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 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
John Hitt, 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: | May 31 |
Date of reporting period: | November 30, 2017 |
Item 1.
Reports to Stockholders
Strategic Advisers® Value Fund Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Invesco Diversified Dividend Fund - Class A | 4.9 | 5.1 |
JPMorgan Chase & Co. | 3.0 | 2.7 |
Johnson & Johnson | 2.7 | 3.0 |
Fidelity Low-Priced Stock Fund | 2.5 | 2.4 |
Pfizer, Inc. | 2.1 | 2.1 |
Citigroup, Inc. | 2.1 | 1.9 |
Apple, Inc. | 1.9 | 2.1 |
Cisco Systems, Inc. | 1.7 | 1.6 |
Chevron Corp. | 1.7 | 1.6 |
Wells Fargo & Co. | 1.7 | 1.7 |
24.3 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Financials | 25.8 | 25.3 |
Information Technology | 13.1 | 14.0 |
Health Care | 12.9 | 12.9 |
Consumer Discretionary | 9.0 | 8.1 |
Industrials | 7.2 | 7.6 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 88.3% | |
Large Blend Funds | 1.5% | |
Large Value Funds | 4.9% | |
Mid-Cap Value Funds | 2.5% | |
Sector Funds | 1.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.2% |
As of May 31, 2017 | ||
Common Stocks | 87.1% | |
Large Blend Funds | 1.5% | |
Large Value Funds | 5.1% | |
Mid-Cap Value Funds | 2.4% | |
Sector Funds | 1.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.3% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 88.3% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.0% | |||
Auto Components - 1.0% | |||
BorgWarner, Inc. | 563,950 | $31,400,736 | |
Cooper Tire & Rubber Co. | 265,127 | 9,743,417 | |
Delphi Automotive PLC | 121,700 | 12,738,339 | |
Gentex Corp. | 130,700 | 2,676,736 | |
Lear Corp. | 187,900 | 33,989,231 | |
The Goodyear Tire & Rubber Co. | 799,800 | 25,889,526 | |
116,437,985 | |||
Automobiles - 1.2% | |||
Ford Motor Co. | 3,726,700 | 46,658,284 | |
General Motors Co. | 1,688,400 | 72,753,156 | |
Harley-Davidson, Inc. (a) | 401,872 | 20,173,974 | |
Thor Industries, Inc. | 24,000 | 3,685,200 | |
143,270,614 | |||
Distributors - 0.0% | |||
Genuine Parts Co. | 35,216 | 3,274,032 | |
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 94,200 | 2,466,156 | |
Hotels, Restaurants & Leisure - 0.8% | |||
Brinker International, Inc. (a) | 404,619 | 14,861,656 | |
Carnival Corp. | 243,700 | 15,996,468 | |
Hilton Worldwide Holdings, Inc. | 60,787 | 4,714,640 | |
Hyatt Hotels Corp. Class A (b) | 17,600 | 1,273,536 | |
La Quinta Holdings, Inc. (b) | 194,660 | 3,466,895 | |
Norwegian Cruise Line Holdings Ltd. (b) | 103,600 | 5,610,976 | |
Royal Caribbean Cruises Ltd. | 97,300 | 12,053,524 | |
Wyndham Worldwide Corp. | 275,300 | 30,940,967 | |
88,918,662 | |||
Household Durables - 0.8% | |||
CalAtlantic Group, Inc. | 123,868 | 6,941,563 | |
Garmin Ltd. | 86,400 | 5,363,712 | |
Leggett & Platt, Inc. | 57,100 | 2,754,504 | |
Lennar Corp.: | |||
Class A | 310,000 | 19,461,800 | |
Class B | 6,200 | 318,184 | |
Mohawk Industries, Inc. (b) | 33,800 | 9,552,218 | |
Newell Brands, Inc. | 39,592 | 1,226,164 | |
NVR, Inc. (b) | 1,690 | 5,872,750 | |
PulteGroup, Inc. | 143,400 | 4,894,242 | |
Toll Brothers, Inc. | 74,000 | 3,724,420 | |
Whirlpool Corp. | 168,900 | 28,471,473 | |
88,581,030 | |||
Internet & Direct Marketing Retail - 0.1% | |||
Expedia, Inc. | 29,823 | 3,653,318 | |
Priceline Group, Inc. (b) | 2,292 | 3,987,415 | |
7,640,733 | |||
Leisure Products - 0.1% | |||
Brunswick Corp. | 40,600 | 2,247,210 | |
Hasbro, Inc. | 53,900 | 5,013,778 | |
7,260,988 | |||
Media - 2.6% | |||
CBS Corp. Class B(a) | 175,172 | 9,820,142 | |
Charter Communications, Inc. Class A (b) | 16,730 | 5,457,493 | |
Clear Channel Outdoor Holding, Inc. Class A | 181,181 | 851,551 | |
Comcast Corp. Class A | 2,333,625 | 87,604,283 | |
DISH Network Corp. Class A (b) | 187,997 | 9,522,048 | |
Entercom Communications Corp. Class A | 254,430 | 2,951,388 | |
Gannett Co., Inc. | 247,600 | 2,837,496 | |
Liberty Global PLC LiLAC Class C (b) | 112,234 | 2,328,856 | |
News Corp. Class A | 172,700 | 2,790,832 | |
Nexstar Broadcasting Group, Inc. Class A | 68,852 | 4,675,051 | |
Tegna, Inc. | 402,400 | 5,343,872 | |
The Madison Square Garden Co. (b) | 8,600 | 1,863,190 | |
The Walt Disney Co. | 711,200 | 74,547,984 | |
Time Warner, Inc. | 679,583 | 62,188,640 | |
Twenty-First Century Fox, Inc. Class A | 795,980 | 25,423,601 | |
Viacom, Inc. Class B (non-vtg.) | 300,200 | 8,501,664 | |
306,708,091 | |||
Multiline Retail - 0.8% | |||
Big Lots, Inc. (a) | 160,800 | 9,503,280 | |
Dillard's, Inc. Class A (a) | 109,300 | 6,568,930 | |
Dollar General Corp. | 118,800 | 10,463,904 | |
Kohl's Corp. | 581,362 | 27,887,935 | |
Macy's, Inc. (a) | 348,100 | 8,284,780 | |
Nordstrom, Inc. (a) | 85,240 | 3,874,158 | |
Target Corp. | 428,000 | 25,637,200 | |
92,220,187 | |||
Specialty Retail - 1.4% | |||
American Eagle Outfitters, Inc. | 775,200 | 12,465,216 | |
AutoNation, Inc. (a)(b) | 30,400 | 1,683,248 | |
AutoZone, Inc. (b) | 11,316 | 7,771,376 | |
Best Buy Co., Inc. | 574,537 | 34,248,151 | |
CarMax, Inc. (b) | 84,100 | 5,795,331 | |
Cars.com, Inc. (a) | 55,652 | 1,349,004 | |
Gap, Inc. | 218,929 | 7,073,596 | |
Home Depot, Inc. | 221,593 | 39,846,853 | |
L Brands, Inc. | 32,056 | 1,797,380 | |
Lowe's Companies, Inc. | 360,700 | 30,071,559 | |
Murphy U.S.A., Inc. (b) | 46,156 | 3,639,401 | |
Office Depot, Inc. | 217,300 | 710,571 | |
Penske Automotive Group, Inc. | 203,300 | 9,831,588 | |
Tiffany & Co., Inc. | 32,491 | 3,070,400 | |
TJX Companies, Inc. | 63,008 | 4,760,254 | |
Williams-Sonoma, Inc. (a) | 39,100 | 2,000,356 | |
166,114,284 | |||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Carter's, Inc. | 20,500 | 2,220,560 | |
Columbia Sportswear Co. | 64,546 | 4,538,229 | |
Hanesbrands, Inc. (a) | 157,900 | 3,298,531 | |
Michael Kors Holdings Ltd. (b) | 49,500 | 2,892,780 | |
PVH Corp. | 35,300 | 4,749,615 | |
Ralph Lauren Corp. | 24,000 | 2,283,600 | |
19,983,315 | |||
TOTAL CONSUMER DISCRETIONARY | 1,042,876,077 | ||
CONSUMER STAPLES - 5.0% | |||
Beverages - 0.3% | |||
Coca-Cola European Partners PLC | 131,807 | 5,139,155 | |
Dr. Pepper Snapple Group, Inc. | 110,438 | 9,960,403 | |
Molson Coors Brewing Co. Class B | 62,689 | 4,896,011 | |
The Coca-Cola Co. | 295,000 | 13,502,150 | |
33,497,719 | |||
Food & Staples Retailing - 2.5% | |||
CVS Health Corp. | 714,664 | 54,743,262 | |
Kroger Co. | 1,703,516 | 44,052,924 | |
Wal-Mart Stores, Inc. | 1,655,300 | 160,944,819 | |
Walgreens Boots Alliance, Inc. | 492,225 | 35,814,291 | |
295,555,296 | |||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 813,500 | 32,442,380 | |
Bunge Ltd. | 181,502 | 12,144,299 | |
Campbell Soup Co. | 300,300 | 14,804,790 | |
Dean Foods Co. | 606,600 | 6,769,656 | |
Fresh Del Monte Produce, Inc. | 235,200 | 11,454,240 | |
Ingredion, Inc. | 197,442 | 27,341,768 | |
Mondelez International, Inc. | 323,000 | 13,869,620 | |
Pilgrim's Pride Corp. (a)(b) | 920,300 | 33,747,401 | |
Post Holdings, Inc. (b) | 62,352 | 4,953,866 | |
The J.M. Smucker Co. | 153,000 | 17,850,510 | |
TreeHouse Foods, Inc. (b) | 35,258 | 1,622,573 | |
Tyson Foods, Inc. Class A | 404,600 | 33,278,350 | |
210,279,453 | |||
Household Products - 0.2% | |||
Energizer Holdings, Inc. (a) | 27,838 | 1,278,599 | |
Kimberly-Clark Corp. | 107,000 | 12,814,320 | |
Procter & Gamble Co. | 72,979 | 6,567,380 | |
20,660,299 | |||
Personal Products - 0.2% | |||
Coty, Inc. Class A (a) | 187,750 | 3,234,933 | |
Herbalife Ltd. (a)(b) | 42,400 | 2,973,936 | |
Unilever NV (NY Reg.) | 305,000 | 17,610,700 | |
23,819,569 | |||
TOTAL CONSUMER STAPLES | 583,812,336 | ||
ENERGY - 5.5% | |||
Energy Equipment & Services - 0.2% | |||
Halliburton Co. | 251,000 | 10,486,780 | |
National Oilwell Varco, Inc. | 202,100 | 6,780,455 | |
Parker Drilling Co. (b) | 1,082,600 | 1,061,056 | |
Rowan Companies PLC (b) | 530,900 | 7,682,123 | |
26,010,414 | |||
Oil, Gas & Consumable Fuels - 5.3% | |||
Andeavor | 77,725 | 8,197,656 | |
Apache Corp. | 77,480 | 3,240,988 | |
Chevron Corp. | 1,661,636 | 197,718,068 | |
ConocoPhillips Co. | 816,748 | 41,556,138 | |
Diamondback Energy, Inc. (b) | 80,209 | 8,767,646 | |
Energen Corp. (b) | 108,330 | 6,116,312 | |
EQT Corp. | 255,850 | 15,248,660 | |
Exxon Mobil Corp. | 1,089,636 | 90,755,782 | |
HollyFrontier Corp. | 78,500 | 3,491,680 | |
Kinder Morgan, Inc. | 293,492 | 5,056,867 | |
Marathon Petroleum Corp. | 906,365 | 56,765,640 | |
Occidental Petroleum Corp. | 67,827 | 4,781,804 | |
PBF Energy, Inc. Class A (a) | 381,714 | 12,356,082 | |
Phillips 66 Co. | 536,602 | 52,350,891 | |
Pioneer Natural Resources Co. | 73,600 | 11,484,544 | |
Royal Dutch Shell PLC Class A sponsored ADR | 200,493 | 12,855,611 | |
Valero Energy Corp. | 915,400 | 78,376,548 | |
609,120,917 | |||
TOTAL ENERGY | 635,131,331 | ||
FINANCIALS - 25.8% | |||
Banks - 12.7% | |||
Banco Bilbao Vizcaya Argentaria SA sponsored ADR (a) | 2,145,000 | 18,361,200 | |
Bank of America Corp. | 6,001,615 | 169,065,495 | |
BB&T Corp. | 702,000 | 34,692,840 | |
BOK Financial Corp. | 142,200 | 12,655,800 | |
CIT Group, Inc. | 308,000 | 15,350,720 | |
Citigroup, Inc. | 3,170,390 | 239,364,445 | |
Citizens Financial Group, Inc. | 422,984 | 17,215,449 | |
Comerica, Inc. | 71,300 | 5,940,003 | |
Commerce Bancshares, Inc. | 43,711 | 2,474,917 | |
Cullen/Frost Bankers, Inc. | 126,900 | 12,488,229 | |
East West Bancorp, Inc. | 223,436 | 13,750,251 | |
Fifth Third Bancorp | 1,521,424 | 46,418,646 | |
First Republic Bank | 74,125 | 7,081,903 | |
Investors Bancorp, Inc. | 135,200 | 1,929,304 | |
JPMorgan Chase & Co. | 3,322,405 | 347,257,771 | |
KeyCorp | 1,519,559 | 28,841,230 | |
Lloyds Banking Group PLC sponsored ADR (a) | 1,317,944 | 4,757,778 | |
M&T Bank Corp. | 136,739 | 23,102,054 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR (a) | 1,639,000 | 11,686,070 | |
PNC Financial Services Group, Inc. | 554,521 | 77,943,472 | |
Prosperity Bancshares, Inc. | 31,500 | 2,206,260 | |
Regions Financial Corp. | 3,962,948 | 65,745,307 | |
SunTrust Banks, Inc. | 985,139 | 60,714,117 | |
Synovus Financial Corp. | 55,600 | 2,759,428 | |
U.S. Bancorp | 894,901 | 49,353,790 | |
Wells Fargo & Co. | 3,392,644 | 191,582,607 | |
Western Alliance Bancorp. (b) | 34,400 | 2,001,392 | |
Zions Bancorporation | 92,000 | 4,558,600 | |
1,469,299,078 | |||
Capital Markets - 3.4% | |||
Ameriprise Financial, Inc. | 506,600 | 82,692,318 | |
Bank of New York Mellon Corp. | 472,400 | 25,859,176 | |
Brighthouse Financial, Inc. | 57,590 | 3,385,716 | |
Charles Schwab Corp. | 118,984 | 5,805,229 | |
E*TRADE Financial Corp. (b) | 124,700 | 6,003,058 | |
Franklin Resources, Inc. | 255,700 | 11,084,595 | |
Goldman Sachs Group, Inc. | 376,256 | 93,176,036 | |
Invesco Ltd. | 287,995 | 10,416,779 | |
Lazard Ltd. Class A | 56,200 | 2,767,850 | |
Morgan Stanley | 1,522,222 | 78,561,877 | |
Northern Trust Corp. | 142,365 | 13,920,450 | |
Raymond James Financial, Inc. | 58,600 | 5,174,380 | |
State Street Corp. | 371,200 | 35,393,920 | |
T. Rowe Price Group, Inc. | 213,067 | 21,928,856 | |
The NASDAQ OMX Group, Inc. | 62,700 | 4,963,332 | |
401,133,572 | |||
Consumer Finance - 2.1% | |||
Ally Financial, Inc. | 435,785 | 11,705,185 | |
American Express Co. | 408,200 | 39,885,222 | |
Capital One Financial Corp. | 1,045,780 | 96,211,760 | |
Credit Acceptance Corp. (a)(b) | 6,000 | 1,817,400 | |
Discover Financial Services | 838,592 | 59,204,595 | |
Navient Corp. | 530,400 | 6,688,344 | |
Nelnet, Inc. Class A | 227,900 | 12,208,603 | |
Santander Consumer U.S.A. Holdings, Inc. | 158,100 | 2,725,644 | |
Synchrony Financial | 515,434 | 18,498,926 | |
248,945,679 | |||
Diversified Financial Services - 0.4% | |||
Berkshire Hathaway, Inc. Class B (b) | 171,638 | 33,127,850 | |
Donnelley Financial Solutions, Inc. (b) | 80,075 | 1,633,530 | |
Leucadia National Corp. | 163,700 | 4,306,947 | |
Voya Financial, Inc. | 84,500 | 3,734,900 | |
42,803,227 | |||
Insurance - 6.8% | |||
