UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | February 29 |
|
|
Date of reporting period: | August 31, 2011 |
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
(2_fidelity_logos) (Registered_Trademark)
August 31, 2011
Contents
Shareholder Expense Example | An example of shareholder expenses | |
| ||
Fidelity® Large Cap Growth Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Value Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Large Cap Core Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
|
|
|
Fidelity Mid Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity Small Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Fidelity International Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
| ||
Notes | Notes to the Financial Statements |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
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, 2011 to August 31, 2011).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized | Beginning | Ending | Expenses Paid |
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 950.60 | $ 2.21 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 917.40 | $ 2.17 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 941.00 | $ 2.20 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Mid Cap Enhanced Index Fund | .60% |
|
|
|
Actual |
| $ 1,000.00 | $ 916.60 | $ 2.89 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 3.05 |
Fidelity Small Cap Enhanced Index Fund | .67% |
|
|
|
Actual |
| $ 1,000.00 | $ 911.10 | $ 3.22 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.77 | $ 3.40 |
Fidelity International Enhanced Index Fund | .62% |
|
|
|
Actual |
| $ 1,000.00 | $ 892.90 | $ 2.95 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.02 | $ 3.15 |
A 5% return per year before expenses
* Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (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, 2011 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 5.2 | 4.5 |
Exxon Mobil Corp. | 3.9 | 5.8 |
Microsoft Corp. | 3.4 | 2.1 |
International Business Machines Corp. | 3.1 | 3.1 |
Google, Inc. Class A | 2.4 | 2.0 |
Philip Morris International, Inc. | 2.0 | 1.6 |
The Coca-Cola Co. | 1.8 | 1.4 |
Oracle Corp. | 1.8 | 1.8 |
Abbott Laboratories | 1.3 | 0.8 |
United Technologies Corp. | 1.3 | 1.0 |
| 26.2 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 26.4 | 30.0 |
Consumer Discretionary | 14.5 | 13.9 |
Consumer Staples | 13.6 | 8.0 |
Industrials | 11.2 | 12.6 |
Health Care | 11.2 | 9.3 |
Energy | 10.3 | 12.9 |
Materials | 5.4 | 5.4 |
Financials | 2.8 | 5.4 |
Telecommunication Services | 1.0 | 0.7 |
Utilities | 0.8 | 0.0 |
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 14.5% | |||
Auto Components - 0.2% | |||
Autoliv, Inc. | 3,510 | $ 195,928 | |
Lear Corp. | 200 | 9,556 | |
| 205,484 | ||
Automobiles - 0.6% | |||
Ford Motor Co. (a)(e) | 42,304 | 470,420 | |
Distributors - 0.4% | |||
Genuine Parts Co. | 5,700 | 313,614 | |
Diversified Consumer Services - 0.3% | |||
ITT Educational Services, Inc. (a)(e) | 3,700 | 266,992 | |
Hotels, Restaurants & Leisure - 3.6% | |||
Brinker International, Inc. | 12,151 | 274,370 | |
International Game Technology | 18,836 | 287,437 | |
McDonald's Corp. | 9,900 | 895,554 | |
Panera Bread Co. Class A (a)(e) | 1,700 | 195,755 | |
Starbucks Corp. (e) | 16,700 | 644,954 | |
Wynn Resorts Ltd. | 900 | 139,248 | |
Yum! Brands, Inc. | 10,200 | 554,574 | |
| 2,991,892 | ||
Internet & Catalog Retail - 1.6% | |||
Amazon.com, Inc. (a)(e) | 3,262 | 702,276 | |
Priceline.com, Inc. (a) | 1,160 | 623,222 | |
| 1,325,498 | ||
Leisure Equipment & Products - 0.4% | |||
Polaris Industries, Inc. | 2,769 | 304,230 | |
Media - 2.4% | |||
CBS Corp. Class B | 6,193 | 155,135 | |
Comcast Corp. Class A | 3,000 | 64,530 | |
DIRECTV (a) | 16,100 | 707,917 | |
DISH Network Corp. Class A (a) | 10,600 | 263,516 | |
Liberty Media Corp. Starz Series A (a) | 400 | 27,548 | |
McGraw-Hill Companies, Inc. | 1,900 | 80,009 | |
Sirius XM Radio, Inc. (a)(e) | 171,300 | 308,340 | |
Time Warner Cable, Inc. | 4,300 | 281,650 | |
Viacom, Inc. Class B (non-vtg.) | 1,300 | 62,712 | |
| 1,951,357 | ||
Multiline Retail - 1.1% | |||
Dollar Tree, Inc. (a) | 2,450 | 174,979 | |
Kohl's Corp. | 9,100 | 421,694 | |
Macy's, Inc. | 9,100 | 236,145 | |
Nordstrom, Inc. | 2,100 | 95,466 | |
| 928,284 | ||
Specialty Retail - 2.3% | |||
AutoZone, Inc. (a)(e) | 1,050 | 322,350 | |
Bed Bath & Beyond, Inc. (a)(e) | 3,300 | 187,638 | |
Home Depot, Inc. | 3,360 | 112,157 | |
Limited Brands, Inc. | 10,624 | 400,950 | |
PetSmart, Inc. | 8,000 | 337,440 | |
Signet Jewelers Ltd. | 7,100 | 276,474 | |
| |||
Shares | Value | ||
TJX Companies, Inc. (e) | 700 | $ 38,234 | |
Williams-Sonoma, Inc. | 6,800 | 225,148 | |
| 1,900,391 | ||
Textiles, Apparel & Luxury Goods - 1.6% | |||
Coach, Inc. | 9,337 | 524,926 | |
NIKE, Inc. Class B | 7,100 | 615,215 | |
VF Corp. | 1,300 | 152,178 | |
| 1,292,319 | ||
TOTAL CONSUMER DISCRETIONARY | 11,950,481 | ||
CONSUMER STAPLES - 13.6% | |||
Beverages - 4.5% | |||
Brown-Forman Corp. Class B (non-vtg.) | 3,061 | 219,627 | |
Coca-Cola Enterprises, Inc. | 12,100 | 334,202 | |
Dr Pepper Snapple Group, Inc. | 10,100 | 388,648 | |
Hansen Natural Corp. (a) | 3,961 | 337,953 | |
PepsiCo, Inc. | 15,612 | 1,005,881 | |
The Coca-Cola Co. | 20,853 | 1,469,094 | |
| 3,755,405 | ||
Food & Staples Retailing - 2.9% | |||
Costco Wholesale Corp. | 3,600 | 282,744 | |
Kroger Co. | 15,500 | 365,180 | |
Safeway, Inc. (e) | 6,200 | 113,646 | |
Wal-Mart Stores, Inc. (e) | 16,600 | 883,286 | |
Walgreen Co. | 15,570 | 548,220 | |
Whole Foods Market, Inc. (e) | 2,644 | 174,583 | |
| 2,367,659 | ||
Food Products - 2.1% | |||
ConAgra Foods, Inc. | 9,053 | 221,074 | |
Hershey Co. (e) | 6,061 | 355,478 | |
Hormel Foods Corp. (e) | 11,100 | 306,471 | |
Mead Johnson Nutrition Co. Class A | 4,400 | 313,500 | |
Sara Lee Corp. | 20,133 | 363,199 | |
Tyson Foods, Inc. Class A | 9,300 | 162,471 | |
| 1,722,193 | ||
Household Products - 1.0% | |||
Clorox Co. (e) | 3,621 | 252,384 | |
Colgate-Palmolive Co. | 5,200 | 467,844 | |
Kimberly-Clark Corp. | 1,100 | 76,076 | |
| 796,304 | ||
Personal Products - 0.4% | |||
Herbalife Ltd. | 6,049 | 337,534 | |
Tobacco - 2.7% | |||
Altria Group, Inc. | 10,600 | 288,214 | |
Lorillard, Inc. | 2,500 | 278,550 | |
Philip Morris International, Inc. | 24,300 | 1,684,476 | |
| 2,251,240 | ||
TOTAL CONSUMER STAPLES | 11,230,335 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - 10.3% | |||
Energy Equipment & Services - 3.1% | |||
Core Laboratories NV | 2,764 | $ 308,407 | |
Halliburton Co. | 11,187 | 496,367 | |
Helmerich & Payne, Inc. (e) | 2,942 | 167,753 | |
National Oilwell Varco, Inc. | 4,193 | 277,241 | |
Schlumberger Ltd. | 13,482 | 1,053,214 | |
SEACOR Holdings, Inc. (e) | 3,100 | 275,094 | |
| 2,578,076 | ||
Oil, Gas & Consumable Fuels - 7.2% | |||
Chevron Corp. | 4,300 | 425,313 | |
ConocoPhillips | 3,500 | 238,245 | |
CVR Energy, Inc. (a) | 9,800 | 279,006 | |
EOG Resources, Inc. (e) | 362 | 33,518 | |
Exxon Mobil Corp. | 43,500 | 3,220,740 | |
HollyFrontier Corp. | 5,983 | 429,340 | |
Marathon Oil Corp. | 7,800 | 209,976 | |
Marathon Petroleum Corp. | 7,800 | 289,068 | |
Murphy Oil Corp. | 2,200 | 117,876 | |
Noble Energy, Inc. (e) | 2,100 | 185,556 | |
Occidental Petroleum Corp. | 1,377 | 119,441 | |
Tesoro Corp. (a) | 3,000 | 72,180 | |
Valero Energy Corp. | 12,700 | 288,544 | |
| 5,908,803 | ||
TOTAL ENERGY | 8,486,879 | ||
FINANCIALS - 2.8% | |||
Consumer Finance - 1.2% | |||
American Express Co. (e) | 12,500 | 621,375 | |
Credit Acceptance Corp. (a) | 854 | 59,046 | |
Discover Financial Services | 11,470 | 288,585 | |
| 969,006 | ||
Real Estate Investment Trusts - 1.6% | |||
Annaly Capital Management, Inc. (e) | 13,100 | 237,503 | |
Apartment Investment & Management Co. Class A | 9,800 | 260,386 | |
Public Storage | 3,800 | 470,174 | |
Rayonier, Inc. (e) | 7,353 | 308,385 | |
Simon Property Group, Inc. (e) | 400 | 47,000 | |
| 1,323,448 | ||
TOTAL FINANCIALS | 2,292,454 | ||
HEALTH CARE - 11.2% | |||
Biotechnology - 1.7% | |||
Amgen, Inc. | 2,311 | 128,041 | |
Biogen Idec, Inc. (a) | 6,056 | 570,475 | |
Celgene Corp. (a) | 1,114 | 66,250 | |
| |||
Shares | Value | ||
Gilead Sciences, Inc. (a)(e) | 8,483 | $ 338,344 | |
United Therapeutics Corp. (a) | 7,200 | 310,680 | |
| 1,413,790 | ||
Health Care Equipment & Supplies - 2.1% | |||
Baxter International, Inc. | 11,513 | 644,498 | |
Becton, Dickinson & Co. | 2,300 | 187,174 | |
C. R. Bard, Inc. (e) | 2,100 | 200,046 | |
CareFusion Corp. (a) | 352 | 9,015 | |
Covidien PLC | 4,900 | 255,682 | |
Hill-Rom Holdings, Inc. | 6,973 | 211,282 | |
Medtronic, Inc. | 5,999 | 210,385 | |
Stryker Corp. | 351 | 17,143 | |
| 1,735,225 | ||
Health Care Providers & Services - 3.2% | |||
Aetna, Inc. | 7,000 | 280,210 | |
AMERIGROUP Corp. (a)(e) | 4,300 | 212,721 | |
AmerisourceBergen Corp. | 7,895 | 312,484 | |
Cardinal Health, Inc. (e) | 8,876 | 377,230 | |
Express Scripts, Inc. (a) | 669 | 31,403 | |
Humana, Inc. | 3,618 | 280,902 | |
McKesson Corp. | 1,100 | 87,923 | |
Medco Health Solutions, Inc. (a) | 3,043 | 164,748 | |
Quest Diagnostics, Inc. (e) | 3,600 | 180,252 | |
UnitedHealth Group, Inc. | 5,900 | 280,368 | |
Wellcare Health Plans, Inc. (a) | 2,400 | 109,992 | |
WellPoint, Inc. | 4,500 | 284,850 | |
| 2,603,083 | ||
Life Sciences Tools & Services - 0.2% | |||
Agilent Technologies, Inc. (a) | 2,200 | 81,114 | |
Pharmaceutical Product Development, Inc. | 1,600 | 50,368 | |
| 131,482 | ||
Pharmaceuticals - 4.0% | |||
Abbott Laboratories | 21,100 | 1,107,961 | |
Allergan, Inc. | 189 | 15,462 | |
Bristol-Myers Squibb Co. (e) | 9,600 | 285,600 | |
Eli Lilly & Co. (e) | 12,677 | 475,514 | |
Forest Laboratories, Inc. (a)(e) | 7,097 | 243,001 | |
Johnson & Johnson | 7,900 | 519,820 | |
Pfizer, Inc. | 11,700 | 222,066 | |
Sanofi-Aventis rights (a) | 691 | 726 | |
Warner Chilcott PLC | 7,981 | 136,156 | |
Watson Pharmaceuticals, Inc. (a)(e) | 4,400 | 295,328 | |
| 3,301,634 | ||
TOTAL HEALTH CARE | 9,185,214 | ||
INDUSTRIALS - 11.2% | |||
Aerospace & Defense - 3.8% | |||
General Dynamics Corp. | 4,400 | 281,952 | |
Honeywell International, Inc. | 7,950 | 380,090 | |
L-3 Communications Holdings, Inc. | 4,200 | 284,844 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Aerospace & Defense - continued | |||
Lockheed Martin Corp. | 6,014 | $ 446,179 | |
Northrop Grumman Corp. | 5,100 | 278,562 | |
Rockwell Collins, Inc. (e) | 700 | 35,322 | |
The Boeing Co. (e) | 4,926 | 329,352 | |
United Technologies Corp. | 14,665 | 1,088,876 | |
| 3,125,177 | ||
Air Freight & Logistics - 0.6% | |||
United Parcel Service, Inc. Class B (e) | 6,703 | 451,715 | |
Construction & Engineering - 0.8% | |||
Fluor Corp. | 6,800 | 412,896 | |
KBR, Inc. | 8,700 | 261,435 | |
| 674,331 | ||
Electrical Equipment - 0.4% | |||
Cooper Industries PLC Class A | 900 | 42,642 | |
Emerson Electric Co. | 6,331 | 294,708 | |
| 337,350 | ||
Industrial Conglomerates - 1.2% | |||
3M Co. (e) | 6,590 | 546,838 | |
Danaher Corp. | 752 | 34,449 | |
General Electric Co. | 13,800 | 225,078 | |
Tyco International Ltd. | 3,800 | 158,004 | |
| 964,369 | ||
Machinery - 3.4% | |||
Caterpillar, Inc. (e) | 6,600 | 600,600 | |
CNH Global NV (a)(e) | 5,000 | 165,600 | |
Cummins, Inc. | 1,518 | 141,053 | |
Deere & Co. (e) | 3,700 | 299,034 | |
Dover Corp. | 3,600 | 207,072 | |
Eaton Corp. | 1,250 | 53,688 | |
Illinois Tool Works, Inc. (e) | 2,704 | 125,844 | |
Joy Global, Inc. | 4,058 | 338,640 | |
Navistar International Corp. (a) | 100 | 4,140 | |
Pall Corp. (e) | 6,100 | 311,893 | |
Parker Hannifin Corp. | 4,800 | 352,464 | |
Timken Co. | 4,900 | 192,815 | |
| 2,792,843 | ||
Professional Services - 0.3% | |||
Towers Watson & Co. | 4,200 | 247,758 | |
Road & Rail - 0.7% | |||
CSX Corp. | 14,100 | 309,354 | |
Union Pacific Corp. | 3,117 | 287,294 | |
| 596,648 | ||
TOTAL INDUSTRIALS | 9,190,191 | ||
INFORMATION TECHNOLOGY - 26.4% | |||
Communications Equipment - 1.6% | |||
Cisco Systems, Inc. | 16,619 | 260,586 | |
| |||
Shares | Value | ||
Motorola Solutions, Inc. | 6,700 | $ 282,003 | |
QUALCOMM, Inc. | 15,711 | 808,488 | |
| 1,351,077 | ||
Computers & Peripherals - 6.5% | |||
Apple, Inc. (a) | 11,025 | 4,242,751 | |
Dell, Inc. (a)(e) | 29,108 | 432,690 | |
EMC Corp. (a) | 13,500 | 304,965 | |
NetApp, Inc. (a)(e) | 8,638 | 324,962 | |
| 5,305,368 | ||
Electronic Equipment & Components - 0.2% | |||
Vishay Intertechnology, Inc. (a)(e) | 14,137 | 161,162 | |
Internet Software & Services - 2.4% | |||
Google, Inc. Class A (a) | 3,653 | 1,976,127 | |
IT Services - 6.7% | |||
Accenture PLC Class A (e) | 13,300 | 712,747 | |
Amdocs Ltd. (a) | 9,000 | 247,230 | |
Automatic Data Processing, Inc. | 542 | 27,116 | |
Cognizant Technology Solutions Corp. Class A (a) | 2,300 | 145,935 | |
DST Systems, Inc. | 3,000 | 140,760 | |
Fiserv, Inc. (a) | 3,400 | 189,822 | |
Global Payments, Inc. | 6,300 | 288,729 | |
International Business Machines Corp. (e) | 15,005 | 2,579,510 | |
MasterCard, Inc. Class A | 832 | 274,319 | |
Teradata Corp. (a)(e) | 3,000 | 157,080 | |
The Western Union Co. | 16,800 | 277,536 | |
Visa, Inc. Class A (e) | 5,300 | 465,764 | |
| 5,506,548 | ||
Office Electronics - 0.2% | |||
Zebra Technologies Corp. Class A (a) | 4,119 | 147,996 | |
Semiconductors & Semiconductor Equipment - 1.3% | |||
Altera Corp. | 9,446 | 343,733 | |
Avago Technologies Ltd. | 10,900 | 360,899 | |
Broadcom Corp. Class A | 1,100 | 39,215 | |
Intel Corp. | 11,910 | 239,748 | |
Texas Instruments, Inc. | 2,400 | 62,904 | |
| 1,046,499 | ||
Software - 7.5% | |||
Activision Blizzard, Inc. (e) | 23,400 | 277,056 | |
Adobe Systems, Inc. (a) | 12,603 | 318,100 | |
Autodesk, Inc. (a) | 9,700 | 273,540 | |
BMC Software, Inc. (a) | 6,450 | 261,935 | |
CA, Inc. (e) | 11,600 | 243,484 | |
Electronic Arts, Inc. (a)(e) | 15,100 | 340,958 | |
Intuit, Inc. (e) | 5,000 | 246,650 | |
Microsoft Corp. | 104,186 | 2,771,348 | |
Oracle Corp. | 51,923 | 1,457,479 | |
| 6,190,550 | ||
TOTAL INFORMATION TECHNOLOGY | 21,685,327 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - 5.4% | |||
Chemicals - 3.8% | |||
Albemarle Corp. | 3,608 | $ 182,962 | |
CF Industries Holdings, Inc. | 2,601 | 475,515 | |
E.I. du Pont de Nemours & Co. | 6,700 | 323,409 | |
Eastman Chemical Co. | 3,500 | 289,555 | |
Huntsman Corp. | 14,500 | 190,095 | |
LyondellBasell Industries NV Class A | 8,500 | 294,525 | |
Monsanto Co. | 4,561 | 314,390 | |
PPG Industries, Inc. (e) | 1,848 | 141,538 | |
Praxair, Inc. | 900 | 88,641 | |
Rockwood Holdings, Inc. (a) | 5,707 | 291,057 | |
The Mosaic Co. | 7,100 | 505,023 | |
| 3,096,710 | ||
Metals & Mining - 1.4% | |||
Cliffs Natural Resources, Inc. | 1,410 | 116,819 | |
Freeport-McMoRan Copper & Gold, Inc. | 17,900 | 843,806 | |
Newmont Mining Corp. | 3,050 | 190,991 | |
| 1,151,616 | ||
Paper & Forest Products - 0.2% | |||
Domtar Corp. | 2,474 | 198,712 | |
TOTAL MATERIALS | 4,447,038 | ||
TELECOMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.9% | |||
AT&T, Inc. | 7,995 | 227,698 | |
Verizon Communications, Inc. | 14,202 | 513,686 | |
| 741,384 | ||
Wireless Telecommunication Services - 0.1% | |||
Sprint Nextel Corp. (a)(e) | 13,000 | 48,880 | |
TOTAL TELECOMMUNICATION SERVICES | 790,264 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.3% | |||
Northeast Utilities | 8,100 | 281,070 | |
Multi-Utilities - 0.5% | |||
Ameren Corp. | 4,300 | 130,118 | |
CenterPoint Energy, Inc. | 14,100 | 282,141 | |
| 412,259 | ||
TOTAL UTILITIES | 693,329 | ||
TOTAL COMMON STOCKS (Cost $72,846,883) | 79,951,512 |
U.S. Treasury Obligations - 0.7% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.05% to 0.1% 11/17/11 to 1/19/12 (f) | $ 515,000 | $ 514,969 |
Money Market Funds - 30.5% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 6,612,559 | 6,612,559 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(d) | 18,480,953 | 18,480,953 | |
TOTAL MONEY MARKET FUNDS (Cost $25,093,512) | 25,093,512 |
TOTAL INVESTMENT PORTFOLIO - 128.4% (Cost $98,455,272) | 105,559,993 |
NET OTHER ASSETS (LIABILITIES) - (28.4)% | (23,325,843) | ||
NET ASSETS - 100% | $ 82,234,150 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
34 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 2,070,090 | $ 163,081 |
The face value of futures purchased as a percentage of net assets is 2.5% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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 the period end, the value of securities pledged amounted to $514,969. |
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 | $ 4,329 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 11,950,481 | $ 11,950,481 | $ - | $ - |
Consumer Staples | 11,230,335 | 11,230,335 | - | - |
Energy | 8,486,879 | 8,486,879 | - | - |
Financials | 2,292,454 | 2,292,454 | - | - |
Health Care | 9,185,214 | 9,185,214 | - | - |
Industrials | 9,190,191 | 9,190,191 | - | - |
Information Technology | 21,685,327 | 21,685,327 | - | - |
Materials | 4,447,038 | 4,447,038 | - | - |
Telecommunication Services | 790,264 | 790,264 | - | - |
Utilities | 693,329 | 693,329 | - | - |
U.S. Government and Government Agency Obligations | 514,969 | - | 514,969 | - |
Money Market Funds | 25,093,512 | 25,093,512 | - | - |
Total Investments in Securities: | $ 105,559,993 | $ 105,045,024 | $ 514,969 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 163,081 | $ 163,081 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 163,081 | $ - |
Total Value of Derivatives | $ 163,081 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2011, the Fund had a capital loss carryforward of approximately $6,700,751 of which $97,236, $3,305,345 and $3,298,170 will expire in fiscal 2016, 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $18,111,423) - See accompanying schedule: Unaffiliated issuers (cost $79,974,319) | $ 87,079,040 |
|
Fidelity Central Funds (cost $18,480,953) | 18,480,953 |
|
Total Investments (cost $98,455,272) |
| $ 105,559,993 |
Receivable for investments sold | 4,829,736 | |
Receivable for fund shares sold | 273,708 | |
Dividends receivable | 158,630 | |
Interest receivable | 58 | |
Distributions receivable from Fidelity Central Funds | 886 | |
Receivable for daily variation margin on futures contracts | 91,510 | |
Total assets | 110,914,521 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 10,141,448 | |
Payable for fund shares redeemed | 29,086 | |
Accrued management fee | 19,280 | |
Other affiliated payables | 9,604 | |
Collateral on securities loaned, at value | 18,480,953 | |
Total liabilities | 28,680,371 | |
|
|
|
Net Assets | $ 82,234,150 | |
Net Assets consist of: |
| |
Paid in capital | $ 80,586,288 | |
Undistributed net investment income | 404,559 | |
Accumulated undistributed net realized gain (loss) on investments | (6,024,499) | |
