customers Bancorp, Inc. (e) | 35,249 | $ 654,926 | |
Eagle Bancorp, Inc. (a) | 9,624 | 322,693 | |
First Bancorp, North Carolina | 11,039 | 196,163 | |
First Bancorp, Puerto Rico (a) | 149,803 | 780,474 | |
First Interstate Bancsystem, Inc. | 34,754 | 921,676 | |
First Merchants Corp. | 37,061 | 756,415 | |
Flushing Financial Corp. | 8,361 | 161,367 | |
Hanmi Financial Corp. | 17,573 | 361,125 | |
Home Bancshares, Inc. | 8,868 | 263,823 | |
HomeTrust Bancshares, Inc. (a) | 2,240 | 33,779 | |
Independent Bank Group, Inc. | 1,849 | 93,578 | |
International Bancshares Corp. | 6,957 | 183,387 | |
MainSource Financial Group, Inc. | 3,508 | 60,513 | |
Merchants Bancshares, Inc. | 15,387 | 455,147 | |
Old National Bancorp, Indiana | 30,668 | 401,444 | |
Peoples Bancorp, Inc. | 7,092 | 169,995 | |
Pinnacle Financial Partners, Inc. | 9,121 | 327,079 | |
PrivateBancorp, Inc. | 84,331 | 2,488,608 | |
Sandy Spring Bancorp, Inc. | 1,886 | 45,585 | |
Simmons First National Corp. Class A | 2,198 | 87,744 | |
Southwest Bancorp, Inc., Oklahoma | 6,302 | 104,172 | |
Susquehanna Bancshares, Inc. | 57,202 | 590,325 | |
Talmer Bancorp, Inc. Class A | 48,595 | 712,403 | |
Umpqua Holdings Corp. | 103,357 | 1,805,647 | |
United Community Bank, Inc. | 114,269 | 1,938,002 | |
Univest Corp. of Pennsylvania | 2,356 | 45,000 | |
Washington Trust Bancorp, Inc. | 9,517 | 334,808 | |
WesBanco, Inc. | 9,845 | 305,687 | |
Wilshire Bancorp, Inc. | 111,471 | 1,087,957 | |
Wintrust Financial Corp. | 46,322 | 2,157,216 | |
Yadkin Financial Corp. (a) | 9,459 | 177,640 | |
| 20,029,990 | ||
Capital Markets - 2.6% | |||
BGC Partners, Inc. Class A | 88,928 | 673,185 | |
Cohen & Steers, Inc. (e) | 1,344 | 58,652 | |
Evercore Partners, Inc. Class A | 42,264 | 2,165,185 | |
FBR & Co. (a) | 2,854 | 81,567 | |
Financial Engines, Inc. | 2,172 | 77,910 | |
GAMCO Investors, Inc. Class A | 6,007 | 470,408 | |
HFF, Inc. | 45,884 | 1,376,520 | |
Investment Technology Group, Inc. (a) | 117,158 | 1,995,201 | |
Janus Capital Group, Inc. | 9,506 | 115,498 | |
Manning & Napier, Inc. Class A | 14,726 | 273,462 | |
Moelis & Co. Class A (e) | 4,409 | 160,003 | |
Oppenheimer Holdings, Inc. Class A (non-vtg.) | 5,809 | 140,345 | |
Piper Jaffray Companies (a) | 40,002 | 2,134,507 | |
RCS Capital Corp. Class A (e) | 39,976 | 886,268 | |
Silvercrest Asset Management Group Class A (a) | 347 | 5,566 | |
Westwood Holdings Group, Inc. | 1,975 | 117,710 | |
| 10,731,987 | ||
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Consumer Finance - 1.4% | |||
Cash America International, Inc. | 37,813 | $ 1,687,972 | |
Credit Acceptance Corp. (a) | 8,459 | 1,042,487 | |
Nelnet, Inc. Class A | 51,784 | 2,276,942 | |
Regional Management Corp. (a) | 13,456 | 228,752 | |
World Acceptance Corp. (a)(e) | 3,942 | 308,816 | |
| 5,544,969 | ||
Diversified Financial Services - 0.3% | |||
MarketAxess Holdings, Inc. | 10,004 | 589,436 | |
Marlin Business Services Corp. | 22,548 | 445,999 | |
Vector Capital Corp. rights (a) | 8,300 | 0 | |
| 1,035,435 | ||
Insurance - 2.6% | |||
Amerisafe, Inc. | 6,521 | 246,037 | |
Amtrust Financial Services, Inc. | 1,633 | 71,901 | |
EMC Insurance Group | 1,488 | 45,592 | |
Enstar Group Ltd. (a) | 664 | 94,222 | |
FBL Financial Group, Inc. Class A | 13,234 | 619,748 | |
Federated National Holding Co. | 2,255 | 55,699 | |
Greenlight Capital Re, Ltd. (a) | 2,582 | 88,330 | |
HCI Group, Inc. | 2,280 | 96,011 | |
Heritage Insurance Holdings, Inc. | 3,942 | 58,933 | |
Hilltop Holdings, Inc. (a) | 40,037 | 847,583 | |
Horace Mann Educators Corp. | 67,590 | 2,014,182 | |
Infinity Property & Casualty Corp. | 436 | 29,814 | |
Kansas City Life Insurance Co. | 1,045 | 48,530 | |
Maiden Holdings Ltd. (e) | 10,137 | 123,266 | |
National Western Life Insurance Co. Class A | 251 | 63,754 | |
Navigators Group, Inc. (a) | 6,471 | 415,762 | |
Platinum Underwriters Holdings Ltd. | 16,879 | 1,054,431 | |
Safety Insurance Group, Inc. | 3,275 | 180,780 | |
Selective Insurance Group, Inc. | 55,306 | 1,325,685 | |
Symetra Financial Corp. | 16,565 | 403,192 | |
Third Point Reinsurance Ltd. | 21,671 | 332,000 | |
United Insurance Holdings Corp. | 15,018 | 242,391 | |
Universal Insurance Holdings, Inc. (e) | 152,182 | 2,109,243 | |
| 10,567,086 | ||
Real Estate Investment Trusts - 6.9% | |||
AG Mortgage Investment Trust, Inc. | 6,868 | 137,154 | |
Agree Realty Corp. | 8,558 | 252,718 | |
Altisource Residential Corp. Class B (e) | 90,676 | 2,225,189 | |
American Capital Mortgage Investment Corp. | 21,616 | 444,857 | |
American Realty Capital Heathcare Trust, Inc. | 3,643 | 39,964 | |
Apollo Commercial Real Estate Finance, Inc. | 35,585 | 598,540 | |
Apollo Residential Mortgage, Inc. | 36,055 | 607,527 | |
Capstead Mortgage Corp. | 157,526 | 2,082,494 | |
Chesapeake Lodging Trust | 8,662 | 266,876 | |
CyrusOne, Inc. | 15,442 | 402,110 | |
| |||
Shares | Value | ||
CYS Investments, Inc. (e) | 94,042 | $ 886,816 | |
Extra Space Storage, Inc. | 38,533 | 2,030,689 | |
FelCor Lodging Trust, Inc. | 49,267 | 509,421 | |
Government Properties Income Trust | 39,904 | 958,494 | |
Gramercy Property Trust, Inc. (e) | 98,061 | 606,998 | |
LaSalle Hotel Properties (SBI) | 4,449 | 162,611 | |
MFA Financial, Inc. | 244,110 | 2,060,288 | |
National Health Investors, Inc. | 6,010 | 387,705 | |
Potlatch Corp. | 8,400 | 358,512 | |
PS Business Parks, Inc. | 3,378 | 275,442 | |
Resource Capital Corp. | 135,963 | 732,841 | |
RLJ Lodging Trust | 94,481 | 2,816,479 | |
Sovran Self Storage, Inc. | 33,589 | 2,595,422 | |
Strategic Hotel & Resorts, Inc. (a) | 225,788 | 2,682,361 | |
Sunstone Hotel Investors, Inc. | 121,988 | 1,777,365 | |
The GEO Group, Inc. | 53,562 | 2,004,290 | |
Western Asset Mortgage Capital Corp. | 7,699 | 117,025 | |
| 28,020,188 | ||
Thrifts & Mortgage Finance - 2.1% | |||
Dime Community Bancshares, Inc. | 10,505 | 162,197 | |
Farmer Mac Class C (non-vtg.) | 5,543 | 182,476 | |
Home Loan Servicing Solutions Ltd. | 106,309 | 2,328,167 | |
HomeStreet, Inc. | 20,681 | 376,187 | |
MGIC Investment Corp. (a)(e) | 265,699 | 2,239,843 | |
Provident Financial Services, Inc. | 7,190 | 122,302 | |
Radian Group, Inc. | 37,037 | 539,259 | |
Simplicity Bancorp, Inc. | 5,626 | 91,423 | |
Tree.com, Inc. (a) | 12,720 | 406,913 | |
Waterstone Financial, Inc. Maryland | 27,537 | 314,748 | |
WSFS Financial Corp. | 24,444 | 1,823,522 | |
| 8,587,037 | ||
TOTAL FINANCIALS | 84,516,692 | ||
HEALTH CARE - 15.0% | |||
Biotechnology - 3.7% | |||
ACADIA Pharmaceuticals, Inc. (a)(e) | 10,252 | 245,843 | |
Achillion Pharmaceuticals, Inc. (a) | 7,658 | 88,603 | |
Acorda Therapeutics, Inc. (a)(e) | 15,244 | 496,650 | |
Aegerion Pharmaceuticals, Inc. (a)(e) | 1,291 | 39,440 | |
Anacor Pharmaceuticals, Inc. (a)(e) | 17,729 | 412,908 | |
Arena Pharmaceuticals, Inc. (a)(e) | 8,912 | 36,717 | |
ARIAD Pharmaceuticals, Inc. (a)(e) | 6,476 | 40,281 | |
Arrowhead Research Corp. (a)(e) | 19,350 | 281,930 | |
Auspex Pharmaceuticals, Inc. (e) | 3,863 | 88,810 | |
BioCryst Pharmaceuticals, Inc. (a)(e) | 29,683 | 400,721 | |
Celldex Therapeutics, Inc. (a)(e) | 8,663 | 137,828 | |
Cepheid, Inc. (a)(e) | 12,212 | 488,846 | |
Clovis Oncology, Inc. (a)(e) | 1,814 | 86,274 | |
Dyax Corp. (a) | 64,018 | 653,624 | |
Emergent BioSolutions, Inc. (a)(e) | 11,777 | 293,247 | |
Enanta Pharmaceuticals, Inc. (a) | 6,990 | 293,300 | |
Epizyme, Inc. (a) | 6,394 | 220,529 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Biotechnology - continued | |||
Exact Sciences Corp. (a)(e) | 10,977 | $ 228,870 | |
Halozyme Therapeutics, Inc. (a)(e) | 6,353 | 60,354 | |
ImmunoGen, Inc. (a)(e) | 5,088 | 60,140 | |