AFLAC, Inc. | 606,100 | 53,118,604 | |
Alleghany Corp. (b) | 11,278 | 6,595,374 | |
Allstate Corp. | 687,462 | 70,574,849 | |
American Financial Group, Inc. | 203,500 | 21,379,710 | |
American International Group, Inc. | 861,842 | 51,676,046 | |
Assurant, Inc. | 201,600 | 20,335,392 | |
Assured Guaranty Ltd. | 56,300 | 2,044,253 | |
Athene Holding Ltd. | 30,654 | 1,473,538 | |
Axis Capital Holdings Ltd. | 262,500 | 13,752,375 | |
Chubb Ltd. | 416,787 | 63,397,471 | |
Cincinnati Financial Corp. | 71,100 | 5,313,303 | |
CNO Financial Group, Inc. | 95,880 | 2,417,135 | |
Everest Re Group Ltd. | 148,400 | 32,588,640 | |
Fairfax Financial Holdings Ltd. | 4,828 | 2,624,839 | |
FNF Group | 113,000 | 4,571,980 | |
Genworth Financial, Inc. Class A (b) | 504,800 | 1,711,272 | |
Hartford Financial Services Group, Inc. | 866,230 | 49,756,251 | |
Lincoln National Corp. | 628,400 | 48,104,020 | |
Loews Corp. | 384,899 | 19,352,722 | |
Markel Corp. (b) | 6,380 | 7,062,022 | |
Marsh & McLennan Companies, Inc. | 21,044 | 1,766,223 | |
MetLife, Inc. | 1,125,000 | 60,390,000 | |
Old Republic International Corp. | 119,800 | 2,512,206 | |
Principal Financial Group, Inc. | 131,000 | 9,273,490 | |
Prudential Financial, Inc. | 545,042 | 63,137,665 | |
Reinsurance Group of America, Inc. | 31,900 | 5,169,395 | |
RenaissanceRe Holdings Ltd. | 18,400 | 2,440,760 | |
The Travelers Companies, Inc. | 630,730 | 85,508,066 | |
Torchmark Corp. | 135,200 | 12,012,520 | |
Unum Group | 734,940 | 41,612,303 | |
W.R. Berkley Corp. | 55,200 | 3,815,424 | |
Willis Group Holdings PLC | 57,200 | 9,197,760 | |
XL Group Ltd. | 264,481 | 10,267,152 | |
784,952,760 | |||
Mortgage Real Estate Investment Trusts - 0.3% | |||
Annaly Capital Management, Inc. | 2,759,800 | 32,206,866 | |
Thrifts & Mortgage Finance - 0.1% | |||
Radian Group, Inc. | 888,500 | 18,205,365 | |
TOTAL FINANCIALS | 2,997,546,547 | ||
HEALTH CARE - 12.9% | |||
Biotechnology - 3.2% | |||
AbbVie, Inc. | 1,308,600 | 126,829,512 | |
Amgen, Inc. | 756,800 | 132,939,488 | |
Biogen, Inc. (b) | 95,800 | 30,863,886 | |
Gilead Sciences, Inc. | 1,043,139 | 78,005,934 | |
Shire PLC sponsored ADR | 34,988 | 5,204,465 | |
373,843,285 | |||
Health Care Equipment & Supplies - 0.5% | |||
Abbott Laboratories | 139,888 | 7,885,487 | |
Baxter International, Inc. | 223,804 | 14,665,876 | |
Danaher Corp. | 217,000 | 20,476,120 | |
Koninklijke Philips Electronics NV (depositary receipt) (NY Reg.) | 5,455 | 211,327 | |
Medtronic PLC | 220,000 | 18,068,600 | |
61,307,410 | |||
Health Care Providers & Services - 3.4% | |||
Acadia Healthcare Co., Inc. (a)(b) | 325,832 | 10,371,233 | |
Aetna, Inc. | 360,254 | 64,910,566 | |
Anthem, Inc. | 383,240 | 90,046,070 | |
Cardinal Health, Inc. | 230,400 | 13,637,376 | |
Cigna Corp. | 176,934 | 37,462,236 | |
DaVita HealthCare Partners, Inc. (b) | 88,200 | 5,385,492 | |
Express Scripts Holding Co. (b) | 434,600 | 28,327,228 | |
HCA Holdings, Inc. (b) | 586,736 | 49,872,560 | |
Laboratory Corp. of America Holdings (b) | 84,910 | 13,438,706 | |
LifePoint Hospitals, Inc. (b) | 179,600 | 8,584,880 | |
McKesson Corp. | 236,300 | 34,910,962 | |
Quest Diagnostics, Inc. | 163,800 | 16,127,748 | |
UnitedHealth Group, Inc. | 78,004 | 17,798,173 | |
390,873,230 | |||
Pharmaceuticals - 5.8% | |||
Allergan PLC | 27,126 | 4,715,313 | |
Bristol-Myers Squibb Co. | 119,400 | 7,544,886 | |
Johnson & Johnson | 2,251,785 | 313,741,204 | |
Mallinckrodt PLC (a)(b) | 89,508 | 1,953,065 | |
Merck & Co., Inc. | 1,290,713 | 71,337,708 | |
Novartis AG sponsored ADR | 179,000 | 15,358,200 | |
Perrigo Co. PLC | 61,000 | 5,319,810 | |
Pfizer, Inc. | 6,866,007 | 248,961,414 | |
Sanofi SA sponsored ADR | 157,285 | 7,178,487 | |
676,110,087 | |||
TOTAL HEALTH CARE | 1,502,134,012 | ||
INDUSTRIALS - 7.2% | |||
Aerospace & Defense - 2.2% | |||
General Dynamics Corp. | 260,652 | 53,996,668 | |
Huntington Ingalls Industries, Inc. | 21,000 | 5,075,070 | |
L3 Technologies, Inc. | 73,560 | 14,608,280 | |
Moog, Inc. Class A (b) | 142,200 | 11,960,442 | |
Orbital ATK, Inc. | 78,343 | 10,336,575 | |
Raytheon Co. | 20,682 | 3,953,364 | |
Spirit AeroSystems Holdings, Inc. Class A | 444,927 | 37,485,100 | |
Textron, Inc. | 121,700 | 6,779,907 | |
The Boeing Co. | 135,400 | 37,478,720 | |
Triumph Group, Inc. (a) | 270,000 | 8,343,000 | |
United Technologies Corp. | 511,393 | 62,108,680 | |
Vectrus, Inc. (b) | 37,733 | 1,216,135 | |
253,341,941 | |||
Air Freight & Logistics - 0.7% | |||
FedEx Corp. | 207,700 | 48,074,242 | |
United Parcel Service, Inc. Class B | 297,600 | 36,143,520 | |
84,217,762 | |||
Airlines - 1.1% | |||
American Airlines Group, Inc. | 223,800 | 11,299,662 | |
Delta Air Lines, Inc. | 1,141,200 | 60,392,304 | |
JetBlue Airways Corp. (b) | 138,900 | 2,982,183 | |
Southwest Airlines Co. | 386,361 | 23,440,522 | |
United Continental Holdings, Inc. (b) | 375,800 | 23,795,656 | |
121,910,327 | |||
Building Products - 0.2% | |||
Johnson Controls International PLC | 180,702 | 6,801,623 | |
Masco Corp. | 98,459 | 4,224,876 | |
Owens Corning | 50,700 | 4,479,345 | |
USG Corp. (a)(b) | 64,200 | 2,440,242 | |
17,946,086 | |||
Commercial Services & Supplies - 0.1% | |||
Deluxe Corp. | 166,100 | 11,809,710 | |
LSC Communications, Inc. | 80,075 | 1,310,027 | |
R.R. Donnelley & Sons Co. | 213,533 | 2,005,075 | |
15,124,812 | |||
Construction & Engineering - 0.1% | |||
Jacobs Engineering Group, Inc. | 54,800 | 3,596,524 | |
Tutor Perini Corp. (b) | 280,800 | 7,076,160 | |
10,672,684 | |||
Electrical Equipment - 0.2% | |||
Eaton Corp. PLC | 325,961 | 25,353,247 | |
Hubbell, Inc. Class B | 21,800 | 2,742,222 | |
28,095,469 | |||
Industrial Conglomerates - 0.6% | |||
Carlisle Companies, Inc. | 85,000 | 9,772,450 | |
Honeywell International, Inc. | 398,078 | 62,084,245 | |
71,856,695 | |||
Machinery - 1.1% | |||
AGCO Corp. | 209,200 | 14,807,176 | |
Allison Transmission Holdings, Inc. | 61,400 | 2,519,856 | |
Cummins, Inc. | 119,226 | 19,958,432 | |
Dover Corp. | 55,551 | 5,427,888 | |
Illinois Tool Works, Inc. | 25,912 | 4,385,606 | |
Ingersoll-Rand PLC | 108,200 | 9,480,484 | |
Middleby Corp. (b) | 16,700 | 2,129,584 | |
Oshkosh Corp. | 228,000 | 20,529,120 | |
PACCAR, Inc. | 159,600 | 11,224,668 | |
Pentair PLC | 69,500 | 4,945,620 | |
Snap-On, Inc. (a) | 26,300 | 4,456,009 | |
Timken Co. | 169,200 | 8,443,080 | |
Trinity Industries, Inc. | 538,204 | 19,186,973 | |
127,494,496 | |||
Professional Services - 0.1% | |||
Manpower, Inc. | 30,800 | 3,970,120 | |
Robert Half International, Inc. | 57,800 | 3,296,912 | |
7,267,032 | |||
Road & Rail - 0.6% | |||
AMERCO | 9,000 | 3,336,030 | |
Norfolk Southern Corp. | 84,900 | 11,769,687 | |
Ryder System, Inc. | 184,000 | 15,176,320 | |
Union Pacific Corp. | 340,900 | 43,123,850 | |
73,405,887 | |||
Trading Companies & Distributors - 0.2% | |||
Aircastle Ltd. | 570,900 | 13,987,050 | |
United Rentals, Inc. (b) | 38,300 | 6,108,084 | |
20,095,134 | |||
TOTAL INDUSTRIALS | 831,428,325 | ||
INFORMATION TECHNOLOGY - 13.1% | |||
Communications Equipment - 1.9% | |||
Arris International PLC (b) | 43,087 | 1,291,317 | |
Cisco Systems, Inc. | 5,351,148 | 199,597,820 | |
CommScope Holding Co., Inc. (b) | 114,884 | 4,134,675 | |
Juniper Networks, Inc. | 173,500 | 4,816,360 | |
Motorola Solutions, Inc. | 74,300 | 6,992,373 | |
216,832,545 | |||
Electronic Equipment & Components - 1.7% | |||
Arrow Electronics, Inc. (b) | 340,718 | 27,506,164 | |
CDW Corp. | 72,100 | 5,047,721 | |
Corning, Inc. | 1,372,600 | 44,458,514 | |
Dell Technologies, Inc. (b) | 191,031 | 14,946,265 | |
Flextronics International Ltd. (b) | 1,269,976 | 22,948,466 | |
Jabil, Inc. | 77,000 | 2,221,450 | |
SYNNEX Corp. | 12,000 | 1,634,400 | |
TE Connectivity Ltd. | 525,252 | 49,604,799 | |
Tech Data Corp. (b) | 166,200 | 16,071,540 | |
Vishay Intertechnology, Inc. (a) | 590,800 | 12,938,520 | |
197,377,839 | |||
Internet Software & Services - 0.1% | |||
Alphabet, Inc. Class A (b) | 7,495 | 7,766,094 | |
eBay, Inc. (b) | 176,004 | 6,102,059 | |
13,868,153 | |||
IT Services - 1.4% | |||
Alliance Data Systems Corp. | 18,100 | 4,330,787 | |
Booz Allen Hamilton Holding Corp. Class A | 42,000 | 1,624,980 | |
CSG Systems International, Inc. | 185,800 | 8,526,362 | |
CSRA, Inc. | 53,300 | 1,541,969 | |
DXC Technology Co. | 227,852 | 21,905,691 | |
IBM Corp. | 595,200 | 91,642,944 | |
PayPal Holdings, Inc. (b) | 284,611 | 21,553,591 | |
The Western Union Co. | 211,800 | 4,170,342 | |
155,296,666 | |||
Semiconductors & Semiconductor Equipment - 3.0% | |||
Applied Materials, Inc. | 975,200 | 51,461,304 | |
Cirrus Logic, Inc. (b) | 198,579 | 10,969,504 | |
Intel Corp. | 4,158,000 | 186,444,720 | |
KLA-Tencor Corp. | 117,130 | 11,975,371 | |
Lam Research Corp. | 174,500 | 33,561,585 | |
Marvell Technology Group Ltd. | 227,200 | 5,075,648 | |
Microchip Technology, Inc. | 234,000 | 20,355,660 | |
Qorvo, Inc. (b) | 57,800 | 4,426,324 | |
Qualcomm, Inc. | 60,765 | 4,031,150 | |
Skyworks Solutions, Inc. | 81,500 | 8,536,310 | |
Teradyne, Inc. | 64,500 | 2,610,315 | |
Texas Instruments, Inc. | 127,696 | 12,423,544 | |
351,871,435 | |||
Software - 1.8% | |||
Adobe Systems, Inc. (b) | 163,000 | 29,579,610 | |
ANSYS, Inc. (b) | 120,000 | 17,782,800 | |
CA Technologies, Inc. | 181,300 | 5,995,591 | |
Micro Focus International PLC sponsored ADR (b) | 43,883 | 1,470,081 | |
Microsoft Corp. | 484,794 | 40,805,111 | |
Oracle Corp. | 2,233,086 | 109,555,199 | |
205,188,392 | |||
Technology Hardware, Storage & Peripherals - 3.2% | |||
Apple, Inc. | 1,263,359 | 217,108,244 | |
Hewlett Packard Enterprise Co. | 1,448,720 | 20,209,644 | |
HP, Inc. | 2,562,529 | 54,966,247 | |
NCR Corp. (b) | 411,900 | 12,888,351 | |
NetApp, Inc. | 377,485 | 21,331,677 | |
Seagate Technology LLC | 502,900 | 19,391,824 | |
Western Digital Corp. | 177,300 | 13,981,878 | |
Xerox Corp. | 480,325 | 14,246,440 | |
374,124,305 | |||
TOTAL INFORMATION TECHNOLOGY | 1,514,559,335 | ||
MATERIALS - 3.6% | |||
Chemicals - 2.2% | |||
AdvanSix, Inc. (b) | 44,681 | 1,923,517 | |
Ashland Global Holdings, Inc. | 25,200 | 1,864,296 | |
Cabot Corp. | 272,700 | 16,700,148 | |
Celanese Corp. Class A | 323,255 | 34,665,866 | |
CF Industries Holdings, Inc. | 105,500 | 3,953,085 | |
DowDuPont, Inc. | 392,726 | 28,260,563 | |
Eastman Chemical Co. | 409,971 | 37,869,021 | |
FMC Corp. | 39,857 | 3,762,501 | |
Huntsman Corp. | 744,900 | 23,807,004 | |
LyondellBasell Industries NV Class A | 598,500 | 62,662,950 | |
Methanex Corp. | 99,045 | 5,278,715 | |
PPG Industries, Inc. | 267,200 | 31,222,320 | |
RPM International, Inc. | 55,200 | 2,923,944 | |
Westlake Chemical Corp. | 58,600 | 5,738,698 | |
260,632,628 | |||
Construction Materials - 0.2% | |||
CEMEX S.A.B. de CV sponsored ADR | 569,368 | 4,321,503 | |
Martin Marietta Materials, Inc. | 107,564 | 22,415,262 | |
26,736,765 | |||
Containers & Packaging - 0.7% | |||
Ball Corp. | 191,375 | 7,637,776 | |
Crown Holdings, Inc. (b) | 62,300 | 3,721,179 | |
Graphic Packaging Holding Co. | 214,238 | 3,279,984 | |
International Paper Co. | 492,100 | 27,857,781 | |
Packaging Corp. of America | 157,900 | 18,726,940 | |
Sonoco Products Co. | 45,100 | 2,413,301 | |
WestRock Co. | 225,051 | 14,045,433 | |
77,682,394 | |||
Metals & Mining - 0.3% | |||
Barrick Gold Corp. | 277,005 | 3,826,089 | |
Newmont Mining Corp. | 161,800 | 5,984,982 | |
Nucor Corp. | 192,759 | 11,083,643 | |
Reliance Steel & Aluminum Co. | 29,300 | 2,303,273 | |
Steel Dynamics, Inc. | 299,562 | 11,533,137 | |
34,731,124 | |||
Paper & Forest Products - 0.2% | |||
Domtar Corp. | 211,100 | 10,179,242 | |
Kapstone Paper & Packaging Corp. | 103,878 | 2,309,208 | |
Schweitzer-Mauduit International, Inc. | 199,000 | 9,008,730 | |
21,497,180 | |||
TOTAL MATERIALS | 421,280,091 | ||
REAL ESTATE - 1.2% | |||
Equity Real Estate Investment Trusts (REITs) - 1.1% | |||
American Homes 4 Rent Class A | 195,359 | 4,196,311 | |