Net unrealized appreciation (depreciation) on investments | 7,267,802 | |
Net Assets, for 8,501,862 shares outstanding | $ 82,234,150 | |
Net Asset Value, offering price and redemption price per share ($82,234,150 ÷ 8,501,862 shares) | $ 9.67 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 582,999 |
Interest |
| 1,588 |
Income from Fidelity Central Funds |
| 4,329 |
Total income |
| 588,916 |
|
|
|
Expenses | ||
Management fee | $ 113,474 | |
Transfer agent fees | 56,845 | |
Independent trustees' compensation | 217 | |
Miscellaneous | 106 | |
Total expenses | 170,642 | |
Net investment income (loss) | 418,274 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,258,713 | |
Futures contracts | (447,758) | |
Total net realized gain (loss) |
| 810,955 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (5,333,039) | |
Futures contracts | 142,784 | |
Total change in net unrealized appreciation (depreciation) |
| (5,190,255) |
Net gain (loss) | (4,379,300) | |
Net increase (decrease) in net assets resulting from operations | $ (3,961,026) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 418,274 | $ 624,173 |
Net realized gain (loss) | 810,955 | 118,632 |
Change in net unrealized appreciation (depreciation) | (5,190,255) | 9,180,999 |
Net increase (decrease) in net assets resulting from operations | (3,961,026) | 9,923,804 |
Distributions to shareholders from net investment income | (121,617) | (603,819) |
Share transactions | 35,104,939 | 32,035,214 |
Reinvestment of distributions | 116,470 | 566,082 |
Cost of shares redeemed | (17,019,479) | (23,618,873) |
Net increase (decrease) in net assets resulting from share transactions | 18,201,930 | 8,982,423 |
Total increase (decrease) in net assets | 14,119,287 | 18,302,408 |
|
|
|
Net Assets | ||
Beginning of period | 68,114,863 | 49,812,455 |
End of period (including undistributed net investment income of $404,559 and undistributed net investment income of $107,902, respectively) | $ 82,234,150 | $ 68,114,863 |
Other Information Shares | ||
Sold | 3,507,289 | 3,413,789 |
Issued in reinvestment of distributions | 11,419 | 59,959 |
Redeemed | (1,701,396) | (2,689,220) |
Net increase (decrease) | 1,817,312 | 784,528 |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.19 | $ 8.44 | $ 5.60 | $ 9.25 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .06 | .11 | .11 | .09 | .08 |
Net realized and unrealized gain (loss) | (.56) | 1.75 | 2.83 | (3.65) | (.78) |
Total from investment operations | (.50) | 1.86 | 2.94 | (3.56) | (.70) |
Distributions from net investment income | (.02) | (.11) | (.10) | (.09) | (.05) |
Net asset value, end of period | $ 9.67 | $ 10.19 | $ 8.44 | $ 5.60 | $ 9.25 |
Total Return B, C | (4.94)% | 22.14% | 52.50% | (38.61)% | (7.05)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% A |
Net investment income (loss) | 1.11% A | 1.25% | 1.42% | 1.14% | .89% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 82,234 | $ 68,115 | $ 49,812 | $ 22,104 | $ 34,942 |
Portfolio turnover rate F | 82% A | 80% | 35% I | 58% I | 36% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period April 19, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Reflects adjustments to exclude transactions in money market mutual funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Chevron Corp. | 3.3 | 2.9 |
General Electric Co. | 3.0 | 2.6 |
AT&T, Inc. | 2.9 | 2.4 |
Pfizer, Inc. | 2.6 | 2.2 |
JPMorgan Chase & Co. | 2.4 | 2.9 |
Procter & Gamble Co. | 2.2 | 2.3 |
Johnson & Johnson | 2.2 | 2.0 |
Wells Fargo & Co. | 1.9 | 2.3 |
Berkshire Hathaway, Inc. Class B | 1.9 | 2.2 |
Cisco Systems, Inc. | 1.7 | 0.0 |
| 24.1 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Financials | 24.2 | 27.0 |
Health Care | 13.5 | 13.1 |
Energy | 11.5 | 13.8 |
Information Technology | 9.0 | 7.0 |
Consumer Staples | 8.6 | 8.1 |
Consumer Discretionary | 8.2 | 8.1 |
Industrials | 8.1 | 9.3 |
Utilities | 6.8 | 5.1 |
Telecommunication Services | 4.7 | 4.4 |
Materials | 3.2 | 3.3 |
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 8.2% | |||
Auto Components - 0.8% | |||
Autoliv, Inc. | 5,100 | $ 284,682 | |
Lear Corp. | 7,300 | 348,794 | |
| 633,476 | ||
Automobiles - 0.1% | |||
Ford Motor Co. (a)(d) | 4,500 | 50,040 | |
Diversified Consumer Services - 0.3% | |||
ITT Educational Services, Inc. (a)(d) | 4,000 | 288,640 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Brinker International, Inc. | 5,753 | 129,903 | |
International Game Technology | 12,600 | 192,276 | |
| 322,179 | ||
Leisure Equipment & Products - 0.3% | |||
Polaris Industries, Inc. | 2,610 | 286,761 | |
Media - 2.1% | |||
Comcast Corp. Class A | 12,977 | 279,135 | |
DISH Network Corp. Class A (a) | 11,100 | 275,946 | |
Liberty Media Corp. Starz Series A (a) | 1,600 | 110,192 | |
News Corp. Class A | 12,055 | 208,190 | |
The Walt Disney Co. | 16,355 | 557,051 | |
Time Warner, Inc. | 5,197 | 164,537 | |
Washington Post Co. Class B | 400 | 142,304 | |
| 1,737,355 | ||
Multiline Retail - 1.0% | |||
Kohl's Corp. | 6,700 | 310,478 | |
Macy's, Inc. | 14,063 | 364,935 | |
Target Corp. | 3,600 | 186,012 | |
| 861,425 | ||
Specialty Retail - 2.1% | |||
American Eagle Outfitters, Inc. | 7,800 | 86,346 | |
Best Buy Co., Inc. (d) | 13,400 | 342,906 | |
Foot Locker, Inc. (d) | 15,200 | 317,224 | |
Limited Brands, Inc. | 7,400 | 279,276 | |
Lowe's Companies, Inc. | 7,100 | 141,503 | |
PetSmart, Inc. | 6,800 | 286,824 | |
Signet Jewelers Ltd. | 7,743 | 301,512 | |
| 1,755,591 | ||
Textiles, Apparel & Luxury Goods - 1.1% | |||
Coach, Inc. | 4,700 | 264,234 | |
NIKE, Inc. Class B | 3,400 | 294,610 | |
VF Corp. | 3,000 | 351,180 | |
| 910,024 | ||
TOTAL CONSUMER DISCRETIONARY | 6,845,491 | ||
CONSUMER STAPLES - 8.6% | |||
Beverages - 1.1% | |||
Coca-Cola Enterprises, Inc. | 11,600 | 320,392 | |
| |||
Shares | Value | ||
Dr Pepper Snapple Group, Inc. | 7,513 | $ 289,100 | |
PepsiCo, Inc. | 4,353 | 280,464 | |
| 889,956 | ||
Food & Staples Retailing - 2.3% | |||
CVS Caremark Corp. (d) | 12,508 | 449,162 | |
Kroger Co. | 14,548 | 342,751 | |
Safeway, Inc. (d) | 12,000 | 219,960 | |
Wal-Mart Stores, Inc. (d) | 11,000 | 585,310 | |
Walgreen Co. | 8,400 | 295,764 | |
| 1,892,947 | ||
Food Products - 1.9% | |||
ConAgra Foods, Inc. | 16,178 | 395,067 | |
Hershey Co. (d) | 3,700 | 217,005 | |
Kraft Foods, Inc. Class A | 13,262 | 464,435 | |
Smithfield Foods, Inc. (a)(d) | 9,500 | 208,240 | |
Tyson Foods, Inc. Class A | 20,217 | 353,191 | |
| 1,637,938 | ||
Household Products - 2.7% | |||
Clorox Co. | 5,700 | 397,290 | |
Procter & Gamble Co. | 29,346 | 1,868,753 | |
| 2,266,043 | ||
Tobacco - 0.6% | |||
Lorillard, Inc. | 4,100 | 456,822 | |
Philip Morris International, Inc. | 400 | 27,728 | |
| 484,550 | ||
TOTAL CONSUMER STAPLES | 7,171,434 | ||
ENERGY - 11.5% | |||
Energy Equipment & Services - 1.1% | |||
National Oilwell Varco, Inc. | 9,002 | 595,212 | |
SEACOR Holdings, Inc. (d) | 3,300 | 292,842 | |
| 888,054 | ||
Oil, Gas & Consumable Fuels - 10.4% | |||
Anadarko Petroleum Corp. | 1,532 | 112,985 | |
Apache Corp. | 739 | 76,169 | |
Chevron Corp. | 27,496 | 2,719,625 | |
ConocoPhillips | 20,300 | 1,381,821 | |
CVR Energy, Inc. (a) | 9,995 | 284,558 | |
Devon Energy Corp. | 1,256 | 85,194 | |
Exxon Mobil Corp. | 13,500 | 999,540 | |
Hess Corp. | 800 | 47,472 | |
HollyFrontier Corp. | 5,074 | 364,110 | |
Marathon Oil Corp. | 19,951 | 537,081 | |
Marathon Petroleum Corp. | 12,525 | 464,177 | |
Murphy Oil Corp. | 4,600 | 246,468 | |
Occidental Petroleum Corp. | 10,218 | 886,309 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Valero Energy Corp. | 20,300 | $ 461,216 | |
Williams Companies, Inc. | 1,500 | 40,485 | |
| 8,707,210 | ||
TOTAL ENERGY | 9,595,264 | ||
FINANCIALS - 24.2% | |||
Capital Markets - 1.7% | |||
Bank of New York Mellon Corp. (d) | 5,775 | 119,369 | |
Goldman Sachs Group, Inc. | 5,836 | 678,260 | |
Morgan Stanley | 34,235 | 599,113 | |
| 1,396,742 | ||
Commercial Banks - 4.9% | |||
BB&T Corp. (d) | 1,700 | 37,893 | |
Fifth Third Bancorp | 36,200 | 384,444 | |
First Citizen Bancshares, Inc. | 900 | 143,100 | |
Huntington Bancshares, Inc. | 58,900 | 296,267 | |
KeyCorp | 33,500 | 222,440 | |
M&T Bank Corp. | 3,000 | 228,210 | |
PNC Financial Services Group, Inc. | 11,785 | 590,900 | |
Popular, Inc. (a) | 31,800 | 66,144 | |
U.S. Bancorp | 21,886 | 507,974 | |
Wells Fargo & Co. | 60,705 | 1,584,401 | |
| 4,061,773 | ||
Consumer Finance - 2.2% | |||
American Express Co. (d) | 11,300 | 561,723 | |
Capital One Financial Corp. | 11,813 | 543,989 | |
Credit Acceptance Corp. (a)(d) | 987 | 68,241 | |
Discover Financial Services | 18,471 | 464,730 | |
SLM Corp. | 15,900 | 218,307 | |
| 1,856,990 | ||
Diversified Financial Services - 5.4% | |||
Bank of America Corp. | 120,212 | 982,132 | |
Citigroup, Inc. | 31,050 | 964,103 | |
CME Group, Inc. | 1,311 | 350,194 | |
JPMorgan Chase & Co. | 52,905 | 1,987,112 | |
The NASDAQ Stock Market, Inc. (a) | 10,700 | 253,483 | |
| 4,537,024 | ||
Insurance - 6.8% | |||
ACE Ltd. | 9,121 | 589,034 | |
AFLAC, Inc. | 1,581 | 59,635 | |
Allied World Assurance Co. Holdings Ltd. | 5,000 | 259,500 | |
Allstate Corp. | 2,600 | 68,198 | |
American International Group, Inc. (a)(d) | 13,200 | 334,356 | |
Axis Capital Holdings Ltd. | 4,160 | 119,226 | |
Berkshire Hathaway, Inc. Class B (a)(d) | 21,300 | 1,554,900 | |
Endurance Specialty Holdings Ltd. | 800 | 28,928 | |
Fidelity National Financial, Inc. Class A | 8,100 | 137,619 | |
Hartford Financial Services Group, Inc. | 4,800 | 91,872 | |
| |||
Shares | Value | ||
HCC Insurance Holdings, Inc. | 2,900 | $ 84,796 | |
Mercury General Corp. | 4,900 | 193,599 | |
MetLife, Inc. | 3,345 | 112,392 | |
Principal Financial Group, Inc. | 3,900 | 98,904 | |
Progressive Corp. | 4,000 | 76,720 | |
Prudential Financial, Inc. | 10,995 | 552,059 | |
Reinsurance Group of America, Inc. | 5,200 | 277,524 | |
The Chubb Corp. | 1,093 | 67,646 | |
The Travelers Companies, Inc. | 11,132 | 561,721 | |
Torchmark Corp. (d) | 2,743 | 104,810 | |
Validus Holdings Ltd. | 11,086 | 286,241 | |
| 5,659,680 | ||
Real Estate Investment Trusts - 3.1% | |||
Annaly Capital Management, Inc. (d) | 26,262 | 476,130 | |
Apartment Investment & Management Co. Class A | 11,400 | 302,898 | |
Equity Residential (SBI) (d) | 1,750 | 107,065 | |
Highwoods Properties, Inc. (SBI) | 4,000 | 131,040 | |
Liberty Property Trust (SBI) (d) | 10,900 | 369,946 | |
MFA Financial, Inc. | 21,000 | 157,290 | |
Public Storage | 2,700 | 334,071 | |
Rayonier, Inc. | 6,600 | 276,804 | |
Simon Property Group, Inc. (d) | 2,095 | 246,163 | |
Vornado Realty Trust (d) | 1,800 | 154,638 | |
| 2,556,045 | ||
Thrifts & Mortgage Finance - 0.1% | |||
First Niagara Financial Group, Inc. | 880 | 9,469 | |
New York Community Bancorp, Inc. (d) | 6,000 | 76,860 | |
| 86,329 | ||
TOTAL FINANCIALS | 20,154,583 | ||
HEALTH CARE - 13.5% | |||
Biotechnology - 1.1% | |||
Amgen, Inc. | 11,100 | 614,996 | |
Biogen Idec, Inc. (a) | 2,986 | 281,281 | |
| 896,277 | ||
Health Care Equipment & Supplies - 0.1% | |||
Zimmer Holdings, Inc. (a)(d) | 1,800 | 102,402 | |
Health Care Providers & Services - 3.5% | |||
Aetna, Inc. | 11,911 | 476,797 | |
AMERIGROUP Corp. (a)(d) | 1,600 | 79,152 | |
Cardinal Health, Inc. (d) | 9,002 | 382,585 | |
Humana, Inc. | 5,517 | 428,340 | |
McKesson Corp. | 1,600 | 127,888 | |
UnitedHealth Group, Inc. | 17,874 | 849,372 | |
WellPoint, Inc. | 9,263 | 586,348 | |
| 2,930,482 | ||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc. (a) | 100 | 5,493 | |
Pharmaceuticals - 8.8% | |||
Bristol-Myers Squibb Co. | 31,950 | 950,513 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Eli Lilly & Co. | 17,165 | $ 643,859 | |
Forest Laboratories, Inc. (a)(d) | 11,037 | 377,907 | |
Johnson & Johnson | 27,925 | 1,837,465 | |
Merck & Co., Inc. | 37,227 | 1,232,958 | |
Pfizer, Inc. | 116,351 | 2,208,342 | |
Warner Chilcott PLC | 5,466 | 93,250 | |
| 7,344,294 | ||
TOTAL HEALTH CARE | 11,278,948 | ||
INDUSTRIALS - 8.1% | |||
Aerospace & Defense - 2.6% | |||
General Dynamics Corp. | 8,475 | 543,078 | |
ITT Corp. | 1,500 | 71,010 | |
L-3 Communications Holdings, Inc. (d) | 5,630 | 381,827 | |
Lockheed Martin Corp. | 4,100 | 304,179 | |
Northrop Grumman Corp. | 8,800 | 480,656 | |
Raytheon Co. | 8,226 | 355,610 | |
| 2,136,360 | ||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. | 300 | 23,616 | |
Airlines - 0.2% | |||
Southwest Airlines Co. (d) | 20,100 | 173,262 | |
Industrial Conglomerates - 3.2% | |||
General Electric Co. | 152,316 | 2,484,274 | |
Tyco International Ltd. | 5,200 | 216,216 | |
| 2,700,490 | ||
Machinery - 0.9% | |||
AGCO Corp. (a) | 1,800 | 77,112 | |
CNH Global NV (a)(d) | 8,300 | 274,896 | |
Eaton Corp. | 2,800 | 120,260 | |
Pall Corp. (d) | 2,000 | 102,260 | |
Parker Hannifin Corp. | 2,000 | 146,860 | |
| 721,388 | ||
Road & Rail - 1.2% | |||
CSX Corp. | 11,772 | 258,278 | |
Norfolk Southern Corp. | 3,764 | 254,748 | |
Union Pacific Corp. | 5,100 | 470,067 | |
| 983,093 | ||
TOTAL INDUSTRIALS | 6,738,209 | ||
INFORMATION TECHNOLOGY - 9.0% | |||
Communications Equipment - 2.2% | |||
Cisco Systems, Inc. | 90,500 | 1,419,040 | |
EchoStar Holding Corp. Class A (a) | 200 | 4,870 | |
Motorola Solutions, Inc. | 10,721 | 451,247 | |
| 1,875,157 | ||
| |||
Shares | Value | ||
Computers & Peripherals - 1.0% | |||
Dell, Inc. (a)(d) | 18,900 | $ 280,949 | |
Hewlett-Packard Co. | 21,000 | 546,630 | |
| 827,579 | ||
Electronic Equipment & Components - 0.6% | |||
Corning, Inc. | 8,180 | 122,945 | |
Tech Data Corp. (a) | 3,600 | 169,488 | |
Vishay Intertechnology, Inc. (a)(d) | 22,387 | 255,212 | |
| 547,645 | ||
IT Services - 1.6% | |||
Accenture PLC Class A (d) | 5,100 | 273,309 | |
Amdocs Ltd. (a) | 5,500 | 151,085 | |
CACI International, Inc. Class A (a)(d) | 3,400 | 187,204 | |
Computer Sciences Corp. | 10,300 | 315,798 | |
Fiserv, Inc. (a) | 1,200 | 66,996 | |
International Business Machines Corp. (d) | 1,041 | 178,958 | |
Visa, Inc. Class A (d) | 1,600 | 140,608 | |
| 1,313,958 | ||
Semiconductors & Semiconductor Equipment - 2.3% | |||
Avago Technologies Ltd. | 8,600 | 284,746 | |
Intel Corp. | 56,447 | 1,136,278 | |
KLA-Tencor Corp. (d) | 3,000 | 110,040 | |
Marvell Technology Group Ltd. (a) | 27,200 | 357,680 | |
| 1,888,744 | ||
Software - 1.3% | |||
Activision Blizzard, Inc. (d) | 32,100 | 380,064 | |
Microsoft Corp. | 12,200 | 324,520 | |
Oracle Corp. | 3,845 | 107,929 | |
Symantec Corp. (a) | 15,928 | 273,165 | |
| 1,085,678 | ||
TOTAL INFORMATION TECHNOLOGY | 7,538,761 | ||
MATERIALS - 3.2% | |||
Chemicals - 1.9% | |||
Cabot Corp. | 1,800 | 61,974 | |
Dow Chemical Co. | 5,190 | 147,656 | |
Huntsman Corp. | 18,100 | 237,291 | |
LyondellBasell Industries NV Class A | 12,100 | 419,265 | |
PPG Industries, Inc. (d) | 3,395 | 260,023 | |
Rockwood Holdings, Inc. (a) | 2,763 | 140,913 | |
The Mosaic Co. | 4,600 | 327,198 | |
| 1,594,320 | ||
Containers & Packaging - 0.3% | |||
Sealed Air Corp. | 15,400 | 283,668 | |
Metals & Mining - 0.5% | |||
Freeport-McMoRan Copper & Gold, Inc. | 6,054 | 285,386 | |
Newmont Mining Corp. | 2,100 | 131,502 | |
| 416,888 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Paper & Forest Products - 0.5% | |||
Domtar Corp. | 3,728 | $ 299,433 | |
International Paper Co. | 2,500 | 67,875 | |
| 367,308 | ||
TOTAL MATERIALS | 2,662,184 | ||
TELECOMMUNICATION SERVICES - 4.7% | |||
Diversified Telecommunication Services - 4.5% | |||
AT&T, Inc. | 83,996 | 2,392,206 | |
Verizon Communications, Inc. | 35,845 | 1,296,514 | |
| 3,688,720 | ||
Wireless Telecommunication Services - 0.2% | |||
Sprint Nextel Corp. (a)(d) | 48,678 | 183,029 | |
TOTAL TELECOMMUNICATION SERVICES | 3,871,749 | ||
UTILITIES - 6.8% | |||
Electric Utilities - 4.3% | |||
American Electric Power Co., Inc. | 5,770 | 222,895 | |
Cleco Corp. (d) | 5,300 | 188,309 | |
DPL, Inc. | 7,633 | 228,379 | |
Duke Energy Corp. (d) | 19,900 | 376,309 | |
Edison International | 608 | 22,612 | |
Entergy Corp. | 6,957 | 453,666 | |
Exelon Corp. (d) | 7,864 | 339,096 | |
FirstEnergy Corp. (d) | 2,100 | 92,925 | |
NextEra Energy, Inc. | 4,622 | 262,160 | |
Northeast Utilities | 10,547 | 365,981 | |
Pinnacle West Capital Corp. (d) | 4,783 | 211,600 | |
PPL Corp. | 13,439 | 388,118 | |
Progress Energy, Inc. | 869 | 42,407 | |
Southern Co. | 8,984 | 371,578 | |
| 3,566,035 | ||
Gas Utilities - 0.4% | |||
UGI Corp. | 11,200 | 333,312 | |
Multi-Utilities - 2.1% | |||
Ameren Corp. | 13,922 | 421,280 | |
CenterPoint Energy, Inc. | 19,800 | 396,198 | |
Dominion Resources, Inc. | 1,674 | 81,591 | |
PG&E Corp. | 3,719 | 157,500 | |
Public Service Enterprise Group, Inc. | 9,800 | 334,474 | |
Sempra Energy (d) | 6,400 | 336,128 | |
Xcel Energy, Inc. (d) | 708 | 17,466 | |
| 1,744,637 | ||
TOTAL UTILITIES | 5,643,984 | ||
TOTAL COMMON STOCKS (Cost $80,142,412) | 81,500,607 |
U.S. Treasury Obligations - 0.2% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.09% 11/17/11 to 12/15/11 (e) | $ 200,000 | $ 199,989 |
Money Market Funds - 19.4% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (f) | 2,291,123 | 2,291,123 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c) | 13,910,529 | 13,910,529 | |
TOTAL MONEY MARKET FUNDS (Cost $16,201,652) | 16,201,652 |
TOTAL INVESTMENT PORTFOLIO - 117.4% (Cost $96,544,026) | 97,902,248 |
NET OTHER ASSETS (LIABILITIES) - (17.4)% | (14,521,121) | ||
NET ASSETS - 100% | $ 83,381,127 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
30 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 1,826,550 | $ (380) |
|
The face value of futures purchased as a percentage of net assets is 2.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is 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) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $199,989. |
(f) The rate quoted is the annualized seven-day yield at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 7,284 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 6,845,491 | $ 6,845,491 | $ - | $ - |
Consumer Staples | 7,171,434 | 7,171,434 | - | - |
Energy | 9,595,264 | 9,595,264 | - | - |
Financials | 20,154,583 | 20,154,583 | - | - |
Health Care | 11,278,948 | 11,278,948 | - | - |
Industrials | 6,738,209 | 6,738,209 | - | - |
Information Technology | 7,538,761 | 7,538,761 | - | - |
Materials | 2,662,184 | 2,662,184 | - | - |
Telecommunication Services | 3,871,749 | 3,871,749 | - | - |
Utilities | 5,643,984 | 5,643,984 | - | - |
U.S. Government and Government Agency Obligations | 199,989 | - | 199,989 | - |
Money Market Funds | 16,201,652 | 16,201,652 | - | - |
Total Investments in Securities: | $ 97,902,248 | $ 97,702,259 | $ 199,989 | $ - |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $ (380) | $ (380) | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (380) |
