UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | February 29 |
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Date of reporting period: | August 31, 2015 |
Item 1. Reports to Stockholders
Fidelity® Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity Large Cap Core Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index Fund
Fidelity International Enhanced Index Fund
Semiannual Report
(Fidelity Cover Art)
August 31, 2015
Contents
Shareholder Expense Example | An example of shareholder expenses | |
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Fidelity® Large Cap Growth Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
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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 | |
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Fidelity Small Cap Enhanced Index Fund | Investment Changes | |
| Investments | |
| Financial Statements | |
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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.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by each Fund presented in the table, as a shareholder of the underlying non-affiliated funds (the Underlying Funds), each Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
| Annualized | Beginning | Ending | Expenses Paid |
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
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Actual |
| $ 1,000.00 | $ 950.10 | $ 2.21 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
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Actual |
| $ 1,000.00 | $ 933.10 | $ 2.19 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
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Actual |
| $ 1,000.00 | $ 931.80 | $ 2.19 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Fidelity Mid Cap Enhanced Index Fund | .60% |
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|
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Actual |
| $ 1,000.00 | $ 939.50 | $ 2.93 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.12 | $ 3.05 |
Fidelity Small Cap Enhanced Index Fund | .67% |
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Actual |
| $ 1,000.00 | $ 948.70 | $ 3.28 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.77 | $ 3.40 |
Fidelity International Enhanced Index Fund | .62% |
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Actual |
| $ 1,000.00 | $ 948.50 | $ 3.04 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.02 | $ 3.15 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C 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, 2015 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 6.8 | 7.1 |
Microsoft Corp. | 2.5 | 2.5 |
Amazon.com, Inc. | 2.4 | 0.7 |
Verizon Communications, Inc. | 2.2 | 2.3 |
Gilead Sciences, Inc. | 2.0 | 1.9 |
Home Depot, Inc. | 2.0 | 1.8 |
PepsiCo, Inc. | 1.8 | 1.1 |
Google, Inc. Class A | 1.8 | 1.3 |
The Coca-Cola Co. | 1.8 | 1.0 |
Google, Inc. Class C | 1.7 | 1.1 |
| 25.0 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Information Technology | 28.7 | 29.8 |
Consumer Discretionary | 20.5 | 16.6 |
Health Care | 19.3 | 15.8 |
Consumer Staples | 9.2 | 8.7 |
Industrials | 9.1 | 11.4 |
Financials | 5.1 | 6.6 |
Telecommunication Services | 3.0 | 2.8 |
Energy | 2.4 | 4.0 |
Materials | 1.8 | 2.1 |
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 99.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 20.5% | |||
Auto Components - 1.6% | |||
Delphi Automotive PLC | 35,752 | $ 2,699,991 | |
Gentex Corp. | 140,231 | 2,173,581 | |
Lear Corp. | 16,118 | 1,656,769 | |
| 6,530,341 | ||
Automobiles - 0.0% | |||
Thor Industries, Inc. | 866 | 47,266 | |
Diversified Consumer Services - 0.4% | |||
ServiceMaster Global Holdings, Inc. (a) | 43,562 | 1,532,511 | |
Hotels, Restaurants & Leisure - 1.4% | |||
Brinker International, Inc. | 38,485 | 2,044,708 | |
Jack in the Box, Inc. | 10,430 | 815,417 | |
McDonald's Corp. | 16,356 | 1,554,147 | |
Starbucks Corp. | 25,130 | 1,374,862 | |
| 5,789,134 | ||
Household Durables - 0.3% | |||
NVR, Inc. (a) | 707 | 1,074,605 | |
Internet & Catalog Retail - 3.4% | |||
Amazon.com, Inc. (a) | 19,277 | 9,886,981 | |
Expedia, Inc. | 22,739 | 2,614,758 | |
HSN, Inc. | 2,813 | 171,059 | |
Liberty Interactive Corp. Qvc G Series A (a) | 30,196 | 816,500 | |
Priceline Group, Inc. (a) | 263 | 328,392 | |
| 13,817,690 | ||
Leisure Products - 0.7% | |||
Brunswick Corp. | 10,207 | 507,390 | |
Hasbro, Inc. | 11,192 | 834,811 | |
Polaris Industries, Inc. | 11,307 | 1,468,440 | |
| 2,810,641 | ||
Media - 4.5% | |||
Comcast Corp. Class A | 112,333 | 6,327,718 | |
Omnicom Group, Inc. | 1,274 | 85,333 | |
Scripps Networks Interactive, Inc. Class A | 41,119 | 2,183,008 | |
The Walt Disney Co. | 47,319 | 4,820,860 | |
Time Warner Cable, Inc. | 8,361 | 1,555,313 | |
Twenty-First Century Fox, Inc. Class A | 53,017 | 1,452,136 | |
Viacom, Inc. Class B (non-vtg.) | 46,186 | 1,883,003 | |
| 18,307,371 | ||
Multiline Retail - 1.1% | |||
Big Lots, Inc. | 12,579 | 603,666 | |
Kohl's Corp. | 34,132 | 1,741,756 | |
Target Corp. | 29,468 | 2,289,958 | |
| 4,635,380 | ||
Specialty Retail - 4.7% | |||
Bed Bath & Beyond, Inc. (a) | 25,249 | 1,568,215 | |
Best Buy Co., Inc. | 62,460 | 2,294,780 | |
Dick's Sporting Goods, Inc. | 29,150 | 1,461,290 | |
DSW, Inc. Class A | 10,891 | 323,354 | |
| |||
Shares | Value | ||
Foot Locker, Inc. | 35,894 | $ 2,540,936 | |
Gap, Inc. | 64,426 | 2,113,817 | |
Home Depot, Inc. | 68,601 | 7,989,272 | |
Lowe's Companies, Inc. | 14,938 | 1,033,261 | |
| 19,324,925 | ||
Textiles, Apparel & Luxury Goods - 2.4% | |||
Deckers Outdoor Corp. (a) | 3,077 | 198,128 | |
Fossil Group, Inc. (a)(e) | 26,193 | 1,612,965 | |
Michael Kors Holdings Ltd. (a) | 59,823 | 2,599,908 | |
NIKE, Inc. Class B | 46,560 | 5,203,080 | |
| 9,614,081 | ||
TOTAL CONSUMER DISCRETIONARY | 83,483,945 | ||
CONSUMER STAPLES - 9.2% | |||
Beverages - 4.1% | |||
Dr. Pepper Snapple Group, Inc. | 26,172 | 2,008,178 | |
PepsiCo, Inc. | 79,837 | 7,419,252 | |
The Coca-Cola Co. | 184,066 | 7,237,475 | |
| 16,664,905 | ||
Food & Staples Retailing - 1.2% | |||
Costco Wholesale Corp. | 1,270 | 177,864 | |
CVS Health Corp. | 27,192 | 2,784,461 | |
Wal-Mart Stores, Inc. | 31,358 | 2,029,803 | |
| 4,992,128 | ||
Food Products - 1.3% | |||
Archer Daniels Midland Co. | 45,839 | 2,062,297 | |
Ingredion, Inc. | 3,221 | 278,101 | |
Pilgrim's Pride Corp. (e) | 102,045 | 2,140,394 | |
Sanderson Farms, Inc. (e) | 14,065 | 971,048 | |
| 5,451,840 | ||
Household Products - 0.9% | |||
Clorox Co. | 24,183 | 2,688,424 | |
Procter & Gamble Co. | 10,388 | 734,120 | |
| 3,422,544 | ||
Tobacco - 1.7% | |||
Altria Group, Inc. | 114,515 | 6,135,714 | |
Philip Morris International, Inc. | 9,235 | 736,953 | |
| 6,872,667 | ||
TOTAL CONSUMER STAPLES | 37,404,084 | ||
ENERGY - 2.4% | |||
Energy Equipment & Services - 0.5% | |||
Dril-Quip, Inc. (a) | 20,818 | 1,435,193 | |
Oceaneering International, Inc. | 12,821 | 561,816 | |
Schlumberger Ltd. | 950 | 73,502 | |
| 2,070,511 | ||
Oil, Gas & Consumable Fuels - 1.9% | |||
HollyFrontier Corp. | 35,941 | 1,684,195 | |
Marathon Petroleum Corp. | 5,806 | 274,682 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Tesoro Corp. | 16,868 | $ 1,552,025 | |
The Williams Companies, Inc. | 21,280 | 1,025,696 | |
Valero Energy Corp. | 24,184 | 1,435,079 | |
Western Refining, Inc. | 38,041 | 1,636,524 | |
| 7,608,201 | ||
TOTAL ENERGY | 9,678,712 | ||
FINANCIALS - 5.1% | |||
Capital Markets - 1.2% | |||
Lazard Ltd. Class A | 3,711 | 184,548 | |
T. Rowe Price Group, Inc. | 37,963 | 2,728,780 | |
Waddell & Reed Financial, Inc. Class A (e) | 47,504 | 1,855,981 | |
| 4,769,309 | ||
Consumer Finance - 1.0% | |||
American Express Co. | 34,867 | 2,674,996 | |
Discover Financial Services | 1,667 | 89,568 | |
Santander Consumer U.S.A. Holdings, Inc. (a) | 22,803 | 512,155 | |
Synchrony Financial (e) | 29,394 | 968,532 | |
| 4,245,251 | ||
Diversified Financial Services - 0.5% | |||
Berkshire Hathaway, Inc. Class B (a) | 2,719 | 364,455 | |
CBOE Holdings, Inc. | 5,586 | 353,370 | |
Leucadia National Corp. | 63,873 | 1,370,715 | |
| 2,088,540 | ||
Insurance - 0.6% | |||
Progressive Corp. | 74,583 | 2,234,507 | |
Real Estate Investment Trusts - 1.8% | |||
Lamar Advertising Co. Class A | 34,778 | 1,855,059 | |
Public Storage | 15,958 | 3,211,867 | |
Simon Property Group, Inc. | 235 | 42,140 | |
Weyerhaeuser Co. | 74,353 | 2,077,423 | |
| 7,186,489 | ||
TOTAL FINANCIALS | 20,524,096 | ||
HEALTH CARE - 19.3% | |||
Biotechnology - 6.8% | |||
Amgen, Inc. | 43,317 | 6,574,654 | |
Baxalta, Inc. | 2,852 | 100,248 | |
Biogen, Inc. (a) | 16,063 | 4,775,530 | |
Celgene Corp. (a) | 43,885 | 5,181,941 | |
Gilead Sciences, Inc. | 77,540 | 8,147,128 | |
Medivation, Inc. (a) | 18,678 | 1,644,785 | |
United Therapeutics Corp. (a) | 8,993 | 1,354,526 | |
| 27,778,812 | ||
Health Care Equipment & Supplies - 1.9% | |||
Abiomed, Inc. (a) | 575 | 55,143 | |
| |||
Shares | Value | ||
C.R. Bard, Inc. | 2,357 | $ 456,763 | |
Edwards Lifesciences Corp. (a) | 19,244 | 2,711,095 | |
ResMed, Inc. | 9,143 | 474,887 | |
St. Jude Medical, Inc. | 31,775 | 2,249,988 | |
Zimmer Biomet Holdings, Inc. | 16,460 | 1,704,598 | |
| 7,652,474 | ||
Health Care Providers & Services - 5.7% | |||
Aetna, Inc. | 21,272 | 2,436,069 | |
AmerisourceBergen Corp. | 15,717 | 1,572,329 | |
Anthem, Inc. | 16,067 | 2,266,250 | |
Cardinal Health, Inc. | 36,437 | 2,997,672 | |
Centene Corp. (a) | 31,145 | 1,922,269 | |
Cigna Corp. | 7,143 | 1,005,663 | |
Express Scripts Holding Co. (a) | 15,704 | 1,312,854 | |
Humana, Inc. | 3,123 | 570,853 | |
McKesson Corp. | 19,341 | 3,821,395 | |
MEDNAX, Inc. (a) | 6,796 | 547,418 | |
Patterson Companies, Inc. | 19,917 | 912,796 | |
UnitedHealth Group, Inc. | 31,089 | 3,596,997 | |
| 22,962,565 | ||
Life Sciences Tools & Services - 0.4% | |||
Agilent Technologies, Inc. | 42,478 | 1,542,376 | |
Thermo Fisher Scientific, Inc. | 1,550 | 194,324 | |
| 1,736,700 | ||
Pharmaceuticals - 4.5% | |||
AbbVie, Inc. | 86,959 | 5,427,111 | |
Allergan PLC (a) | 139 | 42,220 | |
Bristol-Myers Squibb Co. | 49,567 | 2,947,749 | |
Eli Lilly & Co. | 12,462 | 1,026,246 | |
Hospira, Inc. (a) | 519 | 46,694 | |
Johnson & Johnson | 37,288 | 3,504,326 | |
Merck & Co., Inc. | 52,464 | 2,825,186 | |
Mylan N.V. | 5,583 | 276,861 | |
Pfizer, Inc. | 63,660 | 2,051,125 | |
| 18,147,518 | ||
TOTAL HEALTH CARE | 78,278,069 | ||
INDUSTRIALS - 9.1% | |||
Aerospace & Defense - 2.6% | |||
General Dynamics Corp. | 11,812 | 1,677,658 | |
Honeywell International, Inc. | 9,297 | 922,913 | |
Huntington Ingalls Industries, Inc. | 11,443 | 1,288,253 | |
Northrop Grumman Corp. | 3,201 | 524,132 | |
The Boeing Co. | 42,879 | 5,603,428 | |
Triumph Group, Inc. | 10,682 | 527,584 | |
| 10,543,968 | ||
Air Freight & Logistics - 0.7% | |||
FedEx Corp. | 14,697 | 2,213,515 | |
United Parcel Service, Inc. Class B | 6,343 | 619,394 | |
| 2,832,909 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Airlines - 1.0% | |||
Southwest Airlines Co. | 84,874 | $ 3,114,876 | |
United Continental Holdings, Inc. (a) | 18,984 | 1,081,518 | |
| 4,196,394 | ||
Commercial Services & Supplies - 0.2% | |||
KAR Auction Services, Inc. | 19,702 | 729,762 | |
Industrial Conglomerates - 2.0% | |||
3M Co. | 39,417 | 5,602,732 | |
Danaher Corp. | 29,146 | 2,536,285 | |
| 8,139,017 | ||
Machinery - 1.6% | |||
Allison Transmission Holdings, Inc. | 75,129 | 2,148,689 | |
Caterpillar, Inc. | 18,536 | 1,416,892 | |
Cummins, Inc. | 15,641 | 1,904,292 | |
Deere & Co. (e) | 11,622 | 950,447 | |
| 6,420,320 | ||
Professional Services - 0.3% | |||
Equifax, Inc. | 3,662 | 358,510 | |
Robert Half International, Inc. | 16,693 | 851,844 | |
| 1,210,354 | ||
Road & Rail - 0.7% | |||
Union Pacific Corp. | 35,901 | 3,078,152 | |
TOTAL INDUSTRIALS | 37,150,876 | ||
INFORMATION TECHNOLOGY - 28.7% | |||
Communications Equipment - 2.5% | |||
Brocade Communications Systems, Inc. | 114,632 | 1,220,831 | |
Cisco Systems, Inc. | 77,794 | 2,013,309 | |
F5 Networks, Inc. (a) | 19,251 | 2,337,264 | |
Juniper Networks, Inc. | 83,454 | 2,145,602 | |
QUALCOMM, Inc. | 44,959 | 2,543,780 | |
| 10,260,786 | ||
Electronic Equipment & Components - 0.1% | |||
Corning, Inc. | 21,243 | 365,592 | |
Internet Software & Services - 5.7% | |||
eBay, Inc. (a) | 124,888 | 3,385,714 | |
Facebook, Inc. Class A (a) | 61,686 | 5,516,579 | |
Google, Inc.: | |||
Class A (a) | 11,326 | 7,337,209 | |
Class C | 11,410 | 7,054,233 | |
| 23,293,735 | ||
IT Services - 4.9% | |||
Accenture PLC Class A | 2,356 | 222,100 | |
Amdocs Ltd. | 35,371 | 2,023,575 | |
Booz Allen Hamilton Holding Corp. Class A | 53,614 | 1,431,494 | |
| |||
Shares | Value | ||
DST Systems, Inc. | 19,043 | $ 1,950,384 | |
IBM Corp. | 25,928 | 3,834,492 | |
Jack Henry & Associates, Inc. | 10,272 | 698,085 | |
Leidos Holdings, Inc. | 2,983 | 125,525 | |
MasterCard, Inc. Class A | 15,596 | 1,440,603 | |
Maximus, Inc. | 16,992 | 1,028,866 | |
Paychex, Inc. | 47,696 | 2,130,103 | |
Teradata Corp. (a)(e) | 6,680 | 195,256 | |
Total System Services, Inc. | 9,558 | 438,043 | |
Visa, Inc. Class A | 63,340 | 4,516,142 | |
| 20,034,668 | ||
Semiconductors & Semiconductor Equipment - 1.7% | |||
Applied Materials, Inc. | 107,598 | 1,730,714 | |
Avago Technologies Ltd. | 15,123 | 1,905,044 | |
Integrated Device Technology, Inc. (a) | 11,370 | 215,916 | |
Intel Corp. | 87,671 | 2,502,130 | |
NVIDIA Corp. | 3,405 | 76,544 | |
Texas Instruments, Inc. | 9,972 | 477,060 | |
| 6,907,408 | ||
Software - 6.4% | |||
Activision Blizzard, Inc. | 80,518 | 2,305,230 | |
Aspen Technology, Inc. (a) | 33,370 | 1,263,722 | |
Citrix Systems, Inc. (a) | 34,171 | 2,327,387 | |
Electronic Arts, Inc. (a) | 44,228 | 2,925,682 | |
FactSet Research Systems, Inc. | 1,034 | 163,289 | |
Microsoft Corp. | 229,652 | 9,994,455 | |
Oracle Corp. | 72,434 | 2,686,577 | |
Symantec Corp. | 98,793 | 2,024,269 | |
Synopsys, Inc. (a) | 45,034 | 2,113,446 | |
| 25,804,057 | ||
Technology Hardware, Storage & Peripherals - 7.4% | |||
Apple, Inc. | 245,766 | 27,712,573 | |
NetApp, Inc. | 73,529 | 2,349,987 | |
| 30,062,560 | ||
TOTAL INFORMATION TECHNOLOGY | 116,728,806 | ||
MATERIALS - 1.8% | |||
Chemicals - 1.7% | |||
E.I. du Pont de Nemours & Co. | 8 | 412 | |
Eastman Chemical Co. | 8,909 | 645,546 | |
LyondellBasell Industries NV Class A | 39,991 | 3,414,432 | |
Monsanto Co. | 497 | 48,532 | |
The Dow Chemical Co. | 53,747 | 2,351,969 | |
Westlake Chemical Corp. | 9,235 | 510,049 | |
| 6,970,940 | ||
Containers & Packaging - 0.1% | |||
Avery Dennison Corp. | 4,391 | 255,029 | |
WestRock Co. | 1,209 | 71,754 | |
| 326,783 | ||
TOTAL MATERIALS | 7,297,723 | ||
Common Stocks - continued | |||
Shares | Value | ||
TELECOMMUNICATION SERVICES - 3.0% | |||
Diversified Telecommunication Services - 3.0% | |||
AT&T, Inc. | 96,934 | $ 3,218,209 | |
Verizon Communications, Inc. | 197,643 | 9,093,554 | |
| 12,311,763 | ||
TOTAL COMMON STOCKS (Cost $353,935,602) |
| ||
Money Market Funds - 3.1% | |||
|
|
|
|
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 3,367,423 | 3,367,423 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 9,235,691 | 9,235,691 | |
TOTAL MONEY MARKET FUNDS (Cost $12,603,114) |
|
TOTAL INVESTMENT (Cost $366,538,716) | 415,461,188 |
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (8,842,417) | ||
NET ASSETS - 100% | $ 406,618,771 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
38 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2015 | $ 3,741,480 | $ 2,095 |
|
The face value of futures purchased as a percentage of net assets is 0.9% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
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 | $ 42,121 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 2,095 | $ - |
Total Value of Derivatives | $ 2,095 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Growth Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
August 31, 2015 (Unaudited) | ||
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $9,035,214) - See accompanying schedule: Unaffiliated issuers (cost $357,303,025) | $ 406,225,497 |
|
Fidelity Central Funds (cost $9,235,691) | 9,235,691 |
|
Total Investments (cost $366,538,716) |
| $ 415,461,188 |
Segregated cash with brokers for derivative instruments | 165,600 | |
Cash |
| 99,979 |
Receivable for investments sold | 5,966,450 | |
Receivable for fund shares sold | 352,157 | |
Dividends receivable | 600,116 | |
Interest receivable | 139 | |
Distributions receivable from Fidelity Central Funds | 6,553 | |
Total assets | 422,652,182 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 6,068,866 | |
Payable for fund shares redeemed | 533,239 | |
Accrued management fee | 105,260 | |
Payable for daily variation margin for derivative instruments | 37,725 | |
Other affiliated payables | 52,630 | |
Collateral on securities loaned, at value | 9,235,691 | |
Total liabilities | 16,033,411 | |
|
|
|
Net Assets | $ 406,618,771 | |
Net Assets consist of: |
| |
Paid in capital | $ 345,527,659 | |
Undistributed net investment income | 2,781,241 | |
Accumulated undistributed net realized gain (loss) on investments | 9,385,304 | |
Net unrealized appreciation (depreciation) on investments | 48,924,567 | |
Net Assets, for 28,180,116 shares outstanding | $ 406,618,771 | |
Net Asset Value, offering price and redemption price per share ($406,618,771 ÷ 28,180,116 shares) | $ 14.43 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 3,722,436 |
Interest |
| 1,048 |
Income from Fidelity Central Funds |
| 42,121 |
Total income |
| 3,765,605 |
|
|
|
Expenses | ||
Management fee | $ 639,038 | |
Transfer agent fees | 319,858 | |
Independent trustees' compensation | 831 | |
Interest | 147 | |
Miscellaneous | 304 | |
Total expenses before reductions | 960,178 | |
Expense reductions | (27) | 960,151 |
Net investment income (loss) | 2,805,454 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 10,007,032 | |
Futures contracts | 26,502 | |
Total net realized gain (loss) |
| 10,033,534 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (34,145,121) | |
Futures contracts | (224,404) | |
Total change in net unrealized appreciation (depreciation) |
| (34,369,525) |
Net gain (loss) | (24,335,991) | |
Net increase (decrease) in net assets resulting from operations | $ (21,530,537) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 2,805,454 | $ 4,021,094 |
Net realized gain (loss) | 10,033,534 | 21,360,706 |
Change in net unrealized appreciation (depreciation) | (34,369,525) | 24,829,492 |
Net increase (decrease) in net assets resulting from operations | (21,530,537) | 50,211,292 |
Distributions to shareholders from net investment income | (1,107,389) | (3,179,099) |
Distributions to shareholders from net realized gain | (5,185,825) | (20,420,531) |
Total distributions | (6,293,214) | (23,599,630) |
Share transactions |
|
|
Proceeds from sales of shares | 98,163,335 | 171,920,676 |
