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)
Cynthia Lo Bessette, 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 |
Date of reporting period: | February 28, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Small Cap Enhanced Index Fund
February 28, 2022
Contents
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.
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The fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). The LSE Group does not accept any liability whatsoever to any person arising out of the use of the fund or the underlying data.
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. © 2022 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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 Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
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, 2022 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Small Cap Enhanced Index Fund | (1.64)% | 8.44% | 11.14% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Small Cap Enhanced Index Fund on February 29, 2012.
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.
Period Ending Values | ||
$28,742 | Fidelity® Small Cap Enhanced Index Fund | |
$28,871 | Russell 2000® Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500® index gained 16.39% for the 12 months ending February 28, 2022. U.S. large-cap equities retreated to begin the new year after posting a strong result in 2021 amid improved economic growth, strong corporate earnings, widespread COVID-19 vaccination, and accommodative fiscal and monetary stimulus. These tailwinds, among others, have supported the historic rebound for U.S. stocks since the early-2020 outbreak and spread of COVID-19. The uptrend was briefly interrupted in September, with the index returning -4.65% as sentiment turned broadly negative due to a host of factors. These included inflationary pressure from surging commodity prices, rising bond yields, supply constraint and disruption, and the delta variant of the coronavirus. Also, the U.S. Federal Reserve signaled it could soon begin to taper the bond purchases it has made since the onset of the pandemic. The S&P 500® reversed course in October, rising 7.01% on earnings strength, followed by a 4.48% advance in December, after studies suggested that the omicron variant resulted in fewer severe COVID-19 cases. Uncertainty then washed over the market as the calendar turned. Stocks slid as investors digested geopolitical unrest, with Russia invading and escalating its attack on Ukraine, and the Fed’s accelerated plan to hike interest rates amid soaring inflation. The year-to-date pullback for the index was -8.01%. For the full 12 months, energy stocks rose 55%, driven by surging oil prices, whereas communications services (+1%) notably lagged.Comments from Senior Portfolio Manager Maximilian Kaufmann, of the Geode Capital Management, LLC, investment management team: For the fiscal year ending February 28, 2022, the fund returned -1.64%, outperforming the -6.01% result of the benchmark Russell 2000® Index. Versus the benchmark, security selection was the primary contributor, especially in the information technology sector. Stock picking and an underweighting in health care also boosted the fund's relative result. Further lifting performance were investment choices among industrials stocks, primarily driven by the capital goods industry. The fund's top individual relative contributor was an overweighting in SM Energy, which gained about 156% the past 12 months, though we decreased our position in the company. Also bolstering performance was outsized exposure to Regal Rexnord, which rose approximately 15% and was a position we established the past year. Another notable relative contributor was a larger-than-benchmark stake in Boise Cascade (+76%). Conversely, the largest detractor from performance versus the benchmark was stock picks in energy, followed by the portfolio’s positioning in utilities and materials. The biggest individual relative detractor was an outsized stake in 2U, which returned -75% and was a position we established during the period. Also holding back performance was our lighter-than-benchmark stake in Avis Budget Group, which gained 230%. The stock was no longer held at period end. Further pressuring the portfolio’s relative result was an underweighting in Ovintiv, which gained 102%. This was a position we established the past 12 months. Notable changes in positioning this period include increased exposure to the real estate sector and a lower allocation to consumer discretionary stocks.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.
Investment Summary (Unaudited)
Top Ten Stocks as of February 28, 2022
% of fund's net assets | |
Lattice Semiconductor Corp. | 0.8 |
EMCOR Group, Inc. | 0.8 |
First Financial Bankshares, Inc. | 0.7 |
United Community Bank, Inc. | 0.7 |
Radian Group, Inc. | 0.7 |
National Storage Affiliates Trust | 0.7 |
Agree Realty Corp. | 0.7 |
Commercial Metals Co. | 0.7 |
Box, Inc. Class A | 0.6 |
Boise Cascade Co. | 0.6 |
7.0 |
Top Market Sectors as of February 28, 2022
% of fund's net assets | |
Industrials | 16.3 |
Financials | 16.1 |
Information Technology | 15.2 |
Health Care | 15.0 |
Consumer Discretionary | 10.7 |
Real Estate | 7.3 |
Energy | 7.2 |
Materials | 3.4 |
Communication Services | 3.1 |
Consumer Staples | 2.6 |
Asset Allocation (% of fund's net assets)
As of February 28, 2022* | ||
Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.5%
Schedule of Investments February 28, 2022
Showing Percentage of Net Assets
Common Stocks - 98.5% | |||
Shares | Value | ||
COMMUNICATION SERVICES - 3.1% | |||
Diversified Telecommunication Services - 1.0% | |||
Cogent Communications Group, Inc. | 23,813 | $1,509,744 | |
Consolidated Communications Holdings, Inc. (a) | 104,175 | 741,726 | |
IDT Corp. Class B (a) | 12,709 | 458,287 | |
Iridium Communications, Inc. (a) | 31,601 | 1,251,084 | |
Liberty Latin America Ltd. Class C (a) | 117,935 | 1,189,964 | |
Ooma, Inc. (a) | 83,256 | 1,392,040 | |
6,542,845 | |||
Entertainment - 0.6% | |||
AMC Entertainment Holdings, Inc. Class A (a)(b) | 107,972 | 2,036,352 | |
Lions Gate Entertainment Corp.: | |||
Class A (a)(b) | 67,285 | 1,033,498 | |
Class B (a) | 78,702 | 1,121,504 | |
4,191,354 | |||
Interactive Media & Services - 0.7% | |||
EverQuote, Inc. Class A (a)(b) | 13,007 | 193,544 | |
TrueCar, Inc. (a) | 216,791 | 724,082 | |
Yelp, Inc. (a)(b) | 100,788 | 3,415,705 | |
Zedge, Inc. (a) | 20,492 | 143,034 | |
4,476,365 | |||
Media - 0.7% | |||
AMC Networks, Inc. Class A (a)(b) | 27,468 | 1,138,549 | |
iHeartMedia, Inc. (a) | 48,965 | 1,050,299 | |
John Wiley & Sons, Inc. Class A (b) | 11,648 | 586,011 | |
TechTarget, Inc. (a)(b) | 5,483 | 429,758 | |
Tegna, Inc. | 10,526 | 241,256 | |
Thryv Holdings, Inc. (a) | 26,136 | 794,534 | |
4,240,407 | |||
Wireless Telecommunication Services - 0.1% | |||
Telephone & Data Systems, Inc. | 54,257 | 941,359 | |
TOTAL COMMUNICATION SERVICES | 20,392,330 | ||
CONSUMER DISCRETIONARY - 10.7% | |||
Auto Components - 0.1% | |||
Modine Manufacturing Co. (a)(b) | 50,840 | 513,484 | |
Automobiles - 0.4% | |||
Fisker, Inc. (a)(b) | 13,093 | 159,735 | |
Winnebago Industries, Inc. (b) | 33,050 | 2,117,514 | |
2,277,249 | |||
Diversified Consumer Services - 0.6% | |||
2U, Inc. (a)(b) | 201,510 | 2,115,855 | |
American Public Education, Inc. (a) | 13,696 | 273,372 | |
Stride, Inc. (a) | 52,274 | 1,755,361 | |
4,144,588 | |||
Hotels, Restaurants & Leisure - 1.6% | |||
Bloomin' Brands, Inc. (b) | 71,610 | 1,762,322 | |
Hilton Grand Vacations, Inc. (a) | 4,147 | 215,063 | |
International Game Technology PLC (b) | 112,877 | 3,456,294 | |
RCI Hospitality Holdings, Inc. (b) | 4,740 | 307,721 | |
SeaWorld Entertainment, Inc. (a) | 23,622 | 1,639,131 | |
Texas Roadhouse, Inc. Class A | 6,706 | 636,466 | |