Brixmor Property Group, Inc. | 251,500 | 4,544,605 | |
EastGroup Properties, Inc. | 37,308 | 3,509,937 | |
Hospitality Properties Trust (SBI) | 690,200 | 20,699,098 | |
Kimco Realty Corp. | 223,333 | 4,136,127 | |
Lexington Corporate Properties Trust | 1,090,900 | 11,410,814 | |
Mack-Cali Realty Corp. | 410,100 | 9,075,513 | |
Medical Properties Trust, Inc. | 759,300 | 10,394,817 | |
Mid-America Apartment Communities, Inc. | 43,589 | 4,465,257 | |
Omega Healthcare Investors, Inc. | 411,800 | 11,056,830 | |
Outfront Media, Inc. | 151,696 | 3,558,788 | |
Park Hotels & Resorts, Inc. | 43,916 | 1,282,347 | |
Piedmont Office Realty Trust, Inc. Class A | 655,900 | 13,078,646 | |
Public Storage | 20,989 | 4,473,176 | |
Rayonier, Inc. | 161,480 | 5,094,694 | |
VEREIT, Inc. | 1,689,600 | 13,178,880 | |
Weyerhaeuser Co. | 71,530 | 2,530,731 | |
126,686,571 | |||
Real Estate Management & Development - 0.1% | |||
CBRE Group, Inc. (b) | 103,147 | 4,472,454 | |
Jones Lang LaSalle, Inc. | 20,700 | 3,156,543 | |
7,628,997 | |||
TOTAL REAL ESTATE | 134,315,568 | ||
TELECOMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 2.0% | |||
AT&T, Inc. | 2,004,400 | 72,920,072 | |
Verizon Communications, Inc. | 3,162,235 | 160,926,139 | |
233,846,211 | |||
UTILITIES - 3.0% | |||
Electric Utilities - 2.0% | |||
American Electric Power Co., Inc. | 318,983 | 24,762,650 | |
Duke Energy Corp. | 306,518 | 27,335,275 | |
Edison International | 209,331 | 17,012,330 | |
Entergy Corp. | 496,100 | 42,902,728 | |
Eversource Energy | 205,197 | 13,307,025 | |
Exelon Corp. | 1,021,300 | 42,598,423 | |
FirstEnergy Corp. | 924,700 | 31,569,258 | |
NextEra Energy, Inc. | 45,770 | 7,233,491 | |
OGE Energy Corp. | 90,500 | 3,236,280 | |
Pinnacle West Capital Corp. | 50,700 | 4,654,767 | |
Westar Energy, Inc. | 61,500 | 3,518,415 | |
Xcel Energy, Inc. | 356,173 | 18,382,089 | |
236,512,731 | |||
Gas Utilities - 0.2% | |||
National Fuel Gas Co. | 290,900 | 17,104,920 | |
UGI Corp. | 10,590 | 519,016 | |
17,623,936 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 935,500 | 9,897,590 | |
Multi-Utilities - 0.7% | |||
Ameren Corp. | 110,400 | 7,061,184 | |
DTE Energy Co. | 81,500 | 9,418,955 | |
Public Service Enterprise Group, Inc. | 1,265,700 | 67,158,042 | |
Sempra Energy | 16,163 | 1,955,561 | |
85,593,742 | |||
TOTAL UTILITIES | 349,627,999 | ||
TOTAL COMMON STOCKS | |||
(Cost $6,793,740,827) | 10,246,557,832 | ||
Equity Funds - 10.5% | |||
Large Blend Funds - 1.5% | |||
Fidelity SAI U.S. Minimum Volatility Index Fund (c) | 13,379,941 | 173,939,233 | |
Large Value Funds - 4.9% | |||
Invesco Diversified Dividend Fund - Class A | 27,452,114 | 565,788,066 | |
Mid-Cap Value Funds - 2.5% | |||
Fidelity Low-Priced Stock Fund (c) | 5,293,415 | 287,326,544 | |
Sector Funds - 1.6% | |||
Fidelity Energy Portfolio (c) | 4,436,677 | 187,893,270 | |
TOTAL EQUITY FUNDS | |||
(Cost $796,164,107) | 1,214,947,113 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.09% 12/14/17 to 1/18/18 (d) | |||
(Cost $1,995,352) | $1,997,000 | 1,995,346 | |
Shares | Value | ||
Money Market Funds - 2.3% | |||
Fidelity Securities Lending Cash Central Fund 1.13% (e)(f) | 138,654,477 | 138,668,343 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.72% (g) | 126,901,871 | 126,901,871 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $265,570,214) | 265,570,214 | ||
TOTAL INVESTMENT IN SECURITIES - 101.1% | |||
(Cost $7,857,470,500) | 11,729,070,505 | ||
NET OTHER ASSETS (LIABILITIES) - (1.1)% | (125,717,613) | ||
NET ASSETS - 100% | $11,603,352,892 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Value Index Contracts (United States) | 638 | Dec. 2017 | $38,528,820 | $2,018,026 | $2,018,026 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(c) Affiliated Fund
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,320,101.
(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(f) Investment made with cash collateral received from securities on loan.
(g) The rate quoted is the annualized seven-day yield of the fund at period end.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $346,690 |
Total | $346,690 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Energy Portfolio | $175,381,841 | $-- | $-- | $-- | $-- | $12,511,429 | $187,893,270 |
Fidelity Low-Priced Stock Fund | 259,751,017 | 20,057,406 | -- | 2,059,182 | -- | 7,518,121 | 287,326,544 |
Fidelity SAI U.S. Minimum Volatility Index Fund | 160,693,092 | -- | -- | -- | -- | 13,246,141 | 173,939,233 |
Total | $595,825,950 | $20,057,406 | $-- | $2,059,182 | $-- | $33,275,691 | $649,159,047 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $1,042,876,077 | $1,042,876,077 | $-- | $-- |
Consumer Staples | 583,812,336 | 583,812,336 | -- | -- |
Energy | 635,131,331 | 635,131,331 | -- | -- |
Financials | 2,997,546,547 | 2,997,546,547 | -- | -- |
Health Care | 1,502,134,012 | 1,502,134,012 | -- | -- |
Industrials | 831,428,325 | 831,428,325 | -- | -- |
Information Technology | 1,514,559,335 | 1,514,559,335 | -- | -- |
Materials | 421,280,091 | 421,280,091 | -- | -- |
Real Estate | 134,315,568 | 134,315,568 | -- | -- |
Telecommunication Services | 233,846,211 | 233,846,211 | -- | -- |
Utilities | 349,627,999 | 349,627,999 | -- | -- |
Equity Funds | 1,214,947,113 | 1,214,947,113 | -- | -- |
Other Short-Term Investments | 1,995,346 | -- | 1,995,346 | -- |
Money Market Funds | 265,570,214 | 265,570,214 | -- | -- |
Total Investments in Securities: | $11,729,070,505 | $11,727,075,159 | $1,995,346 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $2,018,026 | $2,018,026 | $-- | $-- |
Total Assets | $2,018,026 | $2,018,026 | $-- | $-- |
Total Derivative Instruments: | $2,018,026 | $2,018,026 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $2,018,026 | $0 |
Total Equity Risk | 2,018,026 | 0 |
Total Value of Derivatives | $2,018,026 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $135,531,592) — See accompanying schedule: Unaffiliated issuers (cost $7,238,695,860) | $10,941,243,115 | |
Fidelity Central Funds (cost $138,668,343) | 138,668,343 | |
Affiliated issuers (cost $480,106,297) | 649,159,047 | |
Total Investment in Securities (cost $7,857,470,500) | $11,729,070,505 | |
Receivable for investments sold | 145,721,079 | |
Receivable for fund shares sold | 3,660,057 | |
Dividends receivable | 26,677,556 | |
Interest receivable | 108,056 | |
Distributions receivable from Fidelity Central Funds | 78,473 | |
Receivable for daily variation margin on futures contracts | 263,477 | |
Prepaid expenses | 22,236 | |
Other receivables | 226,511 | |
Total assets | 11,905,827,950 | |
Liabilities | ||
Payable for investments purchased | $154,000,332 | |
Payable for fund shares redeemed | 6,284,811 | |
Accrued management fee | 1,805,050 | |
Other affiliated payables | 1,444,347 | |
Other payables and accrued expenses | 268,615 | |
Collateral on securities loaned | 138,671,903 | |
Total liabilities | 302,475,058 | |
Net Assets | $11,603,352,892 | |
Net Assets consist of: | ||
Paid in capital | $7,367,608,086 | |
Undistributed net investment income | 100,243,288 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 261,883,487 | |
Net unrealized appreciation (depreciation) on investments | 3,873,618,031 | |
Net Assets, for 559,491,155 shares outstanding | $11,603,352,892 | |
Net Asset Value, offering price and redemption price per share ($11,603,352,892 ÷ 559,491,155 shares) | $20.74 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $117,309,785 | |
Affiliated issuers | 2,059,182 | |
Interest | 945,774 | |
Income from Fidelity Central Funds | 346,690 | |
Total income | 120,661,431 | |
Expenses | ||
Management fee | $24,829,316 | |
Transfer agent fees | 7,878,214 | |
Accounting and security lending fees | 676,339 | |
Custodian fees and expenses | 63,643 | |
Independent trustees' fees and expenses | 72,008 | |
Registration fees | 59,954 | |
Audit | 33,817 | |
Legal | 28,434 | |
Miscellaneous | 57,850 | |
Total expenses before reductions | 33,699,575 | |
Expense reductions | (13,896,266) | 19,803,309 |
Net investment income (loss) | 100,858,122 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 260,554,883 | |
Fidelity Central Funds | (3,129) | |
Foreign currency transactions | (17) | |
Futures contracts | 682,856 | |
Realized gain distributions from underlying funds: | ||
Affiliated issuers | 17,998,225 | |
Total net realized gain (loss) | 279,232,818 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 927,832,173 | |
Affiliated issuers | 33,275,691 | |
Futures contracts | 2,815,336 | |
Total change in net unrealized appreciation (depreciation) | 963,923,200 | |
Net gain (loss) | 1,243,156,018 | |
Net increase (decrease) in net assets resulting from operations | $1,344,014,140 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $100,858,122 | $213,164,362 |
Net realized gain (loss) | 279,232,818 | 625,169,346 |
Change in net unrealized appreciation (depreciation) | 963,923,200 | 714,973,100 |
Net increase (decrease) in net assets resulting from operations | 1,344,014,140 | 1,553,306,808 |
Distributions to shareholders from net investment income | (90,851,366) | (197,242,245) |
Distributions to shareholders from net realized gain | (402,421,392) | (426,212,584) |
Total distributions | (493,272,758) | (623,454,829) |
Share transactions | ||
Proceeds from sales of shares | 528,264,895 | 951,857,789 |
Reinvestment of distributions | 491,569,314 | 621,702,046 |
Cost of shares redeemed | (1,020,718,530) | (2,810,534,542) |
Net increase (decrease) in net assets resulting from share transactions | (884,321) | (1,236,974,707) |
Total increase (decrease) in net assets | 849,857,061 | (307,122,728) |
Net Assets | ||
Beginning of period | 10,753,495,831 | 11,060,618,559 |
End of period | $11,603,352,892 | $10,753,495,831 |
Other Information | ||
Undistributed net investment income end of period | $100,243,288 | $90,236,532 |
Shares | ||
Sold | 27,064,294 | 51,329,536 |
Issued in reinvestment of distributions | 26,077,947 | 34,489,325 |
Redeemed | (52,011,134) | (153,829,784) |
Net increase (decrease) | 1,131,107 | (68,010,923) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $19.26 | $17.66 | $19.26 | $19.14 | $16.92 | $13.54 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .18 | .37 | .34 | .31 | .26 | .29 |
Net realized and unrealized gain (loss) | 2.19 | 2.29 | (.73) | 1.59 | 3.02 | 3.73 |
Total from investment operations | 2.37 | 2.66 | (.39) | 1.90 | 3.28 | 4.02 |
Distributions from net investment income | (.16) | (.34) | (.31) | (.27) | (.25) | (.26) |
Distributions from net realized gain | (.72) | (.72) | (.90) | (1.51) | (.81) | (.38) |
Total distributions | (.89)B | (1.06) | (1.21) | (1.78) | (1.06) | (.64) |
Net asset value, end of period | $20.74 | $19.26 | $17.66 | $19.26 | $19.14 | $16.92 |
Total ReturnC,D | 12.74% | 15.56% | (1.97)% | 10.23% | 20.07% | 30.65% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | .61%G | .60% | .58% | .56% | .56% | .58% |
Expenses net of fee waivers, if any | .36%G | .35% | .33% | .31% | .31% | .33% |
Expenses net of all reductions | .36%G | .35% | .33% | .31% | .31% | .33% |
Net investment income (loss) | 1.81%G | 1.99% | 1.94% | 1.63% | 1.45% | 1.90% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $11,603,353 | $10,753,496 | $11,060,619 | $13,270,015 | $12,849,529 | $9,527,041 |
Portfolio turnover rateH | 20%G | 32% | 39% | 31% | 42% | 48% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $.89 per share is comprised of distributions from net investment income of $.163 and distributions from net realized gain of $.722 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Value Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Income and capital gain distributions from Underlying 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, deferred trustees compensation and losses deferred due to wash sales.