Total Value of Derivatives | $ - | $ (380) |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2011, the Fund had a capital loss carryforward of approximately $187,547 all of which will expire in fiscal 2017. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $13,678,074) - See accompanying schedule: Unaffiliated issuers (cost $82,633,497) | $ 83,991,719 |
|
Fidelity Central Funds (cost $13,910,529) | 13,910,529 |
|
Total Investments (cost $96,544,026) |
| $ 97,902,248 |
Receivable for investments sold | 4,911,216 | |
Receivable for fund shares sold | 113,367 | |
Dividends receivable | 216,046 | |
Interest receivable | 22 | |
Distributions receivable from Fidelity Central Funds | 891 | |
Receivable for daily variation margin on futures contracts | 30,012 | |
Total assets | 103,173,802 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 5,772,379 | |
Payable for fund shares redeemed | 79,545 | |
Accrued management fee | 20,171 | |
Other affiliated payables | 10,051 | |
Collateral on securities loaned, at value | 13,910,529 | |
Total liabilities | 19,792,675 | |
|
|
|
Net Assets | $ 83,381,127 | |
Net Assets consist of: |
| |
Paid in capital | $ 77,942,827 | |
Undistributed net investment income | 773,099 | |
Accumulated undistributed net realized gain (loss) on investments | 3,307,359 | |
Net unrealized appreciation (depreciation) on investments | 1,357,842 | |
Net Assets, for 11,500,364 shares outstanding | $ 83,381,127 | |
Net Asset Value, offering price and redemption price per share ($83,381,127 ÷ 11,500,364 shares) | $ 7.25 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 983,603 |
Interest |
| 960 |
Income from Fidelity Central Funds |
| 7,284 |
Total income |
| 991,847 |
|
|
|
Expenses | ||
Management fee | $ 131,100 | |
Transfer agent fees | 65,676 | |
Independent trustees' compensation | 251 | |
Miscellaneous | 132 | |
Total expenses | 197,159 | |
Net investment income (loss) | 794,688 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 3,983,276 | |
Futures contracts | (122,784) | |
Total net realized gain (loss) |
| 3,860,492 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (12,195,547) | |
Futures contracts | (21,522) | |
Total change in net unrealized appreciation (depreciation) |
| (12,217,069) |
Net gain (loss) | (8,356,577) | |
Net increase (decrease) in net assets resulting from operations | $ (7,561,889) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 794,688 | $ 1,234,031 |
Net realized gain (loss) | 3,860,492 | 1,469,805 |
Change in net unrealized appreciation (depreciation) | (12,217,069) | 10,756,617 |
Net increase (decrease) in net assets resulting from operations | (7,561,889) | 13,460,453 |
Distributions to shareholders from net investment income | (188,919) | (1,184,075) |
Share transactions | 18,667,625 | 22,891,708 |
Reinvestment of distributions | 184,249 | 1,155,878 |
Cost of shares redeemed | (12,843,029) | (20,225,202) |
Net increase (decrease) in net assets resulting from share transactions | 6,008,845 | 3,822,384 |
Total increase (decrease) in net assets | (1,741,963) | 16,098,762 |
|
|
|
Net Assets | ||
Beginning of period | 85,123,090 | 69,024,328 |
End of period (including undistributed net investment income of $773,099 and undistributed net investment income of $167,330, respectively) | $ 83,381,127 | $ 85,123,090 |
Other Information Shares | ||
Sold | 2,415,174 | 3,182,934 |
Issued in reinvestment of distributions | 23,205 | 158,090 |
Redeemed | (1,681,477) | (2,904,695) |
Net increase (decrease) | 756,902 | 436,329 |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 7.92 | $ 6.70 | $ 4.59 | $ 8.68 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .07 | .12 | .13 | .20 | .18 |
Net realized and unrealized gain (loss) | (.72) | 1.22 | 2.11 | (4.14) | (1.37) |
Total from investment operations | (.65) | 1.34 | 2.24 | (3.94) | (1.19) |
Distributions from net investment income | (.02) | (.12) | (.13) | (.15) | (.13) |
Net asset value, end of period | $ 7.25 | $ 7.92 | $ 6.70 | $ 4.59 | $ 8.68 |
Total Return B, C | (8.26)% | 20.15% | 48.83% | (45.82)% | (12.00)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% A |
Net investment income (loss) | 1.82% A | 1.76% | 2.11% | 2.81% | 2.12% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 83,381 | $ 85,123 | $ 69,024 | $ 20,162 | $ 24,379 |
Portfolio turnover rate F | 87% A | 83% | 89% I | 72% I | 65% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period April 19, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Reflects adjustments to exclude transactions in money market mutual funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 3.3 | 3.9 |
Apple, Inc. | 3.2 | 3.1 |
Chevron Corp. | 2.2 | 2.1 |
Microsoft Corp. | 2.1 | 1.9 |
International Business Machines Corp. | 1.9 | 1.8 |
General Electric Co. | 1.8 | 2.3 |
AT&T, Inc. | 1.7 | 1.5 |
Johnson & Johnson | 1.7 | 1.4 |
Pfizer, Inc. | 1.7 | 1.1 |
Wells Fargo & Co. | 1.6 | 1.5 |
| 21.2 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Information Technology | 18.9 | 20.0 |
Financials | 12.9 | 15.1 |
Health Care | 12.6 | 11.2 |
Consumer Staples | 12.2 | 8.6 |
Energy | 12.0 | 14.3 |
Consumer Discretionary | 9.5 | 11.1 |
Industrials | 9.3 | 10.3 |
Materials | 4.4 | 4.4 |
Telecommunication Services | 3.0 | 2.8 |
Utilities | 2.8 | 1.7 |
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.6% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.5% | |||
Automobiles - 0.2% | |||
Ford Motor Co. (a)(e) | 15,877 | $ 176,552 | |
Diversified Consumer Services - 0.4% | |||
ITT Educational Services, Inc. (a)(e) | 3,800 | 274,208 | |
Hotels, Restaurants & Leisure - 2.0% | |||
Brinker International, Inc. | 3,618 | 81,694 | |
McDonald's Corp. | 7,591 | 686,682 | |
Starbucks Corp. | 12,464 | 481,360 | |
Wynn Resorts Ltd. | 736 | 113,874 | |
Yum! Brands, Inc. | 5,100 | 277,287 | |
| 1,640,897 | ||
Internet & Catalog Retail - 0.5% | |||
Amazon.com, Inc. (a)(e) | 1,243 | 267,605 | |
Liberty Media Corp. Interactive Series A (a) | 2,700 | 42,714 | |
Priceline.com, Inc. (a) | 83 | 44,593 | |
| 354,912 | ||
Leisure Equipment & Products - 0.3% | |||
Polaris Industries, Inc. | 2,486 | 273,137 | |
Media - 2.2% | |||
Comcast Corp. Class A | 23,877 | 513,594 | |
DIRECTV (a) | 6,203 | 272,746 | |
DISH Network Corp. Class A (a) | 9,900 | 246,114 | |
Liberty Media Corp. Starz Series A (a) | 4,000 | 275,480 | |
The Walt Disney Co. | 6,620 | 225,477 | |
Washington Post Co. Class B | 725 | 257,926 | |
| 1,791,337 | ||
Multiline Retail - 1.0% | |||
Kohl's Corp. | 7,900 | 366,086 | |
Macy's, Inc. | 11,724 | 304,238 | |
Target Corp. | 2,038 | 105,303 | |
| 775,627 | ||
Specialty Retail - 1.6% | |||
Bed Bath & Beyond, Inc. (a)(e) | 2,874 | 163,416 | |
Express, Inc. | 8,185 | 156,252 | |
Home Depot, Inc. | 8,661 | 289,104 | |
Limited Brands, Inc. | 9,000 | 339,660 | |
Lowe's Companies, Inc. | 584 | 11,639 | |
RadioShack Corp. | 1,300 | 16,913 | |
Signet Jewelers Ltd. | 7,000 | 272,580 | |
| 1,249,564 | ||
Textiles, Apparel & Luxury Goods - 1.3% | |||
Coach, Inc. | 7,000 | 393,540 | |
NIKE, Inc. Class B | 6,136 | 531,684 | |
VF Corp. | 1,226 | 143,516 | |
| 1,068,740 | ||
TOTAL CONSUMER DISCRETIONARY | 7,604,974 | ||
| |||
Shares | Value | ||
CONSUMER STAPLES - 12.2% | |||
Beverages - 3.0% | |||
Brown-Forman Corp. Class B (non-vtg.) | 1,440 | $ 103,320 | |
Coca-Cola Enterprises, Inc. | 12,700 | 350,774 | |
Constellation Brands, Inc. Class A (sub. vtg.) (a)(e) | 12,932 | 255,666 | |
Dr Pepper Snapple Group, Inc. | 8,744 | 336,469 | |
PepsiCo, Inc. | 7,492 | 482,710 | |
The Coca-Cola Co. | 13,017 | 917,048 | |
| 2,445,987 | ||
Food & Staples Retailing - 3.3% | |||
Costco Wholesale Corp. | 1,372 | 107,757 | |
CVS Caremark Corp. (e) | 11,401 | 409,410 | |
Kroger Co. | 16,600 | 391,096 | |
Safeway, Inc. (e) | 8,666 | 158,848 | |
Wal-Mart Stores, Inc. (e) | 19,852 | 1,056,325 | |
Walgreen Co. | 13,814 | 486,391 | |
| 2,609,827 | ||
Food Products - 1.6% | |||
ConAgra Foods, Inc. | 12,100 | 295,482 | |
General Mills, Inc. (e) | 914 | 34,650 | |
Hershey Co. (e) | 4,945 | 290,024 | |
Kraft Foods, Inc. Class A | 5,119 | 179,267 | |
Smithfield Foods, Inc. (a)(e) | 6,260 | 137,219 | |
Tyson Foods, Inc. Class A | 18,137 | 316,853 | |
| 1,253,495 | ||
Household Products - 1.6% | |||
Colgate-Palmolive Co. | 1,748 | 157,268 | |
Kimberly-Clark Corp. | 732 | 50,625 | |
Procter & Gamble Co. | 17,284 | 1,100,645 | |
| 1,308,538 | ||
Personal Products - 0.4% | |||
Nu Skin Enterprises, Inc. Class A (e) | 8,100 | 342,549 | |
Tobacco - 2.3% | |||
Altria Group, Inc. | 10,337 | 281,063 | |
Lorillard, Inc. | 3,490 | 388,856 | |
Philip Morris International, Inc. | 16,526 | 1,145,582 | |
| 1,815,501 | ||
TOTAL CONSUMER STAPLES | 9,775,897 | ||
ENERGY - 12.0% | |||
Energy Equipment & Services - 2.0% | |||
Baker Hughes, Inc. | 172 | 10,511 | |
Halliburton Co. | 9,170 | 406,873 | |
National Oilwell Varco, Inc. | 6,152 | 406,770 | |
Schlumberger Ltd. | 6,293 | 491,609 | |
SEACOR Holdings, Inc. | 3,000 | 266,220 | |
| 1,581,983 | ||
Oil, Gas & Consumable Fuels - 10.0% | |||
Anadarko Petroleum Corp. | 540 | 39,825 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Apache Corp. | 28 | $ 2,886 | |
Chevron Corp. | 17,834 | 1,763,961 | |
ConocoPhillips | 14,968 | 1,018,872 | |
CVR Energy, Inc. (a) | 9,100 | 259,077 | |
Exxon Mobil Corp. | 36,284 | 2,686,467 | |
HollyFrontier Corp. | 4,879 | 350,117 | |
Marathon Oil Corp. | 15,378 | 413,976 | |
Marathon Petroleum Corp. | 9,889 | 366,486 | |
Murphy Oil Corp. | 3,344 | 179,172 | |
Occidental Petroleum Corp. | 6,809 | 590,613 | |
Valero Energy Corp. | 16,186 | 367,746 | |
| 8,039,198 | ||
TOTAL ENERGY | 9,621,181 | ||
FINANCIALS - 12.9% | |||
Capital Markets - 0.7% | |||
Bank of New York Mellon Corp. (e) | 737 | 15,234 | |
Franklin Resources, Inc. (e) | 901 | 108,048 | |
Goldman Sachs Group, Inc. | 2,385 | 277,185 | |
Morgan Stanley | 9,430 | 165,025 | |
| 565,492 | ||
Commercial Banks - 2.5% | |||
Fifth Third Bancorp | 17,100 | 181,602 | |
KeyCorp | 24,074 | 159,851 | |
PNC Financial Services Group, Inc. | 4,536 | 227,435 | |
U.S. Bancorp | 8,711 | 202,182 | |
Wells Fargo & Co. | 48,300 | 1,260,630 | |
| 2,031,700 | ||
Consumer Finance - 2.0% | |||
American Express Co. (e) | 13,405 | 666,363 | |
Capital One Financial Corp. | 9,131 | 420,483 | |
Discover Financial Services | 15,106 | 380,067 | |
SLM Corp. | 12,450 | 170,939 | |
| 1,637,852 | ||
Diversified Financial Services - 2.8% | |||
Bank of America Corp. | 42,173 | 344,553 | |
Citigroup, Inc. | 14,680 | 455,814 | |
JPMorgan Chase & Co. | 29,902 | 1,123,119 | |
Moody's Corp. (e) | 2,675 | 82,470 | |
The NASDAQ Stock Market, Inc. (a) | 10,503 | 248,816 | |
| 2,254,772 | ||
Insurance - 3.2% | |||
ACE Ltd. | 6,709 | 433,267 | |
Berkshire Hathaway, Inc. Class B (a)(e) | 11,235 | 820,155 | |
Marsh & McLennan Companies, Inc. | 6,000 | 178,320 | |
MetLife, Inc. | 602 | 20,227 | |
Prudential Financial, Inc. | 7,277 | 365,378 | |
Reinsurance Group of America, Inc. | 898 | 47,926 | |
| |||
Shares | Value | ||
The Travelers Companies, Inc. | 8,469 | $ 427,346 | |
Validus Holdings Ltd. | 10,000 | 258,200 | |
| 2,550,819 | ||
Real Estate Investment Trusts - 1.7% | |||
Annaly Capital Management, Inc. (e) | 13,704 | 248,454 | |
Liberty Property Trust (SBI) (e) | 9,200 | 312,248 | |
Public Storage | 548 | 67,804 | |
Rayonier, Inc. | 5,857 | 245,643 | |
Simon Property Group, Inc. (e) | 3,162 | 371,535 | |
Vornado Realty Trust (e) | 973 | 83,590 | |
Weyerhaeuser Co. | 2,100 | 37,863 | |
| 1,367,137 | ||
TOTAL FINANCIALS | 10,407,772 | ||
HEALTH CARE - 12.6% | |||
Biotechnology - 1.0% | |||
Amgen, Inc. | 6,740 | 373,430 | |
Biogen Idec, Inc. (a) | 4,415 | 415,893 | |
| 789,323 | ||
Health Care Equipment & Supplies - 1.0% | |||
Baxter International, Inc. | 9,029 | 505,443 | |
Becton, Dickinson & Co. | 1,578 | 128,418 | |
Covidien PLC | 2,377 | 124,032 | |
Medtronic, Inc. | 1,818 | 63,757 | |
| 821,650 | ||
Health Care Providers & Services - 3.2% | |||
Aetna, Inc. | 9,601 | 384,328 | |
AMERIGROUP Corp. (a)(e) | 3,500 | 173,145 | |
AmerisourceBergen Corp. | 2,595 | 102,710 | |
Cardinal Health, Inc. (e) | 9,117 | 387,473 | |
Humana, Inc. | 4,869 | 378,029 | |
McKesson Corp. | 1,152 | 92,079 | |
UnitedHealth Group, Inc. | 13,561 | 644,419 | |
WellPoint, Inc. | 6,948 | 439,808 | |
| 2,601,991 | ||
Life Sciences Tools & Services - 0.1% | |||
Agilent Technologies, Inc. (a) | 2,432 | 89,668 | |
Pharmaceuticals - 7.3% | |||
Abbott Laboratories | 16,925 | 888,732 | |
Bristol-Myers Squibb Co. | 22,850 | 679,788 | |
Eli Lilly & Co. | 15,608 | 585,456 | |
Forest Laboratories, Inc. (a)(e) | 2,989 | 102,343 | |
Johnson & Johnson | 20,769 | 1,366,600 | |
Merck & Co., Inc. | 22,779 | 754,440 | |
Pfizer, Inc. | 71,654 | 1,359,993 | |
Warner Chilcott PLC | 6,549 | 111,726 | |
| 5,849,078 | ||
TOTAL HEALTH CARE | 10,151,710 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - 9.3% | |||
Aerospace & Defense - 3.8% | |||
General Dynamics Corp. | 6,769 | $ 433,758 | |
Honeywell International, Inc. | 5,697 | 272,374 | |
L-3 Communications Holdings, Inc. (e) | 4,840 | 328,249 | |
Lockheed Martin Corp. | 5,062 | 375,550 | |
Northrop Grumman Corp. | 7,049 | 385,016 | |
Raytheon Co. | 8,746 | 378,090 | |
The Boeing Co. | 2,112 | 141,208 | |
United Technologies Corp. | 10,225 | 759,206 | |
| 3,073,451 | ||
Air Freight & Logistics - 0.5% | |||
United Parcel Service, Inc. Class B (e) | 6,405 | 431,633 | |
Airlines - 0.0% | |||
Alaska Air Group, Inc. (a) | 317 | 18,300 | |
Electrical Equipment - 0.1% | |||
Emerson Electric Co. | 1,158 | 53,905 | |
Industrial Conglomerates - 2.5% | |||
3M Co. (e) | 4,653 | 386,106 | |
General Electric Co. | 92,436 | 1,507,631 | |
Tyco International Ltd. | 3,403 | 141,497 | |
| 2,035,234 | ||
Machinery - 1.6% | |||
Caterpillar, Inc. (e) | 4,649 | 423,059 | |
Cummins, Inc. | 311 | 28,898 | |
Deere & Co. (e) | 1,271 | 102,722 | |
Eaton Corp. | 2,481 | 106,559 | |
Illinois Tool Works, Inc. (e) | 1,349 | 62,782 | |
Joy Global, Inc. | 631 | 52,657 | |
Pall Corp. (e) | 6,200 | 317,006 | |
Parker Hannifin Corp. | 2,837 | 208,321 | |
| 1,302,004 | ||
Road & Rail - 0.8% | |||
CSX Corp. | 11,638 | 255,338 | |
Norfolk Southern Corp. | 2,481 | 167,914 | |
Union Pacific Corp. | 1,889 | 174,109 | |
| 597,361 | ||
TOTAL INDUSTRIALS | 7,511,888 | ||
INFORMATION TECHNOLOGY - 18.9% | |||
Communications Equipment - 2.2% | |||
Cisco Systems, Inc. | 60,398 | 947,041 | |
Motorola Solutions, Inc. | 9,200 | 387,228 | |
QUALCOMM, Inc. | 8,228 | 423,413 | |
| 1,757,682 | ||
Computers & Peripherals - 4.0% | |||
Apple, Inc. (a) | 6,637 | 2,554,117 | |
Dell, Inc. (a)(e) | 26,594 | 395,320 | |
| |||
Shares | Value | ||
EMC Corp. (a) | 2,106 | $ 47,575 | |
Hewlett-Packard Co. | 7,741 | 201,498 | |
| 3,198,510 | ||
Electronic Equipment & Components - 0.4% | |||
Corning, Inc. | 9,534 | 143,296 | |
Vishay Intertechnology, Inc. (a)(e) | 16,127 | 183,848 | |
| 327,144 | ||
Internet Software & Services - 1.5% | |||
Google, Inc. Class A (a) | 2,242 | 1,212,832 | |
IT Services - 4.9% | |||
Accenture PLC Class A (e) | 9,821 | 526,307 | |
Amdocs Ltd. (a) | 10,000 | 274,700 | |
Computer Sciences Corp. | 2,000 | 61,320 | |
DST Systems, Inc. | 2,389 | 112,092 | |
Fiserv, Inc. (a) | 2,410 | 134,550 | |
Global Payments, Inc. | 5,317 | 243,678 | |
International Business Machines Corp. (e) | 9,089 | 1,562,490 | |
MasterCard, Inc. Class A | 649 | 213,982 | |
The Western Union Co. | 10,742 | 177,458 | |
Visa, Inc. Class A (e) | 6,920 | 608,130 | |
| 3,914,707 | ||
Semiconductors & Semiconductor Equipment - 1.9% | |||
Altera Corp. | 2,299 | 83,661 | |
Avago Technologies Ltd. | 8,300 | 274,813 | |
Intel Corp. | 46,968 | 945,466 | |
KLA-Tencor Corp. (e) | 2,024 | 74,240 | |
Texas Instruments, Inc. | 7,335 | 192,250 | |
| 1,570,430 | ||
Software - 4.0% | |||
Activision Blizzard, Inc. | 24,000 | 284,160 | |
BMC Software, Inc. (a) | 4,744 | 192,654 | |
CA, Inc. (e) | 12,372 | 259,688 | |
Microsoft Corp. | 63,036 | 1,676,758 | |
Oracle Corp. | 27,328 | 767,097 | |
Symantec Corp. (a) | 2,848 | 48,843 | |
| 3,229,200 | ||
TOTAL INFORMATION TECHNOLOGY | 15,210,505 | ||
MATERIALS - 4.4% | |||
Chemicals - 2.2% | |||
CF Industries Holdings, Inc. | 897 | 163,990 | |
E.I. du Pont de Nemours & Co. | 5,881 | 283,876 | |
Eastman Chemical Co. | 600 | 49,638 | |
Huntsman Corp. | 15,700 | 205,827 | |
LyondellBasell Industries NV Class A | 7,700 | 266,805 | |
Monsanto Co. | 558 | 38,463 | |
PPG Industries, Inc. (e) | 3,202 | 245,241 | |
Rockwood Holdings, Inc. (a) | 3,418 | 174,318 | |
The Mosaic Co. | 4,500 | 320,085 | |
| 1,748,243 | ||
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Containers & Packaging - 0.3% | |||
Sealed Air Corp. | 14,200 | $ 261,564 | |
Metals & Mining - 1.6% | |||
Cliffs Natural Resources, Inc. | 3,850 | 318,973 | |
Freeport-McMoRan Copper & Gold, Inc. | 12,606 | 594,247 | |
Newmont Mining Corp. | 6,320 | 395,758 | |
| 1,308,978 | ||
Paper & Forest Products - 0.3% | |||
Domtar Corp. (e) | 3,154 | 253,329 | |
TOTAL MATERIALS | 3,572,114 | ||
TELECOMMUNICATION SERVICES - 3.0% | |||
Diversified Telecommunication Services - 2.9% | |||
AT&T, Inc. | 48,345 | 1,376,862 | |
Verizon Communications, Inc. | 27,566 | 997,062 | |
| 2,373,924 | ||
Wireless Telecommunication Services - 0.1% | |||
Sprint Nextel Corp. (a)(e) | 14,531 | 54,637 | |
TOTAL TELECOMMUNICATION SERVICES | 2,428,561 | ||
UTILITIES - 2.8% | |||
Electric Utilities - 1.5% | |||
American Electric Power Co., Inc. | 4,035 | 155,872 | |
Duke Energy Corp. (e) | 4,510 | 85,284 | |
Entergy Corp. | 5,800 | 378,218 | |
Exelon Corp. (e) | 4,056 | 174,895 | |
NextEra Energy, Inc. | 1,311 | 74,360 | |
Northeast Utilities | 2,369 | 82,204 | |
PPL Corp. | 7,700 | 222,376 | |
Southern Co. | 1,823 | 75,399 | |
| 1,248,608 | ||
Gas Utilities - 0.4% | |||
UGI Corp. | 9,500 | 282,720 | |
Multi-Utilities - 0.9% | |||
Ameren Corp. | 10,900 | 329,834 | |
CenterPoint Energy, Inc. | 16,800 | 336,168 | |
Sempra Energy (e) | 1,538 | 80,776 | |
| 746,778 | ||
TOTAL UTILITIES | 2,278,106 | ||
TOTAL COMMON STOCKS (Cost $97,726,971) | 78,562,708 |
U.S. Treasury Obligations - 0.4% | ||||
| Principal Amount | Value | ||
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.1% 12/15/11 (f) | $ 300,000 | $ 299,987 |
Money Market Funds - 21.2% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 2,879,780 | 2,879,780 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(d) | 14,225,525 | 14,225,525 | |
TOTAL MONEY MARKET FUNDS (Cost $17,105,305) | 17,105,305 |
TOTAL INVESTMENT PORTFOLIO - 119.2% (Cost $115,132,201) | 95,968,000 |
NET OTHER ASSETS (LIABILITIES) - (19.2)% | (15,431,188) | ||
NET ASSETS - 100% | $ 80,536,812 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
32 CME E-mini S&P 500 Index Contracts | Sept. 2011 | $ 1,948,320 | $ 66,739 |
|