Insys Therapeutics, Inc. (a)(e) | 7,650 | 270,198 | |
InterMune, Inc. (a) | 22,680 | 1,665,846 | |
Ironwood Pharmaceuticals, Inc. Class A (a)(e) | 12,128 | 156,936 | |
Isis Pharmaceuticals, Inc. (a)(e) | 31,138 | 1,269,185 | |
Karyopharm Therapeutics, Inc. (e) | 5,510 | 198,360 | |
Keryx Biopharmaceuticals, Inc. (a)(e) | 11,380 | 207,002 | |
Ligand Pharmaceuticals, Inc. Class B (a)(e) | 8,092 | 421,108 | |
MannKind Corp. (a)(e) | 27,155 | 200,132 | |
Momenta Pharmaceuticals, Inc. (a) | 14,416 | 169,965 | |
Neurocrine Biosciences, Inc. (a) | 5,430 | 88,563 | |
Novavax, Inc. (a)(e) | 13,330 | 62,518 | |
NPS Pharmaceuticals, Inc. (a) | 30,890 | 932,260 | |
Oncothyreon, Inc. (a) | 12,092 | 28,295 | |
Ophthotech Corp. (e) | 7,351 | 286,395 | |
Opko Health, Inc. (a)(e) | 25,972 | 231,151 | |
PDL BioPharma, Inc. (e) | 58,707 | 592,354 | |
Portola Pharmaceuticals, Inc. (a) | 1,483 | 41,361 | |
Prothena Corp. PLC (a) | 14,241 | 326,119 | |
PTC Therapeutics, Inc. (a)(e) | 11,153 | 353,104 | |
Puma Biotechnology, Inc. (a) | 6,391 | 1,664,919 | |
Receptos, Inc. (a) | 8,674 | 443,675 | |
Repligen Corp. (a)(e) | 22,800 | 434,568 | |
Sangamo Biosciences, Inc. (a)(e) | 12,202 | 174,489 | |
Sarepta Therapeutics, Inc. (a) | 1,735 | 39,784 | |
Synageva BioPharma Corp. (a)(e) | 2,641 | 190,601 | |
| 15,103,803 | ||
Health Care Equipment & Supplies - 4.0% | |||
Abaxis, Inc. | 2,262 | 108,011 | |
Align Technology, Inc. (a) | 35,466 | 1,931,478 | |
Anika Therapeutics, Inc. (a) | 10,965 | 460,530 | |
Atrion Corp. | 499 | 159,680 | |
Cantel Medical Corp. | 24,835 | 905,732 | |
Cryolife, Inc. | 8,833 | 88,683 | |
Cyberonics, Inc. (a)(e) | 33,062 | 1,897,428 | |
Globus Medical, Inc. (a) | 28,500 | 516,990 | |
Greatbatch, Inc. (a) | 17,564 | 800,391 | |
Masimo Corp. (a)(e) | 95,716 | 2,147,867 | |
Natus Medical, Inc. (a) | 75,579 | 2,124,526 | |
OraSure Technologies, Inc. (a) | 6,640 | 55,311 | |
Steris Corp. | 506 | 28,483 | |
SurModics, Inc. (a) | 16,675 | 340,504 | |
Symmetry Medical, Inc. (a) | 5,795 | 53,430 | |
Thoratec Corp. (a) | 91,890 | 2,297,250 | |
Vascular Solutions, Inc. (a) | 9,231 | 220,621 | |
Zeltiq Aesthetics, Inc. (a)(e) | 89,847 | 1,887,685 | |
| 16,024,600 | ||
| |||
Shares | Value | ||
Health Care Providers & Services - 5.4% | |||
Alliance Healthcare Services, Inc. (a) | 63,774 | $ 1,814,370 | |
AmSurg Corp. (a) | 46,004 | 2,474,555 | |
Centene Corp. (a) | 26,176 | 2,045,131 | |
Chemed Corp. (e) | 5,989 | 632,498 | |
Corvel Corp. (a) | 16,507 | 675,136 | |
Five Star Quality Care, Inc. (a) | 54,654 | 253,595 | |
Hanger, Inc. (a)(e) | 10,144 | 227,226 | |
HealthSouth Corp. | 18,288 | 720,364 | |
Magellan Health Services, Inc. (a) | 35,538 | 1,985,153 | |
Molina Healthcare, Inc. (a)(e) | 22,940 | 1,097,450 | |
National Healthcare Corp. | 8,413 | 482,065 | |
Owens & Minor, Inc. (e) | 30,693 | 1,055,839 | |
PharMerica Corp. (a) | 65,561 | 1,631,813 | |
Providence Service Corp. (a) | 46,808 | 2,131,168 | |
Select Medical Holdings Corp. | 122,629 | 1,719,259 | |
Team Health Holdings, Inc. (a)(e) | 50,304 | 2,943,790 | |
| 21,889,412 | ||
Health Care Technology - 0.6% | |||
Omnicell, Inc. (a) | 78,417 | 2,207,439 | |
Quality Systems, Inc. | 15,242 | 238,690 | |
| 2,446,129 | ||
Life Sciences Tools & Services - 0.5% | |||
Affymetrix, Inc. (a)(e) | 55,952 | 485,104 | |
Albany Molecular Research, Inc. (a)(e) | 4,988 | 98,762 | |
Cambrex Corp. (a) | 12,212 | 267,687 | |
Luminex Corp. (a) | 3,000 | 56,550 | |
PAREXEL International Corp. (a) | 16,399 | 925,560 | |
| 1,833,663 | ||
Pharmaceuticals - 0.8% | |||
Aerie Pharmaceuticals, Inc. | 13,304 | 217,920 | |
Akorn, Inc. (a) | 9,491 | 370,339 | |
AVANIR Pharmaceuticals Class A (a) | 7,273 | 45,238 | |
DepoMed, Inc. (a) | 10,365 | 159,103 | |
Impax Laboratories, Inc. (a) | 10,782 | 265,668 | |
Lannett Co., Inc. (a)(e) | 11,156 | 439,323 | |
Nektar Therapeutics (a)(e) | 15,054 | 214,670 | |
Pacira Pharmaceuticals, Inc. (a)(e) | 6,443 | 697,519 | |
Pernix Therapeutics Holdings, Inc. (a)(e) | 16,101 | 139,918 | |
Pozen, Inc. (e) | 27,559 | 228,740 | |
Prestige Brands Holdings, Inc. (a) | 6,369 | 220,431 | |
The Medicines Company (a)(e) | 7,494 | 191,921 | |
Theravance, Inc. (a) | 10,304 | 242,762 | |
| 3,433,552 | ||
TOTAL HEALTH CARE | 60,731,159 | ||
INDUSTRIALS - 14.4% | |||
Aerospace & Defense - 2.7% | |||
American Science & Engineering, Inc. | 17,786 | 1,029,809 | |
Astronics Corp. (a) | 27,084 | 1,699,250 | |
Curtiss-Wright Corp. | 30,036 | 2,157,786 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Aerospace & Defense - continued | |||
Engility Holdings, Inc. (a) | 9,270 | $ 325,748 | |
Esterline Technologies Corp. (a) | 17,841 | 2,091,500 | |
Moog, Inc. Class A (a) | 31,998 | 2,268,658 | |
National Presto Industries, Inc. (e) | 1,245 | 81,535 | |
Taser International, Inc. (a)(e) | 21,192 | 332,079 | |
Teledyne Technologies, Inc. (a) | 11,706 | 1,136,301 | |
| 11,122,666 | ||
Airlines - 1.3% | |||
Allegiant Travel Co. | 5,828 | 716,028 | |
Hawaiian Holdings, Inc. (a)(e) | 28,623 | 446,519 | |
JetBlue Airways Corp. (a) | 158,679 | 1,940,644 | |
SkyWest, Inc. | 30,232 | 271,181 | |
Spirit Airlines, Inc. (a) | 29,106 | 2,048,771 | |
| 5,423,143 | ||
Building Products - 0.3% | |||
AAON, Inc. | 8,296 | 154,803 | |
American Woodmark Corp. (a) | 6,398 | 250,930 | |
Insteel Industries, Inc. | 3,563 | 83,659 | |
PGT, Inc. (a) | 68,652 | 717,413 | |
Universal Forest Products, Inc. | 4,298 | 203,510 | |
| 1,410,315 | ||
Commercial Services & Supplies - 2.2% | |||
ACCO Brands Corp. (a) | 50,399 | 389,584 | |
ARC Document Solutions, Inc. (a) | 44,101 | 358,100 | |
Deluxe Corp. | 34,961 | 2,081,928 | |
Ennis, Inc. | 3,779 | 54,531 | |
G&K Services, Inc. Class A | 21,809 | 1,218,905 | |
HNI Corp. | 16,564 | 627,941 | |
Kimball International, Inc. Class B | 102,767 | 1,631,940 | |
UniFirst Corp. | 23,563 | 2,284,433 | |
Viad Corp. | 11,172 | 245,114 | |
West Corp. | 5,397 | 160,075 | |
| 9,052,551 | ||
Construction & Engineering - 0.8% | |||
Argan, Inc. | 57,212 | 2,291,341 | |
Comfort Systems U.S.A., Inc. | 37,564 | 570,973 | |
EMCOR Group, Inc. | 8,092 | 349,574 | |
MYR Group, Inc. (a) | 6,764 | 158,142 | |
| 3,370,030 | ||
Electrical Equipment - 0.2% | |||
EnerSys | 12,267 | 788,645 | |
Machinery - 3.2% | |||
Alamo Group, Inc. | 7,519 | 366,551 | |
Astec Industries, Inc. | 1,588 | 65,966 | |
CIRCOR International, Inc. | 7,797 | 555,068 | |
Douglas Dynamics, Inc. | 3,108 | 61,974 | |
ESCO Technologies, Inc. | 2,999 | 107,964 | |
Federal Signal Corp. | 25,909 | 381,380 | |
Greenbrier Companies, Inc. (e) | 35,747 | 2,556,625 | |
| |||
Shares | Value | ||
Hurco Companies, Inc. | 11,267 | $ 373,388 | |
Hyster-Yale Materials Handling Class A | 25,177 | 1,940,895 | |
Kadant, Inc. | 24,466 | 969,832 | |
Lydall, Inc. (a) | 6,226 | 172,460 | |
Mueller Industries, Inc. | 74,132 | 2,167,620 | |
Mueller Water Products, Inc. Class A | 157,865 | 1,457,094 | |
Rexnord Corp. (a) | 32,972 | 963,112 | |
Standex International Corp. | 7,675 | 572,785 | |
Woodward, Inc. | 2,768 | 144,573 | |
| 12,857,287 | ||
Marine - 0.4% | |||
Knightsbridge Tankers Ltd. (e) | 122,643 | 1,503,603 | |
Scorpio Bulkers, Inc. (a) | 9,420 | 75,172 | |
| 1,578,775 | ||
Professional Services - 1.8% | |||
Barrett Business Services, Inc. | 23,958 | 1,418,074 | |
Exponent, Inc. | 2,276 | 166,285 | |
Huron Consulting Group, Inc. (a) | 388 | 23,466 | |
ICF International, Inc. (a) | 3,281 | 110,832 | |
Korn/Ferry International (a) | 71,457 | 2,161,574 | |
Navigant Consulting, Inc. (a) | 11,729 | 191,065 | |
Resources Connection, Inc. | 65,399 | 1,001,259 | |
RPX Corp. (a) | 122,586 | 1,862,081 | |