Reinvestment of distributions | 5,980,241 | 22,608,233 |
Cost of shares redeemed | (73,788,394) | (65,908,703) |
Net increase (decrease) in net assets resulting from share transactions | 30,355,182 | 128,620,206 |
Total increase (decrease) in net assets | 2,531,431 | 155,231,868 |
|
|
|
Net Assets | ||
Beginning of period | 404,087,340 | 248,855,472 |
End of period (including undistributed net investment income of $2,781,241 and undistributed net investment income of $1,083,176, respectively) | $ 406,618,771 | $ 404,087,340 |
Other Information Shares | ||
Sold | 6,467,434 | 11,603,829 |
Issued in reinvestment of distributions | 393,178 | 1,602,974 |
Redeemed | (4,881,623) | (4,501,955) |
Net increase (decrease) | 1,978,989 | 8,704,848 |
Financial Highlights - Fidelity Large Cap Growth Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 H | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 15.42 | $ 14.22 | $ 11.77 | $ 10.93 | $ 10.19 | $ 8.44 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .10 | .20 | .18 | .20 | .13 | .11 |
Net realized and unrealized gain (loss) | (.86) | 2.15 | 3.15 | .81 | .72 | 1.75 |
Total from investment operations | (.76) | 2.35 | 3.33 | 1.01 | .85 | 1.86 |
Distributions from net investment income | (.04) | (.15) | (.17) | (.17) | (.11) | (.11) |
Distributions from net realized gain | (.19) | (1.00) | (.71) | - | - | - |
Total distributions | (.23) | (1.15) | (.88) | (.17) | (.11) | (.11) |
Net asset value, end of period | $ 14.43 | $ 15.42 | $ 14.22 | $ 11.77 | $ 10.93 | $ 10.19 |
Total ReturnB, C | (4.99)% | 17.46% | 29.08% | 9.36% | 8.40% | 22.14% |
Ratios to Average Net AssetsE, G |
|
|
|
|
|
|
Expenses before reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.32%A | 1.37% | 1.41% | 1.80% | 1.30% | 1.25% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 406,619 | $ 404,087 | $ 248,855 | $ 171,392 | $ 141,826 | $ 68,115 |
Portfolio turnover rateF | 99%A | 69% | 83% | 87% | 77% | 80% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. |
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, 2015 | ||
| % of fund's | % of fund's net assets |
Exxon Mobil Corp. | 3.7 | 3.1 |
Johnson & Johnson | 2.8 | 2.8 |
JPMorgan Chase & Co. | 2.6 | 2.7 |
Pfizer, Inc. | 2.5 | 2.5 |
Berkshire Hathaway, Inc. Class B | 2.4 | 3.0 |
Procter & Gamble Co. | 2.4 | 2.5 |
Bank of America Corp. | 2.1 | 2.1 |
Wells Fargo & Co. | 2.0 | 2.6 |
General Electric Co. | 2.0 | 3.0 |
Merck & Co., Inc. | 1.9 | 1.9 |
| 24.4 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Financials | 28.1 | 27.6 |
Health Care | 13.5 | 15.8 |
Energy | 12.9 | 9.2 |
Information Technology | 12.2 | 10.9 |
Industrials | 8.0 | 8.6 |
Consumer Staples | 7.8 | 7.9 |
Consumer Discretionary | 6.6 | 8.5 |
Utilities | 4.3 | 4.2 |
Telecommunication Services | 2.8 | 2.5 |
Materials | 2.3 | 2.8 |
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.5% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 6.6% | |||
Auto Components - 1.2% | |||
Dana Holding Corp. | 66,398 | $ 1,164,621 | |
Gentex Corp. | 445,243 | 6,901,267 | |
Lear Corp. | 47,111 | 4,842,540 | |
The Goodyear Tire & Rubber Co. | 79,823 | 2,376,331 | |
| 15,284,759 | ||
Automobiles - 0.1% | |||
Ford Motor Co. | 56,962 | 790,063 | |
General Motors Co. | 1,926 | 56,701 | |
| 846,764 | ||
Diversified Consumer Services - 0.2% | |||
DeVry, Inc. (e) | 68,569 | 1,793,765 | |
Graham Holdings Co. | 559 | 369,812 | |
ServiceMaster Global Holdings, Inc. (a) | 8,438 | 296,849 | |
| 2,460,426 | ||
Hotels, Restaurants & Leisure - 0.0% | |||
Jack in the Box, Inc. | 1,627 | 127,199 | |
Household Durables - 0.0% | |||
NVR, Inc. (a) | 136 | 206,713 | |
Toll Brothers, Inc. (a) | 401 | 14,825 | |
| 221,538 | ||
Leisure Products - 0.1% | |||
Hasbro, Inc. | 14,085 | 1,050,600 | |
Mattel, Inc. | 29,459 | 690,224 | |
| 1,740,824 | ||
Media - 1.0% | |||
Comcast Corp. Class A | 140,194 | 7,897,128 | |
Scripps Networks Interactive, Inc. Class A | 47,493 | 2,521,403 | |
Time, Inc. | 40,766 | 846,710 | |
Viacom, Inc. Class B (non-vtg.) | 40,809 | 1,663,783 | |
| 12,929,024 | ||
Multiline Retail - 1.8% | |||
Big Lots, Inc. | 92,962 | 4,461,246 | |
Dillard's, Inc. Class A | 2,705 | 250,240 | |
Kohl's Corp. | 132,537 | 6,763,363 | |
Target Corp. | 160,743 | 12,491,339 | |
| 23,966,188 | ||
Specialty Retail - 1.8% | |||
American Eagle Outfitters, Inc. | 2,172 | 36,967 | |
Best Buy Co., Inc. | 237,245 | 8,716,381 | |
Dick's Sporting Goods, Inc. | 85,767 | 4,299,500 | |
DSW, Inc. Class A | 12,015 | 356,725 | |
Foot Locker, Inc. | 101,160 | 7,161,116 | |
Gap, Inc. | 80,381 | 2,637,301 | |
| 23,207,990 | ||
| |||
Shares | Value | ||
Textiles, Apparel & Luxury Goods - 0.4% | |||
Carter's, Inc. | 6,517 | $ 640,686 | |
NIKE, Inc. Class B | 37,908 | 4,236,219 | |
| 4,876,905 | ||
TOTAL CONSUMER DISCRETIONARY | 85,661,617 | ||
CONSUMER STAPLES - 7.8% | |||
Beverages - 0.4% | |||
Dr. Pepper Snapple Group, Inc. | 46,329 | 3,554,824 | |
PepsiCo, Inc. | 16,666 | 1,548,771 | |
| 5,103,595 | ||
Food & Staples Retailing - 2.0% | |||
CVS Health Corp. | 41,981 | 4,298,854 | |
Wal-Mart Stores, Inc. | 304,285 | 19,696,368 | |
Walgreens Boots Alliance, Inc. | 16,750 | 1,449,713 | |
Whole Foods Market, Inc. | 28,162 | 922,587 | |
| 26,367,522 | ||
Food Products - 2.2% | |||
Archer Daniels Midland Co. | 228,016 | 10,258,440 | |
Bunge Ltd. | 74,506 | 5,397,960 | |
Mondelez International, Inc. | 49,082 | 2,079,114 | |
Pilgrim's Pride Corp. (e) | 269,994 | 5,663,124 | |
Sanderson Farms, Inc. (e) | 77,461 | 5,347,907 | |
| 28,746,545 | ||
Household Products - 2.5% | |||
Clorox Co. | 5,783 | 642,896 | |
Procter & Gamble Co. | 445,491 | 31,482,849 | |
| 32,125,745 | ||
Tobacco - 0.7% | |||
Altria Group, Inc. | 146,048 | 7,825,252 | |
Philip Morris International, Inc. | 17,294 | 1,380,061 | |
| 9,205,313 | ||
TOTAL CONSUMER STAPLES | 101,548,720 | ||
ENERGY - 12.9% | |||
Energy Equipment & Services - 4.1% | |||
Atwood Oceanics, Inc. (e) | 230,203 | 4,399,179 | |
Baker Hughes, Inc. | 28,243 | 1,581,608 | |
Cameron International Corp. (a) | 4,017 | 268,175 | |
Dril-Quip, Inc. (a) | 95,131 | 6,558,331 | |
Ensco PLC Class A | 313,048 | 5,669,299 | |
FMC Technologies, Inc. (a) | 56,223 | 1,955,436 | |
Frank's International NV | 21,480 | 350,339 | |
National Oilwell Varco, Inc. | 217,097 | 9,189,716 | |
Noble Corp. (e) | 170,461 | 2,219,402 | |
Oceaneering International, Inc. | 131,652 | 5,768,991 | |
Schlumberger Ltd. | 188,390 | 14,575,734 | |
| 52,536,210 | ||
Oil, Gas & Consumable Fuels - 8.8% | |||
Chevron Corp. | 259,692 | 21,032,455 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
ConocoPhillips Co. | 21,492 | $ 1,056,332 | |
CVR Energy, Inc. (e) | 9,743 | 391,766 | |
Exxon Mobil Corp. | 633,863 | 47,691,854 | |
HollyFrontier Corp. | 161,604 | 7,572,763 | |
Kinder Morgan, Inc. | 22,348 | 724,299 | |
Marathon Petroleum Corp. | 203,569 | 9,630,849 | |
Occidental Petroleum Corp. | 2,734 | 199,609 | |
PBF Energy, Inc. Class A | 10,944 | 327,444 | |
Tesoro Corp. | 86,389 | 7,948,652 | |
Valero Energy Corp. | 176,803 | 10,491,490 | |
Western Refining, Inc. | 152,146 | 6,545,321 | |
World Fuel Services Corp. | 22,890 | 884,699 | |
| 114,497,533 | ||
TOTAL ENERGY | 167,033,743 | ||
FINANCIALS - 28.1% | |||
Banks - 10.1% | |||
Bank of America Corp. | 1,666,422 | 27,229,335 | |
Citigroup, Inc. | 373,108 | 19,953,816 | |
Citizens Financial Group, Inc. | 303,401 | 7,530,413 | |
Commerce Bancshares, Inc. | 6,247 | 279,928 | |
Cullen/Frost Bankers, Inc. | 4,372 | 282,694 | |
East West Bancorp, Inc. | 7,950 | 321,260 | |
FNB Corp., Pennsylvania | 8,214 | 103,168 | |
Fulton Financial Corp. | 34,795 | 423,107 | |
JPMorgan Chase & Co. | 524,523 | 33,621,924 | |
PacWest Bancorp | 26,089 | 1,112,435 | |
PNC Financial Services Group, Inc. | 25,370 | 2,311,714 | |
Regions Financial Corp. | 718,404 | 6,889,494 | |
U.S. Bancorp | 119,082 | 5,043,123 | |
Wells Fargo & Co. | 494,325 | 26,362,352 | |
| 131,464,763 | ||
Capital Markets - 3.4% | |||
Franklin Resources, Inc. | 207,392 | 8,415,967 | |
Goldman Sachs Group, Inc. | 90,588 | 17,084,897 | |
Lazard Ltd. Class A | 27,802 | 1,382,593 | |
Morgan Stanley | 388,286 | 13,376,453 | |
SEI Investments Co. | 41,950 | 2,121,831 | |
T. Rowe Price Group, Inc. | 21,310 | 1,531,763 | |
| 43,913,504 | ||
Consumer Finance - 3.4% | |||
American Express Co. | 146,845 | 11,265,948 | |
Capital One Financial Corp. | 140,228 | 10,902,727 | |
Discover Financial Services | 179,841 | 9,662,857 | |
Navient Corp. | 488,157 | 6,243,528 | |
Santander Consumer U.S.A. Holdings, Inc. (a) | 18,865 | 423,708 | |
Synchrony Financial (e) | 156,213 | 5,147,218 | |
| 43,645,986 | ||
| |||
Shares | Value | ||
Diversified Financial Services - 3.1% | |||
Berkshire Hathaway, Inc. Class B (a) | 237,405 | $ 31,821,766 | |
CME Group, Inc. | 11,303 | 1,067,455 | |
Leucadia National Corp. | 172,190 | 3,695,197 | |
Voya Financial, Inc. | 85,915 | 3,701,218 | |
| 40,285,636 | ||
Insurance - 4.5% | |||
ACE Ltd. | 28,462 | 2,907,678 | |
AFLAC, Inc. | 104,397 | 6,117,664 | |
Allied World Assur Co. Holdings AG | 26,482 | 1,057,691 | |
American Financial Group, Inc. | 37,768 | 2,608,258 | |
American International Group, Inc. | 61,427 | 3,706,505 | |
American National Insurance Co. | 5,441 | 540,237 | |
Arch Capital Group Ltd. (a) | 4,528 | 309,172 | |
Aspen Insurance Holdings Ltd. | 129,319 | 5,937,035 | |
Assurant, Inc. | 8,140 | 605,209 | |
Assured Guaranty Ltd. | 35,024 | 884,706 | |
CNA Financial Corp. | 5,928 | 213,289 | |
Endurance Specialty Holdings Ltd. | 72,344 | 4,611,930 | |
FNF Group | 47,556 | 1,731,514 | |
MetLife, Inc. | 1,082 | 54,208 | |
ProAssurance Corp. | 2,611 | 125,929 | |
Progressive Corp. | 307,782 | 9,221,149 | |
Reinsurance Group of America, Inc. | 38,619 | 3,509,695 | |
RenaissanceRe Holdings Ltd. | 1,955 | 199,312 | |
The Chubb Corp. | 17,336 | 2,094,362 | |
The Travelers Companies, Inc. | 106,262 | 10,578,382 | |
Validus Holdings Ltd. | 20,727 | 917,792 | |
| 57,931,717 | ||
Real Estate Investment Trusts - 3.6% | |||
American Capital Agency Corp. | 62,758 | 1,200,561 | |
Chimera Investment Corp. | 507,561 | 7,110,930 | |
Hospitality Properties Trust (SBI) | 49,549 | 1,274,400 | |
Lamar Advertising Co. Class A | 108,637 | 5,794,698 | |
MFA Financial, Inc. | 972,095 | 6,911,595 | |
Post Properties, Inc. | 3,109 | 172,114 | |
Public Storage | 35,363 | 7,117,511 | |
Senior Housing Properties Trust (SBI) | 17,077 | 268,109 | |
Starwood Property Trust, Inc. (e) | 196,842 | 4,188,798 | |
The Macerich Co. | 47,586 | 3,625,101 | |
Two Harbors Investment Corp. | 126,064 | 1,192,565 | |
Weyerhaeuser Co. | 291,546 | 8,145,795 | |
| 47,002,177 | ||
TOTAL FINANCIALS | 364,243,783 | ||
HEALTH CARE - 13.5% | |||
Biotechnology - 0.5% | |||
Amgen, Inc. | 42,268 | 6,415,437 | |
Health Care Equipment & Supplies - 1.6% | |||
Abbott Laboratories | 45,203 | 2,047,244 | |
Baxter International, Inc. | 173,463 | 6,669,652 | |
Medtronic PLC | 90,623 | 6,551,137 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
ResMed, Inc. | 6,007 | $ 312,004 | |
St. Jude Medical, Inc. | 84,667 | 5,995,270 | |
| 21,575,307 | ||
Health Care Providers & Services - 2.9% | |||
Aetna, Inc. | 90,747 | 10,392,346 | |
Anthem, Inc. | 72,860 | 10,276,903 | |
Cardinal Health, Inc. | 84,802 | 6,976,661 | |
McKesson Corp. | 32,316 | 6,384,995 | |
Patterson Companies, Inc. | 8,492 | 389,188 | |
UnitedHealth Group, Inc. | 29,947 | 3,464,868 | |
| 37,884,961 | ||
Life Sciences Tools & Services - 0.5% | |||
Agilent Technologies, Inc. | 142,128 | 5,160,668 | |
Thermo Fisher Scientific, Inc. | 7,817 | 980,017 | |
| 6,140,685 | ||
Pharmaceuticals - 8.0% | |||
Allergan PLC (a) | 5,599 | 1,700,640 | |
Bristol-Myers Squibb Co. | 48,326 | 2,873,947 | |
Eli Lilly & Co. | 63,797 | 5,253,683 | |
Johnson & Johnson | 389,576 | 36,612,352 | |
Merck & Co., Inc. | 451,293 | 24,302,128 | |
Perrigo Co. PLC | 3,764 | 688,699 | |
Pfizer, Inc. | 1,008,037 | 32,478,952 | |
| 103,910,401 | ||
TOTAL HEALTH CARE | 175,926,791 | ||
INDUSTRIALS - 8.0% | |||
Aerospace & Defense - 3.5% | |||
General Dynamics Corp. | 73,036 | 10,373,303 | |
Huntington Ingalls Industries, Inc. | 39,700 | 4,469,426 | |
Northrop Grumman Corp. | 43,755 | 7,164,444 | |
Precision Castparts Corp. | 8,440 | 1,943,310 | |
Raytheon Co. | 85,316 | 8,750,009 | |
Spirit AeroSystems Holdings, Inc. Class A (a) | 6,696 | 342,233 | |
The Boeing Co. | 48,735 | 6,368,690 | |
Triumph Group, Inc. | 36,054 | 1,780,707 | |
United Technologies Corp. | 42,244 | 3,869,973 | |
Vectrus, Inc. (a) | 4,131 | 102,655 | |
| 45,164,750 | ||
Air Freight & Logistics - 0.1% | |||
FedEx Corp. | 6,008 | 904,865 | |
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 31,482 | 1,826,271 | |
KAR Auction Services, Inc. | 5,039 | 186,645 | |
Republic Services, Inc. | 9,579 | 392,547 | |
Waste Management, Inc. | 16,875 | 844,763 | |
| 3,250,226 | ||
| |||
Shares | Value | ||
Industrial Conglomerates - 2.9% | |||
3M Co. | 40,954 | $ 5,821,202 | |
Danaher Corp. | 61,713 | 5,370,265 | |
General Electric Co. | 1,053,466 | 26,147,026 | |
| 37,338,493 | ||
Machinery - 1.3% | |||
AGCO Corp. (e) | 25,527 | 1,251,844 | |
Allison Transmission Holdings, Inc. | 179,584 | 5,136,102 | |
Crane Co. | 6,582 | 345,818 | |
Deere & Co. (e) | 87,407 | 7,148,144 | |
Stanley Black & Decker, Inc. | 8,918 | 905,355 | |
Trinity Industries, Inc. (e) | 88,081 | 2,377,306 | |
| 17,164,569 | ||
TOTAL INDUSTRIALS | 103,822,903 | ||
INFORMATION TECHNOLOGY - 12.2% | |||
Communications Equipment - 3.4% | |||
Brocade Communications Systems, Inc. | 718,823 | 7,655,465 | |
Cisco Systems, Inc. | 912,162 | 23,606,753 | |
Juniper Networks, Inc. | 278,190 | 7,152,265 | |
QUALCOMM, Inc. | 99,886 | 5,651,550 | |
| 44,066,033 | ||
Electronic Equipment & Components - 0.5% | |||
Avnet, Inc. | 24,509 | 1,039,182 | |
Corning, Inc. | 177,136 | 3,048,511 | |
Dolby Laboratories, Inc. Class A | 11,958 | 389,352 | |
Ingram Micro, Inc. Class A | 36,500 | 987,690 | |
Tech Data Corp. (a) | 8,680 | 566,283 | |
| 6,031,018 | ||
Internet Software & Services - 0.4% | |||
eBay, Inc. (a) | 205,099 | 5,560,234 | |
IT Services - 1.6% | |||
Amdocs Ltd. | 85,339 | 4,882,244 | |
DST Systems, Inc. | 17,687 | 1,811,503 | |
IBM Corp. | 36,321 | 5,371,513 | |
Paychex, Inc. | 17,182 | 767,348 | |
Xerox Corp. | 777,322 | 7,905,365 | |
| 20,737,973 | ||
Semiconductors & Semiconductor Equipment - 2.3% | |||
Applied Materials, Inc. | 72,975 | 1,173,803 | |
Broadcom Corp. Class A | 37,768 | 1,951,473 | |
Intel Corp. | 818,048 | 23,347,090 | |
Micron Technology, Inc. (a) | 46,212 | 758,339 | |
NVIDIA Corp. | 117,006 | 2,630,295 | |
| 29,861,000 | ||
Software - 1.8% | |||
Activision Blizzard, Inc. | 19,229 | 550,526 | |
Electronic Arts, Inc. (a) | 18,725 | 1,238,659 | |
Microsoft Corp. | 300,673 | 13,085,289 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Symantec Corp. | 401,844 | $ 8,233,784 | |
Synopsys, Inc. (a) | 7,895 | 370,512 | |
| 23,478,770 | ||
Technology Hardware, Storage & Peripherals - 2.2% | |||
Apple, Inc. | 58,589 | 6,606,496 | |
Hewlett-Packard Co. | 466,921 | 13,101,803 | |
Lexmark International, Inc. Class A | 39,411 | 1,181,542 | |
NetApp, Inc. | 233,338 | 7,457,482 | |
| 28,347,323 | ||
TOTAL INFORMATION TECHNOLOGY | 158,082,351 | ||
MATERIALS - 2.3% | |||
Chemicals - 2.2% | |||
Cabot Corp. | 20,742 | 702,532 | |
LyondellBasell Industries NV Class A | 78,658 | 6,715,820 | |
The Dow Chemical Co. | 276,871 | 12,115,875 | |
The Mosaic Co. | 204,152 | 8,335,526 | |
Westlake Chemical Corp. | 7,538 | 416,324 | |
| 28,286,077 | ||
Containers & Packaging - 0.0% | |||
Avery Dennison Corp. | 11,445 | 664,726 | |
Metals & Mining - 0.1% | |||
Reliance Steel & Aluminum Co. | 19,255 | 1,119,101 | |
Paper & Forest Products - 0.0% | |||
Domtar Corp. | 6,124 | 246,246 | |
TOTAL MATERIALS | 30,316,150 | ||
TELECOMMUNICATION SERVICES - 2.8% | |||
Diversified Telecommunication Services - 2.8% | |||
AT&T, Inc. | 654,287 | 21,722,328 | |
CenturyLink, Inc. | 247,418 | 6,690,183 | |
Verizon Communications, Inc. | 182,898 | 8,415,137 | |
| 36,827,648 | ||
UTILITIES - 4.3% | |||
Electric Utilities - 1.9% | |||
American Electric Power Co., Inc. | 40,978 | 2,224,696 | |
Duke Energy Corp. | 175,959 | 12,477,253 | |
Entergy Corp. | 119,078 | 7,779,366 | |
Eversource Energy | 13,389 | 632,496 | |
PPL Corp. | 36,800 | 1,140,432 | |
Southern Co. | 6,499 | 282,122 | |
| 24,536,365 | ||
Gas Utilities - 0.8% | |||
AGL Resources, Inc. | 57,537 | 3,509,182 | |
| |||
Shares | Value | ||
Questar Corp. | 8,038 | $ 155,214 | |
UGI Corp. | 173,199 | 5,902,622 | |
| 9,567,018 | ||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Talen Energy Corp. (a) | 25,393 | 361,850 | |
Multi-Utilities - 1.4% | |||
Ameren Corp. | 13,488 | 543,432 | |
Consolidated Edison, Inc. | 87,175 | 5,484,179 | |
DTE Energy Co. | 88 | 6,869 | |
PG&E Corp. | 45,147 | 2,238,388 | |
Public Service Enterprise Group, Inc. | 228,321 | 9,189,920 | |
Vectren Corp. | 22,981 | 924,526 | |
| 18,387,314 | ||
Water Utilities - 0.2% | |||
American Water Works Co., Inc. | 48,629 | 2,525,790 | |
TOTAL UTILITIES | 55,378,337 | ||
TOTAL COMMON STOCKS (Cost $1,313,865,660) |
| ||
Money Market Funds - 5.5% | |||
|
|
|
|
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 34,582,122 | 34,582,122 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 37,576,062 | 37,576,062 | |
TOTAL MONEY MARKET FUNDS (Cost $72,158,184) |
|
TOTAL INVESTMENT (Cost $1,386,023,844) | 1,351,000,227 |
NET OTHER ASSETS (LIABILITIES) - (4.0)% | (52,383,207) | ||
NET ASSETS - 100% | $ 1,298,617,020 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
179 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2015 | $ 17,624,340 | $ 213,485 |
|
The face value of futures purchased as a percentage of net assets is 1.4% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 155,744 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 213,485 | $ - |
Total Value of Derivatives | $ 213,485 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
August 31, 2015 (Unaudited) | ||
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $36,642,335) - See accompanying schedule: Unaffiliated issuers (cost $1,348,447,782) | $ 1,313,424,165 |
|
Fidelity Central Funds (cost $37,576,062) | 37,576,062 |
|
Total Investments (cost $1,386,023,844) |
| $ 1,351,000,227 |
Segregated cash with brokers for derivative instruments | 699,200 | |
Receivable for investments sold | 17,091,084 | |
Receivable for fund shares sold | 4,418,270 | |
Dividends receivable | 3,632,903 | |
Interest receivable | 793 | |
Distributions receivable from Fidelity Central Funds | 21,518 | |
Total assets | 1,376,863,995 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 7,197 | |
Payable for investments purchased | 38,581,654 | |
Payable for fund shares redeemed | 1,431,841 | |
Accrued management fee | 326,998 | |
Payable for daily variation margin for derivative instruments | 159,723 | |