The face value of futures purchased as a percentage of net assets is 2.4% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. 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 the period end, the value of securities pledged amounted to $299,987. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 17,794 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 7,604,974 | $ 7,604,974 | $ - | $ - |
Consumer Staples | 9,775,897 | 9,775,897 | - | - |
Energy | 9,621,181 | 9,621,181 | - | - |
Financials | 10,407,772 | 10,407,772 | - | - |
Health Care | 10,151,710 | 10,151,710 | - | - |
Industrials | 7,511,888 | 7,511,888 | - | - |
Information Technology | 15,210,505 | 15,210,505 | - | - |
Materials | 3,572,114 | 3,572,114 | - | - |
Telecommunication Services | 2,428,561 | 2,428,561 | - | - |
Utilities | 2,278,106 | 2,278,106 | - | - |
U.S. Government and Government Agency Obligations | 299,987 | - | 299,987 | - |
Money Market Funds | 17,105,305 | 17,105,305 | - | - |
Total Investments in Securities: | $ 95,968,000 | $ 95,668,013 | $ 299,987 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 66,739 | $ 66,739 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 66,739 | $ - |
Total Value of Derivatives | $ 66,739 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2011, the Fund had a capital loss carryforward of approximately $85,601,774 of which $45,690,051 and $39,911,723 will expire in fiscal 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $13,976,131) - See accompanying schedule: Unaffiliated issuers (cost $100,906,676) | $ 81,742,475 |
|
Fidelity Central Funds (cost $14,225,525) | 14,225,525 |
|
Total Investments (cost $115,132,201) |
| $ 95,968,000 |
Receivable for investments sold | 3,941,600 | |
Receivable for fund shares sold | 13,707 | |
Dividends receivable | 213,903 | |
Interest receivable | 23 | |
Distributions receivable from Fidelity Central Funds | 680 | |
Receivable for daily variation margin on futures contracts | 39,203 | |
Total assets | 100,177,116 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 5,370,894 | |
Payable for fund shares redeemed | 14,491 | |
Accrued management fee | 19,620 | |
Other affiliated payables | 9,774 | |
Collateral on securities loaned, at value | 14,225,525 | |
Total liabilities | 19,640,304 | |
|
|
|
Net Assets | $ 80,536,812 | |
Net Assets consist of: |
| |
Paid in capital | $ 167,797,374 | |
Undistributed net investment income | 3,290,630 | |
Accumulated undistributed net realized gain (loss) on investments | (71,453,730) | |
Net unrealized appreciation (depreciation) on investments | (19,097,462) | |
Net Assets, for 9,437,703 shares outstanding | $ 80,536,812 | |
Net Asset Value, offering price and redemption price per share ($80,536,812 ÷ 9,437,703 shares) | $ 8.53 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 4,576,274 |
Interest |
| 8,771 |
Income from Fidelity Central Funds |
| 17,794 |
Total income |
| 4,602,839 |
|
|
|
Expenses | ||
Management fee | $ 742,179 | |
Transfer agent fees | 364,092 | |
Independent trustees' compensation | 1,328 | |
Interest | 1,769 | |
Miscellaneous | 1,278 | |
Total expenses before reductions | 1,110,646 | |
Expense reductions | (32) | 1,110,614 |
Net investment income (loss) | 3,492,225 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 17,814,095 | |
Futures contracts | (35,727) | |
Total net realized gain (loss) |
| 17,778,368 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (50,199,307) | |
Futures contracts | 100,366 | |
Total change in net unrealized appreciation (depreciation) |
| (50,098,941) |
Net gain (loss) | (32,320,573) | |
Net increase (decrease) in net assets resulting from operations | $ (28,828,348) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 3,492,225 | $ 15,016,843 |
Net realized gain (loss) | 17,778,368 | 64,507,363 |
Change in net unrealized appreciation (depreciation) | (50,098,941) | 92,870,217 |
Net increase (decrease) in net assets resulting from operations | (28,828,348) | 172,394,423 |
Distributions to shareholders from net investment income | (2,264,397) | (15,976,149) |
Share transactions | 43,182,372 | 140,360,567 |
Reinvestment of distributions | 2,249,226 | 15,540,824 |
Cost of shares redeemed | (902,447,748) | (349,858,780) |
Net increase (decrease) in net assets resulting from share transactions | (857,016,150) | (193,957,389) |
Total increase (decrease) in net assets | (888,108,895) | (37,539,115) |
|
|
|
Net Assets | ||
Beginning of period | 968,645,707 | 1,006,184,822 |
End of period (including undistributed net investment income of $3,290,630 and undistributed net investment income of $2,062,802, respectively) | $ 80,536,812 | $ 968,645,707 |
Other Information Shares | ||
Sold | 4,768,990 | 17,443,766 |
Issued in reinvestment of distributions | 247,985 | 1,846,723 |
Redeemed | (102,138,561) | (43,600,768) |
Net increase (decrease) | (97,121,586) | (24,310,279) |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 9.09 | $ 7.69 | $ 5.27 | $ 9.20 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .06 | .13 | .12 | .16 | .15 |
Net realized and unrealized gain (loss) | (.59) | 1.42 | 2.43 | (3.95) | (.90) |
Total from investment operations | (.53) | 1.55 | 2.55 | (3.79) | (.75) |
Distributions from net investment income | (.03) | (.15) | (.13) | (.14) | (.05) |
Net asset value, end of period | $ 8.53 | $ 9.09 | $ 7.69 | $ 5.27 | $ 9.20 |
Total Return B, C | (5.90)% | 20.25% | 48.52% | (41.51)% | (7.59)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .45% | .45% A |
Expenses net of all reductions | .45% A | .45% | .45% | .45% | .45% A |
Net investment income (loss) | 1.41% A | 1.58% | 1.76% | 2.05% | 1.83% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 80,537 | $ 968,646 | $ 1,006,185 | $ 723,548 | $ 834,523 |
Portfolio turnover rate F | 68% A | 64% | 60% I | 45% I | 5% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period April 19, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Reflects adjustments to exclude transactions in money market mutual funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Bed Bath & Beyond, Inc. | 0.8 | 0.1 |
Annaly Capital Management, Inc. | 0.8 | 0.4 |
Humana, Inc. | 0.8 | 0.7 |
Discover Financial Services | 0.8 | 0.6 |
CF Industries Holdings, Inc. | 0.8 | 0.6 |
VF Corp. | 0.8 | 0.5 |
Entergy Corp. | 0.8 | 0.0 |
HollyFrontier Corp. | 0.8 | 0.0 |
Valero Energy Corp. | 0.7 | 0.5 |
Republic Services, Inc. | 0.7 | 0.0 |
| 7.8 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 17.1 | 12.1 |
Financials | 16.2 | 15.5 |
Information Technology | 12.8 | 15.6 |
Industrials | 10.7 | 13.1 |
Health Care | 10.1 | 10.1 |
Materials | 8.2 | 7.1 |
Consumer Staples | 7.9 | 4.1 |
Energy | 7.3 | 10.6 |
Utilities | 4.6 | 3.5 |
Telecommunication Services | 0.8 | 1.4 |
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 95.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 17.1% | |||
Auto Components - 0.7% | |||
Autoliv, Inc. | 3,949 | $ 220,433 | |
TRW Automotive Holdings Corp. (a) | 6,920 | 288,495 | |
| 508,928 | ||
Automobiles - 0.2% | |||
Ford Motor Co. (a)(e) | 14,225 | 158,182 | |
Diversified Consumer Services - 1.0% | |||
Apollo Group, Inc. Class A (non-vtg.) (a) | 8,063 | 377,550 | |
ITT Educational Services, Inc. (a)(e) | 4,608 | 332,513 | |
| 710,063 | ||
Hotels, Restaurants & Leisure - 1.7% | |||
Brinker International, Inc. | 12,324 | 278,276 | |
International Game Technology | 11,797 | 180,022 | |
MGM Mirage, Inc. (a) | 2,925 | 32,380 | |
Panera Bread Co. Class A (a) | 1,267 | 145,895 | |
Wyndham Worldwide Corp. | 1,019 | 33,097 | |
Wynn Resorts Ltd. | 3,199 | 494,949 | |
| 1,164,619 | ||
Household Durables - 1.1% | |||
Leggett & Platt, Inc. | 16,048 | 356,105 | |
Tupperware Brands Corp. | 5,846 | 388,759 | |
| 744,864 | ||
Leisure Equipment & Products - 0.9% | |||
Mattel, Inc. | 7,391 | 198,596 | |
Polaris Industries, Inc. | 3,541 | 389,050 | |
| 587,646 | ||
Media - 2.8% | |||
DISH Network Corp. Class A (a) | 14,238 | 353,957 | |
Liberty Media Corp. Starz Series A (a) | 5,362 | 369,281 | |
McGraw-Hill Companies, Inc. | 11,352 | 478,033 | |
Sirius XM Radio, Inc. (a)(e) | 221,130 | 398,034 | |
Virgin Media, Inc. (e) | 13,662 | 346,468 | |
| 1,945,773 | ||
Multiline Retail - 1.4% | |||
Dollar Tree, Inc. (a) | 6,211 | 443,590 | |
Macy's, Inc. | 18,394 | 477,324 | |
Nordstrom, Inc. | 180 | 8,183 | |
| 929,097 | ||
Specialty Retail - 6.1% | |||
Aarons, Inc. Class A | 13,065 | 348,052 | |
AutoZone, Inc. (a) | 1,443 | 443,001 | |
Bed Bath & Beyond, Inc. (a) | 9,971 | 566,951 | |
Best Buy Co., Inc. (e) | 15,892 | 406,676 | |
Limited Brands, Inc. | 12,532 | 472,958 | |
PetSmart, Inc. | 9,285 | 391,641 | |
RadioShack Corp. | 15,307 | 199,144 | |
Ross Stores, Inc. | 3,900 | 298,448 | |
Signet Jewelers Ltd. | 8,576 | 333,949 | |
Staples, Inc. | 2,242 | 33,047 | |
| |||
Shares | Value | ||
TJX Companies, Inc. | 5,749 | $ 314,010 | |
Williams-Sonoma, Inc. | 11,017 | 364,773 | |
| 4,172,650 | ||
Textiles, Apparel & Luxury Goods - 1.2% | |||
Coach, Inc. | 5,204 | 292,569 | |
VF Corp. | 4,532 | 530,516 | |
| 823,085 | ||
TOTAL CONSUMER DISCRETIONARY | 11,744,907 | ||
CONSUMER STAPLES - 7.9% | |||
Beverages - 2.2% | |||
Brown-Forman Corp. Class B (non-vtg.) | 5,506 | 395,056 | |
Coca-Cola Enterprises, Inc. | 16,893 | 466,585 | |
Constellation Brands, Inc. Class A (sub. vtg.) (a) | 14,775 | 292,102 | |
Dr Pepper Snapple Group, Inc. | 9,869 | 379,759 | |
| 1,533,502 | ||
Food & Staples Retailing - 1.2% | |||
BJ's Wholesale Club, Inc. (a) | 7,605 | 386,486 | |
Safeway, Inc. | 20,625 | 378,056 | |
SUPERVALU, Inc. (e) | 5,460 | 43,516 | |
| 808,058 | ||
Food Products - 3.3% | |||
Bunge Ltd. | 2,925 | 189,277 | |
ConAgra Foods, Inc. | 1,365 | 33,333 | |
Corn Products International, Inc. | 5,811 | 271,722 | |
Hershey Co. | 7,289 | 427,500 | |
Mead Johnson Nutrition Co. Class A | 1,339 | 95,404 | |
Sara Lee Corp. | 9,435 | 170,207 | |
Smithfield Foods, Inc. (a)(e) | 13,368 | 293,027 | |
The J.M. Smucker Co. | 5,543 | 399,595 | |
Tyson Foods, Inc. Class A | 20,370 | 355,864 | |
| 2,235,929 | ||
Personal Products - 1.2% | |||
Avon Products, Inc. | 1,214 | 27,388 | |
Herbalife Ltd. | 7,869 | 439,090 | |
Nu Skin Enterprises, Inc. Class A | 8,775 | 371,095 | |
| 837,573 | ||
TOTAL CONSUMER STAPLES | 5,415,062 | ||
ENERGY - 7.3% | |||
Energy Equipment & Services - 3.0% | |||
Cameron International Corp. (a) | 1,084 | 56,325 | |
Core Laboratories NV | 3,523 | 393,096 | |
Diamond Offshore Drilling, Inc. (e) | 4,431 | 282,388 | |
Helix Energy Solutions Group, Inc. (a) | 16,575 | 279,952 | |
Helmerich & Payne, Inc. | 6,163 | 351,414 | |
Oceaneering International, Inc. | 9,454 | 403,591 | |
SEACOR Holdings, Inc. | 3,607 | 320,085 | |
| 2,086,851 | ||
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - 4.3% | |||
Alpha Natural Resources, Inc. (a) | 2,760 | $ 91,273 | |
Arch Coal, Inc. | 876 | 17,792 | |
El Paso Corp. | 6,670 | 127,664 | |
Energen Corp. | 3,644 | 178,920 | |
HollyFrontier Corp. | 7,322 | 525,427 | |
Murphy Oil Corp. | 7,414 | 397,242 | |
Noble Energy, Inc. (e) | 3,300 | 291,588 | |
Peabody Energy Corp. | 7,334 | 357,899 | |
Pioneer Natural Resources Co. | 253 | 19,777 | |
Stone Energy Corp. (a) | 2,416 | 63,807 | |
Tesoro Corp. (a) | 13,044 | 313,839 | |
Valero Energy Corp. | 22,078 | 501,612 | |
W&T Offshore, Inc. | 2,925 | 61,776 | |
| 2,948,616 | ||
TOTAL ENERGY | 5,035,467 | ||
FINANCIALS - 16.2% | |||
Capital Markets - 0.3% | |||
American Capital Ltd. (a) | 20,345 | 177,205 | |
Raymond James Financial, Inc. | 1,738 | 48,803 | |
| 226,008 | ||
Commercial Banks - 4.2% | |||
BOK Financial Corp. | 1,744 | 85,805 | |
East West Bancorp, Inc. | 14,819 | 247,329 | |
Fifth Third Bancorp | 31,426 | 333,744 | |
First Citizen Bancshares, Inc. | 975 | 155,025 | |
Huntington Bancshares, Inc. | 66,007 | 332,015 | |
KeyCorp | 44,699 | 296,801 | |
M&T Bank Corp. | 5,385 | 409,637 | |
Popular, Inc. (a) | 142,642 | 296,695 | |
Regions Financial Corp. | 76,245 | 346,152 | |
SunTrust Banks, Inc. | 17,434 | 346,937 | |
| 2,850,140 | ||
Consumer Finance - 1.9% | |||
Credit Acceptance Corp. (a)(e) | 3,925 | 271,375 | |
Discover Financial Services | 21,500 | 540,940 | |
Nelnet, Inc. Class A | 4,290 | 82,368 | |
SLM Corp. | 28,860 | 396,248 | |
| 1,290,931 | ||
Diversified Financial Services - 1.1% | |||
Interactive Brokers Group, Inc. | 17,160 | 257,572 | |
Moody's Corp. (e) | 2,060 | 63,510 | |
NYSE Euronext | 3,952 | 107,811 | |
The NASDAQ Stock Market, Inc. (a) | 14,207 | 336,564 | |
| 765,457 | ||
Insurance - 1.9% | |||
American International Group, Inc. (a)(e) | 10,651 | 269,790 | |
American International Group, Inc. warrants 1/19/21 (a) | 574 | 4,305 | |
| |||
Shares | Value | ||
American National Insurance Co. | 975 | $ 73,086 | |
Aon Corp. | 2,556 | 119,442 | |
HCC Insurance Holdings, Inc. | 1,462 | 42,749 | |
Marsh & McLennan Companies, Inc. | 4,093 | 121,644 | |
Progressive Corp. | 4,140 | 79,405 | |
Reinsurance Group of America, Inc. | 5,344 | 285,209 | |
Validus Holdings Ltd. | 12,285 | 317,199 | |
| 1,312,829 | ||
Real Estate Investment Trusts - 6.4% | |||
Alexanders, Inc. | 156 | 67,532 | |
Annaly Capital Management, Inc. | 30,734 | 557,207 | |
AvalonBay Communities, Inc. (e) | 292 | 39,823 | |
Camden Property Trust (SBI) | 6,337 | 423,438 | |
Equity Lifestyle Properties, Inc. | 3,315 | 228,470 | |
Equity Residential (SBI) | 2,391 | 146,281 | |
Hospitality Properties Trust (SBI) | 12,187 | 286,151 | |
Host Hotels & Resorts, Inc. | 1,195 | 14,137 | |
Liberty Property Trust (SBI) | 11,992 | 407,008 | |
MFA Financial, Inc. | 26,368 | 197,496 | |
Prologis, Inc. | 2,047 | 55,740 | |
Public Storage | 2,840 | 351,393 | |
Rayonier, Inc. | 9,330 | 391,300 | |
SL Green Realty Corp. | 4,276 | 308,898 | |
Ventas, Inc. | 7,878 | 421,315 | |
Vornado Realty Trust (e) | 5,586 | 479,893 | |
Weyerhaeuser Co. | 1,256 | 22,646 | |
| 4,398,728 | ||
Real Estate Management & Development - 0.4% | |||
CB Richard Ellis Group, Inc. Class A (a) | 16,406 | 248,715 | |
TOTAL FINANCIALS | 11,092,808 | ||
HEALTH CARE - 10.1% | |||
Biotechnology - 1.0% | |||
AVEO Pharmaceuticals, Inc. (a) | 8,580 | 145,688 | |
Biogen Idec, Inc. (a) | 3,009 | 283,448 | |
Myriad Genetics, Inc. (a)(e) | 11,596 | 229,949 | |
United Therapeutics Corp. (a) | 758 | 32,708 | |
Vertex Pharmaceuticals, Inc. (a) | 253 | 11,453 | |
| 703,246 | ||
Health Care Equipment & Supplies - 0.7% | |||
Boston Scientific Corp. (a) | 4,972 | 33,710 | |
C. R. Bard, Inc. | 76 | 7,240 | |
Hill-Rom Holdings, Inc. | 1,072 | 32,482 | |
Kinetic Concepts, Inc. (a) | 2,574 | 173,848 | |
Varian Medical Systems, Inc. (a)(e) | 3,702 | 210,866 | |
Zimmer Holdings, Inc. (a) | 585 | 33,281 | |
| 491,427 | ||
Health Care Providers & Services - 3.8% | |||
AMERIGROUP Corp. (a) | 5,377 | 266,000 | |
AmerisourceBergen Corp. | 8,618 | 341,100 | |
CIGNA Corp. | 9,911 | 463,240 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Health Net, Inc. (a) | 12,090 | $ 298,502 | |
Humana, Inc. | 7,009 | 544,179 | |
Laboratory Corp. of America Holdings (a) | 1,550 | 129,472 | |
Magellan Health Services, Inc. (a) | 6,142 | 306,302 | |
Quest Diagnostics, Inc. | 4,689 | 234,778 | |
| 2,583,573 | ||
Life Sciences Tools & Services - 2.6% | |||
Agilent Technologies, Inc. (a) | 12,304 | 453,648 | |
Bio-Rad Laboratories, Inc. Class A (a) | 2,673 | 268,209 | |
PerkinElmer, Inc. | 11,645 | 266,321 | |
Pharmaceutical Product Development, Inc. | 10,065 | 316,846 | |
Techne Corp. | 975 | 70,658 | |
Waters Corp. (a) | 4,652 | 371,555 | |
| 1,747,237 | ||
Pharmaceuticals - 2.0% | |||
Endo Pharmaceuticals Holdings, Inc. (a) | 6,337 | 202,214 | |
Forest Laboratories, Inc. (a) | 11,906 | 407,661 | |
ViroPharma, Inc. (a) | 6,657 | 131,875 | |
Warner Chilcott PLC | 9,394 | 160,262 | |
Watson Pharmaceuticals, Inc. (a) | 6,990 | 469,169 | |
| 1,371,181 | ||
TOTAL HEALTH CARE | 6,896,664 | ||
INDUSTRIALS - 10.7% | |||
Aerospace & Defense - 0.9% | |||
Goodrich Corp. | 534 | 47,622 | |
ITT Corp. | 585 | 27,694 | |
L-3 Communications Holdings, Inc. | 5,433 | 368,466 | |
Rockwell Collins, Inc. | 3,129 | 157,889 | |
| 601,671 | ||
Air Freight & Logistics - 0.6% | |||
Expeditors International of Washington, Inc. | 8,460 | 384,930 | |
Airlines - 0.9% | |||
Alaska Air Group, Inc. (a) | 4,436 | 256,090 | |
Southwest Airlines Co. | 43,192 | 372,315 | |
| 628,405 | ||
Commercial Services & Supplies - 0.9% | |||
R.R. Donnelley & Sons Co. (e) | 8,945 | 136,411 | |
Republic Services, Inc. | 16,380 | 497,297 | |
| 633,708 | ||
Construction & Engineering - 0.7% | |||
Fluor Corp. | 6,803 | 413,078 | |
KBR, Inc. | 2,997 | 90,060 | |
| 503,138 | ||
| |||
Shares | Value | ||
Electrical Equipment - 0.6% | |||
Cooper Industries PLC Class A | 3,380 | $ 160,144 | |
Hubbell, Inc. Class B | 3,198 | 189,098 | |
Rockwell Automation, Inc. | 549 | 35,207 | |
| 384,449 | ||
Machinery - 5.7% | |||
AGCO Corp. (a) | 5,770 | 247,187 | |
CNH Global NV (a) | 8,970 | 297,086 | |
Cummins, Inc. | 3,312 | 307,751 | |
Dover Corp. | 8,040 | 462,461 | |
Eaton Corp. | 9,003 | 386,679 | |
Ingersoll-Rand Co. Ltd. | 1,773 | 59,413 | |
Joy Global, Inc. | 3,722 | 310,601 | |
Kennametal, Inc. | 9,067 | 334,210 | |
Pall Corp. | 7,914 | 404,643 | |
Parker Hannifin Corp. | 6,176 | 453,504 | |
SPX Corp. | 975 | 55,468 | |
Timken Co. | 7,965 | 313,423 | |
Toro Co. | 5,453 | 297,570 | |
| 3,929,996 | ||
Road & Rail - 0.4% | |||
AMERCO (a) | 3,324 | 243,682 | |
TOTAL INDUSTRIALS | 7,309,979 | ||
INFORMATION TECHNOLOGY - 12.8% | |||
Computers & Peripherals - 1.3% | |||
NetApp, Inc. (a) | 6,209 | 233,583 | |
SanDisk Corp. (a) | 9,269 | 339,709 | |
Western Digital Corp. (a) | 10,699 | 315,514 | |
| 888,806 | ||
Electronic Equipment & Components - 0.7% | |||
AVX Corp. | 13,162 | 172,422 | |
Vishay Intertechnology, Inc. (a) | 24,612 | 280,577 | |
| 452,999 | ||
Internet Software & Services - 0.2% | |||
IAC/InterActiveCorp (a) | 3,464 | 136,932 | |
IT Services - 3.8% | |||
Amdocs Ltd. (a) | 14,192 | 389,854 | |
Computer Sciences Corp. | 11,559 | 354,399 | |
DST Systems, Inc. | 5,479 | 257,075 | |
Fidelity National Information Services, Inc. | 14,250 | 401,565 | |
Fiserv, Inc. (a) | 7,137 | 398,459 | |
Global Payments, Inc. | 7,957 | 364,669 | |
The Western Union Co. | 26,211 | 433,006 | |
| 2,599,027 | ||
Office Electronics - 0.5% | |||
Xerox Corp. | 6,374 | 52,904 | |
Zebra Technologies Corp. Class A (a) | 8,783 | 315,573 | |
| 368,477 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - 2.9% | |||
Altera Corp. | 11,563 | $ 420,778 | |
Analog Devices, Inc. | 12,953 | 427,708 | |
Lam Research Corp. (a) | 7,505 | 278,886 | |
Linear Technology Corp. | 6,064 | 173,612 | |
Marvell Technology Group Ltd. (a) | 30,907 | 406,427 | |
Micron Technology, Inc. (a) | 37,413 | 221,111 | |
NVIDIA Corp. (a) | 2,001 | 26,633 | |
| 1,955,155 | ||
Software - 3.4% | |||
Activision Blizzard, Inc. | 35,782 | 423,659 | |
Autodesk, Inc. (a) | 12,653 | 356,815 | |
BMC Software, Inc. (a) | 7,669 | 311,438 | |