Wingstop, Inc. (b) | 16,352 | 2,376,763 | |
10,393,760 | |||
Household Durables - 2.8% | |||
Century Communities, Inc. (b) | 45,940 | 2,927,297 | |
Flexsteel Industries, Inc. (b) | 18,297 | 395,032 | |
Green Brick Partners, Inc. (a)(b) | 58,662 | 1,360,372 | |
Installed Building Products, Inc. (b) | 31,331 | 3,029,708 | |
KB Home | 32,807 | 1,266,678 | |
M.D.C. Holdings, Inc. | 26,542 | 1,176,872 | |
M/I Homes, Inc. (a) | 72,284 | 3,562,878 | |
Meritage Homes Corp. (a) | 25,735 | 2,536,956 | |
Skyline Champion Corp. (a) | 8,500 | 571,540 | |
TRI Pointe Homes, Inc. (a) | 62,630 | 1,401,033 | |
18,228,366 | |||
Internet & Direct Marketing Retail - 0.9% | |||
Quotient Technology, Inc. (a)(b) | 289,424 | 1,921,775 | |
Revolve Group, Inc. (a) | 25,196 | 1,195,046 | |
Shutterstock, Inc. | 33,193 | 3,004,962 | |
6,121,783 | |||
Leisure Products - 0.6% | |||
Johnson Outdoors, Inc. Class A (b) | 14,563 | 1,201,011 | |
Nautilus, Inc. (a)(b) | 101,906 | 496,282 | |
Smith & Wesson Brands, Inc. (b) | 46,777 | 824,679 | |
Sturm, Ruger & Co., Inc. (b) | 3,921 | 283,920 | |
Vista Outdoor, Inc. (a)(b) | 22,686 | 826,905 | |
3,632,797 | |||
Multiline Retail - 0.7% | |||
Big Lots, Inc. (b) | 32,436 | 1,127,475 | |
Dillard's, Inc. Class A (b) | 6,313 | 1,582,732 | |
Macy's, Inc. | 76,958 | 1,994,751 | |
4,704,958 | |||
Specialty Retail - 2.8% | |||
Abercrombie & Fitch Co. Class A (a) | 19,583 | 745,721 | |
Academy Sports & Outdoors, Inc. | 85,270 | 2,760,190 | |
Asbury Automotive Group, Inc. (a) | 6,045 | 1,173,395 | |
Big 5 Sporting Goods Corp. (b) | 46,120 | 763,747 | |
Group 1 Automotive, Inc. | 16,765 | 3,050,056 | |
Hibbett, Inc. (b) | 24,149 | 1,088,637 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 3,750 | 1,278,075 | |
MarineMax, Inc. (a) | 36,421 | 1,666,625 | |
Rent-A-Center, Inc. (b) | 67,937 | 1,930,090 | |
Sally Beauty Holdings, Inc. (a) | 69,449 | 1,200,079 | |
Sonic Automotive, Inc. Class A (sub. vtg.) | 33,740 | 1,812,175 | |
The Container Store Group, Inc. (a) | 23,519 | 207,673 | |
TravelCenters of America LLC (a) | 17,763 | 750,131 | |
18,426,594 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Crocs, Inc. (a) | 8,637 | 723,176 | |
Lakeland Industries, Inc. (a)(b) | 23,640 | 451,288 | |
Rocky Brands, Inc. | 7,381 | 284,464 | |
1,458,928 | |||
TOTAL CONSUMER DISCRETIONARY | 69,902,507 | ||
CONSUMER STAPLES - 2.6% | |||
Beverages - 0.5% | |||
Coca-Cola Bottling Co. Consolidated | 2,320 | 1,152,878 | |
Duckhorn Portfolio, Inc. (a) | 45,259 | 887,982 | |
Primo Water Corp. | 77,548 | 1,127,548 | |
3,168,408 | |||
Food & Staples Retailing - 1.1% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 23,580 | 1,482,475 | |
Ingles Markets, Inc. Class A | 23,223 | 1,909,395 | |
Natural Grocers by Vitamin Cottage, Inc. | 22,015 | 373,595 | |
PriceSmart, Inc. | 6,105 | 443,956 | |
Sprouts Farmers Market LLC (a) | 78,162 | 2,226,054 | |
Weis Markets, Inc. (b) | 12,223 | 753,792 | |
7,189,267 | |||
Food Products - 0.5% | |||
Hostess Brands, Inc. Class A (a) | 111,965 | 2,411,726 | |
John B. Sanfilippo & Son, Inc. | 4,812 | 382,650 | |
Sanderson Farms, Inc. | 985 | 175,911 | |
2,970,287 | |||
Household Products - 0.0% | |||
Central Garden & Pet Co. Class A (non-vtg.) (a) | 4,225 | 186,069 | |
Personal Products - 0.5% | |||
MediFast, Inc. | 13,957 | 2,596,002 | |
The Beauty Health Co. (a)(b) | 10,242 | 198,490 | |
USANA Health Sciences, Inc. (a) | 8,058 | 709,185 | |
3,503,677 | |||
TOTAL CONSUMER STAPLES | 17,017,708 | ||
ENERGY - 7.2% | |||
Energy Equipment & Services - 1.3% | |||
Archrock, Inc. (b) | 91,411 | 763,282 | |
Bristow Group, Inc. (a) | 14,184 | 470,058 | |
Dril-Quip, Inc. (a) | 18,115 | 522,437 | |
Helix Energy Solutions Group, Inc. (a) | 318,566 | 1,290,192 | |
Helmerich & Payne, Inc. | 43,117 | 1,562,129 | |
Nabors Industries Ltd. (a) | 13,948 | 1,751,032 | |
Nabors Industries Ltd. warrants 6/11/26 (a) | 10,764 | 150,696 | |
Oceaneering International, Inc. (a) | 117,438 | 1,719,292 | |
Patterson-UTI Energy, Inc. (b) | 15,233 | 219,812 | |
U.S. Silica Holdings, Inc. (a) | 30,119 | 435,521 | |
8,884,451 | |||
Oil, Gas & Consumable Fuels - 5.9% | |||
Antero Resources Corp. (a) | 36,192 | 829,883 | |
Arch Resources, Inc. (b) | 4,650 | 555,071 | |
Centennial Resource Development, Inc. Class A (a) | 159,763 | 1,402,719 | |
Chesapeake Energy Corp. (b) | 6,771 | 523,060 | |
Civitas Resources, Inc. | 14,272 | 720,308 | |
Comstock Resources, Inc. (a)(b) | 110,578 | 917,797 | |
DHT Holdings, Inc. (b) | 39,497 | 248,436 | |
Earthstone Energy, Inc. (a)(b) | 25,046 | 325,598 | |
Equitrans Midstream Corp. | 336,691 | 2,158,189 | |
Golar LNG Ltd. (a) | 146,936 | 2,556,686 | |
Kosmos Energy Ltd. (a) | 302,843 | 1,471,817 | |
Laredo Petroleum, Inc. (a)(b) | 13,388 | 1,024,985 | |
Magnolia Oil & Gas Corp. Class A | 54,064 | 1,208,330 | |
Matador Resources Co. (b) | 68,579 | 3,401,518 | |
Murphy Oil Corp. | 49,011 | 1,699,211 | |
Oasis Petroleum, Inc. | 4,887 | 647,576 | |
Ovintiv, Inc. | 18,725 | 858,541 | |
Par Pacific Holdings, Inc. (a) | 77,330 | 1,051,688 | |
PBF Energy, Inc. Class A (a) | 54,066 | 898,577 | |
Renewable Energy Group, Inc. (a) | 41,229 | 2,535,584 | |
Scorpio Tankers, Inc. (b) | 18,738 | 325,854 | |
SFL Corp. Ltd. | 219,555 | 2,184,572 | |
SM Energy Co. | 102,054 | 3,623,938 | |
Southwestern Energy Co. (a) | 226,756 | 1,131,512 | |
Talos Energy, Inc. (a) | 57,178 | 898,266 | |
Tellurian, Inc. (a)(b) | 201,906 | 769,262 | |
W&T Offshore, Inc. (a) | 372,563 | 1,810,656 | |
World Fuel Services Corp. | 98,885 | 2,802,401 | |
38,582,035 | |||
TOTAL ENERGY | 47,466,486 | ||
FINANCIALS - 16.1% | |||
Banks - 9.1% | |||
1st Source Corp. | 14,701 | 709,911 | |
Banc of California, Inc. | 40,471 | 795,255 | |
BancFirst Corp. | 27,255 | 2,129,433 | |
Banner Corp. | 27,818 | 1,713,867 | |
Berkshire Hills Bancorp, Inc. | 23,758 | 738,874 | |
Cadence Bank | 40,068 | 1,266,950 | |
Capital City Bank Group, Inc. | 2,442 | 68,547 | |
Cathay General Bancorp | 34,993 | 1,645,721 | |
Central Pacific Financial Corp. | 25,293 | 738,303 | |
Columbia Banking Systems, Inc. (b) | 80,957 | 2,965,455 | |
Community Bank System, Inc. (b) | 14,012 | 1,022,035 | |
Community Trust Bancorp, Inc. | 8,634 | 365,046 | |
Eastern Bankshares, Inc. | 53,651 | 1,172,811 | |
Financial Institutions, Inc. | 18,529 | 591,816 | |
First Bancorp, Puerto Rico | 124,568 | 1,758,900 | |
First Commonwealth Financial Corp. | 21,662 | 349,841 | |
First Financial Bankshares, Inc. (b) | 100,185 | 4,800,865 | |
First Foundation, Inc. | 19,406 | 517,558 | |
Fulton Financial Corp. | 129,759 | 2,338,257 | |
Glacier Bancorp, Inc. | 51,119 | 2,831,993 | |
Great Southern Bancorp, Inc. | 27,687 | 1,700,536 | |
Hancock Whitney Corp. | 65,449 | 3,644,200 | |
Hilltop Holdings, Inc. | 21,144 | 653,772 | |
International Bancshares Corp. | 42,968 | 1,848,054 | |
Investors Bancorp, Inc. | 9,379 | 157,004 | |
Lakeland Financial Corp. (b) | 14,922 | 1,196,894 | |
Mercantile Bank Corp. | 3,473 | 128,050 | |
Midland States Bancorp, Inc. | 11,254 | 330,417 | |
NBT Bancorp, Inc. | 11,788 | 452,306 | |
Northwest Bancshares, Inc. (b) | 71,402 | 1,005,340 | |
OFG Bancorp | 29,018 | 817,727 | |
Park National Corp. | 3,633 | 487,040 | |
Peapack-Gladstone Financial Corp. (b) | 13,620 | 513,746 | |
Preferred Bank, Los Angeles | 2,386 | 187,253 | |
Renasant Corp. (b) | 8,476 | 309,459 | |
ServisFirst Bancshares, Inc. | 13,902 | 1,214,757 | |
Sierra Bancorp | 17,630 | 473,189 | |
Silvergate Capital Corp. (a) | 12,001 | 1,537,088 | |
Texas Capital Bancshares, Inc. (a) | 44,477 | 2,962,168 | |
Tompkins Financial Corp. (b) | 5,096 | 403,094 | |
TowneBank | 9,277 | 289,257 | |
Trico Bancshares | 9,000 | 390,600 | |
Trustmark Corp. (b) | 17,356 | 546,540 | |
UMB Financial Corp. | 26,681 | 2,717,727 | |
United Bankshares, Inc., West Virginia | 32,749 | 1,199,268 | |
United Community Bank, Inc. | 120,242 | 4,648,556 | |