Other affiliated payables | 163,500 | |
Collateral on securities loaned, at value | 37,576,062 | |
Total liabilities | 78,246,975 | |
|
|
|
Net Assets | $ 1,298,617,020 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,304,579,580 | |
Undistributed net investment income | 12,020,492 | |
Accumulated undistributed net realized gain (loss) on investments | 16,827,080 | |
Net unrealized appreciation (depreciation) on investments | (34,810,132) | |
Net Assets, for 123,188,025 shares outstanding | $ 1,298,617,020 | |
Net Asset Value, offering price and redemption price per share ($1,298,617,020 ÷ 123,188,025 shares) | $ 10.54 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 14,697,843 |
Interest |
| 4,535 |
Income from Fidelity Central Funds |
| 155,744 |
Total income |
| 14,858,122 |
|
|
|
Expenses | ||
Management fee | $ 1,864,057 | |
Transfer agent fees | 932,985 | |
Independent trustees' compensation | 2,373 | |
Miscellaneous | 846 | |
Total expenses before reductions | 2,800,261 | |
Expense reductions | (77) | 2,800,184 |
Net investment income (loss) | 12,057,938 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 18,806,140 | |
Futures contracts | (157,791) | |
Total net realized gain (loss) |
| 18,648,349 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (119,832,130) | |
Futures contracts | (589,324) | |
Total change in net unrealized appreciation (depreciation) |
| (120,421,454) |
Net gain (loss) | (101,773,105) | |
Net increase (decrease) in net assets resulting from operations | $ (89,715,167) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Value Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 12,057,938 | $ 14,440,271 |
Net realized gain (loss) | 18,648,349 | 12,112,668 |
Change in net unrealized appreciation (depreciation) | (120,421,454) | 50,678,738 |
Net increase (decrease) in net assets resulting from operations | (89,715,167) | 77,231,677 |
Distributions to shareholders from net investment income | (5,263,851) | (7,996,305) |
Distributions to shareholders from net realized gain | (3,579,421) | (12,351,234) |
Total distributions | (8,843,272) | (20,347,539) |
Share transactions |
|
|
Proceeds from sales of shares | 458,095,291 | 1,280,586,314 |
Reinvestment of distributions | 8,563,303 | 19,714,665 |
Cost of shares redeemed | (174,832,567) | (431,917,050) |
Net increase (decrease) in net assets resulting from share transactions | 291,826,027 | 868,383,929 |
Total increase (decrease) in net assets | 193,267,588 | 925,268,067 |
|
|
|
Net Assets | ||
Beginning of period | 1,105,349,432 | 180,081,365 |
End of period (including undistributed net investment income of $12,020,492 and undistributed net investment income of $5,226,405, respectively) | $ 1,298,617,020 | $ 1,105,349,432 |
Other Information Shares | ||
Sold | 40,973,919 | 117,800,508 |
Issued in reinvestment of distributions | 757,144 | 1,828,662 |
Redeemed | (15,674,026) | (40,129,282) |
Net increase (decrease) | 26,057,037 | 79,499,888 |
Financial Highlights - Fidelity Large Cap Value Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 J | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 11.38 | $ 10.21 | $ 8.89 | $ 7.78 | $ 7.92 | $ 6.70 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .11 | .26G | .20 | .18 | .15 | .12 |
Net realized and unrealized gain (loss) | (.87) | 1.28 | 1.87 | 1.21 | .10 | 1.22 |
Total from investment operations | (.76) | 1.54 | 2.07 | 1.39 | .25 | 1.34 |
Distributions from net investment income | (.05) | (.12) | (.16) | (.15) | (.13) | (.12) |
Distributions from net realized gain | (.03) | (.24) | (.59) | (.13) | (.26) | - |
Total distributions | (.08) | (.37) K | (.75) | (.28) | (.39) | (.12) |
Net asset value, end of period | $ 10.54 | $ 11.38 | $ 10.21 | $ 8.89 | $ 7.78 | $ 7.92 |
Total ReturnB, C | (6.69)% | 15.37% | 23.92% | 18.38% | 3.58% | 20.15% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.94%A | 2.34%G | 2.01% | 2.27% | 2.04% | 1.76% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,298,617 | $ 1,105,349 | $ 180,081 | $ 106,740 | $ 71,354 | $ 85,123 |
Portfolio turnover rate F | 91%A | 76% I | 85% | 76% | 85% | 83% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GInvestment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 2.00%. HExpense 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. IPortfolio turnover rate excludes securities received or delivered in-kind. JFor the year ended February 29. KTotal distributions of $.37 per share is comprised of distributions from net investment income of $.124 and distributions from net realized gain of $.243 per share. |
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, 2015 | ||
| % of fund's | % of fund's net assets |
Apple, Inc. | 4.2 | 4.3 |
Microsoft Corp. | 2.5 | 2.3 |
Exxon Mobil Corp. | 2.2 | 2.2 |
Johnson & Johnson | 2.0 | 1.9 |
JPMorgan Chase & Co. | 1.8 | 1.7 |
AT&T, Inc. | 1.7 | 1.5 |
Pfizer, Inc. | 1.6 | 1.6 |
Verizon Communications, Inc. | 1.6 | 1.5 |
Procter & Gamble Co. | 1.6 | 1.7 |
Berkshire Hathaway, Inc. Class B | 1.5 | 0.9 |
| 20.7 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Information Technology | 21.4 | 20.5 |
Health Care | 16.8 | 15.8 |
Financials | 14.7 | 14.3 |
Consumer Discretionary | 13.2 | 12.2 |
Consumer Staples | 10.2 | 9.8 |
Industrials | 8.0 | 9.9 |
Energy | 7.9 | 6.0 |
Telecommunication Services | 3.3 | 2.9 |
Materials | 2.0 | 2.2 |
Utilities | 1.1 | 1.2 |
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.6% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.2% | |||
Auto Components - 0.9% | |||
Gentex Corp. | 123,511 | $ 1,914,421 | |
Lear Corp. | 11,320 | 1,163,583 | |
The Goodyear Tire & Rubber Co. | 10,597 | 315,473 | |
| 3,393,477 | ||
Automobiles - 0.8% | |||
Ford Motor Co. | 163,715 | 2,270,727 | |
General Motors Co. | 23,566 | 693,783 | |
| 2,964,510 | ||
Hotels, Restaurants & Leisure - 0.3% | |||
Brinker International, Inc. | 22,987 | 1,221,299 | |
McDonald's Corp. | 359 | 34,112 | |
| 1,255,411 | ||
Internet & Catalog Retail - 0.7% | |||
Amazon.com, Inc. (a) | 5,374 | 2,756,271 | |
Media - 4.0% | |||
Comcast Corp. Class A | 88,407 | 4,979,966 | |
Scripps Networks Interactive, Inc. Class A | 36,487 | 1,937,095 | |
The Walt Disney Co. | 51,042 | 5,200,159 | |
Time Warner Cable, Inc. | 3,762 | 699,807 | |
Viacom, Inc. Class B (non-vtg.) | 54,904 | 2,238,436 | |
| 15,055,463 | ||
Multiline Retail - 1.3% | |||
Kohl's Corp. | 35,739 | 1,823,761 | |
Target Corp. | 39,441 | 3,064,960 | |
| 4,888,721 | ||
Specialty Retail - 3.6% | |||
Best Buy Co., Inc. | 64,094 | 2,354,814 | |
Foot Locker, Inc. | 28,814 | 2,039,743 | |
Gap, Inc. | 62,295 | 2,043,899 | |
Home Depot, Inc. | 45,187 | 5,262,478 | |
Lowe's Companies, Inc. | 29,860 | 2,065,416 | |
| 13,766,350 | ||
Textiles, Apparel & Luxury Goods - 1.6% | |||
Michael Kors Holdings Ltd. (a) | 52,477 | 2,280,650 | |
NIKE, Inc. Class B | 33,113 | 3,700,378 | |
| 5,981,028 | ||
TOTAL CONSUMER DISCRETIONARY | 50,061,231 | ||
CONSUMER STAPLES - 10.2% | |||
Beverages - 3.3% | |||
Dr. Pepper Snapple Group, Inc. | 29,790 | 2,285,787 | |
PepsiCo, Inc. | 53,083 | 4,933,003 | |
The Coca-Cola Co. | 131,518 | 5,171,288 | |
| 12,390,078 | ||
| |||
Shares | Value | ||
Food & Staples Retailing - 1.8% | |||
CVS Health Corp. | 28,502 | $ 2,918,605 | |
Wal-Mart Stores, Inc. | 62,326 | 4,034,362 | |
| 6,952,967 | ||
Food Products - 1.6% | |||
Archer Daniels Midland Co. | 55,857 | 2,513,006 | |
Cal-Maine Foods, Inc. (e) | 26,040 | 1,383,245 | |
Pilgrim's Pride Corp. (e) | 90,590 | 1,900,125 | |
Sanderson Farms, Inc. (e) | 3,890 | 268,566 | |
| 6,064,942 | ||
Household Products - 2.2% | |||
Clorox Co. | 21,354 | 2,373,924 | |
Procter & Gamble Co. | 84,521 | 5,973,099 | |
| 8,347,023 | ||
Tobacco - 1.3% | |||
Altria Group, Inc. | 80,921 | 4,335,747 | |
Philip Morris International, Inc. | 8,412 | 671,278 | |
| 5,007,025 | ||
TOTAL CONSUMER STAPLES | 38,762,035 | ||
ENERGY - 7.9% | |||
Energy Equipment & Services - 2.8% | |||
Atwood Oceanics, Inc. (e) | 43,881 | 838,566 | |
Baker Hughes, Inc. | 2,135 | 119,560 | |
Dril-Quip, Inc. (a) | 11,596 | 799,428 | |
FMC Technologies, Inc. (a) | 8,859 | 308,116 | |
National Oilwell Varco, Inc. | 54,445 | 2,304,657 | |
Oceaneering International, Inc. | 49,034 | 2,148,670 | |
Schlumberger Ltd. | 51,204 | 3,961,653 | |
| 10,480,650 | ||
Oil, Gas & Consumable Fuels - 5.1% | |||
Chevron Corp. | 16,105 | 1,304,344 | |
Exxon Mobil Corp. | 113,237 | 8,519,952 | |
HollyFrontier Corp. | 5,698 | 267,008 | |
Marathon Petroleum Corp. | 51,970 | 2,458,701 | |
Tesoro Corp. | 23,460 | 2,158,555 | |
The Williams Companies, Inc. | 6,665 | 321,253 | |
Valero Energy Corp. | 43,157 | 2,560,936 | |
Western Refining, Inc. | 44,341 | 1,907,550 | |
| 19,498,299 | ||
TOTAL ENERGY | 29,978,949 | ||
FINANCIALS - 14.7% | |||
Banks - 4.5% | |||
Bank of America Corp. | 191,705 | 3,132,460 | |
Citigroup, Inc. | 25,743 | 1,376,736 | |
JPMorgan Chase & Co. | 108,663 | 6,965,298 | |
Wells Fargo & Co. | 103,791 | 5,535,174 | |
| 17,009,668 | ||
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Capital Markets - 2.8% | |||
Franklin Resources, Inc. | 46,327 | $ 1,879,950 | |
Goldman Sachs Group, Inc. | 18,778 | 3,541,531 | |
Morgan Stanley | 87,819 | 3,025,365 | |
T. Rowe Price Group, Inc. | 31,320 | 2,251,282 | |
| 10,698,128 | ||
Consumer Finance - 2.2% | |||
American Express Co. | 43,763 | 3,357,497 | |
Discover Financial Services | 44,055 | 2,367,075 | |
Navient Corp. | 153,081 | 1,957,906 | |
Synchrony Financial (e) | 17,316 | 570,562 | |
| 8,253,040 | ||
Diversified Financial Services - 2.0% | |||
Berkshire Hathaway, Inc. Class B (a) | 42,217 | 5,658,767 | |
Leucadia National Corp. | 93,392 | 2,004,192 | |
| 7,662,959 | ||
Insurance - 0.8% | |||
ACE Ltd. | 1,813 | 185,216 | |
Progressive Corp. | 79,873 | 2,392,995 | |
Reinsurance Group of America, Inc. | 1,860 | 169,037 | |
The Chubb Corp. | 1,658 | 200,303 | |
The Travelers Companies, Inc. | 764 | 76,056 | |
| 3,023,607 | ||
Real Estate Investment Trusts - 2.4% | |||
Chimera Investment Corp. | 63,216 | 885,656 | |
Lamar Advertising Co. Class A | 24,895 | 1,327,899 | |
MFA Financial, Inc. | 264,983 | 1,884,029 | |
Public Storage | 13,052 | 2,626,976 | |
Weyerhaeuser Co. | 78,305 | 2,187,842 | |
| 8,912,402 | ||
TOTAL FINANCIALS | 55,559,804 | ||
HEALTH CARE - 16.8% | |||
Biotechnology - 3.6% | |||
Amgen, Inc. | 28,698 | 4,355,782 | |
Baxalta, Inc. | 1,656 | 58,208 | |
Biogen, Inc. (a) | 11,404 | 3,390,409 | |
Celgene Corp. (a) | 1,827 | 215,732 | |
Gilead Sciences, Inc. | 49,954 | 5,248,667 | |
Medivation, Inc. (a) | 2,279 | 200,689 | |
| 13,469,487 | ||
Health Care Equipment & Supplies - 1.5% | |||
Abbott Laboratories | 24,534 | 1,111,145 | |
Edwards Lifesciences Corp. (a) | 16,287 | 2,294,513 | |
Medtronic PLC | 4,026 | 291,040 | |
St. Jude Medical, Inc. | 25,929 | 1,836,032 | |
| 5,532,730 | ||
| |||
Shares | Value | ||
Health Care Providers & Services - 4.7% | |||
Aetna, Inc. | 24,426 | $ 2,797,266 | |
Anthem, Inc. | 18,910 | 2,667,256 | |
Cardinal Health, Inc. | 20,348 | 1,674,030 | |
Cigna Corp. | 2,740 | 385,765 | |
Express Scripts Holding Co. (a) | 37,040 | 3,096,544 | |
Humana, Inc. | 1,029 | 188,091 | |
McKesson Corp. | 14,428 | 2,850,684 | |
UnitedHealth Group, Inc. | 37,379 | 4,324,750 | |
| 17,984,386 | ||
Life Sciences Tools & Services - 0.2% | |||
Agilent Technologies, Inc. | 24,969 | 906,624 | |
Pharmaceuticals - 6.8% | |||
AbbVie, Inc. | 21,560 | 1,345,560 | |
Allergan PLC (a) | 1,817 | 551,896 | |
Bristol-Myers Squibb Co. | 65,501 | 3,895,344 | |
Eli Lilly & Co. | 10,510 | 865,499 | |
Johnson & Johnson | 80,996 | 7,612,004 | |
Merck & Co., Inc. | 96,812 | 5,213,326 | |
Mylan N.V. | 345 | 17,109 | |
Perrigo Co. PLC | 931 | 170,345 | |
Pfizer, Inc. | 192,241 | 6,194,005 | |
| 25,865,088 | ||
TOTAL HEALTH CARE | 63,758,315 | ||
INDUSTRIALS - 8.0% | |||
Aerospace & Defense - 4.3% | |||
General Dynamics Corp. | 20,734 | 2,944,850 | |
Lockheed Martin Corp. | 13,558 | 2,727,598 | |
Northrop Grumman Corp. | 11,500 | 1,883,010 | |
Precision Castparts Corp. | 1,236 | 284,589 | |
Raytheon Co. | 25,796 | 2,645,638 | |
The Boeing Co. | 28,736 | 3,755,220 | |
Triumph Group, Inc. | 12,301 | 607,546 | |
United Technologies Corp. | 16,336 | 1,496,541 | |
| 16,344,992 | ||
Air Freight & Logistics - 0.3% | |||
FedEx Corp. | 8,241 | 1,241,177 | |
Industrial Conglomerates - 2.2% | |||
3M Co. | 26,732 | 3,799,686 | |
Danaher Corp. | 11,849 | 1,031,100 | |
General Electric Co. | 141,199 | 3,504,559 | |
| 8,335,345 | ||
Machinery - 0.7% | |||
Allison Transmission Holdings, Inc. | 67,649 | 1,934,761 | |
Caterpillar, Inc. | 1,839 | 140,573 | |
Cummins, Inc. | 1,905 | 231,934 | |
Deere & Co. (e) | 2,540 | 207,721 | |
| 2,514,989 | ||
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Road & Rail - 0.5% | |||
Union Pacific Corp. | 21,183 | $ 1,816,230 | |
TOTAL INDUSTRIALS | 30,252,733 | ||
INFORMATION TECHNOLOGY - 21.4% | |||
Communications Equipment - 3.4% | |||
Brocade Communications Systems, Inc. | 195,761 | 2,084,855 | |
Cisco Systems, Inc. | 186,034 | 4,814,560 | |
F5 Networks, Inc. (a) | 3,501 | 425,056 | |
Juniper Networks, Inc. | 63,379 | 1,629,474 | |
Polycom, Inc. (a) | 30,434 | 327,470 | |
QUALCOMM, Inc. | 67,759 | 3,833,804 | |
| 13,115,219 | ||
Electronic Equipment & Components - 0.6% | |||
Corning, Inc. | 133,983 | 2,305,847 | |
Internet Software & Services - 2.8% | |||
eBay, Inc. (a) | 94,238 | 2,554,792 | |
Facebook, Inc. Class A (a) | 22,705 | 2,030,508 | |
Google, Inc.: | |||
Class A (a) | 6,122 | 3,965,954 | |
Class C | 3,206 | 1,982,110 | |
| 10,533,364 | ||
IT Services - 2.5% | |||
IBM Corp. | 32,445 | 4,798,291 | |
MasterCard, Inc. Class A | 413 | 38,149 | |
Paychex, Inc. | 18,522 | 827,193 | |
The Western Union Co. | 36,190 | 667,344 | |
Visa, Inc. Class A | 12,880 | 918,344 | |
Xerox Corp. | 212,111 | 2,157,169 | |
| 9,406,490 | ||
Semiconductors & Semiconductor Equipment - 2.0% | |||
Applied Materials, Inc. | 15,638 | 251,537 | |
Broadcom Corp. Class A | 3,925 | 202,805 | |
Intel Corp. | 173,225 | 4,943,842 | |
NVIDIA Corp. | 94,108 | 2,115,548 | |
| 7,513,732 | ||
Software - 4.3% | |||
Activision Blizzard, Inc. | 58,398 | 1,671,935 | |
Electronic Arts, Inc. (a) | 35,873 | 2,372,999 | |
Microsoft Corp. | 218,101 | 9,491,756 | |
Oracle Corp. | 19,832 | 735,569 | |
Symantec Corp. | 105,221 | 2,155,978 | |
| 16,428,237 | ||
Technology Hardware, Storage & Peripherals - 5.8% | |||
Apple, Inc. | 141,153 | 15,916,409 | |
EMC Corp. | 32,063 | 797,407 | |
| |||
Shares | Value | ||
Hewlett-Packard Co. | 107,578 | $ 3,018,639 | |
NetApp, Inc. | 71,517 | 2,285,683 | |
| 22,018,138 | ||
TOTAL INFORMATION TECHNOLOGY | 81,321,027 | ||
MATERIALS - 2.0% | |||
Chemicals - 2.0% | |||
LyondellBasell Industries NV Class A | 31,144 | 2,659,075 | |
The Dow Chemical Co. | 62,422 | 2,731,587 | |
The Mosaic Co. | 53,059 | 2,166,399 | |
| 7,557,061 | ||
TELECOMMUNICATION SERVICES - 3.3% | |||
Diversified Telecommunication Services - 3.3% | |||
AT&T, Inc. | 187,688 | 6,231,242 | |
CenturyLink, Inc. | 2,288 | 61,868 | |
Verizon Communications, Inc. | 131,837 | 6,065,820 | |
| 12,358,930 | ||
UTILITIES - 1.1% | |||
Electric Utilities - 0.5% | |||
Entergy Corp. | 27,154 | 1,773,971 | |
PPL Corp. | 7,028 | 217,798 | |
| 1,991,769 | ||
Multi-Utilities - 0.6% | |||
Public Service Enterprise Group, Inc. | 56,410 | 2,270,503 | |
TOTAL UTILITIES | 4,262,272 | ||
TOTAL COMMON STOCKS (Cost $349,805,146) |
| ||
Money Market Funds - 2.8% | |||
|
|
|
|
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 6,033,944 | 6,033,944 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 4,561,470 | 4,561,470 | |
TOTAL MONEY MARKET FUNDS (Cost $10,595,414) |
|
TOTAL INVESTMENT (Cost $360,400,560) | 384,467,771 |
NET OTHER ASSETS (LIABILITIES) - (1.4)% | (5,337,474) | ||
NET ASSETS - 100% | $ 379,130,297 |
Futures Contracts | |||||
Expiration Date | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
50 CME E-mini S&P 500 Index Contracts (United States) | Sept. 2015 | $ 4,923,000 | $ 105,616 |
|
The face value of futures purchased as a percentage of net assets is 1.3% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 33,531 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 105,616 | $ - |
Total Value of Derivatives | $ 105,616 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
August 31, 2015 (Unaudited) | ||
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $4,543,521) - See accompanying schedule: Unaffiliated issuers (cost $355,839,090) | $ 379,906,301 |
|
Fidelity Central Funds (cost $4,561,470) | 4,561,470 |
|
Total Investments (cost $360,400,560) |
| $ 384,467,771 |
Segregated cash with brokers for derivative instruments | 220,800 | |
Receivable for investments sold | 5,381,009 | |
Receivable for fund shares sold | 1,048,887 | |
Dividends receivable | 862,845 | |
Interest receivable | 137 | |
Distributions receivable from Fidelity Central Funds | 4,921 | |
Other receivables | 10,951 | |
Total assets | 391,997,321 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 7,586,615 | |
Payable for fund shares redeemed | 524,527 | |
Accrued management fee | 97,146 | |
Payable for daily variation margin for derivative instruments | 48,693 | |
Other affiliated payables | 48,573 | |
Collateral on securities loaned, at value | 4,561,470 | |
Total liabilities | 12,867,024 | |
|
|
|
Net Assets | $ 379,130,297 | |
Net Assets consist of: |
| |
Paid in capital | $ 357,181,957 | |
Undistributed net investment income | 3,471,512 | |
Accumulated undistributed net realized gain (loss) on investments | (5,695,999) | |
Net unrealized appreciation (depreciation) on investments | 24,172,827 | |
Net Assets, for 33,536,735 shares outstanding | $ 379,130,297 | |
Net Asset Value, offering price and redemption price per share ($379,130,297 ÷ 33,536,735 shares) | $ 11.30 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 4,335,941 |
Interest |
| 1,181 |
Income from Fidelity Central Funds |
| 33,531 |
Total income |
| 4,370,653 |
|
|
|
Expenses | ||
Management fee | $ 592,414 | |
Transfer agent fees | 296,524 | |
Independent trustees' compensation | 775 | |
Miscellaneous | 290 | |
Total expenses before reductions | 890,003 | |
Expense reductions | (19) | 889,984 |
Net investment income (loss) | 3,480,669 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 8,746,143 | |
Futures contracts | (134,096) | |
Total net realized gain (loss) |
| 8,612,047 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (39,226,262) | |
Futures contracts | (12,046) | |
Total change in net unrealized appreciation (depreciation) |
| (39,238,308) |
Net gain (loss) | (30,626,261) | |
Net increase (decrease) in net assets resulting from operations | $ (27,145,592) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Large Cap Core Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 3,480,669 | $ 6,332,829 |