CA, Inc. (e) | 17,624 | 369,928 | |
Citrix Systems, Inc. (a) | 960 | 58,013 | |
Intuit, Inc. | 9,453 | 466,316 | |
MICROS Systems, Inc. (a) | 5,850 | 278,811 | |
Solera Holdings, Inc. | 1,273 | 74,661 | |
| 2,339,641 | ||
TOTAL INFORMATION TECHNOLOGY | 8,741,037 | ||
MATERIALS - 8.2% | |||
Chemicals - 4.2% | |||
Albemarle Corp. | 5,897 | 299,037 | |
Cabot Corp. | 9,166 | 315,585 | |
CF Industries Holdings, Inc. | 2,920 | 533,834 | |
Eastman Chemical Co. | 3,701 | 306,184 | |
Huntsman Corp. | 20,475 | 268,427 | |
International Flavors & Fragrances, Inc. | 5,414 | 314,120 | |
PPG Industries, Inc. | 5,975 | 457,625 | |
Rockwood Holdings, Inc. (a) | 6,956 | 354,756 | |
Sigma Aldrich Corp. | 872 | 56,148 | |
| 2,905,716 | ||
Containers & Packaging - 1.3% | |||
Aptargroup, Inc. | 5,655 | 285,464 | |
Crown Holdings, Inc. (a) | 8,796 | 311,994 | |
Sealed Air Corp. | 16,965 | 312,495 | |
| 909,953 | ||
Metals & Mining - 1.3% | |||
Cliffs Natural Resources, Inc. | 5,183 | 429,412 | |
Hecla Mining Co. (a) | 25,053 | 192,157 | |
Walter Energy, Inc. | 2,926 | 239,171 | |
| 860,740 | ||
Paper & Forest Products - 1.4% | |||
Domtar Corp. | 3,886 | 312,124 | |
| |||
Shares | Value | ||
International Paper Co. | 15,631 | $ 424,382 | |
MeadWestvaco Corp. | 7,084 | 194,952 | |
| 931,458 | ||
TOTAL MATERIALS | 5,607,867 | ||
TELECOMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.8% | |||
CenturyLink, Inc. | 7,865 | 284,320 | |
Vonage Holdings Corp. (a) | 71,467 | 258,711 | |
| 543,031 | ||
UTILITIES - 4.6% | |||
Electric Utilities - 2.2% | |||
DPL, Inc. | 5,952 | 178,081 | |
Entergy Corp. | 8,092 | 527,679 | |
FirstEnergy Corp. | 5,794 | 256,385 | |
Northeast Utilities | 4,083 | 141,680 | |
NV Energy, Inc. | 3,315 | 49,460 | |
Pinnacle West Capital Corp. | 6,220 | 275,173 | |
Progress Energy, Inc. | 1,975 | 96,380 | |
| 1,524,838 | ||
Gas Utilities - 0.5% | |||
UGI Corp. | 12,306 | 366,227 | |
Independent Power Producers & Energy Traders - 1.2% | |||
NRG Energy, Inc. (a) | 18,037 | 422,787 | |
The AES Corp. (a) | 36,632 | 397,824 | |
| 820,611 | ||
Multi-Utilities - 0.3% | |||
NiSource, Inc. | 8,092 | 172,845 | |
Water Utilities - 0.4% | |||
American Water Works Co., Inc. | 9,750 | 290,355 | |
TOTAL UTILITIES | 3,174,876 | ||
TOTAL COMMON STOCKS (Cost $65,367,038) | 65,561,698 |
U.S. Treasury Obligations - 0.3% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.1% 12/15/11 to 3/1/12 (f) | $ 230,000 | 229,984 |
Money Market Funds - 9.8% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 2,582,403 | $ 2,582,403 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(d) | 4,108,723 | 4,108,723 | |
TOTAL MONEY MARKET FUNDS (Cost $6,691,126) | 6,691,126 |
TOTAL INVESTMENT PORTFOLIO - 105.8% (Cost $72,288,096) | 72,482,808 |
NET OTHER ASSETS (LIABILITIES) - (5.8)% | (3,968,395) | ||
NET ASSETS - 100% | $ 68,514,413 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
32 CME E-mini S&P Midcap 400 Index Contracts | Sept. 2011 | $ 2,798,080 | $ 118,034 |
|
The face value of futures purchased as a percentage of net assets is 4.1% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. 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 the period end, the value of securities pledged amounted to $199,991. |
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 | $ 9,385 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 11,744,907 | $ 11,744,907 | $ - | $ - |
Consumer Staples | 5,415,062 | 5,415,062 | - | - |
Energy | 5,035,467 | 5,035,467 | - | - |
Financials | 11,092,808 | 11,092,808 | - | - |
Health Care | 6,896,664 | 6,896,664 | - | - |
Industrials | 7,309,979 | 7,309,979 | - | - |
Information Technology | 8,741,037 | 8,741,037 | - | - |
Materials | 5,607,867 | 5,607,867 | - | - |
Telecommunication Services | 543,031 | 543,031 | - | - |
Utilities | 3,174,876 | 3,174,876 | - | - |
U.S. Government and Government Agency Obligations | 229,984 | - | 229,984 | - |
Money Market Funds | 6,691,126 | 6,691,126 | - | - |
Total Investments in Securities: | $ 72,482,808 | $ 72,252,824 | $ 229,984 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 118,034 | $ 118,034 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 118,034 | $ - |
Total Value of Derivatives | $ 118,034 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2011, the Fund had a capital loss carryforward of approximately $2,108,052 of which $320,881, $1,278,726 and $508,445 will expire in fiscal 2017, 2018 and 2019, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $4,015,445) - See accompanying schedule: Unaffiliated issuers (cost $68,179,373) | $ 68,374,085 |
|
Fidelity Central Funds (cost $4,108,723) | 4,108,723 |
|
Total Investments (cost $72,288,096) |
| $ 72,482,808 |
Segregated cash with broker for futures contracts | 2,100 | |
Receivable for fund shares sold | 99,121 | |
Dividends receivable | 99,652 | |
Interest receivable | 18 | |
Distributions receivable from Fidelity Central Funds | 409 | |
Receivable for daily variation margin on futures contracts | 25,280 | |
Other receivables | 42 | |
Total assets | 72,709,430 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 29,991 | |
Payable for fund shares redeemed | 23,359 | |
Accrued management fee | 24,708 | |
Other affiliated payables | 8,236 | |
Collateral on securities loaned, at value | 4,108,723 | |
Total liabilities | 4,195,017 | |
|
|
|
Net Assets | $ 68,514,413 | |
Net Assets consist of: |
| |
Paid in capital | $ 65,242,944 | |
Undistributed net investment income | 317,414 | |
Accumulated undistributed net realized gain (loss) on investments | 2,641,309 | |
Net unrealized appreciation (depreciation) on investments | 312,746 | |
Net Assets, for 7,433,349 shares outstanding | $ 68,514,413 | |
Net Asset Value, offering price and redemption price per share ($68,514,413 ÷ 7,433,349 shares) | $ 9.22 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 509,702 |
Interest |
| 1,462 |
Income from Fidelity Central Funds |
| 9,385 |
Total income |
| 520,549 |
|
|
|
Expenses | ||
Management fee | $ 159,733 | |
Transfer agent fees | 53,314 | |
Independent trustees' compensation | 207 | |
Miscellaneous | 99 | |
Total expenses | 213,353 | |
Net investment income (loss) | 307,196 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 5,181,804 | |
Futures contracts | (298,764) | |
Total net realized gain (loss) |
| 4,883,040 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (11,996,882) | |
Futures contracts | 29,928 | |
Total change in net unrealized appreciation (depreciation) |
| (11,966,954) |
Net gain (loss) | (7,083,914) | |
Net increase (decrease) in net assets resulting from operations | $ (6,776,718) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 307,196 | $ 492,189 |
Net realized gain (loss) | 4,883,040 | 1,994,944 |
Change in net unrealized appreciation (depreciation) | (11,966,954) | 8,683,577 |
Net increase (decrease) in net assets resulting from operations | (6,776,718) | 11,170,710 |
Distributions to shareholders from net investment income | (33,614) | (484,592) |
Distributions to shareholders from net realized gain | (1,478,998) | (1,597,001) |
Total distributions | (1,512,612) | (2,081,593) |
Share transactions | 30,741,934 | 33,715,367 |
Reinvestment of distributions | 1,469,202 | 2,003,001 |
Cost of shares redeemed | (17,515,437) | (16,323,316) |
Net increase (decrease) in net assets resulting from share transactions | 14,695,699 | 19,395,052 |
Redemption fees | 4,083 | 2,930 |
Total increase (decrease) in net assets | 6,410,452 | 28,487,099 |
|
|
|
Net Assets | ||
Beginning of period | 62,103,961 | 33,616,862 |
End of period (including undistributed net investment income of $317,414 and undistributed net investment income of $43,832, respectively) | $ 68,514,413 | $ 62,103,961 |
Other Information Shares | ||
Sold | 3,048,603 | 3,640,627 |
Issued in reinvestment of distributions | 143,337 | 217,027 |
Redeemed | (1,801,880) | (1,848,838) |
Net increase (decrease) | 1,390,060 | 2,008,816 |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.28 | $ 8.33 | $ 5.12 | $ 9.16 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .04 | .10 | .09 | .10 | .02 |
Net realized and unrealized gain (loss) | (.87) | 2.30 | 3.20 | (4.07) | (.86) |
Total from investment operations | (.83) | 2.40 | 3.29 | (3.97) | (.84) |
Distributions from net investment income | (.01) | (.10) | (.08) | (.08) | - |
Distributions from net realized gain | (.22) | (.35) | - | - | - |
Total distributions | (.23) | (.45) | (.08) | (.08) | - |
Redemption fees added to paid in capital D | - I | - I | - I | .01 | - I |
Net asset value, end of period | $ 9.22 | $ 10.28 | $ 8.33 | $ 5.12 | $ 9.16 |
Total Return B, C | (8.34)% | 29.44% | 64.37% | (43.40)% | (8.40)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .60% A | .60% | .60% | .60% | .60% A |
Expenses net of fee waivers, if any | .60% A | .60% | .60% | .60% | .60% A |
Expenses net of all reductions | .60% A | .60% | .60% | .60% | .60% A |
Net investment income (loss) | .87% A | 1.16% | 1.21% | 1.39% | 1.25% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 68,514 | $ 62,104 | $ 33,617 | $ 14,235 | $ 5,967 |
Portfolio turnover rate F | 105% A | 59% | 80% J | 58% J | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 20, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Amount represents less than $.01 per share.
J Reflects adjustments to exclude transactions in money market mutual funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investment Changes (Unaudited)
Top Ten Stocks as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
CVR Energy, Inc. | 0.8 | 0.6 |
Home Properties, Inc. | 0.7 | 0.0 |
Nu Skin Enterprises, Inc. Class A | 0.7 | 0.6 |
Wellcare Health Plans, Inc. | 0.7 | 0.0 |
Esterline Technologies Corp. | 0.7 | 0.2 |
Hexcel Corp. | 0.7 | 0.0 |
MFA Financial, Inc. | 0.7 | 0.7 |
Equity Lifestyle Properties, Inc. | 0.6 | 0.0 |
PriceSmart, Inc. | 0.7 | 0.4 |
Ruddick Corp. | 0.6 | 0.0 |
| 6.9 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Financials | 19.1 | 15.8 |
Information Technology | 15.2 | 20.6 |
Consumer Discretionary | 14.0 | 12.1 |
Industrials | 12.9 | 14.8 |
Health Care | 10.5 | 8.4 |
Energy | 7.2 | 9.1 |
Materials | 6.5 | 7.3 |
Consumer Staples | 5.0 | 3.2 |
Utilities | 3.1 | 1.0 |
Telecommunication Services | 1.3 | 0.7 |
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 94.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 14.0% | |||
Auto Components - 0.7% | |||
Dana Holding Corp. (a) | 38,196 | $ 486,999 | |
Standard Motor Products, Inc. | 16,863 | 222,086 | |
Superior Industries International, Inc. | 5,928 | 102,080 | |
| 811,165 | ||
Distributors - 0.0% | |||
Audiovox Corp. Class A (a) | 4,800 | 30,768 | |
Diversified Consumer Services - 0.5% | |||
Lincoln Educational Services Corp. | 32,300 | 317,509 | |
Sotheby's Class A (Ltd. vtg.) | 7,405 | 275,540 | |
| 593,049 | ||
Hotels, Restaurants & Leisure - 3.9% | |||
AFC Enterprises, Inc. (a) | 2,499 | 32,462 | |
Ameristar Casinos, Inc. | 25,168 | 469,887 | |
Biglari Holdings, Inc. (a) | 618 | 203,483 | |
Bob Evans Farms, Inc. | 16,400 | 520,864 | |
Carrols Restaurant Group, Inc. (a) | 4,700 | 43,428 | |
CEC Entertainment, Inc. | 2,000 | 62,120 | |
DineEquity, Inc. (a) | 9,107 | 381,583 | |
Domino's Pizza, Inc. (a) | 24,397 | 676,529 | |
Krispy Kreme Doughnuts, Inc. (a) | 58,000 | 527,220 | |
Papa John's International, Inc. (a) | 9,300 | 276,675 | |
Ruth's Hospitality Group, Inc. (a) | 18,847 | 99,701 | |
Scientific Games Corp. Class A (a) | 23,900 | 210,798 | |
Shuffle Master, Inc. (a) | 2,043 | 18,101 | |
Sonic Corp. (a) | 54,665 | 506,745 | |
The Cheesecake Factory, Inc. (a) | 11,800 | 323,910 | |
| 4,353,506 | ||
Household Durables - 2.1% | |||
American Greetings Corp. Class A (e) | 12,259 | 260,136 | |
Blyth, Inc. | 6,096 | 346,984 | |
Helen of Troy Ltd. (a) | 13,925 | 418,029 | |
iRobot Corp. (a) | 7,119 | 198,051 | |
Libbey, Inc. (a) | 7,710 | 99,922 | |
Lifetime Brands, Inc. | 3,104 | 32,902 | |
Tempur-Pedic International, Inc. (a) | 7,641 | 445,012 | |
Tupperware Brands Corp. | 7,394 | 491,701 | |
| 2,292,737 | ||
Leisure Equipment & Products - 1.0% | |||
Arctic Cat, Inc. (a) | 16,519 | 259,018 | |
Polaris Industries, Inc. | 4,764 | 523,421 | |
Steinway Musical Instruments, Inc. (a) | 866 | 21,537 | |
Sturm Ruger & Co., Inc. | 10,365 | 344,844 | |
| 1,148,820 | ||
Media - 0.4% | |||
Global Sources Ltd. (a) | 53,046 | 433,916 | |
Specialty Retail - 4.1% | |||
America's Car Mart, Inc. (a) | 2,100 | 63,105 | |
| |||
Shares | Value | ||
Barnes & Noble, Inc. (e) | 20,400 | $ 272,136 | |
bebe Stores, Inc. | 15,900 | 109,074 | |
Big 5 Sporting Goods Corp. | 2,200 | 16,346 | |
Conn's, Inc. (a) | 17,900 | 102,567 | |
Express, Inc. | 25,487 | 486,547 | |
Finish Line, Inc. Class A | 29,658 | 596,126 | |
GNC Holdings, Inc. (e) | 5,100 | 123,420 | |
Group 1 Automotive, Inc. | 5,210 | 217,518 | |
Pier 1 Imports, Inc. (a) | 53,668 | 573,174 | |
Rent-A-Center, Inc. | 25,047 | 705,824 | |
Select Comfort Corp. (a) | 26,126 | 414,881 | |
Stein Mart, Inc. | 9,900 | 70,092 | |
Systemax, Inc. (a) | 2,400 | 32,400 | |
The Cato Corp. Class A (sub. vtg.) | 19,328 | 490,545 | |
Tractor Supply Co. | 4,437 | 272,299 | |
| 4,546,054 | ||
Textiles, Apparel & Luxury Goods - 1.3% | |||
Crocs, Inc. (a) | 8,760 | 239,674 | |
Fossil, Inc. (a) | 4,275 | 413,008 | |
Iconix Brand Group, Inc. (a) | 27,800 | 544,324 | |
Movado Group, Inc. | 20,125 | 276,920 | |
| 1,473,926 | ||
TOTAL CONSUMER DISCRETIONARY | 15,683,941 | ||
CONSUMER STAPLES - 5.0% | |||
Beverages - 0.2% | |||
Coca-Cola Bottling Co. Consolidated | 3,943 | 220,808 | |
MGP Ingredients, Inc. | 1,482 | 9,085 | |
National Beverage Corp. | 1,453 | 23,960 | |
| 253,853 | ||
Food & Staples Retailing - 1.8% | |||
Casey's General Stores, Inc. | 8,100 | 364,500 | |
Ingles Markets, Inc. Class A | 800 | 12,264 | |
PriceSmart, Inc. | 10,987 | 719,209 | |
Rite Aid Corp. (a) | 61,800 | 67,980 | |
Ruddick Corp. | 17,459 | 713,899 | |
Spartan Stores, Inc. | 7,300 | 117,822 | |
Susser Holdings Corp. (a) | 1,900 | 40,090 | |
Village Super Market, Inc. Class A | 100 | 2,503 | |
| 2,038,267 | ||
Food Products - 1.6% | |||
B&G Foods, Inc. Class A | 28,554 | 519,968 | |
Darling International, Inc. (a) | 29,827 | 502,585 | |
Fresh Del Monte Produce, Inc. | 18,610 | 449,245 | |
Seneca Foods Corp. Class A (a) | 695 | 16,270 | |
Smart Balance, Inc. (a) | 49,509 | 250,020 | |
| 1,738,088 | ||
Personal Products - 1.4% | |||
Elizabeth Arden, Inc. (a) | 12,968 | 417,829 | |
Inter Parfums, Inc. | 8,131 | 134,649 | |
Nature's Sunshine Products, Inc. (a)(e) | 5,261 | 90,542 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Personal Products - continued | |||
Nu Skin Enterprises, Inc. Class A | 19,117 | $ 808,458 | |
Nutraceutical International Corp. (a) | 800 | 11,160 | |
Schiff Nutrition International, Inc. | 3,900 | 40,092 | |
USANA Health Sciences, Inc. (a)(e) | 2,200 | 56,628 | |
| 1,559,358 | ||
TOTAL CONSUMER STAPLES | 5,589,566 | ||
ENERGY - 7.2% | |||
Energy Equipment & Services - 3.1% | |||
Bristow Group, Inc. | 4,352 | 191,401 | |
Complete Production Services, Inc. (a) | 22,811 | 662,888 | |
Gulf Island Fabrication, Inc. | 8,301 | 204,205 | |
Helix Energy Solutions Group, Inc. (a) | 41,761 | 705,343 | |
Hercules Offshore, Inc. (a) | 73,082 | 308,406 | |
Newpark Resources, Inc. (a) | 63,926 | 529,307 | |
OYO Geospace Corp. (a) | 5,464 | 402,697 | |
RigNet, Inc. | 11,641 | 178,922 | |
Tesco Corp. (a)(e) | 17,430 | 291,081 | |
| 3,474,250 | ||
Oil, Gas & Consumable Fuels - 4.1% | |||
Alon USA Energy, Inc. | 25,500 | 236,895 | |
Callon Petroleum Co. (a) | 22,861 | 131,451 | |
CAMAC Energy, Inc. (a)(e) | 18,981 | 15,754 | |
Cloud Peak Energy, Inc. (a) | 21,936 | 438,720 | |
Crosstex Energy, Inc. | 34,340 | 401,435 | |
CVR Energy, Inc. (a) | 29,688 | 845,217 | |
Delek US Holdings, Inc. | 13,171 | 195,063 | |
Golar LNG Ltd. (NASDAQ) | 8,700 | 287,013 | |
Petroquest Energy, Inc. (a)(e) | 13,224 | 100,502 | |
Rex American Resources Corp. (a) | 6,031 | 99,753 | |
Stone Energy Corp. (a) | 20,099 | 530,815 | |
Targa Resources Corp. | 3,900 | 116,376 | |
Vaalco Energy, Inc. (a) | 72,899 | 464,367 | |
Warren Resources, Inc. (a) | 30,987 | 104,736 | |
Western Refining, Inc. (a) | 32,600 | 568,544 | |
| 4,536,641 | ||
TOTAL ENERGY | 8,010,891 | ||
FINANCIALS - 19.1% | |||
Capital Markets - 1.2% | |||
American Capital Ltd. (a) | 56,974 | 496,244 | |
Arlington Asset Investment Corp. | 5,162 | 133,180 | |
Artio Global Investors, Inc. Class A | 9,673 | 87,928 | |
Gleacher & Co., Inc. (a) | 29,872 | 38,535 | |
Kohlberg Capital Corp. | 12,800 | 83,328 | |
Medallion Financial Corp. | 2,647 | 26,020 | |
Prospect Capital Corp. | 7,082 | 62,180 | |
| |||
Shares | Value | ||
TICC Capital Corp. | 19,050 | $ 181,928 | |
Triangle Capital Corp. | 16,385 | 274,449 | |
| 1,383,792 | ||
Commercial Banks - 3.9% | |||
Alliance Financial Corp. | 2,608 | 79,022 | |
American National Bankshares, Inc. | 3,203 | 59,256 | |
BancFirst Corp. | 1,979 | 70,690 | |
Banco Latin Americano de Exporaciones SA (BLADEX) Series E | 29,205 | 488,016 | |
Bank of Marin Bancorp | 2,098 | 74,710 | |
Bank of the Ozarks, Inc. | 13,750 | 312,400 | |
Banner Bank | 29,100 | 449,886 | |
Boston Private Financial Holdings, Inc. | 2,700 | 16,821 | |
Central Pacific Financial Corp. (a) | 6,100 | 74,359 | |
Citizens & Northern Corp. | 5,531 | 90,211 | |
Community Bank System, Inc. | 4,013 | 100,445 | |
Eagle Bancorp, Inc., Maryland (a)(e) | 5,939 | 73,584 | |
Financial Institutions, Inc. | 532 | 8,384 | |
First Merchants Corp. | 10,847 | 82,329 | |
Hanmi Financial Corp. (a)(e) | 202,770 | 196,687 | |
MainSource Financial Group, Inc. | 3,635 | 32,315 | |
Merchants Bancshares, Inc. | 12,912 | 351,594 | |
Old National Bancorp, Indiana | 24,338 | 238,756 | |
Orrstown Financial Services, Inc. | 69 | 987 | |
Pacific Capital Bancorp NA (a)(e) | 14,328 | 392,157 | |
PrivateBancorp, Inc. | 17,000 | 150,960 | |
Prosperity Bancshares, Inc. | 1,694 | 64,118 | |
Republic Bancorp, Inc., Kentucky Class A | 16,229 | 288,876 | |
SCBT Financial Corp. | 1,517 | 42,552 | |
Southside Bancshares, Inc. | 4,486 | 89,182 | |
Southwest Bancorp, Inc., Oklahoma (a) | 5,135 | 26,189 | |
State Bank Financial Corp. (a) | 9,515 | 134,828 | |
Susquehanna Bancshares, Inc. | 3,700 | 24,827 | |
Washington Banking Co., Oak Harbor | 459 | 5,095 | |
Washington Trust Bancorp, Inc. | 6,033 | 130,252 | |
WesBanco, Inc. | 9,172 | 177,753 | |
| 4,327,241 | ||
Consumer Finance - 3.0% | |||
Advance America Cash Advance Centers, Inc. | 59,900 | 500,764 | |
Cash America International, Inc. | 11,594 | 647,873 | |
Credit Acceptance Corp. (a) | 4,873 | 336,919 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 19,122 | 641,543 | |
First Cash Financial Services, Inc. (a) | 10,062 | 469,996 | |
Nelnet, Inc. Class A | 26,943 | 517,306 | |