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 | $3,979,689,902 |
Gross unrealized depreciation | (119,325,835) |
Net unrealized appreciation (depreciation) | $3,860,364,067 |
Tax cost | $7,870,724,464 |
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $1,109,766,320 and $1,374,569,881, respectively.
Prior Fiscal Year Exchanges In-Kind. During the prior period, the Fund redeemed 19,227,898 shares of JPMorgan Value Advantage L in exchange for cash and investments with a value of $644,711,422. The Fund had a net realized gain of $184,795,386 on the Fund's redemptions of JPMorgan Value Advantage L shares. The Fund recognized gains on the exchanges for federal income tax purposes.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .70% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .45% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management and Boston Partners Global Investors, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser) and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .14% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $66 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $15,503 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $346,690.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2019. During the period, this waiver reduced the Fund's management fee by $13,896,266.
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 19% of the total outstanding shares of Fidelity SAI U.S. Minimum Volatility Index Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Actual | .36% | $1,000.00 | $1,127.40 | $1.92 |
Hypothetical-C | $1,000.00 | $1,023.26 | $1.83 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Value Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management, LLC, FIAM LLC, and LSV Asset Management (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and itsaffiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Value Fund
Strategic Advisers Value Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement with LSV Asset Management (LSV) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to LSV, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the existing sub-advisory agreement, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered the sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding the sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to LSV under the Amended Sub-Advisory Agreement, on behalf of the fund. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. The Board also considered that the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive under the Amended Sub-Advisory Agreement and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV as assets allocated to the sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. 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 Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SUF-SANN-0118
1.912899.107
Strategic Advisers® Core Fund Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
JPMorgan U.S. Large Cap Core Plus Fund Select Class(a) | 7.9 | 8.7 |
Fidelity SAI U.S. Quality Index Fund | 6.5 | 7.1 |
Apple, Inc. | 2.6 | 2.5 |
Microsoft Corp. | 2.5 | 2.1 |
Alphabet, Inc. Class C | 1.9 | 2.0 |
Citigroup, Inc.(b) | 1.7 | 1.3 |
JPMorgan Chase & Co.(b) | 1.5 | 1.3 |
Bank of America Corp.(b) | 1.4 | 1.2 |
Facebook, Inc. Class A | 1.4 | 1.3 |
PIMCO StocksPLUS Absolute Return Fund Institutional Class | 1.3 | 1.2 |
28.7 |
(a) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.
(b) Security or a portion of the security is pledged as collateral for call options written.
Top Five Market Sectors as of November 30, 2017
(Stock only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 18.4 | 18.7 |
Financials | 13.4 | 12.0 |
Health Care | 10.1 | 10.7 |
Consumer Discretionary | 9.9 | 10.4 |
Industrials | 8.1 | 8.8 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 80.2% | |
Large Blend Funds | 9.9% | |
Large Growth Funds | 7.7% | |
Sector Funds | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.8% |
As of May 31, 2017 | ||
Common Stocks | 79.7% | |
Large Blend Funds | 11.0% | |
Large Growth Funds | 7.3% | |
Sector Funds | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.6% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 80.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 9.9% | |||
Auto Components - 0.3% | |||
BorgWarner, Inc. | 126,700 | $7,054,656 | |
Cooper Tire & Rubber Co. | 55,800 | 2,050,650 | |
Delphi Automotive PLC | 340,893 | 35,681,270 | |
Gentex Corp. | 34,800 | 712,704 | |
Lear Corp. | 54,300 | 9,822,327 | |
Magna International, Inc. Class A (sub. vtg.) | 96,400 | 5,407,486 | |
The Goodyear Tire & Rubber Co. | 244,300 | 7,907,991 | |
68,637,084 | |||
Automobiles - 0.4% | |||
Ford Motor Co. | 2,513,741 | 31,472,037 | |
General Motors Co. | 513,000 | 22,105,170 | |
Harley-Davidson, Inc. (a) | 84,900 | 4,261,980 | |
Tesla, Inc. (a)(b) | 85,900 | 26,530,215 | |
Thor Industries, Inc. | 8,955 | 1,375,040 | |
85,744,442 | |||
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 25,100 | 657,118 | |
New Oriental Education & Technology Group, Inc. sponsored ADR | 33,150 | 2,813,109 | |
3,470,227 | |||
Hotels, Restaurants & Leisure - 1.7% | |||
ARAMARK Holdings Corp. | 106,100 | 4,519,860 | |
Brinker International, Inc. (a) | 61,900 | 2,273,587 | |
Carnival Corp. | 400,030 | 26,257,969 | |
Domino's Pizza, Inc. | 1,285 | 239,216 | |
Hilton Worldwide Holdings, Inc. | 245,222 | 19,019,418 | |
Hyatt Hotels Corp. Class A (b) | 4,700 | 340,092 | |
Marriott International, Inc. Class A | 252,520 | 32,070,040 | |
McDonald's Corp. | 977,104 | 168,032,575 | |
MGM Mirage, Inc. | 980,154 | 33,442,854 | |
Norwegian Cruise Line Holdings Ltd. (b) | 358,575 | 19,420,422 | |
Restaurant Brands International, Inc. | 316,030 | 19,628,325 | |
Royal Caribbean Cruises Ltd. | 72,400 | 8,968,912 | |
Starbucks Corp. | 973,751 | 56,302,283 | |
Wyndham Worldwide Corp. | 76,300 | 8,575,357 | |
Yum! Brands, Inc. | 335,700 | 28,020,879 | |
427,111,789 | |||
Household Durables - 0.5% | |||
CalAtlantic Group, Inc. | 43,000 | 2,409,720 | |
D.R. Horton, Inc. | 10,900 | 555,900 | |
Garmin Ltd. | 23,000 | 1,427,840 | |
Leggett & Platt, Inc. | 15,200 | 733,248 | |
Lennar Corp.: | |||
Class A | 733,451 | 46,046,054 | |
Class B | 3,570 | 183,212 | |
Mohawk Industries, Inc. (b) | 92,600 | 26,169,686 | |
Newell Brands, Inc. | 464,600 | 14,388,662 | |
NVR, Inc. (b) | 450 | 1,563,750 | |
PulteGroup, Inc. | 38,200 | 1,303,766 | |
Toll Brothers, Inc. | 229,841 | 11,567,898 | |
Whirlpool Corp. | 83,490 | 14,073,909 | |
120,423,645 | |||
Internet & Direct Marketing Retail - 1.7% | |||
Amazon.com, Inc. (b) | 232,010 | 273,017,768 | |
Expedia, Inc. | 88,148 | 10,798,130 | |
JD.com, Inc. sponsored ADR (b) | 7,400 | 277,130 | |
Netflix, Inc. (b) | 155,600 | 29,187,448 | |
Priceline Group, Inc. (b) | 56,320 | 97,980,467 | |
411,260,943 | |||
Leisure Products - 0.0% | |||
Brunswick Corp. | 10,800 | 597,780 | |
Hasbro, Inc. | 14,300 | 1,330,186 | |
1,927,966 | |||
Media - 2.6% | |||
CBS Corp. Class B | 585,004 | 32,795,324 | |
Charter Communications, Inc. Class A (b) | 144,830 | 47,244,994 | |
China Literature Ltd. (b)(c) | 495 | 5,704 | |
Comcast Corp. Class A | 6,536,157 | 245,367,334 | |
DISH Network Corp. Class A (b) | 290,398 | 14,708,659 | |
Gannett Co., Inc. | 32,450 | 371,877 | |
News Corp. Class A | 46,000 | 743,360 | |
Tegna, Inc. | 64,900 | 861,872 | |
The Madison Square Garden Co. (b) | 2,300 | 498,295 | |
The Walt Disney Co. | 1,241,773 | 130,162,646 | |
Time Warner, Inc. | 676,529 | 61,909,169 | |
Twenty-First Century Fox, Inc. Class A | 3,271,563 | 104,493,722 | |
Viacom, Inc. Class B (non-vtg.) | 150,500 | 4,262,160 | |
643,425,116 | |||
Multiline Retail - 0.3% | |||
Big Lots, Inc. (a) | 13,500 | 797,850 | |
Dillard's, Inc. Class A (a) | 19,700 | 1,183,970 | |
Dollar General Corp. | 182,886 | 16,108,599 | |
Dollar Tree, Inc. (b) | 187,487 | 19,266,164 | |
Kohl's Corp. | 111,900 | 5,367,843 | |
Macy's, Inc. | 107,700 | 2,563,260 | |
Target Corp. | 523,856 | 31,378,974 | |
76,666,660 | |||
Specialty Retail - 2.0% | |||
American Eagle Outfitters, Inc. | 164,700 | 2,648,376 | |
AutoNation, Inc. (a)(b) | 8,100 | 448,497 | |
AutoZone, Inc. (b) | 28,225 | 19,383,801 | |
Best Buy Co., Inc. | 124,600 | 7,427,406 | |
CarMax, Inc. (b) | 22,400 | 1,543,584 | |
Cars.com, Inc. (a) | 9,933 | 240,776 | |
Gap, Inc. | 142,400 | 4,600,944 | |
Home Depot, Inc. | 1,072,589 | 192,872,954 | |
L Brands, Inc. | 92,130 | 5,165,729 | |
Lowe's Companies, Inc. (d) | 952,710 | 79,427,433 | |
O'Reilly Automotive, Inc. (b) | 242,683 | 57,324,151 | |
Office Depot, Inc. | 40,900 | 133,743 | |
Penske Automotive Group, Inc. | 77,600 | 3,752,736 | |
Ross Stores, Inc. | 494,753 | 37,616,071 | |
TJX Companies, Inc. | 811,577 | 61,314,642 | |
Ulta Beauty, Inc. | 47,300 | 10,486,883 | |
Williams-Sonoma, Inc. (a) | 10,400 | 532,064 | |
484,919,790 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
Carter's, Inc. | 5,500 | 595,760 | |
Hanesbrands, Inc. (a) | 42,000 | 877,380 | |
lululemon athletica, Inc. (b) | 134,189 | 8,985,295 | |
Michael Kors Holdings Ltd. (b) | 13,100 | 765,564 | |
NIKE, Inc. Class B | 1,157,071 | 69,910,230 | |
PVH Corp. | 12,415 | 1,670,438 | |
Ralph Lauren Corp. | 6,400 | 608,960 | |
Tapestry, Inc. | 326,500 | 13,611,785 | |
97,025,412 | |||
TOTAL CONSUMER DISCRETIONARY | 2,420,613,074 | ||
CONSUMER STAPLES - 5.6% | |||
Beverages - 1.7% | |||
Coca-Cola European Partners PLC | 467,857 | 18,241,744 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 345,994 | 75,284,834 | |
Dr. Pepper Snapple Group, Inc. | 381,200 | 34,380,428 | |
Molson Coors Brewing Co. Class B | 471,672 | 36,837,583 | |
Monster Beverage Corp. (b) | 362,300 | 22,705,341 | |
PepsiCo, Inc. | 1,654,284 | 192,757,172 | |
The Coca-Cola Co. | 710,936 | 32,539,541 | |
412,746,643 | |||
Food & Staples Retailing - 0.8% | |||
Costco Wholesale Corp. | 141,200 | 26,041,516 | |
CVS Health Corp. | 524,747 | 40,195,620 | |
Kroger Co. | 790,650 | 20,446,209 | |
Wal-Mart Stores, Inc. | 1,018,809 | 99,058,799 | |
Walgreens Boots Alliance, Inc. | 309,010 | 22,483,568 | |
208,225,712 | |||
Food Products - 1.3% | |||
Archer Daniels Midland Co. | 124,400 | 4,961,072 | |
Bunge Ltd. | 147,900 | 9,895,989 | |
Campbell Soup Co. | 78,000 | 3,845,400 | |
Fresh Del Monte Produce, Inc. | 57,000 | 2,775,900 | |