TrueBlue, Inc. (a) | 8,088 | 219,508 | |
VSE Corp. | 382 | 22,664 | |
| 7,176,808 | ||
Road & Rail - 1.1% | |||
AMERCO | 7,053 | 1,959,394 | |
ArcBest Corp. | 34,611 | 1,242,535 | |
Marten Transport Ltd. | 5,511 | 109,118 | |
Old Dominion Freight Lines, Inc. (a) | 17,299 | 1,153,324 | |
| 4,464,371 | ||
Trading Companies & Distributors - 0.2% | |||
Aceto Corp. | 19,891 | 382,305 | |
DXP Enterprises, Inc. (a) | 4,127 | 330,655 | |
| 712,960 | ||
Transportation Infrastructure - 0.2% | |||
Wesco Aircraft Holdings, Inc. (a) | 33,087 | 606,816 | |
TOTAL INDUSTRIALS | 58,564,367 | ||
INFORMATION TECHNOLOGY - 18.6% | |||
Communications Equipment - 1.1% | |||
Aruba Networks, Inc. (a)(e) | 98,123 | 2,094,926 | |
Black Box Corp. | 26,995 | 638,432 | |
Communications Systems, Inc. | 7,468 | 84,314 | |
Emulex Corp. (a) | 14,208 | 77,860 | |
Plantronics, Inc. | 10,372 | 495,056 | |
Polycom, Inc. (a) | 20,972 | 277,879 | |
Sonus Networks, Inc. (a) | 137,139 | 517,014 | |
| 4,185,481 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Components - 2.6% | |||
Anixter International, Inc. | 8,818 | $ 786,830 | |
Benchmark Electronics, Inc. (a) | 94,179 | 2,319,629 | |
Daktronics, Inc. | 57,782 | 760,411 | |
DTS, Inc. (a) | 7,456 | 178,124 | |
Fabrinet (a) | 4,191 | 67,852 | |
Newport Corp. (a) | 10,003 | 188,757 | |
Park Electrochemical Corp. | 1,428 | 40,184 | |
Plexus Corp. (a) | 15,891 | 654,550 | |
Sanmina Corp. (a) | 77,050 | 1,809,134 | |
ScanSource, Inc. (a) | 38,444 | 1,482,401 | |
SYNNEX Corp. (a) | 33,630 | 2,345,356 | |
| 10,633,228 | ||
Internet Software & Services - 1.3% | |||
Constant Contact, Inc. (a) | 68,088 | 2,122,303 | |
Dice Holdings, Inc. (a) | 10,248 | 87,006 | |
LogMeIn, Inc. (a)(e) | 19,116 | 808,224 | |
Perficient, Inc. (a) | 22,297 | 383,954 | |
Stamps.com, Inc. (a) | 17,031 | 573,263 | |
Trulia, Inc. (a)(e) | 2,302 | 141,872 | |
United Online, Inc. | 99,132 | 1,265,916 | |
| 5,382,538 | ||
IT Services - 3.4% | |||
Acxiom Corp. (a) | 22,717 | 421,287 | |
Cardtronics, Inc. (a) | 46,656 | 1,656,288 | |
CSG Systems International, Inc. | 43,729 | 1,212,168 | |
EPAM Systems, Inc. (a) | 4,376 | 164,756 | |
ExlService Holdings, Inc. (a) | 21,786 | 594,104 | |
Global Cash Access Holdings, Inc. (a) | 117,227 | 915,543 | |
iGATE Corp. (a) | 25,401 | 950,505 | |
Jack Henry & Associates, Inc. | 34,408 | 1,989,126 | |
Maximus, Inc. | 12,418 | 511,622 | |
MoneyGram International, Inc. (a) | 146,688 | 2,062,433 | |
NCI, Inc. Class A (a) | 11,631 | 106,307 | |
Sapient Corp. (a) | 120,790 | 1,752,663 | |
Syntel, Inc. (a) | 15,090 | 1,348,593 | |
Teletech Holdings, Inc. (a) | 5,583 | 149,904 | |
| 13,835,299 | ||
Semiconductors & Semiconductor Equipment - 4.0% | |||
Amkor Technology, Inc. (a) | 20,025 | 208,260 | |
Cabot Microelectronics Corp. (a) | 25,541 | 1,095,709 | |
Cirrus Logic, Inc. (a)(e) | 22,866 | 552,900 | |
Entegris, Inc. (a) | 6,646 | 80,682 | |
Fairchild Semiconductor International, Inc. (a) | 152,802 | 2,681,675 | |
FormFactor, Inc. (a) | 7,858 | 55,320 | |
Integrated Device Technology, Inc. (a) | 161,000 | 2,648,450 | |
International Rectifier Corp. (a) | 6,442 | 253,815 | |
Intersil Corp. Class A | 11,346 | 170,701 | |
Lattice Semiconductor Corp. (a) | 291,209 | 2,186,980 | |
Microsemi Corp. (a) | 2,913 | 77,602 | |
| |||
Shares | Value | ||
Omnivision Technologies, Inc. (a) | 13,934 | $ 377,751 | |
Rambus, Inc. (a)(e) | 82,318 | 1,021,566 | |
RF Micro Devices, Inc. (a)(e) | 245,276 | 3,058,592 | |
Silicon Image, Inc. (a) | 17,648 | 89,299 | |
Synaptics, Inc. (a) | 6,317 | 518,626 | |
TriQuint Semiconductor, Inc. (a) | 20,450 | 422,599 | |
Ultra Clean Holdings, Inc. (a) | 80,205 | 773,978 | |
| 16,274,505 | ||
Software - 5.7% | |||
Advent Software, Inc. | 73,392 | 2,371,296 | |
Aspen Technology, Inc. (a) | 67,326 | 2,766,425 | |
AVG Technologies NV (a)(e) | 74,848 | 1,312,834 | |
Fair Isaac Corp. | 2,402 | 139,724 | |
Glu Mobile, Inc. (a)(e) | 417,457 | 2,154,078 | |
Manhattan Associates, Inc. (a) | 78,040 | 2,253,795 | |
Monotype Imaging Holdings, Inc. | 41,499 | 1,219,656 | |
NetScout Systems, Inc. (a) | 32,700 | 1,506,489 | |
Pegasystems, Inc. | 87,833 | 1,949,893 | |
QAD, Inc.: | |||
Class A | 5,956 | 123,230 | |
Class B | 3,694 | 63,278 | |
SS&C Technologies Holdings, Inc. (a) | 58,091 | 2,629,199 | |
Take-Two Interactive Software, Inc. (a) | 52,054 | 1,223,790 | |
TeleCommunication Systems, Inc. Class A (a) | 181,935 | 542,166 | |
TiVo, Inc. (a) | 121,244 | 1,708,328 | |
Verint Systems, Inc. (a) | 21,072 | 1,056,339 | |
| 23,020,520 | ||
Technology Hardware, Storage & Peripherals - 0.5% | |||
QLogic Corp. (a) | 111,133 | 1,005,754 | |
Super Micro Computer, Inc. (a) | 45,960 | 1,125,560 | |
| 2,131,314 | ||
TOTAL INFORMATION TECHNOLOGY | 75,462,885 | ||
MATERIALS - 4.3% | |||
Chemicals - 2.2% | |||
A. Schulman, Inc. | 15,878 | 616,543 | |
Balchem Corp. | 27,706 | 1,425,197 | |
FutureFuel Corp. | 117,766 | 1,639,303 | |
Minerals Technologies, Inc. | 39,609 | 2,480,316 | |
Quaker Chemical Corp. | 1,729 | 134,862 | |
Sensient Technologies Corp. | 42,121 | 2,363,409 | |
Stepan Co. | 2,310 | 111,550 | |
Zep, Inc. | 1,092 | 17,341 | |
| 8,788,521 | ||
Containers & Packaging - 0.9% | |||
Graphic Packaging Holding Co. (a) | 243,212 | 3,110,681 | |
Myers Industries, Inc. | 29,617 | 583,751 | |
| 3,694,432 | ||
Metals & Mining - 0.7% | |||
Century Aluminum Co. (a) | 91,531 | 2,286,444 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Globe Specialty Metals, Inc. | 2,928 | $ 60,141 | |
Kaiser Aluminum Corp. | 5,792 | 466,546 | |
| 2,813,131 | ||
Paper & Forest Products - 0.5% | |||
Boise Cascade Co. (a) | 4,151 | 124,779 | |
Schweitzer-Mauduit International, Inc. | 48,124 | 2,061,632 | |
| 2,186,411 | ||
TOTAL MATERIALS | 17,482,495 | ||
TELECOMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.6% | |||
IDT Corp. Class B | 17,208 | 270,338 | |
Inteliquent, Inc. | 169,419 | 2,066,912 | |
Intelsat SA (a) | 5,093 | 89,331 | |
Premiere Global Services, Inc. (a) | 8,967 | 118,095 | |
| 2,544,676 | ||
UTILITIES - 1.8% | |||
Electric Utilities - 0.2% | |||
Cleco Corp. | 7,274 | 410,399 | |
NRG Yield, Inc. Class A | 5,391 | 293,216 | |
Otter Tail Corp. | 3,548 | 101,083 | |
| 804,698 | ||
Gas Utilities - 0.2% | |||
New Jersey Resources Corp. | 12,970 | 677,423 | |
Independent Power Producers & Energy Traders - 0.7% | |||
Dynegy, Inc. (a) | 88,670 | 2,897,736 | |
Multi-Utilities - 0.1% | |||
Avista Corp. (e) | 7,048 | 228,778 | |
NorthWestern Energy Corp. | 7,490 | 361,617 | |
| 590,395 | ||
Water Utilities - 0.6% | |||
American States Water Co. | 68,808 | 2,222,497 | |
Middlesex Water Co. | 4,148 | 85,158 | |
| 2,307,655 | ||
TOTAL UTILITIES | 7,277,907 | ||
TOTAL COMMON STOCKS (Cost $339,346,144) |
|
U.S. Treasury Obligations - 0.1% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.05% to 0.07% 9/18/14 to 3/5/15 (f) | $ 350,000 |
|
Money Market Funds - 16.4% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 7,463,421 | $ 7,463,421 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 59,086,975 | 59,086,975 | |
TOTAL MONEY MARKET FUNDS (Cost $66,550,396) |
| ||
TOTAL INVESTMENT PORTFOLIO - 113.9% (Cost $406,246,469) | 462,174,445 | ||
NET OTHER ASSETS (LIABILITIES) - (13.9)% | (56,405,302) | ||
NET ASSETS - 100% | $ 405,769,143 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
101 ICE Russell 2000 Index Contracts (United States) | Sept. 2014 | $ 11,851,340 | $ 254,593 |
|
The face value of futures purchased as a percentage of net assets is 2.9% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $349,938. |