Nicholas Financial, Inc. | 269 | 2,986 | |
World Acceptance Corp. (a)(e) | 2,563 | 166,979 | |
| 3,284,366 | ||
Diversified Financial Services - 0.9% | |||
Compass Diversified Holdings (e) | 6,300 | 86,436 | |
Encore Capital Group, Inc. (a) | 10,028 | 237,363 | |
MarketAxess Holdings, Inc. | 10,281 | 303,084 | |
NewStar Financial, Inc. (a) | 19,087 | 196,023 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
PHH Corp. (a) | 7,300 | $ 138,481 | |
Vector Capital Corp. rights (a) | 8,300 | 0 | |
| 961,387 | ||
Insurance - 1.0% | |||
Amtrust Financial Services, Inc. | 5,267 | 127,409 | |
FBL Financial Group, Inc. Class A | 15,260 | 445,134 | |
Flagstone Reinsurance Holdings Ltd. | 17,228 | 122,319 | |
Maiden Holdings Ltd. | 52,300 | 445,596 | |
| 1,140,458 | ||
Real Estate Investment Trusts - 8.3% | |||
Alexanders, Inc. | 1,073 | 464,502 | |
Anworth Mortgage Asset Corp. | 88,909 | 639,256 | |
Capstead Mortgage Corp. | 48,843 | 650,100 | |
CBL & Associates Properties, Inc. | 38,119 | 560,730 | |
Crexus Investment Corp. | 37,700 | 352,495 | |
Dynex Capital, Inc. | 19,891 | 182,599 | |
Education Realty Trust, Inc. | 14,900 | 134,100 | |
Equity Lifestyle Properties, Inc. | 10,563 | 728,002 | |
Extra Space Storage, Inc. | 15,113 | 324,930 | |
Hatteras Financial Corp. (e) | 1,455 | 40,173 | |
Highwoods Properties, Inc. (SBI) | 18,503 | 606,158 | |
Home Properties, Inc. | 12,306 | 822,902 | |
LTC Properties, Inc. | 19,228 | 518,964 | |
MFA Financial, Inc. | 97,769 | 732,290 | |
Mid-America Apartment Communities, Inc. | 4,915 | 351,324 | |
Mission West Properties, Inc. | 13,202 | 103,240 | |
National Health Investors, Inc. | 2,486 | 113,610 | |
NorthStar Realty Finance Corp. | 16,657 | 63,630 | |
Pennymac Mortgage Investment Trust | 12,038 | 205,128 | |
PS Business Parks, Inc. | 10,010 | 547,247 | |
RAIT Financial Trust (e) | 30,900 | 120,201 | |
Saul Centers, Inc. | 6,438 | 227,776 | |
U-Store-It Trust | 27,000 | 289,980 | |
Universal Health Realty Income Trust (SBI) | 1,667 | 62,379 | |
Urstadt Biddle Properties, Inc. Class A | 2,522 | 42,395 | |
Walter Investment Management Corp. | 8,500 | 211,225 | |
Winthrop Realty Trust | 17,408 | 177,910 | |
| 9,273,246 | ||
Thrifts & Mortgage Finance - 0.8% | |||
BofI Holding, Inc. (a)(e) | 27,543 | 390,560 | |
Dime Community Bancshares, Inc. | 19,380 | 233,723 | |
Doral Financial Corp. (a) | 36,500 | 59,495 | |
Flushing Financial Corp. | 9,587 | 110,059 | |
Fox Chase Bancorp, Inc. | 5,400 | 69,714 | |
| |||
Shares | Value | ||
Kaiser Federal Financial Group, Inc. | 4,828 | $ 57,115 | |
NASB Financial, Inc. (a) | 705 | 7,142 | |
| 927,808 | ||
TOTAL FINANCIALS | 21,298,298 | ||
HEALTH CARE - 10.5% | |||
Biotechnology - 1.7% | |||
Affymax, Inc. (a) | 8,800 | 41,272 | |
Alkermes, Inc. (a) | 4,300 | 74,562 | |
AVEO Pharmaceuticals, Inc. (a) | 23,073 | 391,780 | |
Emergent BioSolutions, Inc. (a) | 5,800 | 104,806 | |
Nabi Biopharmaceuticals (a) | 51,004 | 95,888 | |
Neurocrine Biosciences, Inc. (a) | 6,325 | 38,836 | |
Osiris Therapeutics, Inc. (a)(e) | 5,786 | 30,955 | |
PDL BioPharma, Inc. | 101,402 | 619,566 | |
SciClone Pharmaceuticals, Inc. (a) | 48,535 | 227,144 | |
SuperGen, Inc. (a) | 102,328 | 220,005 | |
| 1,844,814 | ||
Health Care Equipment & Supplies - 3.4% | |||
Accuray, Inc. (a) | 939 | 4,639 | |
ArthroCare Corp. (a) | 16,802 | 544,889 | |
Atrion Corp. | 200 | 42,980 | |
Cantel Medical Corp. | 10,710 | 267,000 | |
CONMED Corp. (a) | 5,000 | 117,250 | |
Greatbatch, Inc. (a) | 18,169 | 406,077 | |
Haemonetics Corp. (a) | 1,724 | 107,767 | |
Invacare Corp. | 17,330 | 435,330 | |
Kensey Nash Corp. (a) | 10,968 | 301,181 | |
OraSure Technologies, Inc. (a) | 6,200 | 45,446 | |
RTI Biologics, Inc. (a) | 67,563 | 227,012 | |
Sirona Dental Systems, Inc. (a) | 10,262 | 478,825 | |
SurModics, Inc. (a) | 5,200 | 55,432 | |
Symmetry Medical, Inc. (a) | 4,452 | 37,085 | |
Thoratec Corp. (a) | 15,355 | 526,062 | |
Young Innovations, Inc. | 7,269 | 199,243 | |
| 3,796,218 | ||
Health Care Providers & Services - 4.2% | |||
Alliance Healthcare Services, Inc. (a) | 4,100 | 6,519 | |
American Dental Partners, Inc. (a) | 18,867 | 207,160 | |
AMERIGROUP Corp. (a) | 8,063 | 398,877 | |
Centene Corp. (a) | 21,054 | 671,412 | |
Chemed Corp. | 5,212 | 302,557 | |
Chindex International, Inc. (a) | 5,922 | 62,536 | |
Continucare Corp. (a)(e) | 21,370 | 135,913 | |
Five Star Quality Care, Inc. (a) | 93,135 | 302,689 | |
Magellan Health Services, Inc. (a) | 13,350 | 665,765 | |
Molina Healthcare, Inc. (a) | 22,300 | 428,829 | |
National Healthcare Corp. | 461 | 15,872 | |
PharMerica Corp. (a) | 41,835 | 616,230 | |
Providence Service Corp. (a) | 9,538 | 101,484 | |
Select Medical Holdings Corp. (a) | 711 | 5,155 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
Triple-S Management Corp. (a) | 2,700 | $ 46,035 | |
Wellcare Health Plans, Inc. (a) | 16,512 | 756,745 | |
| 4,723,778 | ||
Health Care Technology - 0.2% | |||
Computer Programs & Systems, Inc. | 2,500 | 177,050 | |
HealthStream, Inc. (a) | 6,400 | 79,424 | |
| 256,474 | ||
Life Sciences Tools & Services - 0.3% | |||
Affymetrix, Inc. (a) | 52,416 | 293,530 | |
Medtox Scientific, Inc. | 1,600 | 22,400 | |
| 315,930 | ||
Pharmaceuticals - 0.7% | |||
Cornerstone Therapeutics, Inc. (a) | 6,486 | 50,526 | |
Par Pharmaceutical Companies, Inc. (a) | 3,297 | 98,020 | |
ViroPharma, Inc. (a) | 29,854 | 591,408 | |
| 739,954 | ||
TOTAL HEALTH CARE | 11,677,168 | ||
INDUSTRIALS - 12.9% | |||
Aerospace & Defense - 3.5% | |||
AAR Corp. | 1,374 | 32,413 | |
AeroVironment, Inc. (a)(e) | 17,200 | 492,952 | |
American Science & Engineering, Inc. | 776 | 52,333 | |
Ceradyne, Inc. (a) | 14,476 | 453,967 | |
Cubic Corp. | 6,179 | 259,085 | |
Curtiss-Wright Corp. | 21,837 | 672,361 | |
Ducommun, Inc. | 2,200 | 40,832 | |
Esterline Technologies Corp. (a) | 9,992 | 752,298 | |
Hexcel Corp. (a) | 32,000 | 735,040 | |
LMI Aerospace, Inc. (a) | 3,189 | 62,887 | |
Moog, Inc. Class A (a) | 9,803 | 390,944 | |
| 3,945,112 | ||
Air Freight & Logistics - 0.5% | |||
Atlas Air Worldwide Holdings, Inc. (a)(e) | 10,168 | 499,045 | |
Park-Ohio Holdings Corp. (a) | 4,124 | 65,448 | |
| 564,493 | ||
Airlines - 0.6% | |||
Alaska Air Group, Inc. (a) | 11,268 | 650,502 | |
Spirit Airlines, Inc. (a) | 3,933 | 47,511 | |
| 698,013 | ||
Building Products - 0.1% | |||
Gibraltar Industries, Inc. (a) | 15,119 | 134,257 | |
Commercial Services & Supplies - 1.8% | |||
APAC Customer Services, Inc. (a) | 27,800 | 234,910 | |
Consolidated Graphics, Inc. (a) | 6,820 | 263,116 | |
Courier Corp. | 1,000 | 7,410 | |
Ennis, Inc. | 2,700 | 42,849 | |
| |||
Shares | Value | ||
G&K Services, Inc. Class A | 17,539 | $ 494,951 | |
Intersections, Inc. | 13,500 | 205,200 | |
M&F Worldwide Corp. (a) | 4,500 | 98,550 | |
Multi-Color Corp. | 3,614 | 94,036 | |
Steelcase, Inc. Class A | 21,900 | 181,332 | |
Tetra Tech, Inc. (a) | 10,152 | 202,126 | |
TMS International Corp. | 3,100 | 22,847 | |
Unifirst Corp. Massachusetts | 3,900 | 201,942 | |
| 2,049,269 | ||
Construction & Engineering - 0.8% | |||
Great Lakes Dredge & Dock Corp. | 66,286 | 324,139 | |
Layne Christensen Co. (a) | 8,400 | 235,788 | |
MasTec, Inc. (a) | 9,432 | 209,390 | |
Pike Electric Corp. (a) | 2,693 | 22,729 | |
Sterling Construction Co., Inc. (a) | 6,050 | 77,198 | |
| 869,244 | ||
Electrical Equipment - 0.4% | |||
Brady Corp. Class A | 2,212 | 60,830 | |
Franklin Electric Co., Inc. | 9,931 | 426,139 | |
| 486,969 | ||
Industrial Conglomerates - 0.1% | |||
Tredegar Corp. | 3,411 | 57,100 | |
Machinery - 3.2% | |||
Alamo Group, Inc. | 2,600 | 59,618 | |
Albany International Corp. Class A | 8,643 | 187,899 | |
Ampco-Pittsburgh Corp. | 900 | 19,197 | |
Astec Industries, Inc. (a) | 4,714 | 163,152 | |
Briggs & Stratton Corp. | 4,492 | 72,546 | |
Cascade Corp. | 6,700 | 286,425 | |
CLARCOR, Inc. | 9,296 | 432,636 | |
Colfax Corp. (a) | 13,418 | 336,523 | |
Hurco Companies, Inc. (a) | 2,133 | 58,615 | |
Kadant, Inc. (a) | 18,477 | 430,514 | |
L.B. Foster Co. Class A | 3,193 | 78,229 | |
Nordson Corp. | 10,416 | 457,262 | |
RBC Bearings, Inc. (a) | 7,300 | 255,135 | |
Sauer-Danfoss, Inc. (a) | 2,700 | 116,721 | |
Sun Hydraulics Corp. | 688 | 20,255 | |
Tennant Co. | 7,820 | 343,767 | |
Twin Disc, Inc. | 4,882 | 189,568 | |
| 3,508,062 | ||
Professional Services - 0.9% | |||
Barrett Business Services, Inc. | 400 | 5,724 | |
CBIZ, Inc. (a)(e) | 11,681 | 79,548 | |
GP Strategies Corp. (a) | 2,004 | 24,970 | |
Huron Consulting Group, Inc. (a) | 1,059 | 33,666 | |
ICF International, Inc. (a) | 3,300 | 74,811 | |
Insperity, Inc. | 10,964 | 273,004 | |
Kelly Services, Inc. Class A (non-vtg.) | 12,649 | 192,265 | |
On Assignment, Inc. (a) | 4,129 | 31,380 | |
SFN Group, Inc. (a) | 17,753 | 248,720 | |
| 964,088 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Road & Rail - 0.7% | |||
AMERCO (a) | 6,037 | $ 442,572 | |
Arkansas Best Corp. | 10,900 | 225,085 | |
Quality Distribution, Inc. (a) | 4,500 | 54,990 | |
| 722,647 | ||
Trading Companies & Distributors - 0.3% | |||
Applied Industrial Technologies, Inc. | 8,656 | 265,047 | |
DXP Enterprises, Inc. (a) | 1,962 | 47,265 | |
SeaCube Container Leasing Ltd. | 4,300 | 57,147 | |
| 369,459 | ||
TOTAL INDUSTRIALS | 14,368,713 | ||
INFORMATION TECHNOLOGY - 15.2% | |||
Communications Equipment - 1.4% | |||
Anaren, Inc. (a) | 20,185 | 400,269 | |
Black Box Corp. | 3,915 | 96,779 | |
Communications Systems, Inc. | 2,600 | 37,908 | |
Comtech Telecommunications Corp. | 10,200 | 283,968 | |
DG FastChannel, Inc. (a) | 19,151 | 419,407 | |
Plantronics, Inc. | 7,720 | 247,426 | |
Riverbed Technology, Inc. (a) | 2,735 | 67,773 | |
| 1,553,530 | ||
Computers & Peripherals - 0.1% | |||
Cray, Inc. (a) | 12,530 | 70,982 | |
Xyratex Ltd. | 6,300 | 54,054 | |
| 125,036 | ||
Electronic Equipment & Components - 3.0% | |||
Anixter International, Inc. | 9,759 | 575,879 | |
Brightpoint, Inc. (a) | 22,305 | 212,567 | |
Coherent, Inc. (a) | 9,634 | 425,919 | |
Daktronics, Inc. | 2,900 | 27,956 | |
Electro Scientific Industries, Inc. (a) | 21,600 | 326,592 | |
Insight Enterprises, Inc. (a) | 17,839 | 335,730 | |
Measurement Specialties, Inc. (a) | 5,703 | 178,105 | |
MTS Systems Corp. | 2,585 | 93,370 | |
Multi-Fineline Electronix, Inc. (a) | 3,513 | 66,852 | |
Newport Corp. (a) | 28,807 | 372,763 | |
OSI Systems, Inc. (a) | 6,671 | 259,502 | |
PC Connection, Inc. (a) | 1,800 | 16,038 | |
Pulse Electronics Corp. | 52,106 | 175,076 | |
Rogers Corp. (a) | 420 | 20,945 | |
SYNNEX Corp. (a) | 5,000 | 131,700 | |
Tessco Technologies, Inc. | 3,561 | 51,884 | |
Vishay Precision Group, Inc. (a) | 4,100 | 61,500 | |
X-Rite, Inc. (a) | 8,933 | 32,695 | |
| 3,365,073 | ||
Internet Software & Services - 0.4% | |||
InfoSpace, Inc. (a) | 24,223 | 231,572 | |
| |||
Shares | Value | ||
Liquidity Services, Inc. (a) | 5,672 | $ 136,128 | |
Perficient, Inc. (a) | 2,900 | 25,520 | |
| 393,220 | ||
IT Services - 3.0% | |||
CACI International, Inc. Class A (a) | 12,013 | 661,436 | |
Cardtronics, Inc. (a) | 12,700 | 314,452 | |
CSG Systems International, Inc. (a) | 2,855 | 38,143 | |
Euronet Worldwide, Inc. (a) | 9,201 | 149,700 | |
Global Cash Access Holdings, Inc. (a) | 12,400 | 37,200 | |
Heartland Payment Systems, Inc. | 2,874 | 61,820 | |
Jack Henry & Associates, Inc. | 9,923 | 290,149 | |
Maximus, Inc. | 14,934 | 552,409 | |
Ness Technologies, Inc. (a) | 51,600 | 395,256 | |
Teletech Holdings, Inc. (a) | 27,126 | 481,215 | |
Unisys Corp. (a) | 173 | 3,043 | |
VeriFone Systems, Inc. (a) | 11,916 | 419,682 | |
| 3,404,505 | ||
Semiconductors & Semiconductor Equipment - 1.8% | |||
ATMI, Inc. (a) | 3,372 | 57,762 | |
DSP Group, Inc. (a) | 98 | 634 | |
Entegris, Inc. (a) | 63,418 | 476,903 | |
GT Advanced Technologies, Inc. (a)(e) | 32,887 | 401,550 | |
Kulicke & Soffa Industries, Inc. (a) | 54,566 | 474,724 | |
Lattice Semiconductor Corp. (a)(e) | 36,735 | 206,818 | |
LTX-Credence Corp. (a) | 55,951 | 318,361 | |
Tessera Technologies, Inc. (a) | 2,398 | 33,764 | |
| 1,970,516 | ||
Software - 5.5% | |||
ACI Worldwide, Inc. (a) | 17,645 | 527,762 | |
Actuate Corp. (a) | 6,300 | 40,131 | |
Aspen Technology, Inc. (a) | 39,800 | 668,242 | |
Fair Isaac Corp. | 22,322 | 570,327 | |
JDA Software Group, Inc. (a) | 10,000 | 264,100 | |
Manhattan Associates, Inc. (a) | 16,067 | 573,431 | |
Monotype Imaging Holdings, Inc. (a) | 39,324 | 460,484 | |
NetScout Systems, Inc. (a) | 4,182 | 57,712 | |
Opnet Technologies, Inc. | 11,270 | 388,815 | |
Progress Software Corp. (a) | 22,032 | 458,927 | |
QAD, Inc.: | |||
Class A | 10,828 | 124,089 | |
Class B | 3,690 | 37,896 | |
Quest Software, Inc. (a) | 23,001 | 396,307 | |
Renaissance Learning, Inc. | 5,670 | 88,225 | |
S1 Corp. (a) | 6,800 | 62,492 | |
Take-Two Interactive Software, Inc. (a) | 38,337 | 506,815 | |
TeleCommunication Systems, Inc. Class A (a) | 25,560 | 96,872 | |
TeleNav, Inc. (a) | 28,032 | 259,296 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
TIBCO Software, Inc. (a) | 20,024 | $ 448,137 | |
Verint Systems, Inc. (a) | 5,038 | 143,986 | |
| 6,174,046 | ||
TOTAL INFORMATION TECHNOLOGY | 16,985,926 | ||
MATERIALS - 6.5% | |||
Chemicals - 3.6% | |||
Ferro Corp. (a) | 24,385 | 204,102 | |
FutureFuel Corp. | 1,641 | 18,527 | |
Georgia Gulf Corp. (a) | 10,679 | 226,288 | |
H.B. Fuller Co. | 26,755 | 593,158 | |
Innophos Holdings, Inc. | 7,400 | 307,914 | |
Innospec, Inc. (a) | 10,400 | 281,320 | |
LSB Industries, Inc. (a) | 12,600 | 503,370 | |
Minerals Technologies, Inc. | 2,500 | 145,025 | |
OM Group, Inc. (a) | 15,473 | 489,411 | |
Rockwood Holdings, Inc. (a) | 9,492 | 484,092 | |
Senomyx, Inc. (a)(e) | 13,975 | 59,673 | |
Sensient Technologies Corp. | 3,614 | 131,369 | |
TPC Group, Inc. (a) | 14,010 | 446,919 | |
W.R. Grace & Co. (a) | 4,068 | 160,361 | |
| 4,051,529 | ||
Containers & Packaging - 0.1% | |||
Myers Industries, Inc. | 11,791 | 128,286 | |
Metals & Mining - 1.4% | |||
Golden Star Resources Ltd. (a) | 108,842 | 264,547 | |
Handy & Harman Ltd. (a) | 2,452 | 34,867 | |
Hecla Mining Co. (a) | 78,117 | 599,157 | |
Noranda Aluminium Holding Corp. (a) | 15,298 | 173,938 | |
Worthington Industries, Inc. | 27,500 | 446,875 | |
| 1,519,384 | ||
Paper & Forest Products - 1.4% | |||
Buckeye Technologies, Inc. | 21,798 | 592,688 | |
Domtar Corp. | 6,113 | 490,996 | |
Glatfelter | 16,652 | 239,123 | |
Kapstone Paper & Packaging Corp. (a) | 18,466 | 277,544 | |
| 1,600,351 | ||
TOTAL MATERIALS | 7,299,550 | ||
TELECOMMUNICATION SERVICES - 1.3% | |||
Diversified Telecommunication Services - 1.3% | |||
Consolidated Communications Holdings, Inc. | 19,248 | 367,829 | |
Global Crossing Ltd. (a) | 14,938 | 424,986 | |
HickoryTech Corp. | 1,858 | 17,744 | |
| |||
Shares | Value | ||
inContact, Inc. (a) | 3,120 | $ 12,449 | |
Premiere Global Services, Inc. (a) | 5,500 | 45,980 | |
Vonage Holdings Corp. (a) | 146,554 | 530,525 | |
| 1,399,513 | ||
UTILITIES - 3.1% | |||
Electric Utilities - 2.1% | |||
Cleco Corp. | 19,099 | 678,587 | |
El Paso Electric Co. | 19,436 | 672,291 | |
Empire District Electric Co. | 10,361 | 214,991 | |
MGE Energy, Inc. | 4,158 | 175,260 | |
Portland General Electric Co. | 26,299 | 634,332 | |
| 2,375,461 | ||
Gas Utilities - 0.4% | |||
Chesapeake Utilities Corp. | 5,751 | 234,567 | |
Piedmont Natural Gas Co., Inc. | 1,164 | 35,968 | |
Southwest Gas Corp. | 4,389 | 162,481 | |
| 433,032 | ||
Multi-Utilities - 0.5% | |||
Avista Corp. | 4,723 | 119,870 | |
NorthWestern Energy Corp. | 14,198 | 481,454 | |
| 601,324 | ||
Water Utilities - 0.1% | |||
California Water Service Group | 3,372 | 63,663 | |
TOTAL UTILITIES | 3,473,464 | ||
TOTAL COMMON STOCKS (Cost $103,251,305) | 105,787,030 |
U.S. Treasury Obligations - 0.6% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.06% 12/15/11 to 3/8/12 (f) | $ 720,000 | 719,917 |
Money Market Funds - 7.1% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 3,723,727 | $ 3,723,727 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(d) | 4,175,129 | 4,175,129 | |
TOTAL MONEY MARKET FUNDS (Cost $7,898,856) | 7,898,856 |
TOTAL INVESTMENT PORTFOLIO - 102.5% (Cost $111,870,028) | 114,405,803 |
NET OTHER ASSETS (LIABILITIES) - (2.5)% | (2,772,152) | ||
NET ASSETS - 100% | $ 111,633,651 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
80 NYFE Russell Mini Index Contracts | Sept. 2011 | $ 5,809,600 | $ 271,845 |
|
The face value of futures purchased as a percentage of net assets is 5.2% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. 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 the period end, the value of securities pledged amounted to $519,965. |
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 | $ 32,877 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 15,683,941 | $ 15,683,941 | $ - | $ - |
Consumer Staples | 5,589,566 | 5,589,566 | - | - |
Energy | 8,010,891 | 8,010,891 | - | - |
Financials | 21,298,298 | 21,298,298 | - | - |
Health Care | 11,677,168 | 11,677,168 | - | - |
Industrials | 14,368,713 | 14,368,713 | - | - |
Information Technology | 16,985,926 | 16,985,926 | - | - |
Materials | 7,299,550 | 7,299,550 | - | - |
Telecommunication Services | 1,399,513 | 1,399,513 | - | - |
Utilities | 3,473,464 | 3,473,464 | - | - |
U.S. Government and Government Agency Obligations | 719,917 | - | 719,917 | - |
Money Market Funds | 7,898,856 | 7,898,856 | - | - |
Total Investments in Securities: | $ 114,405,803 | $ 113,685,886 | $ 719,917 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 271,845 | $ 271,845 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 271,845 | $ - |
Total Value of Derivatives | $ 271,845 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
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, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $3,988,440) - See accompanying schedule: Unaffiliated issuers (cost $107,694,899) | $ 110,230,674 |
|
Fidelity Central Funds (cost $4,175,129) | 4,175,129 |
|
Total Investments (cost $111,870,028) |
| $ 114,405,803 |
Segregated cash with broker for futures contracts | 149,600 | |
Receivable for investments sold | 1,348,734 | |
Receivable for fund shares sold | 149,619 | |
Dividends receivable | 52,843 | |
Interest receivable | 14 | |
Distributions receivable from Fidelity Central Funds | 2,859 | |
Receivable for daily variation margin on futures contracts | 31,574 | |
Other receivables | 205 | |
Total assets | 116,141,251 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 199,940 | |
Payable for fund shares redeemed | 72,472 | |
Accrued management fee | 46,613 | |
Other affiliated payables | 13,446 | |
Collateral on securities loaned, at value | 4,175,129 | |
Total liabilities | 4,507,600 | |
|
|
|
Net Assets | $ 111,633,651 | |
Net Assets consist of: |
| |
Paid in capital | $ 98,335,267 | |
Undistributed net investment income | 345,980 | |
