UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21990
Fidelity Commonwealth Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | February 28 |
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Date of reporting period: | February 28, 2017 |
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 Annual Report February 28, 2017 |
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Contents
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 | |
Board Approval of Investment Advisory Contracts and Management Fees | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
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. © 2017 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.institutional.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.
Fidelity® Large Cap Growth Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Large Cap Growth Enhanced Index Fund | 21.33% | 13.59% | 8.21% |
A From April 19, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Large Cap Growth Enhanced Index Fund on April 19, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Growth Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227407890_740.jpg)
Period Ending Values | ||
$21,787 | Fidelity® Large Cap Growth Enhanced Index Fund | |
$22,818 | Russell 1000® Growth Index |
Fidelity® Large Cap Growth Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500® index gained 24.98% for the year ending February 28, 2017, rising sharply in the period’s final four months on renewed optimism for economic growth. The beginning of the period saw improving investor sentiment amid U.S. job gains, a rally in energy, and other stimuli that helped keep the seven-year bull uptrend intact. Markets tumbled briefly following Brexit – the U.K.’s June vote to exit the European Union – recovering quickly to settle into a flattish stretch until the November U.S. presidential election. Stocks then broke out in response to Donald Trump’s surprise victory, surging to a series of new all-time highs on expectations for reflation and fiscal stimulus. For the year, financials (+47%) proved the top-performing sector by far, riding an uptick in bond yields and a rally in banks, especially post-election. Industrials (+27%), energy (+26%) and materials (+28%) also fared well, the latter two driven by a cyclical rebound in commodity prices. Information technology rose 33%, despite cooling off late in 2016. Conversely, real estate and health care each returned 15%, lagging the broad market on prospects of rising interest rates and an uncertain political and regulatory outlook, respectively. An improved backdrop for riskier assets curbed dividend-rich telecom services (+9%), consumer staples (+12%) and utilities (+16%).Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 21.33%, falling short of the 22.15% increase in the benchmark Russell 1000® Growth Index. The fund’s exposure to stocks with attractive profitability and momentum characteristics proved detrimental to relative performance, as both factors lagged the market. In contrast, we generally benefited from our allocation to companies displaying the factors of strong earnings quality; cyclical value; and “information flow alpha,” our proprietary measure of how investors in various market segments are processing information about stocks. On a sector and individual stock basis, security selection – which stems from our quantitative, model-driven investment approach – in consumer discretionary and financials hampered relative performance. In the former category, overweightings in retailers Michael Kors Holdings and Target were the two biggest individual detractors, both hurt by weak sales and earnings. Another meaningful detractor this period was Gilead Sciences, a biotechnology company whose struggles were partly due to a weak sales forecast for the company’s key hepatitis C drugs. In contrast, stock selection in industrials added value, including overweightings in recreational vehicle manufacturer Thor Industries, engine company Cummins and, leading the way in the sector, aircraft manufacturer Boeing, which benefited from strong earnings and optimism about U.S. economic growth. The fund’s top individual contributor this period was semiconductor equipment manufacturer Applied Materials, which produced strong earnings throughout.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® Large Cap Growth Enhanced Index Fund
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Apple, Inc. | 6.4 | 5.1 |
Microsoft Corp. | 3.7 | 3.5 |
Amazon.com, Inc. | 3.4 | 3.2 |
Facebook, Inc. Class A | 3.1 | 3.1 |
Alphabet, Inc. Class A | 2.2 | 2.1 |
The Walt Disney Co. | 2.1 | 1.5 |
UnitedHealth Group, Inc. | 1.7 | 1.2 |
PepsiCo, Inc. | 1.7 | 1.6 |
Amgen, Inc. | 1.6 | 1.7 |
Alphabet, Inc. Class C | 1.6 | 1.6 |
27.5 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Information Technology | 33.6 | 31.4 |
Consumer Discretionary | 21.1 | 19.9 |
Health Care | 17.7 | 18.2 |
Industrials | 9.6 | 8.3 |
Consumer Staples | 8.2 | 10.5 |
Materials | 2.6 | 2.7 |
Telecommunication Services | 1.8 | 1.7 |
Financials | 1.4 | 3.7 |
Energy | 1.3 | 0.7 |
Real Estate | 0.9 | 0.0 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 3.6%
As of August 31, 2016* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 3.2%
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Fidelity® Large Cap Growth Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 98.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 21.1% | |||
Auto Components - 1.8% | |||
BorgWarner, Inc. | 28,399 | $1,198,154 | |
Delphi Automotive PLC | 26,366 | 2,007,244 | |
Gentex Corp. | 201,900 | 4,245,957 | |
Lear Corp. | 32,712 | 4,644,777 | |
Tenneco, Inc. | 45,482 | 2,924,947 | |
15,021,079 | |||
Automobiles - 0.5% | |||
Ford Motor Co. | 324,988 | 4,072,100 | |
Hotels, Restaurants & Leisure - 2.5% | |||
Brinker International, Inc. | 13,265 | 560,314 | |
Darden Restaurants, Inc. | 60,428 | 4,512,763 | |
McDonald's Corp. | 84,193 | 10,747,236 | |
Park Hotels & Resorts, Inc. | 132,988 | 3,396,514 | |
Starbucks Corp. | 29,768 | 1,692,906 | |
20,909,733 | |||
Household Durables - 0.9% | |||
D.R. Horton, Inc. | 141,164 | 4,517,248 | |
Lennar Corp. Class A | 7,861 | 383,538 | |
PulteGroup, Inc. | 51,735 | 1,140,757 | |
Toll Brothers, Inc. (a) | 27,682 | 945,063 | |
6,986,606 | |||
Internet & Direct Marketing Retail - 4.0% | |||
Amazon.com, Inc. (a) | 32,800 | 27,717,312 | |
Liberty Interactive Corp. QVC Group Series A (a) | 178,084 | 3,362,226 | |
Netflix, Inc. (a) | 921 | 130,902 | |
Priceline Group, Inc. (a) | 860 | 1,482,752 | |
32,693,192 | |||
Media - 5.2% | |||
Charter Communications, Inc. Class A (a) | 1,354 | 437,423 | |
Comcast Corp. Class A | 235,264 | 8,803,579 | |
Discovery Communications, Inc.: | |||
Class A (a)(b) | 116,197 | 3,341,826 | |
Class C (non-vtg.) (a) | 67,914 | 1,906,346 | |
Scripps Networks Interactive, Inc. Class A | 56,063 | 4,528,209 | |
The Walt Disney Co. | 153,772 | 16,928,759 | |
Time Warner, Inc. | 26,216 | 2,574,673 | |
Twenty-First Century Fox, Inc. Class A | 134,849 | 4,034,682 | |
42,555,497 | |||
Multiline Retail - 0.8% | |||
Big Lots, Inc. (b) | 29,070 | 1,492,454 | |
Dollar General Corp. | 12,562 | 917,277 | |
Macy's, Inc. | 21,656 | 719,412 | |
Target Corp. | 65,354 | 3,840,855 | |
6,969,998 | |||
Specialty Retail - 4.2% | |||
American Eagle Outfitters, Inc. (b) | 171,337 | 2,715,691 | |
Bed Bath & Beyond, Inc. | 93,165 | 3,763,866 | |
Best Buy Co., Inc. | 87,441 | 3,858,771 | |
Dick's Sporting Goods, Inc. | 50,995 | 2,496,205 | |
Foot Locker, Inc. | 5,520 | 417,698 | |
Gap, Inc. (b) | 164,623 | 4,085,943 | |
Home Depot, Inc. | 70,458 | 10,210,069 | |
Lowe's Companies, Inc. | 9,973 | 741,692 | |
Ross Stores, Inc. | 50,068 | 3,433,663 | |
Urban Outfitters, Inc. (a) | 69,097 | 1,798,595 | |
Williams-Sonoma, Inc. (b) | 26,883 | 1,306,245 | |
34,828,438 | |||
Textiles, Apparel & Luxury Goods - 1.2% | |||
Carter's, Inc. | 18,680 | 1,644,027 | |
Michael Kors Holdings Ltd. (a) | 116,480 | 4,251,520 | |
NIKE, Inc. Class B | 18,506 | 1,057,803 | |
Ralph Lauren Corp. | 40,761 | 3,233,570 | |
10,186,920 | |||
TOTAL CONSUMER DISCRETIONARY | 174,223,563 | ||
CONSUMER STAPLES - 8.2% | |||
Beverages - 2.2% | |||
PepsiCo, Inc. | 123,265 | 13,605,991 | |
The Coca-Cola Co. | 106,935 | 4,486,993 | |
18,092,984 | |||
Food & Staples Retailing - 2.4% | |||
Costco Wholesale Corp. | 5,985 | 1,060,422 | |
CVS Health Corp. | 122,399 | 9,862,911 | |
Wal-Mart Stores, Inc. | 57,047 | 4,046,344 | |
Walgreens Boots Alliance, Inc. | 52,408 | 4,527,003 | |
19,496,680 | |||
Food Products - 1.6% | |||
Campbell Soup Co. | 74,064 | 4,395,698 | |
ConAgra Foods, Inc. | 5,836 | 240,502 | |
General Mills, Inc. | 24,045 | 1,451,597 | |
Ingredion, Inc. | 7,265 | 878,266 | |
Pilgrim's Pride Corp. (b) | 76,261 | 1,554,199 | |
Tyson Foods, Inc. Class A | 73,893 | 4,622,746 | |
13,143,008 | |||
Household Products - 0.8% | |||
Church & Dwight Co., Inc. | 14,163 | 705,884 | |
Procter & Gamble Co. | 42,614 | 3,880,857 | |
Spectrum Brands Holdings, Inc. (b) | 13,723 | 1,862,486 | |
6,449,227 | |||
Tobacco - 1.2% | |||
Altria Group, Inc. | 118,650 | 8,889,258 | |
Reynolds American, Inc. | 20,536 | 1,264,402 | |
10,153,660 | |||
TOTAL CONSUMER STAPLES | 67,335,559 | ||
ENERGY - 1.3% | |||
Energy Equipment & Services - 0.2% | |||
Dril-Quip, Inc. (a)(b) | 21,742 | 1,333,872 | |
Oil, Gas & Consumable Fuels - 1.1% | |||
ONEOK, Inc. (b) | 90,268 | 4,878,985 | |
Tesoro Corp. | 20,737 | 1,766,585 | |
The Williams Companies, Inc. | 83,059 | 2,353,892 | |
8,999,462 | |||
TOTAL ENERGY | 10,333,334 | ||
FINANCIALS - 1.4% | |||
Capital Markets - 0.5% | |||
Federated Investors, Inc. Class B (non-vtg.) | 68,206 | 1,853,157 | |
Morningstar, Inc. | 31,946 | 2,563,028 | |
4,416,185 | |||
Consumer Finance - 0.8% | |||
American Express Co. | 29,661 | 2,374,660 | |
Discover Financial Services | 63,168 | 4,493,772 | |
Synchrony Financial | 1,140 | 41,314 | |
6,909,746 | |||
Diversified Financial Services - 0.1% | |||
Donnelley Financial Solutions, Inc. (a) | 13,989 | 323,286 | |
TOTAL FINANCIALS | 11,649,217 | ||
HEALTH CARE - 17.7% | |||
Biotechnology - 6.5% | |||
AbbVie, Inc. | 180,253 | 11,146,846 | |
Amgen, Inc. | 77,006 | 13,593,869 | |
Biogen, Inc. (a) | 29,671 | 8,563,051 | |
Celgene Corp. (a) | 43,268 | 5,344,031 | |
Gilead Sciences, Inc. | 153,197 | 10,797,325 | |
United Therapeutics Corp. (a) | 28,317 | 4,182,987 | |
53,628,109 | |||
Health Care Equipment & Supplies - 1.1% | |||
Baxter International, Inc. | 84,015 | 4,278,044 | |
Becton, Dickinson & Co. | 1,862 | 340,839 | |
Danaher Corp. | 5,768 | 493,452 | |
Hologic, Inc. (a) | 35,593 | 1,444,364 | |
Masimo Corp. (a) | 29,307 | 2,648,181 | |
9,204,880 | |||
Health Care Providers & Services - 5.5% | |||
Aetna, Inc. | 39,731 | 5,115,764 | |
Anthem, Inc. | 30,438 | 5,016,791 | |
Cardinal Health, Inc. | 16,549 | 1,346,592 | |
Centene Corp. (a) | 25,437 | 1,793,309 | |
Cigna Corp. | 309 | 46,010 | |
Express Scripts Holding Co. (a) | 96,892 | 6,845,420 | |
HCA Holdings, Inc. (a) | 25,914 | 2,260,737 | |
Humana, Inc. (b) | 3,734 | 788,808 | |
McKesson Corp. | 42,976 | 6,451,987 | |
UnitedHealth Group, Inc. | 85,959 | 14,215,899 | |
Wellcare Health Plans, Inc. (a) | 12,465 | 1,760,058 | |
45,641,375 | |||
Life Sciences Tools & Services - 0.0% | |||
PRA Health Sciences, Inc. (a) | 3,026 | 178,564 | |
Pharmaceuticals - 4.6% | |||
Allergan PLC | 9,518 | 2,330,197 | |
Bristol-Myers Squibb Co. | 191,373 | 10,852,763 | |
Eli Lilly & Co. | 85,474 | 7,078,102 | |
Johnson & Johnson | 67,696 | 8,273,128 | |
Merck & Co., Inc. | 60,917 | 4,012,603 | |
Pfizer, Inc. | 149,175 | 5,089,851 | |
37,636,644 | |||
TOTAL HEALTH CARE | 146,289,572 | ||
INDUSTRIALS - 9.6% | |||
Aerospace & Defense - 3.1% | |||
General Dynamics Corp. | 7,664 | 1,454,704 | |
Huntington Ingalls Industries, Inc. | 2,324 | 507,794 | |
Lockheed Martin Corp. | 2,788 | 743,225 | |
Northrop Grumman Corp. | 20,151 | 4,979,111 | |
Raytheon Co. | 14,299 | 2,204,191 | |
Spirit AeroSystems Holdings, Inc. Class A | 68,723 | 4,234,024 | |
The Boeing Co. | 65,587 | 11,820,745 | |
25,943,794 | |||
Air Freight & Logistics - 0.2% | |||
United Parcel Service, Inc. Class B | 12,292 | 1,300,002 | |
Airlines - 1.0% | |||
Delta Air Lines, Inc. | 49,900 | 2,491,507 | |
Hawaiian Holdings, Inc. (a) | 19,014 | 925,031 | |
Southwest Airlines Co. | 87,064 | 5,032,299 | |
8,448,837 | |||
Commercial Services & Supplies - 0.3% | |||
LSC Communications, Inc. | 25,569 | 726,671 | |
Pitney Bowes, Inc. | 95,580 | 1,303,711 | |
2,030,382 | |||
Electrical Equipment - 0.2% | |||
Fortive Corp. | 22,262 | 1,283,404 | |
Rockwell Automation, Inc. | 2,268 | 342,695 | |
1,626,099 | |||
Industrial Conglomerates - 1.8% | |||
3M Co. | 61,814 | 11,519,039 | |
Carlisle Companies, Inc. | 5,867 | 606,061 | |
Honeywell International, Inc. | 23,349 | 2,906,951 | |
15,032,051 | |||
Machinery - 1.6% | |||
Allison Transmission Holdings, Inc. | 6,674 | 240,131 | |
Cummins, Inc. | 25,856 | 3,839,357 | |
Deere & Co. | 8,473 | 927,709 | |
Illinois Tool Works, Inc. | 10,476 | 1,382,937 | |
Ingersoll-Rand PLC | 43,858 | 3,480,571 | |
Stanley Black & Decker, Inc. | 10,054 | 1,278,366 | |
Toro Co. | 38,762 | 2,333,860 | |
13,482,931 | |||
Professional Services - 0.5% | |||
Robert Half International, Inc. | 81,038 | 3,909,273 | |
Road & Rail - 0.2% | |||
Union Pacific Corp. | 12,237 | 1,320,862 | |
Trading Companies & Distributors - 0.7% | |||
HD Supply Holdings, Inc. (a) | 11,699 | 503,057 | |
United Rentals, Inc. (a) | 12,853 | 1,645,570 | |
W.W. Grainger, Inc. (b) | 14,819 | 3,674,519 | |
5,823,146 | |||
TOTAL INDUSTRIALS | 78,917,377 | ||
INFORMATION TECHNOLOGY - 33.6% | |||
Communications Equipment - 1.9% | |||
Cisco Systems, Inc. | 123,494 | 4,221,025 | |
CommScope Holding Co., Inc. (a) | 4,289 | 163,196 | |
F5 Networks, Inc. (a) | 32,431 | 4,646,389 | |
Juniper Networks, Inc. | 140,446 | 3,932,488 | |
Motorola Solutions, Inc. | 38,362 | 3,029,447 | |
15,992,545 | |||
Electronic Equipment & Components - 0.4% | |||
CDW Corp. | 47,312 | 2,786,677 | |
Zebra Technologies Corp. Class A (a) | 6,317 | 573,015 | |
3,359,692 | |||
Internet Software & Services - 7.7% | |||
Alphabet, Inc.: | |||
Class A (a) | 21,084 | 17,814,504 | |
Class C (a) | 15,951 | 13,131,023 | |
eBay, Inc. (a) | 195,857 | 6,639,552 | |
Facebook, Inc. Class A (a) | 189,563 | 25,693,369 | |
63,278,448 | |||
IT Services - 4.9% | |||
Accenture PLC Class A | 30,472 | 3,732,820 | |
Alliance Data Systems Corp. | 12,644 | 3,072,239 | |
Amdocs Ltd. | 12,614 | 765,039 | |
Booz Allen Hamilton Holding Corp. Class A | 27,625 | 988,146 | |
Cognizant Technology Solutions Corp. Class A (a) | 100,794 | 5,974,060 | |
IBM Corp. | 65,762 | 11,825,323 | |
MasterCard, Inc. Class A | 30,643 | 3,384,826 | |
Maximus, Inc. | 6,545 | 390,540 | |
Paychex, Inc. | 45,329 | 2,784,107 | |
Visa, Inc. Class A | 85,895 | 7,553,606 | |
40,470,706 | |||
Semiconductors & Semiconductor Equipment - 5.1% | |||
Applied Materials, Inc. | 169,863 | 6,152,438 | |
Broadcom Ltd. | 6,183 | 1,304,180 | |
Cirrus Logic, Inc. (a) | 19,064 | 1,030,981 | |
Intel Corp. | 142,209 | 5,147,966 | |
KLA-Tencor Corp. | 55,800 | 5,028,696 | |
Lam Research Corp. | 25,272 | 2,995,743 | |
Maxim Integrated Products, Inc. | 57,251 | 2,536,219 | |
Qualcomm, Inc. | 93,961 | 5,306,917 | |
Skyworks Solutions, Inc. | 27,331 | 2,591,252 | |
Texas Instruments, Inc. | 123,960 | 9,497,815 | |
41,592,207 | |||
Software - 6.1% | |||
Adobe Systems, Inc. (a) | 25,035 | 2,962,642 | |
CA Technologies, Inc. | 100,434 | 3,241,005 | |
Cadence Design Systems, Inc. (a) | 25,441 | 786,127 | |
Citrix Systems, Inc. (a) | 22,971 | 1,813,560 | |
Electronic Arts, Inc. (a) | 23,286 | 2,014,239 | |
Intuit, Inc. | 46,403 | 5,820,792 | |
Microsoft Corp. | 473,605 | 30,301,248 | |
Synopsys, Inc. (a) | 49,270 | 3,519,849 | |
50,459,462 | |||
Technology Hardware, Storage & Peripherals - 7.5% | |||
Apple, Inc. | 386,911 | 53,002,933 | |
HP, Inc. | 192,710 | 3,347,373 | |
NCR Corp. (a) | 18,608 | 894,487 | |
NetApp, Inc. | 34,341 | 1,436,484 | |
Seagate Technology LLC (b) | 70,360 | 3,390,648 | |
62,071,925 | |||
TOTAL INFORMATION TECHNOLOGY | 277,224,985 | ||
MATERIALS - 2.6% | |||
Chemicals - 1.7% | |||
Celanese Corp. Class A | 4,694 | 418,564 | |
E.I. du Pont de Nemours & Co. | 42,180 | 3,312,817 | |
Eastman Chemical Co. | 3,314 | 265,949 | |
Huntsman Corp. | 38,082 | 860,653 | |
LyondellBasell Industries NV Class A | 55,663 | 5,078,692 | |
Monsanto Co. | 10,578 | 1,204,094 | |
The Scotts Miracle-Gro Co. Class A | 2,508 | 227,300 | |
Trinseo SA | 41,736 | 2,886,044 | |
14,254,113 | |||
Containers & Packaging - 0.3% | |||
Owens-Illinois, Inc. (a) | 27,254 | 539,629 | |
Packaging Corp. of America | 19,503 | 1,802,662 | |
2,342,291 | |||
Metals & Mining - 0.5% | |||
Nucor Corp. | 7,463 | 466,960 | |
Steel Dynamics, Inc. | 93,778 | 3,432,275 | |
3,899,235 | |||
Paper & Forest Products - 0.1% | |||
Louisiana-Pacific Corp. (a) | 53,090 | 1,251,862 | |
TOTAL MATERIALS | 21,747,501 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.9% | |||
Care Capital Properties, Inc. | 42,868 | 1,127,000 | |
Omega Healthcare Investors, Inc. | 4,633 | 151,221 | |
Outfront Media, Inc. | 1,329 | 34,488 | |
Public Storage | 28,486 | 6,479,426 | |
7,792,135 | |||
TELECOMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 1.8% | |||
AT&T, Inc. | 96,405 | 4,028,765 | |
Verizon Communications, Inc. | 226,657 | 11,248,987 | |
15,277,752 | |||
TOTAL COMMON STOCKS | |||
(Cost $664,771,708) | 810,790,995 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.53% to 0.56% 8/17/17 (c) | |||
(Cost $1,196,896) | 1,200,000 | 1,196,190 | |
Shares | Value | ||
Money Market Funds - 5.3% | |||
Fidelity Cash Central Fund, 0.60% (d) | 15,487,328 | $15,490,426 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 28,318,266 | 28,323,930 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $43,811,247) | 43,814,356 | ||
TOTAL INVESTMENT PORTFOLIO - 103.7% | |||
(Cost $709,779,851) | 855,801,541 | ||
NET OTHER ASSETS (LIABILITIES) - (3.7)% | (30,338,934) | ||
NET ASSETS - 100% | $825,462,607 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
120 CME E-mini S&P 500 Index Contracts (United States) | March 2017 | 14,176,800 | $614,543 |
The face value of futures purchased as a percentage of Net Assets is 1.7%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $666,876.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $29,341 |
Fidelity Securities Lending Cash Central Fund | 81,478 |
Total | $110,819 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $174,223,563 | $174,223,563 | $-- | $-- |
Consumer Staples | 67,335,559 | 67,335,559 | -- | -- |
Energy | 10,333,334 | 10,333,334 | -- | -- |
Financials | 11,649,217 | 11,649,217 | -- | -- |
Health Care | 146,289,572 | 146,289,572 | -- | -- |
Industrials | 78,917,377 | 78,917,377 | -- | -- |
Information Technology | 277,224,985 | 277,224,985 | -- | -- |
Materials | 21,747,501 | 21,747,501 | -- | -- |
Real Estate | 7,792,135 | 7,792,135 | -- | -- |
Telecommunication Services | 15,277,752 | 15,277,752 | -- | -- |
U.S. Government and Government Agency Obligations | 1,196,190 | -- | 1,196,190 | -- |
Money Market Funds | 43,814,356 | 43,814,356 | -- | -- |
Total Investments in Securities: | $855,801,541 | $854,605,351 | $1,196,190 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $614,543 | $614,543 | $-- | $-- |
Total Assets | $614,543 | $614,543 | $-- | $-- |
Total Derivative Instruments: | $614,543 | $614,543 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $614,543 | $0 |
Total Equity Risk | 614,543 | 0 |
Total Value of Derivatives | $614,543 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® Large Cap Growth Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $27,403,420) — See accompanying schedule: Unaffiliated issuers (cost $665,968,604) | $811,987,185 | |
Fidelity Central Funds (cost $43,811,247) | 43,814,356 | |
Total Investments (cost $709,779,851) | $855,801,541 | |
Receivable for investments sold | 9,702,929 | |
Receivable for fund shares sold | 3,945,110 | |
Dividends receivable | 1,622,985 | |
Distributions receivable from Fidelity Central Funds | 8,623 | |
Total assets | 871,081,188 | |
Liabilities | ||
Payable to custodian bank | $319,805 | |
Payable for investments purchased | 15,345,358 | |
Payable for fund shares redeemed | 1,302,181 | |
Accrued management fee | 198,000 | |
Payable for daily variation margin for derivative instruments | 36,865 | |
Other affiliated payables | 98,997 | |
Collateral on securities loaned | 28,317,375 | |
Total liabilities | 45,618,581 | |
Net Assets | $825,462,607 | |
Net Assets consist of: | ||
Paid in capital | $671,701,690 | |
Undistributed net investment income | 2,048,261 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 5,076,423 | |
Net unrealized appreciation (depreciation) on investments | 146,636,233 | |
Net Assets, for 49,564,459 shares outstanding | $825,462,607 | |
Net Asset Value, offering price and redemption price per share ($825,462,607 ÷ 49,564,459 shares) | $16.65 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $12,051,939 | |
Interest | 26,155 | |
Income from Fidelity Central Funds (including $81,478 from security lending) | 110,819 | |
Total income | 12,188,913 | |
Expenses | ||
Management fee | $1,942,461 | |
Transfer agent fees | 972,530 | |
Independent trustees' fees and expenses | 2,693 | |
Miscellaneous | 1,829 | |
Total expenses before reductions | 2,919,513 | |
Expense reductions | (217) | 2,919,296 |
Net investment income (loss) | 9,269,617 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 9,159,061 | |
Fidelity Central Funds | 2,866 | |
Foreign currency transactions | 9 | |
Futures contracts | 1,863,288 | |
Total net realized gain (loss) | 11,025,224 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 101,591,221 | |
Futures contracts | 444,062 | |
Total change in net unrealized appreciation (depreciation) | 102,035,283 | |
Net gain (loss) | 113,060,507 | |
Net increase (decrease) in net assets resulting from operations | $122,330,124 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $9,269,617 | $5,942,877 |
Net realized gain (loss) | 11,025,224 | 4,493,035 |
Change in net unrealized appreciation (depreciation) | 102,035,283 | (38,693,142) |
Net increase (decrease) in net assets resulting from operations | 122,330,124 | (28,257,230) |
Distributions to shareholders from net investment income | (7,111,776) | (5,276,402) |
Distributions to shareholders from net realized gain | – | (14,162,511) |
Total distributions | (7,111,776) | (19,438,913) |
Share transactions | ||
Proceeds from sales of shares | 438,141,867 | 205,196,525 |
Reinvestment of distributions | 6,777,223 | 18,634,238 |
Cost of shares redeemed | (183,763,026) | (131,133,765) |
Net increase (decrease) in net assets resulting from share transactions | 261,156,064 | 92,696,998 |
Total increase (decrease) in net assets | 376,374,412 | 45,000,855 |
Net Assets | ||
Beginning of period | 449,088,195 | 404,087,340 |
End of period | $825,462,607 | $449,088,195 |
Other Information | ||
Undistributed net investment income end of period | $2,048,261 | $284 |
Shares | ||
Sold | 28,762,124 | 13,841,828 |
Issued in reinvestment of distributions | 429,482 | 1,270,101 |
Redeemed | (12,024,884) | (8,915,319) |
Net increase (decrease) | 17,166,722 | 6,196,610 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Large Cap Growth Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.86 | $15.42 | $14.22 | $11.77 | $10.93 |
Income from Investment Operations | |||||
Net investment income (loss)B | .22 | .20 | .20 | .18 | .20 |
Net realized and unrealized gain (loss) | 2.73 | (1.09) | 2.15 | 3.15 | .81 |
Total from investment operations | 2.95 | (.89) | 2.35 | 3.33 | 1.01 |
Distributions from net investment income | (.16) | (.18) | (.15) | (.17) | (.17) |
Distributions from net realized gain | – | (.49) | (1.00) | (.71) | – |
Total distributions | (.16) | (.67) | (1.15) | (.88) | (.17) |
Net asset value, end of period | $16.65 | $13.86 | $15.42 | $14.22 | $11.77 |
Total ReturnC | 21.33% | (6.01)% | 17.46% | 29.08% | 9.36% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.43% | 1.38% | 1.37% | 1.41% | 1.80% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $825,463 | $449,088 | $404,087 | $248,855 | $171,392 |
Portfolio turnover rateF | 86% | 89% | 69% | 83% | 87% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Large Cap Value Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Large Cap Value Enhanced Index Fund | 28.30% | 14.42% | 5.72% |
A From April 19, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Large Cap Value Enhanced Index Fund on April 19, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227407805_740.jpg)
Period Ending Values | ||
$17,317 | Fidelity® Large Cap Value Enhanced Index Fund | |
$17,423 | Russell 1000® Value Index |