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 | $ 78,104 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 44,749,793 | $ 44,749,793 | $ - | $ - |
Consumer Staples | 12,555,137 | 12,555,137 | - | - |
Energy | 31,389,000 | 31,389,000 | - | - |
Financials | 84,516,692 | 84,516,692 | - | - |
Health Care | 60,731,159 | 60,731,159 | - | - |
Industrials | 58,564,367 | 58,564,367 | - | - |
Information Technology | 75,462,885 | 75,462,885 | - | - |
Materials | 17,482,495 | 17,482,495 | - | - |
Telecommunication Services | 2,544,676 | 2,544,676 | - | - |
Utilities | 7,277,907 | 7,277,907 | - | - |
U.S. Government and Government Agency Obligations | 349,938 | - | 349,938 | - |
Money Market Funds | 66,550,396 | 66,550,396 | - | - |
Total Investments in Securities: | $ 462,174,445 | $ 461,824,507 | $ 349,938 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 254,593 | $ 254,593 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 254,593 | $ - |
Total Value of Derivatives | $ 254,593 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $58,287,626) - See accompanying schedule: Unaffiliated issuers (cost $339,696,073) | $ 395,624,049 |
|
Fidelity Central Funds (cost $66,550,396) | 66,550,396 |
|
Total Investments (cost $406,246,469) |
| $ 462,174,445 |
Segregated cash with brokers for derivative instruments | 182,654 | |
Receivable for investments sold | 9,642,900 | |
Receivable for fund shares sold | 651,000 | |
Dividends receivable | 257,231 | |
Interest receivable | 193 | |
Distributions receivable from Fidelity Central Funds | 18,585 | |
Receivable for daily variation margin for derivative instruments | 71,710 | |
Other receivables | 1,239 | |
Total assets | 472,999,957 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 5,882,321 | |
Payable for fund shares redeemed | 2,040,171 | |
Accrued management fee | 171,792 | |
Other affiliated payables | 49,555 | |
Collateral on securities loaned, at value | 59,086,975 | |
Total liabilities | 67,230,814 | |
|
|
|
Net Assets | $ 405,769,143 | |
Net Assets consist of: |
| |
Paid in capital | $ 337,410,521 | |
Undistributed net investment income | 1,068,583 | |
Accumulated undistributed net realized gain (loss) on investments | 11,107,470 | |
Net unrealized appreciation (depreciation) on investments | 56,182,569 | |
Net Assets, for 32,275,757 shares outstanding | $ 405,769,143 | |
Net Asset Value, offering price and redemption price per share | $ 12.57 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,359,355 |
Interest |
| 1,654 |
Income from Fidelity Central Funds |
| 78,104 |
Total income |
| 2,439,113 |
|
|
|
Expenses | ||
Management fee | $ 1,055,567 | |
Transfer agent fees | 305,162 | |
Independent trustees' compensation | 2,329 | |
Miscellaneous | 347 | |
Total expenses before reductions | 1,363,405 | |
Expense reductions | (49) | 1,363,356 |
Net investment income (loss) | 1,075,757 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 12,102,687 | |
Futures contracts | (245,591) | |
Total net realized gain (loss) |
| 11,857,096 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (5,379,040) | |
Futures contracts | (1,937) | |
Total change in net unrealized appreciation (depreciation) |
| (5,380,977) |
Net gain (loss) | 6,476,119 | |
Net increase (decrease) in net assets resulting from operations | $ 7,551,876 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,075,757 | $ 2,031,410 |
Net realized gain (loss) | 11,857,096 | 28,911,976 |
Change in net unrealized appreciation (depreciation) | (5,380,977) | 40,694,233 |
Net increase (decrease) in net assets resulting from operations | 7,551,876 | 71,637,619 |
Distributions to shareholders from net investment income | (32,852) | (2,047,855) |
Distributions to shareholders from net realized gain | (12,910,717) | (19,111,093) |
Total distributions | (12,943,569) | (21,158,948) |
Share transactions | 53,049,923 | 265,804,326 |
Reinvestment of distributions | 12,524,067 | 20,432,555 |
Cost of shares redeemed | (69,800,976) | (79,093,040) |
Net increase (decrease) in net assets resulting from share transactions | (4,226,986) | 207,143,841 |
Redemption fees | 43,608 | 154,299 |
Total increase (decrease) in net assets | (9,575,071) | 257,776,811 |
|
|
|
Net Assets | ||
Beginning of period | 415,344,214 | 157,567,403 |
End of period (including undistributed net investment income of $1,068,583 and undistributed net investment income of $25,678, respectively) | $ 405,769,143 | $ 415,344,214 |
Other Information Shares | ||
Sold | 4,303,948 | 22,629,417 |
Issued in reinvestment of distributions | 1,064,067 | 1,736,748 |
Redeemed | (5,695,115) | (6,682,361) |
Net increase (decrease) | (327,100) | 17,683,804 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 H | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.74 | $ 10.56 | $ 9.81 | $ 10.72 | $ 8.05 | $ 5.20 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .03 | .08 | .20 | .07 | .06 | .05 |
Net realized and unrealized gain (loss) | .19 | 2.91 | 1.30 | .14 | 2.67 | 2.86 |
Total from investment operations | .22 | 2.99 | 1.50 | .21 | 2.73 | 2.91 |
Distributions from net investment income | -I | (.07) | (.20) | (.06) | (.06) | (.06) |
Distributions from net realized gain | (.39) | (.75) | (.55) | (1.08) | - | - |
Total distributions | (.39) | (.82) | (.75) | (1.13) J | (.06) | (.06) |
Redemption fees added to paid in capitalD | - I | .01 | - I | .01 | - I | - I |
Net asset value, end of period | $ 12.57 | $ 12.74 | $ 10.56 | $ 9.81 | $ 10.72 | $ 8.05 |
Total Return B, C | 1.97% | 29.35% | 16.15% | 2.87% | 34.01% | 55.93% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .67% A | .67% | .67% | .67% | .67% | .67% |
Expenses net of fee waivers, if any | .67% A | .67% | .67% | .67% | .67% | .67% |
Expenses net of all reductions | .67% A | .67% | .67% | .67% | .67% | .67% |
Net investment income (loss) | .53% A | .70% | 2.02% | .69% | .63% | .77% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 405,769 | $ 415,344 | $ 157,567 | $ 121,874 | $ 113,829 | $ 85,243 |
Portfolio turnover rate F | 101% A | 107% | 106% | 79% | 90% | 98% K |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. IAmount represents less than $.01 per share. JTotal distributions of $1.13 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $1.075 per share. KReflects adjustments to exclude transaction in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Investment Changes (Unaudited)
Geographic Diversification (% of fund's net assets) | |||
As of August 31, 2014 | |||
![]() | Japan | 21.0% |
|
![]() | United Kingdom | 19.0% |
|
![]() | France | 9.3% |
|
![]() | Germany | 8.9% |
|
![]() | Switzerland | 8.4% |
|
![]() | Australia | 7.9% |
|
![]() | Spain | 3.7% |
|
![]() | Hong Kong | 3.1% |
|
![]() | Netherlands | 2.4% |
|
![]() | Other* | 16.3% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
As of February 28, 2014 | |||
![]() | United Kingdom | 19.9% |
|
![]() | Japan | 19.8% |
|
![]() | Germany | 9.4% |
|
![]() | France | 8.6% |
|
![]() | Switzerland | 8.3% |
|
![]() | Australia | 7.4% |
|
![]() | United States of America* | 5.1% |
|
![]() | Sweden | 3.0% |
|
![]() | Italy | 2.9% |
|
![]() | Other | 15.6% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
Asset Allocation as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Stocks and Equity Futures | 99.9 | 99.8 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 | 0.2 |
Top Ten Stocks as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 2.0 | 2.0 |
Novartis AG (Switzerland, Pharmaceuticals) | 1.9 | 1.5 |
Nestle SA (Switzerland, Food Products) | 1.7 | 1.4 |
HSBC Holdings PLC (United Kingdom, Banks) | 1.6 | 1.6 |