Net realized gain (loss) | 8,612,047 | 24,806,942 |
Change in net unrealized appreciation (depreciation) | (39,238,308) | 26,871,253 |
Net increase (decrease) in net assets resulting from operations | (27,145,592) | 58,011,024 |
Distributions to shareholders from net investment income | (1,395,328) | (4,804,434) |
Distributions to shareholders from net realized gain | (3,893,937) | (18,865,721) |
Total distributions | (5,289,265) | (23,670,155) |
Share transactions |
|
|
Proceeds from sales of shares | 107,985,823 | 229,544,332 |
Reinvestment of distributions | 5,031,504 | 22,379,464 |
Cost of shares redeemed | (83,334,856) | (346,155,181) |
Net increase (decrease) in net assets resulting from share transactions | 29,682,471 | (94,231,385) |
Total increase (decrease) in net assets | (2,752,386) | (59,890,516) |
|
|
|
Net Assets | ||
Beginning of period | 381,882,683 | 441,773,199 |
End of period (including undistributed net investment income of $3,471,512 and undistributed net investment income of $1,386,171, respectively) | $ 379,130,297 | $ 381,882,683 |
Other Information Shares | ||
Sold | 8,995,581 | 19,268,068 |
Issued in reinvestment of distributions | 415,827 | 1,960,142 |
Redeemed | (6,936,386) | (29,262,135) |
Net increase (decrease) | 2,475,022 | (8,033,925) |
Financial Highlights - Fidelity Large Cap Core Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 H | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.29 | $ 11.30 | $ 10.70 | $ 9.68 | $ 9.09 | $ 7.69 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .11 | .20 | .19 | .21 | .14 | .13 |
Net realized and unrealized gain (loss) | (.94) | 1.55 | 2.45 | 1.03 | .48 | 1.42 |
Total from investment operations | (.83) | 1.75 | 2.64 | 1.24 | .62 | 1.55 |
Distributions from net investment income | (.04) | (.16) | (.27) | (.18) | (.03) | (.15) |
Distributions from net realized gain | (.12) | (.60) | (1.77) | (.05) | - | - |
Total distributions | (.16) | (.76) | (2.04) | (.22) I | (.03) | (.15) |
Net asset value, end of period | $ 11.30 | $ 12.29 | $ 11.30 | $ 10.70 | $ 9.68 | $ 9.09 |
Total ReturnB, C | (6.82)% | 16.04% | 26.44% | 13.03% | 6.78% | 20.25% |
Ratios to Average Net AssetsE, G |
|
|
|
|
|
|
Expenses before reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45%A | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45%A | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.76%A | 1.69% | 1.67% | 2.08% | 1.53% | 1.58% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 379,130 | $ 381,883 | $ 441,773 | $ 208,675 | $ 262,225 | $ 968,646 |
Portfolio turnover rateF | 85%A | 101% | 125% | 85% | 104% | 64% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. ITotal distributions of $.22 per share is comprised of distributions from net investment income of $.175 and distributions from net realized gain of $.049 per share. |
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, 2015 | ||
| % of fund's | % of fund's net assets |
Southwest Airlines Co. | 0.9 | 0.9 |
United Continental Holdings, Inc. | 0.9 | 0.7 |
Public Service Enterprise Group, Inc. | 0.8 | 0.8 |
St. Jude Medical, Inc. | 0.8 | 0.8 |
Electronic Arts, Inc. | 0.8 | 0.8 |
Delphi Automotive PLC | 0.8 | 0.3 |
PACCAR, Inc. | 0.8 | 0.7 |
Progressive Corp. | 0.8 | 0.7 |
National Oilwell Varco, Inc. | 0.8 | 0.5 |
T. Rowe Price Group, Inc. | 0.8 | 0.7 |
| 8.2 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Financials | 20.9 | 18.1 |
Consumer Discretionary | 18.4 | 17.7 |
Information Technology | 15.9 | 16.2 |
Health Care | 11.8 | 13.0 |
Industrials | 10.7 | 10.5 |
Energy | 5.6 | 4.7 |
Consumer Staples | 5.5 | 6.7 |
Materials | 5.3 | 6.1 |
Utilities | 4.0 | 3.8 |
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 98.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 18.4% | |||
Auto Components - 2.7% | |||
Delphi Automotive PLC | 85,326 | $ 6,443,820 | |
Gentex Corp. | 293,739 | 4,552,955 | |
Lear Corp. | 48,172 | 4,951,600 | |
The Goodyear Tire & Rubber Co. | 165,815 | 4,936,313 | |
| 20,884,688 | ||
Automobiles - 0.7% | |||
Harley-Davidson, Inc. | 93,481 | 5,239,610 | |
Diversified Consumer Services - 0.9% | |||
DeVry, Inc. (e) | 92,683 | 2,424,587 | |
Graham Holdings Co. | 881 | 582,834 | |
ServiceMaster Global Holdings, Inc. (a) | 108,584 | 3,819,985 | |
| 6,827,406 | ||
Hotels, Restaurants & Leisure - 1.1% | |||
Brinker International, Inc. | 77,564 | 4,120,975 | |
Panera Bread Co. Class A (a)(e) | 9,835 | 1,753,581 | |
Wyndham Worldwide Corp. | 41,208 | 3,151,588 | |
| 9,026,144 | ||
Household Durables - 0.9% | |||
NVR, Inc. (a) | 1,471 | 2,235,846 | |
Toll Brothers, Inc. (a) | 126,427 | 4,674,006 | |
| 6,909,852 | ||
Internet & Catalog Retail - 0.7% | |||
Liberty Interactive Corp. Qvc G Series A (a) | 197,555 | 5,341,887 | |
Leisure Products - 0.6% | |||
Polaris Industries, Inc. | 34,522 | 4,483,372 | |
Media - 1.4% | |||
Cinemark Holdings, Inc. | 72,882 | 2,590,955 | |
Discovery Communications, Inc. Class C (non-vtg.) (a) | 147,525 | 3,741,234 | |
Scripps Networks Interactive, Inc. Class A | 83,685 | 4,442,837 | |
| 10,775,026 | ||
Multiline Retail - 2.7% | |||
Big Lots, Inc. (e) | 74,880 | 3,593,491 | |
Dillard's, Inc. Class A (e) | 15,526 | 1,436,310 | |
Dollar General Corp. | 80,093 | 5,966,128 | |
Kohl's Corp. | 89,322 | 4,558,102 | |
Macy's, Inc. | 99,056 | 5,805,672 | |
| 21,359,703 | ||
Specialty Retail - 5.3% | |||
AutoNation, Inc. (a) | 65,709 | 3,932,027 | |
Bed Bath & Beyond, Inc. (a) | 84,187 | 5,228,855 | |
Best Buy Co., Inc. | 155,395 | 5,709,212 | |
Dick's Sporting Goods, Inc. | 89,657 | 4,494,505 | |
DSW, Inc. Class A | 27,904 | 828,470 | |
Foot Locker, Inc. | 76,485 | 5,414,373 | |
Gap, Inc. | 144,328 | 4,735,402 | |
GNC Holdings, Inc. | 87,457 | 4,092,988 | |
| |||
Shares | Value | ||
Murphy U.S.A., Inc. (a) | 30,830 | $ 1,575,721 | |
O'Reilly Automotive, Inc. (a) | 9,292 | 2,230,730 | |
Ross Stores, Inc. | 59,714 | 2,903,295 | |
| 41,145,578 | ||
Textiles, Apparel & Luxury Goods - 1.4% | |||
Deckers Outdoor Corp. (a)(e) | 41,059 | 2,643,789 | |
Fossil Group, Inc. (a)(e) | 44,152 | 2,718,880 | |
Michael Kors Holdings Ltd. (a) | 121,985 | 5,301,468 | |
| 10,664,137 | ||
TOTAL CONSUMER DISCRETIONARY | 142,657,403 | ||
CONSUMER STAPLES - 5.5% | |||
Beverages - 0.8% | |||
Dr. Pepper Snapple Group, Inc. | 76,604 | 5,877,825 | |
Food & Staples Retailing - 0.2% | |||
Sysco Corp. | 42,196 | 1,682,355 | |
Food Products - 3.6% | |||
Archer Daniels Midland Co. | 85,134 | 3,830,179 | |
Bunge Ltd. | 62,517 | 4,529,357 | |
Campbell Soup Co. (e) | 49,223 | 2,362,212 | |
Hormel Foods Corp. | 11,437 | 698,801 | |
Ingredion, Inc. | 15,381 | 1,327,996 | |
Keurig Green Mountain, Inc. | 29,417 | 1,665,002 | |
Mead Johnson Nutrition Co. Class A | 73,566 | 5,763,160 | |
Pilgrim's Pride Corp. (e) | 192,226 | 4,031,940 | |
Tyson Foods, Inc. Class A | 91,623 | 3,873,820 | |
| 28,082,467 | ||
Household Products - 0.8% | |||
Church & Dwight Co., Inc. | 7,284 | 628,464 | |
Clorox Co. | 52,968 | 5,888,453 | |
| 6,516,917 | ||
Tobacco - 0.1% | |||
Reynolds American, Inc. | 7,189 | 602,079 | |
TOTAL CONSUMER STAPLES | 42,761,643 | ||
ENERGY - 5.6% | |||
Energy Equipment & Services - 3.2% | |||
Atwood Oceanics, Inc. (e) | 151,396 | 2,893,178 | |
Cameron International Corp. (a) | 12,519 | 835,768 | |
Dril-Quip, Inc. (a) | 73,351 | 5,056,818 | |
FMC Technologies, Inc. (a) | 138,181 | 4,805,935 | |
National Oilwell Varco, Inc. | 150,032 | 6,350,855 | |
Oceaneering International, Inc. | 111,872 | 4,902,231 | |
| 24,844,785 | ||
Oil, Gas & Consumable Fuels - 2.4% | |||
HollyFrontier Corp. | 106,269 | 4,979,765 | |
Marathon Petroleum Corp. | 29,363 | 1,389,164 | |
Tesoro Corp. | 56,775 | 5,223,868 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Valero Energy Corp. | 63,744 | $ 3,782,569 | |
Western Refining, Inc. | 82,556 | 3,551,559 | |
| 18,926,925 | ||
TOTAL ENERGY | 43,771,710 | ||
FINANCIALS - 20.9% | |||
Banks - 2.5% | |||
Citizens Financial Group, Inc. | 181,703 | 4,509,868 | |
Commerce Bancshares, Inc. | 13,754 | 616,317 | |
East West Bancorp, Inc. | 19,092 | 771,508 | |
Fifth Third Bancorp | 281,994 | 5,617,320 | |
KeyCorp | 224,038 | 3,078,282 | |
Regions Financial Corp. | 496,942 | 4,765,674 | |
| 19,358,969 | ||
Capital Markets - 2.8% | |||
Lazard Ltd. Class A | 86,264 | 4,289,909 | |
Raymond James Financial, Inc. | 39,607 | 2,098,775 | |
SEI Investments Co. | 97,711 | 4,942,222 | |
T. Rowe Price Group, Inc. | 85,890 | 6,173,773 | |
Waddell & Reed Financial, Inc. Class A (e) | 108,056 | 4,221,748 | |
| 21,726,427 | ||
Consumer Finance - 3.0% | |||
Ally Financial, Inc. (a) | 226,037 | 4,941,169 | |
Capital One Financial Corp. | 17,211 | 1,338,155 | |
Credit Acceptance Corp. (a)(e) | 3,476 | 708,444 | |
Discover Financial Services | 71,179 | 3,824,448 | |
Navient Corp. | 348,761 | 4,460,653 | |
Santander Consumer U.S.A. Holdings, Inc. (a) | 159,268 | 3,577,159 | |
Synchrony Financial (e) | 137,526 | 4,531,482 | |
| 23,381,510 | ||
Diversified Financial Services - 1.8% | |||
CBOE Holdings, Inc. | 63,418 | 4,011,823 | |
Leucadia National Corp. | 201,905 | 4,332,881 | |
Moody's Corp. | 57,137 | 5,845,686 | |
| 14,190,390 | ||
Insurance - 3.2% | |||
American Financial Group, Inc. | 20,480 | 1,414,349 | |
American International Group, Inc. warrants 1/19/21 (a) | 574 | 15,377 | |
American National Insurance Co. | 901 | 89,460 | |
Arch Capital Group Ltd. (a) | 31,861 | 2,175,469 | |
Aspen Insurance Holdings Ltd. | 58,448 | 2,683,348 | |
Assurant, Inc. | 12,777 | 949,970 | |
Assured Guaranty Ltd. | 128,997 | 3,258,464 | |
Endurance Specialty Holdings Ltd. | 26,398 | 1,682,873 | |
FNF Group | 18,028 | 656,399 | |
HCC Insurance Holdings, Inc. | 1,708 | 131,977 | |
| |||
Shares | Value | ||
Lincoln National Corp. | 16,613 | $ 843,774 | |
Loews Corp. | 23,391 | 852,602 | |
Progressive Corp. | 212,149 | 6,355,984 | |
The Travelers Companies, Inc. | 34,858 | 3,470,114 | |
| 24,580,160 | ||
Real Estate Investment Trusts - 7.4% | |||
Annaly Capital Management, Inc. | 21,942 | 220,737 | |
Apartment Investment & Management Co. Class A | 12,704 | 457,725 | |
Chimera Investment Corp. | 308,247 | 4,318,540 | |
Corrections Corp. of America | 54,206 | 1,592,572 | |
Crown Castle International Corp. | 12,929 | 1,078,149 | |
Equity Lifestyle Properties, Inc. | 48,032 | 2,678,264 | |
Extra Space Storage, Inc. | 16,467 | 1,209,995 | |
HCP, Inc. (e) | 26,357 | 976,790 | |
Health Care REIT, Inc. (e) | 10,350 | 655,673 | |
Hospitality Properties Trust (SBI) | 155,468 | 3,998,637 | |
Host Hotels & Resorts, Inc. | 285,760 | 5,066,525 | |
Iron Mountain, Inc. (e) | 150,831 | 4,274,551 | |
Kimco Realty Corp. | 110,725 | 2,552,211 | |
Lamar Advertising Co. Class A | 80,328 | 4,284,696 | |
MFA Financial, Inc. | 580,637 | 4,128,329 | |
Post Properties, Inc. | 15,224 | 842,801 | |
Public Storage | 20,175 | 4,060,622 | |
Starwood Property Trust, Inc. (e) | 64,750 | 1,377,880 | |
Tanger Factory Outlet Centers, Inc. | 3,791 | 119,947 | |
Taubman Centers, Inc. | 32,294 | 2,227,963 | |
The Macerich Co. | 71,109 | 5,417,084 | |
Weyerhaeuser Co. (e) | 201,904 | 5,641,198 | |
| 57,180,889 | ||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 60,789 | 1,946,464 | |
Thrifts & Mortgage Finance - 0.0% | |||
TFS Financial Corp. | 5,869 | 100,771 | |
TOTAL FINANCIALS | 162,465,580 | ||
HEALTH CARE - 11.8% | |||
Biotechnology - 1.1% | |||
Medivation, Inc. (a) | 50,355 | 4,434,261 | |
United Therapeutics Corp. (a)(e) | 28,950 | 4,360,449 | |
| 8,794,710 | ||
Health Care Equipment & Supplies - 3.1% | |||
Align Technology, Inc. (a) | 3,833 | 216,948 | |
Baxter International, Inc. | 12,089 | 464,822 | |
C.R. Bard, Inc. | 29,610 | 5,738,122 | |
Edwards Lifesciences Corp. (a) | 41,132 | 5,794,676 | |
ResMed, Inc. | 4,923 | 255,701 | |
St. Jude Medical, Inc. | 91,153 | 6,454,544 | |
Varian Medical Systems, Inc. (a)(e) | 20,202 | 1,641,413 | |
Zimmer Biomet Holdings, Inc. | 33,341 | 3,452,794 | |
| 24,019,020 | ||
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - 4.9% | |||
Aetna, Inc. | 893 | $ 102,266 | |
AmerisourceBergen Corp. | 55,923 | 5,594,537 | |
Anthem, Inc. | 26,176 | 3,692,125 | |
Cardinal Health, Inc. | 44,899 | 3,693,841 | |
Centene Corp. (a) | 70,290 | 4,338,299 | |
DaVita HealthCare Partners, Inc. (a) | 6,458 | 488,483 | |
HCA Holdings, Inc. (a) | 25,691 | 2,225,354 | |
Laboratory Corp. of America Holdings (a) | 33,021 | 3,890,204 | |
LifePoint Hospitals, Inc. (a) | 14,633 | 1,143,276 | |
MEDNAX, Inc. (a) | 18,991 | 1,529,725 | |
Patterson Companies, Inc. | 70,239 | 3,219,053 | |
Quest Diagnostics, Inc. | 73,544 | 4,986,283 | |
Universal Health Services, Inc. Class B | 20,520 | 2,814,113 | |
VCA, Inc. (a) | 3,784 | 209,558 | |
| 37,927,117 | ||
Health Care Technology - 0.9% | |||
Cerner Corp. (a) | 73,457 | 4,536,704 | |
IMS Health Holdings, Inc. (a) | 66,038 | 1,972,555 | |
| 6,509,259 | ||
Life Sciences Tools & Services - 0.8% | |||
Agilent Technologies, Inc. | 147,374 | 5,351,150 | |
Bio-Rad Laboratories, Inc. Class A (a) | 3,979 | 554,394 | |
Charles River Laboratories International, Inc. (a) | 7,422 | 511,302 | |
| 6,416,846 | ||
Pharmaceuticals - 1.0% | |||
Hospira, Inc. (a) | 6,235 | 560,963 | |
Perrigo Co. PLC | 10,158 | 1,858,609 | |
Zoetis, Inc. Class A | 121,413 | 5,447,801 | |
| 7,867,373 | ||
TOTAL HEALTH CARE | 91,534,325 | ||
INDUSTRIALS - 10.7% | |||
Aerospace & Defense - 1.2% | |||
Huntington Ingalls Industries, Inc. | 40,573 | 4,567,708 | |
L-3 Communications Holdings, Inc. | 1,459 | 153,881 | |
Raytheon Co. | 10,016 | 1,027,241 | |
Rockwell Collins, Inc. | 4,602 | 376,674 | |
Spirit AeroSystems Holdings, Inc. Class A (a) | 18,216 | 931,020 | |
Triumph Group, Inc. | 47,271 | 2,334,715 | |
Vectrus, Inc. (a) | 528 | 13,121 | |
| 9,404,360 | ||
Air Freight & Logistics - 0.7% | |||
Expeditors International of Washington, Inc. | 106,046 | 5,193,073 | |
| |||
Shares | Value | ||
Airlines - 1.8% | |||
Southwest Airlines Co. | 191,350 | $ 7,022,545 | |
United Continental Holdings, Inc. (a) | 117,904 | 6,716,991 | |
| 13,739,536 | ||
Commercial Services & Supplies - 1.2% | |||
ADT Corp. (e) | 40,485 | 1,327,098 | |
Cintas Corp. | 53,808 | 4,573,142 | |
Deluxe Corp. | 6,268 | 363,607 | |
KAR Auction Services, Inc. | 74,000 | 2,740,960 | |
| 9,004,807 | ||
Construction & Engineering - 0.3% | |||
Jacobs Engineering Group, Inc. (a) | 58,271 | 2,354,731 | |
Electrical Equipment - 0.4% | |||
AMETEK, Inc. | 15,256 | 821,078 | |
Emerson Electric Co. | 16,780 | 800,742 | |
Rockwell Automation, Inc. | 16,915 | 1,891,604 | |
| 3,513,424 | ||
Machinery - 3.3% | |||
Allison Transmission Holdings, Inc. | 154,717 | 4,424,906 | |
Crane Co. | 20,633 | 1,084,058 | |
Lincoln Electric Holdings, Inc. | 47,330 | 2,775,905 | |
PACCAR, Inc. | 109,179 | 6,438,286 | |
Parker Hannifin Corp. | 50,098 | 5,393,551 | |
Pentair PLC | 10,800 | 597,132 | |
Snap-On, Inc. | 10,004 | 1,598,339 | |
Trinity Industries, Inc. (e) | 140,026 | 3,779,302 | |
| 26,091,479 | ||
Professional Services - 1.8% | |||
Equifax, Inc. | 22,422 | 2,195,114 | |
Manpower, Inc. | 21,560 | 1,873,564 | |
Robert Half International, Inc. | 88,050 | 4,493,192 | |
Towers Watson & Co. | 2,230 | 264,768 | |
Verisk Analytics, Inc. (a) | 74,390 | 5,436,421 | |
| 14,263,059 | ||
TOTAL INDUSTRIALS | 83,564,469 | ||
INFORMATION TECHNOLOGY - 15.9% | |||
Communications Equipment - 2.0% | |||
Brocade Communications Systems, Inc. | 441,701 | 4,704,116 | |
F5 Networks, Inc. (a) | 41,853 | 5,081,373 | |
Harris Corp. | 8,551 | 656,888 | |
Juniper Networks, Inc. | 195,463 | 5,025,354 | |
| 15,467,731 | ||
Electronic Equipment & Components - 0.5% | |||
Avnet, Inc. | 52,300 | 2,217,520 | |
Dolby Laboratories, Inc. Class A | 20,342 | 662,336 | |
Jabil Circuit, Inc. | 994 | 19,234 | |
Keysight Technologies, Inc. (a) | 36,673 | 1,175,003 | |
| 4,074,093 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Internet Software & Services - 0.2% | |||
eBay, Inc. (a) | 56,124 | $ 1,521,522 | |
IT Services - 4.9% | |||
Amdocs Ltd. | 91,744 | 5,248,674 | |
Booz Allen Hamilton Holding Corp. Class A | 94,428 | 2,521,228 | |
Computer Sciences Corp. | 54,007 | 3,347,894 | |
DST Systems, Inc. | 37,402 | 3,830,713 | |
Fiserv, Inc. (a) | 34,194 | 2,915,722 | |
Genpact Ltd. (a) | 9,017 | 207,391 | |
Jack Henry & Associates, Inc. | 4,325 | 293,927 | |
Leidos Holdings, Inc. | 15,485 | 651,609 | |
Paychex, Inc. | 121,283 | 5,416,499 | |
Teradata Corp. (a)(e) | 87,191 | 2,548,593 | |
The Western Union Co. | 231,688 | 4,272,327 | |
Total System Services, Inc. | 38,338 | 1,757,031 | |
Xerox Corp. | 520,845 | 5,296,994 | |
| 38,308,602 | ||
Semiconductors & Semiconductor Equipment - 3.0% | |||
Altera Corp. | 6,454 | 313,342 | |
Analog Devices, Inc. | 33,980 | 1,898,123 | |
Applied Materials, Inc. | 347,925 | 5,596,374 | |
Lam Research Corp. | 34,414 | 2,504,307 | |
Marvell Technology Group Ltd. | 57,800 | 651,406 | |
Maxim Integrated Products, Inc. | 105,645 | 3,557,067 | |
NVIDIA Corp. | 251,258 | 5,648,280 | |
Skyworks Solutions, Inc. | 7,640 | 667,354 | |
Xilinx, Inc. | 58,422 | 2,447,298 | |
| 23,283,551 | ||
Software - 4.5% | |||
Activision Blizzard, Inc. | 213,782 | 6,120,579 | |
Aspen Technology, Inc. (a) | 17,791 | 673,745 | |
CA Technologies, Inc. | 180,862 | 4,935,724 | |
CDK Global, Inc. | 3,572 | 176,957 | |
Citrix Systems, Inc. (a) | 23,904 | 1,628,101 | |
Electronic Arts, Inc. (a) | 97,551 | 6,452,999 | |
FactSet Research Systems, Inc. | 18,534 | 2,926,889 | |
Intuit, Inc. | 4,304 | 369,068 | |
Red Hat, Inc. (a) | 14,311 | 1,033,397 | |
Symantec Corp. | 272,919 | 5,592,110 | |
Synopsys, Inc. (a) | 100,625 | 4,722,331 | |
| 34,631,900 | ||
Technology Hardware, Storage & Peripherals - 0.8% | |||
NetApp, Inc. | 172,368 | 5,508,881 | |
Western Digital Corp. | 12,478 | 1,022,697 | |
| 6,531,578 | ||
TOTAL INFORMATION TECHNOLOGY | 123,818,977 | ||
| |||
Shares | Value | ||
MATERIALS - 5.3% | |||
Chemicals - 3.3% | |||
Cabot Corp. | 54,741 | $ 1,854,078 | |
Celanese Corp. Class A | 30,921 | 1,875,049 | |
Eastman Chemical Co. | 65,386 | 4,737,870 | |
LyondellBasell Industries NV Class A | 46,832 | 3,998,516 | |
Sherwin-Williams Co. | 6,682 | 1,709,322 | |
Sigma Aldrich Corp. | 9,180 | 1,279,784 | |
The Mosaic Co. | 140,391 | 5,732,165 | |
Westlake Chemical Corp. | 76,399 | 4,219,517 | |
| 25,406,301 | ||
Containers & Packaging - 1.0% | |||
Aptargroup, Inc. | 3,016 | 203,158 | |
Avery Dennison Corp. | 74,322 | 4,316,622 | |
Packaging Corp. of America | 13,070 | 877,128 | |
Sealed Air Corp. | 43,320 | 2,228,814 | |
| 7,625,722 | ||
Metals & Mining - 0.8% | |||
Newmont Mining Corp. | 225,095 | 3,842,372 | |
Reliance Steel & Aluminum Co. | 37,777 | 2,195,599 | |
| 6,037,971 | ||
Paper & Forest Products - 0.2% | |||
Domtar Corp. | 43,286 | 1,740,530 | |
TOTAL MATERIALS | 40,810,524 | ||
UTILITIES - 4.0% | |||
Electric Utilities - 1.1% | |||
Entergy Corp. | 79,581 | 5,199,027 | |
Southern Co. | 37,915 | 1,645,890 | |