Fidelity® Large Cap Value Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500® index gained 24.98% for the year ending February 28, 2017, rising sharply in the period’s final four months on renewed optimism for economic growth. The beginning of the period saw improving investor sentiment amid U.S. job gains, a rally in energy, and other stimuli that helped keep the seven-year bull uptrend intact. Markets tumbled briefly following Brexit – the U.K.’s June vote to exit the European Union – recovering quickly to settle into a flattish stretch until the November U.S. presidential election. Stocks then broke out in response to Donald Trump’s surprise victory, surging to a series of new all-time highs on expectations for reflation and fiscal stimulus. For the year, financials (+47%) proved the top-performing sector by far, riding an uptick in bond yields and a rally in banks, especially post-election. Industrials (+27%), energy (+26%) and materials (+28%) also fared well, the latter two driven by a cyclical rebound in commodity prices. Information technology rose 33%, despite cooling off late in 2016. Conversely, real estate and health care each returned 15%, lagging the broad market on prospects of rising interest rates and an uncertain political and regulatory outlook, respectively. An improved backdrop for riskier assets curbed dividend-rich telecom services (+9%), consumer staples (+12%) and utilities (+16%).Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 28.30%, trailing the 29.13% increase in the benchmark Russell 1000® Value Index. The fund’s exposure to stocks with attractive profitability and momentum characteristics proved detrimental, as both factors lagged. In contrast, we generally benefited from our allocation to companies displaying strong earnings quality; cyclical value; and “information flow alpha,” our proprietary measure of how investors in various market segments are processing information about stocks. Security selection – which stems from our quantitative, model-driven investment approach – in energy hampered relative performance, especially natural gas and oil exploration and production company Southwestern Energy. Positioning in consumer discretionary also hampered results; we were overweighted in this lagging category and also experienced some negative stock picks. Our biggest detractor in the category was retailer Target, which reported weaker-than-expected earnings and forecast lower financial results in 2017. Elsewhere, overweighting Internet service provider Centurylink detracted, as the market appeared to disapprove of the price the company plans to pay for an upcoming corporate acquisition. In contrast, although the fund was hampered by being underweighted in the market-leading financials sector, very strong stock selection in the group more than made up for it. Fund holdings Bank of America, Morgan Stanley, Goldman Sachs and JPMorgan Chase all benefited from the market’s anticipation of higher interest rates and a more favorable regulatory backdrop. Another individual contributor was HP, formerly Hewlett-Packard, a provider of technology products and services that rose on better-than-expected quarterly earnings.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® Large Cap Value Enhanced Index Fund
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
JPMorgan Chase & Co. | 3.4 | 2.8 |
Exxon Mobil Corp. | 3.3 | 3.7 |
Johnson & Johnson | 2.9 | 3.0 |
Wells Fargo & Co. | 2.8 | 2.7 |
AT&T, Inc. | 2.7 | 2.1 |
Bank of America Corp. | 2.7 | 2.1 |
Procter & Gamble Co. | 2.5 | 2.6 |
Berkshire Hathaway, Inc. Class B | 2.3 | 2.2 |
Pfizer, Inc. | 2.1 | 2.3 |
Merck & Co., Inc. | 2.1 | 2.1 |
26.8 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Financials | 25.0 | 26.8 |
Health Care | 12.5 | 13.2 |
Information Technology | 11.5 | 11.8 |
Energy | 10.4 | 11.1 |
Industrials | 8.7 | 7.7 |
Consumer Staples | 8.5 | 8.6 |
Consumer Discretionary | 6.2 | 5.7 |
Utilities | 4.9 | 5.2 |
Materials | 4.7 | 4.5 |
Telecommunication Services | 3.9 | 4.2 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.1%
As of August 31, 2016* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 4.7%
Fidelity® Large Cap Value Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 99.1% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 6.2% | |||
Auto Components - 1.1% | |||
Gentex Corp. | 427,507 | $8,990,472 | |
Lear Corp. | 104,260 | 14,803,877 | |
Tenneco, Inc. | 143,940 | 9,256,781 | |
33,051,130 | |||
Automobiles - 1.9% | |||
Ford Motor Co. | 2,117,565 | 26,533,089 | |
General Motors Co. | 737,999 | 27,187,883 | |
53,720,972 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
Carnival Corp. unit | 11,900 | 665,805 | |
Darden Restaurants, Inc. | 164,132 | 12,257,378 | |
12,923,183 | |||
Household Durables - 0.1% | |||
D.R. Horton, Inc. | 128,063 | 4,098,016 | |
Media - 0.4% | |||
MSG Network, Inc. Class A (a) | 134,359 | 2,929,026 | |
Scripps Networks Interactive, Inc. Class A | 42,336 | 3,419,479 | |
Tegna, Inc. | 12,754 | 326,885 | |
The Walt Disney Co. | 2,769 | 304,839 | |
Time Warner, Inc. | 31,953 | 3,138,104 | |
10,118,333 | |||
Multiline Retail - 0.8% | |||
Kohl's Corp. | 93,158 | 3,970,394 | |
Target Corp. | 314,583 | 18,488,043 | |
22,458,437 | |||
Specialty Retail - 1.3% | |||
American Eagle Outfitters, Inc. (b) | 377,599 | 5,984,944 | |
Bed Bath & Beyond, Inc. | 65,341 | 2,639,776 | |
Best Buy Co., Inc. | 387,641 | 17,106,597 | |
Gap, Inc. (b) | 326,702 | 8,108,744 | |
Staples, Inc. | 419,100 | 3,767,709 | |
37,607,770 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Carter's, Inc. | 18,680 | 1,644,027 | |
Michael Kors Holdings Ltd. (a) | 61,633 | 2,249,605 | |
Ralph Lauren Corp. | 24,829 | 1,969,685 | |
5,863,317 | |||
TOTAL CONSUMER DISCRETIONARY | 179,841,158 | ||
CONSUMER STAPLES - 8.5% | |||
Beverages - 0.7% | |||
PepsiCo, Inc. | 175,865 | 19,411,979 | |
Food & Staples Retailing - 2.5% | |||
CVS Health Corp. | 193,165 | 15,565,236 | |
Wal-Mart Stores, Inc. | 580,201 | 41,153,657 | |
Walgreens Boots Alliance, Inc. | 189,589 | 16,376,698 | |
73,095,591 | |||
Food Products - 1.9% | |||
Bunge Ltd. | 69,473 | 5,686,365 | |
Campbell Soup Co. | 138,274 | 8,206,562 | |
Fresh Del Monte Produce, Inc. | 6,047 | 349,940 | |
Ingredion, Inc. | 20,178 | 2,439,318 | |
Mondelez International, Inc. | 33,051 | 1,451,600 | |
Pilgrim's Pride Corp. (b) | 185,881 | 3,788,255 | |
The J.M. Smucker Co. | 108,454 | 15,371,185 | |
Tyson Foods, Inc. Class A | 265,773 | 16,626,759 | |
53,919,984 | |||
Household Products - 2.6% | |||
Procter & Gamble Co. | 801,099 | 72,956,086 | |
Spectrum Brands Holdings, Inc. (b) | 12,442 | 1,688,628 | |
74,644,714 | |||
Personal Products - 0.0% | |||
Nu Skin Enterprises, Inc. Class A | 21,447 | 1,062,484 | |
Tobacco - 0.8% | |||
Philip Morris International, Inc. | 202,266 | 22,117,787 | |
Reynolds American, Inc. | 26,604 | 1,638,008 | |
23,755,795 | |||
TOTAL CONSUMER STAPLES | 245,890,547 | ||
ENERGY - 10.4% | |||
Energy Equipment & Services - 1.6% | |||
Baker Hughes, Inc. | 55,448 | 3,342,405 | |
Dril-Quip, Inc. (a)(b) | 198,767 | 12,194,355 | |
Rowan Companies PLC (a)(b) | 244,221 | 4,425,285 | |
Schlumberger Ltd. | 165,009 | 13,260,123 | |
TechnipFMC PLC (a) | 281,361 | 9,093,588 | |
Transocean Ltd. (United States) (a)(b) | 233,085 | 3,221,235 | |
45,536,991 | |||
Oil, Gas & Consumable Fuels - 8.8% | |||
Antero Resources Corp. (a)(b) | 382,613 | 9,175,060 | |
Chevron Corp. | 330,919 | 37,228,388 | |
ConocoPhillips Co. | 425,443 | 20,238,324 | |
Enbridge, Inc. | 67,002 | 2,804,034 | |
Energen Corp. (a) | 5,634 | 295,785 | |
EOG Resources, Inc. | 236,849 | 22,971,985 | |
Exxon Mobil Corp. | 1,177,384 | 95,744,867 | |
Marathon Petroleum Corp. | 9,887 | 490,395 | |
Noble Energy, Inc. | 16,558 | 602,877 | |
ONEOK, Inc. (b) | 266,316 | 14,394,380 | |
PBF Energy, Inc. Class A (b) | 21,430 | 524,821 | |
Southwestern Energy Co. (a) | 1,573,566 | 11,817,481 | |
Tesoro Corp. | 153,303 | 13,059,883 | |
The Williams Companies, Inc. | 97,863 | 2,773,437 | |
Valero Energy Corp. | 332,041 | 22,562,186 | |
World Fuel Services Corp. | 6,266 | 226,641 | |
254,910,544 | |||
TOTAL ENERGY | 300,447,535 | ||
FINANCIALS - 25.0% | |||
Banks - 12.5% | |||
Bank of America Corp. | 3,144,452 | 77,605,075 | |
Citigroup, Inc. | 464,597 | 27,787,547 | |
East West Bancorp, Inc. | 101,300 | 5,482,356 | |
Fifth Third Bancorp | 364,643 | 10,005,804 | |
JPMorgan Chase & Co. | 1,069,672 | 96,933,673 | |
PNC Financial Services Group, Inc. | 35,927 | 4,570,992 | |
Regions Financial Corp. | 1,183,153 | 18,066,746 | |
SunTrust Banks, Inc. | 306,546 | 18,236,422 | |
TCF Financial Corp. | 78,462 | 1,365,239 | |
U.S. Bancorp | 392,193 | 21,570,615 | |
Wells Fargo & Co. | 1,380,632 | 79,910,980 | |
361,535,449 | |||
Capital Markets - 2.7% | |||
Ameriprise Financial, Inc. | 2,127 | 279,701 | |
Federated Investors, Inc. Class B (non-vtg.) | 82,120 | 2,231,200 | |
Franklin Resources, Inc. | 70,814 | 3,047,835 | |
Goldman Sachs Group, Inc. | 154,312 | 38,278,635 | |
Morgan Stanley | 670,971 | 30,643,246 | |
T. Rowe Price Group, Inc. | 3,446 | 245,390 | |
Thomson Reuters Corp. | 95,531 | 4,039,317 | |
78,765,324 | |||
Consumer Finance - 2.7% | |||
Ally Financial, Inc. | 91,665 | 2,061,546 | |
American Express Co. | 247,323 | 19,800,679 | |
Capital One Financial Corp. | 155,232 | 14,570,076 | |
Discover Financial Services | 213,289 | 15,173,379 | |
Navient Corp. | 288,127 | 4,440,037 | |
Synchrony Financial | 571,794 | 20,721,815 | |
76,767,532 | |||
Diversified Financial Services - 2.9% | |||
Berkshire Hathaway, Inc. Class B (a) | 383,887 | 65,805,910 | |
Leucadia National Corp. | 631,899 | 16,821,151 | |
82,627,061 | |||
Insurance - 3.2% | |||
AFLAC, Inc. | 298,144 | 21,570,718 | |
American International Group, Inc. | 26,052 | 1,665,244 | |
American National Insurance Co. | 4,789 | 575,159 | |
Aspen Insurance Holdings Ltd. | 117,170 | 6,567,379 | |
Assured Guaranty Ltd. | 265,939 | 10,932,752 | |
Chubb Ltd. | 7,903 | 1,091,958 | |
CNA Financial Corp. | 6,489 | 278,248 | |
Everest Re Group Ltd. | 25,367 | 5,964,796 | |
FNF Group | 50,808 | 1,947,471 | |
Old Republic International Corp. | 205,289 | 4,251,535 | |
Principal Financial Group, Inc. | 60,860 | 3,806,184 | |
Prudential Financial, Inc. | 238,873 | 26,405,021 | |
The Travelers Companies, Inc. | 55,526 | 6,787,498 | |
Unum Group | 20,143 | 983,583 | |
92,827,546 | |||
Mortgage Real Estate Investment Trusts - 1.0% | |||
Agnc Investment Corp. | 39,318 | 771,812 | |
Annaly Capital Management, Inc. | 103,793 | 1,152,102 | |
Chimera Investment Corp. | 764,281 | 14,704,766 | |
MFA Financial, Inc. | 1,174,025 | 9,415,681 | |
New Residential Investment Corp. | 90,660 | 1,529,434 | |
27,573,795 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Essent Group Ltd. (a) | 34,565 | 1,203,208 | |
TOTAL FINANCIALS | 721,299,915 | ||
HEALTH CARE - 12.5% | |||
Biotechnology - 1.1% | |||
Amgen, Inc. | 61,443 | 10,846,533 | |
Biogen, Inc. (a) | 19,462 | 5,616,733 | |
United Therapeutics Corp. (a) | 97,867 | 14,456,913 | |
30,920,179 | |||
Health Care Equipment & Supplies - 0.7% | |||
Abbott Laboratories | 38,789 | 1,748,608 | |
Baxter International, Inc. | 108,772 | 5,538,670 | |
Medtronic PLC | 158,900 | 12,856,599 | |
20,143,877 | |||
Health Care Providers & Services - 3.3% | |||
Aetna, Inc. | 168,417 | 21,685,373 | |
Anthem, Inc. | 135,649 | 22,357,668 | |
Centene Corp. (a) | 25,437 | 1,793,309 | |
Cigna Corp. | 10,327 | 1,537,690 | |
Express Scripts Holding Co. (a) | 218,920 | 15,466,698 | |
HCA Holdings, Inc. (a) | 14,356 | 1,252,417 | |
HealthSouth Corp. | 4,253 | 179,987 | |
Humana, Inc. (b) | 17,209 | 3,635,401 | |
McKesson Corp. | 98,343 | 14,764,235 | |
UnitedHealth Group, Inc. | 34,554 | 5,714,541 | |
Universal Health Services, Inc. Class B | 36,448 | 4,577,869 | |
Wellcare Health Plans, Inc. (a) | 21,794 | 3,077,313 | |
96,042,501 | |||
Life Sciences Tools & Services - 0.1% | |||
Bruker Corp. | 150,613 | 3,637,304 | |
Pharmaceuticals - 7.3% | |||
Allergan PLC | 17,386 | 4,256,441 | |
Endo International PLC (a) | 5,400 | 73,710 | |
Johnson & Johnson | 688,301 | 84,117,265 | |
Merck & Co., Inc. | 908,350 | 59,833,015 | |
Pfizer, Inc. | 1,813,069 | 61,861,914 | |
210,142,345 | |||
TOTAL HEALTH CARE | 360,886,206 | ||
INDUSTRIALS - 8.7% | |||
Aerospace & Defense - 2.1% | |||
Huntington Ingalls Industries, Inc. | 54,078 | 11,816,043 | |
L3 Technologies, Inc. | 9,922 | 1,670,071 | |
Northrop Grumman Corp. | 15,457 | 3,819,270 | |
Raytheon Co. | 138,254 | 21,311,854 | |
Spirit AeroSystems Holdings, Inc. Class A | 255,592 | 15,747,023 | |
United Technologies Corp. | 65,311 | 7,350,753 | |
61,715,014 | |||
Airlines - 1.0% | |||
Delta Air Lines, Inc. | 169,614 | 8,468,827 | |
Hawaiian Holdings, Inc. (a) | 141,354 | 6,876,872 | |
Southwest Airlines Co. | 36,563 | 2,113,341 | |
United Continental Holdings, Inc. (a) | 155,125 | 11,493,211 | |
28,952,251 | |||
Building Products - 0.6% | |||
Owens Corning | 273,633 | 16,004,794 | |
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 46,729 | 3,438,787 | |
LSC Communications, Inc. | 11,909 | 338,454 | |
R.R. Donnelley & Sons Co. | 80,813 | 1,355,234 | |
5,132,475 | |||
Electrical Equipment - 0.7% | |||
Eaton Corp. PLC | 240,341 | 17,299,745 | |
Fortive Corp. | 25,434 | 1,466,270 | |
Regal Beloit Corp. | 2,078 | 154,707 | |
18,920,722 | |||
Industrial Conglomerates - 1.9% | |||
3M Co. | 75,346 | 14,040,727 | |
Carlisle Companies, Inc. | 5,797 | 598,830 | |
General Electric Co. | 1,331,880 | 39,703,343 | |
54,342,900 | |||
Machinery - 1.5% | |||
Allison Transmission Holdings, Inc. | 114,242 | 4,110,427 | |
Crane Co. | 3,361 | 242,967 | |
Cummins, Inc. | 131,864 | 19,580,485 | |
Deere & Co. | 78,035 | 8,544,052 | |
Illinois Tool Works, Inc. | 4,062 | 536,225 | |
Ingersoll-Rand PLC | 65,872 | 5,227,602 | |
Oshkosh Corp. | 16,206 | 1,100,225 | |
Stanley Black & Decker, Inc. | 36,203 | 4,603,211 | |
Timken Co. | 18,842 | 832,816 | |
44,778,010 | |||
Professional Services - 0.2% | |||
Manpower, Inc. | 61,677 | 5,985,136 | |
Road & Rail - 0.2% | |||
Union Pacific Corp. | 61,992 | 6,691,416 | |
Trading Companies & Distributors - 0.3% | |||
United Rentals, Inc. (a) | 69,050 | 8,840,472 | |
Univar, Inc. (a) | 11,300 | 363,860 | |
9,204,332 | |||
TOTAL INDUSTRIALS | 251,727,050 | ||
INFORMATION TECHNOLOGY - 11.5% | |||
Communications Equipment - 2.6% | |||
Cisco Systems, Inc. | 1,674,205 | 57,224,327 | |
Juniper Networks, Inc. | 591,467 | 16,561,076 | |
73,785,403 | |||
Electronic Equipment & Components - 0.5% | |||
Anixter International, Inc. (a) | 1,675 | 139,528 | |
Corning, Inc. | 466,546 | 12,881,335 | |
SYNNEX Corp. | 2,134 | 249,507 | |
Tech Data Corp. (a) | 14,492 | 1,260,804 | |
Zebra Technologies Corp. Class A (a) | 6,317 | 573,015 | |
15,104,189 | |||
Internet Software & Services - 0.3% | |||
Alphabet, Inc. Class A (a) | 1,067 | 901,540 | |
eBay, Inc. (a) | 209,011 | 7,085,473 | |
7,987,013 | |||
IT Services - 0.0% | |||
Booz Allen Hamilton Holding Corp. Class A | 12,840 | 459,287 | |
Semiconductors & Semiconductor Equipment - 4.9% | |||
Applied Materials, Inc. | 474,480 | 17,185,666 | |
Cirrus Logic, Inc. (a) | 105,666 | 5,714,417 | |
Intel Corp. | 1,466,306 | 53,080,277 | |
KLA-Tencor Corp. | 159,612 | 14,384,233 | |
Lam Research Corp. | 40,498 | 4,800,633 | |
Maxim Integrated Products, Inc. | 26,116 | 1,156,939 | |
Qualcomm, Inc. | 544,408 | 30,748,164 | |
Texas Instruments, Inc. | 183,927 | 14,092,487 | |
141,162,816 | |||
Software - 0.5% | |||
CA Technologies, Inc. | 65,227 | 2,104,875 | |
Oracle Corp. | 303,760 | 12,937,138 | |
15,042,013 | |||
Technology Hardware, Storage & Peripherals - 2.7% | |||
Apple, Inc. | 220,584 | 30,217,802 | |
Hewlett Packard Enterprise Co. | 147,902 | 3,375,124 | |
HP, Inc. | 1,324,172 | 23,000,868 | |
NetApp, Inc. | 22,769 | 952,427 | |
Seagate Technology LLC (b) | 116,224 | 5,600,835 | |
Xerox Corp. | 2,183,053 | 16,241,914 | |
79,388,970 | |||
TOTAL INFORMATION TECHNOLOGY | 332,929,691 | ||
MATERIALS - 4.7% | |||
Chemicals - 3.0% | |||
Cabot Corp. | 5,365 | 311,063 | |
Eastman Chemical Co. | 152,659 | 12,250,885 | |
Huntsman Corp. | 449,175 | 10,151,355 | |
LyondellBasell Industries NV Class A | 205,868 | 18,783,396 | |
Monsanto Co. | 10,249 | 1,166,644 | |
The Chemours Co. LLC | 8,560 | 288,130 | |
The Dow Chemical Co. | 500,580 | 31,166,111 | |
Trinseo SA | 195,960 | 13,550,634 | |
87,668,218 | |||
Metals & Mining - 1.6% | |||
Nucor Corp. | 304,568 | 19,056,820 | |
Reliance Steel & Aluminum Co. | 158,038 | 13,377,917 | |
Steel Dynamics, Inc. | 396,023 | 14,494,442 | |
46,929,179 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 7,473 | 284,647 | |
Louisiana-Pacific Corp. (a) | 53,090 | 1,251,862 | |
1,536,509 | |||
TOTAL MATERIALS | 136,133,906 | ||
REAL ESTATE - 2.8% | |||
Equity Real Estate Investment Trusts (REITs) - 2.8% | |||
Care Capital Properties, Inc. | 188,985 | 4,968,416 | |
Corrections Corp. of America | 308,868 | 10,408,852 | |
Equity Commonwealth (a) | 6,087 | 190,280 | |
Host Hotels & Resorts, Inc. (b) | 674,972 | 12,142,746 | |
LaSalle Hotel Properties (SBI) (b) | 30,650 | 885,785 | |
Liberty Property Trust (SBI) | 17,611 | 694,578 | |
Omega Healthcare Investors, Inc. (b) | 17,915 | 584,746 | |
Outfront Media, Inc. | 18,245 | 473,458 | |
PS Business Parks, Inc. | 1,422 | 165,251 | |
Public Storage | 64,568 | 14,686,637 | |
Quality Care Properties, Inc. (a) | 106,556 | 2,022,433 | |
RLJ Lodging Trust | 179,953 | 4,095,730 | |
Senior Housing Properties Trust (SBI) | 7,910 | 162,155 | |
Sunstone Hotel Investors, Inc. | 428,341 | 6,318,030 | |
Weyerhaeuser Co. | 611,529 | 20,620,758 | |
WP Carey, Inc. | 5,124 | 323,273 | |
78,743,128 | |||
TELECOMMUNICATION SERVICES - 3.9% | |||
Diversified Telecommunication Services - 3.9% | |||
AT&T, Inc. | 1,869,905 | 78,143,330 | |
CenturyLink, Inc. (b) | 650,800 | 15,788,408 | |
Level 3 Communications, Inc. (a) | 22,026 | 1,260,989 | |
Verizon Communications, Inc. | 358,445 | 17,789,625 | |
112,982,352 | |||
UTILITIES - 4.9% | |||
Electric Utilities - 3.6% | |||
American Electric Power Co., Inc. | 10,698 | 716,445 | |
Duke Energy Corp. | 348,328 | 28,754,476 | |
Entergy Corp. | 36,082 | 2,766,046 | |
Exelon Corp. | 599,324 | 22,001,184 | |
FirstEnergy Corp. | 560,580 | 18,179,609 | |
NextEra Energy, Inc. | 76,012 | 9,957,572 | |
PPL Corp. | 557,688 | 20,567,533 | |
102,942,865 | |||
Gas Utilities - 0.5% | |||
UGI Corp. | 332,377 | 16,030,543 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
The AES Corp. | 74,458 | 857,756 | |
Multi-Utilities - 0.8% | |||
Avangrid, Inc. | 6,708 | 293,274 | |
MDU Resources Group, Inc. | 94,106 | 2,551,214 | |
Public Service Enterprise Group, Inc. | 414,210 | 19,045,376 | |
SCANA Corp. | 3,343 | 231,837 | |
22,121,701 | |||
TOTAL UTILITIES | 141,952,865 | ||
TOTAL COMMON STOCKS | |||
(Cost $2,510,822,603) | 2,862,834,353 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.56% to 0.68% 8/17/17 (c) | |||
(Cost $5,783,367) | 5,800,000 | 5,781,585 | |
Shares | Value | ||
Money Market Funds - 3.5% | |||
Fidelity Cash Central Fund, 0.60% (d) | 27,765,498 | $27,771,051 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 73,274,694 | 73,289,349 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $101,049,003) | 101,060,400 | ||
TOTAL INVESTMENT PORTFOLIO - 102.8% | |||
(Cost $2,617,654,973) | 2,969,676,338 | ||
NET OTHER ASSETS (LIABILITIES) - (2.8)% | (80,449,051) | ||
NET ASSETS - 100% | $2,889,227,287 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
220 CME E-mini S&P 500 Index Contracts (United States) | March 2017 | 25,990,800 | $1,402,302 |
The face value of futures purchased as a percentage of Net Assets is 0.9%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,492,247.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $124,556 |
Fidelity Securities Lending Cash Central Fund | 238,171 |
Total | $362,727 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $179,841,158 | $179,841,158 | $-- | $-- |
Consumer Staples | 245,890,547 | 245,890,547 | -- | -- |
Energy | 300,447,535 | 300,447,535 | -- | -- |
Financials | 721,299,915 | 721,299,915 | -- | -- |
Health Care | 360,886,206 | 360,886,206 | -- | -- |
Industrials | 251,727,050 | 251,727,050 | -- | -- |
Information Technology | 332,929,691 | 332,929,691 | -- | -- |
Materials | 136,133,906 | 136,133,906 | -- | -- |
Real Estate | 78,743,128 | 78,743,128 | -- | -- |
Telecommunication Services | 112,982,352 | 112,982,352 | -- | -- |
Utilities | 141,952,865 | 141,952,865 | -- | -- |
U.S. Government and Government Agency Obligations | 5,781,585 | -- | 5,781,585 | -- |
Money Market Funds | 101,060,400 | 101,060,400 | -- | -- |
Total Investments in Securities: | $2,969,676,338 | $2,963,894,753 | $5,781,585 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,402,302 | $1,402,302 | $-- | $-- |
Total Assets | $1,402,302 | $1,402,302 | $-- | $-- |
Total Derivative Instruments: | $1,402,302 | $1,402,302 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $1,402,302 | $0 |
Total Equity Risk | 1,402,302 | 0 |
Total Value of Derivatives | $1,402,302 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® Large Cap Value Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $70,347,780) — See accompanying schedule: Unaffiliated issuers (cost $2,516,605,970) | $2,868,615,938 | |
Fidelity Central Funds (cost $101,049,003) | 101,060,400 | |
Total Investments (cost $2,617,654,973) | $2,969,676,338 | |
Receivable for investments sold | 24,543,527 | |
Receivable for fund shares sold | 8,565,507 | |
Dividends receivable | 7,540,057 | |
Distributions receivable from Fidelity Central Funds | 28,632 | |
Total assets | 3,010,354,061 | |
Liabilities | ||
Payable to custodian bank | $784,587 | |
Payable for investments purchased | 41,335,778 | |
Payable for fund shares redeemed | 4,593,918 | |
Accrued management fee | 703,032 | |
Payable for daily variation margin for derivative instruments | 77,565 | |
Other affiliated payables | 351,516 | |
Collateral on securities loaned | 73,280,378 | |
Total liabilities | 121,126,774 | |
Net Assets | $2,889,227,287 | |
Net Assets consist of: | ||
Paid in capital | $2,521,289,150 | |
Undistributed net investment income | 9,477,261 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 5,037,209 | |
Net unrealized appreciation (depreciation) on investments | 353,423,667 | |
Net Assets, for 230,639,191 shares outstanding | $2,889,227,287 | |
Net Asset Value, offering price and redemption price per share ($2,889,227,287 ÷ 230,639,191 shares) | $12.53 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $54,861,789 | |
Interest | 50,227 | |
Income from Fidelity Central Funds (including $238,171 from security lending) | 362,727 | |
Total income | 55,274,743 | |
Expenses | ||
Management fee | $6,216,249 | |
Transfer agent fees | 3,112,230 | |
Independent trustees' fees and expenses | 8,555 | |
Miscellaneous | 5,737 | |
Total expenses before reductions | 9,342,771 | |
Expense reductions | (362) | 9,342,409 |
Net investment income (loss) | 45,932,334 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 40,239,557 | |
Fidelity Central Funds | (4,956) | |
Foreign currency transactions | 27 | |
Futures contracts | 5,199,649 | |
Total net realized gain (loss) | 45,434,277 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 415,177,382 | |
Futures contracts | 899,649 | |
Total change in net unrealized appreciation (depreciation) | 416,077,031 | |
Net gain (loss) | 461,511,308 | |
Net increase (decrease) in net assets resulting from operations | $507,443,642 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $45,932,334 | $29,451,038 |
Net realized gain (loss) | 45,434,277 | (21,752,912) |
Change in net unrealized appreciation (depreciation) | 416,077,031 | (148,264,686) |
Net increase (decrease) in net assets resulting from operations | 507,443,642 | (140,566,560) |
Distributions to shareholders from net investment income | (38,789,221) | (27,330,027) |
Distributions to shareholders from net realized gain | – | (19,261,829) |
Total distributions | (38,789,221) | (46,591,856) |
Share transactions | ||
Proceeds from sales of shares | 1,358,650,321 | 973,573,154 |
Reinvestment of distributions | 37,834,856 | 45,246,065 |
Cost of shares redeemed | (544,200,825) | (368,721,721) |
Net increase (decrease) in net assets resulting from share transactions | 852,284,352 | 650,097,498 |
Total increase (decrease) in net assets | 1,320,938,773 | 462,939,082 |
Net Assets | ||
Beginning of period | 1,568,288,514 | 1,105,349,432 |
End of period | $2,889,227,287 | $1,568,288,514 |
Other Information | ||
Undistributed net investment income end of period | $9,477,261 | $2,921,629 |
Shares | ||
Sold | 117,663,726 | 90,741,261 |
Issued in reinvestment of distributions | 3,143,198 | 4,311,676 |
Redeemed | (47,915,162) | (34,436,496) |
Net increase (decrease) | 72,891,762 | 60,616,441 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Large Cap Value Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $9.94 | $11.38 | $10.21 | $8.89 | $7.78 |
Income from Investment Operations | |||||
Net investment income (loss)B | .25 | .24 | .26C | .20 | .18 |
Net realized and unrealized gain (loss) | 2.55 | (1.32) | 1.28 | 1.87 | 1.21 |
Total from investment operations | 2.80 | (1.08) | 1.54 | 2.07 | 1.39 |
Distributions from net investment income | (.21) | (.21) | (.12) | (.16) | (.15) |
Distributions from net realized gain | – | (.15) | (.24) | (.59) | (.13) |
Total distributions | (.21) | (.36) | (.37)D | (.75) | (.28) |
Net asset value, end of period | $12.53 | $9.94 | $11.38 | $10.21 | $8.89 |
Total ReturnE | 28.30% | (9.69)% | 15.37% | 23.92% | 18.38% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.23% | 2.20% | 2.34%C | 2.01% | 2.27% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,889,227 | $1,568,289 | $1,105,349 | $180,081 | $106,740 |
Portfolio turnover rateH | 81% | 88% | 76%I | 85% | 76% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net Investment 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%.