Univest Corp. of Pennsylvania | 15,294 | 443,220 | |
WesBanco, Inc. | 5,796 | 211,786 | |
Westamerica Bancorp. | 11,211 | 665,037 | |
59,655,523 | |||
Capital Markets - 2.1% | |||
Cohen & Steers, Inc. (b) | 21,507 | 1,747,659 | |
Cowen Group, Inc. Class A (b) | 59,392 | 1,760,973 | |
Focus Financial Partners, Inc. Class A (a) | 76,210 | 3,813,548 | |
Open Lending Corp. (a) | 15,503 | 322,927 | |
Oppenheimer Holdings, Inc. Class A (non-vtg.) | 32,816 | 1,417,323 | |
Piper Jaffray Companies (b) | 5,650 | 836,257 | |
StepStone Group, Inc. Class A | 5,813 | 200,723 | |
Stifel Financial Corp. | 41,173 | 3,026,216 | |
Virtus Investment Partners, Inc. | 1,101 | 264,923 | |
13,390,549 | |||
Consumer Finance - 0.9% | |||
LendingClub Corp. (a) | 51,484 | 956,573 | |
Nelnet, Inc. Class A (b) | 21,014 | 1,692,678 | |
PRA Group, Inc. (a)(b) | 20,540 | 916,700 | |
PROG Holdings, Inc. (a) | 59,247 | 1,815,328 | |
Regional Management Corp. | 14,475 | 743,002 | |
6,124,281 | |||
Insurance - 1.6% | |||
American Equity Investment Life Holding Co. | 3,733 | 140,697 | |
Amerisafe, Inc. | 25,256 | 1,189,558 | |
CNO Financial Group, Inc. | 75,566 | 1,826,430 | |
Crawford & Co. Class B | 903 | 6,827 | |
Employers Holdings, Inc. | 6,553 | 254,650 | |
Genworth Financial, Inc. Class A (a) | 115,727 | 469,852 | |
Horace Mann Educators Corp. | 17,730 | 737,391 | |
Selective Insurance Group, Inc. | 29,250 | 2,433,308 | |
Trupanion, Inc. (a)(b) | 38,814 | 3,478,899 | |
10,537,612 | |||
Mortgage Real Estate Investment Trusts - 1.1% | |||
Arbor Realty Trust, Inc. | 154,969 | 2,789,442 | |
Blackstone Mortgage Trust, Inc. | 112,366 | 3,570,991 | |
MFA Financial, Inc. | 131,022 | 531,949 | |
TPG RE Finance Trust, Inc. | 35,104 | 415,631 | |
7,308,013 | |||
Thrifts & Mortgage Finance - 1.3% | |||
Axos Financial, Inc. (a) | 5,214 | 285,414 | |
Capitol Federal Financial, Inc. | 15,492 | 169,173 | |
Federal Agricultural Mortgage Corp. Class C (non-vtg.) | 9,231 | 1,141,875 | |
Radian Group, Inc. | 194,059 | 4,638,010 | |
Washington Federal, Inc. | 45,778 | 1,628,781 | |
Waterstone Financial, Inc. | 34,548 | 675,068 | |
8,538,321 | |||
TOTAL FINANCIALS | 105,554,299 | ||
HEALTH CARE - 15.0% | |||
Biotechnology - 6.9% | |||
4D Molecular Therapeutics, Inc. (a)(b) | 19,877 | 272,315 | |
Adverum Biotechnologies, Inc. (a) | 173,968 | 233,117 | |
Affimed NV (a) | 81,785 | 360,672 | |
Agenus, Inc. (a)(b) | 153,334 | 414,002 | |
Agios Pharmaceuticals, Inc. (a)(b) | 26,256 | 817,349 | |
Akebia Therapeutics, Inc. (a)(b) | 142,905 | 308,675 | |
Alector, Inc. (a)(b) | 15,716 | 248,941 | |
Alkermes PLC (a) | 56,441 | 1,403,123 | |
Allakos, Inc. (a)(b) | 42,885 | 239,727 | |
Amicus Therapeutics, Inc. (a)(b) | 69,246 | 563,662 | |
AnaptysBio, Inc. (a)(b) | 16,483 | 503,885 | |
Anavex Life Sciences Corp. (a)(b) | 28,899 | 316,733 | |
Anika Therapeutics, Inc. (a) | 8,145 | 264,713 | |
Apellis Pharmaceuticals, Inc. (a) | 21,413 | 910,695 | |
Arbutus Biopharma Corp. (a)(b) | 105,053 | 336,170 | |
Arena Pharmaceuticals, Inc. (a) | 7,479 | 710,281 | |
Arrowhead Pharmaceuticals, Inc. (a) | 18,981 | 835,164 | |
Assembly Biosciences, Inc. (a) | 88,168 | 136,660 | |
Atara Biotherapeutics, Inc. (a) | 40,902 | 525,591 | |
Athenex, Inc. (a) | 61,475 | 49,463 | |
Athersys, Inc. (a)(b) | 163,380 | 146,568 | |
Atreca, Inc. (a)(b) | 71,252 | 128,254 | |
Avid Bioservices, Inc. (a)(b) | 27,951 | 572,436 | |
Beam Therapeutics, Inc. (a)(b) | 7,883 | 617,633 | |
BioCryst Pharmaceuticals, Inc. (a)(b) | 33,890 | 562,913 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a)(b) | 10,743 | 1,275,302 | |
bluebird bio, Inc. (a)(b) | 67,273 | 406,329 | |
Blueprint Medicines Corp. (a) | 9,609 | 581,825 | |
Bolt Biotherapeutics, Inc. (b) | 50,695 | 176,926 | |
BridgeBio Pharma, Inc. (a)(b) | 52,234 | 407,425 | |
CareDx, Inc. (a) | 17,810 | 683,548 | |
Cerevel Therapeutics Holdings (a)(b) | 18,984 | 502,506 | |
ChemoCentryx, Inc. (a) | 4,336 | 131,554 | |
Chimerix, Inc. (a)(b) | 90,011 | 507,662 | |
Clovis Oncology, Inc. (a)(b) | 51,895 | 106,904 | |
Coherus BioSciences, Inc. (a) | 38,070 | 448,845 | |
Concert Pharmaceuticals, Inc. (a) | 135 | 405 | |
Corbus Pharmaceuticals Holdings, Inc. (a) | 248,721 | 86,008 | |
Curis, Inc. (a) | 80,362 | 269,213 | |
Cytokinetics, Inc. (a)(b) | 11,327 | 400,070 | |
CytomX Therapeutics, Inc. (a) | 106,678 | 408,577 | |
Deciphera Pharmaceuticals, Inc. (a)(b) | 50,081 | 386,125 | |
Denali Therapeutics, Inc. (a) | 14,563 | 474,171 | |
Eagle Pharmaceuticals, Inc. (a) | 7,987 | 378,504 | |
Editas Medicine, Inc. (a)(b) | 25,098 | 429,678 | |
Eiger Biopharmaceuticals, Inc. (a)(b) | 20,599 | 82,396 | |
Emergent BioSolutions, Inc. (a) | 19,152 | 792,510 | |
Epizyme, Inc. (a)(b) | 89,585 | 133,482 | |
Fate Therapeutics, Inc. (a) | 13,665 | 472,126 | |
FibroGen, Inc. (a)(b) | 47,225 | 664,456 | |
Fortress Biotech, Inc. (a)(b) | 54,189 | 87,244 | |
Global Blood Therapeutics, Inc. (a)(b) | 3,064 | 92,533 | |
Gossamer Bio, Inc. (a)(b) | 35,737 | 322,705 | |
Gritstone Bio, Inc. (a)(b) | 44,985 | 229,424 | |
Gt Biopharma, Inc. (a)(b) | 32,905 | 104,638 | |
Halozyme Therapeutics, Inc. (a)(b) | 25,584 | 907,464 | |
Harpoon Therapeutics, Inc. (a)(b) | 42,867 | 175,755 | |
Heron Therapeutics, Inc. (a)(b) | 49,008 | 347,957 | |
Homology Medicines, Inc. (a) | 41,073 | 143,345 | |
Humanigen, Inc. (a)(b) | 75,440 | 153,143 | |
ImmunityBio, Inc. (a)(b) | 66,275 | 453,321 | |
ImmunoGen, Inc. (a) | 126,027 | 710,792 | |
Infinity Pharmaceuticals, Inc. (a) | 169,523 | 186,475 | |
Insmed, Inc. (a) | 18,592 | 444,349 | |
Intellia Therapeutics, Inc. (a) | 19,800 | 1,957,230 | |
Intercept Pharmaceuticals, Inc. (a)(b) | 28,209 | 402,260 | |
Invitae Corp. (a)(b) | 69,384 | 748,653 | |
Ironwood Pharmaceuticals, Inc. Class A (a) | 22,778 | 245,091 | |
Jounce Therapeutics, Inc. (a) | 44,697 | 333,440 | |
Karuna Therapeutics, Inc. (a)(b) | 2,990 | 313,950 | |
Karyopharm Therapeutics, Inc. (a)(b) | 71,616 | 739,793 | |
Kiniksa Pharmaceuticals Ltd. (a)(b) | 33,545 | 343,501 | |
Kodiak Sciences, Inc. (a) | 813 | 7,024 | |
Kura Oncology, Inc. (a)(b) | 41,472 | 658,161 | |
La Jolla Pharmaceutical Co./California (a)(b) | 58,403 | 238,868 | |
Ligand Pharmaceuticals, Inc. Class B (a)(b) | 1,933 | 195,658 | |
Macrogenics, Inc. (a)(b) | 37,830 | 353,711 | |
Madrigal Pharmaceuticals, Inc. (a)(b) | 6,675 | 619,774 | |
MiMedx Group, Inc. (a)(b) | 35,812 | 180,851 | |
Minerva Neurosciences, Inc. (a) | 113,073 | 79,852 | |
Mirum Pharmaceuticals, Inc. (a) | 2,315 | 54,866 | |
Mustang Bio, Inc. (a)(b) | 69,880 | 60,754 | |
Myriad Genetics, Inc. (a) | 8,848 | 215,714 | |
Natera, Inc. (a) | 6,577 | 432,438 | |
Novavax, Inc. (a)(b) | 2,949 | 245,858 | |
Oncternal Therapeutics, Inc. rights (a)(c) | 1,148 | 0 | |
Opko Health, Inc. (a)(b) | 189,351 | 592,669 | |
ORIC Pharmaceuticals, Inc. (a)(b) | 19,331 | 150,009 | |
Ovid Therapeutics, Inc. (a)(b) | 59,108 | 200,376 | |
Passage Bio, Inc. (a) | 38,538 | 127,946 | |
Pieris Pharmaceuticals, Inc. (a) | 81,145 | 250,738 | |
Precigen, Inc. (a)(b) | 127,294 | 286,412 | |
Precision BioSciences, Inc. (a)(b) | 40,347 | 171,475 | |
PTC Therapeutics, Inc. (a)(b) | 24,489 | 860,054 | |
Puma Biotechnology, Inc. (a) | 41,309 | 95,011 | |
Radius Health, Inc. (a) | 57,404 | 477,601 | |
Recursion Pharmaceuticals, Inc. (a) | 37,247 | 407,855 | |
Rigel Pharmaceuticals, Inc. (a) | 123,558 | 310,131 | |
Sana Biotechnology, Inc. (b) | 45,806 | 295,907 | |
Sangamo Therapeutics, Inc. (a)(b) | 75,179 | 439,797 | |
Selecta Biosciences, Inc. (a)(b) | 85,524 | 158,219 | |
Seres Therapeutics, Inc. (a)(b) | 62,770 | 502,160 | |
Sesen Bio, Inc. (a)(b) | 441,896 | 280,295 | |
Silverback Therapeutics, Inc. (a)(b) | 20,944 | 90,059 | |
Springworks Therapeutics, Inc. (a)(b) | 2,228 | 126,083 | |
Surface Oncology, Inc. (a)(b) | 60,289 | 217,040 | |
TCR2 Therapeutics, Inc. (a)(b) | 66,033 | 178,949 | |