BP PLC (United Kingdom, Oil, Gas & Consumable Fuels) | 1.6 | 1.3 |
Sanofi SA (France, Pharmaceuticals) | 1.4 | 0.9 |
Total SA (France, Oil, Gas & Consumable Fuels) | 1.4 | 1.4 |
GlaxoSmithKline PLC (United Kingdom, Pharmaceuticals) | 1.4 | 1.4 |
Banco Santander SA (Spain) (Spain, Banks) | 1.4 | 0.9 |
Royal Dutch Shell PLC Class A (United Kingdom) (United Kingdom, Oil, Gas & Consumable Fuels) | 1.2 | 1.1 |
| 15.6 | |
Market Sectors as of August 31, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 23.5 | 22.2 |
Consumer Discretionary | 13.1 | 13.0 |
Health Care | 11.8 | 11.8 |
Industrials | 11.3 | 13.0 |
Consumer Staples | 9.8 | 8.7 |
Energy | 7.9 | 7.3 |
Telecommunication Services | 6.4 | 4.7 |
Materials | 6.1 | 6.1 |
Information Technology | 4.8 | 5.6 |
Utilities | 3.3 | 2.5 |
Semiannual Report
Fidelity International Enhanced Index Fund
Investments August 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.8% | |||
Shares | Value | ||
Australia - 7.9% | |||
ASX Ltd. | 3,673 | $ 128,606 | |
Australia & New Zealand Banking Group Ltd. | 26,035 | 812,863 | |
BHP Billiton Ltd. | 7,968 | 274,775 | |
Commonwealth Bank of Australia | 11,465 | 870,753 | |
CSL Ltd. | 1,086 | 74,924 | |
DEXUS Property Group unit | 241,205 | 271,454 | |
Echo Entertainment Group Ltd. | 8,977 | 26,494 | |
Fortescue Metals Group Ltd. | 101,347 | 394,703 | |
Insurance Australia Group Ltd. | 28,310 | 171,068 | |
Macquarie Group Ltd. | 2,196 | 119,571 | |
National Australia Bank Ltd. | 2,634 | 86,593 | |
Orica Ltd. | 2,457 | 47,042 | |
Ramsay Health Care Ltd. | 1,214 | 58,913 | |
Rio Tinto Ltd. | 1,682 | 98,386 | |
Scentre Group unit (a) | 78,585 | 251,743 | |
Telstra Corp. Ltd. | 96,379 | 500,473 | |
The GPT Group unit | 64,383 | 239,921 | |
Westfield Corp. unit | 21,067 | 149,928 | |
Westpac Banking Corp. | 23,858 | 782,025 | |
Woodside Petroleum Ltd. | 12,045 | 480,351 | |
WorleyParsons Ltd. | 8,113 | 124,568 | |
TOTAL AUSTRALIA | 5,965,154 | ||
Austria - 0.6% | |||
OMV AG | 5,647 | 218,144 | |
Voestalpine AG | 4,837 | 207,510 | |
TOTAL AUSTRIA | 425,654 | ||
Bailiwick of Jersey - 0.5% | |||
Shire PLC | 2,714 | 221,130 | |
Wolseley PLC | 940 | 50,530 | |
WPP PLC | 6,495 | 136,304 | |
TOTAL BAILIWICK OF JERSEY | 407,964 | ||
Belgium - 1.1% | |||
Anheuser-Busch InBev SA NV | 2,934 | 327,296 | |
Belgacom SA | 7,135 | 254,392 | |
Delhaize Group SA | 629 | 43,807 | |
Telenet Group Holding NV (a) | 4,119 | 240,679 | |
TOTAL BELGIUM | 866,174 | ||
Bermuda - 0.0% | |||
Yue Yuen Industrial (Holdings) Ltd. | 8,000 | 24,826 | |
Cayman Islands - 0.6% | |||
MGM China Holdings Ltd. | 91,600 | 303,165 | |
Sands China Ltd. | 19,200 | 125,109 | |
TOTAL CAYMAN ISLANDS | 428,274 | ||
Denmark - 2.2% | |||
A.P. Moller - Maersk A/S Series B | 74 | 185,362 | |
Coloplast A/S Series B | 2,578 | 214,011 | |
| |||
Shares | Value | ||
Novo Nordisk A/S Series B | 9,957 | $ 456,686 | |
Pandora A/S | 4,787 | 357,870 | |
Vestas Wind Systems A/S (a) | 9,879 | 415,800 | |
TOTAL DENMARK | 1,629,729 | ||
Finland - 0.6% | |||
Kone Oyj (B Shares) | 869 | 36,767 | |
Metso Corp. | 1,091 | 42,776 | |
Nokia Corp. | 29,389 | 246,822 | |
Sampo Oyj (A Shares) | 3,353 | 164,904 | |
TOTAL FINLAND | 491,269 | ||
France - 9.3% | |||
Arkema SA | 559 | 41,947 | |
AXA SA | 5,855 | 145,016 | |
BNP Paribas SA | 9,579 | 646,685 | |
Bouygues SA | 1,381 | 50,690 | |
Cap Gemini SA | 4,663 | 331,529 | |
Christian Dior SA | 913 | 162,371 | |
Compagnie de St. Gobain | 3,634 | 184,454 | |
Credit Agricole SA | 14,083 | 208,822 | |
EDF SA | 7,487 | 243,430 | |
GDF Suez | 21,594 | 531,860 | |
Lafarge SA (Bearer) | 461 | 35,314 | |
Lagardere S.C.A. (Reg.) | 2,117 | 58,289 | |
Michelin CGDE Series B | 1,858 | 205,437 | |
Orange SA | 32,547 | 492,664 | |
Renault SA | 1,515 | 118,602 | |
Safran SA | 4,333 | 284,013 | |
Sanofi SA | 9,989 | 1,094,718 | |
SCOR SE | 1,513 | 46,321 | |
Suez Environnement SA | 1,144 | 21,089 | |
Total SA | 15,969 | 1,053,771 | |
Unibail-Rodamco (a) | 783 | 210,291 | |
Valeo SA | 1,882 | 227,428 | |
VINCI SA | 8,071 | 527,593 | |
Wendel SA | 565 | 68,203 | |
TOTAL FRANCE | 6,990,537 | ||
Germany - 7.8% | |||
adidas AG | 903 | 67,678 | |
Allianz SE | 4,700 | 802,636 | |
BASF AG | 3,426 | 352,430 | |
Bayer AG | 2,130 | 285,609 | |
Bayerische Motoren Werke AG (BMW) | 648 | 75,438 | |
Continental AG | 2,249 | 480,199 | |
Daimler AG (Germany) | 5,213 | 426,320 | |
Deutsche Lufthansa AG | 4,652 | 80,532 | |
Deutsche Post AG | 6,823 | 223,096 | |
Deutsche Telekom AG | 26,314 | 394,372 | |
E.ON AG | 2,020 | 36,707 | |
Fresenius SE & Co. KGaA | 1,986 | 96,891 | |
Hannover Reuck SE | 969 | 80,480 | |
Infineon Technologies AG | 34,107 | 396,388 | |
Common Stocks - continued | |||
Shares | Value | ||
Germany - continued | |||
Merck KGaA | 4,989 | $ 434,157 | |
Muenchener Rueckversicherungs AG | 2,523 | 505,884 | |
ProSiebenSat.1 Media AG | 5,049 | 202,441 | |
SAP AG | 569 | 44,350 | |
Siemens AG | 7,151 | 896,457 | |
TOTAL GERMANY | 5,882,065 | ||
Hong Kong - 3.1% | |||
BOC Hong Kong (Holdings) Ltd. | 130,000 | 436,965 | |
Cheung Kong Holdings Ltd. | 27,000 | 492,268 | |
Hang Seng Bank Ltd. | 3,800 | 64,183 | |
HKT Trust/HKT Ltd. unit | 46,000 | 54,487 | |
Hopewell Holdings Ltd. | 22,500 | 80,854 | |
Hutchison Whampoa Ltd. | 27,000 | 351,172 | |
Hysan Development Co. Ltd. | 19,005 | 93,185 | |
SJM Holdings Ltd. | 89,000 | 223,934 | |
Sun Hung Kai Properties Ltd. | 14,000 | 212,437 | |
Wharf Holdings Ltd. | 26,000 | 203,302 | |
Wheelock and Co. Ltd. | 22,000 | 115,251 | |
TOTAL HONG KONG | 2,328,038 | ||
Italy - 2.1% | |||
Atlantia SpA | 10,856 | 275,585 | |
Banca Monte dei Paschi di Siena SpA (a) | 35 | 52 | |
Enel SpA | 98,451 | 520,802 | |
Eni SpA | 9,374 | 234,079 | |
EXOR SpA | 2,223 | 88,445 | |
Fiat SpA (a) | 29,269 | 286,252 | |
Snam Rete Gas SpA | 6,360 | 36,987 | |
Telecom Italia SpA (a) | 154,665 | 178,418 | |
TOTAL ITALY | 1,620,620 | ||
Japan - 21.0% | |||
Aisin Seiki Co. Ltd. | 6,000 | 221,731 | |
Alfresa Holdings Corp. | 300 | 17,819 | |
Asahi Kasei Corp. | 5,000 | 40,098 | |
Astellas Pharma, Inc. | 29,100 | 418,971 | |
Bandai Namco Holdings, Inc. | 1,900 | 53,067 | |
Bank of Yokohama Ltd. | 13,000 | 71,681 | |
Bridgestone Corp. | 10,600 | 363,606 | |
Brother Industries Ltd. | 4,500 | 87,236 | |
Canon, Inc. | 16,700 | 544,981 | |
Central Japan Railway Co. | 3,200 | 448,421 | |
Chiba Bank Ltd. | 4,000 | 28,180 | |
Dai Nippon Printing Co. Ltd. | 3,000 | 31,472 | |
Dai-ichi Mutual Life Insurance Co. | 12,200 | 174,771 | |
Daihatsu Motor Co. Ltd. | 12,800 | 219,597 | |
Daito Trust Construction Co. Ltd. | 1,800 | 222,567 | |
Daiwa House Industry Co. Ltd. | 5,200 | 98,332 | |
DENSO Corp. | 1,600 | 69,401 | |
Fuji Heavy Industries Ltd. | 14,300 | 406,205 | |
Fujifilm Holdings Corp. | 5,500 | 165,748 | |
| |||
Shares | Value | ||
Fujitsu Ltd. | 60,000 | $ 411,572 | |
Hino Motors Ltd. | 5,700 | 80,806 | |
Hirose Electric Co. Ltd. | 200 | 25,816 | |
Hitachi Construction Machinery Co. Ltd. | 13,700 | 269,141 | |
Hoya Corp. | 1,200 | 38,781 | |
Ibiden Co. Ltd. | 5,900 | 115,851 | |
Itochu Corp. | 12,200 | 155,072 | |
Japan Airlines Co. Ltd. | 1,400 | 78,716 | |
JGC Corp. | 4,000 | 115,758 | |
JTEKT Corp. | 2,100 | 33,384 | |
Kao Corp. | 11,500 | 495,723 | |
KDDI Corp. | 9,400 | 541,983 | |
Kinden Corp. | 9,000 | 96,535 | |
Kobe Steel Ltd. | 70,000 | 113,701 | |
Konica Minolta, Inc. | 24,200 | 265,852 | |
Marubeni Corp. | 23,500 | 169,624 | |
Medipal Holdings Corp. | 15,900 | 205,694 | |
Mitsubishi Chemical Holdings Corp. | 9,100 | 45,384 | |
Mitsubishi Electric Corp. | 40,000 | 500,553 | |
Mitsubishi Heavy Industries Ltd. | 59,000 | 363,090 | |
Mitsubishi Motors Corp. of Japan | 6,100 | 69,357 | |