D Total 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.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Large Cap Core Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Large Cap Core Enhanced Index Fund | 23.09% | 13.45% | 6.93% |
A From April 19, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Large Cap Core Enhanced Index Fund on April 19, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227407720_740.jpg)
Period Ending Values | ||
$19,371 | Fidelity® Large Cap Core Enhanced Index Fund | |
$19,891 | S&P 500® Index |
Fidelity® Large Cap Core Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500® index gained 24.98% for the year ending February 28, 2017, rising sharply in the period’s final four months on renewed optimism for economic growth. The beginning of the period saw improving investor sentiment amid U.S. job gains, a rally in energy, and other stimuli that helped keep the seven-year bull uptrend intact. Markets tumbled briefly following Brexit – the U.K.’s June vote to exit the European Union – recovering quickly to settle into a flattish stretch until the November U.S. presidential election. Stocks then broke out in response to Donald Trump’s surprise victory, surging to a series of new all-time highs on expectations for reflation and fiscal stimulus. For the year, financials (+47%) proved the top-performing sector by far, riding an uptick in bond yields and a rally in banks, especially post-election. Industrials (+27%), energy (+26%) and materials (+28%) also fared well, the latter two driven by a cyclical rebound in commodity prices. Information technology rose 33%, despite cooling off late in 2016. Conversely, real estate and health care each returned 15%, lagging the broad market on prospects of rising interest rates and an uncertain political and regulatory outlook, respectively. An improved backdrop for riskier assets curbed dividend-rich telecom services (+9%), consumer staples (+12%) and utilities (+16%).Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 23.09%, falling short of the 24.98% increase in the benchmark S&P 500® index. The fund’s exposure to stocks with attractive profitability and momentum characteristics proved detrimental to relative performance, as both factors lagged the market. In contrast, we generally benefited from our allocation to companies displaying the factors of strong earnings quality; cyclical value; and “information flow alpha,” our proprietary measure of how investors in various market segments are processing information about stocks. On a sector and individual stock basis, security selection – which stems from our quantitative, model-driven investment approach – in energy hampered relative performance, especially a position in natural gas and oil exploration and production company Southwestern Energy, which struggled in the period’s second half on fears of oversupply in the industry. Stock picking also was detrimental in consumer discretionary, with overweightings in retailers Michael Kors Holdings and Target particularly detracting. In contrast, stock selection in materials added value, as did security selection in financials, even as a relative underweighting in this latter category tempered the positive impact. Fund holdings Bank of America, Morgan Stanley, Goldman Sachs and JPMorgan Chase all benefited from the market’s anticipation of higher interest rates and a more favorable regulatory backdrop. Another individual contributor was HP, formerly Hewlett-Packard, a provider of technology products and services that rose on better-than-expected quarterly earnings.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® Large Cap Core Enhanced Index Fund
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Apple, Inc. | 4.1 | 3.5 |
Microsoft Corp. | 2.9 | 2.7 |
Johnson & Johnson | 2.2 | 2.2 |
JPMorgan Chase & Co. | 2.1 | 1.8 |
Amazon.com, Inc. | 1.9 | 2.1 |
Wells Fargo & Co. | 1.8 | 1.6 |
Exxon Mobil Corp. | 1.8 | 2.0 |
AT&T, Inc. | 1.8 | 1.8 |
Bank of America Corp. | 1.8 | 1.4 |
Berkshire Hathaway, Inc. Class B | 1.8 | 1.5 |
22.2 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Information Technology | 23.0 | 22.5 |
Health Care | 15.7 | 16.3 |
Consumer Discretionary | 13.4 | 11.6 |
Financials | 12.8 | 14.3 |
Consumer Staples | 10.2 | 10.8 |
Industrials | 8.2 | 8.0 |
Energy | 4.9 | 5.5 |
Materials | 3.9 | 4.0 |
Telecommunication Services | 3.5 | 3.8 |
Utilities | 1.7 | 1.8 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 4.7%
As of August 31, 2016* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 4.1%
Fidelity® Large Cap Core Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 98.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 13.4% | |||
Auto Components - 1.2% | |||
BorgWarner, Inc. | 7,986 | $336,929 | |
Gentex Corp. | 53,310 | 1,121,109 | |
Lear Corp. | 18,905 | 2,684,321 | |
Tenneco, Inc. | 36,894 | 2,372,653 | |
6,515,012 | |||
Automobiles - 1.4% | |||
Ford Motor Co. | 302,235 | 3,787,005 | |
General Motors Co. | 95,759 | 3,527,762 | |
7,314,767 | |||
Hotels, Restaurants & Leisure - 1.2% | |||
Carnival Corp. unit | 56,003 | 3,133,368 | |
Darden Restaurants, Inc. | 38,234 | 2,855,315 | |
McDonald's Corp. | 3,383 | 431,840 | |
6,420,523 | |||
Internet & Direct Marketing Retail - 1.9% | |||
Amazon.com, Inc. (a) | 11,735 | 9,916,544 | |
Media - 3.7% | |||
Comcast Corp. Class A | 130,718 | 4,891,468 | |
Discovery Communications, Inc. Class C (non-vtg.) (a) | 88,476 | 2,483,521 | |
MSG Network, Inc. Class A (a) | 36,933 | 805,139 | |
Scripps Networks Interactive, Inc. Class A | 34,591 | 2,793,915 | |
The Walt Disney Co. | 62,226 | 6,850,460 | |
Time Warner, Inc. | 14,314 | 1,405,778 | |
19,230,281 | |||
Multiline Retail - 0.8% | |||
Kohl's Corp. | 37,792 | 1,610,695 | |
Target Corp. | 48,939 | 2,876,145 | |
4,486,840 | |||
Specialty Retail - 2.4% | |||
Bed Bath & Beyond, Inc. | 65,328 | 2,639,251 | |
Best Buy Co., Inc. | 64,958 | 2,866,597 | |
Gap, Inc. (b) | 40,546 | 1,006,352 | |
Home Depot, Inc. | 36,906 | 5,348,048 | |
Staples, Inc. | 61,074 | 549,055 | |
12,409,303 | |||
Textiles, Apparel & Luxury Goods - 0.8% | |||
Carter's, Inc. | 18,680 | 1,644,027 | |
Michael Kors Holdings Ltd. (a) | 62,093 | 2,266,395 | |
Ralph Lauren Corp. | 5,411 | 429,255 | |
4,339,677 | |||
TOTAL CONSUMER DISCRETIONARY | 70,632,947 | ||
CONSUMER STAPLES - 10.2% | |||
Beverages - 1.6% | |||
PepsiCo, Inc. | 61,193 | 6,754,483 | |
The Coca-Cola Co. | 36,765 | 1,542,659 | |
8,297,142 | |||
Food & Staples Retailing - 2.6% | |||
CVS Health Corp. | 60,219 | 4,852,447 | |
Wal-Mart Stores, Inc. | 76,326 | 5,413,803 | |
Walgreens Boots Alliance, Inc. | 37,702 | 3,256,699 | |
13,522,949 | |||
Food Products - 1.8% | |||
Bunge Ltd. | 24,961 | 2,043,058 | |
Campbell Soup Co. | 48,353 | 2,869,751 | |
Pilgrim's Pride Corp. (b) | 17,144 | 349,395 | |
The J.M. Smucker Co. | 10,232 | 1,450,181 | |
Tyson Foods, Inc. Class A | 50,122 | 3,135,632 | |
9,848,017 | |||
Household Products - 2.5% | |||
Colgate-Palmolive Co. | 39,438 | 2,878,185 | |
Procter & Gamble Co. | 98,550 | 8,974,949 | |
Spectrum Brands Holdings, Inc. (b) | 10,289 | 1,396,423 | |
13,249,557 | |||
Tobacco - 1.7% | |||
Altria Group, Inc. | 85,120 | 6,377,190 | |
Philip Morris International, Inc. | 16,245 | 1,776,391 | |
Reynolds American, Inc. | 11,229 | 691,370 | |
8,844,951 | |||
TOTAL CONSUMER STAPLES | 53,762,616 | ||
ENERGY - 4.9% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes, Inc. | 2,095 | 126,287 | |
Dril-Quip, Inc. (a)(b) | 7,840 | 480,984 | |
Schlumberger Ltd. | 3,492 | 280,617 | |
TechnipFMC PLC (a) | 19,157 | 619,154 | |
1,507,042 | |||
Oil, Gas & Consumable Fuels - 4.6% | |||
Antero Resources Corp. (a)(b) | 79,752 | 1,912,453 | |
Chesapeake Energy Corp. (a)(b) | 127,540 | 695,093 | |
Chevron Corp. | 24,719 | 2,780,888 | |
ConocoPhillips Co. | 4,731 | 225,054 | |
Enbridge, Inc. | 5,258 | 220,047 | |
Exxon Mobil Corp. | 114,196 | 9,286,419 | |
Noble Energy, Inc. | 6,050 | 220,281 | |
ONEOK, Inc. (b) | 31,591 | 1,707,494 | |
Southwestern Energy Co. (a) | 217,048 | 1,630,030 | |
The Williams Companies, Inc. | 70,453 | 1,996,638 | |
Valero Energy Corp. | 51,423 | 3,494,193 | |
24,168,590 | |||
TOTAL ENERGY | 25,675,632 | ||
FINANCIALS - 12.8% | |||
Banks - 6.0% | |||
Bank of America Corp. | 372,929 | 9,203,888 | |
Citigroup, Inc. | 23,030 | 1,377,424 | |
JPMorgan Chase & Co. | 122,859 | 11,133,483 | |
U.S. Bancorp | 7,493 | 412,115 | |
Wells Fargo & Co. | 162,251 | 9,391,088 | |
31,517,998 | |||
Capital Markets - 2.0% | |||
Goldman Sachs Group, Inc. | 19,840 | 4,921,510 | |
Morgan Stanley | 95,742 | 4,372,537 | |
Morningstar, Inc. | 10,334 | 829,097 | |
Thomson Reuters Corp. | 7,695 | 325,366 | |
10,448,510 | |||
Consumer Finance - 1.9% | |||
Ally Financial, Inc. | 15,154 | 340,813 | |
American Express Co. | 45,812 | 3,667,709 | |
Capital One Financial Corp. | 31,432 | 2,950,208 | |
Discover Financial Services | 44,146 | 3,140,546 | |
10,099,276 | |||
Diversified Financial Services - 1.8% | |||
Berkshire Hathaway, Inc. Class B (a) | 53,659 | 9,198,226 | |
Insurance - 1.0% | |||
AFLAC, Inc. | 31,065 | 2,247,553 | |
Everest Re Group Ltd. | 580 | 136,381 | |
Principal Financial Group, Inc. | 5,487 | 343,157 | |
Prudential Financial, Inc. | 22,716 | 2,511,027 | |
5,238,118 | |||
Mortgage Real Estate Investment Trusts - 0.1% | |||
Annaly Capital Management, Inc. | 31,799 | 352,969 | |
MFA Financial, Inc. | 24,940 | 200,019 | |
552,988 | |||
TOTAL FINANCIALS | 67,055,116 | ||
HEALTH CARE - 15.7% | |||
Biotechnology - 3.7% | |||
AbbVie, Inc. | 54,498 | 3,370,156 | |
Amgen, Inc. | 35,240 | 6,220,917 | |
Biogen, Inc. (a) | 9,669 | 2,790,473 | |
Gilead Sciences, Inc. | 71,450 | 5,035,796 | |
United Therapeutics Corp. (a)(b) | 14,610 | 2,158,189 | |
19,575,531 | |||
Health Care Equipment & Supplies - 1.1% | |||
Abbott Laboratories | 890 | 40,121 | |
Baxter International, Inc. | 39,095 | 1,990,717 | |
Becton, Dickinson & Co. | 408 | 74,684 | |
Danaher Corp. | 22,162 | 1,895,959 | |
Masimo Corp. (a) | 18,722 | 1,691,720 | |
Medtronic PLC | 2,114 | 171,044 | |
5,864,245 | |||
Health Care Providers & Services - 4.7% | |||
Aetna, Inc. | 30,431 | 3,918,296 | |
Anthem, Inc. | 23,880 | 3,935,902 | |
Centene Corp. (a) | 11,050 | 779,025 | |
Cigna Corp. | 2,548 | 379,397 | |
Express Scripts Holding Co. (a) | 52,959 | 3,741,553 | |
HCA Holdings, Inc. (a) | 6,312 | 550,659 | |
Humana, Inc. (b) | 740 | 156,325 | |
McKesson Corp. | 23,817 | 3,575,646 | |
UnitedHealth Group, Inc. | 41,091 | 6,795,630 | |
Wellcare Health Plans, Inc. (a) | 5,235 | 739,182 | |
24,571,615 | |||
Life Sciences Tools & Services - 0.1% | |||
PRA Health Sciences, Inc. (a) | 3,026 | 178,564 | |
Pharmaceuticals - 6.1% | |||
Allergan PLC | 6,714 | 1,643,721 | |
Bristol-Myers Squibb Co. | 60,922 | 3,454,887 | |
Eli Lilly & Co. | 928 | 76,848 | |
Johnson & Johnson | 92,656 | 11,323,490 | |
Merck & Co., Inc. | 113,053 | 7,446,801 | |
Pfizer, Inc. | 237,836 | 8,114,964 | |
32,060,711 | |||
TOTAL HEALTH CARE | 82,250,666 | ||
INDUSTRIALS - 8.2% | |||
Aerospace & Defense - 2.6% | |||
General Dynamics Corp. | 9,652 | 1,832,046 | |
Moog, Inc. Class A (a) | 7,394 | 499,687 | |
Northrop Grumman Corp. | 4,723 | 1,167,006 | |
Raytheon Co. | 13,672 | 2,107,539 | |
Spirit AeroSystems Holdings, Inc. Class A | 44,940 | 2,768,753 | |
The Boeing Co. | 30,603 | 5,515,579 | |
13,890,610 | |||
Airlines - 1.0% | |||
Delta Air Lines, Inc. | 68,268 | 3,408,621 | |
Hawaiian Holdings, Inc. (a) | 19,683 | 957,578 | |
United Continental Holdings, Inc. (a) | 11,996 | 888,784 | |
5,254,983 | |||
Building Products - 0.3% | |||
Owens Corning | 31,839 | 1,862,263 | |
Commercial Services & Supplies - 0.0% | |||
LSC Communications, Inc. | 148 | 4,206 | |
Electrical Equipment - 0.5% | |||
Eaton Corp. PLC | 37,059 | 2,667,507 | |
Industrial Conglomerates - 2.1% | |||
3M Co. | 29,986 | 5,587,891 | |
General Electric Co. | 146,936 | 4,380,162 | |
Honeywell International, Inc. | 7,738 | 963,381 | |
10,931,434 | |||
Machinery - 1.4% | |||
Allison Transmission Holdings, Inc. | 13,336 | 479,829 | |
Cummins, Inc. | 22,358 | 3,319,939 | |
Illinois Tool Works, Inc. | 1,066 | 140,723 | |
Ingersoll-Rand PLC | 28,236 | 2,240,809 | |
Stanley Black & Decker, Inc. | 6,285 | 799,138 | |
Toro Co. | 4,849 | 291,958 | |
7,272,396 | |||
Trading Companies & Distributors - 0.3% | |||
W.W. Grainger, Inc. (b) | 5,606 | 1,390,064 | |
TOTAL INDUSTRIALS | 43,273,463 | ||
INFORMATION TECHNOLOGY - 23.0% | |||
Communications Equipment - 2.5% | |||
Cisco Systems, Inc. | 211,260 | 7,220,867 | |
F5 Networks, Inc. (a) | 19,263 | 2,759,810 | |
Juniper Networks, Inc. | 104,462 | 2,924,936 | |
12,905,613 | |||
Electronic Equipment & Components - 0.5% | |||
CDW Corp. | 10,181 | 599,661 | |
Corning, Inc. | 80,013 | 2,209,159 | |
2,808,820 | |||
Internet Software & Services - 4.1% | |||
Alphabet, Inc.: | |||
Class A (a) | 7,588 | 6,411,329 | |
Class C (a) | 4,356 | 3,585,903 | |
eBay, Inc. (a) | 109,760 | 3,720,864 | |
Facebook, Inc. Class A (a) | 55,454 | 7,516,235 | |
21,234,331 | |||
IT Services - 1.9% | |||
Accenture PLC Class A | 7,681 | 940,923 | |
Cognizant Technology Solutions Corp. Class A (a) | 11,926 | 706,854 | |
IBM Corp. | 37,253 | 6,698,834 | |
MasterCard, Inc. Class A | 416 | 45,951 | |
Maximus, Inc. | 5,287 | 315,475 | |
Visa, Inc. Class A | 16,025 | 1,409,239 | |
10,117,276 | |||
Semiconductors & Semiconductor Equipment - 4.6% | |||
Applied Materials, Inc. | 105,620 | 3,825,556 | |
Cirrus Logic, Inc. (a) | 15,093 | 816,229 | |
Intel Corp. | 193,409 | 7,001,406 | |
KLA-Tencor Corp. | 32,792 | 2,955,215 | |
Qualcomm, Inc. | 84,329 | 4,762,902 | |
Skyworks Solutions, Inc. | 2,188 | 207,444 | |
Texas Instruments, Inc. | 59,844 | 4,585,247 | |
24,153,999 | |||
Software - 3.2% | |||
CA Technologies, Inc. | 9,714 | 313,471 | |
Intuit, Inc. | 6,897 | 865,160 | |
Microsoft Corp. | 236,429 | 15,126,727 | |
Oracle Corp. | 12,685 | 540,254 | |
16,845,612 | |||
Technology Hardware, Storage & Peripherals - 6.2% | |||
Apple, Inc. | 156,887 | 21,491,950 | |
Hewlett Packard Enterprise Co. | 122,681 | 2,799,580 | |
HP, Inc. | 205,508 | 3,569,674 | |
Seagate Technology LLC (b) | 43,921 | 2,116,553 | |
Xerox Corp. | 340,648 | 2,534,421 | |
32,512,178 | |||
TOTAL INFORMATION TECHNOLOGY | 120,577,829 | ||
MATERIALS - 3.9% | |||
Chemicals - 2.7% | |||
Celanese Corp. Class A | 673 | 60,011 | |
E.I. du Pont de Nemours & Co. | 13,015 | 1,022,198 | |
Huntsman Corp. | 53,332 | 1,205,303 | |
LyondellBasell Industries NV Class A | 37,368 | 3,409,456 | |
Monsanto Co. | 6,341 | 721,796 | |
The Dow Chemical Co. | 73,563 | 4,580,032 | |
The Scotts Miracle-Gro Co. Class A | 6,090 | 551,937 | |
Trinseo SA | 39,871 | 2,757,080 | |
14,307,813 | |||
Containers & Packaging - 0.0% | |||
Owens-Illinois, Inc. (a) | 6,286 | 124,463 | |
Metals & Mining - 1.0% | |||
Nucor Corp. | 51,224 | 3,205,086 | |
Reliance Steel & Aluminum Co. | 20,283 | 1,716,956 | |
4,922,042 | |||
Paper & Forest Products - 0.2% | |||
Louisiana-Pacific Corp. (a) | 42,760 | 1,008,281 | |
TOTAL MATERIALS | 20,362,599 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
Public Storage | 15,848 | 3,604,786 | |
RLJ Lodging Trust | 3,796 | 86,397 | |
Weyerhaeuser Co. | 101,824 | 3,433,505 | |
7,124,688 | |||
TELECOMMUNICATION SERVICES - 3.5% | |||
Diversified Telecommunication Services - 3.5% | |||
AT&T, Inc. | 222,044 | 9,279,219 | |
CenturyLink, Inc. (b) | 112,963 | 2,740,482 | |
Verizon Communications, Inc. | 130,838 | 6,493,490 | |
18,513,191 | |||
UTILITIES - 1.7% | |||
Electric Utilities - 1.2% | |||
Duke Energy Corp. | 48,188 | 3,977,919 | |
Exelon Corp. | 23,318 | 856,004 | |
FirstEnergy Corp. | 3,000 | 97,290 | |
NextEra Energy, Inc. | 12,320 | 1,613,920 | |
6,545,133 | |||
Gas Utilities - 0.1% | |||
UGI Corp. | 9,760 | 470,725 | |
Multi-Utilities - 0.4% | |||
Public Service Enterprise Group, Inc. | 46,922 | 2,157,474 | |
TOTAL UTILITIES | 9,173,332 | ||
TOTAL COMMON STOCKS | |||
(Cost $415,064,157) | 518,402,079 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 0.56% 8/17/17 (c) | |||
(Cost $498,702) | 500,000 | 498,413 | |
Shares | Value | ||
Money Market Funds - 3.6% | |||
Fidelity Cash Central Fund, 0.60% (d) | 4,913,413 | $4,914,395 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 13,976,256 | 13,979,052 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $18,891,823) | 18,893,447 | ||
TOTAL INVESTMENT PORTFOLIO - 102.4% | |||
(Cost $434,454,682) | 537,793,939 | ||
NET OTHER ASSETS (LIABILITIES) - (2.4)% | (12,808,166) | ||
NET ASSETS - 100% | $524,985,773 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
57 CME E-mini S&P 500 Index Contracts (United States) | March 2017 | 6,733,980 | $260,793 |
The face value of futures purchased as a percentage of Net Assets is 1.3%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $308,019.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $10,401 |
Fidelity Securities Lending Cash Central Fund | 41,080 |
Total | $51,481 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $70,632,947 | $70,632,947 | $-- | $-- |
Consumer Staples | 53,762,616 | 53,762,616 | -- | -- |
Energy | 25,675,632 | 25,675,632 | -- | -- |
Financials | 67,055,116 | 67,055,116 | -- | -- |
Health Care | 82,250,666 | 82,250,666 | -- | -- |
Industrials | 43,273,463 | 43,273,463 | -- | -- |
Information Technology | 120,577,829 | 120,577,829 | -- | -- |
Materials | 20,362,599 | 20,362,599 | -- | -- |
Real Estate | 7,124,688 | 7,124,688 | -- | -- |
Telecommunication Services | 18,513,191 | 18,513,191 | -- | -- |
Utilities | 9,173,332 | 9,173,332 | -- | -- |
U.S. Government and Government Agency Obligations | 498,413 | -- | 498,413 | -- |
Money Market Funds | 18,893,447 | 18,893,447 | -- | -- |
Total Investments in Securities: | $537,793,939 | $537,295,526 | $498,413 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $260,793 | $260,793 | $-- | $-- |
Total Assets | $260,793 | $260,793 | $-- | $-- |
Total Derivative Instruments: | $260,793 | $260,793 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $260,793 | $0 |
Total Equity Risk | 260,793 | 0 |
Total Value of Derivatives | $260,793 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® Large Cap Core Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $13,476,898) — See accompanying schedule: Unaffiliated issuers (cost $415,562,859) | $518,900,492 | |
Fidelity Central Funds (cost $18,891,823) | 18,893,447 | |
Total Investments (cost $434,454,682) | $537,793,939 | |
Cash | 35,480 | |
Receivable for investments sold | 5,905,700 | |
Receivable for fund shares sold | 685,057 | |
Dividends receivable | 1,219,694 | |
Distributions receivable from Fidelity Central Funds | 3,237 | |
Total assets | 545,643,107 | |
Liabilities | ||
Payable for investments purchased | $5,435,453 | |
Payable for fund shares redeemed | 1,032,869 | |
Accrued management fee | 129,524 | |
Payable for daily variation margin for derivative instruments | 16,786 | |
Other affiliated payables | 64,762 | |
Collateral on securities loaned | 13,977,940 | |
Total liabilities | 20,657,334 | |
Net Assets | $524,985,773 | |
Net Assets consist of: | ||
Paid in capital | $429,009,105 | |
Undistributed net investment income | 1,335,391 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (8,958,773) | |
Net unrealized appreciation (depreciation) on investments | 103,600,050 | |
Net Assets, for 39,726,578 shares outstanding | $524,985,773 | |
Net Asset Value, offering price and redemption price per share ($524,985,773 ÷ 39,726,578 shares) | $13.21 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $10,922,487 | |
Interest | 10,170 | |
Income from Fidelity Central Funds (including $41,080 from security lending) | 51,481 | |
Total income | 10,984,138 | |
Expenses | ||
Management fee | $1,448,099 | |
Transfer agent fees | 725,073 | |
Independent trustees' fees and expenses | 2,079 | |
Miscellaneous | 1,418 | |
Total expenses before reductions | 2,176,669 | |
Expense reductions | (97) | 2,176,572 |
Net investment income (loss) | 8,807,566 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,265,790 | |
Fidelity Central Funds | (866) | |
Foreign currency transactions | 6 | |
Futures contracts | 1,026,856 | |
Total net realized gain (loss) | 8,291,786 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 81,763,619 | |
Futures contracts | 137,056 | |
Total change in net unrealized appreciation (depreciation) | 81,900,675 | |
Net gain (loss) | 90,192,461 | |
Net increase (decrease) in net assets resulting from operations | $99,000,027 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $8,807,566 | $7,402,916 |
Net realized gain (loss) | 8,291,786 | 1,390,162 |
Change in net unrealized appreciation (depreciation) | 81,900,675 | (41,711,760) |
Net increase (decrease) in net assets resulting from operations | 99,000,027 | (32,918,682) |
Distributions to shareholders from net investment income | (7,861,211) | (6,567,904) |
Distributions to shareholders from net realized gain | – | (8,297,616) |
Total distributions | (7,861,211) | (14,865,520) |
Share transactions | ||
Proceeds from sales of shares | 166,579,819 | 207,509,960 |
Reinvestment of distributions | 7,444,746 | 14,075,999 |
Cost of shares redeemed | (151,876,457) | (143,985,591) |
Net increase (decrease) in net assets resulting from share transactions | 22,148,108 | 77,600,368 |
Total increase (decrease) in net assets | 113,286,924 | 29,816,166 |
Net Assets | ||
Beginning of period | 411,698,849 | 381,882,683 |
End of period | $524,985,773 | $411,698,849 |
Other Information | ||
Undistributed net investment income end of period | $1,335,391 | $603,436 |
Shares | ||
Sold | 13,918,048 | 17,838,199 |
Issued in reinvestment of distributions | 591,010 | 1,214,811 |
Redeemed | (12,563,272) | (12,333,931) |
Net increase (decrease) | 1,945,786 | 6,719,079 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Large Cap Core Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.90 | $12.29 | $11.30 | $10.70 | $9.68 |
Income from Investment Operations | |||||
Net investment income (loss)B | .22 | .22 | .20 | .19 | .21 |
Net realized and unrealized gain (loss) | 2.29 | (1.17) | 1.55 | 2.45 | 1.03 |
Total from investment operations | 2.51 | (.95) | 1.75 | 2.64 | 1.24 |
Distributions from net investment income | (.20) | (.19) | (.16) | (.27) | (.18) |
Distributions from net realized gain | – | (.25) | (.60) | (1.77) | (.05) |
Total distributions | (.20) | (.44) | (.76) | (2.04) | (.22)C |
Net asset value, end of period | $13.21 | $10.90 | $12.29 | $11.30 | $10.70 |
Total ReturnD | 23.09% | (7.94)% | 16.04% | 26.44% | 13.03% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 1.82% | 1.86% | 1.69% | 1.67% | 2.08% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $524,986 | $411,699 | $381,883 | $441,773 | $208,675 |
Portfolio turnover rateG | 82% | 84% | 101% | 125% | 85% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total 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.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Mid Cap Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Mid Cap Enhanced Index Fund | 24.85% | 14.14% | 8.83% |
A From December 20, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Mid Cap Enhanced Index Fund on December 20, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell Midcap® Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227408400_740.jpg)
Period Ending Values | ||
$21,779 | Fidelity® Mid Cap Enhanced Index Fund | |
$21,384 | Russell Midcap® Index |
Fidelity® Mid Cap Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500® index gained 24.98% for the year ending February 28, 2017, rising sharply in the period’s final four months on renewed optimism for economic growth. The beginning of the period saw improving investor sentiment amid U.S. job gains, a rally in energy, and other stimuli that helped keep the seven-year bull uptrend intact. Markets tumbled briefly following Brexit – the U.K.’s June vote to exit the European Union – recovering quickly to settle into a flattish stretch until the November U.S. presidential election. Stocks then broke out in response to Donald Trump’s surprise victory, surging to a series of new all-time highs on expectations for reflation and fiscal stimulus. For the year, financials (+47%) proved the top-performing sector by far, riding an uptick in bond yields and a rally in banks, especially post-election. Industrials (+27%), energy (+26%) and materials (+28%) also fared well, the latter two driven by a cyclical rebound in commodity prices. Information technology rose 33%, despite cooling off late in 2016. Conversely, real estate and health care each returned 15%, lagging the broad market on prospects of rising interest rates and an uncertain political and regulatory outlook, respectively. An improved backdrop for riskier assets curbed dividend-rich telecom services (+9%), consumer staples (+12%) and utilities (+16%).Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 24.85%, trailing the 26.81% increase in the benchmark Russell Midcap® Index. The fund’s exposure to stocks with attractive profitability and momentum characteristics proved detrimental, as both factors lagged the market. In contrast, we generally benefited from our allocation to companies displaying the factors of strong earnings quality; cyclical value; and “information flow alpha,” our proprietary measure of how investors in various market segments are processing information about stocks. On a sector and individual stock basis, security selection – which stems from our quantitative, model-driven investment approach – in energy hampered relative performance, especially a position in natural gas and oil exploration and production company Southwestern Energy, which struggled in the period’s second half on fears of oversupply in the industry. Stock picking also was detrimental in consumer discretionary, with overweightings in retailers Michael Kors Holdings, Target and Macy’s all detracting. In contrast, stock selection in information technology was strong, especially in the semiconductors & semiconductor equipment industry, led by a position in NVIDIA, a maker of graphics processors that in November reported much-better-than-expected financial results. Another semiconductor-related name, equipment manufacturer Applied Materials, produced strong earnings throughout the period and contributed meaningfully to our results. In industrials, another area of positive stock picking, overweighting recreational vehicle manufacturer Thor Industries added value.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® Mid Cap Enhanced Index Fund