Travere Therapeutics, Inc. (a)(b) | 32,838 | 895,164 | |
Turning Point Therapeutics, Inc. (a) | 6,954 | 220,164 | |
Twist Bioscience Corp. (a) | 11,240 | 628,766 | |
Vanda Pharmaceuticals, Inc. (a) | 33,738 | 383,264 | |
Veracyte, Inc. (a)(b) | 10,799 | 300,212 | |
Vericel Corp. (a)(b) | 4,534 | 186,846 | |
Verve Therapeutics, Inc. | 7,562 | 246,899 | |
Vir Biotechnology, Inc. (a) | 19,872 | 500,576 | |
Voyager Therapeutics, Inc. (a)(b) | 74,867 | 297,222 | |
Xbiotech, Inc. | 12,960 | 127,786 | |
Xencor, Inc. (a) | 8,121 | 254,269 | |
Zentalis Pharmaceuticals, Inc. (a)(b) | 14,846 | 740,667 | |
45,472,502 | |||
Health Care Equipment & Supplies - 2.6% | |||
Accuray, Inc. (a) | 343,316 | 1,191,307 | |
Atricure, Inc. (a) | 14,943 | 1,037,791 | |
Butterfly Network, Inc. Class A (a)(b) | 68,210 | 351,282 | |
Cardiovascular Systems, Inc. (a) | 18,395 | 387,399 | |
Cerus Corp. (a) | 205,077 | 1,203,802 | |
Integer Holdings Corp. (a) | 8,799 | 737,972 | |
Invacare Corp. (a) | 79,770 | 163,529 | |
iRhythm Technologies, Inc. (a) | 2,836 | 366,610 | |
LeMaitre Vascular, Inc. (b) | 9,156 | 434,635 | |
LivaNova PLC (a) | 4,068 | 320,640 | |
Merit Medical Systems, Inc. (a) | 40,483 | 2,632,609 | |
Natus Medical, Inc. (a) | 15,431 | 429,290 | |
Neogen Corp. (a)(b) | 63,979 | 2,284,050 | |
Novocure Ltd. (a) | 5,161 | 422,479 | |
Orthofix International NV (a)(b) | 23,481 | 797,884 | |
Shockwave Medical, Inc. (a) | 4,525 | 801,966 | |
Staar Surgical Co. (a) | 16,229 | 1,287,284 | |
SurModics, Inc. (a) | 44,575 | 2,000,526 | |
16,851,055 | |||
Health Care Providers & Services - 2.8% | |||
Addus HomeCare Corp. (a) | 12,002 | 1,020,650 | |
Alignment Healthcare, Inc. (a)(b) | 17,617 | 148,687 | |
AMN Healthcare Services, Inc. (a) | 12,341 | 1,309,874 | |
Corvel Corp. (a) | 3,569 | 567,685 | |
Covetrus, Inc. (a) | 21,105 | 373,981 | |
Fulgent Genetics, Inc. (a)(b) | 9,845 | 613,344 | |
Modivcare, Inc. (a) | 3,264 | 385,152 | |
National Healthcare Corp. | 27,159 | 1,765,878 | |
Option Care Health, Inc. (a) | 44,911 | 1,154,213 | |
Patterson Companies, Inc. | 138,885 | 4,152,662 | |
Select Medical Holdings Corp. | 98,227 | 2,273,955 | |
Tenet Healthcare Corp. (a) | 40,498 | 3,482,423 | |
The Ensign Group, Inc. | 17,916 | 1,505,661 | |
18,754,165 | |||
Health Care Technology - 0.9% | |||
Allscripts Healthcare Solutions, Inc. (a) | 77,132 | 1,500,989 | |
HealthStream, Inc. (a) | 20,733 | 424,819 | |
MultiPlan Corp. Class A (a)(b) | 94,033 | 353,564 | |
Nextgen Healthcare, Inc. (a) | 174,031 | 3,398,825 | |
5,678,197 | |||
Life Sciences Tools & Services - 0.4% | |||
Berkeley Lights, Inc. (a) | 25,532 | 195,830 | |
Cytek Biosciences, Inc. | 20,306 | 276,974 | |
MaxCyte, Inc. (b) | 37,815 | 263,192 | |
Medpace Holdings, Inc. (a) | 10,290 | 1,574,061 | |
Pacific Biosciences of California, Inc. (a)(b) | 26,451 | 315,296 | |
2,625,353 | |||
Pharmaceuticals - 1.4% | |||
Aerie Pharmaceuticals, Inc. (a)(b) | 59,912 | 497,270 | |
Amneal Pharmaceuticals, Inc. (a)(b) | 77,432 | 350,767 | |
Amphastar Pharmaceuticals, Inc. (a) | 24,292 | 673,131 | |
Arvinas Holding Co. LLC (a) | 6,125 | 396,961 | |
Atea Pharmaceuticals, Inc. (a) | 61,256 | 388,363 | |
Cara Therapeutics, Inc. (a) | 37,388 | 387,714 | |
Cassava Sciences, Inc. (a)(b) | 3,040 | 129,230 | |
Corcept Therapeutics, Inc. (a)(b) | 36,938 | 823,348 | |
Edgewise Therapeutics, Inc. (a) | 12,950 | 152,681 | |
Endo International PLC (a) | 182,299 | 566,950 | |
Intra-Cellular Therapies, Inc. (a) | 12,281 | 681,350 | |
NGM Biopharmaceuticals, Inc. (a) | 20,502 | 304,660 | |
Odonate Therapeutics, Inc. (a)(b) | 72,556 | 96,499 | |
Oramed Pharmaceuticals, Inc. (a)(b) | 31,250 | 321,875 | |
Pacira Biosciences, Inc. (a) | 4,900 | 326,781 | |
Prestige Brands Holdings, Inc. (a) | 18,756 | 1,116,545 | |
Revance Therapeutics, Inc. (a) | 28,500 | 386,745 | |
Supernus Pharmaceuticals, Inc. (a)(b) | 25,838 | 825,524 | |
Theravance Biopharma, Inc. (a) | 57,914 | 583,194 | |
WAVE Life Sciences (a) | 41,740 | 102,472 | |
9,112,060 | |||
TOTAL HEALTH CARE | 98,493,332 | ||
INDUSTRIALS - 16.3% | |||
Aerospace & Defense - 1.2% | |||
AAR Corp. (a) | 74,043 | 3,327,492 | |
Aerojet Rocketdyne Holdings, Inc. | 3,401 | 131,789 | |
Astronics Corp. (a) | 47,850 | 703,874 | |
Parsons Corp. (a)(b) | 99,585 | 3,451,616 | |
7,614,771 | |||
Air Freight & Logistics - 0.6% | |||
Air Transport Services Group, Inc. (a) | 20,962 | 660,513 | |
Atlas Air Worldwide Holdings, Inc. (a) | 3,743 | 293,301 | |
Forward Air Corp. | 14,201 | 1,465,259 | |
Hub Group, Inc. Class A (a) | 18,915 | 1,596,426 | |
4,015,499 | |||
Airlines - 0.2% | |||
Mesa Air Group, Inc. (a)(b) | 87,564 | 380,903 | |
SkyWest, Inc. (a) | 42,457 | 1,193,466 | |
1,574,369 | |||
Building Products - 0.7% | |||
Apogee Enterprises, Inc. | 11,222 | 505,776 | |
Griffon Corp. (b) | 8,255 | 190,278 | |
Resideo Technologies, Inc. (a) | 29,432 | 757,580 | |
UFP Industries, Inc. | 24,009 | 2,058,772 | |
Zurn Water Solutions Corp. | 24,228 | 787,895 | |
4,300,301 | |||
Commercial Services & Supplies - 1.9% | |||
ABM Industries, Inc. | 93,739 | 4,202,319 | |
Cimpress PLC (a) | 26,380 | 1,661,676 | |
Kimball International, Inc. Class B | 61,035 | 565,794 | |
Matthews International Corp. Class A | 3,761 | 124,790 | |
Tetra Tech, Inc. | 8,115 | 1,288,419 | |
The Brink's Co. | 9,942 | 696,537 | |
The GEO Group, Inc. (b) | 235,505 | 1,403,610 | |
UniFirst Corp. | 12,150 | 2,202,188 | |
12,145,333 | |||
Construction & Engineering - 1.7% | |||
Arcosa, Inc. | 33,381 | 1,758,177 | |
Comfort Systems U.S.A., Inc. | 10,437 | 897,373 | |
Dycom Industries, Inc. (a) | 16,790 | 1,461,737 | |
EMCOR Group, Inc. | 43,159 | 4,986,591 | |
Great Lakes Dredge & Dock Corp. (a) | 2,677 | 37,772 | |
MYR Group, Inc. (a) | 17,038 | 1,529,161 | |
Primoris Services Corp. | 28,407 | 749,093 | |
11,419,904 | |||
Electrical Equipment - 1.4% | |||
Array Technologies, Inc. (a) | 60,271 | 677,446 | |
Atkore, Inc. (a) | 41,749 | 4,246,291 | |
AZZ, Inc. | 21,861 | 1,076,217 | |
EnerSys | 6,298 | 458,054 | |
Preformed Line Products Co. | 12,841 | 715,886 | |
Regal Rexnord Corp. | 6,358 | 1,019,505 | |
Stem, Inc. (a)(b) | 57,990 | 552,065 | |
TPI Composites, Inc. (a) | 40,496 | 547,506 | |
9,292,970 | |||
Machinery - 2.4% | |||
Altra Industrial Motion Corp. | 10,595 | 449,970 | |
Franklin Electric Co., Inc. | 7,050 | 596,148 | |
Gorman-Rupp Co. | 6,777 | 252,511 | |
Hurco Companies, Inc. | 20,022 | 683,351 | |
Hyster-Yale Materials Handling Class A | 16,836 | 644,482 | |
Kennametal, Inc. | 26,973 | 855,314 | |
L.B. Foster Co. Class A (a) | 6,670 | 104,852 | |
Manitowoc Co., Inc. (a) | 13,840 | 228,775 | |
Mueller Industries, Inc. | 73,437 | 4,189,581 | |
Nikola Corp. (a)(b) | 12,294 | 97,123 | |
Proto Labs, Inc. (a)(b) | 34,047 | 1,914,463 | |
SPX Flow, Inc. | 2,159 | 185,437 | |
Tennant Co. (b) | 4,980 | 392,324 | |
Terex Corp. | 14,238 | 587,745 | |
Titan International, Inc. (a) | 49,342 | 552,630 | |
Watts Water Technologies, Inc. Class A (b) | 28,726 | 4,135,108 | |
Welbilt, Inc. (a) | 5,513 | 130,327 | |
16,000,141 | |||
Marine - 0.2% | |||
Matson, Inc. | 12,155 | 1,346,409 | |
Professional Services - 1.7% | |||
ASGN, Inc. (a) | 7,415 | 821,508 | |
Barrett Business Services, Inc. | 2,288 | 137,623 | |
CRA International, Inc. | 5,415 | 481,014 | |
First Advantage Corp. | 44,194 | 713,733 | |
KBR, Inc. | 29,804 | 1,479,471 | |
Kforce, Inc. | 32,394 | 2,435,381 | |
Korn Ferry | 13,294 | 880,860 | |
ManTech International Corp. Class A (b) | 10,714 | 893,226 | |
TriNet Group, Inc. (a)(b) | 4,162 | 363,384 | |
Upwork, Inc. (a) | 103,437 | 2,614,887 | |
10,821,087 | |||
Road & Rail - 1.7% | |||
ArcBest Corp. | 8,621 | 798,994 | |
Marten Transport Ltd. | 142,853 | 2,464,214 | |
Saia, Inc. (a) | 13,904 | 3,993,646 | |
Werner Enterprises, Inc. | 60,913 | 2,647,279 | |
Yellow Corp. (a) | 110,993 | 1,000,047 | |
10,904,180 | |||
Trading Companies & Distributors - 2.6% | |||