Accumulated undistributed net realized gain (loss) on investments | 10,144,784 | |
Net unrealized appreciation (depreciation) on investments | 2,807,620 | |
Net Assets, for 11,757,170 shares outstanding | $ 111,633,651 | |
Net Asset Value, offering price and redemption price per share ($111,633,651 ÷ 11,757,170 shares) | $ 9.49 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 706,938 |
Interest |
| 2,798 |
Income from Fidelity Central Funds |
| 32,877 |
Total income |
| 742,613 |
|
|
|
Expenses | ||
Management fee | $ 307,353 | |
Transfer agent fees | 88,760 | |
Independent trustees' compensation | 347 | |
Miscellaneous | 184 | |
Total expenses before reductions | 396,644 | |
Expense reductions | (11) | 396,633 |
Net investment income (loss) | 345,980 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 10,328,395 | |
Futures contracts | 238,420 | |
Total net realized gain (loss) |
| 10,566,815 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (22,687,635) | |
Futures contracts | 10,717 | |
Total change in net unrealized appreciation (depreciation) |
| (22,676,918) |
Net gain (loss) | (12,110,103) | |
Net increase (decrease) in net assets resulting from operations | $ (11,764,123) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 345,980 | $ 640,023 |
Net realized gain (loss) | 10,566,815 | 11,838,428 |
Change in net unrealized appreciation (depreciation) | (22,676,918) | 17,477,961 |
Net increase (decrease) in net assets resulting from operations | (11,764,123) | 29,956,412 |
Distributions to shareholders from net investment income | - | (740,549) |
Distributions to shareholders from net realized gain | (3,429,144) | - |
Share transactions | 35,033,021 | 62,154,022 |
Reinvestment of distributions | 3,277,320 | 708,498 |
Cost of shares redeemed | (25,383,887) | (63,524,536) |
Net increase (decrease) in net assets resulting from share transactions | 12,926,454 | (662,016) |
Redemption fees | 71,295 | 32,519 |
Total increase (decrease) in net assets | (2,195,518) | 28,586,366 |
|
|
|
Net Assets | ||
Beginning of period | 113,829,169 | 85,242,803 |
End of period (including undistributed net investment income of $345,980 and undistributed net investment income of $0, respectively) | $ 111,633,651 | $ 113,829,169 |
Other Information Shares | ||
Sold | 3,339,547 | 6,638,981 |
Issued in reinvestment of distributions | 311,236 | 71,090 |
Redeemed | (2,515,236) | (6,671,411) |
Net increase (decrease) | 1,135,547 | 38,660 |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.72 | $ 8.05 | $ 5.20 | $ 9.03 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .03 | .06 | .05 | .09 | .02 |
Net realized and unrealized gain (loss) | (.96) | 2.67 | 2.86 | (3.87) | (.99) |
Total from investment operations | (.93) | 2.73 | 2.91 | (3.78) | (.97) |
Distributions from net investment income | - | (.06) | (.06) | (.06) | - |
Distributions from net realized gain | (.31) | - | - | - | - |
Redemption fees added to paid in capital D | .01 | - I | - I | .01 | - I |
Net asset value, end of period | $ 9.49 | $ 10.72 | $ 8.05 | $ 5.20 | $ 9.03 |
Total Return B, C | (8.89)% | 34.01% | 55.93% | (41.94)% | (9.70)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .67% A | .67% | .67% | .67% | .67% A |
Expenses net of fee waivers, if any | .67% A | .67% | .67% | .67% | .67% A |
Expenses net of all reductions | .67% A | .67% | .67% | .67% | .67% A |
Net investment income (loss) | .59% A | .63% | .77% | 1.29% | 1.19% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 111,634 | $ 113,829 | $ 85,243 | $ 57,443 | $ 6,343 |
Portfolio turnover rate F | 131% A | 90% | 98% J | 36% J | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 20, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Amount represents less than $.01 per share.
J Reflects adjustments to exclude transactions in money market mutual funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Investment Changes (Unaudited)
Geographic Diversification (% of fund's net assets) | |||
As of August 31, 2011 | |||
![]() | Japan | 22.2% |
|
![]() | United Kingdom | 18.8% |
|
![]() | Australia | 8.6% |
|
![]() | France | 8.2% |
|
![]() | Switzerland | 7.2% |
|
![]() | Germany | 7.0% |
|
![]() | United States of America | 3.7% |
|
![]() | Spain | 3.1% |
|
![]() | Hong Kong | 2.9% |
|
![]() | Other | 18.3% |
|
Percentages are adjusted for the effect of futures contracts, if applicable. |
As of February 28, 2011 | |||
![]() | Japan | 20.6% |
|
![]() | United Kingdom | 18.6% |
|
![]() | Australia | 9.3% |
|
![]() | Germany | 8.7% |
|
![]() | France | 7.9% |
|
![]() | United States of America | 6.7% |
|
![]() | Switzerland | 5.7% |
|
![]() | Netherlands | 2.6% |
|
![]() | Sweden | 2.6% |
|
![]() | Other | 17.3% |
|
Percentages are adjusted for the effect of futures contracts, if applicable. |
Asset Allocation | ||
| % of fund's | % of fund's net assets |
Stocks and Equity Futures | 99.6 | 98.7 |
Short-Term Investments and Net Other Assets | 0.4 | 1.3 |
Top Ten Stocks as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Nestle SA (Switzerland, Food Products) | 1.8 | 1.2 |
BHP Billiton Ltd. (Australia, Metals & Mining) | 1.6 | 1.6 |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 1.6 | 1.2 |
BP PLC (United Kingdom, Oil, Gas & Consumable Fuels) | 1.5 | 1.5 |
Total SA (France, Oil, Gas & Consumable Fuels) | 1.3 | 1.1 |
GlaxoSmithKline PLC sponsored ADR (United Kingdom, Pharmaceuticals) | 1.4 | 1.1 |
Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services) | 1.1 | 1.0 |
Novartis AG (Switzerland, Pharmaceuticals) | 1.0 | 0.8 |
Rio Tinto PLC (United Kingdom, Metals & Mining) | 1.0 | 1.1 |
Commonwealth Bank of Australia (Australia, Commercial Banks) | 1.0 | 1.0 |
| 13.3 | |
Market Sectors as of August 31, 2011 | ||
| % of fund's | % of fund's net assets |
Financials | 21.3 | 22.8 |
Industrials | 12.0 | 12.3 |
Consumer Discretionary | 11.1 | 11.3 |
Materials | 9.9 | 10.4 |
Consumer Staples | 9.7 | 8.2 |
Health Care | 9.0 | 8.2 |
Energy | 8.2 | 7.1 |
Utilities | 5.4 | 4.8 |
Information Technology | 5.1 | 4.3 |
Telecommunication Services | 4.8 | 4.1 |
Semiannual Report
Fidelity International Enhanced Index Fund
Investments August 31, 2011 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 96.5% | |||
Shares | Value | ||
Australia - 8.6% | |||
AGL Energy Ltd. | 3,674 | $ 60,821 | |
ASX Ltd. | 829 | 25,727 | |
Australia & New Zealand Banking Group Ltd. | 3,440 | 74,642 | |
BHP Billiton Ltd. | 9,346 | 397,800 | |
Coca-Cola Amatil Ltd. | 2,647 | 33,346 | |
Commonwealth Bank of Australia | 4,690 | 241,847 | |
Crown Ltd. | 7,400 | 65,920 | |
CSL Ltd. | 2,370 | 71,270 | |
DuluxGroup Ltd. | 2,500 | 7,112 | |
Fortescue Metals Group Ltd. | 14,860 | 96,142 | |
Fosters Group Ltd. | 13,957 | 74,330 | |
Insurance Australia Group Ltd. | 18,100 | 58,843 | |
MAp Group unit | 8,600 | 28,970 | |
National Australia Bank Ltd. | 2,950 | 74,830 | |
Newcrest Mining Ltd. | 249 | 10,718 | |
Orica Ltd. | 2,500 | 62,747 | |
QBE Insurance Group Ltd. | 2,245 | 33,899 | |
Rio Tinto Ltd. | 2,044 | 158,518 | |
Telstra Corp. Ltd. | 22,400 | 72,582 | |
Wesfarmers Ltd. | 3,000 | 98,652 | |
Wesfarmers Ltd. (price protected shares) | 3,056 | 102,422 | |
Westfield Group unit | 6,049 | 52,656 | |
Westfield Retail Trust unit | 7,479 | 20,955 | |
Westpac Banking Corp. | 4,051 | 89,242 | |
Woolworths Ltd. | 3,482 | 93,910 | |
TOTAL AUSTRALIA | 2,107,901 | ||
Austria - 0.9% | |||
OMV AG | 1,320 | 52,150 | |
Telekom Austria AG | 700 | 7,774 | |
Vienna Insurance Group AG Wien | 1,774 | 82,677 | |
Voestalpine AG | 2,039 | 78,623 | |
TOTAL AUSTRIA | 221,224 | ||
Bailiwick of Guernsey - 0.4% | |||
Resolution Ltd. | 23,148 | 100,131 | |
Bailiwick of Jersey - 0.8% | |||
Experian PLC | 9,747 | 111,341 | |
Petrofac Ltd. | 4,090 | 90,784 | |
TOTAL BAILIWICK OF JERSEY | 202,125 | ||
Belgium - 1.2% | |||
Anheuser-Busch InBev SA NV | 2,829 | 156,171 | |
Bekaert SA | 868 | 49,400 | |
Delhaize Group SA | 645 | 43,256 | |
KBC Groupe SA | 606 | 17,151 | |
Mobistar SA | 580 | 37,647 | |
Umicore SA | 51 | 2,468 | |
TOTAL BELGIUM | 306,093 | ||
| |||
Shares | Value | ||
Bermuda - 0.5% | |||
Orient Overseas International Ltd. | 15,000 | $ 74,078 | |
Yue Yuen Industrial (Holdings) Ltd. | 15,500 | 42,703 | |
TOTAL BERMUDA | 116,781 | ||
Denmark - 0.7% | |||
Novo Nordisk A/S Series B | 1,505 | 160,333 | |
Novozymes A/S Series B | 45 | 6,591 | |
TOTAL DENMARK | 166,924 | ||
Finland - 1.8% | |||
Fortum Corp. | 3,400 | 91,440 | |
KCI Konecranes Oyj | 3 | 82 | |
Kone Oyj (B Shares) | 1,920 | 113,755 | |
Nokia Corp. | 14,771 | 95,021 | |
Nokian Tyres PLC | 1,646 | 61,057 | |
Stora Enso Oyj (R Shares) | 8,332 | 60,928 | |
Wartsila Corp. | 1,126 | 31,334 | |
TOTAL FINLAND | 453,617 | ||
France - 8.2% | |||
Air Liquide SA | 169 | 21,978 | |
AXA SA | 2,102 | 33,762 | |
BIC SA | 1,118 | 108,577 | |
BNP Paribas SA | 1,600 | 82,452 | |
Bouygues SA | 702 | 26,953 | |
Carrefour SA | 844 | 22,505 | |
CNP Assurances | 1,600 | 28,296 | |
Compagnie de St. Gobain | 1,858 | 93,519 | |
Compagnie Generale de Geophysique SA (a) | 2,720 | 68,873 | |
Credit Agricole SA | 6,959 | 68,194 | |
Danone | 370 | 25,284 | |
France Telecom SA | 5,170 | 98,785 | |
GDF Suez | 2,623 | 82,734 | |
Gecina SA | 684 | 76,589 | |
Hermes International SA | 313 | 119,613 | |
Legrand SA | 1,200 | 47,659 | |
LVMH Moet Hennessy - Louis Vuitton | 146 | 24,740 | |
Natixis SA | 7,165 | 28,709 | |
Peugeot Citroen SA | 1,660 | 50,869 | |
Sanofi-aventis | 1,738 | 126,762 | |
Schneider Electric SA | 249 | 33,304 | |
Societe Generale Series A | 1,885 | 63,261 | |
Technip SA | 201 | 19,625 | |
Total SA | 6,497 | 317,317 | |
Unibail-Rodamco | 490 | 105,981 | |
VINCI SA | 1,400 | 73,161 | |
Vivendi | 6,026 | 146,870 | |
TOTAL FRANCE | 1,996,372 | ||
Germany - 7.0% | |||
Allianz AG | 1,110 | 114,387 | |
BASF AG | 2,834 | 202,230 | |
Common Stocks - continued | |||
Shares | Value | ||
Germany - continued | |||
Bayer AG | 2,785 | $ 179,608 | |
Bayerische Motoren Werke AG (BMW) | 438 | 35,458 | |
Commerzbank AG (a) | 27,455 | 81,608 | |
Daimler AG (Germany) | 1,188 | 64,293 | |
Deutsche Bank AG | 2,820 | 114,066 | |
Deutsche Boerse AG (a) | 677 | 39,250 | |
Deutsche Telekom AG | 5,892 | 74,541 | |
E.ON AG | 3,722 | 81,572 | |
Infineon Technologies AG | 9,805 | 83,631 | |
Kabel Deutschland Holding AG (a) | 1,821 | 101,899 | |
Linde AG | 865 | 132,472 | |
Munich Re Group | 33 | 4,308 | |
SAP AG | 1,560 | 85,082 | |
Siemens AG | 2,270 | 233,535 | |
Volkswagen AG | 97 | 14,751 | |
Wacker Chemie AG | 446 | 64,972 | |
TOTAL GERMANY | 1,707,663 | ||
Greece - 0.6% | |||
Coca-Cola Hellenic Bottling Co. SA | 554 | 11,373 | |
Greek Organization of Football Prognostics SA | 6,459 | 78,874 | |
Public Power Corp. of Greece | 5,294 | 45,634 | |
TOTAL GREECE | 135,881 | ||
Hong Kong - 2.9% | |||
Bank of East Asia Ltd. | 81 | 319 | |
Cheung Kong Holdings Ltd. | 9,000 | 126,347 | |
CLP Holdings Ltd. | 10,000 | 92,670 | |
Hang Seng Bank Ltd. | 2,000 | 29,464 | |
Henderson Land Development Co. Ltd. | 24 | 140 | |
Hutchison Whampoa Ltd. | 13,000 | 124,645 | |
Kerry Properties Ltd. | 8,000 | 34,576 | |
New World Development Co. Ltd. | 21,389 | 27,280 | |
Power Assets Holdings Ltd. | 3,500 | 27,152 | |
Sun Hung Kai Properties Ltd. | 3,495 | 49,244 | |
Wharf Holdings Ltd. | 17,000 | 108,301 | |
Wheelock and Co. Ltd. | 25,000 | 87,661 | |
TOTAL HONG KONG | 707,799 | ||
Ireland - 0.1% | |||
CRH PLC | 27 | 477 | |
Kerry Group PLC Class A | 680 | 26,377 | |
TOTAL IRELAND | 26,854 | ||
Israel - 0.9% | |||
Bank Hapoalim BM (Reg.) | 20,797 | 86,362 | |
Israel Chemicals Ltd. | 6,004 | 86,623 | |
Teva Pharmaceutical Industries Ltd. | 1,406 | 58,076 | |
TOTAL ISRAEL | 231,061 | ||
Italy - 2.2% | |||
Assicurazioni Generali SpA | 1,101 | 19,898 | |
| |||
Shares | Value | ||
Enel SpA | 30,026 | $ 146,665 | |
ENI SpA | 3,382 | 68,007 | |
EXOR SpA | 2,813 | 67,288 | |
Finmeccanica SpA | 4,420 | 32,893 | |
Intesa Sanpaolo SpA | 20,964 | 34,154 | |
Intesa Sanpaolo SpA (Risparmio Shares) | 35,170 | 48,026 | |
Pirelli & C SpA | 9,165 | 76,763 | |
Telecom Italia SpA | 19,506 | 23,661 | |
UniCredit SpA | 9,662 | 13,083 | |
TOTAL ITALY | 530,438 | ||
Japan - 22.2% | |||
Aisin Seiki Co. Ltd. | 2,800 | 93,908 | |
Ajinomoto Co., Inc. | 2,000 | 23,717 | |
Asahi Glass Co. Ltd. | 4,000 | 39,375 | |
Bank of Yokohama Ltd. | 7,000 | 35,179 | |
Canon, Inc. | 4,500 | 212,334 | |
Central Japan Railway Co. | 15 | 125,413 | |
Chiba Bank Ltd. | 4,000 | 26,135 | |
Chubu Electric Power Co., Inc. | 4,200 | 79,582 | |
Daito Trust Construction Co. Ltd. | 1,200 | 111,258 | |
Daiwa House Industry Co. Ltd. | 8,000 | 99,391 | |
DeNA Co. Ltd. | 2,400 | 125,162 | |
Denso Corp. | 3,700 | 118,280 | |
East Japan Railway Co. | 1,700 | 102,091 | |
Eisai Co. Ltd. | 3,000 | 128,033 | |
Electric Power Development Co. Ltd. | 900 | 25,307 | |
Elpida Memory, Inc. (a) | 3,700 | 25,995 | |
Fanuc Corp. | 100 | 16,644 | |
Fuji Heavy Industries Ltd. | 13,000 | 81,550 | |
Fujifilm Holdings Corp. | 2,000 | 48,585 | |
GREE, Inc. | 4,500 | 145,966 | |
Hino Motors Ltd. | 4,000 | 23,235 | |
Hitachi Ltd. | 26,000 | 140,639 | |
Honda Motor Co. Ltd. | 5,300 | 172,689 | |
Idemitsu Kosan Co. Ltd. | 900 | 94,371 | |
INPEX Corp. | 12 | 81,803 | |
JGC Corp. | 3,000 | 85,577 | |
JTEKT Corp. | 6,800 | 83,991 | |
Jupiter Telecommunications Co. | 40 | 44,624 | |
Kansai Electric Power Co., Inc. | 1,900 | 33,754 | |
Kao Corp. | 1,300 | 34,534 | |
KDDI Corp. | 20 | 150,030 | |
Kirin Holdings Co. Ltd. | 2,000 | 26,680 | |
Kuraray Co. Ltd. | 2,000 | 28,837 | |
Marubeni Corp. | 8,000 | 50,725 | |
Mitsubishi Corp. | 700 | 16,842 | |
Mitsubishi UFJ Financial Group, Inc. | 47,600 | 215,867 | |
Mitsui & Co. Ltd. | 5,500 | 94,360 | |
Mizuho Financial Group, Inc. | 101,600 | 155,066 | |
Nippon Meat Packers, Inc. | 7,000 | 87,360 | |
Nippon Telegraph & Telephone Corp. | 400 | 18,727 | |
Nishi-Nippon City Bank Ltd. | 26,000 | 75,249 | |
Nissan Motor Co. Ltd. | 14,300 | 131,486 | |
Common Stocks - continued | |||
Shares | Value | ||
Japan - continued | |||
Nisshin Seifun Group, Inc. | 3,500 | $ 44,386 | |
Nitto Denko Corp. | 700 | 27,422 | |
NTN Corp. | 17,000 | 85,359 | |
NTT Data Corp. | 16 | 51,645 | |
NTT DoCoMo, Inc. | 18 | 32,811 | |
ORIX Corp. | 380 | 34,509 | |
Osaka Gas Co. Ltd. | 13,000 | 52,841 | |
Panasonic Corp. | 2,000 | 21,256 | |
Resona Holdings, Inc. | 23,100 | 105,129 | |
Sega Sammy Holdings, Inc. | 5,000 | 116,178 | |
Shinsei Bank Ltd. | 35,000 | 41,906 | |
SOFTBANK CORP. | 200 | 6,649 | |
Sony Corp. | 2,700 | 59,285 | |
Sony Financial Holdings, Inc. | 3,600 | 56,864 | |
Sumitomo Corp. | 4,300 | 56,355 | |
Sumitomo Heavy Industries Ltd. | 6,000 | 36,337 | |
Sumitomo Mitsui Financial Group, Inc. | 3,100 | 91,778 | |
Suzuki Motor Corp. | 4,800 | 98,951 | |
Takeda Pharmaceutical Co. Ltd. | 3,800 | 184,036 | |
Tokio Marine Holdings, Inc. | 2,600 | 70,965 | |
Tokyo Gas Co. Ltd. | 11,000 | 50,613 | |
Tokyu Land Corp. | 15,000 | 61,602 | |
TonenGeneral Sekiyu KK | 3,000 | 34,420 | |
Toyo Suisan Kaisha Ltd. | 1,500 | 39,715 | |
Toyoda Gosei Co. Ltd. | 2,300 | 41,629 | |
Toyota Motor Corp. | 4,700 | 169,308 | |
Yamada Denki Co. Ltd. | 720 | 52,942 | |
Yamato Holdings Co. Ltd. | 7,100 | 123,957 | |
Yamazaki Baking Co. Ltd. | 5,000 | 73,465 | |
TOTAL JAPAN | 5,432,664 | ||
Luxembourg - 0.0% | |||
Aperam | 47 | 864 | |
Netherlands - 2.5% | |||
Akzo Nobel NV | 372 | 18,940 | |
ING Groep NV (Certificaten Van Aandelen) (a) | 15,707 | 136,310 | |
Koninklijke Ahold NV | 7,745 | 90,239 | |
Koninklijke KPN NV | 2,705 | 38,317 | |
Koninklijke Philips Electronics NV | 242 | 5,119 | |
Royal DSM NV | 1,895 | 95,177 | |
STMicroelectronics NV | 9,011 | 59,772 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) unit | 4,740 | 160,675 | |
TOTAL NETHERLANDS | 604,549 | ||
New Zealand - 0.6% | |||
Fletcher Building Ltd. | 8,805 | 58,399 | |
Sky City Entertainment Group Ltd. | 32,295 | 92,506 | |
TOTAL NEW ZEALAND | 150,905 | ||
| |||
Shares | Value | ||
Norway - 0.8% | |||
StatoilHydro ASA | 6,227 | $ 149,613 | |
Telenor ASA | 3,400 | 56,849 | |
TOTAL NORWAY | 206,462 | ||
Portugal - 0.2% | |||
Portugal Telecom SGPS SA (Reg.) | 6,948 | 59,819 | |
Singapore - 1.6% | |||
Ascendas Real Estate Investment Trust (A-REIT) | 5,000 | 8,803 | |
ComfortDelgro Corp. Ltd. | 20,000 | 22,837 | |
Oversea-Chinese Banking Corp. Ltd. | 9,333 | 67,816 | |
SembCorp Marine Ltd. | 21,000 | 70,977 | |
Singapore Airlines Ltd. | 9,000 | 82,511 | |
UOL Group Ltd. | 24,000 | 91,081 | |
Yangzijiang Shipbuilding Holdings Ltd. | 60,000 | 57,798 | |
TOTAL SINGAPORE | 401,823 | ||
Spain - 3.1% | |||
Amadeus IT Holding SA Class A | 5,232 | 104,555 | |
Banco Bilbao Vizcaya Argentaria SA | 6,241 | 56,634 | |
Banco Santander SA (Spain) | 14,442 | 133,454 | |
Distribuidora Internacional de Alimentacion SA (a) | 844 | 3,638 | |
Gas Natural SDG SA | 5,310 | 97,189 | |
Iberdrola SA | 10,216 | 75,351 | |
Inditex SA | 821 | 69,944 | |
Repsol YPF SA | 2,174 | 62,684 | |
Telefonica SA | 6,930 | 144,091 | |
Vallehermoso SA (a) | 104 | 799 | |
TOTAL SPAIN | 748,339 | ||
Sweden - 2.5% | |||
Alfa Laval AB | 1,600 | 31,416 | |
Getinge AB (B Shares) | 362 | 9,346 | |
H&M Hennes & Mauritz AB (B Shares) | 461 | 14,366 | |
Nordea Bank AB | 1,287 | 11,874 | |
Scania AB (B Shares) | 4,742 | 86,005 | |
Svenska Cellulosa AB (SCA) (B Shares) | 5,000 | 67,461 | |
Swedbank AB (A Shares) | 1,169 | 16,086 | |
Swedish Match Co. | 3,230 | 117,215 | |
Tele2 AB (B Shares) | 2,729 | 57,587 | |
Telefonaktiebolaget LM Ericsson (B Shares) | 7,561 | 84,865 | |
Volvo AB (B Shares) | 8,481 | 105,466 | |
TOTAL SWEDEN | 601,687 | ||
Switzerland - 7.2% | |||
ABB Ltd. (Reg.) | 8,897 | 189,713 | |
Compagnie Financiere Richemont SA Series A | 216 | 12,537 | |
Credit Suisse Group | 2,031 | 58,230 | |
Givaudan SA | 54 | 52,191 | |
Nestle SA | 7,130 | 441,512 | |
Novartis AG | 4,297 | 250,679 | |
Common Stocks - continued | |||
Shares | Value | ||
Switzerland - continued | |||
Pargesa Holding SA | 913 | $ 74,592 | |
Roche Holding AG (participation certificate) | 2,181 | 381,810 | |
Straumann Holding AG | 170 | 32,460 | |
Sulzer AG (Reg.) | 90 | 12,115 | |
The Swatch Group AG (Bearer) | 100 | 45,658 | |
Transocean Ltd. (Switzerland) | 1,893 | 105,172 | |
UBS AG (a) | 6,080 | 87,892 | |
Zurich Financial Services AG | 86 | 19,398 | |
TOTAL SWITZERLAND | 1,763,959 | ||
United Kingdom - 18.8% | |||
Anglo American PLC (United Kingdom) | 3,270 | 136,326 | |
AstraZeneca PLC: | |||
(United Kingdom) | 1,860 | 88,098 | |
sponsored ADR | 3,188 | 151,175 | |
Aviva PLC | 5,824 | 32,102 | |
BAE Systems PLC | 18,290 | 81,760 | |
Barclays PLC | 49,879 | 137,854 | |
BG Group PLC | 5,166 | 111,732 | |
BHP Billiton PLC | 4,530 | 154,225 | |
BP PLC | 55,975 | 365,452 | |
British American Tobacco PLC (United Kingdom) | 2,972 | 132,266 | |
BT Group PLC | 25,000 | 69,356 | |