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
NVIDIA Corp. | 1.3 | 1.0 |
Synchrony Financial | 1.0 | 0.9 |
SunTrust Banks, Inc. | 0.9 | 0.8 |
PPL Corp. | 0.9 | 0.8 |
Weyerhaeuser Co. | 0.9 | 0.9 |
Electronic Arts, Inc. | 0.9 | 0.9 |
Cummins, Inc. | 0.9 | 0.2 |
Ross Stores, Inc. | 0.8 | 0.3 |
Public Service Enterprise Group, Inc. | 0.8 | 0.8 |
Nucor Corp. | 0.8 | 0.7 |
9.2 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Consumer Discretionary | 17.0 | 15.0 |
Information Technology | 16.8 | 16.3 |
Industrials | 12.2 | 10.8 |
Financials | 11.7 | 21.0 |
Health Care | 10.5 | 11.3 |
Real Estate | 7.5 | 0.0 |
Consumer Staples | 6.4 | 7.1 |
Materials | 6.2 | 6.2 |
Energy | 5.0 | 5.4 |
Utilities | 4.8 | 5.1 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 5.3%
As of August 31, 2016* | ||
Stocks and Equity Futures | 99.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
* Foreign investments - 5.3%
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Fidelity® Mid Cap Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 98.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 17.0% | |||
Auto Components - 2.6% | |||
BorgWarner, Inc. | 166,738 | $7,034,676 | |
Delphi Automotive PLC | 81,709 | 6,220,506 | |
Gentex Corp. | 330,274 | 6,945,662 | |
Lear Corp. | 54,465 | 7,733,485 | |
Tenneco, Inc. | 32,075 | 2,062,743 | |
29,997,072 | |||
Automobiles - 0.5% | |||
Ford Motor Co. | 467,693 | 5,860,193 | |
Thor Industries, Inc. | 5,368 | 594,882 | |
6,455,075 | |||
Hotels, Restaurants & Leisure - 1.5% | |||
ARAMARK Holdings Corp. | 26,297 | 939,855 | |
Brinker International, Inc. | 38,868 | 1,641,784 | |
Darden Restaurants, Inc. | 99,460 | 7,427,673 | |
International Game Technology PLC | 36,263 | 979,101 | |
Park Hotels & Resorts, Inc. | 228,062 | 5,824,703 | |
Wyndham Worldwide Corp. | 14,516 | 1,208,312 | |
18,021,428 | |||
Household Durables - 1.2% | |||
D.R. Horton, Inc. | 251,134 | 8,036,288 | |
Garmin Ltd. | 21,675 | 1,118,647 | |
Harman International Industries, Inc. | 2,415 | 269,562 | |
NVR, Inc. (a) | 241 | 466,328 | |
PulteGroup, Inc. | 66,176 | 1,459,181 | |
Whirlpool Corp. | 13,556 | 2,420,966 | |
13,770,972 | |||
Internet & Direct Marketing Retail - 0.5% | |||
Liberty Interactive Corp. QVC Group Series A (a) | 338,653 | 6,393,769 | |
Leisure Products - 0.4% | |||
Brunswick Corp. | 69,335 | 4,152,473 | |
Media - 1.9% | |||
Discovery Communications, Inc.: | |||
Class A (a)(b) | 224,373 | 6,452,967 | |
Class C (non-vtg.) (a) | 242,730 | 6,813,431 | |
Liberty Media Corp. Liberty SiriusXM Class A (a) | 3,288 | 129,317 | |
Scripps Networks Interactive, Inc. Class A | 86,486 | 6,985,474 | |
Tegna, Inc. | 53,811 | 1,379,176 | |
21,760,365 | |||
Multiline Retail - 2.1% | |||
Dillard's, Inc. Class A (b) | 18,357 | 1,000,824 | |
Dollar General Corp. | 88,991 | 6,498,123 | |
Kohl's Corp. | 136,579 | 5,820,997 | |
Macy's, Inc. | 202,376 | 6,722,931 | |
Target Corp. | 73,529 | 4,321,299 | |
24,364,174 | |||
Specialty Retail - 4.5% | |||
Bed Bath & Beyond, Inc. | 163,770 | 6,616,308 | |
Best Buy Co., Inc. | 179,620 | 7,926,631 | |
Dick's Sporting Goods, Inc. | 86,312 | 4,224,972 | |
Foot Locker, Inc. | 88,226 | 6,676,061 | |
GameStop Corp. Class A (b) | 55,864 | 1,365,316 | |
Gap, Inc. (b) | 279,771 | 6,943,916 | |
Michaels Companies, Inc. (a) | 3,450 | 69,311 | |
Penske Automotive Group, Inc. | 3,566 | 179,370 | |
Ross Stores, Inc. | 143,503 | 9,841,436 | |
Staples, Inc. | 710,716 | 6,389,337 | |
Urban Outfitters, Inc. (a)(b) | 64,192 | 1,670,918 | |
Williams-Sonoma, Inc. (b) | 29,595 | 1,438,021 | |
53,341,597 | |||
Textiles, Apparel & Luxury Goods - 1.8% | |||
Carter's, Inc. | 18,680 | 1,644,027 | |
Michael Kors Holdings Ltd. (a) | 181,572 | 6,627,378 | |
PVH Corp. | 71,998 | 6,595,017 | |
Ralph Lauren Corp. | 83,133 | 6,594,941 | |
21,461,363 | |||
TOTAL CONSUMER DISCRETIONARY | 199,718,288 | ||
CONSUMER STAPLES - 6.4% | |||
Beverages - 0.6% | |||
Dr. Pepper Snapple Group, Inc. | 81,823 | 7,645,541 | |
Food Products - 4.9% | |||
Bunge Ltd. | 101,440 | 8,302,864 | |
Campbell Soup Co. | 119,752 | 7,107,281 | |
ConAgra Foods, Inc. | 154,159 | 6,352,892 | |
Hormel Foods Corp. | 27,984 | 986,436 | |
Ingredion, Inc. | 55,855 | 6,752,311 | |
Lamb Weston Holdings, Inc. | 30,121 | 1,180,442 | |
Mead Johnson Nutrition Co. Class A | 19,660 | 1,725,951 | |
Pilgrim's Pride Corp. (b) | 304,582 | 6,207,381 | |
The J.M. Smucker Co. | 62,478 | 8,855,007 | |
Tyson Foods, Inc. Class A | 144,600 | 9,046,176 | |
WhiteWave Foods Co. (a) | 10,161 | 559,668 | |
57,076,409 | |||
Household Products - 0.9% | |||
Church & Dwight Co., Inc. | 160,802 | 8,014,372 | |
Clorox Co. | 5,444 | 744,794 | |
Spectrum Brands Holdings, Inc. (b) | 13,723 | 1,862,486 | |
10,621,652 | |||
Personal Products - 0.0% | |||
Nu Skin Enterprises, Inc. Class A | 10,330 | 511,748 | |
TOTAL CONSUMER STAPLES | 75,855,350 | ||
ENERGY - 5.0% | |||
Energy Equipment & Services - 0.8% | |||
Baker Hughes, Inc. | 44,596 | 2,688,247 | |
Dril-Quip, Inc. (a)(b) | 96,267 | 5,905,980 | |
Rowan Companies PLC (a)(b) | 51,777 | 938,199 | |
9,532,426 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Antero Resources Corp. (a)(b) | 216,694 | 5,196,322 | |
Cabot Oil & Gas Corp. | 11,435 | 250,427 | |
Chesapeake Energy Corp. (a)(b) | 526,526 | 2,869,567 | |
Continental Resources, Inc. (a)(b) | 8,593 | 388,404 | |
Devon Energy Corp. | 40,635 | 1,761,934 | |
Energen Corp. (a) | 2,116 | 111,090 | |
EQT Corp. | 41,135 | 2,463,575 | |
Marathon Petroleum Corp. | 50,013 | 2,480,645 | |
Murphy Oil Corp. (b) | 41,528 | 1,174,827 | |
Noble Energy, Inc. | 84,202 | 3,065,795 | |
ONEOK, Inc. (b) | 146,688 | 7,928,486 | |
PBF Energy, Inc. Class A (b) | 16,618 | 406,975 | |
Rice Energy, Inc. (a) | 117,178 | 2,185,370 | |
Southwestern Energy Co. (a) | 768,333 | 5,770,181 | |
Tesoro Corp. | 54,837 | 4,671,564 | |
The Williams Companies, Inc. | 97,863 | 2,773,437 | |
Valero Energy Corp. | 86,040 | 5,846,418 | |
World Fuel Services Corp. | 17,237 | 623,462 | |
49,968,479 | |||
TOTAL ENERGY | 59,500,905 | ||
FINANCIALS - 11.7% | |||
Banks - 4.4% | |||
Citizens Financial Group, Inc. | 220,202 | 8,228,949 | |
East West Bancorp, Inc. | 80,920 | 4,379,390 | |
Fifth Third Bancorp | 341,313 | 9,365,629 | |
KeyCorp | 375,937 | 7,056,337 | |
M&T Bank Corp. | 3,901 | 651,350 | |
Regions Financial Corp. | 613,305 | 9,365,167 | |
SunTrust Banks, Inc. | 184,429 | 10,971,681 | |
TCF Financial Corp. | 106,536 | 1,853,726 | |
51,872,229 | |||
Capital Markets - 2.3% | |||
Affiliated Managers Group, Inc. | 8,426 | 1,414,978 | |
Ameriprise Financial, Inc. | 34,521 | 4,539,512 | |
Eaton Vance Corp. (non-vtg.) | 10,905 | 508,500 | |
Federated Investors, Inc. Class B (non-vtg.) (b) | 224,040 | 6,087,167 | |
Lazard Ltd. Class A | 20,936 | 901,504 | |
Morningstar, Inc. | 41,138 | 3,300,502 | |
MSCI, Inc. | 12,437 | 1,176,416 | |
Raymond James Financial, Inc. | 8,785 | 690,150 | |
T. Rowe Price Group, Inc. | 125,966 | 8,970,039 | |
27,588,768 | |||
Consumer Finance - 1.7% | |||
Ally Financial, Inc. | 53,192 | 1,196,288 | |
Navient Corp. | 381,201 | 5,874,307 | |
Santander Consumer U.S.A. Holdings, Inc. (a) | 90,988 | 1,344,803 | |
Synchrony Financial | 303,973 | 11,015,982 | |
19,431,380 | |||
Diversified Financial Services - 0.2% | |||
Donnelley Financial Solutions, Inc. (a) | 28,908 | 668,064 | |
Leucadia National Corp. | 29,948 | 797,216 | |
Varex Imaging Corp. (a) | 13,484 | 469,513 | |
1,934,793 | |||
Insurance - 1.9% | |||
American International Group, Inc. warrants 1/19/21 (a) | 574 | 12,594 | |
Arch Capital Group Ltd. (a) | 1,249 | 118,118 | |
Aspen Insurance Holdings Ltd. | 45,687 | 2,560,756 | |
Assured Guaranty Ltd. | 109,439 | 4,499,037 | |
CNA Financial Corp. | 4,957 | 212,556 | |
Everest Re Group Ltd. | 16,501 | 3,880,045 | |
FNF Group | 17,081 | 654,715 | |
Lincoln National Corp. | 47,777 | 3,352,034 | |
Old Republic International Corp. | 98,030 | 2,030,201 | |
Principal Financial Group, Inc. | 13,016 | 814,021 | |
Progressive Corp. | 27,190 | 1,065,304 | |
Prudential Financial, Inc. | 2,986 | 330,072 | |
Unum Group | 51,397 | 2,509,716 | |
22,039,169 | |||
Mortgage Real Estate Investment Trusts - 1.2% | |||
Agnc Investment Corp. | 27,229 | 534,505 | |
Annaly Capital Management, Inc. | 103,721 | 1,151,303 | |
Chimera Investment Corp. | 342,067 | 6,581,369 | |
MFA Financial, Inc. | 761,179 | 6,104,656 | |
14,371,833 | |||
TOTAL FINANCIALS | 137,238,172 | ||
HEALTH CARE - 10.5% | |||
Biotechnology - 0.6% | |||
United Therapeutics Corp. (a)(b) | 47,641 | 7,037,529 | |
Health Care Equipment & Supplies - 2.8% | |||
C.R. Bard, Inc. | 35,179 | 8,627,298 | |
Edwards Lifesciences Corp. (a) | 76,596 | 7,203,088 | |
Hill-Rom Holdings, Inc. | 25,194 | 1,674,141 | |
Hologic, Inc. (a) | 181,812 | 7,377,931 | |
Masimo Corp. (a) | 35,390 | 3,197,840 | |
The Cooper Companies, Inc. | 14,973 | 2,981,723 | |
Varian Medical Systems, Inc. (a) | 18,726 | 1,570,924 | |
32,632,945 | |||
Health Care Providers & Services - 5.1% | |||
Aetna, Inc. | 47,091 | 6,063,437 | |
AmerisourceBergen Corp. | 25,106 | 2,297,450 | |
Anthem, Inc. | 37,979 | 6,259,699 | |
Cardinal Health, Inc. | 17,215 | 1,400,785 | |
Centene Corp. (a) | 66,192 | 4,666,536 | |
Express Scripts Holding Co. (a) | 83,117 | 5,872,216 | |
HCA Holdings, Inc. (a) | 2,800 | 244,272 | |
HealthSouth Corp. | 4,709 | 199,285 | |
Humana, Inc. (b) | 1,604 | 338,845 | |
Laboratory Corp. of America Holdings (a) | 25,839 | 3,675,856 | |
McKesson Corp. | 40,208 | 6,036,427 | |
Quest Diagnostics, Inc. | 78,145 | 7,614,449 | |
Universal Health Services, Inc. Class B | 63,935 | 8,030,236 | |
VCA, Inc. (a) | 1,519 | 138,077 | |
Wellcare Health Plans, Inc. (a) | 49,952 | 7,053,222 | |
59,890,792 | |||
Health Care Technology - 0.2% | |||
Cerner Corp. (a) | 34,583 | 1,903,448 | |
Life Sciences Tools & Services - 1.2% | |||
Agilent Technologies, Inc. | 156,854 | 8,046,610 | |
Bruker Corp. | 155,709 | 3,760,372 | |
Charles River Laboratories International, Inc. (a) | 25,937 | 2,255,741 | |
PRA Health Sciences, Inc. (a) | 10,276 | 606,387 | |
VWR Corp. (a) | 4,356 | 122,404 | |
14,791,514 | |||
Pharmaceuticals - 0.6% | |||
Mallinckrodt PLC (a) | 136,352 | 7,147,572 | |
TOTAL HEALTH CARE | 123,403,800 | ||
INDUSTRIALS - 12.2% | |||
Aerospace & Defense - 1.9% | |||
Huntington Ingalls Industries, Inc. | 30,097 | 6,576,195 | |
L3 Technologies, Inc. | 19,333 | 3,254,131 | |
Northrop Grumman Corp. | 2,328 | 575,226 | |
Raytheon Co. | 1,456 | 224,442 | |
Spirit AeroSystems Holdings, Inc. Class A | 118,289 | 7,287,785 | |
Textron, Inc. | 105,221 | 4,976,953 | |
22,894,732 | |||
Airlines - 1.6% | |||
Alaska Air Group, Inc. | 56,058 | 5,483,594 | |
JetBlue Airways Corp. (a) | 314,958 | 6,286,562 | |
United Continental Holdings, Inc. (a) | 103,846 | 7,693,950 | |
19,464,106 | |||
Building Products - 0.7% | |||
Johnson Controls International PLC | 24,978 | 1,047,577 | |
Owens Corning | 120,007 | 7,019,209 | |
8,066,786 | |||
Commercial Services & Supplies - 0.8% | |||
Cintas Corp. | 35,780 | 4,222,398 | |
KAR Auction Services, Inc. | 33,925 | 1,520,519 | |
LSC Communications, Inc. | 37,805 | 1,074,418 | |
Pitney Bowes, Inc. | 89,583 | 1,221,912 | |
R.R. Donnelley & Sons Co. | 82,455 | 1,382,770 | |
9,422,017 | |||
Electrical Equipment - 0.6% | |||
Emerson Electric Co. | 6,141 | 369,074 | |
Regal Beloit Corp. | 2,078 | 154,707 | |
Rockwell Automation, Inc. | 42,646 | 6,443,811 | |
6,967,592 | |||
Industrial Conglomerates - 0.1% | |||
Carlisle Companies, Inc. | 6,650 | 686,945 | |
Machinery - 3.4% | |||
Allison Transmission Holdings, Inc. | 186,618 | 6,714,516 | |
Crane Co. | 3,311 | 239,352 | |
Cummins, Inc. | 67,363 | 10,002,732 | |
Donaldson Co., Inc. | 18,588 | 798,355 | |
Ingersoll-Rand PLC | 61,292 | 4,864,133 | |
Oshkosh Corp. | 4,319 | 293,217 | |
PACCAR, Inc. | 7,828 | 522,989 | |
Parker Hannifin Corp. | 21,664 | 3,354,454 | |
Snap-On, Inc. | 2,479 | 420,612 | |
Stanley Black & Decker, Inc. | 34,720 | 4,414,648 | |
Timken Co. | 12,538 | 554,180 | |
Toro Co. | 35,719 | 2,150,641 | |
Trinity Industries, Inc. | 85,535 | 2,295,759 | |
Wabtec Corp. (b) | 45,002 | 3,605,560 | |
40,231,148 | |||
Professional Services - 1.2% | |||
Manpower, Inc. | 70,802 | 6,870,626 | |
Robert Half International, Inc. | 142,792 | 6,888,286 | |
13,758,912 | |||
Trading Companies & Distributors - 1.9% | |||
HD Supply Holdings, Inc. (a) | 153,555 | 6,602,865 | |
MSC Industrial Direct Co., Inc. Class A | 11,750 | 1,181,933 | |
United Rentals, Inc. (a) | 63,938 | 8,185,982 | |
W.W. Grainger, Inc. (b) | 24,759 | 6,139,242 | |
22,110,022 | |||
TOTAL INDUSTRIALS | 143,602,260 | ||
INFORMATION TECHNOLOGY - 16.8% | |||
Communications Equipment - 2.0% | |||
F5 Networks, Inc. (a) | 53,424 | 7,654,056 | |
Juniper Networks, Inc. | 273,694 | 7,663,432 | |
Motorola Solutions, Inc. | 99,400 | 7,849,618 | |
23,167,106 | |||
Electronic Equipment & Components - 0.9% | |||
Arrow Electronics, Inc. (a) | 39,497 | 2,851,683 | |
Avnet, Inc. | 5,549 | 255,698 | |
CDW Corp. | 39,899 | 2,350,051 | |
Corning, Inc. | 99,696 | 2,752,607 | |
Dolby Laboratories, Inc. Class A | 42,154 | 2,060,909 | |
Keysight Technologies, Inc. (a) | 2,112 | 79,411 | |
Zebra Technologies Corp. Class A (a) | 6,317 | 573,015 | |
10,923,374 | |||
Internet Software & Services - 0.5% | |||
eBay, Inc. (a) | 181,246 | 6,144,239 | |
IT Services - 1.9% | |||
Amdocs Ltd. | 117,158 | 7,105,633 | |
Booz Allen Hamilton Holding Corp. Class A | 26,087 | 933,132 | |
Conduent, Inc. (a) | 95,577 | 1,537,834 | |
CSRA, Inc. | 1,027 | 30,625 | |
First Data Corp. Class A (a) | 2,023 | 32,570 | |
Leidos Holdings, Inc. | 17,181 | 915,747 | |
Paychex, Inc. | 120,847 | 7,422,423 | |
The Western Union Co. (b) | 208,848 | 4,101,775 | |
22,079,739 | |||
Semiconductors & Semiconductor Equipment - 5.6% | |||
Applied Materials, Inc. | 163,200 | 5,911,104 | |
Cirrus Logic, Inc. (a) | 41,966 | 2,269,521 | |
KLA-Tencor Corp. | 94,715 | 8,535,716 | |
Lam Research Corp. | 78,800 | 9,340,952 | |
Linear Technology Corp. | 17,120 | 1,105,610 | |
Maxim Integrated Products, Inc. | 181,306 | 8,031,856 | |
NVIDIA Corp. | 147,939 | 15,012,847 | |
ON Semiconductor Corp. (a) | 163,546 | 2,474,451 | |
Skyworks Solutions, Inc. | 98,853 | 9,372,253 | |
Xilinx, Inc. | 70,900 | 4,170,338 | |
66,224,648 | |||
Software - 3.6% | |||
CA Technologies, Inc. | 234,100 | 7,554,407 | |
Cadence Design Systems, Inc. (a) | 161,913 | 5,003,112 | |
CDK Global, Inc. | 76,568 | 5,086,412 | |
Citrix Systems, Inc. (a) | 82,361 | 6,502,401 | |
Electronic Arts, Inc. (a) | 115,768 | 10,013,932 | |
Intuit, Inc. | 1,000 | 125,440 | |
Synopsys, Inc. (a) | 108,683 | 7,764,314 | |
42,050,018 | |||
Technology Hardware, Storage & Peripherals - 2.3% | |||
Hewlett Packard Enterprise Co. | 66,762 | 1,523,509 | |
HP, Inc. | 363,370 | 6,311,737 | |
NCR Corp. (a) | 20,128 | 967,553 | |
NetApp, Inc. | 201,893 | 8,445,184 | |
Western Digital Corp. | 37,424 | 2,877,157 | |
Xerox Corp. | 974,388 | 7,249,447 | |
27,374,587 | |||
TOTAL INFORMATION TECHNOLOGY | 197,963,711 | ||
MATERIALS - 6.2% | |||
Chemicals - 2.5% | |||
Cabot Corp. | 50,730 | 2,941,325 | |
Celanese Corp. Class A | 60,352 | 5,381,588 | |
Eastman Chemical Co. | 98,498 | 7,904,465 | |
Huntsman Corp. | 284,222 | 6,423,417 | |
LyondellBasell Industries NV Class A | 62,428 | 5,695,931 | |
The Chemours Co. LLC | 4,547 | 153,052 | |
The Scotts Miracle-Gro Co. Class A | 10,591 | 959,862 | |
Valspar Corp. | 1,489 | 165,607 | |
29,625,247 | |||
Containers & Packaging - 1.1% | |||
Avery Dennison Corp. | 43,671 | 3,524,686 | |
Crown Holdings, Inc. (a) | 6,387 | 342,279 | |
Owens-Illinois, Inc. (a) | 70,844 | 1,402,711 | |
Packaging Corp. of America | 75,625 | 6,990,019 | |
Sonoco Products Co. | 3,971 | 211,734 | |
12,471,429 | |||
Metals & Mining - 2.6% | |||
Newmont Mining Corp. | 194,366 | 6,655,092 | |
Nucor Corp. | 153,678 | 9,615,632 | |
Reliance Steel & Aluminum Co. | 81,097 | 6,864,861 | |
Steel Dynamics, Inc. | 207,244 | 7,585,130 | |
30,720,715 | |||
TOTAL MATERIALS | 72,817,391 | ||
REAL ESTATE - 7.5% | |||
Equity Real Estate Investment Trusts (REITs) - 7.5% | |||
Brixmor Property Group, Inc. | 281,023 | 6,559,077 | |
Camden Property Trust (SBI) | 47,001 | 3,978,635 | |
Care Capital Properties, Inc. | 248,885 | 6,543,187 | |
Corrections Corp. of America | 204,118 | 6,878,777 | |
Equity Commonwealth (a) | 5,454 | 170,492 | |
Equity Lifestyle Properties, Inc. | 72,111 | 5,741,478 | |
Highwoods Properties, Inc. (SBI) | 16,032 | 841,520 | |
Hospitality Properties Trust (SBI) | 190,894 | 6,066,611 | |
Host Hotels & Resorts, Inc. (b) | 454,691 | 8,179,891 | |
Lamar Advertising Co. Class A | 66,017 | 4,982,963 | |
Liberty Property Trust (SBI) | 48,116 | 1,897,695 | |
Omega Healthcare Investors, Inc. (b) | 152,462 | 4,976,360 | |
Outfront Media, Inc. | 9,087 | 235,808 | |
Piedmont Office Realty Trust, Inc. Class A | 74,908 | 1,718,390 | |
Prologis, Inc. | 39,820 | 2,032,811 | |
Public Storage | 26,610 | 6,052,711 | |
Quality Care Properties, Inc. (a) | 165,372 | 3,138,761 | |
Retail Properties America, Inc. | 26,574 | 409,505 | |
Senior Housing Properties Trust (SBI) | 103,812 | 2,128,146 | |
Sunstone Hotel Investors, Inc. | 6,990 | 103,103 | |
The Macerich Co. | 46,201 | 3,113,023 | |
Ventas, Inc. | 4,107 | 267,160 | |
Weyerhaeuser Co. | 308,256 | 10,394,392 | |
WP Carey, Inc. | 17,163 | 1,082,814 | |
87,493,310 | |||
Real Estate Management & Development - 0.0% | |||
CBRE Group, Inc. (a) | 6,710 | 239,010 | |
TOTAL REAL ESTATE | 87,732,320 | ||
TELECOMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.8% | |||
CenturyLink, Inc. (b) | 320,648 | 7,778,920 | |
Level 3 Communications, Inc. (a) | 29,973 | 1,715,954 | |
9,494,874 | |||
UTILITIES - 4.8% | |||
Electric Utilities - 2.3% | |||
Edison International | 8,010 | 638,717 | |
Entergy Corp. | 70,954 | 5,439,334 | |
Eversource Energy | 17,902 | 1,050,131 | |
FirstEnergy Corp. | 265,401 | 8,606,954 | |
Great Plains Energy, Inc. | 13,445 | 390,712 | |
Hawaiian Electric Industries, Inc. | 2,606 | 86,728 | |
PPL Corp. | 283,998 | 10,473,846 | |
Westar Energy, Inc. | 3,924 | 211,818 | |
Xcel Energy, Inc. | 3,713 | 162,295 | |
27,060,535 | |||
Gas Utilities - 0.7% | |||
National Fuel Gas Co. | 3,697 | 222,929 | |
UGI Corp. | 152,506 | 7,355,364 | |
7,578,293 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
The AES Corp. | 44,574 | 513,492 | |
Multi-Utilities - 1.7% | |||
CenterPoint Energy, Inc. | 14,444 | 394,610 | |
Consolidated Edison, Inc. | 3,462 | 266,712 | |
DTE Energy Co. | 38,635 | 3,916,816 | |
MDU Resources Group, Inc. | 123,616 | 3,351,230 | |
Public Service Enterprise Group, Inc. | 212,449 | 9,768,405 | |
SCANA Corp. | 8,499 | 589,406 | |
WEC Energy Group, Inc. | 35,012 | 2,110,173 | |
20,397,352 | |||
Water Utilities - 0.1% | |||
American Water Works Co., Inc. | 6,864 | 535,392 | |
TOTAL UTILITIES | 56,085,064 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,021,397,123) | 1,163,412,135 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 0.56% to 0.62% 8/17/17 (c) | |||
(Cost $1,196,820) | 1,200,000 | 1,196,190 | |
Shares | Value | ||
Money Market Funds - 8.1% | |||
Fidelity Cash Central Fund, 0.60% (d) | 11,813,641 | $11,816,004 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 83,062,412 | 83,079,025 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $94,878,548) | 94,895,029 | ||
TOTAL INVESTMENT PORTFOLIO - 107.1% | |||
(Cost $1,117,472,491) | 1,259,503,354 | ||
NET OTHER ASSETS (LIABILITIES) - (7.1)% | (83,479,877) | ||
NET ASSETS - 100% | $1,176,023,477 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
71 CME E-mini S&P MidCap 400 Index Contracts (United States) | March 2017 | 12,266,670 | $429,910 |
The face value of futures purchased as a percentage of Net Assets is 1.0%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $551,244.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $34,345 |
Fidelity Securities Lending Cash Central Fund | 213,374 |
Total | $247,719 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $199,718,288 | $199,718,288 | $-- | $-- |
Consumer Staples | 75,855,350 | 75,855,350 | -- | -- |
Energy | 59,500,905 | 59,500,905 | -- | -- |
Financials | 137,238,172 | 137,238,172 | -- | -- |
Health Care | 123,403,800 | 123,403,800 | -- | -- |
Industrials | 143,602,260 | 143,602,260 | -- | -- |
Information Technology | 197,963,711 | 197,963,711 | -- | -- |
Materials | 72,817,391 | 72,817,391 | -- | -- |
Real Estate | 87,732,320 | 87,732,320 | -- | -- |
Telecommunication Services | 9,494,874 | 9,494,874 | -- | -- |
Utilities | 56,085,064 | 56,085,064 | -- | -- |
U.S. Government and Government Agency Obligations | 1,196,190 | -- | 1,196,190 | -- |
Money Market Funds | 94,895,029 | 94,895,029 | -- | -- |
Total Investments in Securities: | $1,259,503,354 | $1,258,307,164 | $1,196,190 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $429,910 | $429,910 | $-- | $-- |
Total Assets | $429,910 | $429,910 | $-- | $-- |
Total Derivative Instruments: | $429,910 | $429,910 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $429,910 | $0 |
Total Equity Risk | 429,910 | 0 |
Total Value of Derivatives | $429,910 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® Mid Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $79,599,374) — See accompanying schedule: Unaffiliated issuers (cost $1,022,593,943) | $1,164,608,325 | |
Fidelity Central Funds (cost $94,878,548) | 94,895,029 | |
Total Investments (cost $1,117,472,491) | $1,259,503,354 | |
Receivable for investments sold | 12,505,299 | |
Receivable for fund shares sold | 3,277,305 | |
Dividends receivable | 1,977,125 | |
Distributions receivable from Fidelity Central Funds | 12,099 | |
Total assets | 1,277,275,182 | |
Liabilities | ||
Payable for investments purchased | $14,880,844 | |
Payable for fund shares redeemed | 2,602,367 | |
Accrued management fee | 432,912 | |
Payable for daily variation margin for derivative instruments | 137,109 | |
Other affiliated payables | 144,304 | |
Collateral on securities loaned | 83,054,169 | |
Total liabilities | 101,251,705 | |
Net Assets | $1,176,023,477 | |
Net Assets consist of: | ||
Paid in capital | $1,030,563,075 | |
Undistributed net investment income | 1,439,172 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 1,560,457 | |
Net unrealized appreciation (depreciation) on investments | 142,460,773 | |
Net Assets, for 79,631,032 shares outstanding | $1,176,023,477 | |
Net Asset Value, offering price and redemption price per share ($1,176,023,477 ÷ 79,631,032 shares) | $14.77 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $20,541,971 | |
Interest | 23,488 | |
Income from Fidelity Central Funds (including $213,374 from security lending) | 247,719 | |
Total income | 20,813,178 | |
Expenses | ||
Management fee | $4,408,062 | |
Transfer agent fees | 1,470,706 | |
Independent trustees' fees and expenses | 4,153 | |
Miscellaneous | 2,821 | |
Total expenses before reductions | 5,885,742 | |
Expense reductions | (194) | 5,885,548 |
Net investment income (loss) | 14,927,630 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 20,792,140 | |
Fidelity Central Funds | 7,767 | |
Foreign currency transactions | (22,467) | |
Futures contracts | 3,073,364 | |
Total net realized gain (loss) | 23,850,804 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 174,574,859 | |
Futures contracts | 108,038 | |
Total change in net unrealized appreciation (depreciation) | 174,682,897 | |
Net gain (loss) | 198,533,701 | |
Net increase (decrease) in net assets resulting from operations | $213,461,331 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $14,927,630 | $10,379,153 |
Net realized gain (loss) | 23,850,804 | 5,509,202 |
Change in net unrealized appreciation (depreciation) | 174,682,897 | (109,303,196) |
Net increase (decrease) in net assets resulting from operations | 213,461,331 | (93,414,841) |
Distributions to shareholders from net investment income | (13,411,857) | (8,742,049) |
Distributions to shareholders from net realized gain | – | (30,376,224) |
Total distributions | (13,411,857) | (39,118,273) |
Share transactions | ||
Proceeds from sales of shares | 426,253,089 | 510,890,785 |
Reinvestment of distributions | 12,561,998 | 37,487,590 |
Cost of shares redeemed | (268,090,456) | (219,096,797) |
Net increase (decrease) in net assets resulting from share transactions | 170,724,631 | 329,281,578 |
Redemption fees | 7,663 | 18,422 |
Total increase (decrease) in net assets | 370,781,768 | 196,766,886 |
Net Assets | ||
Beginning of period | 805,241,709 | 608,474,823 |
End of period | $1,176,023,477 | $805,241,709 |
Other Information | ||
Undistributed net investment income end of period | $1,439,172 | $285 |
Shares | ||
Sold | 31,499,548 | 37,966,163 |
Issued in reinvestment of distributions | 869,944 | 2,951,931 |
Redeemed | (19,978,229) | (16,655,539) |
Net increase (decrease) | 12,391,263 | 24,262,555 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Mid Cap Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $11.98 | $14.16 | $13.60 | $10.97 | $9.79 |
Income from Investment Operations | |||||
Net investment income (loss)B | .21 | .18 | .15 | .15 | .18 |
Net realized and unrealized gain (loss) | 2.76 | (1.70) | 1.73 | 3.17 | 1.30 |
Total from investment operations | 2.97 | (1.52) | 1.88 | 3.32 | 1.48 |
Distributions from net investment income | (.18) | (.14) | (.10) | (.12) | (.17) |
Distributions from net realized gain | – | (.51) | (1.22) | (.57) | (.13) |
Total distributions | (.18) | (.66)C | (1.32) | (.69) | (.30) |
Redemption fees added to paid in capitalB,D | – | – | – | – | – |
Net asset value, end of period | $14.77 | $11.98 | $14.16 | $13.60 | $10.97 |
Total ReturnE | 24.85% | (11.02)% | 15.22% | 30.97% | 15.57% |
Ratios to Average Net AssetsF,G | |||||
Expenses before reductions | .60% | .60% | .60% | .60% | .60% |
Expenses net of fee waivers, if any | .60% | .60% | .60% | .60% | .60% |
Expenses net of all reductions | .60% | .60% | .60% | .60% | .60% |
Net investment income (loss) | 1.53% | 1.34% | 1.08% | 1.24% | 1.80% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $1,176,023 | $805,242 | $608,475 | $271,674 | $128,130 |
Portfolio turnover rateH | 87% | 88% | 89% | 128% | 99% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.66 per share is comprised of distributions from net investment income of $.144 and distributions from net realized gain of $.511 per share.