Xcel Energy, Inc. | 50,173 | 1,692,335 | |
| 8,537,252 | ||
Gas Utilities - 0.5% | |||
AGL Resources, Inc. | 2,806 | 171,138 | |
UGI Corp. | 104,099 | 3,547,694 | |
| 3,718,832 | ||
Independent Power and Renewable Electricity Producers - 0.3% | |||
The AES Corp. | 235,834 | 2,830,008 | |
Multi-Utilities - 1.7% | |||
Ameren Corp. | 31,564 | 1,271,714 | |
Consolidated Edison, Inc. | 35,365 | 2,224,812 | |
DTE Energy Co. | 11,059 | 863,266 | |
Public Service Enterprise Group, Inc. | 163,593 | 6,584,618 | |
Vectren Corp. | 15,079 | 606,628 | |
WEC Energy Group, Inc. | 38,643 | 1,841,339 | |
| 13,392,377 | ||
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Water Utilities - 0.4% | |||
American Water Works Co., Inc. | 54,604 | $ 2,836,120 | |
TOTAL UTILITIES | 31,314,589 | ||
TOTAL COMMON STOCKS (Cost $768,261,079) |
| ||
Money Market Funds - 7.9% | |||
|
|
|
|
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 15,657,609 | 15,657,609 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 45,421,669 | 45,421,669 | |
TOTAL MONEY MARKET FUNDS (Cost $61,079,278) |
|
TOTAL INVESTMENT (Cost $829,340,357) | 823,778,498 |
NET OTHER ASSETS (LIABILITIES) - (6.0)% | (46,337,753) | ||
NET ASSETS - 100% | $ 777,440,745 |
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
103 CME E-mini S&P MidCap 400 Index Contracts (United States) | Sept. 2015 | $ 14,569,350 | $ 14,430 |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 86,508 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ 14,430 | $ - |
Total Value of Derivatives | $ 14,430 | $ - |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
August 31, 2015 (Unaudited) | ||
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $44,079,990) - See accompanying schedule: Unaffiliated issuers (cost $783,918,688) | $ 778,356,829 |
|
Fidelity Central Funds (cost $45,421,669) | 45,421,669 |
|
Total Investments (cost $829,340,357) |
| $ 823,778,498 |
Segregated cash with brokers for derivative instruments | 603,000 | |
Cash |
| 827,818 |
Receivable for investments sold | 11,381,516 | |
Receivable for fund shares sold | 1,627,805 | |
Dividends receivable | 1,049,766 | |
Interest receivable | 313 | |
Distributions receivable from Fidelity Central Funds | 11,976 | |
Other receivables | 8 | |
Total assets | 839,280,700 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 14,999,607 | |
Payable for fund shares redeemed | 885,027 | |
Accrued management fee | 296,445 | |
Payable for daily variation margin for derivative instruments | 138,392 | |
Other affiliated payables | 98,815 | |
Collateral on securities loaned, at value | 45,421,669 | |
Total liabilities | 61,839,955 | |
|
|
|
Net Assets | $ 777,440,745 | |
Net Assets consist of: |
| |
Paid in capital | $ 750,565,263 | |
Undistributed net investment income | 3,746,035 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 28,676,876 | |
Net unrealized appreciation (depreciation) on investments | (5,547,429) | |
Net Assets, for 58,998,112 shares outstanding | $ 777,440,745 | |
Net Asset Value, offering price and redemption price per share ($777,440,745 ÷ 58,998,112 shares) | $ 13.18 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 5,952,659 |
Interest |
| 2,971 |
Income from Fidelity Central Funds |
| 86,508 |
Total income |
| 6,042,138 |
|
|
|
Expenses | ||
Management fee | $ 1,683,439 | |
Transfer agent fees | 561,518 | |
Independent trustees' compensation | 1,395 | |
Miscellaneous | 473 | |
Total expenses before reductions | 2,246,825 | |
Expense reductions | (25) | 2,246,800 |
Net investment income (loss) | 3,795,338 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 29,467,604 | |
Foreign currency transactions | (2,113) | |
Futures contracts | 184,455 | |
Total net realized gain (loss) |
| 29,649,946 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (82,060,270) | |
Futures contracts | (568,231) | |
Total change in net unrealized appreciation (depreciation) |
| (82,628,501) |
Net gain (loss) | (52,978,555) | |
Net increase (decrease) in net assets resulting from operations | $ (49,183,217) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Mid Cap Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 3,795,338 | $ 3,975,433 |
Net realized gain (loss) | 29,649,946 | 23,080,386 |
Change in net unrealized appreciation (depreciation) | (82,628,501) | 31,483,026 |
Net increase (decrease) in net assets resulting from operations | (49,183,217) | 58,538,845 |
Distributions to shareholders from net investment income | (889,808) | (2,992,974) |
Distributions to shareholders from net realized gain | (5,635,449) | (29,582,652) |
Total distributions | (6,525,257) | (32,575,626) |
Share transactions |
|
|
Proceeds from sales of shares | 329,344,452 | 395,167,108 |
Reinvestment of distributions | 6,270,550 | 31,124,764 |
Cost of shares redeemed | (110,952,523) | (115,467,866) |
Net increase (decrease) in net assets resulting from share transactions | 224,662,479 | 310,824,006 |
Redemption fees | 11,917 | 13,246 |
Total increase (decrease) in net assets | 168,965,922 | 336,800,471 |
|
|
|
Net Assets | ||
Beginning of period | 608,474,823 | 271,674,352 |
End of period (including undistributed net investment income of $3,746,035 and undistributed net investment income of $840,505, respectively) | $ 777,440,745 | $ 608,474,823 |
Other Information Shares | ||
Sold | 23,582,975 | 29,171,712 |
Issued in reinvestment of distributions | 442,523 | 2,437,242 |
Redeemed | (8,004,600) | (8,607,909) |
Net increase (decrease) | 16,020,898 | 23,001,045 |
Financial Highlights - Fidelity Mid Cap Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 H | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 14.16 | $ 13.60 | $ 10.97 | $ 9.79 | $ 10.28 | $ 8.33 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .07 | .15 | .15 | .18 | .10 | .10 |
Net realized and unrealized gain (loss) | (.92) | 1.73 | 3.17 | 1.30 | .05 | 2.30 |
Total from investment operations | (.85) | 1.88 | 3.32 | 1.48 | .15 | 2.40 |
Distributions from net investment income | (.02) | (.10) | (.12) | (.17) | (.07) | (.10) |
Distributions from net realized gain | (.11) | (1.22) | (.57) | (.13) | (.58) | (.35) |
Total distributions | (.13) | (1.32) | (.69) | (.30) | (.64) J | (.45) |
Redemption fees added to paid in capitalD, I | - | - | - | - | - | - |
Net asset value, end of period | $ 13.18 | $ 14.16 | $ 13.60 | $ 10.97 | $ 9.79 | $ 10.28 |
Total ReturnB, C | (6.05)% | 15.22% | 30.97% | 15.57% | 1.91% | 29.44% |
Ratios to Average Net Assets E, G |
|
|
|
|
|
|
Expenses before reductions | .60%A | .60% | .60% | .60% | .60% | .60% |
Expenses net of fee waivers, if any | .60%A | .60% | .60% | .60% | .60% | .60% |
Expenses net of all reductions | .60%A | .60% | .60% | .60% | .60% | .60% |
Net investment income (loss) | 1.01%A | 1.08% | 1.24% | 1.80% | 1.03% | 1.16% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 777,441 | $ 608,475 | $ 271,674 | $ 128,130 | $ 79,061 | $ 62,104 |
Portfolio turnover rateF | 96%A | 89% | 128% | 99% | 92% | 59% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. IAmount represents less than $.005 per share. JTotal distributions of $.64 per share is comprised of distributions from net investment income of $.069 and distributions from net realized gain of $.575 per share. |
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, 2015 | ||
| % of fund's | % of fund's net assets |
Maximus, Inc. | 0.7 | 0.4 |
Integrated Device Technology, Inc. | 0.7 | 0.6 |
American Eagle Outfitters, Inc. | 0.7 | 0.0 |
Strategic Hotel & Resorts, Inc. | 0.7 | 0.7 |
Molina Healthcare, Inc. | 0.7 | 0.6 |
Aspen Technology, Inc. | 0.7 | 0.7 |
Sovran Self Storage, Inc. | 0.7 | 0.6 |
Wintrust Financial Corp. | 0.7 | 0.5 |
Cracker Barrel Old Country Store, Inc. | 0.7 | 0.7 |
Cooper Tire & Rubber Co. | 0.7 | 0.6 |
| 7.0 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Financials | 22.2 | 20.6 |
Information Technology | 17.8 | 18.8 |
Health Care | 17.5 | 16.4 |
Consumer Discretionary | 14.3 | 14.1 |
Industrials | 10.5 | 11.8 |
Energy | 4.8 | 3.1 |
Consumer Staples | 4.2 | 3.8 |
Materials | 1.9 | 3.7 |
Utilities | 1.6 | 1.6 |
Telecommunication Services | 1.0 | 0.7 |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 95.8% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 14.3% | |||
Auto Components - 2.7% | |||
American Axle & Manufacturing Holdings, Inc. (a) | 160,149 | $ 3,235,010 | |
Cooper Tire & Rubber Co. | 90,450 | 3,491,370 | |
Cooper-Standard Holding, Inc. (a) | 2,387 | 137,062 | |
Dana Holding Corp. | 193,566 | 3,395,148 | |
Horizon Global Corp. (a) | 13,107 | 137,099 | |
Metaldyne Performance Group, Inc. | 4,369 | 82,487 | |
Tenneco, Inc. (a) | 71,939 | 3,384,730 | |
Tower International, Inc. (a) | 19,575 | 478,609 | |
| 14,341,515 | ||
Diversified Consumer Services - 0.7% | |||
Capella Education Co. | 15,028 | 732,615 | |
Grand Canyon Education, Inc. (a) | 6,078 | 224,643 | |
K12, Inc. (a) | 79,953 | 1,056,979 | |
LifeLock, Inc. (a)(e) | 220,986 | 1,867,332 | |
| 3,881,569 | ||
Hotels, Restaurants & Leisure - 3.1% | |||
BJ's Restaurants, Inc. (a)(e) | 12,825 | 551,347 | |
Bloomin' Brands, Inc. | 110,382 | 2,284,907 | |
Cracker Barrel Old Country Store, Inc. (e) | 24,228 | 3,493,193 | |
DineEquity, Inc. | 15,640 | 1,493,620 | |
Isle of Capri Casinos, Inc. (a) | 91,135 | 1,682,352 | |
Jack in the Box, Inc. | 42,223 | 3,300,994 | |
Marriott Vacations Worldwide Corp. | 39,576 | 2,810,292 | |
Ruth's Hospitality Group, Inc. | 53,660 | 862,853 | |
| 16,479,558 | ||
Household Durables - 1.1% | |||
Bassett Furniture Industries, Inc. | 14,704 | 426,710 | |
CSS Industries, Inc. | 849 | 22,482 | |
Flexsteel Industries, Inc. | 46,780 | 1,440,824 | |
Helen of Troy Ltd. (a) | 25,617 | 2,181,031 | |
Hooker Furniture Corp. (e) | 3,724 | 88,855 | |
iRobot Corp. (a)(e) | 6,798 | 199,181 | |
La-Z-Boy, Inc. | 53,560 | 1,478,792 | |
Ryland Group, Inc. | 1,153 | 49,856 | |
| 5,887,731 | ||
Internet & Catalog Retail - 0.0% | |||
PetMed Express, Inc. (e) | 4,624 | 76,666 | |
Leisure Products - 0.5% | |||
Brunswick Corp. | 21,144 | 1,051,068 | |
Nautilus, Inc. (a) | 108,931 | 1,664,466 | |
| 2,715,534 | ||
Media - 0.2% | |||
A.H. Belo Corp. Class A | 12,118 | 60,711 | |
Gray Television, Inc. (a) | 89,708 | 1,039,716 | |
Saga Communications, Inc. Class A | 896 | 31,279 | |
| |||
Shares | Value | ||
The McClatchy Co. Class A (a) | 67,435 | $ 84,968 | |
Time, Inc. | 5,068 | 105,262 | |
| 1,321,936 | ||
Specialty Retail - 4.4% | |||
American Eagle Outfitters, Inc. (e) | 216,538 | 3,685,477 | |
Ascena Retail Group, Inc. (a) | 1,064 | 12,842 | |
Barnes & Noble Education, Inc. (a) | 2,389 | 30,818 | |
Barnes & Noble, Inc. | 67,936 | 1,060,481 | |
Big 5 Sporting Goods Corp. | 152,889 | 1,758,224 | |
Caleres, Inc. | 44,935 | 1,496,336 | |
Citi Trends, Inc. | 18,054 | 476,806 | |
Express, Inc. (a) | 107,708 | 2,197,243 | |
Group 1 Automotive, Inc. | 36,208 | 3,164,579 | |
Haverty Furniture Companies, Inc. | 16,335 | 377,502 | |
Outerwall, Inc. (e) | 48,657 | 2,997,271 | |
Rent-A-Center, Inc. | 56,497 | 1,519,204 | |
Select Comfort Corp. (a) | 120,187 | 2,926,553 | |
Shoe Carnival, Inc. | 21,337 | 552,628 | |
Stage Stores, Inc. | 39,995 | 429,546 | |
Stein Mart, Inc. | 8,159 | 87,628 | |
The Cato Corp. Class A (sub. vtg.) | 32,055 | 1,126,092 | |
| 23,899,230 | ||
Textiles, Apparel & Luxury Goods - 1.6% | |||
Culp, Inc. | 6,180 | 190,035 | |
Deckers Outdoor Corp. (a)(e) | 23,574 | 1,517,930 | |
Iconix Brand Group, Inc. (a)(e) | 27,950 | 388,226 | |
Movado Group, Inc. | 93,862 | 2,657,233 | |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 18,857 | 2,653,934 | |
Unifi, Inc. (a) | 36,237 | 1,051,960 | |
| 8,459,318 | ||
TOTAL CONSUMER DISCRETIONARY | 77,063,057 | ||
CONSUMER STAPLES - 4.2% | |||
Beverages - 0.0% | |||
National Beverage Corp. (a) | 7,302 | 192,919 | |
Food & Staples Retailing - 1.0% | |||
Casey's General Stores, Inc. | 22,967 | 2,431,287 | |
Ingles Markets, Inc. Class A (e) | 51,017 | 2,535,545 | |
SpartanNash Co. | 12,799 | 362,212 | |
Weis Markets, Inc. | 3,608 | 146,665 | |
| 5,475,709 | ||
Food Products - 1.9% | |||
Cal-Maine Foods, Inc. (e) | 62,436 | 3,316,600 | |
John B. Sanfilippo & Son, Inc. | 11,301 | 584,149 | |
Omega Protein Corp. (a) | 175,264 | 2,991,756 | |
Sanderson Farms, Inc. (e) | 45,862 | 3,166,312 | |
Seaboard Corp. (a) | 63 | 209,175 | |
Seneca Foods Corp. Class A (a) | 7,234 | 213,258 | |
| 10,481,250 | ||
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Household Products - 0.2% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 6,041 | $ 76,419 | |
WD-40 Co. | 8,718 | 730,045 | |
| 806,464 | ||
Personal Products - 0.6% | |||
Nutraceutical International Corp. (a) | 1,913 | 46,371 | |
USANA Health Sciences, Inc. (a) | 20,145 | 2,951,041 | |
| 2,997,412 | ||
Tobacco - 0.5% | |||
Universal Corp. (e) | 60,157 | 2,960,326 | |
TOTAL CONSUMER STAPLES | 22,914,080 | ||
ENERGY - 4.8% | |||
Energy Equipment & Services - 1.5% | |||
Atwood Oceanics, Inc. (e) | 92,393 | 1,765,630 | |
Dril-Quip, Inc. (a) | 45,572 | 3,141,734 | |
Forum Energy Technologies, Inc. (a) | 5,781 | 90,877 | |
Gulf Island Fabrication, Inc. | 3,513 | 44,369 | |
Matrix Service Co. (a) | 142,073 | 2,841,460 | |
| 7,884,070 | ||
Oil, Gas & Consumable Fuels - 3.3% | |||
Adams Resources & Energy, Inc. | 601 | 27,412 | |
Alon U.S.A. Energy, Inc. | 134,021 | 2,484,749 | |
Delek U.S. Holdings, Inc. | 35,163 | 1,081,614 | |
DHT Holdings, Inc. | 154,637 | 1,105,655 | |
Green Plains, Inc. | 46,243 | 983,126 | |
Nordic American Tanker Shipping Ltd. (e) | 115,118 | 1,569,058 | |
Pacific Ethanol, Inc. (a)(e) | 206,311 | 1,460,682 | |
Rex American Resources Corp. (a)(e) | 57,108 | 3,062,131 | |
Ship Finance International Ltd. (NY Shares) (e) | 9,781 | 164,321 | |
Teekay Tankers Ltd. (e) | 417,639 | 2,455,717 | |
Western Refining, Inc. | 79,773 | 3,431,834 | |
| 17,826,299 | ||
TOTAL ENERGY | 25,710,369 | ||
FINANCIALS - 22.2% | |||
Banks - 5.8% | |||
Arrow Financial Corp. | 879 | 24,199 | |
Banc of California, Inc. | 5,060 | 62,693 | |
BancFirst Corp. | 5,393 | 326,115 | |
Banner Corp. | 13,133 | 583,237 | |
BB&T Corp. | 40,441 | 1,493,082 | |
BNC Bancorp | 2,120 | 43,799 | |
Cardinal Financial Corp. | 10,329 | 230,440 | |
Central Pacific Financial Corp. | 1,270 | 26,340 | |
Chemical Financial Corp. | 20,993 | 670,516 | |
| |||
Shares | Value | ||
Community Trust Bancorp, Inc. | 2,212 | $ 77,641 | |
Fidelity Southern Corp. | 16,649 | 321,242 | |
Financial Institutions, Inc. | 1,157 | 28,659 | |
First Bancorp, North Carolina | 13,179 | 224,307 | |
First Bancorp, Puerto Rico (a) | 187,261 | 750,917 | |
First Busey Corp. | 3,954 | 25,306 | |
First Interstate Bancsystem, Inc. | 43,245 | 1,153,777 | |
First Merchants Corp. | 47,927 | 1,247,061 | |
First Midwest Bancorp, Inc., Delaware | 15,356 | 270,880 | |
FNB Corp., Pennsylvania | 9,065 | 113,856 | |
Fulton Financial Corp. | 261,207 | 3,176,277 | |
Great Southern Bancorp, Inc. | 5,778 | 232,680 | |
Great Western Bancorp, Inc. | 58,664 | 1,476,573 | |
Guaranty Bancorp | 18,391 | 294,992 | |
Hancock Holding Co. | 28,488 | 799,943 | |
Heritage Commerce Corp. | 2,647 | 28,005 | |
Hilltop Holdings, Inc. (a) | 84,905 | 1,753,288 | |
IBERIABANK Corp. | 2,059 | 125,393 | |
International Bancshares Corp. | 10,981 | 281,663 | |
MainSource Financial Group, Inc. | 4,462 | 92,408 | |
Merchants Bancshares, Inc. | 18,218 | 524,861 | |
Preferred Bank, Los Angeles | 1,127 | 34,543 | |
PrivateBancorp, Inc. | 85,880 | 3,250,558 | |
Renasant Corp. | 17,629 | 552,493 | |
S&T Bancorp, Inc. | 1,506 | 45,060 | |
ServisFirst Bancshares, Inc. | 7,929 | 297,258 | |
Talmer Bancorp, Inc. Class A | 29,184 | 474,240 | |
Umpqua Holdings Corp. | 137,705 | 2,301,051 | |
United Community Bank, Inc. | 62,322 | 1,219,642 | |
Univest Corp. of Pennsylvania | 2,813 | 54,432 | |
Washington Trust Bancorp, Inc. | 11,363 | 438,725 | |
WesBanco, Inc. | 10,678 | 328,776 | |
Wilshire Bancorp, Inc. | 183,410 | 1,958,819 | |
Wintrust Financial Corp. | 68,809 | 3,509,259 | |
| 30,925,006 | ||
Capital Markets - 2.0% | |||
Diamond Hill Investment Group, Inc. | 902 | 175,637 | |
Financial Engines, Inc. (e) | 93,897 | 3,047,897 | |
HFF, Inc. | 45,306 | 1,645,967 | |
INTL FCStone, Inc. (a)(e) | 47,710 | 1,262,407 | |
Investment Technology Group, Inc. | 108,634 | 1,783,770 | |
Manning & Napier, Inc. Class A | 14,105 | 134,985 | |
Oppenheimer Holdings, Inc. Class A (non-vtg.) | 9,342 | 186,373 | |
Piper Jaffray Companies (a) | 59,493 | 2,490,377 | |
Vector Capital Corp. rights (a) | 8,300 | 0 | |
| 10,727,413 | ||
Consumer Finance - 1.5% | |||
Credit Acceptance Corp. (a)(e) | 8,882 | 1,810,240 | |
Enova International, Inc. (a) | 98,097 | 1,275,261 | |
Nelnet, Inc. Class A | 75,054 | 2,825,783 | |
Regional Management Corp. (a) | 19,985 | 329,753 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Consumer Finance - continued | |||
Springleaf Holdings, Inc. (a) | 7,222 | $ 323,257 | |
World Acceptance Corp. (a)(e) | 45,792 | 1,720,863 | |
| 8,285,157 | ||
Diversified Financial Services - 0.1% | |||
Gain Capital Holdings, Inc. | 30,068 | 248,362 | |
Marlin Business Services Corp. | 27,147 | 372,457 | |
| 620,819 | ||
Insurance - 3.6% | |||
Amerisafe, Inc. | 31,657 | 1,479,648 | |
EMC Insurance Group | 2,665 | 60,975 | |
Employers Holdings, Inc. | 13,084 | 288,502 | |
Enstar Group Ltd. (a) | 195 | 28,491 | |
Federated National Holding Co. | 84,513 | 1,851,680 | |
HCI Group, Inc. | 36,662 | 1,457,315 | |
Heritage Insurance Holdings, Inc. (a) | 144,957 | 2,546,894 | |
Horace Mann Educators Corp. | 78,003 | 2,591,260 | |
James River Group Holdings Ltd. | 9,066 | 250,222 | |
National General Holdings Corp. | 16,139 | 295,828 | |
Navigators Group, Inc. (a) | 10,465 | 795,863 | |
Safety Insurance Group, Inc. | 9,573 | 503,348 | |
Selective Insurance Group, Inc. | 109,310 | 3,314,279 | |
Symetra Financial Corp. | 5,260 | 165,532 | |
United Insurance Holdings Corp. (e) | 87,831 | 1,154,099 | |
Universal Insurance Holdings, Inc. (e) | 110,499 | 2,721,590 | |
| 19,505,526 | ||
Real Estate Investment Trusts - 7.2% | |||
AG Mortgage Investment Trust, Inc. | 6,730 | 111,247 | |
American Capital Mortgage Investment Corp. | 106,938 | 1,632,943 | |
Anworth Mortgage Asset Corp. | 15,840 | 79,675 | |
Apollo Commercial Real Estate Finance, Inc. | 74,248 | 1,215,440 | |
Apollo Residential Mortgage, Inc. | 67,915 | 948,093 | |
Ashford Hospitality Prime, Inc. | 5,030 | 69,565 | |
Ashford Hospitality Trust, Inc. | 292,228 | 2,261,845 | |
Capstead Mortgage Corp. | 271,827 | 2,832,437 | |
Coresite Realty Corp. | 29,790 | 1,450,475 | |
Dynex Capital, Inc. | 4,921 | 32,971 | |
Extra Space Storage, Inc. | 37,021 | 2,720,303 | |
FelCor Lodging Trust, Inc. | 82,447 | 665,347 | |
MFA Financial, Inc. | 365,652 | 2,599,786 | |
New Residential Investment Corp. | 227,057 | 3,215,127 | |
Pebblebrook Hotel Trust (e) | 10,971 | 417,556 | |