General Mills, Inc. | 303,172 | 17,147,408 | |
Hormel Foods Corp. (a) | 137,400 | 5,008,230 | |
Ingredion, Inc. | 54,450 | 7,540,236 | |
McCormick & Co., Inc. (non-vtg.) | 93,000 | 9,502,740 | |
Mondelez International, Inc. | 2,340,730 | 100,510,946 | |
Pilgrim's Pride Corp. (a)(b) | 210,100 | 7,704,367 | |
Pinnacle Foods, Inc. | 4,145 | 241,363 | |
Post Holdings, Inc. (b) | 134,900 | 10,717,805 | |
Sanderson Farms, Inc. (a) | 34,000 | 5,769,460 | |
The Hershey Co. | 147,220 | 16,331,115 | |
The Kraft Heinz Co. | 1,135,945 | 92,431,845 | |
Tyson Foods, Inc. Class A | 446,870 | 36,755,058 | |
331,138,934 | |||
Household Products - 0.6% | |||
Church & Dwight Co., Inc. | 160,200 | 7,543,818 | |
Clorox Co. | 154,318 | 21,494,954 | |
Colgate-Palmolive Co. | 701,149 | 50,798,245 | |
Kimberly-Clark Corp. | 129,800 | 15,544,848 | |
Procter & Gamble Co. | 462,821 | 41,649,262 | |
Reckitt Benckiser Group PLC | 23,700 | 2,080,326 | |
139,111,453 | |||
Personal Products - 0.4% | |||
Coty, Inc. Class A (a) | 1,645,444 | 28,351,000 | |
Estee Lauder Companies, Inc. Class A | 431,660 | 53,884,118 | |
Herbalife Ltd. (b) | 197,200 | 13,831,608 | |
Unilever NV (NY Reg.) | 110,300 | 6,368,722 | |
102,435,448 | |||
Tobacco - 0.8% | |||
Altria Group, Inc. | 1,243,777 | 84,365,394 | |
British American Tobacco PLC sponsored ADR | 330,371 | 21,021,507 | |
Philip Morris International, Inc. | 855,041 | 87,855,463 | |
193,242,364 | |||
TOTAL CONSUMER STAPLES | 1,386,900,554 | ||
ENERGY - 5.3% | |||
Energy Equipment & Services - 0.4% | |||
Baker Hughes, a GE Co. Class A | 454,500 | 13,512,285 | |
C&J Energy Services, Inc. | 8,100 | 253,206 | |
Dril-Quip, Inc. (b) | 17,800 | 853,510 | |
Frank's International NV | 64,055 | 399,063 | |
Halliburton Co. | 169,900 | 7,098,422 | |
Nabors Industries Ltd. | 147,900 | 893,316 | |
National Oilwell Varco, Inc. | 78,400 | 2,630,320 | |
NCS Multistage Holdings, Inc. | 64,200 | 1,078,560 | |
Newpark Resources, Inc. (b) | 117,000 | 1,035,450 | |
Oceaneering International, Inc. | 25,500 | 498,270 | |
Odfjell Drilling A/S (b) | 95,800 | 413,395 | |
RigNet, Inc. (b) | 40,400 | 650,440 | |
Rowan Companies PLC (b) | 156,000 | 2,257,320 | |
Schlumberger Ltd. | 828,740 | 52,086,309 | |
Shelf Drilling Ltd. (c)(e) | 128,800 | 998,576 | |
Tesco Corp. (b) | 16,400 | 66,420 | |
TETRA Technologies, Inc. (b) | 74,500 | 299,490 | |
Total Energy Services, Inc. | 6,200 | 73,526 | |
Trinidad Drilling Ltd. (b) | 162,800 | 196,852 | |
Xtreme Drilling & Coil Services Corp. (b) | 171,600 | 292,617 | |
85,587,347 | |||
Oil, Gas & Consumable Fuels - 4.9% | |||
Anadarko Petroleum Corp. | 553,494 | 26,617,526 | |
Andeavor | 160,000 | 16,875,200 | |
Apache Corp. | 672,900 | 28,147,407 | |
BP PLC sponsored ADR | 311,400 | 12,477,798 | |
Cabot Oil & Gas Corp. | 119,700 | 3,465,315 | |
Callon Petroleum Co. (b) | 162,800 | 1,797,312 | |
Centennial Resource Development, Inc. Class A (b) | 63,500 | 1,288,415 | |
Cheniere Energy Partners LP Holdings LLC | 28,300 | 788,438 | |
Cheniere Energy, Inc. (b) | 27,700 | 1,338,464 | |
Chevron Corp. | 2,119,404 | 252,187,882 | |
Cimarex Energy Co. | 30,800 | 3,576,188 | |
Concho Resources, Inc. (b) | 216,484 | 30,277,452 | |
ConocoPhillips Co. | 1,133,400 | 57,667,392 | |
Continental Resources, Inc. (b) | 153,500 | 7,265,155 | |
Delek U.S. Holdings, Inc. | 94,429 | 3,136,931 | |
Devon Energy Corp. | 109,900 | 4,234,447 | |
Diamondback Energy, Inc. (b) | 309,367 | 33,816,907 | |
Enbridge, Inc. | 68,717 | 2,591,235 | |
Encana Corp. | 380,200 | 4,499,984 | |
Energen Corp. (b) | 11,200 | 632,352 | |
Enterprise Products Partners LP | 58,000 | 1,428,540 | |
EOG Resources, Inc. | 1,679,519 | 171,848,384 | |
EQT Corp. | 217,203 | 12,945,299 | |
Extraction Oil & Gas, Inc. (b) | 68,919 | 1,037,920 | |
Exxon Mobil Corp. | 1,472,908 | 122,678,507 | |
GasLog Partners LP | 17,900 | 395,590 | |
Gener8 Maritime, Inc. (b) | 152,000 | 691,600 | |
Golar LNG Ltd. | 26,700 | 659,757 | |
Hess Corp. | 350,000 | 16,058,000 | |
HollyFrontier Corp. | 20,900 | 929,632 | |
Imperial Oil Ltd. | 364,000 | 11,229,082 | |
Jagged Peak Energy, Inc. (a) | 10,900 | 165,462 | |
Kinder Morgan, Inc. | 1,011,100 | 17,421,253 | |
Lilis Energy, Inc. (b) | 81,900 | 405,405 | |
Magellan Midstream Partners LP | 191,236 | 12,812,812 | |
Marathon Oil Corp. | 53,100 | 788,004 | |
Marathon Petroleum Corp. | 428,500 | 26,836,955 | |
Matador Resources Co. (b) | 42,200 | 1,206,920 | |
Murphy Oil Corp. | 13,300 | 371,735 | |
Newfield Exploration Co. (b) | 50,400 | 1,558,872 | |
Noble Midstream Partners LP | 33,500 | 1,656,575 | |
Occidental Petroleum Corp. | 1,130,855 | 79,725,278 | |
Parsley Energy, Inc. Class A (b) | 136,000 | 3,652,960 | |
PBF Energy, Inc. Class A (a) | 106,400 | 3,444,168 | |
PDC Energy, Inc. (b) | 22,300 | 1,024,685 | |
Phillips 66 Co. | 193,491 | 18,876,982 | |
Pilipinas Shell Petroleum Corp. | 497,400 | 571,706 | |
Pioneer Natural Resources Co. | 237,044 | 36,988,346 | |
Plains GP Holdings LP Class A | 116,300 | 2,394,617 | |
PrairieSky Royalty Ltd. | 14,300 | 374,195 | |
Reliance Industries Ltd. | 70,764 | 1,011,204 | |
Resolute Energy Corp. (a)(b) | 8,100 | 242,352 | |
Ring Energy, Inc. (b) | 37,100 | 526,078 | |
RSP Permian, Inc. (b) | 104,900 | 3,852,977 | |
Suncor Energy, Inc. | 1,593,527 | 55,272,901 | |
Teekay LNG Partners LP | 10,900 | 196,745 | |
The Williams Companies, Inc. | 1,209,954 | 35,149,164 | |
Total SA sponsored ADR | 345,400 | 19,532,370 | |
TransCanada Corp. | 286,350 | 13,734,324 | |
Valero Energy Corp. | 341,140 | 29,208,407 | |
Viper Energy Partners LP | 74,300 | 1,558,814 | |
WPX Energy, Inc.(b) | 102,600 | 1,299,942 | |
1,204,446,319 | |||
TOTAL ENERGY | 1,290,033,666 | ||
FINANCIALS - 13.4% | |||
Banks - 7.2% | |||
Bank of America Corp. (d) | 12,142,983 | 342,067,831 | |
Barclays PLC | 828,595 | 2,162,048 | |
BB&T Corp. | 173,600 | 8,579,312 | |
BOK Financial Corp. | 7,900 | 703,100 | |
CIT Group, Inc. | 108,800 | 5,422,592 | |
Citigroup, Inc. (d) | 5,376,553 | 405,929,752 | |
Citizens Financial Group, Inc. | 550,200 | 22,393,140 | |
Comerica, Inc. | 19,000 | 1,582,890 | |
Commerce Bancshares, Inc. | 11,638 | 658,944 | |
Cullen/Frost Bankers, Inc. | 7,300 | 718,393 | |
East West Bancorp, Inc. | 16,900 | 1,040,026 | |
Fifth Third Bancorp | 1,272,600 | 38,827,026 | |
First Republic Bank | 222,902 | 21,296,057 | |
Huntington Bancshares, Inc. | 1,739,100 | 25,043,040 | |
Investors Bancorp, Inc. | 36,000 | 513,720 | |
JPMorgan Chase & Co. (d) | 3,634,534 | 379,881,494 | |
KeyCorp | 1,215,400 | 23,068,292 | |
M&T Bank Corp. | 18,600 | 3,142,470 | |
PNC Financial Services Group, Inc. | 424,274 | 59,635,953 | |
Prosperity Bancshares, Inc. | 8,400 | 588,336 | |
Regions Financial Corp. | 840,800 | 13,948,872 | |
SunTrust Banks, Inc. | 462,720 | 28,517,434 | |
SVB Financial Group (b) | 80,811 | 18,395,816 | |
Synovus Financial Corp. | 64,300 | 3,191,209 | |
U.S. Bancorp | 2,558,156 | 141,082,303 | |
Wells Fargo & Co. | 3,710,605 | 209,537,864 | |
Western Alliance Bancorp. (b) | 9,100 | 529,438 | |
Zions Bancorporation | 27,770 | 1,376,004 | |
1,759,833,356 | |||
Capital Markets - 2.4% | |||
Affiliated Managers Group, Inc. | 15,600 | 3,099,252 | |
Ameriprise Financial, Inc. | 145,500 | 23,749,965 | |
Bank of New York Mellon Corp. | 808,017 | 44,230,851 | |
BlackRock, Inc. Class A | 30,700 | 15,386,533 | |
Brighthouse Financial, Inc. | 53,658 | 3,154,554 | |
CBOE Holdings, Inc. | 134,894 | 16,649,966 | |
Charles Schwab Corp. (d) | 1,353,014 | 66,013,553 | |
CME Group, Inc. | 73,467 | 10,986,255 | |
Credit Suisse Group AG | 111,402 | 1,890,456 | |
E*TRADE Financial Corp. (b) | 323,000 | 15,549,220 | |
Franklin Resources, Inc. | 187,400 | 8,123,790 | |
Goldman Sachs Group, Inc. | 148,400 | 36,749,776 | |
IntercontinentalExchange, Inc. | 900,741 | 64,357,944 | |
Invesco Ltd. | 49,200 | 1,779,564 | |
KKR & Co. LP | 1,909,512 | 38,037,479 | |
Lazard Ltd. Class A | 14,900 | 733,825 | |
Legg Mason, Inc. | 165,200 | 6,601,392 | |
Morgan Stanley (d) | 2,110,917 | 108,944,426 | |
Northern Trust Corp. | 113,800 | 11,127,364 | |
Raymond James Financial, Inc. | 15,600 | 1,377,480 | |
S&P Global, Inc. | 92,905 | 15,373,919 | |
State Street Corp. | 784,717 | 74,822,766 | |
T. Rowe Price Group, Inc. | 29,200 | 3,005,264 | |
TD Ameritrade Holding Corp. | 396,400 | 20,283,788 | |
The NASDAQ OMX Group, Inc. | 16,700 | 1,321,972 | |
593,351,354 | |||
Consumer Finance - 0.7% | |||
Ally Financial, Inc. | 497,900 | 13,373,594 | |
American Express Co. | 265,390 | 25,931,257 | |
Capital One Financial Corp. | 957,388 | 88,079,696 | |
Credit Acceptance Corp. (a)(b) | 1,600 | 484,640 | |
Discover Financial Services | 268,434 | 18,951,440 | |
Navient Corp. | 140,200 | 1,767,922 | |
Nelnet, Inc. Class A | 32,500 | 1,741,025 | |
OneMain Holdings, Inc. (b) | 179,700 | 4,638,057 | |
Santander Consumer U.S.A. Holdings, Inc. | 42,100 | 725,804 | |
SLM Corp. (b) | 41,300 | 477,841 | |
Synchrony Financial | 663,555 | 23,814,989 | |
179,986,265 | |||
Diversified Financial Services - 0.8% | |||
Berkshire Hathaway, Inc. Class B (b) | 879,408 | 169,734,538 | |
GDS Holdings Ltd. ADR (a) | 97,600 | 1,995,920 | |
Leucadia National Corp. | 43,600 | 1,147,116 | |
On Deck Capital, Inc. (b) | 73,100 | 386,699 | |
Voya Financial, Inc. | 540,603 | 23,894,653 | |
197,158,926 | |||
Insurance - 2.3% | |||
AFLAC, Inc. | 122,500 | 10,735,900 | |
Alleghany Corp. (b) | 1,900 | 1,111,120 | |
Allstate Corp. | 140,400 | 14,413,464 | |
American Financial Group, Inc. | 56,400 | 5,925,384 | |
American International Group, Inc. | 1,208,848 | 72,482,526 | |
Arthur J. Gallagher & Co. | 23,630 | 1,555,563 | |
Assurant, Inc. | 51,100 | 5,154,457 | |
Assured Guaranty Ltd. | 15,000 | 544,650 | |
Athene Holding Ltd. | 434,795 | 20,900,596 | |
Axis Capital Holdings Ltd. | 39,300 | 2,058,927 | |
Chubb Ltd. | 414,161 | 62,998,030 | |
Cincinnati Financial Corp. | 18,900 | 1,412,397 | |
CNA Financial Corp. | 98,100 | 5,334,678 | |
Everest Re Group Ltd. | 34,400 | 7,554,240 | |
FNF Group | 179,356 | 7,256,744 | |
Genworth Financial, Inc. Class A (b) | 116,700 | 395,613 | |
Hartford Financial Services Group, Inc. | 337,200 | 19,368,768 | |
Lincoln National Corp. | 167,900 | 12,852,745 | |
Loews Corp. | 192,290 | 9,668,341 | |
Markel Corp. (b) | 1,700 | 1,881,730 | |
Marsh & McLennan Companies, Inc. | 459,765 | 38,588,076 | |
MetLife, Inc. | 1,508,142 | 80,957,063 | |