D Amount represents less than $.005 per share.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity® Small Cap Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® Small Cap Enhanced Index Fund | 31.15% | 13.90% | 8.73% |
A From December 20, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Small Cap Enhanced Index Fund on December 20, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 2000® Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227408315_740.jpg)
Period Ending Values | ||
$21,599 | Fidelity® Small Cap Enhanced Index Fund | |
$20,554 | Russell 2000® Index |
Fidelity® Small Cap Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500® index gained 24.98% for the year ending February 28, 2017, rising sharply in the period’s final four months on renewed optimism for economic growth. The beginning of the period saw improving investor sentiment amid U.S. job gains, a rally in energy, and other stimuli that helped keep the seven-year bull uptrend intact. Markets tumbled briefly following Brexit – the U.K.’s June vote to exit the European Union – recovering quickly to settle into a flattish stretch until the November U.S. presidential election. Stocks then broke out in response to Donald Trump’s surprise victory, surging to a series of new all-time highs on expectations for reflation and fiscal stimulus. For the year, financials (+47%) proved the top-performing sector by far, riding an uptick in bond yields and a rally in banks, especially post-election. Industrials (+27%), energy (+26%) and materials (+28%) also fared well, the latter two driven by a cyclical rebound in commodity prices. Information technology rose 33%, despite cooling off late in 2016. Conversely, real estate and health care each returned 15%, lagging the broad market on prospects of rising interest rates and an uncertain political and regulatory outlook, respectively. An improved backdrop for riskier assets curbed dividend-rich telecom services (+9%), consumer staples (+12%) and utilities (+16%).Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 31.15%, trailing the 36.11% increase in the benchmark Russell 2000® Index. The fund’s exposure to stocks with attractive profitability and momentum characteristics proved detrimental, as both factors lagged the market. In contrast, we generally benefited from our allocation to companies displaying the factors of strong earnings quality; cyclical value; and “information flow alpha,” our proprietary measure of how investors in various market segments are processing information about stocks. The fund struggled with stock picking in the health care, real estate and industrials sectors this period. In health care, where security selection was weakest, our stake in Molina Healthcare, a provider of Medicaid-related services, returned -22% and detracted meaningfully from the fund’s results. Elsewhere, nutritional products retailer GNC was the fund’s biggest individual detractor; its shares lost significant value due to a series of disappointing earnings reports. Rent-A-Center, a provider of rent-to-own home furnishings, also hampered relative performance. In contrast, although stock selection was strongest in telecommunication services, our leading individual contributor was chipmaker Advanced Micro Devices, whose shares gained 196% for the fund. Masimo, a medical technology company, further contributed to results, as did Isle of Capri Casinos, a regional operator of casino properties that in September agreed to a buyout offer.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® Small Cap Enhanced Index Fund
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Advanced Micro Devices, Inc. | 1.1 | 0.5 |
The Chemours Co. LLC | 0.8 | 0.0 |
Aspen Technology, Inc. | 0.7 | 0.4 |
Masimo Corp. | 0.7 | 0.7 |
Umpqua Holdings Corp. | 0.7 | 0.7 |
Finisar Corp. | 0.7 | 0.0 |
Financial Engines, Inc. | 0.7 | 0.6 |
Cirrus Logic, Inc. | 0.7 | 0.4 |
Tenneco, Inc. | 0.7 | 0.7 |
Deluxe Corp. | 0.7 | 0.7 |
7.5 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Financials | 18.6 | 24.0 |
Information Technology | 17.5 | 16.1 |
Health Care | 13.9 | 14.8 |
Consumer Discretionary | 12.7 | 12.5 |
Industrials | 11.8 | 11.9 |
Real Estate | 5.6 | 0.0 |
Materials | 5.4 | 5.6 |
Consumer Staples | 3.9 | 4.5 |
Energy | 3.3 | 3.3 |
Utilities | 2.2 | 2.4 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Asset Allocation (% of fund's net assets)
As of February 28, 2017* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.2%
As of August 31, 2016* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 4.3%
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Fidelity® Small Cap Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 95.3% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 3.0% | |||
American Axle & Manufacturing Holdings, Inc. (a) | 343,874 | $6,815,583 | |
Cooper Tire & Rubber Co. | 160,259 | 6,482,477 | |
Cooper-Standard Holding, Inc. (a) | 63,970 | 7,164,640 | |
Dana Holding Corp. | 191,356 | 3,614,715 | |
Lci Industries | 21,411 | 2,305,965 | |
Spartan Motors, Inc. | 13,472 | 89,589 | |
Stoneridge, Inc. (a) | 38,028 | 642,293 | |
Superior Industries International, Inc. | 34,260 | 767,424 | |
Tenneco, Inc. | 124,308 | 7,994,247 | |
Tower International, Inc. | 20,436 | 565,055 | |
36,441,988 | |||
Diversified Consumer Services - 0.7% | |||
Capella Education Co. | 51,483 | 3,917,856 | |
DeVry, Inc. (b) | 66,434 | 2,135,853 | |
K12, Inc. (a) | 165,262 | 2,951,579 | |
9,005,288 | |||
Hotels, Restaurants & Leisure - 0.3% | |||
Bloomin' Brands, Inc. | 27,625 | 472,111 | |
Isle of Capri Casinos, Inc. (a) | 38,611 | 937,861 | |
Marriott Vacations Worldwide Corp. (b) | 29,307 | 2,752,807 | |
4,162,779 | |||
Household Durables - 1.2% | |||
Bassett Furniture Industries, Inc. | 12,916 | 353,253 | |
CSS Industries, Inc. | 1,176 | 28,906 | |
Ethan Allen Interiors, Inc. (b) | 44,778 | 1,287,368 | |
Flexsteel Industries, Inc. | 78,895 | 3,966,841 | |
La-Z-Boy, Inc. | 218,032 | 5,886,864 | |
M/I Homes, Inc. | 9,876 | 233,074 | |
Taylor Morrison Home Corp. (a) | 47,732 | 960,845 | |
TRI Pointe Homes, Inc. (a) | 109,830 | 1,311,370 | |
14,028,521 | |||
Internet & Direct Marketing Retail - 0.2% | |||
HSN, Inc. | 31,585 | 1,190,755 | |
Shutterfly, Inc. (a)(b) | 23,540 | 1,068,245 | |
2,259,000 | |||
Leisure Products - 1.1% | |||
American Outdoor Brands Corp. (a) | 319,563 | 6,212,305 | |
Brunswick Corp. | 67,079 | 4,017,361 | |
Johnson Outdoors, Inc. Class A | 1,094 | 38,378 | |
MCBC Holdings, Inc. (a) | 64,691 | 949,664 | |
Nautilus, Inc. (a) | 95,143 | 1,531,802 | |
12,749,510 | |||
Media - 0.5% | |||
A.H. Belo Corp. Class A | 16,805 | 105,872 | |
Gannett Co., Inc. | 34,781 | 303,290 | |
Meredith Corp. | 9,907 | 621,169 | |
MSG Network, Inc. Class A (a) | 180,807 | 3,941,593 | |
New Media Investment Group, Inc. | 29,328 | 452,531 | |
Saga Communications, Inc. Class A | 1,243 | 62,026 | |
The McClatchy Co. Class A (a) | 8,639 | 96,325 | |
5,582,806 | |||
Multiline Retail - 0.6% | |||
Big Lots, Inc. (b) | 143,925 | 7,389,110 | |
Specialty Retail - 4.8% | |||
Aarons, Inc. Class A | 255,712 | 6,975,823 | |
American Eagle Outfitters, Inc. (b) | 488,795 | 7,747,401 | |
Big 5 Sporting Goods Corp. (b) | 288,333 | 3,878,079 | |
Caleres, Inc. | 154,016 | 4,600,458 | |
Chico's FAS, Inc. | 410,790 | 5,948,239 | |
DSW, Inc. Class A | 319,069 | 6,710,021 | |
Express, Inc. (a) | 351,881 | 3,955,142 | |
Genesco, Inc. (a)(b) | 24,056 | 1,402,465 | |
GNC Holdings, Inc. (b) | 759,234 | 6,301,642 | |
Group 1 Automotive, Inc. | 1,418 | 110,164 | |
Office Depot, Inc. | 1,531,659 | 6,387,018 | |
Pier 1 Imports, Inc. | 118,375 | 796,664 | |
Rent-A-Center, Inc. (b) | 28,820 | 249,869 | |
Shoe Carnival, Inc. | 83,173 | 2,107,604 | |
The Cato Corp. Class A (sub. vtg.) | 37,388 | 935,074 | |
The Children's Place Retail Stores, Inc. (b) | 5,772 | 584,704 | |
58,690,367 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
Movado Group, Inc. | 114,516 | 2,777,013 | |
Unifi, Inc. (a) | 39,133 | 1,067,940 | |
3,844,953 | |||
TOTAL CONSUMER DISCRETIONARY | 154,154,322 | ||
CONSUMER STAPLES - 3.9% | |||
Food & Staples Retailing - 1.0% | |||
Ingles Markets, Inc. Class A | 48,421 | 2,268,524 | |
SpartanNash Co. | 173,732 | 6,063,247 | |
United Natural Foods, Inc. (a)(b) | 85,037 | 3,660,843 | |
11,992,614 | |||
Food Products - 1.6% | |||
Dean Foods Co. (b) | 317,630 | 5,793,571 | |
Fresh Del Monte Produce, Inc. | 58,885 | 3,407,675 | |
Omega Protein Corp. | 207,048 | 5,269,372 | |
Sanderson Farms, Inc. (b) | 38,980 | 3,704,659 | |
Seaboard Corp. | 152 | 552,132 | |
Seneca Foods Corp. Class A (a) | 19,944 | 748,897 | |
19,476,306 | |||
Household Products - 0.4% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 158,966 | 5,078,964 | |
Personal Products - 0.3% | |||
Avon Products, Inc. (a) | 10,860 | 47,784 | |
MediFast, Inc. | 21,116 | 946,841 | |
Natural Health Trends Corp. (b) | 20,628 | 573,252 | |
Nutraceutical International Corp. | 5,298 | 178,543 | |
USANA Health Sciences, Inc. (a) | 30,594 | 1,775,982 | |
3,522,402 | |||
Tobacco - 0.6% | |||
Universal Corp. | 99,373 | 6,727,552 | |
TOTAL CONSUMER STAPLES | 46,797,838 | ||
ENERGY - 3.3% | |||
Energy Equipment & Services - 2.2% | |||
Archrock, Inc. | 175,555 | 2,396,326 | |
Atwood Oceanics, Inc. (a)(b) | 570,095 | 5,991,698 | |
Dril-Quip, Inc. (a)(b) | 93,613 | 5,743,158 | |
Exterran Corp. (a) | 30,829 | 938,435 | |
Gulf Island Fabrication, Inc. | 2,956 | 33,698 | |
Matrix Service Co. (a) | 192,835 | 3,123,927 | |
McDermott International, Inc. (a) | 910,731 | 6,702,980 | |
Natural Gas Services Group, Inc. (a) | 10,416 | 271,337 | |
PHI, Inc. (non-vtg.) (a) | 14,134 | 204,802 | |
Pioneer Energy Services Corp. (a) | 158,260 | 830,865 | |
26,237,226 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Adams Resources & Energy, Inc. | 834 | 33,777 | |
Bill Barrett Corp. (a)(b) | 324,681 | 1,788,992 | |
DHT Holdings, Inc. (b) | 564,543 | 2,613,834 | |
Evolution Petroleum Corp. | 9,868 | 86,345 | |
Golar LNG Ltd. (b) | 17,445 | 476,423 | |
International Seaways, Inc. (a) | 27,871 | 522,581 | |
Navios Maritime Acquisition Corp. | 67,512 | 124,222 | |
Overseas Shipholding Group, Inc. | 123,768 | 618,840 | |
Sanchez Energy Corp. (a)(b) | 448,852 | 5,161,798 | |
Scorpio Tankers, Inc. | 138,723 | 534,084 | |
Teekay Tankers Ltd. | 238,762 | 558,703 | |
Western Refining, Inc. | 14,802 | 540,569 | |
Westmoreland Coal Co. (a) | 19,496 | 281,522 | |
13,341,690 | |||
TOTAL ENERGY | 39,578,916 | ||
FINANCIALS - 18.6% | |||
Banks - 8.4% | |||
Arrow Financial Corp. | 2,995 | 104,526 | |
Atlantic Capital Bancshares, Inc. (a) | 3,165 | 56,970 | |
BancFirst Corp. | 36,986 | 3,526,615 | |
Banco Latinoamericano de Comercio Exterior SA Series E | 107,411 | 3,021,471 | |
Banner Corp. | 26,722 | 1,553,083 | |
Berkshire Hills Bancorp, Inc. | 33,833 | 1,195,997 | |
Brookline Bancorp, Inc., Delaware | 49,620 | 786,477 | |
Cathay General Bancorp | 152,663 | 5,996,603 | |
Centerstate Banks of Florida, Inc. | 27,508 | 679,723 | |
Community Trust Bancorp, Inc. | 18,025 | 827,348 | |
Customers Bancorp, Inc. (a) | 19,933 | 684,300 | |
Fidelity Southern Corp. | 57,479 | 1,354,780 | |
Financial Institutions, Inc. | 3,705 | 126,711 | |
First Bancorp, North Carolina | 31,508 | 946,815 | |
First Bancorp, Puerto Rico (a) | 911,991 | 5,818,503 | |
First Busey Corp. | 21,015 | 649,784 | |
First Financial Bancorp, Ohio | 54,324 | 1,507,491 | |
First Interstate Bancsystem, Inc. | 65,055 | 2,852,662 | |
First Merchants Corp. | 1,798 | 72,136 | |
First Midwest Bancorp, Inc., Delaware | 117,586 | 2,872,626 | |
Fulton Financial Corp. | 413,768 | 7,913,313 | |
Great Southern Bancorp, Inc. | 26,662 | 1,334,433 | |
Great Western Bancorp, Inc. | 59,481 | 2,542,218 | |
Guaranty Bancorp | 40,324 | 998,019 | |
Hancock Holding Co. | 17,882 | 848,501 | |
Hanmi Financial Corp. | 23,447 | 783,130 | |
Heartland Financial U.S.A., Inc. | 3,217 | 159,402 | |
Heritage Commerce Corp. | 75,194 | 1,067,755 | |
Hilltop Holdings, Inc. | 72,651 | 2,061,835 | |
Home Bancshares, Inc. | 90,752 | 2,553,761 | |
Huntington Bancshares, Inc. | 115,955 | 1,639,604 | |
IBERIABANK Corp. | 67,414 | 5,713,337 | |
International Bancshares Corp. | 121,079 | 4,607,056 | |
Investors Bancorp, Inc. | 168,441 | 2,464,292 | |
LegacyTexas Financial Group, Inc. | 43,287 | 1,843,593 | |
MainSource Financial Group, Inc. | 5,813 | 199,095 | |
Merchants Bancshares, Inc. | 13,417 | 690,305 | |
National Bank Holdings Corp. | 15,832 | 522,298 | |
Opus Bank | 47,000 | 1,015,200 | |
Peapack-Gladstone Financial Corp. | 12,190 | 382,035 | |
Preferred Bank, Los Angeles | 7,820 | 439,015 | |
PrivateBancorp, Inc. | 18,511 | 1,047,723 | |
Renasant Corp. | 4,079 | 167,402 | |
Sandy Spring Bancorp, Inc. | 35,586 | 1,532,333 | |
Stonegate Bank | 15,434 | 715,675 | |
UMB Financial Corp. | 8,265 | 651,447 | |
Umpqua Holdings Corp. | 447,285 | 8,413,431 | |
Valley National Bancorp | 21,393 | 264,631 | |
Washington Trust Bancorp, Inc. | 9,328 | 505,578 | |
Western Alliance Bancorp. (a) | 114,240 | 5,899,354 | |
Wintrust Financial Corp. | 100,141 | 7,380,392 | |
100,990,784 | |||
Capital Markets - 3.0% | |||
Diamond Hill Investment Group, Inc. | 5,648 | 1,132,537 | |
Evercore Partners, Inc. Class A | 96,886 | 7,707,281 | |
Financial Engines, Inc. (b) | 181,495 | 8,040,229 | |
Gain Capital Holdings, Inc. (b) | 58,838 | 461,290 | |
GAMCO Investors, Inc. Class A | 2,935 | 87,434 | |
Greenhill & Co., Inc. | 3,659 | 108,123 | |
Houlihan Lokey | 53,370 | 1,680,621 | |
INTL FCStone, Inc. (a) | 115,415 | 4,356,916 | |
KCG Holdings, Inc. Class A (a) | 11,825 | 163,776 | |
Manning & Napier, Inc. Class A | 23,632 | 147,700 | |
OM Asset Management Ltd. | 140,867 | 2,100,327 | |
Oppenheimer Holdings, Inc. Class A (non-vtg.) | 11,864 | 196,942 | |
Piper Jaffray Companies | 68,735 | 4,863,001 | |
Vector Capital Corp. rights (a) | 8,300 | 0 | |
Waddell & Reed Financial, Inc. Class A (b) | 298,437 | 5,741,928 | |
36,788,105 | |||
Consumer Finance - 0.9% | |||
Enova International, Inc. (a) | 123,717 | 1,775,339 | |
Nelnet, Inc. Class A | 121,896 | 5,459,722 | |
Regional Management Corp. (a) | 32,466 | 681,461 | |
World Acceptance Corp. (a)(b) | 57,206 | 2,999,883 | |
10,916,405 | |||
Diversified Financial Services - 0.1% | |||
Cotiviti Holdings, Inc. | 2,464 | 92,351 | |
Marlin Business Services Corp. | 41,418 | 985,748 | |
1,078,099 | |||
Insurance - 1.7% | |||
EMC Insurance Group | 6,351 | 176,558 | |
Employers Holdings, Inc. | 26,984 | 1,014,598 | |
Federated National Holding Co. | 135,434 | 2,710,034 | |
HCI Group, Inc. | 7,139 | 351,953 | |
Heritage Insurance Holdings, Inc. | 127,202 | 1,877,502 | |
National General Holdings Corp. | 29,431 | 716,351 | |
Selective Insurance Group, Inc. | 139,984 | 6,201,291 | |
United Insurance Holdings Corp. | 152,326 | 2,577,356 | |
Universal Insurance Holdings, Inc. (b) | 181,753 | 4,898,243 | |
20,523,886 | |||
Mortgage Real Estate Investment Trusts - 1.8% | |||
Anworth Mortgage Asset Corp. | 135,050 | 734,672 | |
Apollo Commercial Real Estate Finance, Inc. (b) | 383,777 | 7,057,659 | |
Capstead Mortgage Corp. | 76,664 | 811,105 | |
MFA Financial, Inc. | 727,086 | 5,831,230 | |
New Residential Investment Corp. | 376,528 | 6,352,027 | |
Redwood Trust, Inc. | 93,022 | 1,522,770 | |
22,309,463 | |||
Real Estate Management & Development - 0.1% | |||
The RMR Group, Inc. | 19,527 | 1,023,215 | |
Thrifts & Mortgage Finance - 2.6% | |||
BofI Holding, Inc. (a)(b) | 231,085 | 7,288,421 | |
Dime Community Bancshares, Inc. | 77,282 | 1,661,563 | |
Essent Group Ltd. (a) | 215,881 | 7,514,818 | |
EverBank Financial Corp. | 2,218 | 43,118 | |
First Defiance Financial Corp. | 12,072 | 593,339 | |
Hingham Institution for Savings | 1,208 | 226,548 | |
Northwest Bancshares, Inc. | 323,696 | 5,871,845 | |
Walker & Dunlop, Inc. (a) | 155,005 | 6,300,953 | |
Waterstone Financial, Inc. | 31,660 | 587,293 | |
WSFS Financial Corp. | 22,020 | 1,004,112 | |
31,092,010 | |||
TOTAL FINANCIALS | 224,721,967 | ||
HEALTH CARE - 13.9% | |||
Biotechnology - 3.1% | |||
Acorda Therapeutics, Inc. (a) | 54,804 | 1,449,566 | |
Alder Biopharmaceuticals, Inc. (a)(b) | 1,437 | 32,835 | |
AMAG Pharmaceuticals, Inc. (a)(b) | 47,391 | 1,063,928 | |
Applied Genetic Technologies Corp. (a) | 54,825 | 424,894 | |
Array BioPharma, Inc. (a)(b) | 159,755 | 1,837,183 | |
Biospecifics Technologies Corp. (a) | 13,750 | 726,963 | |
bluebird bio, Inc. (a)(b) | 17,295 | 1,515,907 | |
Blueprint Medicines Corp. (a)(b) | 31,212 | 1,098,038 | |
Clovis Oncology, Inc. (a) | 23,286 | 1,346,164 | |
Concert Pharmaceuticals, Inc. (a) | 19,849 | 184,596 | |
Dyax Corp. rights 12/31/19 (a) | 29,085 | 73,294 | |
Eagle Pharmaceuticals, Inc. (a)(b) | 491 | 37,655 | |
Emergent BioSolutions, Inc. (a)(b) | 39,424 | 1,237,125 | |
Enanta Pharmaceuticals, Inc. (a) | 11,457 | 330,191 | |
Exact Sciences Corp. (a)(b) | 37,854 | 814,618 | |
Exelixis, Inc. (a) | 168,871 | 3,635,793 | |
FibroGen, Inc. (a) | 10,930 | 273,250 | |
Five Prime Therapeutics, Inc. (a) | 27,192 | 1,247,297 | |
Genomic Health, Inc. (a) | 31,832 | 961,008 | |
Halozyme Therapeutics, Inc. (a)(b) | 18,644 | 239,016 | |
Insys Therapeutics, Inc. (a)(b) | 55,797 | 711,970 | |
Ironwood Pharmaceuticals, Inc. Class A (a)(b) | 43,083 | 727,672 | |
Kite Pharma, Inc. (a)(b) | 12,861 | 910,173 | |
Lexicon Pharmaceuticals, Inc. (a)(b) | 63,065 | 1,083,476 | |
Ligand Pharmaceuticals, Inc. Class B (a)(b) | 5,764 | 603,087 | |
MiMedx Group, Inc. (a)(b) | 129,166 | 1,106,953 | |
Momenta Pharmaceuticals, Inc. (a) | 13,639 | 210,723 | |
Myriad Genetics, Inc. (a)(b) | 78,005 | 1,515,637 | |
PDL BioPharma, Inc. (b) | 359,880 | 770,143 | |
Pfenex, Inc. (a) | 19,821 | 143,306 | |
PharmAthene, Inc. (b) | 607,496 | 546,746 | |
Portola Pharmaceuticals, Inc. (a) | 12,520 | 434,194 | |
Progenics Pharmaceuticals, Inc. (a)(b) | 46,319 | 520,626 | |
Prothena Corp. PLC (a)(b) | 10,191 | 597,702 | |
Puma Biotechnology, Inc. (a)(b) | 886 | 32,516 | |
Repligen Corp. (a)(b) | 39,932 | 1,258,257 | |
Retrophin, Inc. (a)(b) | 51,916 | 1,104,253 | |
Sage Therapeutics, Inc. (a)(b) | 8,824 | 594,738 | |
Sarepta Therapeutics, Inc. (a)(b) | 12,253 | 381,191 | |
Spark Therapeutics, Inc. (a)(b) | 2,040 | 130,111 | |
Synergy Pharmaceuticals, Inc. (a)(b) | 3,830 | 22,176 | |
TESARO, Inc. (a)(b) | 9,925 | 1,869,572 | |
Ultragenyx Pharmaceutical, Inc. (a)(b) | 14,374 | 1,222,940 | |
Vanda Pharmaceuticals, Inc. (a) | 62,536 | 891,138 | |
Versartis, Inc. (a) | 2,911 | 63,605 | |
Xencor, Inc. (a) | 47,374 | 1,177,244 | |
37,159,470 | |||
Health Care Equipment & Supplies - 3.8% | |||
Angiodynamics, Inc. (a) | 84,325 | 1,378,714 | |
Cantel Medical Corp. | 63,412 | 5,206,759 | |
Cardiovascular Systems, Inc. (a) | 3,041 | 86,364 | |
Exactech, Inc. (a) | 29,347 | 713,132 | |
Globus Medical, Inc. (a)(b) | 168,100 | 4,674,861 | |
Haemonetics Corp. (a) | 33,174 | 1,238,385 | |
Halyard Health, Inc. (a) | 23,844 | 931,347 | |
ICU Medical, Inc. (a) | 1,032 | 155,213 | |
Inogen, Inc. (a) | 33,207 | 2,278,664 | |
Integer Holdings Corp. (a) | 28,386 | 1,026,154 | |
Integra LifeSciences Holdings Corp. (a)(b) | 33,821 | 1,445,510 | |
LivaNova PLC (a) | 41,258 | 2,079,403 | |
Masimo Corp. (a) | 97,231 | 8,785,793 | |
Meridian Bioscience, Inc. | 66,010 | 848,229 | |
Merit Medical Systems, Inc. (a) | 145,554 | 4,483,063 | |
Natus Medical, Inc. (a) | 120,091 | 4,446,369 | |
OraSure Technologies, Inc. (a) | 111,092 | 1,245,341 | |
Orthofix International NV (a) | 78,321 | 2,796,843 | |
SurModics, Inc. (a) | 45,908 | 1,136,223 | |
West Pharmaceutical Services, Inc. | 14,648 | 1,208,021 | |
Zeltiq Aesthetics, Inc. (a) | 417 | 23,085 | |
46,187,473 | |||
Health Care Providers & Services - 4.7% | |||
Alliance Healthcare Services, Inc. (a) | 68,767 | 711,738 | |
Chemed Corp. | 43,884 | 7,835,488 | |
Corvel Corp. (a) | 49,744 | 2,009,658 | |
Diplomat Pharmacy, Inc. (a)(b) | 98,110 | 1,329,391 | |
HealthSouth Corp. | 148,343 | 6,277,876 | |
LHC Group, Inc. (a) | 10,938 | 525,243 | |
Magellan Health Services, Inc. (a) | 90,820 | 6,280,203 | |
Molina Healthcare, Inc. (a)(b) | 109,939 | 5,333,141 | |
National Healthcare Corp. | 20,122 | 1,501,504 | |
Owens & Minor, Inc. | 207,256 | 7,477,796 | |
PharMerica Corp. (a) | 171,210 | 4,211,766 | |
Select Medical Holdings Corp. (a)(b) | 108,417 | 1,561,205 | |
Tivity Health, Inc. (a) | 154,702 | 4,470,888 | |
Triple-S Management Corp. (a)(b) | 98,841 | 1,845,361 | |
Wellcare Health Plans, Inc. (a) | 42,533 | 6,005,660 | |
57,376,918 | |||
Health Care Technology - 0.7% | |||
HMS Holdings Corp. (a) | 177,353 | 3,304,086 | |
Omnicell, Inc. (a) | 28,536 | 1,085,081 | |
Quality Systems, Inc. (a) | 301,806 | 4,605,560 | |
8,994,727 | |||
Life Sciences Tools & Services - 0.6% | |||
Cambrex Corp. (a) | 29,361 | 1,654,492 | |
INC Research Holdings, Inc. Class A (a) | 35,877 | 1,566,031 | |
Luminex Corp. (b) | 48,645 | 903,824 | |
PAREXEL International Corp. (a) | 27,019 | 1,747,859 | |
PRA Health Sciences, Inc. (a) | 24,847 | 1,466,221 | |
7,338,427 | |||
Pharmaceuticals - 1.0% | |||
Aerie Pharmaceuticals, Inc. (a)(b) | 1,989 | 94,179 | |
Amphastar Pharmaceuticals, Inc. (a) | 44,156 | 683,093 | |
Catalent, Inc. (a) | 39,848 | 1,143,638 | |
Corcept Therapeutics, Inc. (a)(b) | 87,464 | 786,301 | |
DepoMed, Inc. (a)(b) | 1,367 | 22,405 | |
Horizon Pharma PLC (a)(b) | 102,666 | 1,647,789 | |
Impax Laboratories, Inc. (a) | 90,738 | 1,293,017 | |
Nektar Therapeutics (a) | 42,390 | 554,461 | |
Pacira Pharmaceuticals, Inc. (a)(b) | 8,785 | 383,905 | |
Prestige Brands Holdings, Inc. (a) | 42,588 | 2,411,333 | |
Sucampo Pharmaceuticals, Inc. Class A (a)(b) | 58,446 | 686,741 | |
Supernus Pharmaceuticals, Inc. (a) | 7,212 | 185,348 | |
The Medicines Company (a)(b) | 29,701 | 1,556,926 | |
Theravance Biopharma, Inc. (a)(b) | 1,699 | 52,023 | |
11,501,159 | |||
TOTAL HEALTH CARE | 168,558,174 | ||
INDUSTRIALS - 11.8% | |||
Aerospace & Defense - 1.7% | |||
Astronics Corp. (a) | 137,594 | 4,610,775 | |
Astronics Corp. Class B (b) | 25,355 | 867,902 | |
Curtiss-Wright Corp. | 59,854 | 5,855,517 | |
DigitalGlobe, Inc. (a) | 1,061 | 33,581 | |
Esterline Technologies Corp. (a) | 3,494 | 310,617 | |
Moog, Inc. Class A (a) | 106,811 | 7,218,287 | |
Teledyne Technologies, Inc. (a) | 9,583 | 1,259,302 | |
Wesco Aircraft Holdings, Inc. (a) | 23,823 | 288,258 | |
20,444,239 | |||
Airlines - 1.1% | |||
Hawaiian Holdings, Inc. (a) | 147,377 | 7,169,891 | |
JetBlue Airways Corp. (a) | 291,754 | 5,823,410 | |
12,993,301 | |||
Building Products - 0.6% | |||
American Woodmark Corp. (a) | 24,008 | 2,075,492 | |
Apogee Enterprises, Inc. (b) | 27,397 | 1,566,560 | |
Insteel Industries, Inc. | 1,777 | 64,185 | |
NCI Building Systems, Inc. (a) | 87,465 | 1,399,440 | |
Ply Gem Holdings, Inc. (a) | 51,597 | 897,788 | |
Universal Forest Products, Inc. | 13,132 | 1,258,177 | |
7,261,642 | |||
Commercial Services & Supplies - 3.0% | |||
ARC Document Solutions, Inc. (a) | 31,635 | 127,173 | |
Brady Corp. Class A | 35,289 | 1,349,804 | |
CECO Environmental Corp. | 6,622 | 74,829 | |