Resource Capital Corp. | 12,621 | 40,892 | |
RLJ Lodging Trust | 20,664 | 569,087 | |
Ryman Hospitality Properties, Inc. | 63,280 | 3,241,834 | |
Sovran Self Storage, Inc. | 39,347 | 3,530,606 | |
Strategic Hotel & Resorts, Inc. (a) | 269,960 | 3,641,760 | |
Sunstone Hotel Investors, Inc. | 231,482 | 3,201,396 | |
| |||
Shares | Value | ||
The GEO Group, Inc. | 97,159 | $ 2,917,685 | |
Xenia Hotels & Resorts, Inc. (e) | 69,368 | 1,283,308 | |
| 38,679,378 | ||
Real Estate Management & Development - 0.5% | |||
Marcus & Millichap, Inc. (a) | 60,906 | 2,586,069 | |
Thrifts & Mortgage Finance - 1.5% | |||
Brookline Bancorp, Inc., Delaware | 4,950 | 52,223 | |
Dime Community Bancshares, Inc. | 17,601 | 299,745 | |
Essent Group Ltd. (a) | 46,211 | 1,237,993 | |
EverBank Financial Corp. | 5,776 | 114,249 | |
Farmer Mac Class C (non-vtg.) | 6,619 | 156,672 | |
First Defiance Financial Corp. | 6,669 | 251,355 | |
Hingham Institution for Savings | 689 | 80,599 | |
Lendingtree, Inc. (a)(e) | 11,365 | 1,204,122 | |
Northwest Bancshares, Inc. (e) | 150,369 | 1,930,738 | |
Provident Financial Services, Inc. | 4,101 | 77,673 | |
Walker & Dunlop, Inc. (a) | 11,905 | 289,649 | |
Waterstone Financial, Inc. | 22,258 | 286,683 | |
WSFS Financial Corp. | 79,383 | 2,185,414 | |
| 8,167,115 | ||
TOTAL FINANCIALS | 119,496,483 | ||
HEALTH CARE - 17.5% | |||
Biotechnology - 5.0% | |||
ACADIA Pharmaceuticals, Inc. (a)(e) | 16,786 | 614,871 | |
Achillion Pharmaceuticals, Inc. (a) | 3,539 | 26,153 | |
Acorda Therapeutics, Inc. (a)(e) | 10,091 | 322,609 | |
Adamas Pharmaceuticals, Inc. (a) | 11,285 | 226,377 | |
Alder Biopharmaceuticals, Inc. (a)(e) | 12,992 | 503,440 | |
Alexion Pharmaceuticals, Inc. (a) | 2,737 | 471,284 | |
AMAG Pharmaceuticals, Inc. (a)(e) | 13,356 | 835,284 | |
Amicus Therapeutics, Inc. (a) | 16,707 | 240,247 | |
Anacor Pharmaceuticals, Inc. (a) | 15,800 | 2,060,478 | |
Anthera Pharmaceuticals, Inc. (a) | 20,018 | 136,723 | |
ARIAD Pharmaceuticals, Inc. (a) | 13,858 | 130,820 | |
Array BioPharma, Inc. (a)(e) | 5,969 | 35,217 | |
Atara Biotherapeutics, Inc. | 9,799 | 397,153 | |
Biospecifics Technologies Corp. (a) | 6,548 | 325,174 | |
bluebird bio, Inc. (a) | 3,294 | 438,333 | |
Celldex Therapeutics, Inc. (a)(e) | 9,934 | 147,421 | |
Cepheid, Inc. (a) | 26,115 | 1,272,845 | |
Chimerix, Inc. (a) | 8,033 | 393,135 | |
Clovis Oncology, Inc. (a) | 5,042 | 392,570 | |
Cytokinetics, Inc. (a) | 36,666 | 253,729 | |
Dyax Corp. (a) | 31,626 | 728,031 | |
Dynavax Technologies Corp. (a) | 955 | 27,084 | |
Eagle Pharmaceuticals, Inc. (a)(e) | 6,508 | 511,203 | |
Emergent BioSolutions, Inc. (a)(e) | 17,920 | 596,557 | |
Enanta Pharmaceuticals, Inc. (a)(e) | 11,379 | 444,236 | |
Esperion Therapeutics, Inc. (a)(e) | 5,581 | 267,609 | |
Exact Sciences Corp. (a) | 16,991 | 375,671 | |
Exelixis, Inc. (a)(e) | 14,494 | 86,239 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Biotechnology - continued | |||
FibroGen, Inc. | 2,363 | $ 57,894 | |
Halozyme Therapeutics, Inc. (a)(e) | 19,752 | 344,870 | |
Heron Therapeutics, Inc. (a) | 15,620 | 600,745 | |
ImmunoGen, Inc. (a) | 4,691 | 63,141 | |
Infinity Pharmaceuticals, Inc. (a) | 41,396 | 365,113 | |
Insmed, Inc. (a) | 7,796 | 190,534 | |
Insys Therapeutics, Inc. (a)(e) | 1,971 | 63,900 | |
Ironwood Pharmaceuticals, Inc. | 13,389 | 147,279 | |
Isis Pharmaceuticals, Inc. (a) | 9,265 | 464,918 | |
Kite Pharma, Inc. (a)(e) | 5,079 | 270,050 | |
KYTHERA Biopharmaceuticals, Inc. (a) | 421 | 31,457 | |
Ligand Pharmaceuticals, Inc. | 8,586 | 789,397 | |
Macrogenics, Inc. (a) | 16,574 | 436,725 | |
MannKind Corp. (a)(e) | 4,449 | 16,862 | |
Merrimack Pharmaceuticals, Inc. (a)(e) | 6,999 | 70,620 | |
MiMedx Group, Inc. (a)(e) | 58,997 | 572,861 | |
Momenta Pharmaceuticals, Inc. (a) | 5,211 | 101,667 | |
Myriad Genetics, Inc. (a)(e) | 16,917 | 635,403 | |
Neurocrine Biosciences, Inc. (a) | 19,804 | 918,510 | |
NewLink Genetics Corp. (a)(e) | 12,567 | 564,384 | |
Novavax, Inc. (a)(e) | 59,634 | 642,258 | |
Ophthotech Corp. (a)(e) | 11,959 | 526,555 | |
Opko Health, Inc. (a)(e) | 21,200 | 229,384 | |
PDL BioPharma, Inc. (e) | 96,480 | 545,112 | |
Pfenex, Inc. (a) | 17,783 | 388,559 | |
Portola Pharmaceuticals, Inc. (a)(e) | 7,939 | 374,403 | |
Progenics Pharmaceuticals, Inc. (a)(e) | 53,854 | 394,750 | |
Prothena Corp. PLC (a)(e) | 5,530 | 318,141 | |
PTC Therapeutics, Inc. (a) | 2,839 | 108,421 | |
Radius Health, Inc. (a) | 12,551 | 763,854 | |
Raptor Pharmaceutical Corp. (a) | 6,029 | 73,132 | |
Repligen Corp. (a)(e) | 21,961 | 748,431 | |
Retrophin, Inc. (a) | 18,229 | 499,839 | |
Rigel Pharmaceuticals, Inc. (a) | 10,430 | 31,290 | |
Sarepta Therapeutics, Inc. (a)(e) | 4,742 | 169,289 | |
Sorrento Therapeutics, Inc. (a) | 24,088 | 305,436 | |
TESARO, Inc. (a) | 1,629 | 83,861 | |
Tobira Therapeutics, Inc. (a)(e) | 5,749 | 69,275 | |
Ultragenyx Pharmaceutical, Inc. (a) | 13,703 | 1,529,529 | |
ZIOPHARM Oncology, Inc. (a)(e) | 3,159 | 27,515 | |
| 26,795,857 | ||
Health Care Equipment & Supplies - 4.7% | |||
Abiomed, Inc. (a) | 9,735 | 933,587 | |
Atrion Corp. | 514 | 198,918 | |
Cantel Medical Corp. | 48,415 | 2,402,836 | |
Cryolife, Inc. | 9,591 | 93,800 | |
Cyberonics, Inc. (a)(e) | 52,301 | 3,417,347 | |
Exactech, Inc. (a) | 11,538 | 226,260 | |
Globus Medical, Inc. (a) | 30,816 | 752,527 | |
| |||
Shares | Value | ||
Greatbatch, Inc. (a) | 49,268 | $ 2,799,408 | |
ICU Medical, Inc. (a) | 7,556 | 857,757 | |
Inogen, Inc. (a)(e) | 22,959 | 1,131,649 | |
LeMaitre Vascular, Inc. | 236 | 3,120 | |
Masimo Corp. (a) | 81,356 | 3,305,494 | |
Meridian Bioscience, Inc. | 46,911 | 897,407 | |
Merit Medical Systems, Inc. (a)(e) | 84,792 | 1,929,018 | |
Natus Medical, Inc. (a) | 72,370 | 2,944,012 | |
NuVasive, Inc. (a) | 18,607 | 980,961 | |
SurModics, Inc. (a) | 32,941 | 749,408 | |
Symmetry Surgical, Inc. (a) | 9,315 | 83,556 | |
Thoratec Corp. (a) | 7,386 | 463,989 | |
Vascular Solutions, Inc. (a) | 27,920 | 964,915 | |
West Pharmaceutical Services, Inc. | 2,560 | 142,976 | |
| 25,278,945 | ||
Health Care Providers & Services - 5.4% | |||
Air Methods Corp. (a)(e) | 22,858 | 856,032 | |
Alliance Healthcare Services, Inc. (a) | 67,274 | 963,364 | |
Amedisys, Inc. (a) | 5,856 | 226,276 | |
Centene Corp. (a) | 39,761 | 2,454,049 | |
Chemed Corp. (e) | 24,476 | 3,337,303 | |
Corvel Corp. (a) | 21,103 | 633,723 | |
Hanger, Inc. (a)(e) | 2,224 | 39,876 | |
HealthSouth Corp. | 75,362 | 3,217,957 | |
LHC Group, Inc. (a) | 2,616 | 113,273 | |
Magellan Health Services, Inc. (a) | 52,217 | 2,924,152 | |
Molina Healthcare, Inc. (a)(e) | 48,739 | 3,635,442 | |
National Healthcare Corp. | 10,446 | 630,521 | |
Owens & Minor, Inc. | 14,416 | 490,000 | |
PharMerica Corp. (a) | 4,422 | 144,688 | |
Providence Service Corp. (a) | 31,062 | 1,392,509 | |
RadNet, Inc. (a) | 19,801 | 121,578 | |
Select Medical Holdings Corp. | 203,074 | 2,619,655 | |
Surgical Care Affiliates, Inc. (a) | 36,561 | 1,336,305 | |
Team Health Holdings, Inc. (a) | 54,059 | 3,175,426 | |
Triple-S Management Corp. (a)(e) | 48,295 | 1,016,127 | |
| 29,328,256 | ||
Health Care Technology - 0.7% | |||
Omnicell, Inc. (a) | 71,514 | 2,430,046 | |
Quality Systems, Inc. | 117,688 | 1,599,380 | |
| 4,029,426 | ||
Life Sciences Tools & Services - 0.7% | |||
Affymetrix, Inc. (a) | 45,682 | 426,213 | |
Cambrex Corp. (a) | 19,641 | 939,036 | |
INC Research Holdings, Inc. Class A | 11,311 | 463,864 | |
Luminex Corp. (a)(e) | 27,811 | 506,716 | |
PAREXEL International Corp. (a) | 21,728 | 1,427,964 | |
| 3,763,793 | ||
Pharmaceuticals - 1.0% | |||
Catalent, Inc. (a) | 32,841 | 1,044,015 | |
Cempra, Inc. (a)(e) | 816 | 28,070 | |
Impax Laboratories, Inc. (a) | 15,233 | 623,944 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Lannett Co., Inc. (a)(e) | 13,054 | $ 625,939 | |
Nektar Therapeutics (a)(e) | 13,743 | 151,860 | |
Pacira Pharmaceuticals, Inc. (a)(e) | 6,527 | 375,629 | |
Prestige Brands Holdings, Inc. (a) | 12,957 | 602,760 | |
Sucampo Pharmaceuticals, Inc. | 22,941 | 616,195 | |
Supernus Pharmaceuticals, Inc. (a)(e) | 29,498 | 535,389 | |
Tetraphase Pharmaceuticals, Inc. (a) | 1,989 | 86,342 | |
The Medicines Company (a) | 11,136 | 456,576 | |
Theravance, Inc. (e) | 4,477 | 62,275 | |
ZS Pharma, Inc. (a) | 356 | 18,213 | |
| 5,227,207 | ||
TOTAL HEALTH CARE | 94,423,484 | ||
INDUSTRIALS - 10.5% | |||
Aerospace & Defense - 2.0% | |||
Astronics Corp. (a) | 50,981 | 2,633,678 | |
Curtiss-Wright Corp. | 46,468 | 3,053,412 | |
Ducommun, Inc. (a) | 2,414 | 57,019 | |
Moog, Inc. Class A (a) | 49,781 | 3,141,181 | |
Teledyne Technologies, Inc. (a) | 19,998 | 1,958,004 | |
| 10,843,294 | ||
Air Freight & Logistics - 0.5% | |||
Atlas Air Worldwide Holdings, Inc. (a)(e) | 70,045 | 2,893,559 | |
Airlines - 0.7% | |||
JetBlue Airways Corp. (a) | 123,910 | 2,765,671 | |
SkyWest, Inc. | 46,929 | 746,171 | |
| 3,511,842 | ||
Building Products - 0.3% | |||
American Woodmark Corp. (a) | 13,343 | 884,374 | |
Universal Forest Products, Inc. | 10,464 | 628,468 | |
| 1,512,842 | ||
Commercial Services & Supplies - 2.4% | |||
ABM Industries, Inc. | 14,018 | 448,716 | |
ACCO Brands Corp. (a)(e) | 167,312 | 1,271,571 | |
ARC Document Solutions, Inc. (a) | 45,735 | 303,680 | |
Deluxe Corp. | 58,627 | 3,400,952 | |
Ennis, Inc. | 7,465 | 121,903 | |
G&K Services, Inc. Class A | 14,417 | 974,733 | |
HNI Corp. | 32,073 | 1,499,092 | |
Kimball International, Inc. Class B | 151,630 | 1,657,316 | |
Knoll, Inc. | 4,177 | 99,914 | |
Steelcase, Inc. Class A | 14,955 | 263,657 | |
Tetra Tech, Inc. | 2,434 | 63,235 | |
TRC Companies, Inc. (a) | 3,419 | 30,497 | |
UniFirst Corp. | 23,469 | 2,544,274 | |
West Corp. | 13,315 | 324,087 | |
| 13,003,627 | ||
| |||
Shares | Value | ||
Construction & Engineering - 0.6% | |||
Argan, Inc. (e) | 78,951 | $ 3,090,932 | |
Electrical Equipment - 0.0% | |||
Allied Motion Technologies, Inc. | 3,675 | 69,899 | |
LSI Industries, Inc. | 3,822 | 36,271 | |
| 106,170 | ||
Machinery - 1.4% | |||
Alamo Group, Inc. | 19,510 | 1,004,570 | |
Federal Signal Corp. | 39,541 | 559,505 | |
Global Brass & Copper Holdings, Inc. | 7,046 | 138,383 | |
Hurco Companies, Inc. | 15,053 | 464,235 | |
Hyster-Yale Materials Handling Class A | 26,000 | 1,579,760 | |
Kadant, Inc. | 24,355 | 1,083,554 | |
Wabash National Corp. (a)(e) | 200,758 | 2,455,270 | |
| 7,285,277 | ||
Marine - 0.2% | |||
Matson, Inc. | 35,416 | 1,334,475 | |
Professional Services - 1.8% | |||
CRA International, Inc. (a) | 3,688 | 83,791 | |
Insperity, Inc. | 63,395 | 2,814,104 | |
Korn/Ferry International | 90,334 | 3,077,679 | |
Resources Connection, Inc. | 95,556 | 1,499,274 | |
RPX Corp. (a) | 154,889 | 2,132,822 | |
| 9,607,670 | ||
Road & Rail - 0.6% | |||
AMERCO | 2,437 | 912,803 | |
ArcBest Corp. | 79,102 | 2,284,466 | |
P.A.M. Transportation Services, Inc. (a) | 1,513 | 58,447 | |
| 3,255,716 | ||
TOTAL INDUSTRIALS | 56,445,404 | ||
INFORMATION TECHNOLOGY - 17.8% | |||
Communications Equipment - 1.5% | |||
Black Box Corp. | 22,131 | 340,817 | |
Communications Systems, Inc. | 7,450 | 66,156 | |
Comtech Telecommunications Corp. | 9,655 | 257,595 | |
InterDigital, Inc. | 62,340 | 3,083,960 | |
NETGEAR, Inc. (a) | 9,862 | 299,608 | |
Plantronics, Inc. | 12,385 | 658,387 | |
Polycom, Inc. (a) | 290,159 | 3,122,111 | |
| 7,828,634 | ||
Electronic Equipment & Components - 4.2% | |||
Benchmark Electronics, Inc. (a) | 150,420 | 3,214,475 | |
Coherent, Inc. (a) | 18,245 | 1,063,684 | |
Daktronics, Inc. | 82,298 | 715,170 | |
DTS, Inc. (a) | 1,094 | 29,024 | |
Insight Enterprises, Inc. (a) | 737 | 18,653 | |
KEMET Corp. (a) | 9,724 | 20,031 | |
Kimball Electronics, Inc. (a) | 114,365 | 1,343,789 | |
Mercury Systems, Inc. (a) | 6,622 | 104,892 | |
Methode Electronics, Inc. Class A | 115,666 | 3,073,246 | |
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Components - continued | |||
Multi-Fineline Electronix, Inc. (a) | 11,298 | $ 180,429 | |
Newport Corp. (a) | 46,694 | 714,418 | |
PC Connection, Inc. | 1,849 | 38,958 | |
Plexus Corp. (a) | 19,011 | 723,749 | |
Rofin-Sinar Technologies, Inc. (a)(e) | 21,349 | 543,759 | |
Sanmina Corp. (a) | 162,849 | 3,133,215 | |
ScanSource, Inc. (a) | 27,689 | 1,057,720 | |
SYNNEX Corp. | 40,731 | 3,225,488 | |
Tech Data Corp. (a) | 52,704 | 3,438,409 | |
| 22,639,109 | ||
Internet Software & Services - 1.2% | |||
Constant Contact, Inc. (a) | 119,836 | 2,967,139 | |
DealerTrack Holdings, Inc. (a) | 7,040 | 441,830 | |
DHI Group, Inc. (a) | 237 | 1,849 | |
Global Sources Ltd. (a)(e) | 57,052 | 468,397 | |
LogMeIn, Inc. (a)(e) | 16,366 | 1,020,256 | |
United Online, Inc. (a) | 142,901 | 1,556,192 | |
| 6,455,663 | ||
IT Services - 4.1% | |||
Blackhawk Network Holdings, Inc. (a) | 40,635 | 1,605,489 | |
CACI International, Inc. Class A (a) | 1,925 | 150,959 | |
Cardtronics, Inc. (a)(e) | 43,630 | 1,505,235 | |
Computer Task Group, Inc. | 16,722 | 112,205 | |
Convergys Corp. | 31,472 | 711,267 | |
CSG Systems International, Inc. | 101,243 | 3,129,421 | |
ExlService Holdings, Inc. (a) | 15,242 | 551,456 | |
Higher One Holdings, Inc. (a) | 59,834 | 118,471 | |
Jack Henry & Associates, Inc. | 34,739 | 2,360,862 | |
Maximus, Inc. | 61,862 | 3,745,744 | |
NCI, Inc. Class A | 13,888 | 198,182 | |
Neustar, Inc. Class A (a)(e) | 109,333 | 3,055,857 | |
Science Applications International Corp. | 63,890 | 3,115,915 | |
Sykes Enterprises, Inc. (a) | 11,498 | 289,175 | |
Syntel, Inc. (a) | 33,323 | 1,481,207 | |
| 22,131,445 | ||
Semiconductors & Semiconductor Equipment - 2.8% | |||
Cabot Microelectronics Corp. (a) | 60,109 | 2,607,528 | |
Fairchild Semiconductor International, Inc. (a) | 109,030 | 1,482,808 | |
Integrated Device Technology, Inc. (a) | 194,222 | 3,688,276 | |
IXYS Corp. | 52,687 | 621,180 | |
Lattice Semiconductor Corp. (a) | 114,054 | 476,746 | |
MKS Instruments, Inc. | 52,905 | 1,782,899 | |
Pericom Semiconductor Corp. | 22,047 | 268,532 | |
Photronics, Inc. (a) | 24,964 | 227,422 | |
PMC-Sierra, Inc. (a) | 64,987 | 408,768 | |
Tessera Technologies, Inc. | 90,609 | 2,966,539 | |
Xcerra Corp. (a) | 78,629 | 492,218 | |
| 15,022,916 | ||
| |||
Shares | Value | ||
Software - 2.9% | |||
Aspen Technology, Inc. (a)(e) | 94,452 | $ 3,576,897 | |
AVG Technologies NV (a)(e) | 94,529 | 2,186,456 | |
ePlus, Inc. (a)(e) | 10,144 | 768,104 | |
Fleetmatics Group PLC (a)(e) | 5,872 | 262,831 | |
Mentor Graphics Corp. | 12,929 | 334,085 | |
MicroStrategy, Inc. Class A (a) | 9,414 | 1,870,562 | |
Monotype Imaging Holdings, Inc. | 46,722 | 989,572 | |
Pegasystems, Inc. | 65,433 | 1,603,763 | |
Progress Software Corp. (a) | 71,152 | 1,927,508 | |
QAD, Inc.: | |||
Class A | 4,913 | 123,660 | |
Class B | 4,123 | 83,738 | |
Qualys, Inc. (a)(e) | 68,797 | 1,999,241 | |
TiVo, Inc. (a) | 17,711 | 161,170 | |
| 15,887,587 | ||
Technology Hardware, Storage & Peripherals - 1.1% | |||
QLogic Corp. (a) | 255,673 | 2,643,659 | |
Super Micro Computer, Inc. (a)(e) | 118,821 | 3,249,754 | |
| 5,893,413 | ||
TOTAL INFORMATION TECHNOLOGY | 95,858,767 | ||
MATERIALS - 1.9% | |||
Chemicals - 0.9% | |||
A. Schulman, Inc. | 12,980 | 445,603 | |
FutureFuel Corp. | 146,652 | 1,478,252 | |
Innospec, Inc. | 10,475 | 514,323 | |
KMG Chemicals, Inc. | 8,179 | 165,216 | |
Minerals Technologies, Inc. | 38,303 | 2,060,318 | |
Stepan Co. | 1,434 | 64,573 | |
Tredegar Corp. | 6,234 | 90,331 | |
| 4,818,616 | ||
Construction Materials - 0.0% | |||
United States Lime & Minerals, Inc. | 2,231 | 109,854 | |
Containers & Packaging - 0.3% | |||
AEP Industries, Inc. (a) | 7,607 | 414,201 | |
Berry Plastics Group, Inc. (a) | 31,481 | 931,838 | |
| 1,346,039 | ||
Metals & Mining - 0.2% | |||
Century Aluminum Co. (a)(e) | 13,662 | 76,507 | |
Commercial Metals Co. | 69,884 | 1,097,179 | |
| 1,173,686 | ||
Paper & Forest Products - 0.5% | |||
Schweitzer-Mauduit International, Inc. | 77,599 | 2,741,573 | |
TOTAL MATERIALS | 10,189,768 | ||
TELECOMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.9% | |||
IDT Corp. Class B | 65,854 | 1,028,639 | |
Inteliquent, Inc. | 161,123 | 2,951,773 | |
Common Stocks - continued | |||
Shares | Value | ||
TELECOMMUNICATION SERVICES - continued | |||
Diversified Telecommunication Services - continued | |||
Premiere Global Services, Inc. (a) | 14,826 | $ 159,824 | |
Vonage Holdings Corp. (a) | 123,640 | 686,202 | |
| 4,826,438 | ||
Wireless Telecommunication Services - 0.1% | |||
Shenandoah Telecommunications Co. | 10,419 | 403,111 | |
TOTAL TELECOMMUNICATION SERVICES | 5,229,549 | ||
UTILITIES - 1.6% | |||
Electric Utilities - 0.3% | |||
Allete, Inc. | 7,123 | 340,337 | |
Cleco Corp. | 7,302 | 391,241 | |
IDACORP, Inc. | 15,911 | 944,636 | |
UIL Holdings Corp. | 1,466 | 66,747 | |
| 1,742,961 | ||
Gas Utilities - 0.3% | |||
New Jersey Resources Corp. | 32,797 | 927,171 | |
ONE Gas, Inc. | 17,680 | 759,710 | |
WGL Holdings, Inc. | 1,436 | 77,831 | |
| 1,764,712 | ||
Independent Power and Renewable Electricity Producers - 0.3% | |||
Black Hills Corp. | 9,036 | 359,452 | |
Ormat Technologies, Inc. | 33,866 | 1,192,083 | |
Talen Energy Corp. (a) | 22,369 | 318,758 | |
| 1,870,293 | ||
Water Utilities - 0.7% | |||
American States Water Co. | 83,377 | 3,147,476 | |
California Water Service Group | 11,011 | 227,157 | |
Consolidated Water Co., Inc. | 4,391 | 46,676 | |
Middlesex Water Co. | 4,952 | 112,708 | |
| 3,534,017 | ||
TOTAL UTILITIES | 8,911,983 | ||
TOTAL COMMON STOCKS (Cost $490,260,912) |
| ||
Money Market Funds - 20.5% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 21,137,453 | $ 21,137,453 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 88,998,702 | 88,998,702 | |
TOTAL MONEY MARKET FUNDS (Cost $110,136,155) |
| ||
TOTAL INVESTMENT (Cost $600,397,067) | 626,379,099 | ||
NET OTHER ASSETS | (87,683,219) | ||
NET ASSETS - 100% | $ 538,695,880 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
190 ICE Russell 2000 Index Contracts (United States) | Sept. 2015 | $ 21,992,500 | $ (1,157,742) |
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 generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 282,472 |
Other Information |
All investments and derivative instruments are categorized as Level 1 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (1,157,742) |
Total Value of Derivatives | $ - | $ (1,157,742) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2015 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $86,147,498) - See accompanying schedule: Unaffiliated issuers (cost $511,398,365) | $ 537,380,397 |
|
Fidelity Central Funds (cost $88,998,702) | 88,998,702 |
|
Total Investments (cost $600,397,067) |
| $ 626,379,099 |
Segregated cash with brokers for derivative instruments | 969,001 | |
Cash |
| 3,150 |
Receivable for investments sold | 71,233 | |
Receivable for fund shares sold | 683,723 | |
Dividends receivable | 337,398 | |
Interest receivable | 651 | |
Distributions receivable from Fidelity Central Funds | 46,705 | |
Other receivables | 4 | |
Total assets | 628,490,964 | |
|
|