Mitsubishi UFJ Financial Group, Inc. | 60,600 | 349,277 | |
Murata Manufacturing Co. Ltd. | 500 | 47,739 | |
New Hampshire Foods Ltd. | 14,000 | 296,295 | |
Nippon Telegraph & Telephone Corp. | 7,300 | 490,343 | |
Nitori Holdings Co. Ltd. | 600 | 35,984 | |
Nitto Denko Corp. | 2,900 | 151,905 | |
Nomura Holdings, Inc. | 52,000 | 333,784 | |
NSK Ltd. | 8,000 | 106,262 | |
NTT DOCOMO, Inc. | 15,400 | 266,684 | |
OMRON Corp. | 1,400 | 60,618 | |
Oriental Land Co. Ltd. | 700 | 136,205 | |
ORIX Corp. | 31,500 | 475,323 | |
Otsuka Holdings Co. Ltd. | 12,400 | 450,736 | |
Panasonic Corp. | 18,300 | 223,733 | |
Resona Holdings, Inc. | 76,100 | 412,664 | |
Ricoh Co. Ltd. | 4,700 | 50,842 | |
ROHM Co. Ltd. | 2,200 | 140,401 | |
Seiko Epson Corp. | 7,400 | 374,819 | |
Sekisui House Ltd. | 9,500 | 119,429 | |
Shimamura Co. Ltd. | 2,000 | 180,307 | |
Shiseido Co. Ltd. | 15,000 | 276,803 | |
Shizuoka Bank Ltd. | 4,000 | 41,482 | |
SoftBank Corp. | 400 | 28,902 | |
Sojitz Corp. | 171,500 | 283,512 | |
Sumitomo Corp. | 8,200 | 105,845 | |
Sumitomo Electric Industries Ltd. | 3,000 | 43,914 | |
Sumitomo Metal Mining Co. Ltd. | 7,000 | 106,199 | |
Sumitomo Mitsui Financial Group, Inc. | 16,400 | 663,365 | |
Suzuki Motor Corp. | 6,900 | 224,219 | |
T&D Holdings, Inc. | 3,800 | 47,132 | |
Taisei Corp. | 6,000 | 35,754 | |
Tokio Marine Holdings, Inc. | 10,300 | 313,965 | |
Tokyo Tatemono Co. Ltd. | 5,000 | 42,770 | |
Common Stocks - continued | |||
Shares | Value | ||
Japan - continued | |||
Toyoda Gosei Co. Ltd. | 4,300 | $ 81,871 | |
Toyota Motor Corp. | 9,000 | 513,531 | |
West Japan Railway Co. | 5,300 | 250,648 | |
Yamaguchi Financial Group, Inc. | 27,000 | 265,472 | |
TOTAL JAPAN | 15,905,011 | ||
Luxembourg - 0.6% | |||
ArcelorMittal SA (Netherlands) | 5,242 | 76,191 | |
Subsea 7 SA (a) | 4,908 | 81,642 | |
Tenaris SA | 12,471 | 275,560 | |
TOTAL LUXEMBOURG | 433,393 | ||
Netherlands - 2.4% | |||
AEGON NV | 8,289 | 65,546 | |
Akzo Nobel NV | 713 | 50,393 | |
Heineken Holding NV | 2,953 | 203,821 | |
Heineken NV (Bearer) | 4,851 | 369,053 | |
Koninklijke Ahold NV | 24,478 | 418,117 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 17,381 | 722,793 | |
TOTAL NETHERLANDS | 1,829,723 | ||
Norway - 1.6% | |||
DNB ASA | 7,993 | 149,080 | |
Statoil ASA | 17,430 | 490,302 | |
Telenor ASA | 7,808 | 179,014 | |
Yara International ASA | 8,075 | 405,186 | |
TOTAL NORWAY | 1,223,582 | ||
Portugal - 0.1% | |||
Energias de Portugal SA | 10,230 | 49,519 | |
Singapore - 1.8% | |||
ComfortDelgro Corp. Ltd. | 77,000 | 154,734 | |
DBS Group Holdings Ltd. | 9,304 | 133,484 | |
Jardine Cycle & Carriage Ltd. | 5,000 | 180,377 | |
Oversea-Chinese Banking Corp. Ltd. | 48,000 | 384,292 | |
Oversea-Chinese Banking Corp. Ltd. rights 9/15/14 (a) | 6,000 | 11,289 | |
United Overseas Bank Ltd. | 15,384 | 282,419 | |
Wilmar International Ltd. | 94,000 | 237,813 | |
TOTAL SINGAPORE | 1,384,408 | ||
Spain - 3.7% | |||
Abertis Infraestructuras SA | 8,859 | 186,361 | |
Amadeus IT Holding SA Class A | 1,864 | 69,312 | |
Banco Bilbao Vizcaya Argentaria SA | 3,123 | 37,806 | |
Banco Santander SA (Spain) | 103,581 | 1,031,984 | |
Distribuidora Internacional de Alimentacion SA | 22,336 | 188,064 | |
Enagas SA | 7,466 | 248,878 | |
Gas Natural SDG SA | 12,304 | 377,253 | |
Grifols SA | 1,056 | 49,160 | |
MAPFRE SA (Reg.) | 27,182 | 101,897 | |
| |||
Shares | Value | ||
Red Electrica Corporacion SA | 3,533 | $ 297,518 | |
Telefonica SA | 13,371 | 212,128 | |
TOTAL SPAIN | 2,800,361 | ||
Sweden - 2.4% | |||
Atlas Copco AB (A Shares) | 2,472 | 71,975 | |
Getinge AB (B Shares) | 1,998 | 52,228 | |
H&M Hennes & Mauritz AB (B Shares) | 12,310 | 523,627 | |
Industrivarden AB (C Shares) | 2,875 | 51,830 | |
Investor AB (B Shares) | 5,988 | 221,897 | |
Securitas AB (B Shares) | 19,046 | 208,057 | |
Skandinaviska Enskilda Banken AB (A Shares) | 1 | 13 | |
Telefonaktiebolaget LM Ericsson (B Shares) | 22,987 | 286,453 | |
TeliaSonera AB | 51,087 | 372,778 | |
TOTAL SWEDEN | 1,788,858 | ||
Switzerland - 8.4% | |||
Actelion Ltd. | 1,936 | 237,664 | |
Adecco SA (Reg.) | 5,703 | 431,740 | |
Geberit AG (Reg.) | 531 | 180,172 | |
Givaudan SA | 108 | 179,284 | |
Nestle SA | 16,403 | 1,272,354 | |
Novartis AG | 15,585 | 1,400,257 | |
Roche Holding AG (participation certificate) | 5,169 | 1,509,648 | |
Swatch Group AG (Bearer) | 287 | 155,622 | |
Swiss Re Ltd. | 2,471 | 202,541 | |
Transocean Ltd. (Switzerland) | 983 | 37,819 | |
UBS AG | 40,099 | 719,649 | |
TOTAL SWITZERLAND | 6,326,750 | ||
United Kingdom - 19.0% | |||
Admiral Group PLC | 2,827 | 62,655 | |
Anglo American PLC (United Kingdom) | 20,557 | 521,969 | |
Antofagasta PLC | 20,613 | 268,803 | |
Associated British Foods PLC | 722 | 34,317 | |
AstraZeneca PLC: | |||
(United Kingdom) | 1,546 | 117,973 | |
sponsored ADR | 4,707 | 357,779 | |
Aviva PLC | 10,491 | 90,798 | |
BG Group PLC | 199 | 3,967 | |
BHP Billiton PLC | 12,836 | 404,608 | |
BP PLC | 148,786 | 1,186,875 | |
British American Tobacco PLC (United Kingdom) | 6,349 | 375,374 | |
British Sky Broadcasting Group PLC | 30,071 | 436,072 | |
BT Group PLC | 101,128 | 650,188 | |
Capita Group PLC | 11,723 | 238,798 | |
Diageo PLC | 2,344 | 69,172 | |
easyJet PLC | 13,295 | 294,657 | |
GlaxoSmithKline PLC | 1,351 | 33,018 | |
GlaxoSmithKline PLC sponsored ADR (e) | 20,403 | 1,001,787 | |
Common Stocks - continued | |||
Shares | Value | ||
United Kingdom - continued | |||
HSBC Holdings PLC: | |||
(United Kingdom) | 36,744 | $ 397,173 | |
sponsored ADR (e) | 15,094 | 815,982 | |
Imperial Tobacco Group PLC | 13,444 | 586,322 | |
ITV PLC | 117,518 | 412,046 | |
J Sainsbury PLC | 56,819 | 273,834 | |
Kingfisher PLC | 21,591 | 108,859 | |
Land Securities Group PLC | 1,891 | 33,968 | |
Lloyds Banking Group PLC (a) | 286,096 | 362,661 | |
London Stock Exchange Group PLC | 981 | 33,272 | |
Marks & Spencer Group PLC | 33,880 | 241,801 | |
National Grid PLC | 8,523 | 127,368 | |
Next PLC | 3,623 | 426,745 | |
Old Mutual PLC | 28,487 | 94,065 | |
Pearson PLC | 1,706 | 31,466 | |
Persimmon PLC | 10,745 | 236,179 | |
Reckitt Benckiser Group PLC | 2,245 | 195,669 | |
Rexam PLC | 1,162 | 9,781 | |
Rio Tinto PLC | 13,761 | 735,803 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 22,730 | 919,921 | |
Class B (United Kingdom) | 18,778 | 793,164 | |
Schroders PLC | 848 | 34,294 | |
Scottish & Southern Energy PLC | 2,240 | 56,450 | |
Standard Chartered PLC (United Kingdom) | 24,135 | 486,021 | |
Tesco PLC | 126,731 | 484,421 | |
Unilever PLC | 2,333 | 102,909 | |
Vodafone Group PLC | 63,512 | 218,285 | |
TOTAL UNITED KINGDOM | 14,367,269 | ||
TOTAL COMMON STOCKS (Cost $69,568,051) |
| ||
Nonconvertible Preferred Stocks - 1.2% | |||
|
|
|
|
Germany - 1.1% | |||
Henkel AG & Co. KGaA | 3,815 | 400,015 | |
Volkswagen AG | 2,008 | 450,773 | |
TOTAL GERMANY | 850,788 | ||
Italy - 0.1% | |||
Telecom Italia SpA (Risparmio Shares) | 78,802 | 72,567 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $919,707) |
|
Government Obligations - 0.4% | ||||
| Principal Amount | Value | ||
United States of America - 0.4% | ||||
U.S. Treasury Bills, yield at date of purchase 0.05% 3/5/15 (f) | $ 250,000 | $ 249,939 |
Money Market Funds - 7.2% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 3,754,134 | 3,754,132 | |
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(d) | 1,688,500 | 1,688,500 | |
TOTAL MONEY MARKET FUNDS (Cost $5,442,632) |
| ||
TOTAL INVESTMENT PORTFOLIO - 105.6% (Cost $76,180,329) | 79,785,104 | ||
NET OTHER ASSETS (LIABILITIES) - (5.6)% | (4,218,925) | ||
NET ASSETS - 100% | $ 75,566,179 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