Old Republic International Corp. | 31,900 | 668,943 | |
Principal Financial Group, Inc. | 34,900 | 2,470,571 | |
Progressive Corp. | 1,004,666 | 53,428,138 | |
Prudential Financial, Inc. | 126,500 | 14,653,760 | |
Reinsurance Group of America, Inc. | 45,500 | 7,373,275 | |
RenaissanceRe Holdings Ltd. | 4,900 | 649,985 | |
The Travelers Companies, Inc. | 279,200 | 37,851,144 | |
Torchmark Corp. | 36,000 | 3,198,600 | |
Unum Group | 178,275 | 10,093,931 | |
W.R. Berkley Corp. | 14,700 | 1,016,064 | |
Willis Group Holdings PLC | 164,271 | 26,414,777 | |
XL Group Ltd. | 468,690 | 18,194,546 | |
559,164,746 | |||
Mortgage Real Estate Investment Trusts - 0.0% | |||
Annaly Capital Management, Inc. | 446,500 | 5,210,655 | |
Thrifts & Mortgage Finance - 0.0% | |||
Radian Group, Inc. | 198,900 | 4,075,461 | |
TOTAL FINANCIALS | 3,298,780,763 | ||
HEALTH CARE - 10.1% | |||
Biotechnology - 2.4% | |||
AbbVie, Inc. | 983,640 | 95,334,389 | |
Abeona Therapeutics, Inc. (a)(b) | 60,000 | 1,038,000 | |
Ablynx NV (b) | 115,000 | 2,666,398 | |
Ablynx NV sponsored ADR | 65,000 | 1,497,600 | |
AC Immune SA (a)(b) | 60,000 | 705,000 | |
Acceleron Pharma, Inc. (b) | 30,000 | 1,094,700 | |
Alexion Pharmaceuticals, Inc. (b) | 379,520 | 41,675,091 | |
Alnylam Pharmaceuticals, Inc. (b) | 26,000 | 3,498,040 | |
Amgen, Inc. | 520,388 | 91,411,356 | |
AnaptysBio, Inc. | 36,000 | 3,025,800 | |
Ascendis Pharma A/S sponsored ADR (b) | 50,000 | 1,855,000 | |
Audentes Therapeutics, Inc. (b) | 30,000 | 865,800 | |
BeiGene Ltd. ADR (b) | 38,000 | 3,040,000 | |
Biogen, Inc. (b) | 278,206 | 89,629,627 | |
BioMarin Pharmaceutical, Inc. (b) | 182,272 | 15,638,938 | |
bluebird bio, Inc. (b) | 17,000 | 2,937,600 | |
Blueprint Medicines Corp. (b) | 33,000 | 2,476,980 | |
Celgene Corp. (b) | 502,549 | 50,672,016 | |
Cellectis SA sponsored ADR (b) | 32,800 | 817,704 | |
CytomX Therapeutics, Inc. (b) | 40,100 | 830,070 | |
Gilead Sciences, Inc. | 432,350 | 32,331,133 | |
Heron Therapeutics, Inc. (b) | 30,000 | 528,000 | |
Incyte Corp. (b) | 150,549 | 14,902,846 | |
Insmed, Inc. (b) | 150,000 | 4,678,500 | |
Intercept Pharmaceuticals, Inc. (b) | 65,400 | 4,016,214 | |
Loxo Oncology, Inc. (b) | 22,000 | 1,688,500 | |
Momenta Pharmaceuticals, Inc. (b) | 114,000 | 1,573,200 | |
Neurocrine Biosciences, Inc. (b) | 60,000 | 4,313,400 | |
Protagonist Therapeutics, Inc. (b) | 40,000 | 780,000 | |
Prothena Corp. PLC (b) | 23,000 | 1,069,270 | |
Regeneron Pharmaceuticals, Inc. (b) | 17,000 | 6,151,620 | |
Sarepta Therapeutics, Inc. (a)(b) | 28,000 | 1,558,760 | |
Shire PLC sponsored ADR | 158,101 | 23,517,524 | |
Spark Therapeutics, Inc. (b) | 33,000 | 2,416,590 | |
TESARO, Inc. (b) | 36,000 | 3,045,600 | |
uniQure B.V. (b) | 60,000 | 908,400 | |
Vertex Pharmaceuticals, Inc. (b) | 460,534 | 66,450,451 | |
Xencor, Inc. (b) | 60,000 | 1,302,600 | |
Zai Lab Ltd. ADR | 50,000 | 1,305,500 | |
583,248,217 | |||
Health Care Equipment & Supplies - 1.6% | |||
Abbott Laboratories | 391,065 | 22,044,334 | |
Atricure, Inc. (b) | 84,500 | 1,563,250 | |
Becton, Dickinson & Co. | 355,488 | 81,125,916 | |
Boston Scientific Corp. (b) | 2,295,438 | 60,324,111 | |
Danaher Corp. | 499,682 | 47,149,994 | |
Dentsply Sirona, Inc. | 135,900 | 9,106,659 | |
DexCom, Inc. (b) | 50,000 | 2,921,500 | |
Edwards Lifesciences Corp. (b) | 3,585 | 420,162 | |
Fisher & Paykel Healthcare Corp. | 120,000 | 1,074,462 | |
Genmark Diagnostics, Inc. (b) | 330,000 | 1,468,500 | |
Hologic, Inc. (b) | 106,700 | 4,451,524 | |
Insulet Corp. (b) | 48,000 | 3,443,040 | |
Integra LifeSciences Holdings Corp. (b) | 66,000 | 3,208,920 | |
Intuitive Surgical, Inc. (b) | 157,300 | 62,885,394 | |
Medtronic PLC | 518,356 | 42,572,578 | |
Penumbra, Inc. (b) | 29,000 | 3,053,700 | |
Stryker Corp. | 259,430 | 40,471,080 | |
The Cooper Companies, Inc. | 6,760 | 1,630,377 | |
Wright Medical Group NV (b) | 150,000 | 3,646,500 | |
Zimmer Biomet Holdings, Inc. | 93,467 | 10,944,986 | |
403,506,987 | |||
Health Care Providers & Services - 2.5% | |||
Aetna, Inc. | 303,755 | 54,730,576 | |
AmerisourceBergen Corp. | 98,285 | 8,336,534 | |
Anthem, Inc. | 220,900 | 51,902,664 | |
Cardinal Health, Inc. | 153,400 | 9,079,746 | |
Centene Corp. (b) | 191,755 | 19,576,268 | |
Cigna Corp. | 408,906 | 86,577,667 | |
DaVita HealthCare Partners, Inc. (b) | 71,800 | 4,384,108 | |
EBOS Group Ltd. | 145,199 | 1,731,799 | |
Envision Healthcare Corp. | 324,300 | 10,354,899 | |
Express Scripts Holding Co. (b) | 287,771 | 18,756,914 | |
G1 Therapeutics, Inc. | 28,000 | 575,400 | |
HCA Holdings, Inc. (b) | 291,700 | 24,794,500 | |
Henry Schein, Inc. (b) | 34,400 | 2,457,880 | |
Humana, Inc. | 214,110 | 55,852,735 | |
Laboratory Corp. of America Holdings (b) | 14,900 | 2,358,223 | |
LifePoint Hospitals, Inc. (b) | 42,500 | 2,031,500 | |
McKesson Corp. | 167,874 | 24,801,705 | |
Premier, Inc. (b) | 50,000 | 1,451,000 | |
Quest Diagnostics, Inc. | 40,300 | 3,967,938 | |
Teladoc, Inc. (a)(b) | 140,000 | 5,194,000 | |
United Drug PLC (United Kingdom) | 140,000 | 1,590,422 | |
UnitedHealth Group, Inc. | 965,313 | 220,255,467 | |
Universal Health Services, Inc. Class B | 65,600 | 7,107,760 | |
617,869,705 | |||
Health Care Technology - 0.1% | |||
athenahealth, Inc. (b) | 36,200 | 4,810,618 | |
Castlight Health, Inc. Class B (b) | 650,000 | 2,535,000 | |
Cerner Corp. (b) | 216,570 | 15,309,333 | |
22,654,951 | |||
Life Sciences Tools & Services - 0.3% | |||
Agilent Technologies, Inc. | 652,496 | 45,178,823 | |
Thermo Fisher Scientific, Inc. | 146,514 | 28,242,039 | |
73,420,862 | |||
Pharmaceuticals - 3.2% | |||
Allergan PLC | 416,284 | 72,362,648 | |
Astellas Pharma, Inc. | 64,200 | 816,135 | |
AstraZeneca PLC: | |||
(United Kingdom) | 90,000 | 5,808,453 | |
sponsored ADR | 171,700 | 5,643,779 | |
Avexis, Inc. (b) | 8,000 | 758,480 | |
Bayer AG | 21,800 | 2,782,622 | |
Bristol-Myers Squibb Co. | 716,499 | 45,275,572 | |
Dechra Pharmaceuticals PLC | 120,000 | 3,580,073 | |
Eli Lilly & Co. | 1,118,540 | 94,673,226 | |
GlaxoSmithKline PLC sponsored ADR | 806,500 | 28,275,890 | |
Indivior PLC (b) | 360,000 | 1,805,292 | |
Jazz Pharmaceuticals PLC (b) | 13,300 | 1,858,542 | |
Johnson & Johnson | 1,658,759 | 231,114,891 | |
Mallinckrodt PLC (a)(b) | 357,600 | 7,802,832 | |
Merck & Co., Inc. | 1,592,716 | 88,029,413 | |
Mylan N.V. (b) | 87,500 | 3,196,375 | |
Nektar Therapeutics (b) | 44,000 | 2,375,560 | |
Novartis AG sponsored ADR | 40,471 | 3,472,412 | |
Perrigo Co. PLC | 16,200 | 1,412,802 | |
Pfizer, Inc. | 2,600,055 | 94,277,994 | |
Roche Holding AG (participation certificate) | 20,000 | 5,054,302 | |
Sanofi SA | 105,142 | 9,591,013 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR (a) | 413,803 | 6,132,560 | |
The Medicines Company (b) | 60,000 | 1,740,000 | |
TherapeuticsMD, Inc. (a)(b) | 190,000 | 1,197,000 | |
Theravance Biopharma, Inc. (b) | 80,000 | 2,276,000 | |
Valeant Pharmaceuticals International, Inc. (Canada) (b) | 137,460 | 2,302,455 | |
Zoetis, Inc. Class A | 715,137 | 51,697,254 | |
775,313,575 | |||
TOTAL HEALTH CARE | 2,476,014,297 | ||
INDUSTRIALS - 8.1% | |||
Aerospace & Defense - 2.3% | |||
General Dynamics Corp. | 154,049 | 31,912,791 | |
Huntington Ingalls Industries, Inc. | 5,600 | 1,353,352 | |
L3 Technologies, Inc. | 9,000 | 1,787,310 | |
Lockheed Martin Corp. | 161,423 | 51,513,308 | |
Moog, Inc. Class A (b) | 41,400 | 3,482,154 | |
Northrop Grumman Corp. | 714,155 | 219,531,247 | |
Orbital ATK, Inc. | 29,300 | 3,865,842 | |
Rockwell Collins, Inc. | 70,000 | 9,261,700 | |
Spirit AeroSystems Holdings, Inc. Class A | 100,300 | 8,450,275 | |
Textron, Inc. | 351,000 | 19,554,210 | |
The Boeing Co. | 459,273 | 127,126,766 | |
Triumph Group, Inc. | 61,300 | 1,894,170 | |
United Technologies Corp. | 691,884 | 84,029,312 | |
563,762,437 | |||
Air Freight & Logistics - 0.4% | |||
C.H. Robinson Worldwide, Inc. (a) | 92,187 | 7,988,004 | |
FedEx Corp. | 241,200 | 55,828,152 | |
United Parcel Service, Inc. Class B | 283,708 | 34,456,337 | |
98,272,493 | |||
Airlines - 0.6% | |||
Alaska Air Group, Inc. | 104,620 | 7,236,565 | |
American Airlines Group, Inc. | 559,510 | 28,249,660 | |
Delta Air Lines, Inc. | 1,406,430 | 74,428,276 | |
JetBlue Airways Corp. (b) | 36,900 | 792,243 | |
Southwest Airlines Co. | 72,800 | 4,416,776 | |
United Continental Holdings, Inc. (b) | 300,400 | 19,021,328 | |
134,144,848 | |||
Building Products - 0.4% | |||
A.O. Smith Corp. | 80,100 | 5,079,942 | |
Allegion PLC | 314,390 | 26,452,775 | |
Fortune Brands Home & Security, Inc. | 482,900 | 33,040,018 | |
Johnson Controls International PLC | 650,981 | 24,502,925 | |
Masco Corp. | 364,257 | 15,630,268 | |
Owens Corning | 20,500 | 1,811,175 | |
USG Corp. (b) | 17,100 | 649,971 | |
107,167,074 | |||
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 53,900 | 3,832,290 | |
Herman Miller, Inc. | 82,600 | 2,952,950 | |
LSC Communications, Inc. | 14,212 | 232,508 | |
R.R. Donnelley & Sons Co. | 37,900 | 355,881 | |
Republic Services, Inc. | 29,251 | 1,899,560 | |
Stericycle, Inc. (b) | 263,200 | 17,452,792 | |
Waste Connection, Inc.: | |||
(Canada) | 7,130 | 490,863 | |
(United States) | 209,673 | 14,431,793 | |
41,648,637 | |||
Construction & Engineering - 0.0% | |||
Jacobs Engineering Group, Inc. | 14,600 | 958,198 | |
Tutor Perini Corp. (b) | 73,200 | 1,844,640 | |
2,802,838 | |||
Electrical Equipment - 0.4% | |||
Acuity Brands, Inc. | 40,700 | 6,976,794 | |
Eaton Corp. PLC | 296,587 | 23,068,537 | |
Fortive Corp. | 772,137 | 57,640,027 | |
Hubbell, Inc. Class B | 45,900 | 5,773,761 | |
Rockwell Automation, Inc. | 38,300 | 7,394,964 | |
Sensata Technologies Holding BV (b) | 105,400 | 5,264,730 | |
106,118,813 | |||
Industrial Conglomerates - 1.1% | |||
Carlisle Companies, Inc. | 7,100 | 816,287 | |
General Electric Co. | 4,333,162 | 79,253,533 | |
Honeywell International, Inc. | 1,036,772 | 161,694,961 | |
Roper Technologies, Inc. | 111,668 | 29,838,806 | |
271,603,587 | |||
Machinery - 1.4% | |||
AGCO Corp. | 42,100 | 2,979,838 | |
Allison Transmission Holdings, Inc. | 16,300 | 668,952 | |
Caterpillar, Inc. | 541,199 | 76,390,239 | |
Cummins, Inc. | 20,300 | 3,398,220 | |
Deere & Co. | 244,083 | 36,578,278 | |
Flowserve Corp. | 154,000 | 6,557,320 | |
Illinois Tool Works, Inc. | 128,400 | 21,731,700 | |
Ingersoll-Rand PLC | 755,905 | 66,232,396 | |
Meritor, Inc. (b) | 178,700 | 4,463,926 | |
Minebea Mitsumi, Inc. | 449,100 | 8,957,023 | |