|
Liabilities | ||
Payable for fund shares redeemed | $ 365,252 | |
Accrued management fee | 238,758 | |
Payable for daily variation margin for derivative instruments | 123,500 | |
Other affiliated payables | 68,872 | |
Collateral on securities loaned, at value | 88,998,702 | |
Total liabilities | 89,795,084 | |
|
|
|
Net Assets | $ 538,695,880 | |
Net Assets consist of: |
| |
Paid in capital | $ 495,437,478 | |
Undistributed net investment income | 1,620,385 | |
Accumulated undistributed net realized gain (loss) on investments | 16,813,727 | |
Net unrealized appreciation (depreciation) on investments | 24,824,290 | |
Net Assets, for 44,307,699 shares outstanding | $ 538,695,880 | |
Net Asset Value, offering price and redemption price per share ($538,695,880 ÷ 44,307,699 shares) | $ 12.16 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 3,165,642 |
Interest |
| 4,384 |
Income from Fidelity Central Funds (including $282,472 from security lending) |
| 282,472 |
Total income |
| 3,452,498 |
|
|
|
Expenses | ||
Management fee | $ 1,396,980 | |
Transfer agent fees | 403,215 | |
Independent trustees' compensation | 1,032 | |
Miscellaneous | 373 | |
Total expenses before reductions | 1,801,600 | |
Expense reductions | (124) | 1,801,476 |
Net investment income (loss) | 1,651,022 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 20,708,770 | |
Futures contracts | 1,066,459 | |
Total net realized gain (loss) |
| 21,775,229 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (52,183,955) | |
Futures contracts | (2,298,743) | |
Total change in net unrealized appreciation (depreciation) |
| (54,482,698) |
Net gain (loss) | (32,707,469) | |
Net increase (decrease) in net assets resulting from operations | $ (31,056,447) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Small Cap Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended August 31, 2015 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 1,651,022 | $ 2,600,051 |
Net realized gain (loss) | 21,775,229 | 18,844,826 |
Change in net unrealized appreciation (depreciation) | (54,482,698) | 17,743,442 |
Net increase (decrease) in net assets resulting from operations | (31,056,447) | 39,188,319 |
Distributions to shareholders from net investment income | (583,648) | (1,928,427) |
Distributions to shareholders from net realized gain | (8,793,629) | (24,849,514) |
Total distributions | (9,377,277) | (26,777,941) |
Share transactions |
|
|
Proceeds from sales of shares | 150,404,551 | 152,765,894 |
Reinvestment of distributions | 9,020,532 | 25,817,637 |
Cost of shares redeemed | (53,268,298) | (133,500,842) |
Net increase (decrease) in net assets resulting from share transactions | 106,156,785 | 45,082,689 |
Redemption fees | 57,582 | 77,956 |
Total increase (decrease) in net assets | 65,780,643 | 57,571,023 |
Net Assets | ||
Beginning of period | 472,915,237 | 415,344,214 |
End of period (including undistributed net investment income of $1,620,385 and undistributed net investment income of $553,011, respectively) | $ 538,695,880 | $ 472,915,237 |
Other Information Shares | ||
Sold | 11,510,942 | 12,334,842 |
Issued in reinvestment of distributions | 680,281 | 2,171,867 |
Redeemed | (4,128,468) | (10,864,622) |
Net increase (decrease) | 8,062,755 | 3,642,087 |
Financial Highlights - Fidelity Small Cap Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 H | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 13.05 | $ 12.74 | $ 10.56 | $ 9.81 | $ 10.72 | $ 8.05 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .04 | .08 | .08 | .20 | .07 | .06 |
Net realized and unrealized gain (loss) | (.69) | 1.04 | 2.91 | 1.30 | .14 | 2.67 |
Total from investment operations | (.65) | 1.12 | 2.99 | 1.50 | .21 | 2.73 |
Distributions from net investment income | (.02) | (.06) | (.07) | (.20) | (.06) | (.06) |
Distributions from net realized gain | (.23) | (.75) | (.75) | (.55) | (1.08) | - |
Total distributions | (.24) K | (.81) | (.82) | (.75) | (1.13) J | (.06) |
Redemption fees added to paid in capitalD | - I | - I | .01 | - I | .01 | - I |
Net asset value, end of period | $ 12.16 | $ 13.05 | $ 12.74 | $ 10.56 | $ 9.81 | $ 10.72 |
Total ReturnB, C | (5.13)% | 9.53% | 29.35% | 16.15% | 2.87% | 34.01% |
Ratios to Average Net AssetsE, G |
|
|
|
|
|
|
Expenses before reductions | .67%A | .67% | .67% | .67% | .67% | .67% |
Expenses net of fee waivers, if any | .67%A | .67% | .67% | .67% | .67% | .67% |
Expenses net of all reductions | .67%A | .67% | .67% | .67% | .67% | .67% |
Net investment income (loss) | .61%A | .63% | .70% | 2.02% | .69% | .63% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 538,696 | $ 472,915 | $ 415,344 | $ 157,567 | $ 121,874 | $ 113,829 |
Portfolio turnover rateF | 88%A | 99% | 107% | 106% | 79% | 90% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GExpense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. HFor the year ended February 29. IAmount represents less than $.005 per share. JTotal distributions of $1.13 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $1.075 per share. KTotal distributions of $.24 per share is comprised of distributions from net investment income of $.015 and distributions from net realized gain of $.226 per share. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Investment Changes (Unaudited)
Geographic Diversification (% of fund's net assets) | |||
As of August 31, 2015 | |||
![]() | Japan | 23.4% |
|
![]() | United Kingdom | 18.3% |
|
![]() | France | 10.1% |
|
![]() | Switzerland | 9.4% |
|
![]() | Germany | 7.6% |
|
![]() | Netherlands | 5.6% |
|
![]() | Australia | 5.1% |
|
![]() | Hong Kong | 3.0% |
|
![]() | Spain | 2.9% |
|
![]() | Other* | 14.6% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
As of February 28, 2015 | |||
![]() | Japan | 22.0% |
|
![]() | United Kingdom | 18.5% |
|
![]() | Switzerland | 8.8% |
|
![]() | Germany | 8.2% |
|
![]() | France | 7.7% |
|
![]() | Australia | 6.9% |
|
![]() | Netherlands | 4.4% |
|
![]() | United States of America* | 4.0% |
|
![]() | Spain | 3.2% |
|
![]() | Other | 16.3% |
|
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable. |
* Includes short-term investments and net other assets |
Asset Allocation as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Stocks and Equity Futures | 99.9 | 99.7 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1 | 0.3 |
Top Ten Stocks as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Novartis AG (Switzerland, Pharmaceuticals) | 2.3 | 2.2 |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 2.0 | 1.9 |
Nestle SA (Switzerland, Food Products) | 1.9 | 2.0 |
Sanofi SA (France, Pharmaceuticals) | 1.4 | 1.3 |
HSBC Holdings PLC (United Kingdom, Banks) | 1.4 | 1.7 |
Novo Nordisk A/S Series B (Denmark, Pharmaceuticals) | 1.3 | 1.2 |
GlaxoSmithKline PLC (United Kingdom, Pharmaceuticals) | 1.2 | 1.0 |
Total SA (France, Oil, Gas & Consumable Fuels) | 1.2 | 0.4 |
Unilever NV (Certificaten Van Aandelen) (Bearer) (Netherlands, Personal Products) | 1.0 | 1.0 |
BASF AG (Germany, Chemicals) | 1.0 | 0.8 |
| 14.7 | |
Market Sectors as of August 31, 2015 | ||
| % of fund's | % of fund's net assets |
Financials | 23.8 | 22.9 |
Consumer Discretionary | 14.4 | 14.1 |
Health Care | 13.5 | 11.3 |
Industrials | 11.7 | 11.0 |
Consumer Staples | 10.7 | 11.3 |
Telecommunication Services | 6.1 | 5.1 |
Materials | 4.9 | 6.5 |
Utilities | 4.7 | 3.3 |
Information Technology | 4.7 | 6.2 |
Energy | 3.7 | 4.3 |
Semiannual Report
Fidelity International Enhanced Index Fund
Investments August 31, 2015 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.4% | |||
Shares | Value | ||
Australia - 5.1% | |||
Amcor Ltd. | 8,941 | $ 87,298 | |
Australia & New Zealand Banking Group Ltd. | 58,449 | 1,161,755 | |
BHP Billiton Ltd. | 6,423 | 117,655 | |
Commonwealth Bank of Australia | 6,952 | 371,450 | |
CSL Ltd. | 15,095 | 986,900 | |
Echo Entertainment Group Ltd. | 29,239 | 102,375 | |
Goodman Group unit | 1,461 | 6,342 | |
Harvey Norman Holdings Ltd. | 55,441 | 171,233 | |
Qantas Airways Ltd. | 285,095 | 681,703 | |
Sonic Healthcare Ltd. | 35,533 | 523,948 | |
Telstra Corp. Ltd. | 214,208 | 879,585 | |
The GPT Group unit | 127,105 | 406,140 | |
Westpac Banking Corp. | 39,432 | 875,602 | |
Woodside Petroleum Ltd. | 36,579 | 839,774 | |
Woolworths Ltd. | 6,948 | 130,536 | |
TOTAL AUSTRALIA | 7,342,296 | ||
Bailiwick of Jersey - 0.6% | |||
Shire PLC | 479 | 37,045 | |
WPP PLC | 39,224 | 807,437 | |
TOTAL BAILIWICK OF JERSEY | 844,482 | ||
Belgium - 1.2% | |||
Ageas | 3,684 | 150,891 | |
Anheuser-Busch InBev SA NV | 11,199 | 1,221,460 | |
Belgacom SA | 4,072 | 146,655 | |
Solvay SA Class A | 1,713 | 201,643 | |
TOTAL BELGIUM | 1,720,649 | ||
Bermuda - 0.5% | |||
Kerry Properties Ltd. | 144,500 | 432,565 | |
Yue Yuen Industrial (Holdings) Ltd. | 68,500 | 245,273 | |
TOTAL BERMUDA | 677,838 | ||
Cayman Islands - 0.5% | |||
CK Hutchison Holdings Ltd. | 52,524 | 700,090 | |
Denmark - 2.6% | |||
A.P. Moller - Maersk A/S Series B | 541 | 921,547 | |
Danske Bank A/S | 1,342 | 41,563 | |
Novo Nordisk A/S Series B | 34,267 | 1,891,894 | |
Vestas Wind Systems A/S | 15,489 | 827,853 | |
TOTAL DENMARK | 3,682,857 | ||
Finland - 0.6% | |||
Nokia Corp. | 9,543 | 59,872 | |
Orion Oyj (B Shares) | 18,946 | 752,188 | |
Sampo Oyj (A Shares) | 761 | 36,746 | |
TOTAL FINLAND | 848,806 | ||
France - 10.1% | |||
Atos Origin SA | 9,129 | 693,833 | |
AXA SA | 29,981 | 756,130 | |
| |||
Shares | Value | ||
BNP Paribas SA | 8,825 | $ 557,240 | |
Christian Dior SA | 4,413 | 819,069 | |
Credit Agricole SA | 26,849 | 364,104 | |
EDF SA | 30,593 | 662,224 | |
Eurazeo SA | 3,056 | 198,556 | |
GDF Suez | 52,257 | 937,363 | |
L'Oreal SA | 6,635 | 1,136,923 | |
Michelin CGDE Series B | 2,216 | 214,576 | |
Orange SA | 42,126 | 666,233 | |
Peugeot Citroen SA (a) | 44,783 | 773,900 | |
Renault SA | 9,987 | 830,320 | |
Safran SA | 4,741 | 370,386 | |
Sanofi SA | 20,689 | 2,035,005 | |
Societe Generale Series A | 4,013 | 195,686 | |
Total SA | 37,666 | 1,736,643 | |
Unibail-Rodamco | 1,716 | 445,297 | |
Valeo SA | 3,800 | 477,587 | |
VINCI SA | 8,496 | 547,335 | |
Wendel SA | 611 | 78,402 | |
TOTAL FRANCE | 14,496,812 | ||
Germany - 6.8% | |||
Allianz SE | 6,239 | 994,078 | |
BASF AG | 17,806 | 1,435,036 | |
Bayer AG | 4,345 | 589,721 | |
Commerzbank AG (a) | 17,954 | 201,310 | |
Continental AG | 4,198 | 892,458 | |
Daimler AG (Germany) | 12,116 | 974,287 | |
Deutsche Bank AG | 22,873 | 672,042 | |
Deutsche Boerse AG | 3,935 | 352,326 | |
Deutsche Post AG | 3,959 | 109,088 | |
Hannover Reuck SE | 1,724 | 175,312 | |
Merck KGaA | 978 | 93,581 | |
Metro AG | 12,571 | 365,506 | |
Muenchener Rueckversicherungs AG | 3,142 | 577,525 | |
OSRAM Licht AG | 4,481 | 237,137 | |
ProSiebenSat.1 Media AG | 17,215 | 838,490 | |
SAP AG | 804 | 53,924 | |
Siemens AG | 11,879 | 1,177,482 | |
TOTAL GERMANY | 9,739,303 | ||
Hong Kong - 3.0% | |||
AIA Group Ltd. | 17,600 | 97,310 | |
Cheung Kong Property Holdings Ltd. | 24,524 | 171,825 | |
Hang Lung Properties Ltd. | 220,000 | 496,771 | |
Hysan Development Co. Ltd. | 108,005 | 434,804 | |
Link (REIT) | 141,500 | 750,402 | |
PCCW Ltd. | 171,000 | 90,243 | |
Sino Land Ltd. | 288,111 | 428,260 | |
Sun Hung Kai Properties Ltd. | 24,000 | 304,101 | |
Swire Pacific Ltd. (A Shares) | 10,000 | 109,741 | |
Common Stocks - continued | |||
Shares | Value | ||
Hong Kong - continued | |||
Wharf Holdings Ltd. | 121,000 | $ 683,060 | |
Wheelock and Co. Ltd. | 166,000 | 752,885 | |
TOTAL HONG KONG | 4,319,402 | ||
Italy - 2.1% | |||
Assicurazioni Generali SpA | 24,323 | 445,712 | |
Atlantia SpA | 12,557 | 336,207 | |
Enel SpA | 228,850 | 1,031,325 | |
EXOR SpA | 5,335 | 245,274 | |
Intesa Sanpaolo SpA | 201,776 | 734,134 | |
Terna SpA | 10,522 | 49,071 | |
Unipolsai SpA | 93,699 | 214,705 | |
TOTAL ITALY | 3,056,428 | ||
Japan - 23.4% | |||
Asahi Kasei Corp. | 2,000 | 15,908 | |
Astellas Pharma, Inc. | 51,600 | 763,188 | |
Brother Industries Ltd. | 19,500 | 265,230 | |
Canon, Inc. | 34,000 | 1,035,881 | |
Central Japan Railway Co. | 5,900 | 965,981 | |
Citizen Holdings Co. Ltd. | 31,200 | 235,241 | |
Daiichi Sankyo Kabushiki Kaisha | 4,700 | 90,456 | |
Dainippon Sumitomo Pharma Co. Ltd. | 19,800 | 211,448 | |
Fuji Electric Co. Ltd. | 45,000 | 178,405 | |
Fuji Heavy Industries Ltd. | 26,200 | 915,922 | |
Fujifilm Holdings Corp. | 11,100 | 455,015 | |
Fujitsu Ltd. | 165,000 | 816,785 | |
Hitachi High-Technologies Corp. | 26,500 | 593,805 | |
Hoya Corp. | 22,600 | 881,747 | |
Iida Group Holdings Co. Ltd. | 38,200 | 673,152 | |
Itochu Corp. | 77,300 | 927,079 | |
Japan Airlines Co. Ltd. | 14,500 | 514,601 | |
JTEKT Corp. | 10,400 | 146,006 | |
Kao Corp. | 19,700 | 899,760 | |
KDDI Corp. | 47,800 | 1,186,103 | |
Kobe Steel Ltd. | 30,000 | 40,165 | |
Konica Minolta, Inc. | 63,800 | 698,573 | |
Medipal Holdings Corp. | 31,900 | 550,273 | |
Mitsubishi Chemical Holdings Corp. | 135,200 | 766,678 | |
Mitsubishi Electric Corp. | 90,000 | 895,571 | |
Mitsubishi Gas Chemical Co., Inc. | 107,000 | 519,800 | |
Mitsubishi Motors Corp. of Japan | 90,900 | 695,119 | |
Mitsubishi Tanabe Pharma Corp. | 42,700 | 763,110 | |
Mitsubishi UFJ Financial Group, Inc. | 173,300 | 1,143,118 | |
Mizuho Financial Group, Inc. | 613,300 | 1,256,019 | |
Murata Manufacturing Co. Ltd. | 7,300 | 1,051,517 | |
Nexon Co. Ltd. | 27,900 | 387,627 | |
NHK Spring Co. Ltd. | 1,300 | 12,536 | |
Nippon Steel & Sumitomo Metal Corp. | 141,000 | 289,138 | |
Nippon Telegraph & Telephone Corp. | 26,700 | 1,018,396 | |
NKSJ Holdings, Inc. | 6,300 | 208,074 | |
Nomura Holdings, Inc. | 145,900 | 915,262 | |
NTT DOCOMO, Inc. | 43,900 | 920,748 | |
| |||
Shares | Value | ||
ORIX Corp. | 64,300 | $ 861,841 | |
Panasonic Corp. | 66,000 | 722,809 | |
Resona Holdings, Inc. | 162,600 | 819,553 | |
Seiko Epson Corp. | 3,800 | 61,449 | |
Sekisui Chemical Co. Ltd. | 65,000 | 715,837 | |
Shionogi & Co. Ltd. | 10,600 | 415,293 | |
Sumitomo Chemical Co. Ltd. | 163,000 | 809,166 | |
Sumitomo Heavy Industries Ltd. | 135,000 | 583,417 | |
Sumitomo Mitsui Financial Group, Inc. | 31,500 | 1,285,719 | |
Sumitomo Rubber Industries Ltd. | 19,500 | 275,525 | |
TDK Corp. | 4,900 | 304,013 | |
Teijin Ltd. | 238,000 | 756,198 | |
Tokyo Electric Power Co., Inc. (a) | 117,400 | 803,919 | |
Toyota Motor Corp. | 19,000 | 1,123,019 | |
TOTAL JAPAN | 33,441,195 | ||
Luxembourg - 0.1% | |||
RTL Group SA | 1,791 | 156,019 | |
Netherlands - 5.6% | |||
AEGON NV | 11,590 | 71,385 | |
Airbus Group NV | 15,757 | 1,026,010 | |
CNH Industrial NV | 92,422 | 730,128 | |
Fiat Chrysler Automobiles NV (a) | 55,317 | 778,408 | |
Heineken Holding NV | 9,435 | 658,542 | |
Heineken NV (Bearer) | 11,339 | 897,046 | |
ING Groep NV (Certificaten Van Aandelen) | 30,374 | 465,404 | |
Koninklijke Ahold NV | 42,087 | 831,920 | |
Koninklijke Boskalis Westminster NV | 9,507 | 495,328 | |
NN Group NV | 9,296 | 283,998 | |
STMicroelectronics NV | 2,348 | 17,028 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 36,157 | 1,448,976 | |
Wolters Kluwer NV | 9,453 | 299,667 | |
TOTAL NETHERLANDS | 8,003,840 | ||
New Zealand - 0.2% | |||
Spark New Zealand Ltd. | 103,674 | 222,095 | |
Norway - 0.8% | |||
DNB ASA | 2,411 | 34,508 | |
Norsk Hydro ASA | 4,414 | 15,293 | |
Telenor ASA | 44,207 | 882,291 | |
Yara International ASA | 5,769 | 257,545 | |
TOTAL NORWAY | 1,189,637 | ||
Portugal - 0.5% | |||
Energias de Portugal SA | 207,714 | 728,628 | |
Singapore - 1.1% | |||
Wilmar International Ltd. | 372,700 | 752,769 | |
Yangzijiang Shipbuilding Holdings Ltd. | 947,800 | 738,868 | |
TOTAL SINGAPORE | 1,491,637 | ||
Spain - 2.9% | |||
Banco Bilbao Vizcaya Argentaria SA | 64,512 | 596,787 | |
Common Stocks - continued | |||
Shares | Value | ||
Spain - continued | |||
Banco Santander SA (Spain) | 191,413 | $ 1,168,496 | |
Endesa SA | 37,949 | 787,813 | |
Gas Natural SDG SA | 24,076 | 489,006 | |
Inditex SA | 14,385 | 480,067 | |
International Consolidated Airlines Group SA (a) | 65,269 | 544,844 | |
Telefonica SA | 1,398 | 19,701 | |
TOTAL SPAIN | 4,086,714 | ||
Sweden - 2.0% | |||
Boliden AB | 20,233 | 334,349 | |
H&M Hennes & Mauritz AB (B Shares) | 13,185 | 507,403 | |
Industrivarden AB (C Shares) | 8,033 | 146,313 | |
Investor AB (B Shares) | 11,135 | 401,023 | |
Nordea Bank AB | 35,471 | 419,820 | |
Securitas AB (B Shares) | 11,041 | 140,849 | |
Skandinaviska Enskilda Banken AB (A Shares) | 32,533 | 378,706 | |
Skanska AB (B Shares) | 5,486 | 107,569 | |
SKF AB (B Shares) | 1,353 | 25,874 | |
Svenska Handelsbanken AB (A Shares) | 2,945 | 44,005 | |
Swedbank AB (A Shares) | 1,115 | 25,471 | |
TeliaSonera AB | 46,994 | 265,222 | |
TOTAL SWEDEN | 2,796,604 | ||
Switzerland - 9.4% | |||
ABB Ltd. (Reg.) | 47,127 | 910,125 | |
Actelion Ltd. | 122 | 16,660 | |
Adecco SA (Reg.) | 7,882 | 619,291 | |
Coca-Cola HBC AG | 15,798 | 324,116 | |
Credit Suisse Group AG | 24,351 | 655,468 | |
Nestle SA | 36,311 | 2,674,919 | |
Novartis AG | 33,609 | 3,279,760 | |
Roche Holding AG (participation certificate) | 10,613 | 2,889,118 | |
Swiss Re Ltd. | 6,542 | 562,058 | |
Syngenta AG (Switzerland) | 644 | 215,908 | |
UBS Group AG | 52,505 | 1,087,959 | |
Zurich Insurance Group AG | 941 | 258,650 | |
TOTAL SWITZERLAND | 13,494,032 | ||
United Kingdom - 18.3% | |||
3i Group PLC | 36,648 | 276,570 | |
Admiral Group PLC | 2,486 | 59,129 | |
AstraZeneca PLC: | |||
(United Kingdom) | 1,546 | 96,454 | |
sponsored ADR | 20,352 | 636,611 | |
Aviva PLC | 17,064 | 125,635 | |
BAE Systems PLC | 45,789 | 317,730 | |
Barclays PLC | 136,838 | 543,768 | |
| |||
Shares | Value | ||
Barratt Developments PLC | 60,814 | $ 596,776 | |
BG Group PLC | 28,996 | 440,089 | |
BP PLC | 81,033 | 449,147 | |
British American Tobacco PLC (United Kingdom) | 8,100 | 428,915 | |
British Land Co. PLC | 27,829 | 350,170 | |
BT Group PLC | 201,442 | 1,343,857 | |
Carnival PLC | 15,428 | 779,257 | |
Diageo PLC | 1,810 | 47,959 | |
Direct Line Insurance Group PLC | 54,986 | 297,932 | |
GlaxoSmithKline PLC | 1,351 | 27,584 | |
GlaxoSmithKline PLC sponsored ADR (e) | 43,131 | 1,765,352 | |
Hammerson PLC | 15,397 | 148,376 | |
HSBC Holdings PLC: | |||
(United Kingdom) | 37,958 | 300,008 | |
sponsored ADR (e) | 41,725 | 1,655,231 | |
Imperial Tobacco Group PLC | 25,627 | 1,242,265 | |
Investec PLC | 15,979 | 131,058 | |
ITV PLC | 227,548 | 873,629 | |
Kingfisher PLC | 156,697 | 851,576 | |
Land Securities Group PLC | 19,994 | 384,124 | |
Legal & General Group PLC | 12,633 | 48,987 | |
Lloyds Banking Group PLC | 831,113 | 979,616 | |
Marks & Spencer Group PLC | 106,786 | 847,873 | |
Mondi PLC | 19,473 | 441,646 | |
National Grid PLC | 95,462 | 1,257,773 | |
Next PLC | 4,897 | 597,023 | |
Old Mutual PLC | 29,090 | 89,366 | |
Persimmon PLC | 25,788 | 832,193 | |
Prudential PLC | 19,772 | 426,726 | |
Rio Tinto PLC | 21,150 | 772,200 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 54,194 | 1,411,877 | |
Class B (United Kingdom) | 18,778 | 490,276 | |