15 NYSE E-mini MSCI EAFE Index Contracts (United States) | Sept. 2014 | $ 1,440,600 | $ (26,890) |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $234,943. |
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 | $ 18,616 |
Other Information |
Categorizations in the Schedule of Investments are based on country or territory of incorporation. |
The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 9,870,646 | $ 8,710,826 | $ 1,159,820 | $ - |
Consumer Staples | 7,373,972 | 3,975,846 | 3,398,126 | - |
Energy | 5,900,163 | 942,524 | 4,957,639 | - |
Financials | 17,815,236 | 12,167,243 | 5,647,993 | - |
Health Care | 8,789,773 | 3,956,343 | 4,833,430 | - |
Industrials | 8,620,682 | 7,724,225 | 896,457 | - |
Information Technology | 3,705,110 | 2,582,504 | 1,122,606 | - |
Materials | 4,561,412 | 2,548,066 | 2,013,346 | - |
Telecommunication Services | 4,907,676 | 1,903,127 | 3,004,549 | - |
Utilities | 2,547,861 | 2,420,493 | 127,368 | - |
Government Obligations | 249,939 | - | 249,939 | - |
Money Market Funds | 5,442,634 | 5,442,634 | - | - |
Total Investments in Securities: | $ 79,785,104 | $ 52,373,831 | $ 27,411,273 | $ - |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $ (26,890) | $ (26,890) | $ - | $ - |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2014. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements: |
Transfers | Total |
Level 1 to Level 2 | $ 305,693 |
Level 2 to Level 1 | $ 2,881,912 |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (26,890) |
Total Value of Derivatives | $ - | $ (26,890) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $1,658,842) - See accompanying schedule: Unaffiliated issuers (cost $70,737,697) | $ 74,342,472 |
|
Fidelity Central Funds (cost $5,442,632) | 5,442,632 |
|
Total Investments (cost $76,180,329) |
| $ 79,785,104 |
Foreign currency held at value (cost $99,767) | 97,879 | |
Receivable for investments sold | 2,111,512 | |
Receivable for fund shares sold | 578,533 | |
Dividends receivable | 239,802 | |
Interest receivable | 69 | |
Distributions receivable from Fidelity Central Funds | 225 | |
Other receivables | 13 | |
Total assets | 82,813,137 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 5,286,622 | |
Payable for fund shares redeemed | 234,195 | |
Accrued management fee | 28,472 | |
Payable for daily variation margin for derivative instruments | 81 | |
Other affiliated payables | 9,088 | |
Collateral on securities loaned, at value | 1,688,500 | |
Total liabilities | 7,246,958 | |
|
|
|
Net Assets | $ 75,566,179 | |
Net Assets consist of: |
| |
Paid in capital | $ 70,752,457 | |
Undistributed net investment income | 1,002,443 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 235,428 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 3,575,851 | |
Net Assets, for 8,431,825 shares outstanding | $ 75,566,179 | |
Net Asset Value, offering price and redemption price per share ($75,566,179 ÷ 8,431,825 shares) | $ 8.96 |
Statement of Operations
Six months ended August 31, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 1,262,920 |
Interest |
| 542 |
Income from Fidelity Central Funds |
| 18,616 |
Income before foreign taxes withheld |
| 1,282,078 |
Less foreign taxes withheld |
| (94,314) |
Total income |
| 1,187,764 |
|
|
|
Expenses | ||
Management fee | $ 136,247 | |
Transfer agent fees | 43,578 | |
Independent trustees' compensation | 299 | |
Miscellaneous | 40 | |
Total expenses | 180,164 | |
Net investment income (loss) | 1,007,600 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,285,513 | |
Foreign currency transactions | (879) | |
Futures contracts | (31,670) | |
Total net realized gain (loss) |
| 1,252,964 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (1,499,098) | |
Assets and liabilities in foreign currencies | (7,847) | |
Futures contracts | (41,812) | |
Total change in net unrealized appreciation (depreciation) |
| (1,548,757) |
Net gain (loss) | (295,793) | |
Net increase (decrease) in net assets resulting from operations | $ 711,807 |
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 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,007,600 | $ 1,211,126 |
Net realized gain (loss) | 1,252,964 | 2,617,466 |
Change in net unrealized appreciation (depreciation) | (1,548,757) | 2,954,184 |
Net increase (decrease) in net assets resulting from operations | 711,807 | 6,782,776 |
Distributions to shareholders from net investment income | (273,601) | (694,999) |
Distributions to shareholders from net realized gain | (16,094) | (57,603) |
Total distributions | (289,695) | (752,602) |
Share transactions | 36,932,627 | 19,510,478 |
Reinvestment of distributions | 279,799 | 723,305 |
Cost of shares redeemed | (6,900,399) | (11,849,737) |
Net increase (decrease) in net assets resulting from share transactions | 30,312,027 | 8,384,046 |
Redemption fees | 4,137 | 2,035 |
Total increase (decrease) in net assets | 30,738,276 | 14,416,255 |
|
|
|
Net Assets | ||
Beginning of period | 44,827,903 | 30,411,648 |
End of period (including undistributed net investment income of $1,002,443 and undistributed net investment income of $268,444, respectively) | $ 75,566,179 | $ 44,827,903 |
Other Information Shares | ||
Sold | 4,110,883 | 2,360,127 |
Issued in reinvestment of distributions | 32,497 | 88,370 |
Redeemed | (774,303) | (1,467,277) |
Net increase (decrease) | 3,369,077 | 981,220 |
Financial Highlights
| Six months ended | Years ended February 28, | ||||
| (Unaudited) | 2014 | 2013 | 2012 J | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.85 | $ 7.45 | $ 6.95 | $ 7.77 | $ 6.58 | $ 4.42 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .15 | .28 G | .21 | .20 | .17 | .15 |
Net realized and unrealized gain (loss) | .01 H | 1.29 | .52 | (.82) | 1.19 | 2.17 |
Total from investment operations | .16 | 1.57 | .73 | (.62) | 1.36 | 2.32 |
Distributions from net investment income | (.05) | (.15) | (.21) | (.19) | (.17) | (.14) |
Distributions from net realized gain | - K | (.01) | (.02) | (.01) | - | (.02) |
Total distributions | (.05) | (.17) L | (.23) | (.20) | (.17) | (.16) |
Redemption fees added to paid in capital D, K | - | - | - | - | - | - |
Net asset value, end of period | $ 8.96 | $ 8.85 | $ 7.45 | $ 6.95 | $ 7.77 | $ 6.58 |
Total Return B, C | 1.88% | 21.21% | 10.64% | (7.81)% | 20.95% | 52.44% |
Ratios to Average Net Assets E, I |
|
|
|
|
|
|
Expenses before reductions | .62% A | .62% | .62% | .62% | .62% | .62% |
Expenses net of fee waivers, if any | .62% A | .62% | .62% | .62% | .62% | .62% |
Expenses net of all reductions | .62% A | .62% | .62% | .62% | .62% | .62% |
Net investment income (loss) | 3.46% A | 3.40% G | 3.04% | 2.84% | 2.50% | 2.39% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 75,566 | $ 44,828 | $ 30,412 | $ 26,066 | $ 25,475 | $ 19,958 |
Portfolio turnover rate F | 70% A | 63% | 56% | 49% | 32% | 22% M |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GInvestment income per share reflects a large, non-recurring dividend which amounted to $.06 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 2.64%. HThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund. IExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. JFor the year ended February 29. KAmount represents less than $.01 per share. LTotal distributions of $.17 per share is comprised of distributions from net investment income of $.153 and distributions from net realized gain of $.013 per share. MReflects adjustments to exclude transactions in money market mutual funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended August 31, 2014 (Unaudited)