Applied Industrial Technologies, Inc. | 21,638 | 2,187,602 | |
Boise Cascade Co. (b) | 53,285 | 4,259,603 | |
Global Industrial Co. | 38,077 | 1,210,087 | |
GMS, Inc. (a) | 35,735 | 1,938,624 | |
MRC Global, Inc. (a) | 31,143 | 314,544 | |
Rush Enterprises, Inc. Class A | 45,713 | 2,374,333 | |
Titan Machinery, Inc. (a) | 47,013 | 1,331,878 | |
Veritiv Corp. (a) | 34,539 | 3,701,545 | |
17,318,216 | |||
TOTAL INDUSTRIALS | 106,753,180 | ||
INFORMATION TECHNOLOGY - 15.2% | |||
Communications Equipment - 0.8% | |||
Calix, Inc. (a) | 24,872 | 1,351,544 | |
Digi International, Inc. (a) | 9,634 | 193,451 | |
Extreme Networks, Inc. (a) | 191,443 | 2,199,680 | |
NETGEAR, Inc. (a)(b) | 11,438 | 304,365 | |
NetScout Systems, Inc. (a) | 39,397 | 1,226,429 | |
5,275,469 | |||
Electronic Equipment & Components - 2.2% | |||
Aeva Technologies, Inc. (a)(b) | 28,163 | 118,285 | |
Badger Meter, Inc. | 3,950 | 392,670 | |
Belden, Inc. | 57,474 | 3,238,660 | |
Benchmark Electronics, Inc. | 50,196 | 1,312,123 | |
Daktronics, Inc. (a) | 21,956 | 101,217 | |
ePlus, Inc. (a) | 1,976 | 92,674 | |
II-VI, Inc. (a)(b) | 24,400 | 1,694,824 | |
Kimball Electronics, Inc. (a) | 68,148 | 1,174,872 | |
OSI Systems, Inc. (a)(b) | 12,437 | 1,003,293 | |
PC Connection, Inc. | 18,741 | 914,373 | |
Rogers Corp. (a) | 1,739 | 474,747 | |
Sanmina Corp. (a) | 16,387 | 651,875 | |
ScanSource, Inc. (a) | 41,591 | 1,313,444 | |
Vishay Intertechnology, Inc. (b) | 105,313 | 2,020,956 | |
14,504,013 | |||
IT Services - 1.4% | |||
CSG Systems International, Inc. | 38,990 | 2,406,463 | |
Digitalocean Holdings, Inc. (a)(b) | 23,667 | 1,403,926 | |
EVO Payments, Inc. Class A (a) | 6,088 | 146,782 | |
ExlService Holdings, Inc. (a) | 18,541 | 2,239,567 | |
Flywire Corp. (a)(b) | 22,237 | 601,733 | |
Grid Dynamics Holdings, Inc. (a) | 13,654 | 165,896 | |
Perficient, Inc. (a) | 20,602 | 2,099,344 | |
9,063,711 | |||
Semiconductors & Semiconductor Equipment - 4.6% | |||
Alpha & Omega Semiconductor Ltd. (a) | 66,814 | 3,592,589 | |
Ambarella, Inc. (a) | 4,065 | 567,921 | |
Cirrus Logic, Inc. (a) | 23,880 | 2,074,456 | |
CMC Materials, Inc. | 3,151 | 584,290 | |
Diodes, Inc. (a) | 27,178 | 2,434,877 | |
Kulicke & Soffa Industries, Inc. (b) | 49,738 | 2,598,313 | |
Lattice Semiconductor Corp. (a) | 83,095 | 5,203,395 | |
MACOM Technology Solutions Holdings, Inc. (a) | 8,536 | 513,014 | |
MaxLinear, Inc. Class A (a)(b) | 14,250 | 874,238 | |
Photronics, Inc. (a) | 191,648 | 3,530,156 | |
Semtech Corp. (a) | 56,041 | 3,888,125 | |
Synaptics, Inc. (a) | 16,045 | 3,665,159 | |
Veeco Instruments, Inc. (a)(b) | 11,534 | 329,526 | |
29,856,059 | |||
Software - 5.9% | |||
8x8, Inc. (a) | 23,755 | 307,865 | |
Agilysys, Inc. (a) | 64,520 | 2,711,776 | |
Alarm.com Holdings, Inc. (a) | 15,833 | 1,042,286 | |
Appian Corp. Class A (a) | 12,897 | 786,201 | |
Box, Inc. Class A (a) | 166,482 | 4,263,604 | |
BTRS Holdings, Inc. (a)(b) | 58,493 | 356,807 | |
CommVault Systems, Inc. (a) | 57,818 | 3,637,330 | |
Couchbase, Inc. | 16,670 | 351,237 | |
CS Disco, Inc. (b) | 18,293 | 691,110 | |
Domo, Inc. Class B (a) | 36,171 | 1,609,610 | |
E2open Parent Holdings, Inc. (a)(b) | 152,860 | 1,372,683 | |
eGain Communications Corp. (a) | 3,014 | 35,535 | |
Mimecast Ltd. (a) | 5,728 | 455,548 | |
Progress Software Corp. (b) | 59,770 | 2,634,662 | |
Qualys, Inc. (a) | 31,525 | 3,950,398 | |
Rapid7, Inc. (a) | 12,572 | 1,300,699 | |
SecureWorks Corp. (a) | 33,777 | 519,152 | |
Sprout Social, Inc. (a)(b) | 6,580 | 428,424 | |
SPS Commerce, Inc. (a) | 27,336 | 3,549,580 | |
Sumo Logic, Inc. (a) | 46,368 | 558,271 | |
Tenable Holdings, Inc. (a) | 75,701 | 4,190,807 | |
Upland Software, Inc. (a) | 27,173 | 512,483 | |
Vonage Holdings Corp. (a) | 23,007 | 467,502 | |
Workiva, Inc. (a) | 5,977 | 629,378 | |
Zuora, Inc. (a) | 143,796 | 2,182,823 | |
38,545,771 | |||
Technology Hardware, Storage & Peripherals - 0.3% | |||
Avid Technology, Inc. (a) | 23,806 | 748,937 | |
Diebold Nixdorf, Inc. (a)(b) | 64,265 | 559,106 | |
Super Micro Computer, Inc. (a) | 26,005 | 1,021,736 | |
2,329,779 | |||
TOTAL INFORMATION TECHNOLOGY | 99,574,802 | ||
MATERIALS - 3.4% | |||
Chemicals - 0.5% | |||
AdvanSix, Inc. | 4,696 | 188,122 | |
FutureFuel Corp. | 47,346 | 348,467 | |
Rayonier Advanced Materials, Inc. (a) | 56,261 | 330,252 | |
Sensient Technologies Corp. | 7,578 | 622,381 | |
Stepan Co. | 10,124 | 1,049,049 | |
Trinseo PLC (b) | 10,623 | 551,971 | |
3,090,242 | |||
Containers & Packaging - 0.4% | |||
Myers Industries, Inc. | 135,063 | 2,244,747 | |
Metals & Mining - 2.0% | |||
Allegheny Technologies, Inc. (a) | 31,164 | 802,161 | |
Commercial Metals Co. | 112,125 | 4,322,419 | |
Constellium NV (a) | 195,305 | 3,794,776 | |
MP Materials Corp. (a)(b) | 88,055 | 4,017,069 | |
Worthington Industries, Inc. (b) | 4,071 | 232,128 | |
13,168,553 | |||
Paper & Forest Products - 0.5% | |||
Louisiana-Pacific Corp. | 48,726 | 3,505,836 | |
TOTAL MATERIALS | 22,009,378 | ||
REAL ESTATE - 7.3% | |||
Equity Real Estate Investment Trusts (REITs) - 6.5% | |||
Agree Realty Corp. | 67,903 | 4,355,977 | |
Alexanders, Inc. | 1,922 | 487,073 | |
Ashford Hospitality Trust, Inc. (a) | 46,789 | 402,853 | |
CareTrust (REIT), Inc. | 38,004 | 665,070 | |
Chatham Lodging Trust (a) | 14,547 | 200,021 | |
Diversified Healthcare Trust (SBI) | 129,273 | 372,306 | |
Easterly Government Properties, Inc. | 28,852 | 600,699 | |
EastGroup Properties, Inc. | 15,858 | 3,025,072 | |
Equity Commonwealth (a) | 15,129 | 401,978 | |
Four Corners Property Trust, Inc. | 7,954 | 209,827 | |
Global Net Lease, Inc. | 160,699 | 2,283,533 | |
Healthcare Realty Trust, Inc. | 72,877 | 1,900,632 | |
Independence Realty Trust, Inc. | 127,627 | 3,225,134 | |
Kite Realty Group Trust | 122,610 | 2,688,837 | |
LXP Industrial Trust (REIT) | 55,200 | 853,392 | |
National Health Investors, Inc. | 13,053 | 695,855 | |
National Storage Affiliates Trust | 77,258 | 4,501,824 | |
Necessity Retail (REIT), Inc./The | 124,263 | 874,812 | |
Outfront Media, Inc. | 14,050 | 375,135 | |
Piedmont Office Realty Trust, Inc. Class A | 91,796 | 1,564,204 | |
Plymouth Industrial REIT, Inc. | 46,912 | 1,223,465 | |
PS Business Parks, Inc. | 3,170 | 504,949 | |
RLJ Lodging Trust | 37,538 | 525,157 | |
SITE Centers Corp. | 85,233 | 1,325,373 | |
Stag Industrial, Inc. | 96,774 | 3,770,315 | |
Summit Hotel Properties, Inc. (a) | 21,018 | 207,868 | |
Terreno Realty Corp. | 60,762 | 4,179,818 | |
Universal Health Realty Income Trust (SBI) | 17,126 | 978,066 | |
42,399,245 | |||
Real Estate Management & Development - 0.8% | |||
Cushman & Wakefield PLC (a) | 45,640 | 1,000,429 | |
eXp World Holdings, Inc. (b) | 23,734 | 634,647 | |
Marcus & Millichap, Inc. | 44,211 | 2,198,613 | |
Newmark Group, Inc. | 48,818 | 863,102 | |
RE/MAX Holdings, Inc. (b) | 18,286 | 541,997 | |
5,238,788 | |||
TOTAL REAL ESTATE | 47,638,033 | ||
UTILITIES - 1.6% | |||
Electric Utilities - 0.7% | |||
Otter Tail Corp. | 17,271 | 1,068,384 | |
PNM Resources, Inc. | 5,638 | 254,668 | |
Portland General Electric Co. | 68,689 | 3,487,341 | |
4,810,393 | |||
Gas Utilities - 0.2% | |||
New Jersey Resources Corp. | 16,057 | 700,406 | |
South Jersey Industries, Inc. | 5,497 | 186,513 | |
Southwest Gas Corp. | 3,602 | 255,526 | |
1,142,445 | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
Clearway Energy, Inc.: | |||
Class A | 72,542 | 2,219,060 | |
Class C | 15,164 | 506,478 | |
Sunnova Energy International, Inc. (a) | 48,051 | 968,228 | |
3,693,766 | |||
Water Utilities - 0.1% | |||
American States Water Co. | 6,869 | 578,095 | |
TOTAL UTILITIES | 10,224,699 | ||
TOTAL COMMON STOCKS | |||
(Cost $590,928,338) | 645,026,754 | ||
Money Market Funds - 18.1% | |||
Fidelity Cash Central Fund 0.07% (d) | 7,206,878 | 7,208,320 | |
Fidelity Securities Lending Cash Central Fund 0.07% (d)(e) | 111,477,634 | 111,488,782 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $118,694,857) | 118,697,102 | ||