Oshkosh Corp. | 2,855 | 257,064 | |
PACCAR, Inc. | 318,120 | 22,373,380 | |
Parker Hannifin Corp. | 1,110 | 208,114 | |
Pentair PLC | 166,300 | 11,833,908 | |
ProPetro Holding Corp. | 45,200 | 848,404 | |
Snap-On, Inc. | 7,000 | 1,186,010 | |
Stanley Black & Decker, Inc. | 334,861 | 56,802,471 | |
Timken Co. | 62,900 | 3,138,710 | |
Trinity Industries, Inc. | 137,900 | 4,916,135 | |
Wabtec Corp. (a) | 70,428 | 5,415,913 | |
334,938,001 | |||
Professional Services - 0.2% | |||
Equifax, Inc. | 80,713 | 9,210,968 | |
Manpower, Inc. | 59,800 | 7,708,220 | |
Nielsen Holdings PLC | 322,616 | 11,846,460 | |
Robert Half International, Inc. | 15,400 | 878,416 | |
TransUnion Holding Co., Inc. (b) | 102,524 | 5,692,132 | |
35,336,196 | |||
Road & Rail - 1.1% | |||
AMERCO | 2,400 | 889,608 | |
Canadian National Railway Co. | 105,140 | 8,207,301 | |
Canadian Pacific Railway Ltd. | 31,630 | 5,535,832 | |
CSX Corp. | 883,965 | 49,281,049 | |
Norfolk Southern Corp. | 986,000 | 136,689,180 | |
Ryder System, Inc. | 46,800 | 3,860,064 | |
Union Pacific Corp. | 554,880 | 70,192,320 | |
274,655,354 | |||
Trading Companies & Distributors - 0.0% | |||
Aircastle Ltd. | 98,900 | 2,423,050 | |
Fastenal Co. | 91,710 | 4,804,687 | |
United Rentals, Inc. (b) | 11,825 | 1,885,851 | |
9,113,588 | |||
TOTAL INDUSTRIALS | 1,979,563,866 | ||
INFORMATION TECHNOLOGY - 18.4% | |||
Communications Equipment - 1.0% | |||
Arris International PLC (b) | 11,450 | 343,157 | |
Cisco Systems, Inc. | 5,977,578 | 222,963,659 | |
Harris Corp. | 162,300 | 23,452,350 | |
Juniper Networks, Inc. | 164,500 | 4,566,520 | |
Motorola Solutions, Inc. | 93,340 | 8,784,227 | |
260,109,913 | |||
Electronic Equipment & Components - 0.4% | |||
Amphenol Corp. Class A | 30,900 | 2,799,231 | |
Arrow Electronics, Inc. (b) | 53,500 | 4,319,055 | |
CDW Corp. | 19,200 | 1,344,192 | |
Chroma ATE, Inc. | 1,232,600 | 7,245,759 | |
Cognex Corp. | 17,750 | 2,459,618 | |
Corning, Inc. | 413,800 | 13,402,982 | |
Dell Technologies, Inc. (b) | 74,809 | 5,853,056 | |
E Ink Holdings, Inc. | 893,000 | 1,585,242 | |
Flextronics International Ltd. (b) | 244,200 | 4,412,694 | |
Jabil, Inc. | 155,400 | 4,483,290 | |
Keysight Technologies, Inc. (b) | 146,200 | 6,359,700 | |
Largan Precision Co. Ltd. | 31,800 | 5,443,863 | |
SYNNEX Corp. | 3,200 | 435,840 | |
TE Connectivity Ltd. | 221,400 | 20,909,016 | |
Tech Data Corp. (b) | 39,700 | 3,838,990 | |
Topcon Corp. | 146,100 | 3,268,214 | |
Trimble, Inc. (b) | 223,900 | 9,401,561 | |
Vishay Intertechnology, Inc. (a) | 143,700 | 3,147,030 | |
100,709,333 | |||
Internet Software & Services - 4.5% | |||
58.com, Inc. ADR (b) | 21,600 | 1,549,584 | |
Akamai Technologies, Inc. (b) | 75,500 | 4,211,390 | |
Alibaba Group Holding Ltd. sponsored ADR (b) | 52,800 | 9,349,824 | |
Alphabet, Inc.: | |||
Class A (b) | 215,365 | 223,154,752 | |
Class C (b) | 448,474 | 458,075,828 | |
Altaba, Inc. | 423,888 | 29,697,593 | |
Benefitfocus, Inc. (b) | 90,000 | 2,439,000 | |
eBay, Inc. (b) | 794,728 | 27,553,220 | |
Envestnet, Inc. (b) | 100 | 4,915 | |
Facebook, Inc. Class A (b) | 1,875,724 | 332,340,778 | |
GoDaddy, Inc. (b) | 63,800 | 3,103,870 | |
LogMeIn, Inc. | 48,600 | 5,783,400 | |
NetEase, Inc. ADR | 15,900 | 5,226,489 | |
New Relic, Inc. (b) | 38,600 | 2,172,408 | |
Shopify, Inc. Class A (b) | 9,900 | 1,037,154 | |
SMS Co., Ltd. | 135,300 | 4,343,840 | |
Tencent Holdings Ltd. | 101,900 | 5,217,397 | |
Velti PLC (b)(f) | 147,198 | 206 | |
Xunlei Ltd. sponsored ADR (b) | 190,300 | 2,597,595 | |
1,117,859,243 | |||
IT Services - 2.3% | |||
Accenture PLC Class A | 451,927 | 66,889,715 | |
Alliance Data Systems Corp. | 4,800 | 1,148,496 | |
Amdocs Ltd. | 118,904 | 7,763,242 | |
Booz Allen Hamilton Holding Corp. Class A | 11,160 | 431,780 | |
Cognizant Technology Solutions Corp. Class A | 813,813 | 58,822,404 | |
CSRA, Inc. | 14,200 | 410,806 | |
DXC Technology Co. | 55,832 | 5,367,688 | |
Fidelity National Information Services, Inc. | 245,800 | 23,186,314 | |
Fiserv, Inc. (b) | 2,895 | 380,548 | |
FleetCor Technologies, Inc. (b) | 64,600 | 11,748,802 | |
Global Payments, Inc. | 1,755 | 176,483 | |
IBM Corp. | 316,814 | 48,779,852 | |
MasterCard, Inc. Class A (d) | 411,450 | 61,910,882 | |
PayPal Holdings, Inc. (b) | 747,145 | 56,581,291 | |
The Western Union Co. | 209,900 | 4,132,931 | |
Vantiv, Inc. (a)(b) | 172,287 | 12,921,525 | |
Visa, Inc. Class A | 1,606,886 | 180,919,295 | |
WEX, Inc. (b) | 119,277 | 15,353,335 | |
556,925,389 | |||
Semiconductors & Semiconductor Equipment - 3.2% | |||
Advanced Micro Devices, Inc. (b) | 423,400 | 4,610,826 | |
ams AG | 95,600 | 9,309,764 | |
Analog Devices, Inc. | 300,007 | 25,833,603 | |
Applied Materials, Inc. | 652,470 | 34,430,842 | |
ASM Pacific Technology Ltd. | 601,500 | 8,641,102 | |
ASML Holding NV | 48,500 | 8,512,720 | |
Broadcom Ltd. | 478,172 | 132,903,126 | |
Cirrus Logic, Inc. (b) | 51,700 | 2,855,908 | |
Cree, Inc. (b) | 85,500 | 3,038,670 | |
GlobalWafers Co. Ltd. | 461,100 | 6,196,631 | |
Himax Technologies, Inc. sponsored ADR (a) | 617,600 | 8,479,648 | |
Intel Corp. | 1,838,089 | 82,419,911 | |
International Quantum Epitaxy PLC (a)(b) | 366,005 | 862,512 | |
KLA-Tencor Corp. | 308,499 | 31,540,938 | |
Lam Research Corp. | 101,740 | 19,567,654 | |
M/A-COM Technology Solutions Holdings, Inc. (b) | 71,200 | 2,320,408 | |
Marvell Technology Group Ltd. | 1,200,300 | 26,814,702 | |
Maxim Integrated Products, Inc. | 75,550 | 3,953,532 | |
Mellanox Technologies Ltd. (b) | 62,800 | 3,711,480 | |
Microchip Technology, Inc. | 455,042 | 39,584,104 | |
Micron Technology, Inc. (b) | 285,100 | 12,085,389 | |
Microsemi Corp. (b) | 400 | 21,140 | |
Monolithic Power Systems, Inc. | 26,300 | 3,112,605 | |
Nanya Technology Corp. | 4,114,000 | 10,660,090 | |
NVIDIA Corp. | 198,366 | 39,814,040 | |
NXP Semiconductors NV (b) | 262,354 | 29,748,320 | |
Qorvo, Inc. (b) | 15,400 | 1,179,332 | |
Qualcomm, Inc. | 1,667,259 | 110,605,962 | |
Rubicon Technology, Inc. (b) | 13,440 | 112,896 | |
Semtech Corp. (b) | 50,800 | 1,729,740 | |
Silicon Laboratories, Inc. (b) | 9,200 | 838,120 | |
Siltronic AG (b) | 15,500 | 2,302,420 | |
Skyworks Solutions, Inc. | 21,700 | 2,272,858 | |
Teradyne, Inc. | 17,200 | 696,084 | |
Texas Instruments, Inc. | 1,031,478 | 100,352,495 | |
Xilinx, Inc. | 143,300 | 9,960,783 | |
781,080,355 | |||
Software - 4.1% | |||
Activision Blizzard, Inc. | 839,887 | 52,408,949 | |
Adobe Systems, Inc. (b) | 280,754 | 50,948,428 | |
Autodesk, Inc. (b) | 179,900 | 19,735,030 | |
Black Knight, Inc. (b) | 45,766 | 2,054,893 | |
CA Technologies, Inc. | 48,200 | 1,593,974 | |
CDK Global, Inc. | 146,700 | 10,135,503 | |
Citrix Systems, Inc. (b) | 91,600 | 8,026,908 | |
Electronic Arts, Inc. (b) | 456,680 | 48,567,918 | |
Intuit, Inc. | 197,665 | 31,076,891 | |
Microsoft Corp. | 7,125,446 | 599,748,790 | |
Nintendo Co. Ltd. | 16,900 | 6,891,539 | |
Nintendo Co. Ltd. ADR | 86,000 | 4,384,280 | |
Oracle Corp. | 861,578 | 42,269,017 | |
Paycom Software, Inc. (b) | 150 | 12,300 | |
Paylocity Holding Corp. (b) | 24,000 | 1,107,360 | |
Red Hat, Inc. (b) | 278,255 | 35,271,604 | |
SailPoint Technologies Holding, Inc. (b) | 84,000 | 1,234,800 | |
Salesforce.com, Inc. (b) | 402,423 | 41,980,767 | |
SAP SE sponsored ADR | 41,400 | 4,692,690 | |
Snap, Inc. Class A (a)(b) | 92,800 | 1,278,784 | |
Synopsys, Inc. (b) | 5,000 | 451,900 | |
Tableau Software, Inc. (b) | 44,400 | 3,121,320 | |
Take-Two Interactive Software, Inc. (b) | 205,256 | 22,896,307 | |
Workday, Inc. Class A (b) | 76,546 | 7,884,238 | |
Zendesk, Inc. (b) | 87,300 | 2,934,153 | |
1,000,708,343 | |||
Technology Hardware, Storage & Peripherals - 2.9% | |||
Apple, Inc. | 3,724,390 | 640,036,422 | |
Hewlett Packard Enterprise Co. | 1,739,600 | 24,267,420 | |
HP, Inc. | 490,000 | 10,510,500 | |
NCR Corp. (b) | 104,900 | 3,282,321 | |
NetApp, Inc. | 87,035 | 4,918,348 | |
Seagate Technology LLC | 117,100 | 4,515,376 | |
Western Digital Corp. | 140,817 | 11,104,829 | |
Xerox Corp. | 134,950 | 4,002,617 | |
702,637,833 | |||
TOTAL INFORMATION TECHNOLOGY | 4,520,030,409 | ||
MATERIALS - 3.7% | |||
Chemicals - 3.1% | |||
Agrium, Inc. | 20,000 | 2,197,574 | |
Air Products & Chemicals, Inc. | 1,030,138 | 167,953,700 | |
Albemarle Corp. U.S. | 64,700 | 8,690,504 | |
Ashland Global Holdings, Inc. | 6,700 | 495,666 | |
Axalta Coating Systems Ltd. | 183,254 | 5,801,822 | |
Cabot Corp. | 50,500 | 3,092,620 | |
Celanese Corp. Class A | 77,400 | 8,300,376 | |
CF Industries Holdings, Inc. | 440,600 | 16,509,282 | |
DowDuPont, Inc. | 3,022,241 | 217,480,462 | |
Eastman Chemical Co. | 338,333 | 31,251,819 | |
Ecolab, Inc. | 105,300 | 14,312,376 | |
Huntsman Corp. | 210,900 | 6,740,364 | |
LyondellBasell Industries NV Class A | 412,600 | 43,199,220 | |
Monsanto Co. | 141,329 | 16,724,874 | |
Potash Corp. of Saskatchewan, Inc. | 3,783,330 | 74,250,216 | |
PPG Industries, Inc. | 198,304 | 23,171,822 | |
Praxair, Inc. | 587,356 | 90,405,836 | |
RPM International, Inc. | 103,100 | 5,461,207 | |
Sherwin-Williams Co. | 39,000 | 15,577,380 | |
Valvoline, Inc. | 131,779 | 3,249,670 | |
Westlake Chemical Corp. | 15,600 | 1,527,708 | |
756,394,498 | |||
Construction Materials - 0.2% | |||
Eagle Materials, Inc. | 83,600 | 9,357,348 | |
Martin Marietta Materials, Inc. | 80,100 | 16,692,039 | |
Vulcan Materials Co. | 230,823 | 29,002,910 | |
55,052,297 | |||
Containers & Packaging - 0.3% | |||
Ball Corp. | 374,982 | 14,965,532 | |
Berry Global Group, Inc. (b) | 369,269 | 22,071,208 | |
Crown Holdings, Inc. (b) | 16,600 | 991,518 | |
International Paper Co. | 196,900 | 11,146,509 | |
Owens-Illinois, Inc. (b) | 8,100 | 196,182 | |
Packaging Corp. of America | 68,400 | 8,112,240 | |
Sonoco Products Co. | 12,000 | 642,120 | |
WestRock Co. | 215,403 | 13,443,301 | |
71,568,610 | |||
Metals & Mining - 0.1% | |||
BHP Billiton Ltd. sponsored ADR (a) | 14,600 | 606,630 | |
Newmont Mining Corp. | 43,100 | 1,594,269 | |
Nucor Corp. | 38,600 | 2,219,500 | |
Reliance Steel & Aluminum Co. | 26,700 | 2,098,887 | |
Steel Dynamics, Inc. | 38,805 | 1,493,993 | |
8,013,279 | |||
Paper & Forest Products - 0.0% | |||
Domtar Corp. | 75,400 | 3,635,788 | |
Schweitzer-Mauduit International, Inc. | 75,400 | 3,413,358 | |
7,049,146 | |||
TOTAL MATERIALS | 898,077,830 | ||
REAL ESTATE - 1.9% | |||
Equity Real Estate Investment Trusts (REITs) - 1.9% | |||
Altisource Residential Corp. Class B | 306,282 | 3,353,788 | |