Deluxe Corp. | 107,752 | 7,929,470 | |
Ennis, Inc. | 32,942 | 538,602 | |
Essendant, Inc. | 59,110 | 941,622 | |
Herman Miller, Inc. | 171,405 | 5,107,869 | |
HNI Corp. | 14,146 | 648,170 | |
Kimball International, Inc. Class B | 228,247 | 3,743,251 | |
Knoll, Inc. | 185,289 | 4,141,209 | |
Quad/Graphics, Inc. | 96,667 | 2,624,509 | |
Steelcase, Inc. Class A | 306,812 | 4,908,992 | |
UniFirst Corp. | 21,767 | 2,897,188 | |
West Corp. | 81,332 | 1,944,648 | |
36,977,336 | |||
Construction & Engineering - 0.9% | |||
Argan, Inc. | 91,495 | 6,304,006 | |
EMCOR Group, Inc. | 54,656 | 3,360,251 | |
MYR Group, Inc. (a) | 25,353 | 950,991 | |
10,615,248 | |||
Electrical Equipment - 0.4% | |||
Allied Motion Technologies, Inc. | 9,762 | 235,752 | |
EnerSys | 59,509 | 4,566,126 | |
4,801,878 | |||
Machinery - 2.0% | |||
Alamo Group, Inc. | 22,777 | 1,711,692 | |
Global Brass & Copper Holdings, Inc. | 85,853 | 2,888,953 | |
Greenbrier Companies, Inc. (b) | 149,402 | 6,282,354 | |
Hurco Companies, Inc. | 20,895 | 574,613 | |
Hyster-Yale Materials Handling Class A | 12,991 | 791,022 | |
Joy Global, Inc. | 15,965 | 450,053 | |
Kadant, Inc. | 27,115 | 1,678,419 | |
Lydall, Inc. (a) | 8,767 | 444,487 | |
Meritor, Inc. (a) | 16,782 | 274,386 | |
Supreme Industries, Inc. Class A | 4,497 | 87,916 | |
Wabash National Corp. (b) | 333,165 | 7,046,440 | |
Woodward, Inc. | 22,095 | 1,556,593 | |
23,786,928 | |||
Marine - 0.1% | |||
Costamare, Inc. (b) | 165,730 | 1,012,610 | |
Matson, Inc. | 26,312 | 892,766 | |
1,905,376 | |||
Professional Services - 1.8% | |||
Barrett Business Services, Inc. | 18,536 | 1,186,860 | |
CEB, Inc. | 3,903 | 302,678 | |
Huron Consulting Group, Inc. (a) | 25,430 | 1,104,934 | |
ICF International, Inc. (a) | 16,979 | 729,248 | |
Insperity, Inc. | 84,869 | 7,065,344 | |
Kelly Services, Inc. Class A (non-vtg.) | 45,437 | 971,443 | |
Kforce, Inc. | 53,333 | 1,373,325 | |
Resources Connection, Inc. | 181,353 | 3,064,866 | |
RPX Corp. (a) | 436,901 | 4,696,686 | |
TrueBlue, Inc. (a) | 41,011 | 1,064,235 | |
21,559,619 | |||
Road & Rail - 0.1% | |||
ArcBest Corp. | 14,068 | 412,896 | |
Roadrunner Transportation Systems, Inc. (a) | 65,923 | 497,059 | |
909,955 | |||
Trading Companies & Distributors - 0.1% | |||
Applied Industrial Technologies, Inc. | 13,985 | 881,754 | |
Rush Enterprises, Inc. Class A (a) | 24,191 | 834,106 | |
1,715,860 | |||
TOTAL INDUSTRIALS | 142,971,382 | ||
INFORMATION TECHNOLOGY - 17.5% | |||
Communications Equipment - 2.5% | |||
Bel Fuse, Inc. Class B (non-vtg.) | 6,937 | 181,056 | |
Black Box Corp. | 25,236 | 227,124 | |
Communications Systems, Inc. | 10,331 | 45,250 | |
Digi International, Inc. (a) | 16,353 | 201,142 | |
EMCORE Corp. | 16,103 | 144,122 | |
Extreme Networks, Inc. (a) | 39,147 | 244,669 | |
Finisar Corp. (a) | 245,102 | 8,206,015 | |
InterDigital, Inc. | 78,916 | 6,632,890 | |
NETGEAR, Inc. (a) | 120,109 | 6,581,973 | |
Oclaro, Inc. (a)(b) | 651,371 | 5,536,654 | |
Plantronics, Inc. | 51,996 | 2,784,906 | |
30,785,801 | |||
Electronic Equipment & Components - 6.1% | |||
Anixter International, Inc. (a) | 21,554 | 1,795,448 | |
Benchmark Electronics, Inc. (a) | 216,160 | 6,722,576 | |
Cardtronics PLC | 111,502 | 4,915,008 | |
Control4 Corp. (a) | 18,082 | 269,964 | |
ePlus, Inc. (a) | 1,288 | 163,512 | |
Insight Enterprises, Inc. (a) | 87,559 | 3,708,999 | |
Kimball Electronics, Inc. (a) | 166,555 | 2,681,536 | |
Methode Electronics, Inc. Class A | 144,485 | 5,996,128 | |
PC Connection, Inc. | 15,318 | 409,910 | |
Plexus Corp. (a) | 90,464 | 5,072,316 | |
Rogers Corp. (a) | 23,938 | 1,975,124 | |
Sanmina Corp. (a) | 199,991 | 7,799,649 | |
ScanSource, Inc. (a) | 158,594 | 6,383,409 | |
SYNNEX Corp. | 64,980 | 7,597,462 | |
Tech Data Corp. (a) | 89,575 | 7,793,025 | |
TTM Technologies, Inc. (a)(b) | 409,156 | 6,611,961 | |
Vishay Intertechnology, Inc. | 216,263 | 3,427,769 | |
73,323,796 | |||
Internet Software & Services - 0.5% | |||
Bankrate, Inc. (a) | 31,880 | 347,492 | |
Blucora, Inc. (a) | 2,953 | 46,067 | |
Carbonite, Inc. (a) | 7,676 | 149,298 | |
DHI Group, Inc. (a) | 51,852 | 256,667 | |
Global Sources Ltd. (a)(b) | 61,316 | 536,515 | |
LogMeIn, Inc. | 2,052 | 188,271 | |
MeetMe, Inc. (a)(b) | 374,360 | 1,808,159 | |
RetailMeNot, Inc. (a) | 291,440 | 2,608,388 | |
5,940,857 | |||
IT Services - 1.4% | |||
Computer Task Group, Inc. | 12,729 | 73,574 | |
CSG Systems International, Inc. | 135,770 | 5,350,696 | |
EVERTEC, Inc. | 118,750 | 2,000,938 | |
ExlService Holdings, Inc. (a) | 6,983 | 311,861 | |
Hackett Group, Inc. | 29,769 | 600,143 | |
ManTech International Corp. Class A | 2,447 | 89,609 | |
NCI, Inc. Class A | 25,840 | 382,432 | |
Science Applications International Corp. | 28,241 | 2,456,120 | |
Sykes Enterprises, Inc. (a) | 116,866 | 3,181,093 | |
Syntel, Inc. (b) | 108,359 | 1,916,871 | |
Travelport Worldwide Ltd. | 74,298 | 943,585 | |
17,306,922 | |||
Semiconductors & Semiconductor Equipment - 5.4% | |||
Advanced Energy Industries, Inc. (a) | 31,411 | 1,950,623 | |
Advanced Micro Devices, Inc. (a)(b) | 905,726 | 13,096,775 | |
Alpha & Omega Semiconductor Ltd. (a) | 33,116 | 637,814 | |
Amkor Technology, Inc. (a) | 176,933 | 1,737,482 | |
Brooks Automation, Inc. | 68,080 | 1,420,149 | |
Cabot Microelectronics Corp. | 100,755 | 6,974,261 | |
Cirrus Logic, Inc. (a) | 148,100 | 8,009,248 | |
Cohu, Inc. | 6,410 | 106,727 | |
Entegris, Inc. (a) | 26,875 | 569,750 | |
Experi Corp. | 145,036 | 5,199,541 | |
Integrated Device Technology, Inc. (a) | 11,497 | 274,893 | |
IXYS Corp. | 97,831 | 1,208,213 | |
MKS Instruments, Inc. | 110,224 | 7,230,694 | |
Nanometrics, Inc. (a) | 67,351 | 1,832,621 | |
NeoPhotonics Corp. (a)(b) | 202,664 | 2,057,040 | |
Photronics, Inc. (a) | 510,622 | 5,463,655 | |
Rudolph Technologies, Inc. (a) | 191,596 | 4,119,314 | |
Silicon Laboratories, Inc. (a) | 32,609 | 2,201,108 | |
Synaptics, Inc. (a) | 13,937 | 740,752 | |
Ultra Clean Holdings, Inc. (a) | 6,780 | 93,903 | |
64,924,563 | |||
Software - 1.4% | |||
Aspen Technology, Inc. (a) | 152,441 | 8,862,920 | |
Barracuda Networks, Inc. (a) | 131,239 | 3,105,115 | |
Mentor Graphics Corp. | 28,305 | 1,050,116 | |
Progress Software Corp. | 88,768 | 2,545,866 | |
QAD, Inc. Class B | 5,270 | 111,250 | |
The Rubicon Project, Inc. (a) | 168,078 | 1,469,002 | |
Zedge, Inc. (a) | 30,378 | 105,412 | |
17,249,681 | |||
Technology Hardware, Storage & Peripherals - 0.2% | |||
Super Micro Computer, Inc. (a) | 105,149 | 2,733,874 | |
TOTAL INFORMATION TECHNOLOGY | 212,265,494 | ||
MATERIALS - 5.4% | |||
Chemicals - 2.5% | |||
Chase Corp. | 10,388 | 949,983 | |
Chemtura Corp. (a) | 3,154 | 104,555 | |
FutureFuel Corp. | 229,253 | 3,033,017 | |
Innophos Holdings, Inc. | 19,048 | 1,009,354 | |
KMG Chemicals, Inc. | 15,357 | 564,523 | |
Kraton Performance Polymers, Inc. (a) | 27,839 | 758,056 | |
Minerals Technologies, Inc. | 23,877 | 1,844,498 | |
Rayonier Advanced Materials, Inc. (b) | 284,060 | 3,766,636 | |
Stepan Co. | 7,078 | 535,168 | |
The Chemours Co. LLC | 293,644 | 9,884,057 | |
Trecora Resources (a) | 5,255 | 63,323 | |
Trinseo SA | 107,016 | 7,400,156 | |
29,913,326 | |||
Containers & Packaging - 0.1% | |||
Berry Plastics Group, Inc. (a) | 7,024 | 353,518 | |
Greif, Inc. Class A | 21,859 | 1,246,619 | |
1,600,137 | |||
Metals & Mining - 2.0% | |||
AK Steel Holding Corp. (a)(b) | 534,309 | 4,450,794 | |
Atkore International Group, Inc. | 142,998 | 3,749,408 | |
Cliffs Natural Resources, Inc. (a) | 678,118 | 7,228,738 | |
Commercial Metals Co. | 178,943 | 3,781,066 | |
Ryerson Holding Corp. (a) | 53,638 | 581,972 | |
Schnitzer Steel Industries, Inc. Class A | 34,412 | 819,006 | |
Stillwater Mining Co. (a) | 1,791 | 30,554 | |
Worthington Industries, Inc. | 74,538 | 3,656,089 | |
24,297,627 | |||
Paper & Forest Products - 0.8% | |||
Louisiana-Pacific Corp. (a) | 151,156 | 3,564,258 | |
Schweitzer-Mauduit International, Inc. | 138,175 | 5,669,320 | |
9,233,578 | |||
TOTAL MATERIALS | 65,044,668 | ||
REAL ESTATE - 5.6% | |||
Equity Real Estate Investment Trusts (REITs) - 5.3% | |||
Ashford Hospitality Trust, Inc. | 197,569 | 1,298,028 | |
CBL & Associates Properties, Inc. | 609,246 | 6,110,737 | |
Chesapeake Lodging Trust | 99,648 | 2,407,496 | |
CorEnergy Infrastructure Trust, Inc. (b) | 23,919 | 853,669 | |
DiamondRock Hospitality Co. | 37,279 | 405,223 | |
Four Corners Property Trust, Inc. | 234,330 | 5,197,439 | |
Gyrodyne LLC | 470 | 9,513 | |
Hersha Hospitality Trust | 88,648 | 1,729,522 | |
InfraReit, Inc. | 133,243 | 2,218,496 | |
LaSalle Hotel Properties (SBI) | 209,339 | 6,049,897 | |
Medical Properties Trust, Inc. | 74,765 | 1,003,346 | |
National Storage Affiliates Trust | 88,004 | 2,131,457 | |
Pebblebrook Hotel Trust (b) | 56,952 | 1,637,370 | |
Potlatch Corp. | 2,649 | 117,218 | |
PS Business Parks, Inc. | 45,799 | 5,322,302 | |
RLJ Lodging Trust | 327,743 | 7,459,431 | |
Ryman Hospitality Properties, Inc. | 79,427 | 5,120,659 | |
Summit Hotel Properties, Inc. | 357,019 | 5,494,522 | |
Sunstone Hotel Investors, Inc. | 450,867 | 6,650,288 | |
The GEO Group, Inc. | 23,463 | 1,117,073 | |
Xenia Hotels & Resorts, Inc. | 140,575 | 2,469,903 | |
64,803,589 | |||
Real Estate Management & Development - 0.3% | |||
Altisource Portfolio Solutions SA (a)(b) | 97,377 | 2,339,969 | |
Marcus & Millichap, Inc. (a) | 35,312 | 965,783 | |
3,305,752 | |||
TOTAL REAL ESTATE | 68,109,341 | ||
TELECOMMUNICATION SERVICES - 0.4% | |||
Diversified Telecommunication Services - 0.3% | |||
Atlantic Tele-Network, Inc. | 4,571 | 312,611 | |
IDT Corp. Class B | 146,235 | 2,822,336 | |
3,134,947 | |||
Wireless Telecommunication Services - 0.1% | |||
Spok Holdings, Inc. | 59,942 | 1,090,944 | |
TOTAL TELECOMMUNICATION SERVICES | 4,225,891 | ||
UTILITIES - 2.2% | |||
Electric Utilities - 0.7% | |||
Allete, Inc. | 82,172 | 5,522,780 | |
IDACORP, Inc. | 15,280 | 1,267,170 | |
Portland General Electric Co. | 10,570 | 479,138 | |
Spark Energy, Inc. Class A, (b) | 47,074 | 1,270,998 | |
8,540,086 | |||
Gas Utilities - 0.7% | |||
Northwest Natural Gas Co. | 17,840 | 1,072,184 | |
ONE Gas, Inc. | 77,310 | 5,067,671 | |
Southwest Gas Holdings, Inc. | 25,981 | 2,222,155 | |
WGL Holdings, Inc. | 8,328 | 695,305 | |
9,057,315 | |||
Independent Power and Renewable Electricity Producers - 0.5% | |||
NRG Yield, Inc. Class A | 118,135 | 1,985,849 | |
Ormat Technologies, Inc. | 62,706 | 3,456,982 | |
5,442,831 | |||
Multi-Utilities - 0.0% | |||
NorthWestern Energy Corp. | 5,497 | 321,575 | |
Water Utilities - 0.3% | |||
American States Water Co. | 71,916 | 3,216,084 | |
TOTAL UTILITIES | 26,577,891 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,003,270,550) | 1,153,005,884 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 0.56% to 0.67% 8/17/17 (c) | |||
(Cost $3,689,974) | 3,700,000 | 3,688,253 | |
Shares | Value | ||
Money Market Funds - 21.0% | |||
Fidelity Cash Central Fund, 0.60% (d) | 62,016,481 | $62,028,885 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 192,087,773 | 192,126,191 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $254,132,309) | 254,155,076 | ||
TOTAL INVESTMENT PORTFOLIO - 116.6% | |||
(Cost $1,261,092,833) | 1,410,849,213 | ||
NET OTHER ASSETS (LIABILITIES) - (16.6)% | (200,660,643) | ||
NET ASSETS - 100% | $1,210,188,570 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
817 ICE Russell 2000 Index Contracts (United States) | March 2017 | 56,577,250 | $1,329,744 |
The face value of futures purchased as a percentage of Net Assets is 4.7%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,157,942.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $119,760 |
Fidelity Securities Lending Cash Central Fund | 962,738 |
Total | $1,082,498 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $154,154,322 | $154,154,322 | $-- | $-- |
Consumer Staples | 46,797,838 | 46,797,838 | -- | -- |
Energy | 39,578,916 | 39,578,916 | -- | -- |
Financials | 224,721,967 | 224,721,967 | -- | -- |
Health Care | 168,558,174 | 167,401,404 | 1,083,476 | 73,294 |
Industrials | 142,971,382 | 142,971,382 | -- | -- |
Information Technology | 212,265,494 | 212,265,494 | -- | -- |
Materials | 65,044,668 | 65,044,668 | -- | -- |
Real Estate | 68,109,341 | 68,109,341 | -- | -- |
Telecommunication Services | 4,225,891 | 4,225,891 | -- | -- |
Utilities | 26,577,891 | 26,577,891 | -- | -- |
U.S. Government and Government Agency Obligations | 3,688,253 | -- | 3,688,253 | -- |
Money Market Funds | 254,155,076 | 254,155,076 | -- | -- |
Total Investments in Securities: | $1,410,849,213 | $1,406,004,190 | $4,771,729 | $73,294 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,329,744 | $1,329,744 | $-- | $-- |
Total Assets | $1,329,744 | $1,329,744 | $-- | $-- |
Total Derivative Instruments: | $1,329,744 | $1,329,744 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $1,329,744 | $0 |
Total Equity Risk | 1,329,744 | 0 |
Total Value of Derivatives | $1,329,744 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® Small Cap Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $184,276,969) — See accompanying schedule: Unaffiliated issuers (cost $1,006,960,524) | $1,156,694,137 | |
Fidelity Central Funds (cost $254,132,309) | 254,155,076 | |
Total Investments (cost $1,261,092,833) | $1,410,849,213 | |
Cash | 1,037,056 | |
Receivable for investments sold | 9,685,545 | |
Receivable for fund shares sold | 4,842,767 | |
Dividends receivable | 698,145 | |
Distributions receivable from Fidelity Central Funds | 99,073 | |
Total assets | 1,427,211,799 | |
Liabilities | ||
Payable for investments purchased | $18,361,694 | |
Payable for fund shares redeemed | 4,871,300 | |
Accrued management fee | 525,796 | |
Payable for daily variation margin for derivative instruments | 1,006,562 | |
Other affiliated payables | 151,672 | |
Collateral on securities loaned | 192,106,205 | |
Total liabilities | 217,023,229 | |
Net Assets | $1,210,188,570 | |
Net Assets consist of: | ||
Paid in capital | $1,037,487,692 | |
Undistributed net investment income | 331,863 | |
Accumulated undistributed net realized gain (loss) on investments | 21,282,891 | |
Net unrealized appreciation (depreciation) on investments | 151,086,124 | |
Net Assets, for 84,508,976 shares outstanding | $1,210,188,570 | |
Net Asset Value, offering price and redemption price per share ($1,210,188,570 ÷ 84,508,976 shares) | $14.32 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $10,824,625 | |
Interest | 32,585 | |
Income from Fidelity Central Funds (including $962,738 from security lending) | 1,082,498 | |
Total income | 11,939,708 | |
Expenses | ||
Management fee | $3,908,772 | |
Transfer agent fees | 1,128,339 | |
Independent trustees' fees and expenses | 2,991 | |
Miscellaneous | 1,973 | |
Total expenses before reductions | 5,042,075 | |
Expense reductions | (304) | 5,041,771 |
Net investment income (loss) | 6,897,937 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 33,338,888 | |
Fidelity Central Funds | (6,062) | |
Futures contracts | 6,394,843 | |
Total net realized gain (loss) | 39,727,669 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 147,187,839 | |
Futures contracts | 1,411,465 | |
Total change in net unrealized appreciation (depreciation) | 148,599,304 | |
Net gain (loss) | 188,326,973 | |
Net increase (decrease) in net assets resulting from operations | $195,224,910 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $6,897,937 | $4,848,448 |
Net realized gain (loss) | 39,727,669 | 4,382,965 |
Change in net unrealized appreciation (depreciation) | 148,599,304 | (76,820,168) |
Net increase (decrease) in net assets resulting from operations | 195,224,910 | (67,588,755) |
Distributions to shareholders from net investment income | (6,525,921) | (4,016,522) |
Distributions to shareholders from net realized gain | – | (24,264,444) |
Total distributions | (6,525,921) | (28,280,966) |
Share transactions | ||
Proceeds from sales of shares | 686,819,668 | 247,736,855 |
Reinvestment of distributions | 6,226,574 | 27,163,046 |
Cost of shares redeemed | (200,638,919) | (123,045,531) |
Net increase (decrease) in net assets resulting from share transactions | 492,407,323 | 151,854,370 |
Redemption fees | 72,956 | 109,416 |
Total increase (decrease) in net assets | 681,179,268 | 56,094,065 |
Net Assets | ||
Beginning of period | 529,009,302 | 472,915,237 |
End of period | $1,210,188,570 | $529,009,302 |
Other Information | ||
Undistributed net investment income end of period | $331,863 | $454 |
Shares | ||
Sold | 51,288,853 | 19,800,031 |
Issued in reinvestment of distributions | 429,893 | 2,244,291 |
Redeemed | (15,352,252) | (10,146,784) |
Net increase (decrease) | 36,366,494 | 11,897,538 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Small Cap Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.99 | $13.05 | $12.74 | $10.56 | $9.81 |
Income from Investment Operations | |||||
Net investment income (loss)B | .12 | .11 | .08 | .08 | .20 |
Net realized and unrealized gain (loss) | 3.31 | (1.52) | 1.04 | 2.91 | 1.30 |
Total from investment operations | 3.43 | (1.41) | 1.12 | 2.99 | 1.50 |
Distributions from net investment income | (.10) | (.09) | (.06) | (.07) | (.20) |
Distributions from net realized gain | – | (.56) | (.75) | (.75) | (.55) |
Total distributions | (.10) | (.65) | (.81) | (.82) | (.75) |
Redemption fees added to paid in capitalB | –C | –C | –C | .01 | –C |
Net asset value, end of period | $14.32 | $10.99 | $13.05 | $12.74 | $10.56 |
Total ReturnD | 31.15% | (11.20)% | 9.53% | 29.35% | 16.15% |
Ratios to Average Net AssetsE,F | |||||
Expenses before reductions | .67% | .67% | .67% | .67% | .67% |
Expenses net of fee waivers, if any | .67% | .67% | .67% | .67% | .67% |
Expenses net of all reductions | .67% | .67% | .67% | .67% | .67% |
Net investment income (loss) | .93% | .90% | .63% | .70% | 2.02% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $1,210,189 | $529,009 | $472,915 | $415,344 | $157,567 |
Portfolio turnover rateG | 76% | 87% | 99% | 107% | 106% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity® International Enhanced Index Fund
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
For the periods ended February 28, 2017 | Past 1 year | Past 5 years | Life of fundA |
Fidelity® International Enhanced Index Fund | 17.31% | 6.57% | 0.62% |
A From December 20, 2007
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® International Enhanced Index Fund on December 20, 2007, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period.
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img227408230_740.jpg)
Period Ending Values | ||
$10,589 | Fidelity® International Enhanced Index Fund | |
$10,603 | MSCI EAFE Index |
Fidelity® International Enhanced Index Fund
Management's Discussion of Fund Performance
Market Recap: Non-U.S. equities had a strong run for the year ending February 28, 2017: the MSCI ACWI (All Country World Index) ex USA Index gained 19.51%. A recovery from 2016’s global industrial recession set the stage for rising bond yields and inflation expectations, with China’s stabilization key to ending the global trade slump. Manufacturing rebounded, and raw industrials prices saw their first sustained increase since 2011. The strong commodity backdrop helped fuel rallies in resource-rich emerging markets (+30%) and Canada (+26%). Japan (+21%) also gained substantial ground, but lagged the rest of the Asia Pacific group (+26%). Europe (+14%) and the U.K. (+10%) faced headwinds from Brexit, the U.K.’s late-June vote to exit the European Union. Small-cap stocks handily bested large-caps, and value outstripped growth-oriented equities. Among sectors, commodities powered results in materials (+42%), energy (+29%) and, to a lesser extent, industrials (+20%). Rising interest rates and a steepening yield curve rallied financials (+29%), but proved a relative drag on the real estate sector (14%). Information technology (+33%) surged several times this period, most recently in early 2017. Conversely, utilities (+7%), consumer staples (+7%) and telecommunication services (+3%), so-called bond-proxy sectors, lagged amid investors’ appetite for risk. Lastly, health care (+2%) was hampered by ongoing political and regulatory uncertainty.Comments from Maximilian Kaufmann, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the year, the fund gained 17.31%, outpacing the 15.98% increase in the benchmark MSCI EAFE index. (The fund may use fair-value pricing techniques to better reflect the value of foreign securities whose prices may be stale due to differences in market-closure times and dates around the world. Fair-value pricing is an adjustment process that attempts to best represent the value of fund holdings as of the close of trading in U.S. markets, accounting for any major changes occurring after the close of foreign markets. The MSCI EAFE does not engage in fair-value pricing; differences between fund and index pricing methodologies may cause short-term discrepancies in performance, which tend to smooth out over time.) The fund’s exposure to stocks with attractive valuation and high-growth characteristics added to the fund’s results, as did those with positive “information flow alpha” – our proprietary measure of how investors in various market segments are processing information about stocks. In contrast, our exposure to stocks demonstrating high levels of profitability, high price and earnings momentum, and good quality proved out of favor. Security selection – which stems from our quantitative, model-driven investment approach – was strong in multiple areas this period, especially in financials, materials, real estate and health care, while in country terms, stock picking added most value by far in Japan. The fund’s top individual contributor was STMicroelectronics, a Swiss semiconductor maker that benefited from a strong industry environment. In contrast, stock picking was subpar in consumer discretionary and industrials, while on a country basis, security selection in the U.K. was negative. Sweden-based Ericsson, a telecommunications firm, was the fund’s largest individual detractor, hurt by sharply lower sales and earnings.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Fidelity® International Enhanced Index Fund
Investment Summary (Unaudited)
Geographic Diversification (% of fund's net assets)
As of February 28, 2017 | ||
Japan | 23.2% | |
United Kingdom | 15.8% | |
France | 9.6% | |
Switzerland | 8.9% | |
Germany | 8.2% | |
Australia | 7.0% | |
United States of America* | 4.3% | |
Netherlands | 4.3% | |
Spain | 3.2% | |
Other | 15.5% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
As of August 31, 2016 | ||
Japan | 23.6% | |
United Kingdom | 17.6% | |
Switzerland | 10.0% | |
Germany | 8.8% | |
France | 8.1% | |
Australia | 7.0% | |
Netherlands | 4.9% | |
Sweden | 2.7% | |
Spain | 2.7% | |
Other* | 14.6% |
* Includes Short-Term investments and Net Other Assets (Liabilities).
Percentages are based on country or territory of incorporation and are adjusted for the effect of futures contracts, if applicable.