TOTAL INVESTMENT IN SECURITIES - 116.6% | |||
(Cost $709,623,195) | 763,723,856 | ||
NET OTHER ASSETS (LIABILITIES) - (16.6)% | (108,556,279) | ||
NET ASSETS - 100% | $655,167,577 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 99 | March 2022 | $10,120,275 | $170,071 | $170,071 |
The notional amount of futures purchased as a percentage of Net Assets is 1.5%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $17,184,771.
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Level 3 security
(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
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity Cash Central Fund 0.07% | $20,591,573 | $116,241,756 | $129,625,009 | $9,643 | $-- | $-- | $7,208,320 | 0.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | 31,312,480 | 521,412,108 | 441,235,806 | 145,639 | -- | -- | 111,488,782 | 0.3% |
Total | $51,904,053 | $637,653,864 | $570,860,815 | $155,282 | $-- | $-- | $118,697,102 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount for Fidelity Securities Lending Cash Central Fund 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.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2022, 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: | ||||
Communication Services | $20,392,330 | $20,392,330 | $-- | $-- |
Consumer Discretionary | 69,902,507 | 69,902,507 | -- | -- |
Consumer Staples | 17,017,708 | 17,017,708 | -- | -- |
Energy | 47,466,486 | 47,466,486 | -- | -- |
Financials | 105,554,299 | 105,554,299 | -- | -- |
Health Care | 98,493,332 | 98,493,332 | -- | -- |
Industrials | 106,753,180 | 106,753,180 | -- | -- |
Information Technology | 99,574,802 | 99,574,802 | -- | -- |
Materials | 22,009,378 | 22,009,378 | -- | -- |
Real Estate | 47,638,033 | 47,638,033 | -- | -- |
Utilities | 10,224,699 | 10,224,699 | -- | -- |
Money Market Funds | 118,697,102 | 118,697,102 | -- | -- |
Total Investments in Securities: | $763,723,856 | $763,723,856 | $-- | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $170,071 | $170,071 | $-- | $-- |
Total Assets | $170,071 | $170,071 | $-- | $-- |
Total Derivative Instruments: | $170,071 | $170,071 | $-- | $-- |
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, 2022. 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) | $170,071 | $0 |
Total Equity Risk | 170,071 | 0 |
Total Value of Derivatives | $170,071 | $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 on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
February 28, 2022 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $109,024,323) — See accompanying schedule: Unaffiliated issuers (cost $590,928,338) | $645,026,754 | |
Fidelity Central Funds (cost $118,694,857) | 118,697,102 | |
Total Investment in Securities (cost $709,623,195) | $763,723,856 | |
Segregated cash with brokers for derivative instruments | 456,500 | |
Receivable for investments sold | 10,497,750 | |
Receivable for fund shares sold | 579,493 | |
Dividends receivable | 344,903 | |
Distributions receivable from Fidelity Central Funds | 10,836 | |
Receivable for daily variation margin on futures contracts | 36,208 | |
Other receivables | 377 | |
Total assets | 775,649,923 | |
Liabilities | ||
Payable for investments purchased | $8,303,960 | |
Payable for fund shares redeemed | 396,869 | |
Accrued management fee | 298,505 | |
Other payables and accrued expenses | 375 | |
Collateral on securities loaned | 111,482,637 | |
Total liabilities | 120,482,346 | |
Net Assets | $655,167,577 | |
Net Assets consist of: | ||
Paid in capital | $584,508,254 | |
Total accumulated earnings (loss) | 70,659,323 | |
Net Assets | $655,167,577 | |
Net Asset Value, offering price and redemption price per share ($655,167,577 ÷ 46,880,108 shares) | $13.98 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended February 28, 2022 | ||
Investment Income | ||
Dividends | $7,487,914 | |
Interest | 953 | |
Income from Fidelity Central Funds (including $145,639 from security lending) | 155,282 | |
Total income | 7,644,149 | |
Expenses | ||
Management fee | $4,619,556 | |
Independent trustees' fees and expenses | 2,627 | |
Total expenses before reductions | 4,622,183 | |
Expense reductions | (63) | |
Total expenses after reductions | 4,622,120 | |
Net investment income (loss) | 3,022,029 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 148,727,779 | |
Futures contracts | (869,169) | |
Total net realized gain (loss) | 147,858,610 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | (161,728,304) | |
Futures contracts | (575,832) | |
Total change in net unrealized appreciation (depreciation) | (162,304,136) | |
Net gain (loss) | (14,445,526) | |
Net increase (decrease) in net assets resulting from operations | $(11,423,497) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended February 28, 2022 | Year ended February 28, 2021 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $3,022,029 | $3,121,778 |
Net realized gain (loss) | 147,858,610 | 22,432,266 |
Change in net unrealized appreciation (depreciation) | (162,304,136) | 200,911,676 |
Net increase (decrease) in net assets resulting from operations | (11,423,497) | 226,465,720 |
Distributions to shareholders | (128,801,439) | (3,468,457) |
Share transactions | ||
Proceeds from sales of shares | 162,033,486 | 106,402,264 |
Reinvestment of distributions | 121,633,024 | 3,296,821 |
Cost of shares redeemed | (177,404,543) | (159,526,301) |
Net increase (decrease) in net assets resulting from share transactions | 106,261,967 | (49,827,216) |
Total increase (decrease) in net assets | (33,962,969) | 173,170,047 |
Net Assets | ||
Beginning of period | 689,130,546 | 515,960,499 |
End of period | $655,167,577 | $689,130,546 |
Other Information | ||
Shares | ||
Sold | 9,267,659 | 7,884,913 |
Issued in reinvestment of distributions | 8,198,504 | 214,777 |
Redeemed | (10,434,032) | (13,863,858) |
Net increase (decrease) | 7,032,131 | (5,764,168) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Small Cap Enhanced Index Fund
Years ended February 28, | 2022 | 2021 | 2020 A | 2019 | 2018 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $17.29 | $11.31 | $12.57 | $13.81 | $14.32 |
Income from Investment Operations | |||||
Net investment income (loss)B,C | .07 | .08 | .12 | .11 | .12 |
Net realized and unrealized gain (loss) | (.20) | 5.99 | (1.26) | .31 | .56 |
Total from investment operations | (.13) | 6.07 | (1.14) | .42 | .68 |
Distributions from net investment income | (.07) | (.09) | (.12) | (.12) | (.13) |
Distributions from net realized gain | (3.11) | – | – | (1.54) | (1.06) |
Total distributions | (3.18) | (.09) | (.12) | (1.66) | (1.19) |
Net asset value, end of period | $13.98 | $17.29 | $11.31 | $12.57 | $13.81 |
Total ReturnD | (1.64)% | 53.78% | (9.18)% | 4.01% | 4.95% |
Ratios to Average Net AssetsC,E,F | |||||
Expenses before reductions | .63% | .64% | .64% | .64% | .64% |
Expenses net of fee waivers, if any | .63% | .64% | .64% | .64% | .64% |
Expenses net of all reductions | .63% | .64% | .64% | .64% | .64% |
Net investment income (loss) | .41% | .62% | .94% | .84% | .89% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $655,168 | $689,131 | $515,960 | $701,171 | $762,811 |
Portfolio turnover rateG | 96% | 44% | 79% | 88% | 100% |
A For the year ended February 29.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended February 28, 2022
1. Organization.
Fidelity Small Cap Enhanced Index Fund (the Fund) is a fund of Fidelity Commonwealth Trust II (the Trust) and is 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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
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 the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the 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 the Fund's investments and ratifies the fair value determinations of the Committee.