1. Organization.
Fidelity® Large Cap Growth Enhanced Index Fund, Fidelity Large Cap Value Enhanced Index Fund, Fidelity Large Cap Core Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund (the Funds) are funds of Fidelity Commonwealth Trust II (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Funds:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2014, including information on transfers between Levels 1 and 2, is included at the end of each applicable Fund's Schedule of Investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Foreign Currency. The Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Funds determine the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, 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 investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
| Tax cost | Gross unrealized | Gross unrealized | Net unrealized |
Fidelity Large Cap Growth Enhanced Index Fund | $ 227,608,396 | $ 67,036,248 | $ (1,397,511) | $ 65,638,737 |
Fidelity Large Cap Value Enhanced Index Fund | 654,228,435 | 63,146,383 | (4,845,570) | 58,300,813 |
Fidelity Large Cap Core Enhanced Index Fund | 248,917,324 | 52,614,377 | (2,055,262) | 50,559,115 |
Fidelity Mid Cap Enhanced Index Fund | 328,915,621 | 53,710,801 | (4,673,249) | 49,037,552 |
Fidelity Small Cap Enhanced Index Fund | 406,951,641 | 67,500,166 | (12,277,362) | 55,222,804 |
Fidelity International Enhanced Index Fund | 76,223,523 | 6,162,355 | (2,600,774) | 3,561,581 |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| Fiscal year of expiration |
| |
| 2018 | 2019 | Total with expiration |
Fidelity Large Cap Core Enhanced Index Fund | $ (11,201,287) | $ - | $ (11,201,287) |
Fidelity Mid Cap Enhanced Index Fund | (115,264) | (508,445) | (623,709) |
Fidelity International Enhanced Index Fund | (174,650) | (754,234) | (928,884) |
| No expiration |
|
|
Long-term | Total capital loss |
Fidelity Large Cap Core Enhanced Index Fund | $ (6,411,181) | $ (17,612,468) |
Due to large redemptions or subscriptions in a prior period, capital losses that will be available to offset future capital gains of Fidelity Large Cap Core Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund will be limited to approximately $4,403,117, $541,266 and $706,051 per year, respectively.
Short Term Trading (Redemption) Fees. Shares held by investors of Fidelity Small Cap Enhanced Index Fund less than 90 days may be subject to a redemption fee equal to 1.50% of the NAV of shares redeemed. Shares held by investors of Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days may be subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Funds' investment objective allows the Funds to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Funds used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Funds may not achieve their objectives.
The Funds' use of derivatives increased or decreased their exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized | Change in Net |
Fidelity Large Cap Growth Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 302,301 | $ 63,056 |
Fidelity Large Cap Value Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ (23,766) | $ 138,925 |
Fidelity Large Cap Core Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 553,579 | $ (134,787) |
Fidelity Mid Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ 496,289 | $ 80,704 |
Fidelity Small Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ (245,591) | $ (1,937) |
Fidelity International Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts (a) | $ (31,670) | $ (41,812) |
(a) A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Funds used futures contracts to manage their exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, are noted in the table below.
| Purchases ($) | Sales ($) |
Fidelity Large Cap Growth Enhanced Index Fund | 125,106,633 | 108,294,068 |
Fidelity Large Cap Value Enhanced Index Fund | 636,028,729 | 162,559,629 |
Fidelity Large Cap Core Enhanced Index Fund | 204,379,345 | 382,652,217 |
Fidelity Mid Cap Enhanced Index Fund | 233,166,335 | 160,612,441 |
Fidelity Small Cap Enhanced Index Fund | 201,029,743 | 220,029,686 |
Fidelity International Enhanced Index Fund | 51,139,049 | 19,388,093 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Strategic Advisers, Inc. (the investment adviser), 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 the investment adviser. The management fee is based on an annual rate of 0.30% of average net assets for Fidelity Large Cap Growth Enhanced Index,
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Management Fee and Expense Contract - continued
Fidelity Large Cap Value Enhanced Index and Fidelity Large Cap Core Enhanced Index, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index, 0.52% of average net assets for Fidelity Small Cap Enhanced Index and 0.47% of average net assets for Fidelity International Enhanced Index. Under the management contract, the investment adviser 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 the investment adviser 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, the investment adviser 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 the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, 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 up to the annualized maximum rate of 0.15% of average net assets.
Exchanges In-Kind. During the period, certain investment companies managed by the investment adviser or its affiliates (Investing Funds) completed exchanges in-kind with Fidelity Large Cap Value Enhanced Index Fund. The Investing Funds delivered cash and investments valued at $111,412,063 in exchange for 10,137,585 shares of Fidelity Large Cap Value Enhanced Index Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets. Fidelity Large Cap Value Enhanced Index Fund recognized no gain or loss for federal income tax purposes.
6. Investments in Fidelity Central Funds.
The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Securities Lending Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Fidelity Large Cap Growth Enhanced Index Fund | $ 210 |
Fidelity Large Cap Value Enhanced Index Fund | 189 |
Fidelity Large Cap Core Enhanced Index Fund | 362 |
Fidelity Mid Cap Enhanced Index Fund | 238 |
Fidelity Small Cap Enhanced Index Fund | 347 |
Fidelity International Enhanced Index Fund | 40 |
During the period, the Funds did not borrow on this line of credit.
8. Security Lending.
Certain Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Funds may apply collateral received from the borrower against the obligation. The Funds may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds. Security lending activity was as follows:
| Total Security |
Fidelity Large Cap Growth Enhanced Index Fund | $ 5,278 |
Fidelity Large Cap Value Enhanced Index Fund | 5,268 |
Fidelity Large Cap Core Enhanced Index Fund | 4,898 |
Fidelity Mid Cap Enhanced Index Fund | 12,141 |
Fidelity Small Cap Enhanced Index Fund | 78,104 |
Fidelity International Enhanced Index Fund | 18,616 |
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 Growth Enhanced Index Fund | $ 11 |
Fidelity Large Cap Value Enhanced Index Fund | 17 |
Fidelity Large Cap Core Enhanced Index Fund | 36 |
Fidelity Mid Cap Enhanced Index Fund | 20 |
Fidelity Small Cap Enhanced Index Fund | 49 |
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.
Semiannual Report
Proxy Voting Results
A special meeting of each fund's shareholders was held on September 5, 2014. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A, B | ||
| # of | % of |
Elizabeth S. Acton | ||
Affirmative | 687,490,189.03 | 95.996 |
Withheld | 28,678,073.55 | 4.004 |
TOTAL | 716,168,262.58 | 100.000 |
James C. Curvey | ||
Affirmative | 686,640,141.45 | 95.877 |
Withheld | 29,528,121.13 | 4.123 |
TOTAL | 716,168,262.58 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 685,880,340.57 | 95.771 |
Withheld | 30,287,922.01 | 4.229 |
TOTAL | 716,168,262.58 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 685,617,929.44 | 95.734 |
Withheld | 30,550,333.14 | 4.266 |
TOTAL | 716,168,262.58 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 685,740,510.02 | 95.751 |
Withheld | 30,427,752.56 | 4.249 |
TOTAL | 716,168,262.58 | 100.000 |
Robert F. Gartland | ||
Affirmative | 684,299,694.57 | 95.550 |
Withheld | 31,868,568.01 | 4.450 |
TOTAL | 716,168,262.58 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 682,582,366.40 | 95.310 |
Withheld | 33,585,896.18 | 4.690 |
TOTAL | 716,168,262.58 | 100.000 |
James H. Keyes | ||
Affirmative | 682,418,057.84 | 95.287 |
Withheld | 33,750,204.74 | 4.713 |
TOTAL | 716,168,262.58 | 100.000 |
Marie L. Knowles | ||
Affirmative | 682,932,832.22 | 95.359 |
Withheld | 33,235,430.36 | 4.641 |
TOTAL | 716,168,262.58 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 681,496,539.34 | 95.159 |
Withheld | 34,671,723.24 | 4.841 |
TOTAL | 716,168,262.58 | 100.000 |
A Denotes trust-wide proposal and voting results. | ||
B Effective on or about the close of business on September 30, 2014. |
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
Investment Sub-Adviser
Geode Capital Management, LLC
Boston, MA
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
GEI-USAN-1014 1.855141.107
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Commonwealth Trust II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Commonwealth Trust II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Commonwealth Trust II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 27, 2014 |
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/ Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 27, 2014 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | October 27, 2014 |