Royal Mail PLC | 103,060 | 733,795 | |
Segro PLC | 17,882 | 115,138 | |
Standard Chartered PLC (United Kingdom) | 17,924 | 210,408 | |
Unilever PLC | 30,165 | 1,209,765 | |
Vodafone Group PLC | 310,132 | 1,067,921 | |
William Hill PLC | 76,761 | 424,043 | |
TOTAL UNITED KINGDOM | 26,125,828 | ||
TOTAL COMMON STOCKS (Cost $143,604,975) |
| ||
Nonconvertible Preferred Stocks - 0.8% | |||
|
|
|
|
Germany - 0.8% | |||
Henkel AG & Co. KGaA | 6,459 | 676,235 | |
Volkswagen AG | 2,661 | 506,134 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $1,286,355) |
| ||
Money Market Funds - 6.9% | |||
Shares | Value | ||
Dreyfus Cash Management Institutional Shares, 0.10% (c) | 6,482,791 | $ 6,482,791 | |
Fidelity Securities Lending Cash Central Fund, 0.19% (b)(d) | 3,364,050 | 3,364,050 | |
TOTAL MONEY MARKET FUNDS (Cost $9,846,841) |
| ||
TOTAL INVESTMENT PORTFOLIO - 105.1% (Cost $154,738,171) | 150,194,402 | ||
NET OTHER ASSETS (LIABILITIES) - (5.1)% | (7,272,008) | ||
NET ASSETS - 100% | $ 142,922,394 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
28 ICE E-mini MSCI EAFE Index Contracts (United States) | Sept. 2015 | $ 2,425,780 | $ (44,399) |
|
The face value of futures purchased as a percentage of net assets is 1.7% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) The rate quoted is the annualized seven-day yield of the fund at period end. |
(d) Investment made with cash collateral received from securities on loan. |
(e) Security or a portion of the security is on loan at period end. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $ 5,206 |
Other Information |
Categorizations in the Schedule of Investments are based on country or territory of incorporation. |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 20,810,990 | $ 12,390,928 | $ 8,420,062 | $ - |
Consumer Staples | 14,947,612 | 6,650,352 | 8,297,260 | - |
Energy | 5,367,806 | 839,774 | 4,528,032 | - |
Financials | 34,151,925 | 19,053,190 | 15,098,735 | - |
Health Care | 19,297,338 | 5,364,961 | 13,932,377 | - |
Industrials | 16,510,299 | 9,185,622 | 7,324,677 | - |
Information Technology | 6,729,793 | 693,833 | 6,035,960 | - |
Materials | 7,075,626 | 2,772,810 | 4,302,816 | - |
Telecommunication Services | 8,709,050 | 2,486,091 | 6,222,959 | - |
Utilities | 6,747,122 | 4,685,430 | 2,061,692 | - |
Money Market Funds | 9,846,841 | 9,846,841 | - | - |
Total Investments in Securities: | $ 150,194,402 | $ 73,969,832 | $ 76,224,570 | $ - |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $ (44,399) | $ (44,399) | $ - | $ - |
The following is a summary of transfers between Level 1 and Level 2 for the period ended August 31, 2015. Transfers are assumed to have occurred at the beginning of the period, and are primarily attributable to the valuation techniques used for foreign equity securities, as discussed in the accompanying Notes to Financial Statements: |
Transfers | Total |
Level 1 to Level 2 | $ 13,404,242 |
Level 2 to Level 1 | $ 0 |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Equity Risk | ||
Futures Contracts (a) | $ - | $ (44,399) |
Total Value of Derivatives | $ - | $ (44,399) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
| August 31, 2015 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $3,266,442) - See accompanying schedule: Unaffiliated issuers (cost $151,374,121) | $ 146,830,352 |
|
Fidelity Central Funds (cost $3,364,050) | 3,364,050 |
|
Total Investments (cost $154,738,171) |
| $ 150,194,402 |
Segregated cash with brokers for derivative instruments | 112,500 | |
Foreign currency held at value (cost $157,261) | 157,732 | |
Receivable for investments sold | 4,189,717 | |
Receivable for fund shares sold | 262,717 | |
Dividends receivable | 450,397 | |
Interest receivable | 138 | |
Distributions receivable from Fidelity Central Funds | 214 | |
Total assets | 155,367,817 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 8,468,349 | |
Payable for fund shares redeemed | 519,708 | |
Accrued management fee | 57,464 | |
Payable for daily variation margin for derivative instruments | 17,513 | |
Other affiliated payables | 18,339 | |
Collateral on securities loaned, at value | 3,364,050 | |
Total liabilities | 12,445,423 | |
|
|
|
Net Assets | $ 142,922,394 | |
Net Assets consist of: |
| |
Paid in capital | $ 147,771,402 | |
Undistributed net investment income | 2,108,486 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (2,365,189) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (4,592,305) | |
Net Assets, for 17,212,730 shares outstanding | $ 142,922,394 | |
Net Asset Value, offering price and redemption price per share ($142,922,394 ÷ 17,212,730 shares) | $ 8.30 |
Statement of Operations
Six months ended August 31, 2015 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 2,787,757 |
Interest |
| 335 |
Income from Fidelity Central Funds |
| 5,206 |
Income before foreign taxes withheld |
| 2,793,298 |
Less foreign taxes withheld |
| (248,524) |
Total income |
| 2,544,774 |
|
|
|
Expenses | ||
Management fee | $ 315,828 | |
Transfer agent fees | 100,859 | |
Independent trustees' compensation | 249 | |
Miscellaneous | 85 | |
Total expenses before reductions | 417,021 | |
Expense reductions | (1) | 417,020 |
Net investment income (loss) | 2,127,754 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (968,224) | |
Foreign currency transactions | (28,717) | |
Futures contracts | (149,904) | |
Total net realized gain (loss) |
| (1,146,845) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (9,319,037) | |
Assets and liabilities in foreign currencies | 2,836 | |
Futures contracts | (200,650) | |
Total change in net unrealized appreciation (depreciation) |
| (9,516,851) |
Net gain (loss) | (10,663,696) | |
Net increase (decrease) in net assets resulting from operations | $ (8,535,942) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity International Enhanced Index Fund
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 2,127,754 | $ 1,633,296 |
Net realized gain (loss) | (1,146,845) | 19,527 |
Change in net unrealized appreciation (depreciation) | (9,516,851) | (200,062) |
Net increase (decrease) in net assets resulting from operations | (8,535,942) | 1,452,761 |
Distributions to shareholders from net investment income | (231,458) | (1,364,791) |
Distributions to shareholders from net realized gain | (40,845) | (142,751) |
Total distributions | (272,303) | (1,507,542) |
Share transactions |
|
|
Proceeds from sales of shares | 66,932,933 | 84,284,947 |
Reinvestment of distributions | 257,399 | 1,449,038 |
Cost of shares redeemed | (20,823,237) | (25,152,806) |
Net increase (decrease) in net assets resulting from share transactions | 46,367,095 | 60,581,179 |
Redemption fees | 3,052 | 6,191 |
Total increase (decrease) in net assets | 37,561,902 | 60,532,589 |
|
|
|
Net Assets | ||
Beginning of period | 105,360,492 | 44,827,903 |
End of period (including undistributed net investment income of $2,108,486 and undistributed net investment income of $212,190, respectively) | $ 142,922,394 | $ 105,360,492 |
Other Information Shares | ||
Sold | 7,534,198 | 9,723,983 |
Issued in reinvestment of distributions | 28,824 | 175,962 |
Redeemed | (2,370,790) | (2,942,195) |
Net increase (decrease) | 5,192,232 | 6,957,750 |
Financial Highlights - Fidelity International Enhanced Index Fund
| Six months ended August 31, 2015 | Years ended February 28, | ||||
| (Unaudited) | 2015 | 2014 | 2013 | 2012 I | 2011 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 8.77 | $ 8.85 | $ 7.45 | $ 6.95 | $ 7.77 | $ 6.58 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .14 | .20 | .28G | .21 | .20 | .17 |
Net realized and unrealized gain (loss) | (.59) | (.10) | 1.29 | .52 | (.82) | 1.19 |
Total from investment operations | (.45) | .10 | 1.57 | .73 | (.62) | 1.36 |
Distributions from net investment income | (.02) | (.16) | (.15) | (.21) | (.19) | (.17) |
Distributions from net realized gain | - | (.02) | (.01) | (.02) | (.01) | - |
Total distributions | (.02) | (.18) | (.17) K | (.23) | (.20) | (.17) |
Redemption fees added to paid in capital D, J | - | - | - | - | - | - |
Net asset value, end of period | $ 8.30 | $ 8.77 | $ 8.85 | $ 7.45 | $ 6.95 | $ 7.77 |
Total ReturnB, C | (5.15)% | 1.25% | 21.21% | 10.64% | (7.81)% | 20.95% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .62%A | .62% | .62% | .62% | .62% | .62% |
Expenses net of fee waivers, if any | .62%A | .62% | .62% | .62% | .62% | .62% |
Expenses net of all reductions | .62%A | .62% | .62% | .62% | .62% | .62% |
Net investment income (loss) | 3.17%A | 2.31% | 3.40%G | 3.04% | 2.84% | 2.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 142,922 | $ 105,360 | $ 44,828 | $ 30,412 | $ 26,066 | $ 25,475 |
Portfolio turnover rateF | 79%A | 75% | 63% | 56% | 49% | 32% |
AAnnualized BTotal returns for periods of less than one year are not annualized. CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown. DCalculated based on average shares outstanding during the period. EFees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. FAmount does not include the portfolio activity of any underlying Fidelity Central Funds. GInvestment income per share reflects a large, non-recurring dividend which amounted to $.06 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 2.64%. HExpense 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. IFor the year ended February 29. JAmount represents less than $.005 per share. KTotal distributions of $.17 per share is comprised of distributions from net investment income of $.013 and distributions from net realized gain of $.153 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, 2015 (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. Share transactions on the Statement of Changes in Net Assets may contain exchanges between funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Funds:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of each Fund's investments to the Strategic Advisers, Inc. (Strategic Advisers) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing each Fund's investments and ratifies the fair value determinations of the Committee.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015, including information on transfers between Levels 1 and 2 is included at the end of each applicable Fund's Schedule of Investments.
Foreign Currency. The Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
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 and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Funds determine the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, passive foreign investment companies (PFIC), partnerships, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
| Tax cost | Gross unrealized | Gross unrealized | Net unrealized |
Fidelity Large Cap Growth Enhanced Index Fund | $ 367,564,095 | $ 66,552,245 | $ (18,655,152) | $ 47,897,093 |
Fidelity Large Cap Value Enhanced Index Fund | 1,390,398,927 | 64,095,224 | (103,493,924) | (39,398,700) |
Fidelity Large Cap Core Enhanced Index Fund | 361,445,972 | 47,315,000 | (24,293,201) | 23,021,799 |
Fidelity Mid Cap Enhanced Index Fund | 830,488,267 | 53,237,265 | (59,947,034) | (6,709,769) |
Fidelity Small Cap Enhanced Index Fund | 601,426,327 | 67,467,075 | (42,514,303) | 24,952,772 |
Fidelity International Enhanced Index Fund | 155,126,407 | 6,886,583 | (11,818,588) | (4,932,005) |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| Fiscal year of expiration |
| |
| 2018 | 2019 | Total with |
Fidelity Large Cap Core Enhanced Index Fund | $ (11,086,748) | $ - | $ (11,086,748) |
Fidelity Mid Cap Enhanced Index Fund | - | (82,443) | (82,443) |
Fidelity International Enhanced Index Fund | - | (545,047) | (545,047) |
| No expiration | Total capital loss |
Fidelity Large Cap Core Enhanced Index Fund | $ (2,122,603) | $ (13,209,351) |
Due to large redemptions in a prior period, capital losses that will be available to offset future capital gains of Fidelity Large Cap Core Enhanced Index Fund, will be limited to approximately $4,403,117 per year.
Certain of the Funds elected to defer to the next fiscal year capital losses recognized during the period November 1, 2014 to February 28, 2015. Loss deferrals were as follows:
| Capital losses |
Fidelity Small Cap Enhanced Index Fund | $ (2,156,481) |
Fidelity International Enhanced Index Fund | (109,701) |
Short Term Trading (Redemption) Fees. Shares held by investors of Fidelity Small Cap Enhanced Index Fund less than 90 days may be subject to a redemption fee equal to 1.50% of the NAV of shares redeemed. Shares held by investors of Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days may be subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Funds' investment objective allows the Funds to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Funds used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Funds may not achieve their objectives.
The Funds' use of derivatives increased or decreased their exposure to the following risk:
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized | Change in |
Fidelity Large Cap Growth Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | $ 26,502 | $ (224,404) |
Fidelity Large Cap Value Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | (157,791) | (589,324) |
Fidelity Large Cap Core Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | (134,096) | (12,046) |
Fidelity Mid Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | 184,455 | (568,231) |
Fidelity Small Cap Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | 1,066,459 | (2,298,743) |
Fidelity International Enhanced Index Fund |
|
|
Equity Risk |
|
|
Futures Contracts A | (149,904) | (200,650) |
A A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Funds used futures contracts to manage their exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, are noted in the table below.
| Purchases ($) | Sales ($) |
Fidelity Large Cap Growth Enhanced Index Fund | 236,818,263 | 205,072,073 |
Fidelity Large Cap Value Enhanced Index Fund | 853,744,078 | 553,811,792 |
Fidelity Large Cap Core Enhanced Index Fund | 205,650,238 | 163,070,039 |
Fidelity Mid Cap Enhanced Index Fund | 576,043,534 | 347,869,103 |
Fidelity Small Cap Enhanced Index Fund | 324,593,015 | 223,146,062 |
Fidelity International Enhanced Index Fund | 100,401,508 | 50,849,807 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Strategic Advisers, Inc. (the investment adviser), an affiliate of Fidelity Management & Research Company (FMR), provides the Funds with investment management related services. For these services, the Funds pay a monthly management fee to the investment adviser. The management fee is based on an annual rate of 0.30% of average net assets for Fidelity Large Cap Growth Enhanced Index,
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Management Fee and Expense Contract - continued
Fidelity Large Cap Value Enhanced Index and Fidelity Large Cap Core Enhanced Index, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index, 0.52% of average net assets for Fidelity Small Cap Enhanced Index and 0.47% of average net assets for Fidelity International Enhanced Index. Under the management contract, the investment adviser pays all other ordinary fund-wide operating expenses (such as custody, audit, legal and pricing and bookkeeping fees), except the compensation of the independent Trustees and certain other expenses such as interest expense. The management fee is reduced by an amount equal to the fees and expenses paid by the Funds to the independent Trustees.
In addition, under the expense contract, the investment adviser pays other expenses such as those listed above for each of the Funds so that the total expenses do not exceed certain amounts of each Fund's average net assets with certain exceptions, as noted in the following table:
Fidelity Large Cap Growth Enhanced Index Fund | .45% |
Fidelity Large Cap Value Enhanced Index Fund | .45% |
Fidelity Large Cap Core Enhanced Index Fund | .45% |
Fidelity Mid Cap Enhanced Index Fund | .60% |
Fidelity Small Cap Enhanced Index Fund | .67% |
Fidelity International Enhanced Index Fund | .62% |
Effective October 1, 2015, FMR Co., Inc., an affiliate of Strategic Advisers, Inc. (SAI), will replace SAI as investment adviser to the Funds pursuant to a management contract between the Funds and FMR Co., Inc. The new contract will not impact the Funds' investment process, strategies or management fees.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each fund paid transfer agent fees at the annualized rate of 0.15% of average net assets.
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 or other affiliated entities of 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 Lender | Average Loan | Weighted Average Interest Rate | Interest Expense |
Fidelity Large Cap Growth Enhanced Index Fund | Borrower | $ 4,816,333 | .37% | $ 147 |
6. Investments in Fidelity Central Funds.
The Funds invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Funds' Schedules of Investments list each of the Fidelity Central Funds held as of period end, if any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Securities Lending Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:
Fidelity Large Cap Growth Enhanced Index Fund | $ 304 |
Fidelity Large Cap Value Enhanced Index Fund | 846 |
Fidelity Large Cap Core Enhanced Index Fund | 290 |
Fidelity Mid Cap Enhanced Index Fund | 473 |
Fidelity Small Cap Enhanced Index Fund | 373 |
Fidelity International Enhanced Index Fund | 85 |
During the period, the Funds did not borrow on this line of credit.
8. Security Lending.
Certain Funds lend portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Funds may apply collateral received from the borrower against the obligation. The Funds may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds.
9. Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
| Expense |
Fidelity Large Cap Growth Enhanced Index Fund | $ 27 |
Fidelity Large Cap Value Enhanced Index Fund | 77 |
Fidelity Large Cap Core Enhanced Index Fund | 19 |
Fidelity Mid Cap Enhanced Index Fund | 25 |
Fidelity Small Cap Enhanced Index Fund | 124 |
Fidelity International Enhanced Index Fund | 1 |
10. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Semiannual Report
Investment Adviser
FMR Co., Inc.
Boston, MA
Investment Sub-Adviser
Geode Capital Management, LLC
Boston, MA
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
GEI-USAN-1015 1.855141.108
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Commonwealth Trust II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Commonwealth Trust II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Commonwealth Trust II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 27, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 27, 2015 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | October 27, 2015 |