The 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 – Unadjusted 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 the 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. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
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, 2022 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's 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 include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 Fund is 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 Fund represent a return of capital or capital gain. The Fund determines 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.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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, the 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, 2022, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The 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.
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, the Fund 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, passive foreign investment companies (PFIC), partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $122,565,092 |
Gross unrealized depreciation | (70,684,336) |
Net unrealized appreciation (depreciation) | $51,880,756 |
Tax Cost | $711,843,100 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed long-term capital gain | $23,499,024 |
Net unrealized appreciation (depreciation) on securities and other investments | $51,880,756 |
The Fund intends to elect to defer to its next fiscal year $4,389,821 of capital losses recognized during the period November 1, 2021 to February 28, 2022. The Fund intends to elect to defer to its next fiscal year $330,636 of ordinary losses recognized during the period January 1, 2022 to February 28, 2022.
The tax character of distributions paid was as follows:
February 28, 2022 | February 28, 2021 | |
Ordinary Income | $11,438,963 | $ 3,311,815 |
Long-term Capital Gains | 117,362,476 | 156,642 |
Total | $128,801,439 | $ 3,468,457 |
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund 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 Fund 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its 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 Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund 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 Fund. 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.
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 Fund used futures contracts to manage its 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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
Purchases ($) | Sales ($) | |
Fidelity Small Cap Enhanced Index Fund | 677,105,743 | 682,323,034 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC(the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The Fund pays an all-inclusive management fee based on annual rate of .55% of the Fund's average net assets; and the investment adviser pays all ordinary operating expenses of the Fund, except fees and expenses of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees. During January 2022 the Board approved a change in the management fee from .64% to .55% effective February 1, 2022.
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.
Effective after the close of business on March 18, 2022, Geode transitioned the management of assets and investment advisory services to the investment adviser.
Interfund Trades. 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission 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 commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A fund 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, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the 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 in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Small Cap Enhanced Index Fund | $14,215 | $4,464 | $170,771 |
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $63.
10. Other.
A fund's 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 fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Commonwealth Trust II and Shareholders of Fidelity Small Cap Enhanced Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Small Cap Enhanced Index Fund (one of the funds constituting Fidelity Commonwealth Trust II, referred to hereafter as the “Fund”) as of February 28, 2022, the related statement of operations for the year ended February 28, 2022, the statement of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2022 and the financial highlights for each of the five years in the period ended February 28, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian 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.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
April 12, 2022
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 317 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 fund 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.
The 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 the 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 (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Acting 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 fund. 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. David M. Thomas serves as Lead Independent Trustee 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 fund's Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and other equity funds. The asset allocation funds may invest in Fidelity® funds overseen by the fund's Board. 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, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's 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 fund's 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 fund are carried out by or through FMR, its affiliates, and other service providers, the fund's 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 fund's activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. 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+
Bettina Doulton (1964)
Year of Election or Appointment: 2020
Trustee
Ms. Doulton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Doulton served in a variety of positions at Fidelity Investments, including as a managing director of research (2006-2007), portfolio manager to certain Fidelity® funds (1993-2005), equity analyst and portfolio assistant (1990-1993), and research assistant (1987-1990). Ms. Doulton currently owns and operates Phi Builders + Architects and Cellardoor Winery. Previously, Ms. Doulton served as a member of the Board of Brown Capital Management, LLC (2014-2018).
Robert A. Lawrence (1952)
Year of Election or Appointment: 2020
Trustee
Acting Chairman of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* 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 the 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+
Thomas P. Bostick (1956)
Year of Election or Appointment: 2021
Trustee
Lieutenant General Bostick also serves as Trustee of other Fidelity® funds. Prior to his retirement, General Bostick (United States Army, Retired) held a variety of positions within the U.S. Army, including Commanding General and Chief of Engineers, U.S. Army Corps of Engineers (2012-2016) and Deputy Chief of Staff and Director of Human Resources, U.S. Army (2009-2012). General Bostick currently serves as a member of the Board and Finance and Governance Committees of CSX Corporation (transportation, 2020-present) and a member of the Board and Corporate Governance and Nominating Committee of Perma-Fix Environmental Services, Inc. (nuclear waste management, 2020-present). General Bostick serves as Chief Executive Officer of Bostick Global Strategies, LLC (consulting, 2016-present) and as a member of the Board of HireVue, Inc. (video interview and assessment, 2020-present). Previously, General Bostick served as a Member of the Advisory Board of certain Fidelity® funds (2021), President, Intrexon Bioengineering (2018-2020) and Chief Operating Officer (2017-2020) and Senior Vice President of the Environment Sector (2016-2017) of Intrexon Corporation (biopharmaceutical company).
Dennis J. Dirks (1948)
Year of Election or Appointment: 2018
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks served as Chief Operating Officer and as a member of the Board of The Depository Trust & Clearing Corporation (financial markets infrastructure), President, Chief Operating Officer and a member of the Board of The Depository Trust Company (DTC), President and a member of the Board of the National Securities Clearing Corporation (NSCC), Chief Executive Officer and a member of the Board of the Government Securities Clearing Corporation and Chief Executive Officer and a member of the Board of the Mortgage-Backed Securities Clearing Corporation. Mr. Dirks currently serves as a member of the Finance Committee (2016-present) and Board (2017-present) and is Treasurer (2018-present) of the Asolo Repertory Theatre.
Donald F. Donahue (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Donahue also serves as Trustee of other Fidelity® funds. Mr. Donahue serves as President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 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 currently serves as a member (2007-present) and Co-Chairman (2016-present) of the Board of United Way of New York and a member of the Board of The Leadership Academy (previously NYC Leadership Academy) (2012-present). Mr. Donahue previously served as a member of the Advisory Board of certain Fidelity® funds (2015-2018).
Vicki L. Fuller (1957)
Year of Election or Appointment: 2020
Trustee
Ms. Fuller also serves as Trustee of other Fidelity® funds. Previously, Ms. Fuller served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chief Investment Officer of the New York State Common Retirement Fund (2012-2018) and held a variety of positions at AllianceBernstein L.P. (global asset management, 1985-2012), including Managing Director (2006-2012) and Senior Vice President and Senior Portfolio Manager (2001-2006). Ms. Fuller currently serves as a member of the Board, Audit Committee and Nominating and Governance Committee of two Blackstone business development companies (2020-present), as a member of the Board of Treliant, LLC (consulting, 2019-present), as a member of the Advisory Board of Ariel Alternatives, LLC (private equity, 2021-present) and as a member of the Board and Chair of the Audit Committee of Gusto, Inc. (software, 2021-present). In addition, Ms. Fuller currently serves as a member of the Board of Roosevelt University (2019-present) and as a member of the Executive Board of New York University’s Stern School of Business. Ms. Fuller previously served as a member of the Board, Audit Committee and Nominating and Governance Committee of The Williams Companies, Inc. (natural gas infrastructure, 2018-2021).
Patricia L. Kampling (1959)
Year of Election or Appointment: 2020
Trustee
Ms. Kampling also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Kampling served as Chairman of the Board and Chief Executive Officer (2012-2019), President and Chief Operating Officer (2011-2012) and Executive Vice President and Chief Financial Officer (2010-2011) of Alliant Energy Corporation. Ms. Kampling currently serves as a member of the Board, Finance Committee and Governance, Compensation and Nominating Committee of Xcel Energy Inc. (utilities company, 2020-present) and as a member of the Board, Audit, Finance and Risk Committee and Safety, Environmental, Technology and Operations Committee and Chair of the Executive Development and Compensation Committee of American Water Works Company, Inc. (utilities company, 2019-present). In addition, Ms. Kampling currently serves as a member of the Board of the Nature Conservancy, Wisconsin Chapter (2019-present). Previously, Ms. Kampling served as a Member of the Advisory Board of certain Fidelity® funds (2020), a member of the Board, Compensation Committee and Executive Committee and Chair of the Audit Committee of Briggs & Stratton Corporation (manufacturing, 2011-2021), a member of the Board of Interstate Power and Light Company (2012-2019) and Wisconsin Power and Light Company (2012-2019) (each a subsidiary of Alliant Energy Corporation) and as a member of the Board and Workforce Development Committee of the Business Roundtable (2018-2019).
Thomas A. Kennedy (1955)
Year of Election or Appointment: 2021
Trustee
Mr. Kennedy also serves as Trustee of other Fidelity® funds. Previously, Mr. Kennedy served as a Member of the Advisory Board of certain Fidelity® funds (2020) and held a variety of positions at Raytheon Company (aerospace and defense, 1983-2020), including Chairman and Chief Executive Officer (2014-2020) and Executive Vice President and Chief Operating Officer (2013-2014). Mr. Kennedy currently serves as Executive Chairman of the Board of Directors of Raytheon Technologies Corporation (aerospace and defense, 2020-present). He is also a member of the Rutgers School of Engineering Industry Advisory Board (2011-present) and a member of the UCLA Engineering Dean’s Executive Board (2016-present).