Asset Allocation as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Stocks and Equity Futures | 99.8 | 99.9 |
Short-Term Investments and Net Other Assets (Liabilities) | 0.2 | 0.1 |
Top Ten Stocks as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Nestle SA (Switzerland, Food Products) | 2.2 | 2.5 |
Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals) | 1.8 | 1.8 |
Novartis AG (Switzerland, Pharmaceuticals) | 1.5 | 1.7 |
HSBC Holdings PLC (United Kingdom, Banks) | 1.3 | 1.0 |
Commonwealth Bank of Australia (Australia, Banks) | 1.3 | 0.4 |
Siemens AG (Germany, Industrial Conglomerates) | 1.2 | 1.2 |
Sanofi SA (France, Pharmaceuticals) | 1.1 | 0.9 |
Unilever NV (Certificaten Van Aandelen) (Bearer) (Netherlands, Personal Products) | 1.0 | 1.0 |
Novo Nordisk A/S Series B (Denmark, Pharmaceuticals) | 1.0 | 1.2 |
National Australia Bank Ltd. (Australia, Banks) | 0.9 | 0.1 |
13.3 |
Top Market Sectors as of February 28, 2017
% of fund's net assets | % of fund's net assets 6 months ago | |
Financials | 18.7 | 22.0 |
Consumer Discretionary | 13.6 | 11.0 |
Industrials | 13.3 | 12.5 |
Health Care | 11.2 | 12.9 |
Consumer Staples | 10.1 | 12.8 |
Materials | 9.2 | 7.9 |
Information Technology | 5.6 | 5.4 |
Real Estate | 4.1 | 0.0 |
Telecommunication Services | 4.0 | 5.9 |
Energy | 3.4 | 3.7 |
Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Fidelity® International Enhanced Index Fund
Investments February 28, 2017
Showing Percentage of Net Assets
Common Stocks - 95.3% | |||
Shares | Value | ||
Australia - 7.0% | |||
Aristocrat Leisure Ltd. | 58,335 | $742,442 | |
Australia & New Zealand Banking Group Ltd. | 5,014 | 118,787 | |
BHP Billiton Ltd. | 52,457 | 992,911 | |
Caltex Australia Ltd. | 33,683 | 726,709 | |
Cimic Group Ltd. | 12,662 | 366,378 | |
Coca-Cola Amatil Ltd. | 107,797 | 847,142 | |
Commonwealth Bank of Australia | 55,378 | 3,495,168 | |
Fortescue Metals Group Ltd. | 279,849 | 1,422,534 | |
Goodman Group unit | 58,693 | 339,749 | |
Harvey Norman Holdings Ltd. | 136,597 | 539,354 | |
Macquarie Group Ltd. | 13,497 | 896,667 | |
Mirvac Group unit | 79,350 | 130,801 | |
National Australia Bank Ltd. | 104,193 | 2,555,514 | |
Qantas Airways Ltd. | 180,624 | 519,317 | |
Rio Tinto Ltd. | 33,775 | 1,605,249 | |
South32 Ltd. | 429,274 | 817,287 | |
Telstra Corp. Ltd. | 63,923 | 236,227 | |
Wesfarmers Ltd. | 62,227 | 2,038,147 | |
Westpac Banking Corp. | 18,936 | 489,034 | |
Woolworths Ltd. | 12,625 | 249,346 | |
TOTAL AUSTRALIA | 19,128,763 | ||
Austria - 0.1% | |||
Raiffeisen International Bank-Holding AG (a) | 12,316 | 273,477 | |
Bailiwick of Jersey - 0.9% | |||
Experian PLC | 9,408 | 186,373 | |
Glencore Xstrata PLC (a) | 293,575 | 1,173,172 | |
Wolseley PLC | 17,174 | 1,047,885 | |
TOTAL BAILIWICK OF JERSEY | 2,407,430 | ||
Belgium - 0.1% | |||
Anheuser-Busch InBev SA NV | 3,625 | 396,527 | |
Bermuda - 0.7% | |||
Hongkong Land Holdings Ltd. | 3,600 | 24,588 | |
Jardine Matheson Holdings Ltd. | 3,000 | 186,540 | |
Kerry Properties Ltd. | 343,500 | 1,053,124 | |
Li & Fung Ltd. | 360,000 | 160,456 | |
Yue Yuen Industrial (Holdings) Ltd. | 96,000 | 357,392 | |
TOTAL BERMUDA | 1,782,100 | ||
Cayman Islands - 1.1% | |||
Cheung Kong Property Holdings Ltd. | 235,500 | 1,601,773 | |
Melco Crown Entertainment Ltd. sponsored ADR | 3,847 | 62,975 | |
WH Group Ltd. | 1,848,500 | 1,445,387 | |
TOTAL CAYMAN ISLANDS | 3,110,135 | ||
Denmark - 1.8% | |||
Danske Bank A/S | 24,962 | 833,152 | |
Novo Nordisk A/S Series B | 75,607 | 2,677,013 | |
Vestas Wind Systems A/S | 20,371 | 1,511,092 | |
TOTAL DENMARK | 5,021,257 | ||
Finland - 1.3% | |||
Kone Oyj (B Shares) | 6,346 | 284,112 | |
Neste Oyj | 18,069 | 629,399 | |
Orion Oyj (B Shares) | 20,822 | 1,026,618 | |
Sampo Oyj (A Shares) | 1,113 | 50,714 | |
UPM-Kymmene Corp. | 62,779 | 1,491,776 | |
TOTAL FINLAND | 3,482,619 | ||
France - 9.6% | |||
Atos Origin SA | 4,060 | 479,580 | |
AXA SA | 55,953 | 1,321,499 | |
BNP Paribas SA | 27,087 | 1,582,009 | |
Bouygues SA | 4,566 | 175,930 | |
Capgemini SA | 6,979 | 597,766 | |
Casino Guichard Perrachon SA | 2,278 | 120,461 | |
Christian Dior SA | 6,524 | 1,381,614 | |
CNP Assurances | 11,197 | 207,409 | |
Compagnie de St. Gobain | 6,368 | 305,133 | |
Eurazeo SA | 7,078 | 437,159 | |
L'Oreal SA | 11,483 | 2,135,582 | |
LVMH Moet Hennessy - Louis Vuitton SA | 2,872 | 576,929 | |
Michelin CGDE Series B | 8,037 | 902,952 | |
Natixis SA | 66,967 | 365,437 | |
Orange SA | 85,397 | 1,286,720 | |
Peugeot Citroen SA (a) | 76,256 | 1,450,909 | |
Renault SA | 18,045 | 1,600,273 | |
Safran SA | 18,927 | 1,346,643 | |
Sanofi SA | 33,753 | 2,911,469 | |
Schneider Electric SA | 8,914 | 603,971 | |
Societe Generale Series A | 14,823 | 658,847 | |
Thales SA | 3,152 | 310,548 | |
Total SA | 41,461 | 2,068,737 | |
Unibail-Rodamco | 4,611 | 1,051,962 | |
Valeo SA | 13,503 | 829,838 | |
VINCI SA | 17,493 | 1,260,367 | |
TOTAL FRANCE | 25,969,744 | ||
Germany - 7.8% | |||
Allianz SE | 10,943 | 1,905,913 | |
BASF AG | 15,673 | 1,459,490 | |
Bayer AG | 19,214 | 2,114,846 | |
Continental AG | 7,683 | 1,558,689 | |
Covestro AG | 18,328 | 1,379,944 | |
Daimler AG (Germany) | 13,143 | 955,722 | |
Deutsche Bank AG (a) | 8,630 | 170,053 | |
Deutsche Borse AG (a) | 5,385 | 461,524 | |
Deutsche Lufthansa AG | 13,114 | 192,140 | |
Deutsche Post AG | 8,131 | 278,660 | |
E.ON AG | 215,716 | 1,674,207 | |
Fresenius SE & Co. KGaA | 22,379 | 1,778,598 | |
Infineon Technologies AG | 67,622 | 1,202,034 | |
Linde AG | 2,236 | 363,088 | |
Metro AG | 26,130 | 810,117 | |
Muenchener Rueckversicherungs AG | 4,375 | 826,862 | |
SAP AG | 6,043 | 562,920 | |
Schaeffler AG | 2,288 | 36,068 | |
Siemens AG | 26,018 | 3,382,362 | |
TOTAL GERMANY | 21,113,237 | ||
Hong Kong - 2.3% | |||
AIA Group Ltd. | 40,800 | 257,795 | |
Galaxy Entertainment Group Ltd. | 13,000 | 62,296 | |
Henderson Land Development Co. Ltd. | 181,600 | 1,055,039 | |
Link (REIT) | 13,500 | 93,126 | |
New World Development Co. Ltd. | 484,044 | 633,512 | |
Sino Land Ltd. | 120,438 | 209,757 | |
Sun Hung Kai Properties Ltd. | 123,000 | 1,798,361 | |
Swire Properties Ltd. | 18,600 | 55,947 | |
Wharf Holdings Ltd. | 86,000 | 681,871 | |
Wheelock and Co. Ltd. | 224,000 | 1,455,745 | |
TOTAL HONG KONG | 6,303,449 | ||
Israel - 1.3% | |||
Check Point Software Technologies Ltd. (a)(b) | 15,534 | 1,536,468 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 53,881 | 1,886,913 | |
TOTAL ISRAEL | 3,423,381 | ||
Italy - 0.4% | |||
Assicurazioni Generali SpA | 7,443 | 106,607 | |
Enel SpA | 131,317 | 563,572 | |
Intesa Sanpaolo SpA | 123,090 | 286,602 | |
UniCredit SpA | 9,715 | 130,195 | |
TOTAL ITALY | 1,086,976 | ||
Japan - 23.2% | |||
Amada Holdings Co. Ltd. | 18,100 | 204,611 | |
Asahi Glass Co. Ltd. | 138,000 | 1,127,634 | |
Astellas Pharma, Inc. | 139,200 | 1,875,071 | |
Bandai Namco Holdings, Inc. | 20,700 | 596,061 | |
Bridgestone Corp. | 43,700 | 1,743,021 | |
Canon, Inc. | 33,400 | 974,129 | |
Central Japan Railway Co. | 10,200 | 1,668,753 | |
Chubu Electric Power Co., Inc. | 70,000 | 922,159 | |
Daiichi Sankyo Kabushiki Kaisha | 25,900 | 590,297 | |
Daito Trust Construction Co. Ltd. | 4,300 | 601,682 | |
Daiwa Securities Group, Inc. | 14,000 | 88,764 | |
Fuji Heavy Industries Ltd. | 47,100 | 1,763,761 | |
Fujifilm Holdings Corp. | 42,100 | 1,627,115 | |
Fujitsu Ltd. | 159,000 | 923,755 | |
Hitachi Chemical Co. Ltd. | 15,800 | 445,120 | |
Hitachi High-Technologies Corp. | 1,100 | 45,823 | |
Hitachi Ltd. | 112,000 | 616,900 | |
Honda Motor Co. Ltd. | 73,700 | 2,283,031 | |
Hoya Corp. | 37,000 | 1,674,378 | |
Iida Group Holdings Co. Ltd. | 58,300 | 985,981 | |
Itochu Corp. | 44,300 | 641,363 | |
JTEKT Corp. | 83,100 | 1,411,320 | |
JX Holdings, Inc. | 124,700 | 593,947 | |
Kajima Corp. | 98,000 | 638,533 | |
Kansai Electric Power Co., Inc. (a) | 86,600 | 960,081 | |
KDDI Corp. | 74,000 | 1,933,807 | |
Kuraray Co. Ltd. | 15,400 | 233,718 | |
Mazda Motor Corp. | 19,700 | 275,463 | |
Mitsubishi Chemical Holdings Corp. | 200,100 | 1,536,573 | |
Mitsubishi Electric Corp. | 67,600 | 991,330 | |
Mitsubishi Tanabe Pharma Corp. | 65,000 | 1,336,508 | |
Mitsubishi UFJ Financial Group, Inc. | 316,700 | 2,095,215 | |
Mitsui Chemicals, Inc. | 289,000 | 1,468,859 | |
mixi, Inc. | 29,200 | 1,265,780 | |
Mizuho Financial Group, Inc. | 1,160,500 | 2,165,640 | |
MS&AD Insurance Group Holdings, Inc. | 28,900 | 977,267 | |
Murata Manufacturing Co. Ltd. | 900 | 129,378 | |
Nippon Electric Glass Co. Ltd. | 40,000 | 248,520 | |
Nippon Telegraph & Telephone Corp. | 45,600 | 1,928,849 | |
Nissan Motor Co. Ltd. | 156,700 | 1,541,836 | |
NKSJ Holdings, Inc. | 12,400 | 463,351 | |
Nomura Holdings, Inc. | 153,900 | 994,598 | |
NTT DOCOMO, Inc. | 83,600 | 1,986,164 | |
Obayashi Corp. | 60,800 | 565,002 | |
ORIX Corp. | 110,500 | 1,718,801 | |
Resona Holdings, Inc. | 101,300 | 565,358 | |
Seiko Epson Corp. | 58,000 | 1,297,278 | |
SHIMIZU Corp. | 74,000 | 679,105 | |
Shin-Etsu Chemical Co. Ltd. | 8,900 | 752,830 | |
SoftBank Corp. | 2,900 | 216,354 | |
Sumitomo Chemical Co. Ltd. | 265,000 | 1,476,612 | |
Sumitomo Corp. | 117,900 | 1,584,139 | |
Sumitomo Rubber Industries Ltd. | 8,600 | 141,924 | |
Suzuki Motor Corp. | 38,600 | 1,509,710 | |
Taisei Corp. | 146,000 | 1,024,060 | |
Teijin Ltd. | 5,800 | 110,946 | |
Tokio Marine Holdings, Inc. | 24,300 | 1,063,970 | |
Tokyo Electron Ltd. | 16,300 | 1,626,445 | |
Toppan Printing Co. Ltd. | 22,000 | 221,674 | |
Toyota Motor Corp. | 31,900 | 1,804,673 | |
Toyota Tsusho Corp. | 900 | 26,837 | |
TOTAL JAPAN | 62,961,864 | ||
Luxembourg - 0.5% | |||
ArcelorMittal SA (Netherlands) (a) | 110,680 | 973,906 | |
RTL Group SA | 5,910 | 454,678 | |
TOTAL LUXEMBOURG | 1,428,584 | ||
Multi-National - 0.2% | |||
HKT Trust/HKT Ltd. unit | 356,000 | 475,101 | |
Netherlands - 4.3% | |||
AerCap Holdings NV (a) | 31,222 | 1,414,357 | |
CNH Industrial NV | 19,960 | 185,236 | |
EXOR NV | 10,206 | 483,631 | |
Fiat Chrysler Automobiles NV | 135,526 | 1,483,143 | |
Heineken Holding NV | 9,217 | 700,016 | |
ING Groep NV (Certificaten Van Aandelen) | 106,612 | 1,468,750 | |
Koninklijke Philips Electronics NV | 16,482 | 499,402 | |
NN Group NV | 16,082 | 499,618 | |
NXP Semiconductors NV(a) | 3,383 | 347,806 | |
Randstad Holding NV | 3,160 | 183,822 | |
STMicroelectronics NV (France) | 101,090 | 1,541,723 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 58,224 | 2,756,214 | |
TOTAL NETHERLANDS | 11,563,718 | ||
New Zealand - 0.1% | |||
Spark New Zealand Ltd. | 120,414 | 311,376 | |
Norway - 0.2% | |||
Marine Harvest ASA | 30,707 | 536,965 | |
Portugal - 0.1% | |||
Energias de Portugal SA | 90,381 | 279,493 | |
Singapore - 1.9% | |||
DBS Group Holdings Ltd. | 135,700 | 1,813,658 | |
Oversea-Chinese Banking Corp. Ltd. | 227,700 | 1,537,064 | |
United Overseas Bank Ltd. | 46,084 | 707,012 | |
Wilmar International Ltd. | 169,500 | 440,260 | |
Yangzijiang Shipbuilding Holdings Ltd. | 1,095,600 | 723,155 | |
TOTAL SINGAPORE | 5,221,149 | ||
Spain - 3.2% | |||
ACS Actividades de Construccion y Servicios SA | 1,465 | 45,979 | |
Aena SA | 6,657 | 952,077 | |
Amadeus IT Holding SA Class A | 1,834 | 85,305 | |
Banco Bilbao Vizcaya Argentaria SA | 103,012 | 671,120 | |
Banco Santander SA (Spain) | 372,774 | 2,027,360 | |
CaixaBank SA | 36,989 | 128,899 | |
Endesa SA | 67,343 | 1,433,641 | |
MAPFRE SA (Reg.) | 149,880 | 463,805 | |
Repsol YPF SA | 81,870 | 1,211,128 | |
Telefonica SA | 174,488 | 1,776,281 | |
TOTAL SPAIN | 8,795,595 | ||
Sweden - 2.5% | |||
Atlas Copco AB (A Shares) | 33,163 | 1,086,011 | |
Electrolux AB (B Shares) | 31,427 | 833,495 | |
Industrivarden AB (C Shares) | 5,590 | 110,665 | |
Investor AB (B Shares) | 19,009 | 753,908 | |
Lundbergfoeretagen AB | 6,335 | 410,912 | |
Nordea Bank AB | 29,656 | 347,595 | |
Sandvik AB | 117,907 | 1,604,035 | |
Skanska AB (B Shares) | 7,212 | 171,939 | |
Svenska Handelsbanken AB (A Shares) | 4,585 | 63,798 | |
Swedbank AB (A Shares) | 3,423 | 84,526 | |
Telefonaktiebolaget LM Ericsson (B Shares) | 29,096 | 188,785 | |
TeliaSonera AB | 111,859 | 449,122 | |
Volvo AB (B Shares) | 52,974 | 691,914 | |
TOTAL SWEDEN | 6,796,705 | ||
Switzerland - 8.9% | |||
ABB Ltd. (Reg.) | 85,729 | 1,936,642 | |
Actelion Ltd. | 958 | 257,780 | |
Adecco SA (Reg.) | 6,693 | 481,142 | |
Coca-Cola HBC AG | 33,425 | 806,697 | |
Credit Suisse Group AG | 14,888 | 224,616 | |
Kuehne & Nagel International AG | 5,625 | 800,891 | |
Lonza Group AG | 1,925 | 354,583 | |
Nestle SA | 79,453 | 5,863,479 | |
Novartis AG | 50,699 | 3,959,182 | |
Pargesa Holding SA | 5,882 | 387,995 | |
Partners Group Holding AG | 329 | 172,141 | |
Roche Holding AG (participation certificate) | 19,788 | 4,816,489 | |
Schindler Holding AG (participation certificate) | 1,867 | 361,001 | |
Swiss Re Ltd. | 10,771 | 963,047 | |
Syngenta AG (Switzerland) | 1,265 | 545,239 | |
UBS Group AG | 63,532 | 978,583 | |
Zurich Insurance Group AG | 4,494 | 1,240,224 | |
TOTAL SWITZERLAND | 24,149,731 | ||
United Kingdom - 15.8% | |||
3i Group PLC | 63,785 | 544,931 | |
Aberdeen Asset Management PLC | 58,712 | 201,438 | |
Anglo American PLC (United Kingdom) (a) | 104,050 | 1,640,348 | |
AstraZeneca PLC (United Kingdom) | 3,020 | 174,043 | |
Aviva PLC | 21,433 | 132,304 | |
BAE Systems PLC | 64,144 | 502,154 | |
Barclays PLC | 215,319 | 605,193 | |
Barratt Developments PLC | 222,438 | 1,411,802 | |
Berkeley Group Holdings PLC | 29,731 | 1,086,092 | |
BHP Billiton PLC | 112,185 | 1,808,191 | |
BP PLC | 150,498 | 848,608 | |
British American Tobacco PLC (United Kingdom) | 17,082 | 1,078,977 | |
British Land Co. PLC | 47,263 | 362,141 | |
Burberry Group PLC | 48,663 | 1,042,219 | |
Carnival PLC | 28,338 | 1,544,460 | |
Carphone Warehouse Group PLC | 43,374 | 163,077 | |
Centrica PLC | 74,047 | 208,590 | |
Diageo PLC | 35,532 | 1,001,820 | |
Direct Line Insurance Group PLC | 22,584 | 96,260 | |
GlaxoSmithKline PLC | 1,524 | 31,185 | |
GlaxoSmithKline PLC sponsored ADR | 57,642 | 2,390,990 | |
HSBC Holdings PLC: | |||
(United Kingdom) | 44,543 | 357,773 | |
sponsored ADR | 80,908 | 3,260,592 | |
Imperial Tobacco Group PLC | 23,522 | 1,107,073 | |
Johnson Matthey PLC | 21,421 | 814,419 | |
Kingfisher PLC | 367,183 | 1,497,698 | |
Land Securities Group PLC | 16,943 | 224,113 | |
Legal & General Group PLC | 224,991 | 693,204 | |
Lloyds Banking Group PLC | 1,631,982 | 1,391,287 | |
Marks & Spencer Group PLC | 356,065 | 1,478,150 | |
Mondi PLC | 28,153 | 656,403 | |
Persimmon PLC | 58,290 | 1,490,704 | |
Prudential PLC | 34,201 | 683,509 | |
Reckitt Benckiser Group PLC | 8,546 | 775,974 | |
RELX PLC | 47,626 | 889,406 | |
Rio Tinto PLC | 54,854 | 2,248,257 | |
Royal Dutch Shell PLC: | |||
Class A (United Kingdom) | 70,645 | 1,828,136 | |
Class B (United Kingdom) | 46,080 | 1,247,321 | |
Royal Mail PLC | 77,618 | 399,311 | |
Schroders PLC | 757 | 28,865 | |
Scottish & Southern Energy PLC | 46,530 | 889,017 | |
Standard Chartered PLC (United Kingdom) (a) | 26,123 | 234,164 | |
Tate & Lyle PLC | 29,679 | 273,994 | |
Taylor Wimpey PLC | 114,673 | 256,126 | |
Unilever PLC | 51,973 | 2,465,680 | |
Vodafone Group PLC | 18,390 | 46,055 | |
William Hill PLC | 62,848 | 205,802 | |
WM Morrison Supermarkets PLC | 207,537 | 624,749 | |
TOTAL UNITED KINGDOM | 42,942,605 | ||
TOTAL COMMON STOCKS | |||
(Cost $244,396,306) | 258,961,981 | ||
Nonconvertible Preferred Stocks - 0.4% | |||
Germany - 0.4% | |||
Henkel AG & Co. KGaA | |||
(Cost $814,098) | 7,937 | 991,357 | |
Principal Amount | Value | ||
Government Obligations - 0.2% | |||
United States of America - 0.2% | |||
U.S. Treasury Bills, yield at date of purchase 0.56% 8/17/17 (c) (Cost $498,702) | 500,000 | 498,413 | |
Shares | Value | ||
Money Market Funds - 3.9% | |||
Fidelity Cash Central Fund, 0.60% (d) | 9,301,678 | 9,303,538 | |
Fidelity Securities Lending Cash Central Fund 0.62% (d)(e) | 1,195,263 | 1,195,502 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $10,498,831) | 10,499,040 | ||
TOTAL INVESTMENT PORTFOLIO - 99.8% | |||
(Cost $256,207,937) | 270,950,791 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 625,067 | ||
NET ASSETS - 100% | $271,575,858 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Equity Index Contracts | |||
129 ICE E-mini MSCI EAFE Index Contracts (United States) | March 2017 | 11,258,475 | $165,398 |
The face value of futures purchased as a percentage of Net Assets is 4.1%
Categorizations in the Schedule of Investments are based on country or territory of incorporation.
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $498,413.
(d) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(e) Includes investment made with cash collateral received from securities on loan.
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 Cash Central Fund | $15,778 |
Fidelity Securities Lending Cash Central Fund | 10,621 |
Total | $26,399 |
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2017, 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 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 | $36,810,816 | $25,808,576 | $11,002,240 | $-- |
Consumer Staples | 27,465,964 | 13,127,293 | 14,338,671 | -- |
Energy | 9,153,985 | 1,950,055 | 7,203,930 | -- |
Financials | 51,331,835 | 32,483,452 | 18,848,383 | -- |
Health Care | 29,855,963 | 11,038,885 | 18,817,078 | -- |
Industrials | 35,670,286 | 27,232,837 | 8,437,449 | -- |
Information Technology | 15,297,510 | 8,932,875 | 6,364,635 | -- |
Materials | 25,416,872 | 17,667,993 | 7,748,879 | -- |
Real Estate | 11,373,291 | 11,373,291 | -- | -- |
Telecommunication Services | 10,646,056 | 1,022,704 | 9,623,352 | -- |
Utilities | 6,930,760 | 5,269,581 | 1,661,179 | -- |
Government Obligations | 498,413 | -- | 498,413 | -- |
Money Market Funds | 10,499,040 | 10,499,040 | -- | -- |
Total Investments in Securities: | $270,950,791 | $166,406,582 | $104,544,209 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $165,398 | $165,398 | $-- | $-- |
Total Assets | $165,398 | $165,398 | $-- | $-- |
Total Derivative Instruments: | $165,398 | $165,398 | $-- | $-- |
The following is a summary of transfers between Level 1 and Level 2 for the period ended February 28, 2017. 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 | $5,348,122 |
Level 2 to Level 1 | $23,092,788 |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $165,398 | $0 |
Total Equity Risk | 165,398 | 0 |
Total Value of Derivatives | $165,398 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Fidelity® International Enhanced Index Fund
Financial Statements
Statement of Assets and Liabilities
February 28, 2017 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $1,167,138) — See accompanying schedule: Unaffiliated issuers (cost $245,709,106) | $260,451,751 | |
Fidelity Central Funds (cost $10,498,831) | 10,499,040 | |
Total Investments (cost $256,207,937) | $270,950,791 | |
Foreign currency held at value (cost $19,840) | 19,821 | |
Receivable for fund shares sold | 1,363,401 | |
Dividends receivable | 878,525 | |
Distributions receivable from Fidelity Central Funds | 4,303 | |
Other receivables | 15,092 | |
Total assets | 273,231,933 | |
Liabilities | ||
Payable for fund shares redeemed | $310,398 | |
Accrued management fee | 102,288 | |
Payable for daily variation margin for derivative instruments | 15,919 | |
Other affiliated payables | 32,645 | |
Other payables and accrued expenses | 75 | |
Collateral on securities loaned | 1,194,750 | |
Total liabilities | 1,656,075 | |
Net Assets | $271,575,858 | |
Net Assets consist of: | ||
Paid in capital | $270,680,936 | |
Undistributed net investment income | 1,283 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (13,998,528) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 14,892,167 | |
Net Assets, for 32,006,765 shares outstanding | $271,575,858 | |
Net Asset Value, offering price and redemption price per share ($271,575,858 ÷ 32,006,765 shares) | $8.48 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2017 | ||
Investment Income | ||
Dividends | $6,183,945 | |
Interest | 1,566 | |
Income from Fidelity Central Funds (including $10,621 from security lending) | 26,399 | |
Income before foreign taxes withheld | 6,211,910 | |
Less foreign taxes withheld | (449,758) | |
Total income | 5,762,152 | |
Expenses | ||
Management fee | $863,342 | |
Transfer agent fees | 275,772 | |
Independent trustees' fees and expenses | 765 | |
Miscellaneous | 512 | |
Total expenses before reductions | 1,140,391 | |
Expense reductions | (23) | 1,140,368 |
Net investment income (loss) | 4,621,784 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (4,504,641) | |
Fidelity Central Funds | 116 | |
Foreign currency transactions | (117,011) | |
Futures contracts | 326,015 | |
Total net realized gain (loss) | (4,295,521) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 28,662,209 | |
Assets and liabilities in foreign currencies | 36 | |
Futures contracts | 151,387 | |
Total change in net unrealized appreciation (depreciation) | 28,813,632 | |
Net gain (loss) | 24,518,111 | |
Net increase (decrease) in net assets resulting from operations | $29,139,895 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2017 | Year ended February 29, 2016 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $4,621,784 | $3,232,456 |
Net realized gain (loss) | (4,295,521) | (8,202,367) |
Change in net unrealized appreciation (depreciation) | 28,813,632 | (18,846,011) |
Net increase (decrease) in net assets resulting from operations | 29,139,895 | (23,815,922) |
Distributions to shareholders from net investment income | (4,288,268) | (2,909,905) |
Distributions to shareholders from net realized gain | (392,264) | (40,835) |
Total distributions | (4,680,532) | (2,950,740) |
Share transactions | ||
Proceeds from sales of shares | 151,532,441 | 120,458,928 |
Reinvestment of distributions | 4,408,489 | 2,774,693 |
Cost of shares redeemed | (61,528,135) | (49,141,729) |
Net increase (decrease) in net assets resulting from share transactions | 94,412,795 | 74,091,892 |
Redemption fees | 5,161 | 12,817 |
Total increase (decrease) in net assets | 118,877,319 | 47,338,047 |
Net Assets | ||
Beginning of period | 152,698,539 | 105,360,492 |
End of period | $271,575,858 | $152,698,539 |
Other Information | ||
Undistributed net investment income end of period | $1,283 | $97,784 |
Shares | ||
Sold | 18,467,381 | 14,156,866 |
Issued in reinvestment of distributions | 542,369 | 343,487 |
Redeemed | (7,586,650) | (5,937,186) |
Net increase (decrease) | 11,423,100 | 8,563,167 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity International Enhanced Index Fund
Years ended February 28, | 2017 | 2016 A | 2015 | 2014 | 2013 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $7.42 | $8.77 | $8.85 | $7.45 | $6.95 |
Income from Investment Operations | |||||
Net investment income (loss)B | .20 | .19 | .20 | .28C | .21 |
Net realized and unrealized gain (loss) | 1.08 | (1.38) | (.10) | 1.29 | .52 |
Total from investment operations | 1.28 | (1.19) | .10 | 1.57 | .73 |
Distributions from net investment income | (.20) | (.16) | (.16) | (.15) | (.21) |
Distributions from net realized gain | (.02) | –D | (.02) | (.01) | (.02) |
Total distributions | (.22) | (.16) | (.18) | (.17)E | (.23) |
Redemption fees added to paid in capitalB,D | – | – | – | – | – |
Net asset value, end of period | $8.48 | $7.42 | $8.77 | $8.85 | $7.45 |
Total ReturnF | 17.31% | (13.71)% | 1.25% | 21.21% | 10.64% |
Ratios to Average Net AssetsG,H | |||||
Expenses before reductions | .62% | .62% | .62% | .62% | .62% |
Expenses net of fee waivers, if any | .62% | .62% | .62% | .62% | .62% |
Expenses net of all reductions | .62% | .62% | .62% | .62% | .62% |
Net investment income (loss) | 2.53% | 2.27% | 2.31% | 3.40%C | 3.04% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $271,576 | $152,699 | $105,360 | $44,828 | $30,412 |
Portfolio turnover rateI | 75% | 77% | 75% | 63% | 56% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net Investment 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%.
D Amount represents less than $.005 per share.
E Total distributions of $.17 per share is comprised of distributions from net investment income of $.153 and distributions from net realized gain of $.013 per share.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2017
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 affiliated 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 Fair Value Committee (the Committee) established by each Fund's investment adviser. 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund's valuation policies and procedures and 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.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
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 February 28, 2017, including information on transfers between Levels 1 and 2 is included at the end of each 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.