Cable & Wireless PLC | 14,975 | 8,605 | |
Centrica PLC | 16,449 | 79,914 | |
Compass Group PLC | 2,648 | 23,691 | |
Diageo PLC | 4,000 | 80,395 | |
GlaxoSmithKline PLC | 2,172 | 46,253 | |
GlaxoSmithKline PLC sponsored ADR | 7,029 | 301,052 | |
HSBC Holdings PLC: | |||
(United Kingdom) | 25,004 | 217,846 | |
sponsored ADR | 1,973 | 85,944 | |
Imperial Tobacco Group PLC | 2,110 | 69,961 | |
ITV PLC (a) | 84,341 | 83,881 | |
Land Securities Group PLC | 1,841 | 22,016 | |
Legal & General Group PLC | 53,160 | 90,634 | |
Lloyds Banking Group PLC (a) | 7,148 | 3,900 | |
Marks & Spencer Group PLC | 19,061 | 99,722 | |
National Grid PLC | 8,337 | 84,016 | |
Next PLC | 2,789 | 106,876 | |
Old Mutual PLC | 52,366 | 101,950 | |
Pearson PLC | 3,305 | 59,754 | |
Reckitt Benckiser Group PLC | 170 | 9,040 | |
Rexam PLC | 17,472 | 100,402 | |
Rio Tinto PLC | 4,109 | 250,544 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 6,532 | 218,565 | |
Class B | 4,430 | 149,122 | |
SABMiller PLC | 354 | 12,830 | |
Scottish & Southern Energy PLC | 6,255 | 132,035 | |
Serco Group PLC | 7,550 | 62,890 | |
| |||
Shares | Value | ||
Standard Chartered PLC (United Kingdom) | 2,986 | $ 67,879 | |
Tesco PLC | 10,024 | 61,623 | |
Unilever PLC | 5,187 | 174,101 | |
Vedanta Resources PLC | 1,480 | 33,788 | |
Vodafone Group PLC | 97,309 | 255,434 | |
Xstrata PLC | 2,079 | 36,425 | |
TOTAL UNITED KINGDOM | 4,591,434 | ||
United States of America - 0.2% | |||
Synthes, Inc. | 306 | 54,594 | |
TOTAL COMMON STOCKS (Cost $24,064,301) | 23,627,963 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
|
|
|
|
Germany - 0.0% | |||
Volkswagen AG | 12 | 1,999 |
Government Obligations - 0.6% | ||||
| Principal Amount |
| ||
United States of America - 0.6% | ||||
U.S. Treasury Bills, yield at date of purchase 0.04% to 0.09% 9/29/11 to 1/19/12 (b) | $ 135,000 | 134,993 |
Money Market Funds - 1.9% | |||
Shares |
| ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 466,581 | 466,581 |
TOTAL INVESTMENT PORTFOLIO - 99.0% (Cost $24,666,928) | 24,231,536 |
NET OTHER ASSETS (LIABILITIES) - 1.0% | 249,462 | ||
NET ASSETS - 100% | $ 24,480,998 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |||
Purchased | |||||
Equity Index Contracts | |||||
10 NYSE E-mini MSCI EAFE Index Contracts | Sept. 2011 | $ 759,900 | $ (78,361) |
|
The face value of futures purchased as a percentage of net assets is 3.1% |
Legend |
(a) Non-income producing |
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $104,995. |
(c) The rate quoted is the annualized seven-day yield at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 1,555 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2011, 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 Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Japan | $ 5,432,664 | $ - | $ 5,432,664 | $ - |
United Kingdom | 4,591,434 | 2,072,151 | 2,519,283 | - |
Australia | 2,107,901 | 1,710,101 | 397,800 | - |
France | 1,996,372 | 1,384,635 | 611,737 | - |
Switzerland | 1,763,959 | 1,177,445 | 586,514 | - |
Germany | 1,709,662 | 1,276,979 | 432,683 | - |
Spain | 748,339 | 414,160 | 334,179 | - |
Hong Kong | 707,799 | 707,799 | - | - |
Netherlands | 604,549 | 242,673 | 361,876 | - |
Other | 3,967,283 | 3,111,240 | 856,043 | - |
Government Obligations | 134,993 | - | 134,993 | - |
Money Market Funds | 466,581 | 466,581 | - | - |
Total Investments in Securities: | $ 24,231,536 | $ 12,563,764 | $ 11,667,772 | $ - |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $ (78,361) | $ (78,361) | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (78,361) |
Total Value of Derivatives | $ - | $ (78,361) |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Income Tax Information |
At February 28, 2011, the Fund had a capital loss carryforward of approximately $3,656,500 of which $1,011,502, $1,890,764 and $754,234 will expire in fiscal 2017, 2018 and 2019, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $24,666,928) |
| $ 24,231,536 |
Foreign currency held at value (cost $88,384) | 88,316 | |
Receivable for fund shares sold | 64,753 | |
Dividends receivable | 97,267 | |
Interest receivable | 10 | |
Receivable for daily variation margin on futures contracts | 13,150 | |
Total assets | 24,495,032 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 1,452 | |
Accrued management fee | 9,538 | |
Transfer agent fee payable | 3,044 | |
Total liabilities | 14,034 | |
|
|
|
Net Assets | $ 24,480,998 | |
Net Assets consist of: |
| |
Paid in capital | $ 27,737,187 | |
Undistributed net investment income | 480,772 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,228,001) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (508,960) | |
Net Assets, for 3,539,263 shares outstanding | $ 24,480,998 | |
Net Asset Value, offering price and redemption price per share ($24,480,998 ÷ 3,539,263 shares) | $ 6.92 |
Statement of Operations
Six months ended August 31, 2011 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 619,193 |
Interest |
| 732 |
Income from Fidelity Central Funds |
| 1,555 |
Income before foreign taxes withheld |
| 621,480 |
Less foreign taxes withheld |
| (54,852) |
Total income |
| 566,628 |
|
|
|
Expenses | ||
Management fee | $ 62,271 | |
Transfer agent fees | 19,898 | |
Independent trustees' compensation | 76 | |
Miscellaneous | 40 | |
Total expenses | 82,285 | |
Net investment income (loss) | 484,343 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 540,290 | |
Foreign currency transactions | 30,146 | |
Futures contracts | 10,038 | |
Total net realized gain (loss) |
| 580,474 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (3,876,458) | |
Assets and liabilities in foreign currencies | (7,656) | |
Futures contracts | (153,298) | |
Total change in net unrealized appreciation (depreciation) |
| (4,037,412) |
Net gain (loss) | (3,456,938) | |
Net increase (decrease) in net assets resulting from operations | $ (2,972,595) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended August 31, 2011 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 484,343 | $ 552,203 |
Net realized gain (loss) | 580,474 | (834,033) |
Change in net unrealized appreciation (depreciation) | (4,037,412) | 3,872,862 |
Net increase (decrease) in net assets resulting from operations | (2,972,595) | 3,591,032 |
Distributions to shareholders from net investment income | (53,507) | (534,394) |
Distributions to shareholders from net realized gain | (17,836) | - |
Total distributions | (71,343) | (534,394) |
Share transactions | 7,335,270 | 14,443,401 |
Reinvestment of distributions | 67,866 | 507,651 |
Cost of shares redeemed | (5,353,944) | (12,491,341) |
Net increase (decrease) in net assets resulting from share transactions | 2,049,192 | 2,459,711 |
Redemption fees | 677 | 1,042 |
Total increase (decrease) in net assets | (994,069) | 5,517,391 |
|
|
|
Net Assets | ||
Beginning of period | 25,475,067 | 19,957,676 |
End of period (including undistributed net investment income of $480,772 and undistributed net investment income of $49,936, respectively) | $ 24,480,998 | $ 25,475,067 |
Other Information Shares | ||
Sold | 976,724 | 2,066,221 |
Issued in reinvestment of distributions | 8,848 | 70,971 |
Redeemed | (726,272) | (1,891,969) |
Net increase (decrease) | 259,300 | 245,223 |
Financial Highlights
| Six months ended August 31, 2011 | Years ended February 28, | |||
| (Unaudited) | 2011 | 2010 | 2009 | 2008 G |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 7.77 | $ 6.58 | $ 4.42 | $ 9.35 | $ 10.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss) D | .14 | .17 | .15 | .18 | .03 |
Net realized and unrealized gain (loss) | (.97) | 1.19 | 2.17 | (4.96) | (.68) |
Total from investment operations | (.83) | 1.36 | 2.32 | (4.78) | (.65) |
Distributions from net investment income | (.02) | (.17) | (.14) | (.14) | - |
Distributions from net realized gain | (.01) | - | (.02) | (.01) | - |
Total distributions | (.02) K | (.17) | (.16) | (.15) | - |
Redemption fees added to paid in capital D, J | - | - | - | - | - |
Net asset value, end of period | $ 6.92 | $ 7.77 | $ 6.58 | $ 4.42 | $ 9.35 |
Total Return B, C | (10.71)% | 20.95% | 52.44% | (51.52)% | (6.50)% |
Ratios to Average Net Assets E, H |
|
|
|
|
|
Expenses before reductions | .62% A | .62% | .62% | .62% | .62% A |
Expenses net of fee waivers, if any | .62% A | .62% | .62% | .62% | .62% A |
Expenses net of all reductions | .62% A | .62% | .62% | .62% | .62% A |
Net investment income (loss) | 3.66% A | 2.50% | 2.39% | 2.69% | 1.58% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 24,481 | $ 25,475 | $ 19,958 | $ 12,950 | $ 7,273 |
Portfolio turnover rate F | 38% A | 32% | 22% I | 42% I | 15% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 20, 2007 (commencement of operations) to February 29, 2008.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Reflects adjustments to exclude transactions in money market mutual funds.
J Amount represents less than $.01 per share.
K Total distributions of $.02 per share is comprised of distributions from net investment income of $.015 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended August 31, 2011 (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:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Each Fund uses independent pricing services approved by the Board of Trustees to value their investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Each Fund categorizes the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
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, 2011, is included at the end of each Fund's Schedule of Investments. 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 an independent pricing service 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 significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These 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 or official closing 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 each business day and are categorized as Level 1 in the hierarchy.
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 rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, capital loss carryforwards, 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 | Gross unrealized | Gross unrealized | Net unrealized |
Fidelity Large Cap Growth Enhanced Index Fund | $ 98,556,201 | $ 10,313,475 | $ (3,309,683) | $ 7,003,792 |
Fidelity Large Cap Value Enhanced Index Fund | 96,902,511 | 7,984,331 | (6,984,594) | 999,737 |
Fidelity Large Cap Core Enhanced Index Fund | 118,051,610 | 3,362,033 | (25,445,643) | (22,083,610) |
Fidelity Mid Cap Enhanced Index Fund | 72,289,909 | 6,607,776 | (6,414,877) | 192,899 |
Fidelity Small Cap Enhanced Index Fund | 111,955,954 | 12,490,640 | (10,040,791) | 2,449,849 |
Fidelity International Enhanced Index Fund | 24,688,342 | 2,942,120 | (3,398,926) | (456,806) |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Funds' first fiscal year end subject to the Act will be February 29, 2012.
Short Term Trading (Redemption) Fees. Shares held by investors of Fidelity Small Cap Enhanced Index Fund less than 90 days are subject to a redemption fee equal to 1.50% of the net asset value of shares redeemed. Shares held by investors of Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days are subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the net asset
Semiannual Report
2. Significant Accounting Policies - continued
Short Term Trading (Redemption) Fees - continued
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. For Fidelity Small Cap Enhanced Index Fund, total redemption fees include $40,341 paid by an affiliate of FMR for fees not paid to the fund in prior periods.
New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds' financial statement disclosures.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts in order to meet their investment objectives. The strategy is to use 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 risks:
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 sell 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. The Funds' maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Funds. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
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.
Risk Exposure / Derivative Type | Net Realized | Change in Net |
Fidelity Large Cap Growth Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ (447,758) | $ 142,784 |
Total (a) | $ (447,758) | $ 142,784 |
Fidelity Large Cap Value Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ (122,784) | $ (21,522) |
Total (a) | $ (122,784) | $ (21,522) |
Fidelity Large Cap Core Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ (35,727) | $ 100,366 |
Total (a) | $ (35,727) | $ 100,366 |
Fidelity Mid Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ (298,764) | $ 29,928 |
Total (a) | $ (298,764) | $ 29,928 |
Fidelity Small Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 238,420 | $ 10,717 |
Total (a) | $ 238,420 | $ 10,717 |
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 - continued
Risk Exposure / Derivative Type | Net Realized | Change in Net |
Fidelity International Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts | $ 10,038 | $ (153,298) |
Total (a) | $ 10,038 | $ (153,298) |
(a) A summary of the value of derivatives by risk exposure as of period end, is included at the end of the Schedule of Investments and is representative of activity for the period.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Funds used futures contracts to manage their exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent 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 is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
| Purchases ($) | Sales ($) |
Fidelity Large Cap Growth Enhanced Index Fund | 47,200,284 | 30,081,187 |
Fidelity Large Cap Value Enhanced Index Fund | 42,641,252 | 37,490,067 |
Fidelity Large Cap Core Enhanced Index Fund | 171,898,813 | 1,024,965,838 |
Fidelity Mid Cap Enhanced Index Fund | 50,434,786 | 36,030,889 |
Fidelity Small Cap Enhanced Index Fund | 86,913,609 | 74,531,617 |
Fidelity International Enhanced Index Fund | 7,891,354 | 4,738,198 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR), provides the Funds with investment management related services. For these services, the Funds pay a monthly management fee to Strategic Advisers. The management fee is based on an annual rate of 0.30% of average net assets for Fidelity Large Cap Growth Enhanced Index, Fidelity Large Cap Value Enhanced Index and Fidelity Large Cap Core Enhanced Index, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index, 0.52% of average net assets for Fidelity Small Cap Enhanced Index and 0.47% of average net assets for Fidelity International Enhanced Index. Under the management contract, Strategic Advisers pays all other ordinary fund-wide operating expenses (such as custody, audit, legal and pricing and bookkeeping fees), except the compensation of the independent Trustees and certain other expenses such as interest expense. The management fee paid to Strategic Advisers by the Funds is reduced by an amount equal to the fees and expenses paid by the Funds to the independent Trustees.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Management Fee and Expense Contract - continued
In addition, under the expense contract, Strategic Advisers pays other expenses such as those listed above for each of the Funds so that the total expenses do not exceed certain amounts of each Fund's average net assets with certain exceptions, as noted in the following table:
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
Fidelity Mid Cap Enhanced Index Fund | .60% |
Fidelity Small Cap Enhanced Index Fund | .67% |
Fidelity International Enhanced Index Fund | .62% |
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by Strategic Advisers for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each fund paid transfer agent fees at the annualized rate of 0.15% of average net assets.
6. Investments in Fidelity Central Funds.
The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Securities Lending Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC web site or upon request.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:
| Borrower or | Average Daily Loan Balance | Weighted Average Interest Rate | Interest |
Fidelity Large Cap Core Enhanced Index Fund | Borrower | $ 79,198,500 | .40% | $ 1,769 |
7. Committed Line of Credit.
Certain Funds participate with other funds managed by FMR or an affiliate in a $4.0 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 | $ 106 |
Fidelity Large Cap Value Enhanced Index Fund | 132 |
Fidelity Large Cap Core Enhanced Index Fund | 1,278 |
Fidelity Mid Cap Enhanced Index Fund | 99 |
Fidelity Small Cap Enhanced Index Fund | 184 |
Fidelity International Enhanced Index Fund | 40 |
During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Security Lending.
Certain Funds lend portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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.
| Total Security |
Fidelity Large Cap Growth Enhanced Index Fund | $ 4,329 |
Fidelity Large Cap Value Enhanced Index Fund | 7,284 |
Fidelity Large Cap Core Enhanced Index Fund | 17,794 |
Fidelity Mid Cap Enhanced Index Fund | 9,385 |
Fidelity Small Cap Enhanced Index Fund | 32,877 |
Fidelity International Enhanced Index Fund | 1,555 |
9. Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
| Expense |
Fidelity Large Cap Core Enhanced Index Fund | $ 32 |
Fidelity Small Cap Enhanced Index Fund | 11 |
10. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers U.S. Opportunity II Fund was the owner of record of approximately 32% of the total outstanding shares of Fidelity Large Cap Core Enhanced Index Fund.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated Service Telephone (FAST®)
1-800-544-5555
Press
For mutual fund and brokerage trading.
For quotes.*
For account balances and holdings.
To review orders and mutual fund activity.
To change your PIN.
To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains distributions, and the effects of any sales charges.
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
Investment Sub-Adviser
Geode Capital Management, LLC
Boston, MA
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
GEI-USAN-1011 1.855141.104
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Commonwealth Trust II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Commonwealth Trust II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Commonwealth Trust II
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | October 27, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | October 27, 2011 |
By: | /s/Nicholas E. Steck |
| Nicholas E. Steck |
| Chief Financial Officer |
|
|
Date: | October 27, 2011 |