Oscar Munoz (1959)
Year of Election or Appointment: 2021
Trustee
Mr. Munoz also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Munoz served as Executive Chairman (2020-2021), Chief Executive Officer (2015-2020), President (2015-2016) and a member of the Board (2010-2021) of United Airlines Holdings, Inc. Mr. Munoz currently serves as a member of the Board of CBRE Group, Inc. (commercial real estate, 2020-present), a member of the Board of Univision Communications, Inc. (Hispanic media, 2020-present) and a member of the Advisory Board of Salesforce.com, Inc. (cloud-based software, 2020-present). Previously, Mr. Munoz served as a Member of the Advisory Board of certain Fidelity® funds (2021).
Garnett A. Smith (1947)
Year of Election or Appointment: 2017
Trustee
Mr. Smith also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Smith served as Chairman and Chief Executive Officer (1990-1997) and President (1986-1990) of Inbrand Corp. (manufacturer of personal absorbent products). Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank (now Bank of America). Mr. Smith previously served as a member of the Advisory Board of certain Fidelity® funds (2012-2013).
David M. Thomas (1949)
Year of Election or Appointment: 2018
Trustee
Lead Independent Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). Mr. Thomas currently serves as a member of the Board of Fortune Brands Home and Security (home and security products, 2004-present) and as Director (2013-present) and Non-Executive Chairman of the Board (2022-present) of Interpublic Group of Companies, Inc. (marketing communication).
Susan Tomasky (1953)
Year of Election or Appointment: 2020
Trustee
Ms. Tomasky also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Tomasky served in various executive officer positions at American Electric Power Company, Inc. (1998-2011), including most recently as President of AEP Transmission (2007-2011). Ms. Tomasky currently serves as a member of the Board and Sustainability Committee and as Chair of the Audit Committee of Marathon Petroleum Corporation (2018-present) and as a member of the Board, Executive Committee, Corporate Governance Committee and Organization and Compensation Committee and as Chair of the Audit Committee of Public Service Enterprise Group, Inc. (utilities company, 2012-present) and as a member of the Board of its subsidiary company, Public Service Electric and Gas Co. (2021-present). In addition, Ms. Tomasky currently serves as a member (2009-present) and President (2020-present) of the Board of the Royal Shakespeare Company – America (2009-present), as a member of the Board of the Columbus Association for the Performing Arts (2011-present) and as a member of the Board and Kenyon in the World Committee of Kenyon College (2016-present). Previously, Ms. Tomasky served as a Member of the Advisory Board of certain Fidelity® funds (2020), as a member of the Board of the Columbus Regional Airport Authority (2007-2020), as a member of the Board (2011-2018) and Lead Independent Director (2015-2018) of Andeavor Corporation (previously Tesoro Corporation) (independent oil refiner and marketer) and as a member of the Board of Summit Midstream Partners LP (energy, 2012-2018).
Michael E. Wiley (1950)
Year of Election or Appointment: 2017
Trustee
Mr. Wiley also serves as Trustee of other Fidelity® funds. Previously, Mr. Wiley served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chairman, President and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004). Mr. Wiley also previously served as a member of the Board of Andeavor Corporation (independent oil refiner and marketer, 2005-2018), a member of the Board of Andeavor Logistics LP (natural resources logistics, 2015-2018) and a member of the Board of High Point Resources (exploration and production, 2005-2020).
+ 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 the 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. Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2018
Member of the Advisory Board
Mr. Lynch also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of Fidelity Management & Research Company LLC (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served as Vice Chairman and a Director of FMR Co., Inc. (investment adviser firm) and on the Special Olympics International Board of Directors (1997-2006).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
William C. Coffey (1969)
Year of Election or Appointment: 2019
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 Secretary and CLO of certain funds (2018-2019); CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-2019); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-2019); and Assistant Secretary of certain funds (2009-2018).
Timothy M. Cohen (1969)
Year of Election or Appointment: 2018
Vice President
Mr. Cohen also serves as Vice President of other funds. Mr. Cohen serves as Co-Head of Equity (2018-present), a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), and is an employee of Fidelity Investments. Previously, Mr. Cohen served as Executive Vice President of Fidelity SelectCo, LLC (2019), Head of Global Equity Research (2016-2018), Chief Investment Officer - Equity and a Director of Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2013-2015) and as a Director of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2017).
Jonathan Davis (1968)
Year of Election or Appointment: 2017
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); 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).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2020
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Pamela R. Holding (1964)
Year of Election or Appointment: 2018
Vice President
Ms. Holding also serves as Vice President of other funds. Ms. Holding serves as Co-Head of Equity (2018-present) and is an employee of Fidelity Investments (2013-present). Previously, Ms. Holding served as Executive Vice President of Fidelity SelectCo, LLC (2019) and as Chief Investment Officer of Fidelity Institutional Asset Management (2013-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2020
Deputy Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); 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).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Pogorelec also serves as Chief Compliance Officer of other funds. Mr. Pogorelec is a senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2006-present). Previously, Mr. Pogorelec served as Vice President, Associate General Counsel for Fidelity Investments (2010-2020) and Assistant Secretary of certain Fidelity funds (2015-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), 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 Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a 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, 2021 to February 28, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period-B September 1, 2021 to February 28, 2022 | |
Fidelity Small Cap Enhanced Index Fund | .63% | |||
Actual | $1,000.00 | $923.30 | $3.00** | |
Hypothetical-C | $1,000.00 | $1,021.67 | $3.16** |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
**If fees and changes to the expense contract and/or expense cap, effective February 1, 2022, had been in effect during the entire current period, the restated annualized expense ratio and the expenses paid in the actual and hypothetical examples above would be as shown in table below:
Annualized Expense Ratio-(a) | Expenses Paid | |
Fidelity Small Cap Enhanced Index Fund | .55% | |
Actual | $2.62 | |
Hypothetical-(b) | $2.76 |
(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 Fidelity Small Cap Enhanced Index Fund voted to pay on April 11, 2022, to shareholders of record at the opening of business on April 8, 2022, a distribution of $0.506 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended February 28, 2022, $144,011,198, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 42% of the dividend distributed during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 48% of the dividend distributed in December during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 10% of the dividends distributed during the fiscal year as a section 199A dividend.
The fund designates 100% of the short-term capital gain dividends distributed during the fiscal year as qualifying to be taxed as short-term capital gain dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Small Cap Enhanced Index Fund
At its January 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), approved an amended and restated management contract with Fidelity Management & Research Company LLC (FMR) for the fund to take effect February 1, 2022 (the Amended Contract) that lowered the management fee rate to be paid. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.Nature, Extent, and Quality of Services Provided. The Board noted that it previously received and considered materials relating to the nature, extent and quality of services provided by FMR and the fund’s sub-advisers to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family, and the investment performance of the fund in connection with the annual renewal of the fund’s current management contract and sub-advisory agreements (Advisory Contracts). At its January 2022 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should benefit the fund’s shareholders. The Board noted that approval of the Amended Contract would not change the fund’s portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract will continue to benefit the fund’s shareholders.Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts. Based on its review, the Board concluded at its January 2022 meeting that the fund's current management fee and total expenses are fair and reasonable in light of the services that the fund receives and the other factors considered. In its review of the proposed management fee rate under the Amended Contract, the Board considered that the proposed management fee rate would be lower than the current management fee rate. The Board also considered that the proposed management fee rate would not result in any changes in the relationships of the fund's management fee rate and total expense ratio to the competitive medians of its total mapped groups of competitor funds provided to the Board in connection with the annual renewal of the existing Advisory Contracts.Based on its review, the Board concluded that the management fee and the total expenses continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.Costs of the Services and Profitability. The Board considered that it previously reviewed information regarding the revenues earned and the expenses incurred by FMR in providing services to the fund and the level of FMR's profitability. At its January 2022 meeting, the Board concluded that it was satisfied that FMR's profitability in connection with the operation of the fund was not excessive under the circumstances. Because the Board was approving an arrangement that would reduce the management fee rate, the Board did not consider the costs of the services provided by and the profits realized by FMR to be significant factors in its decision to approve the Amended Contract.Economies of Scale. The Board considered that it previously received and reviewed information regarding whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale and that it concluded, at its January 2022 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. The Board did not consider economies of scale to be a significant factor in its decision to approve the Amended Contract because the proposed management fee rate is lower than the current management fee rate.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 fund's advisory fee structures are fair and reasonable, and that the Amended Contract should be approved.Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments – cash or convertible to cash within three business days or less
- Moderately liquid investments – convertible to cash in three to seven calendar days
- Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments – cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2020 through November 30, 2021. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.
SCE-ANN-0422
1.9885266.105
Item 2.
Code of Ethics
As of the end of the period, February 28, 2022, 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 Donald F. Donahue is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Donahue 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 Small Cap Enhanced Index Fund (the “Fund”):
Services Billed by PwC
February 28, 2022 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Small Cap Enhanced Index Fund | $37,700 | $3,700 | $10,200 | $1,200 |
February 28, 2021 FeesA
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Small Cap Enhanced Index Fund | $36,900 | $3,600 | $9,000 | $1,400 |
A Amounts may reflect rounding.
The following table(s) present(s) 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 Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("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 Fund(s) (“Fund Service Providers”):
Services Billed by PwC
February 28, 2022A | February 28, 2021A | |
Audit-Related Fees | $8,239,800 | $9,436,200 |
Tax Fees | $354,200 | $14,300 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“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 Fund(s), 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 for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | February 28, 2022A | February 28, 2021A |
PwC | $13,851,800 | $14,599,400 |
A Amounts may reflect rounding.
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(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(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(s) 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 a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. 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 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 a Fidelity fund 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 a Fidelity fund (“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 a Fidelity fund are reported to the Audit Committee periodically.
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 Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
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 trust’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 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.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
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) | |
(a) | (3) | Not applicable. |
(b) |
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 21, 2022 |
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 21, 2022 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | April 21, 2022 |