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. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. 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. As of February 28, 2017, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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. In addition, certain Funds claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, market discount, capital loss carryforwards, expiring capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) on securities | |
Fidelity Large Cap Growth Enhanced Index Fund | $712,222,566 | $156,467,264 | $(12,888,289) | $143,578,975 |
Fidelity Large Cap Value Enhanced Index Fund | 2,631,255,242 | 385,894,897 | (47,473,801) | 338,421,096 |
Fidelity Large Cap Core Enhanced Index Fund | 436,448,894 | 111,309,641 | (9,964,596) | 101,345,045 |
Fidelity Mid Cap Enhanced Index Fund | 1,121,220,666 | 175,067,591 | (36,784,903) | 138,282,688 |
Fidelity Small Cap Enhanced Index Fund | 1,268,142,778 | 186,227,460 | (43,521,025) | 142,706,435 |
Fidelity International Enhanced Index Fund | 258,054,656 | 21,617,038 | (8,720,903) | 12,896,135 |
The tax-based components of distributable earnings as of period end were as follows for each Fund:
Undistributed ordinary income | Undistributed long-term capital gain | Capital loss carryforward | Net unrealized appreciation (depreciation) on securities and other investments | |
Fidelity Large Cap Growth Enhanced Index Fund | $2,179,644 | $8,002,297 | $– | $143,578,975 |
Fidelity Large Cap Value Enhanced Index Fund | 18,332,179 | 11,184,862 | – | 338,421,096 |
Fidelity Large Cap Core Enhanced Index Fund | 1,334,108 | – | (6,702,484) | 101,345,045 |
Fidelity Mid Cap Enhanced Index Fund | 1,436,419 | 5,741,295 | – | 138,282,688 |
Fidelity Small Cap Enhanced Index Fund | 324,662 | 29,669,779 | – | 142,706,435 |
Fidelity International Enhanced Index Fund | – | – | (11,985,128) | 12,880,050 |
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration | ||||
2018 | 2019 | Total with expiration | ||
Fidelity Large Cap Core Enhanced Index Fund | $(6,702,484) | $– | $(6,702,484) | |
Fidelity International Enhanced Index Fund | – | (545,048) | (545,048) | |
No expiration | ||||
Short-term | Long-term | Total no expiration | Total capital loss carryforward | |
Fidelity International Enhanced Index Fund | $(6,082,227) | $(5,357,853) | $(11,440,080) | $(11,985,128) |
Due to large redemptions in a prior period, $6,702,484 of capital losses that will be available to offset future capital gains of the Fidelity Large Cap Core Enhanced Index Fund will be limited to approximately $4,403,117 per year. The tax character of distributions paid was as follows:
February 28, 2017 | ||
Ordinary Income | Total | |
Fidelity Large Cap Growth Enhanced Index Fund | $7,111,776 | $7,111,776 |
Fidelity Large Cap Value Enhanced Index Fund | 38,789,221 | 38,789,221 |
Fidelity Large Cap Core Enhanced Index Fund | 7,861,211 | 7,861,211 |
Fidelity Mid Cap Enhanced Index Fund | 13,411,857 | 13,411,857 |
Fidelity Small Cap Enhanced Index Fund | 6,525,921 | 6,525,921 |
Fidelity International Enhanced Index Fund | 4,680,532 | 4,680,532 |
February 29, 2016 | |||
Ordinary Income | Long-term Capital Gains | Total | |
Fidelity Large Cap Growth Enhanced Index Fund | $6,275,758 | $13,163,155 | $19,438,913 |
Fidelity Large Cap Value Enhanced Index Fund | 27,330,027 | 19,261,829 | 46,591,856 |
Fidelity Large Cap Core Enhanced Index Fund | 9,163,862 | 5,701,658 | 14,865,520 |
Fidelity Mid Cap Enhanced Index Fund | 13,914,554 | 25,203,719 | 39,118,273 |
Fidelity Small Cap Enhanced Index Fund | 4,016,522 | 24,264,444 | 28,280,966 |
Fidelity International Enhanced Index Fund | 2,950,740 | – | 2,950,740 |
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. In November 2016, the Board of Trustees approved the elimination of these redemption fees for Fidelity Small Cap Enhanced Index Fund and Fidelity Mid Cap Enhanced Index Fund effective December 12, 2016.
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.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Fidelity Large Cap Growth Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | $1,863,288 | $444,062 |
Fidelity Large Cap Value Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | 5,199,649 | 899,649 |
Fidelity Large Cap Core Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | 1,026,856 | 137,056 |
Fidelity Mid Cap Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | 3,073,364 | 108,038 |
Fidelity Small Cap Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | 6,394,843 | 1,411,465 |
Fidelity International Enhanced Index Fund | ||
Equity Risk | ||
Futures Contracts(a) | 326,015 | 151,387 |
(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.
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 | 801,692,006 | 544,014,614 |
Fidelity Large Cap Value Enhanced Index Fund | 2,514,076,744 | 1,658,374,024 |
Fidelity Large Cap Core Enhanced Index Fund | 412,774,939 | 389,571,327 |
Fidelity Mid Cap Enhanced Index Fund | 1,018,721,331 | 839,310,686 |
Fidelity Small Cap Enhanced Index Fund | 1,015,453,578 | 551,532,276 |
Fidelity International Enhanced Index Fund | 222,315,415 | 135,348,036 |
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. FMR Co., 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, 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% |
In March 2017, the shareholders approved an amendment to the management fee contract and the termination of the expense contract for each Fund. Effective April 1, 2017, each Fund will pay an all-inclusive management fee based on the annual rates noted in the following table; and the investment adviser will pay all ordinary operating expenses of each Fund, except fees and expenses of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. The management fees will be reduced by an amount equal to the fees and expenses paid by the Funds to the independent Trustees.
Fidelity Large Cap Growth Enhanced Index Fund | .39% |
Fidelity Large Cap Value Enhanced Index Fund | .39% |
Fidelity Large Cap Core Enhanced Index Fund | .39% |
Fidelity Mid Cap Enhanced Index Fund | .59% |
Fidelity Small Cap Enhanced Index Fund | .64% |
Fidelity International Enhanced Index Fund | .59% |
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 annual rate of .15% of average net assets.
Interfund Trades. The Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
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 does 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 Money Market Central Funds seek 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 .005%.
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, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
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 | $1,829 |
Fidelity Large Cap Value Enhanced Index Fund | 5,737 |
Fidelity Large Cap Core Enhanced Index Fund | 1,418 |
Fidelity Mid Cap Enhanced Index Fund | 2,821 |
Fidelity Small Cap Enhanced Index Fund | 1,973 |
Fidelity International Enhanced Index Fund | 512 |
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. The Funds or borrower may terminate the loan at any time, and 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 certain 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 reduction | |
Fidelity Large Cap Growth Enhanced Index Fund | $217 |
Fidelity Large Cap Value Enhanced Index Fund | 362 |
Fidelity Large Cap Core Enhanced Index Fund | 97 |
Fidelity Mid Cap Enhanced Index Fund | 194 |
Fidelity Small Cap Enhanced Index Fund | 304 |
Fidelity International Enhanced Index Fund | 23 |
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Commonwealth Trust II and the Shareholders of 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:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 (each a fund of Fidelity Commonwealth Trust II) (the "Funds") as of February 28, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 18, 2017
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for Donald F. Donahue and Carol B. Tomé, each of the Trustees oversees 90 funds. Mr. Donahue and Ms. Tomé each oversees seven funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the funds is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Each fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve as a trustee of the funds, is provided below.
Board Structure and Oversight Function. Brian B. Hogan is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Wiley serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's sector portfolios. Other Boards oversee Fidelity's equity and high income funds, and Fidelity's investment grade bond, money market, and asset allocation funds. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Brian B. Hogan (1964)
Year of Election or Appointment: 2017
Trustee
Chairman of the Board of Trustees
Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Donald F. Donahue (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Donahue also serves as a Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Donahue is President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 2012-present) and a consultant for the Institute for Defense Analyses (national security, 2012-present). Previously, Mr. Donahue served as Chief Executive Officer (2006-2012), Chief Operating Officer (2003-2006), and Managing Director, Customer Marketing and Development (1999-2003) of The Depository Trust & Clearing Corporation (financial markets infrastructure). Mr. Donahue serves as a Member (2012-present) and Co-Chairman (2016-present) of the Board of Directors of United Way of New York, Member of the Board of Directors of NYC Leadership Academy (2012-present) and Member of the Board of Advisors of Ripple Labs, Inc. (financial services, 2015-present). He also served as Chairman (2010-2012) and Member of the Board of Directors (2012-2013) of Omgeo, LLC (financial services), Treasurer of United Way of New York (2012-2016), and Member of the Board of Directors of XBRL US (financial services non-profit, 2009-2012) and the International Securities Services Association (2009-2012).
David A. Rosow (1942)
Year of Election or Appointment: 2017
Trustee
Mr. Rosow also serves as Trustee of other Fidelity® funds. Prior to his retirement in 2006, Mr. Rosow was the Chief Executive Officer, owner and operator of a number of private companies, which encompassed the oil refining, drilling and marketing of petroleum products (including specialty petroleum products), recreation industry, and real estate development. Mr. Rosow currently serves as a Director of Oxbow Carbon LLC (upgraders, marketers, and distributors of petroleum byproducts of the oil refining process, 2015-present) and Oxbridge Academy of the Palm Beaches (2015-present) and serves as its President and CEO. Previously, Mr. Rosow served on the Fairfield Country Day School Board for 27 years, including as its President for 3 years, stepping down in 2006. Mr. Rosow served as Lead Director and Chairman of the Audit Committee of Hudson United Bancorp (1996-2006), Chairman of the Board of Westport Bank and Trust (1992-1996), and as a Director of TD Banknorth (2006-2007). In addition, Mr. Rosow served as a member (2008-2014) and President (2009-2014) of the Town Council of Palm Beach, Florida. Mr. Rosow also served as a Member of the Advisory Board of certain Fidelity® funds (2012-2013).
Garnett A. Smith (1947)
Year of Election or Appointment: 2017
Trustee
Mr. Smith also serves as Trustee of other Fidelity® funds. Prior to Mr. Smith's retirement, he served as Chairman and Chief Executive Officer of Inbrand Corp. (manufacturer of personal absorbent products, 1990-1997). He also served as President (1986-1990) of Inbrand Corp. Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank. In addition, Mr. Smith served as a Member of the Advisory Board of certain Fidelity® funds (2012-2013) and as a board member of the Jackson Hole Land Trust (2009-2012).
Carol B. Tomé (1957)
Year of Election or Appointment: 2017
Trustee
Ms. Tomé also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. Tomé is Chief Financial Officer (2001-present) and Executive Vice President of Corporate Services (2007-present) of The Home Depot, Inc. (home improvement retailer) and a Director (2003-present) and Chair of the Audit Committee (2004-present) of United Parcel Service, Inc. (package delivery and supply chain management). Previously, Ms. Tomé served as Senior Vice President of Finance and Accounting/Treasurer (2000-2007) and Vice President and Treasurer (1995-2000) of The Home Depot, Inc. and Chair of the Board (2010-2012), Vice Chair of the Board (2009 and 2013), and a Director (2008-2013) of the Federal Reserve Bank of Atlanta. Ms. Tomé is also a director or trustee of many community and professional organizations.
Michael E. Wiley (1950)
Year of Election or Appointment: 2017
Trustee
Chairman of the Independent Trustees
Mr. Wiley also serves as Trustee of other Fidelity® funds. Mr. Wiley serves as a Director of Tesoro Corporation (independent oil refiner and marketer, 2005-present), a Director of Tesoro Logistics LP (natural resources logistics, 2015-present), and a Director of Bill Barrett Corporation (exploration and production, 2005-present). In addition, Mr. Wiley also serves as a Director of Post Oak Bank (privately-held bank, 2004-present). Previously, Mr. Wiley served as a Trustee of other Fidelity® funds (2008-2013), as a Director of Asia Pacific Exploration Consolidated (international oil and gas exploration and production, 2008-2013), as a member of the Board of Trustees of the University of Tulsa (2000-2006; 2007-2010), as a Senior Energy Advisor of Katzenbach Partners, LLC (consulting, 2006-2007), as an Advisory Director of Riverstone Holdings (private investment), Chairman, President, and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004), and as Director of Spinnaker Exploration Company (exploration and production, 2001-2005).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Except for Anthony R. Rochte, correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Correspondence intended for Mr. Rochte may be sent to Fidelity SelectCo, LLC (SelectCo), 1225 17th Street, Denver, Colorado 80202-5541. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Interim Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Marc R. Bryant (1966)
Year of Election or Appointment: 2017
Secretary and Chief Legal Officer (CLO)
Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
William C. Coffey (1969)
Year of Election or Appointment: 2017
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2017
President and Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
Joseph DeSantis (1959)
Year of Election or Appointment: 2017
Vice President
Mr. DeSantis also serves as Vice President of other funds. Mr. DeSantis serves as a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), Chief Investment Officer, Equities (2010-present) and is an employee of Fidelity Investments.
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2017
Assistant Treasurer
Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2017
Chief Financial Officer
Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2017
Vice President
Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Previously, Mr. Goebel served as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016), Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2017
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers, Inc. (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present).
Brian B. Hogan (1964)
Year of Election or Appointment: 2017
Vice President
Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager. Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan.
Colm A. Hogan (1973)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan.
Chris Maher (1972)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Anthony R. Rochte (1968)
Year of Election or Appointment: 2017
Vice President
Mr. Rochte also serves as Vice President of other funds. Mr. Rochte serves as President of Fidelity SelectCo, LLC (investment adviser firm, 2012-present) and is an employee of Fidelity Investments (2012-present). Prior to joining Fidelity Investments, Mr. Rochte served as Senior Managing Director and head of State Street Global Advisors' North American Intermediary Business Group (2006-2012).
Stacie M. Smith (1974)
Year of Election or Appointment: 2017
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Marc L. Spector (1972)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Renee Stagnone (1975)
Year of Election or Appointment: 2017
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Shareholder Expense Example
As a shareholder of the 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 Fund 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 (September 1, 2016 to February 28, 2017).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. 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 the 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2016 | Ending Account Value February 28, 2017 | Expenses Paid During Period-B September 1, 2016 to February 28, 2017 | |
Fidelity Large Cap Growth Enhanced Index Fund | .45% | |||
Actual | $1,000.00 | $1,097.60 | $2.34** | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26** | |
Fidelity Large Cap Value Enhanced Index Fund | .45% | |||
Actual | $1,000.00 | $1,122.60 | $2.37** | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26** | |
Fidelity Large Cap Core Enhanced Index Fund | .45% | |||
Actual | $1,000.00 | $1,099.90 | $2.34** | |
Hypothetical-C | $1,000.00 | $1,022.56 | $2.26** | |
Fidelity Mid Cap Enhanced Index Fund | .60% | |||
Actual | $1,000.00 | $1,107.90 | $3.14 | |
Hypothetical-C | $1,000.00 | $1,021.82 | $3.01 | |
Fidelity Small Cap Enhanced Index Fund | .67% | |||
Actual | $1,000.00 | $1,143.10 | $3.56 | |
Hypothetical-C | $1,000.00 | $1,021.47 | $3.36 | |
Fidelity International Enhanced Index Fund | .62% | |||
Actual | $1,000.00 | $1,059.60 | $3.17** | |
Hypothetical-C | $1,000.00 | $1,021.72 | $3.11** |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
**If fees and changes to the Funds' expenses effective April 1, 2017 had been in effect during the current period, the annualized expense ratios and the expenses paid in the actual and hypothetical examples above would have been as shown in the table below:
Annualized Expense Ratio-(a) | Expenses Paid | |
Fidelity Large Cap Growth Enhanced Index Fund | .39% | |
Actual | 2.03 | |
Hypothetical-(b) | 1.96 | |
Fidelity Large Cap Value Enhanced Index Fund | .39% | |
Actual | 2.05 | |
Hypothetical-(b) | 1.96 | |
Fidelity Large Cap Core Enhanced Index Fund | .39% | |
Actual | 2.03 | |
Hypothetical-(b) | 1.96 | |
Fidelity International Enhanced Index Fund | .59% | |
Actual | 3.01 | |
Hypothetical-(b) | 2.96 |
(a) Annualized expense ratio reflects expenses net of applicable fee waivers.
(b) 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:
Pay Date | Record Date | Dividends | Capital Gains | |
Fidelity Large Cap Growth Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.040 | $0.158 |
Fidelity Large Cap Value Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.040 | $0.085 |
Fidelity Large Cap Core Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.035 | $0.000 |
Fidelity Mid Cap Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.018 | $0.073 |
Fidelity Small Cap Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.005 | $0.388 |
Fidelity International Enhanced Index Fund | 04/13/17 | 04/12/17 | $0.000 | $0.000 |
The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended February 28, 2017, or, if subsequently determined to be different, the net capital gain of such year.
Fidelity Large Cap Growth Enhanced Index Fund | $8,002,297 |
Fidelity Large Cap Value Enhanced Index Fund | $11,184,862 |
Fidelity Mid Cap Enhanced Index Fund | $5,791,015 |
Fidelity Small Cap Enhanced Index Fund | $31,260,963 |
A percentage of the dividends distributed during the fiscal year for the following funds qualify for the dividends–received deduction for corporate shareholders:
April 2016 | December 2016 | |
Fidelity Large Cap Growth Enhanced Index Fund | – | 100% |
Fidelity Large Cap Value Enhanced Index Fund | 100% | 100% |
Fidelity Large Cap Core Enhanced Index Fund | 100% | 100% |
Fidelity Mid Cap Enhanced Index Fund | – | 95% |
Fidelity Small Cap Enhanced Index Fund | – | 90% |
Fidelity International Enhanced Index Fund | – | – |
A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
April 2016 | December 2016 | |
Fidelity Large Cap Growth Enhanced Index Fund | – | 100% |
Fidelity Large Cap Value Enhanced Index Fund | 100% | 100% |
Fidelity Large Cap Core Enhanced Index Fund | 100% | 100% |
Fidelity Mid Cap Enhanced Index Fund | – | 100% |
Fidelity Small Cap Enhanced Index Fund | – | 96% |
Fidelity International Enhanced Index Fund | 100% | 98% |
The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:
Pay Date | Income | Taxes | |
Fidelity International Enhanced Index Fund | 04/18/16 | $0.0076 | $0.0026 |
12/12/16 | $0.2249 | $0.0182 | |
The funds will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity International Enhanced Index Fund
Fidelity Large Cap Core Enhanced Index Fund
Fidelity Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with FMR Co., Inc. (FMRC), an affiliate of Fidelity Management & Research Company (FMR) and the sub-advisory agreement (together, the Advisory Contracts) for each fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of each fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of each fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.
At its September 2016 meeting, the Board unanimously determined to renew each fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness of each fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contract for each fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of each fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that each fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the funds' investment objectives, strategies, and related investment philosophies. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of each fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's and Geode's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's and Geode's investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMRC, Geode (together with FMRC, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, each fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.Investment Performance. The Board considered whether each fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for each fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for each fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.Based on its review, the Board concluded that the nature, extent, and quality of services provided to each fund under the Advisory Contracts should continue to benefit the shareholders of each fund.Competitiveness of Management Fee and Total Expense Ratio. The Board considered each fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the charts below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than a fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than a fund. The funds' actual TMG %s and the number of funds in the Total Mapped Group are in the charts below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which a fund's management fee rate ranked, is also included in the charts and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, each fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMRC for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted that, although FMRC does not pay transfer agent fees or other "class-level" expenses under each fund's management contract, such expenses may be paid by FMRC pursuant to expense limitation arrangements in effect for each fund and, as a result, are also subtracted from the management fee for purposes of calculating the hypothetical "net management fee." The Board considered that "fund-level" non-management expenses and "class-level" expenses paid by FMRC may exceed the fund's management fee and result in a negative net management fee.Fidelity International Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890148.jpg)
Fidelity Large Cap Core Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890204.jpg)
Fidelity Large Cap Growth Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890316.jpg)
Fidelity Large Cap Value Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890372.jpg)
Fidelity Mid Cap Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890428.jpg)
Fidelity Small Cap Enhanced Index Fund
![](https://capedge.com/proxy/N-CSR/0001379491-17-002395/img234890484.jpg)
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Large Cap Core Enhanced Index FundFidelity Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity International Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index FundAt its November 2016 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve amended and restated management contracts (New Advisory Contracts) between FMR Co., Inc. (FMRC) and each fund to amend the management fee payable by each fund. The Board considered that each fund's New Advisory Contract will not take effect unless the New Advisory Contracts for all of the funds are approved by the funds' respective shareholders.The Board noted that, under each fund's current management contract (Current Advisory Contract), the funds pay a management fee to FMRC. The Board considered that, under each fund's New Advisory Contract, each fund will pay a monthly all-inclusive management fee to FMRC at an annual rate for the fund. The all-inclusive fee will provide shareholders with stable and fixed expenses at a lower level than shareholders currently pay and moving to a more simplified expense structure will provide an immediate benefit to existing shareholders, increase each fund's appeal to potential investors and better position the funds for future growth.The Board considered that each fund's management fee under the New Advisory Contract will continue to result in the fund's management fee rate ranking below median of the management fee rates of its competitor funds based on the competitive mapped group data provided to the Board in connection with the annual renewal of advisory contracts in September 2016. As a result of the all-inclusive management fee rates, the Board noted that total expenses incurred by shareholders of each fund will decrease by at least one basis point and in some cases by up to six basis points.The Board considered that the approval of the New Advisory Contracts will not result in any changes to (i) the investment process or strategies employed in the management of the funds' assets; (ii) the nature, extent and quality of services provided to each fund; or (iii) the day-to-day management of each fund and the personnel primarily responsible for such management. The Board noted that, under the Current Advisory Contracts, FMRC or an affiliate undertakes to pay all operating expenses of the funds, except transfer agent fees, Independent Trustee expenses, interest, taxes, brokerage commissions and extraordinary expenses. Additionally, each fund has entered into an expense contract (Expense Contract) that limits the total expenses of each fund. The Board considered that the New Advisory Contracts provide that FMRC or an affiliate undertakes to pay all operating expenses of the funds including transfer agent fees but excluding Independent Trustee expenses, interest, taxes, brokerage commissions, expenses of printing and mailing proxy materials and expenses incidental to holding shareholder meetings (including proxy solicitations therefor) (Proxy Expenses), and extraordinary expenses. If the New Advisory Contracts are approved, each fund's Expense Contract will be removed given the all-inclusive structure of the new contract. The Board considered that, under the proposal, the New Advisory Contracts will cover all fund- and class-level expenses currently covered by the Current Advisory Contracts and the Expense Contracts collectively with the exception of Proxy Expenses, which would no longer be a contractual obligation of FMRC, but would rather be evaluated on a case-by-case basis.In connection with its consideration of future renewals of each fund's New Advisory Contract, the funds' board will consider: (i) the nature, extent and quality of services provided to the fund, including shareholder and administrative services and investment performance; (ii) the competitiveness of the fund's management fee and total expenses; (iii) the costs of the services and profitability, including the revenues earned and the expenses incurred in conducting the business of developing, marketing, distributing, managing, administering, and servicing the fund and its shareholders, to the extent applicable; and (iv) whether there have been economies of scale in respect of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is the potential for realization of any further economies.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the management fee structures are fair and reasonable, and that each fund's New Advisory Contract should be approved.
Proxy Voting Results
A special meeting of shareholders was held on March 8, 2017. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees.
# of Votes | % of Votes | |
Donald F. Donahue | ||
Affirmative | 4,251,161,311.78 | 96.580 |
Withheld | 150,560,345.58 | 3.420 |
TOTAL | 4,401,721,657.36 | 100.000 |
Brian B. Hogan | ||
Affirmative | 4,241,813,790.79 | 96.368 |
Withheld | 159,907,866.57 | 3.632 |
TOTAL | 4,401,721,657.36 | 100.000 |
David A. Rosow | ||
Affirmative | 4,227,521,324.31 | 96.043 |
Withheld | 174,200,333.05 | 3.957 |
TOTAL | 4,401,721,657.36 | 100.000 |
Garnett A. Smith | ||
Affirmative | 4,247,477,480.79 | 96.496 |
Withheld | 154,244,176.57 | 3.504 |
TOTAL | 4,401,721,657.36 | 100.000 |
Carol B. Tomé | ||
Affirmative | 4,260,535,339.06 | 96.793 |
Withheld | 141,186,318.30 | 3.207 |
TOTAL | 4,401,721,657.36 | 100.000 |
Michael E. Wiley | ||
Affirmative | 4,245,954,069.99 | 96.462 |
Withheld | 155,767,587.37 | 3.538 |
TOTAL | 4,401,721,657.36 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® Large Cap Core Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 298,098,053.26 | 89.664 |
Against | 7,395,552.66 | 2.225 |
Abstain | 19,599,665.57 | 5.895 |
Broker Non-Vote | 7,370,166.53 | 2.216 |
TOTAL | 332,463,438.02 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity® Large Cap Core Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 296,860,006.02 | 89.292 |
Against | 6,802,624.42 | 2.046 |
Abstain | 21,430,641.05 | 6.446 |
Broker Non-Vote | 7,370,166.53 | 2.216 |
TOTAL | 332,463,438.02 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® Large Cap Value Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 1,854,799,753.44 | 91.848 |
Against | 41,880,774.05 | 2.074 |
Abstain | 100,243,472.75 | 4.964 |
Broker Non-Vote | 22,504,618.53 | 1.114 |
TOTAL | 2,019,428,618.77 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity ® Large Cap Value Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 1,849,364,932.16 | 91.579 |
Against | 30,374,181.50 | 1.505 |
Abstain | 117,184,886.58 | 5.802 |
Broker Non-Vote | 22,504,618.53 | 1.114 |
TOTAL | 2,019,428,618.77 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® Large Cap Growth Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 425,999,249.29 | 86.024 |
Against | 18,965,399.25 | 3.830 |
Abstain | 19,498,485.44 | 3.937 |
Broker Non-Vote | 30,749,496.45 | 6.209 |
TOTAL | 495,212,630.43 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity ® Large Cap Growth Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 420,416,782.72 | 84.897 |
Against | 20,182,182.67 | 4.076 |
Abstain | 23,864,168.59 | 4.818 |
Broker Non-Vote | 30,749,496.45 | 6.209 |
TOTAL | 495,212,630.43 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® International Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 135,725,380.55 | 89.584 |
Against | 4,673,601.15 | 3.085 |
Abstain | 3,581,810.78 | 2.364 |
Broker Non-Vote | 7,526,154.30 | 4.967 |
TOTAL | 151,506,946.78 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity ® International Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 135,139,099.01 | 89.197 |
Against | 4,930,694.79 | 3.255 |
Abstain | 3,910,998.68 | 2.581 |
Broker Non-Vote | 7,526,154.30 | 4.967 |
TOTAL | 151,506,946.78 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® Small Cap Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 640,742,456.45 | 91.264 |
Against | 21,590,086.28 | 3.075 |
Abstain | 23,445,280.46 | 3.339 |
Broker Non-Vote | 16,302,519.75 | 2.322 |
TOTAL | 702,080,342.94 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity ® Small Cap Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 642,407,548.92 | 91.501 |
Against | 15,602,582.20 | 2.222 |
Abstain | 27,767,692.07 | 3.955 |
Broker Non-Vote | 16,302,519.75 | 2.322 |
TOTAL | 702,080,342.94 | 100.000 |
PROPOSAL 2A
To approve an amended and restated management contract between Fidelity® Mid Cap Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 620,692,966.41 | 88.541 |
Against | 17,513,295.54 | 2.498 |
Abstain | 38,237,103.30 | 5.454 |
Broker Non-Vote | 24,586,315.20 | 3.507 |
TOTAL | 701,029,680.45 | 100.000 |
PROPOSAL 2B
To terminate the expense contract between Fidelity ® Mid Cap Enhanced Index Fund and FMRC.
# of Votes | % of Votes | |
Affirmative | 619,802,288.49 | 88.414 |
Against | 13,260,499.66 | 1.891 |
Abstain | 43,380,577.10 | 6.188 |
Broker Non-Vote | 24,586,315.20 | 3.507 |
TOTAL | 701,029,680.45 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
GEI-ANN-0417
1.855140.110
Item 2.
Code of Ethics
As of the end of the period, February 28, 2017, Fidelity Commonwealth Trust II (the “trust”) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that David A. Rosow is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Rosow is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity International Enhanced Index Fund, Fidelity Large Cap Core Enhanced Index Fund, Fidelity Large Cap Growth Enhanced Index Fund, Fidelity Large Cap Value Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund, and Fidelity Small Cap Enhanced Index Fund (the “Funds”):
Services Billed by PwC
February 28, 2017 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity International Enhanced Index Fund | $50,000 | $- | $3,700 | $2,300 |
Fidelity Large Cap Core Enhanced Index Fund | $51,000 | $- | $5,400 | $2,200 |
Fidelity Large Cap Growth Enhanced Index Fund | $49,000 | $- | $3,700 | $2,200 |
Fidelity Large Cap Value Enhanced Index Fund | $49,000 | $- | $3,700 | $2,200 |
Fidelity Mid Cap Enhanced Index Fund | $49,000 | $- | $3,700 | $2,200 |
Fidelity Small Cap Enhanced Index Fund | $49,000 | $- | $4,300 | $2,200 |
February 29, 2016 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity International Enhanced Index Fund | $49,000 | $- | $6,500 | $1,900 |
Fidelity Large Cap Core Enhanced Index Fund | $49,000 | $- | $6,500 | $1,900 |
Fidelity Large Cap Growth Enhanced Index Fund | $49,000 | $- | $3,700 | $1,900 |
Fidelity Large Cap Value Enhanced Index Fund | $52,000 | $- | $3,700 | $2,200 |
Fidelity Mid Cap Enhanced Index Fund | $49,000 | $- | $4,700 | $2,000 |
Fidelity Small Cap Enhanced Index Fund | $49,000 | $- | $3,700 | $2,000 |
A Amounts may reflect rounding.
The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):
Services Billed by PwC
| February 28, 2017A | February 29, 2016A,B |
Audit-Related Fees | $5,985,000 | $5,470,000 |
Tax Fees | $105,000 | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
B Reflects current period presentation.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the Fund audit or the review of the Fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the Fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider relating to Covered Services and Non-Covered Services (each as defined below) for each of the last two fiscal years of the Funds are as follows:
Billed By | February 28, 2017 A | February 29, 2016 A,B |
PwC | $8,010,000 | $6,135,000 |
A Amounts may reflect rounding.
B Reflects current period presentation.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Funds, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust’s Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to the trust and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of the trust (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of the trust (“Non-Covered Service”) are not required to be approved, but are reported to the Audit Committee annually.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.
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 Fund’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s 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) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(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/ Adrien E. Deberghes |
| Adrien E. Deberghes |
| President and Treasurer |
|
|
Date: | April 27, 2017 |
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/Adrien E. Deberghes |
| Adrien E. Deberghes |
| President and Treasurer |
|
|
Date: | April 27, 2017 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | April 27, 2017 |