American Homes 4 Rent Class A | 137,200 | 2,947,056 | |
American Tower Corp. | 284,380 | 40,930,813 | |
AvalonBay Communities, Inc. | 141,421 | 25,643,870 | |
Boston Properties, Inc. | 48,400 | 6,068,392 | |
Colony NorthStar, Inc. | 214,242 | 2,611,610 | |
Corporate Office Properties Trust (SBI) | 47,900 | 1,453,286 | |
Corrections Corp. of America | 24,000 | 564,240 | |
Crown Castle International Corp. | 1,727,930 | 195,256,090 | |
DDR Corp. | 323,000 | 2,464,490 | |
Equinix, Inc. | 45,400 | 21,087,846 | |
Equity Lifestyle Properties, Inc. | 11,800 | 1,065,658 | |
Equity Residential (SBI) | 207,000 | 13,831,740 | |
Extra Space Storage, Inc. | 25,100 | 2,142,536 | |
Gaming & Leisure Properties | 15,000 | 544,800 | |
General Growth Properties, Inc. | 469,100 | 11,023,850 | |
Healthcare Trust of America, Inc. | 122,400 | 3,744,216 | |
Hospitality Properties Trust (SBI) | 149,200 | 4,474,508 | |
Host Hotels & Resorts, Inc. | 232,000 | 4,591,280 | |
JBG SMITH Properties | 65,850 | 2,193,464 | |
Mack-Cali Realty Corp. | 141,800 | 3,138,034 | |
Medical Properties Trust, Inc. | 165,800 | 2,269,802 | |
Mid-America Apartment Communities, Inc. | 50,440 | 5,167,074 | |
Omega Healthcare Investors, Inc. (a) | 106,400 | 2,856,840 | |
Outfront Media, Inc. | 67,400 | 1,581,204 | |
Pennsylvania Real Estate Investment Trust (SBI) | 65,000 | 720,850 | |
Piedmont Office Realty Trust, Inc. Class A | 128,500 | 2,562,290 | |
Prologis, Inc. | 231,000 | 15,299,130 | |
Public Storage | 11,700 | 2,493,504 | |
Regency Centers Corp. | 172,200 | 11,676,882 | |
SBA Communications Corp. Class A (b) | 40,900 | 6,942,775 | |
SL Green Realty Corp. | 85,937 | 8,785,340 | |
Spirit Realty Capital, Inc. | 203,700 | 1,739,598 | |
Store Capital Corp. | 119,300 | 3,080,326 | |
Sun Communities, Inc. | 23,400 | 2,177,604 | |
Ventas, Inc. | 59,000 | 3,776,590 | |
VEREIT, Inc. | 1,380,200 | 10,765,560 | |
Vornado Realty Trust | 329,656 | 25,587,899 | |
Weyerhaeuser Co. | 171,521 | 6,068,413 | |
462,683,248 | |||
Real Estate Management & Development - 0.0% | |||
CBRE Group, Inc. (b) | 82,900 | 3,594,544 | |
Jones Lang LaSalle, Inc. | 5,500 | 838,695 | |
4,433,239 | |||
TOTAL REAL ESTATE | 467,116,487 | ||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.8% | |||
AT&T, Inc. | 801,300 | 29,151,294 | |
Verizon Communications, Inc. | 3,352,137 | 170,590,252 | |
Zayo Group Holdings, Inc. (b) | 71,800 | 2,537,412 | |
202,278,958 | |||
Wireless Telecommunication Services - 0.3% | |||
T-Mobile U.S., Inc. (b) | 934,981 | 57,099,290 | |
TOTAL TELECOMMUNICATION SERVICES | 259,378,248 | ||
UTILITIES - 2.7% | |||
Electric Utilities - 2.2% | |||
American Electric Power Co., Inc. | 276,620 | 21,474,011 | |
Duke Energy Corp. | 71,000 | 6,331,780 | |
Edison International | 217,000 | 17,635,590 | |
Entergy Corp. | 115,700 | 10,005,736 | |
Eversource Energy | 334,000 | 21,659,900 | |
Exelon Corp. | 959,100 | 40,004,061 | |
FirstEnergy Corp. | 294,100 | 10,040,574 | |
Fortis, Inc. (a) | 482,258 | 17,755,497 | |
Fortis, Inc. | 811,583 | 29,866,254 | |
Great Plains Energy, Inc. | 134,200 | 4,604,402 | |
NextEra Energy, Inc. | 1,094,339 | 172,949,336 | |
OGE Energy Corp. | 59,200 | 2,116,992 | |
PG&E Corp. | 867,706 | 47,064,373 | |
Pinnacle West Capital Corp. | 13,500 | 1,239,435 | |
PPL Corp. | 1,557,814 | 57,125,039 | |
Southern Co. | 563,900 | 28,871,680 | |
Westar Energy, Inc. | 138,100 | 7,900,701 | |
Xcel Energy, Inc. | 539,437 | 27,840,344 | |
524,485,705 | |||
Gas Utilities - 0.1% | |||
Atmos Energy Corp. | 110,500 | 10,198,045 | |
Indraprastha Gas Ltd. | 148,535 | 752,233 | |
National Fuel Gas Co. | 10,300 | 605,640 | |
South Jersey Industries, Inc. | 23,200 | 785,552 | |
UGI Corp. | 2,810 | 137,718 | |
12,479,188 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Dynegy, Inc. (b) | 56,200 | 681,706 | |
NextEra Energy Partners LP | 53,200 | 2,076,396 | |
NRG Energy, Inc. | 116,500 | 3,221,225 | |
NRG Yield, Inc. Class C | 47,900 | 912,495 | |
The AES Corp. | 173,200 | 1,832,456 | |
8,724,278 | |||
Multi-Utilities - 0.4% | |||
Ameren Corp. | 29,400 | 1,880,424 | |
Avangrid, Inc. | 96,700 | 5,131,869 | |
CenterPoint Energy, Inc. | 74,200 | 2,226,742 | |
CMS Energy Corp. | 252,033 | 12,576,447 | |
Dominion Resources, Inc. | 76,500 | 6,435,945 | |
DTE Energy Co. | 136,831 | 15,813,559 | |
National Grid PLC | 672,861 | 8,053,298 | |
NiSource, Inc. | 259,430 | 7,142,108 | |
Public Service Enterprise Group, Inc. | 387,900 | 20,581,974 | |
SCANA Corp. | 39,900 | 1,722,483 | |
Sempra Energy | 212,100 | 25,661,979 | |
107,226,828 | |||
TOTAL UTILITIES | 652,915,999 | ||
TOTAL COMMON STOCKS | |||
(Cost $13,638,690,225) | 19,649,425,193 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (b)(e)(f) | 32,084 | 1,082,299 | |
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. Series A 6.125% | 37,600 | 2,274,800 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $3,348,003) | 3,357,099 | ||
Equity Funds - 18.0% | |||
Large Blend Funds - 9.9% | |||
Fidelity SAI U.S. Large Cap Index Fund (g) | 11,837,147 | 168,560,976 | |
JPMorgan U.S. Large Cap Core Plus Fund Select Class (h) | 57,775,870 | 1,945,313,541 | |
PIMCO StocksPLUS Absolute Return Fund Institutional Class | 24,914,138 | 308,686,166 | |
TOTAL LARGE BLEND FUNDS | 2,422,560,683 | ||
Large Growth Funds - 7.7% | |||
Fidelity Growth Company Fund (g) | 282,263 | 52,292,038 | |
Fidelity SAI U.S. Momentum Index Fund (g) | 19,548,736 | 238,690,063 | |
Fidelity SAI U.S. Quality Index Fund (g) | 121,121,120 | 1,597,587,567 | |
TOTAL LARGE GROWTH FUNDS | 1,888,569,668 | ||
Sector Funds - 0.4% | |||
iShares NASDAQ Biotechnology Index ETF (a) | 251,197 | 79,317,965 | |
SPDR S&P Biotech ETF (a) | 404,736 | 33,669,988 | |
TOTAL SECTOR FUNDS | 112,987,953 | ||
TOTAL EQUITY FUNDS | |||
(Cost $3,037,489,607) | 4,424,118,304 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.0% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.17% 12/14/17 to 3/8/18 (i) | |||
(Cost $6,884,088) | $6,897,000 | 6,883,231 | |
Shares | |||
Money Market Funds - 2.3% | |||
Fidelity Cash Central Fund, 1.13% (j) | 42,755,838 | 42,764,389 | |
Fidelity Securities Lending Cash Central Fund 1.13% (j)(k) | 181,246,480 | 181,264,605 | |
Invesco Government & Agency Portfolio Institutional Class 0.98%(l) | 327,858,898 | 327,858,898 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $551,886,664) | 551,887,892 | ||
TOTAL INVESTMENT IN SECURITIES - 100.5% | |||
(Cost $17,238,298,587) | 24,635,671,719 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (121,920,072) | ||
NET ASSETS - 100% | $24,513,751,647 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Bank of America Corp. | Chicago Board Options Exchange | 3,329 | $9,377,793 | $28.00 | 12/15/17 | $(243,017) |
Citigroup, Inc. | Chicago Board Options Exchange | 958 | 7,232,900 | 77.50 | 12/15/17 | (58,917) |
JPMorgan Chase & Co. | Chicago Board Options Exchange | 383 | 4,003,116 | 100.00 | 12/15/17 | (187,670) |
Lowe's Companies, Inc. | Chicago Board Options Exchange | 429 | 3,576,573 | 85.00 | 1/19/18 | (70,142) |
MasterCard, Inc. Class A | Chicago Board Options Exchange | 144 | 2,166,768 | 150.00 | 1/19/18 | (62,640) |
Morgan Stanley | Chicago Board Options Exchange | 477 | 2,461,797 | 50.00 | 12/15/17 | (96,116) |
The Charles Schwab Corp. | Chicago Board Options Exchange | 431 | 2,102,849 | 46.00 | 12/15/17 | (132,532) |
TOTAL WRITTEN OPTIONS | $(851,034) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 1,019 | Dec. 2017 | $134,910,505 | $8,452,869 | $8,452,869 |
The notional amount of futures purchased as a percentage of Net Assets is 0.6%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,004,280 or 0.0% of net assets.
(d) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $30,921,796.
(e) Level 3 security
(f) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,082,505 or 0.0% of net assets.
(g) Affiliated Fund
(h) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,593,849.
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(k) Investment made with cash collateral received from securities on loan.
(l) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 8/12/15 | $1,468,003 |
Velti PLC | 4/19/13 | $220,797 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $181,740 |
Fidelity Securities Lending Cash Central Fund | 834,862 |
Total | $1,016,602 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Growth Company Fund | $45,577,002 | $-- | $-- | $-- | $-- | $6,715,036 | $52,292,038 |
Fidelity SAI U.S. Large Cap Index Fund | 100,857,121 | 1,002,596,295 | 939,120,835 | 230,499 | 6,296,886 | (2,068,491) | 168,560,976 |
Fidelity SAI U.S. Momentum Index Fund | -- | 211,693,702 | -- | 741,522 | -- | 26,996,361 | 238,690,063 |
Fidelity SAI U.S. Quality Index Fund | 1,630,628,264 | 47,249,741 | 200,000,000 | 11,103,415 | 20,454,509 | 99,255,053 | 1,597,587,567 |
Total | $1,777,062,387 | $1,261,539,738 | $1,139,120,835 | $12,075,436 | $26,751,395 | $130,897,959 | $2,057,130,644 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $2,421,695,373 | $2,420,613,074 | $-- | $1,082,299 |
Consumer Staples | 1,386,900,554 | 1,384,820,228 | 2,080,326 | -- |
Energy | 1,290,033,666 | 1,288,463,384 | 571,706 | 998,576 |
Financials | 3,298,780,763 | 3,294,728,259 | 4,052,504 | -- |
Health Care | 2,478,289,097 | 2,451,961,772 | 26,327,325 | -- |
Industrials | 1,979,563,866 | 1,970,606,843 | 8,957,023 | -- |
Information Technology | 4,520,030,409 | 4,500,309,419 | 19,720,990 | -- |
Materials | 898,077,830 | 898,077,830 | -- | -- |
Real Estate | 467,116,487 | 467,116,487 | -- | -- |
Telecommunication Services | 259,378,248 | 259,378,248 | -- | -- |
Utilities | 652,915,999 | 652,915,999 | -- | -- |
Equity Funds | 4,424,118,304 | 4,424,118,304 | -- | -- |
Other Short-Term Investments | 6,883,231 | -- | 6,883,231 | -- |
Money Market Funds | 551,887,892 | 551,887,892 | -- | -- |
Total Investments in Securities: | $24,635,671,719 | $24,564,997,739 | $68,593,105 | $2,080,875 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $8,452,869 | $8,452,869 | $-- | $-- |
Total Assets | $8,452,869 | $8,452,869 | $-- | $-- |
Liabilities | ||||
Written Options | $(851,034) | $(851,034) | $-- | $-- |
Total Liabilities | $(851,034) | $(851,034) | $-- | $-- |
Total Derivative Instruments: | $7,601,835 | $7,601,835 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $8,452,869 | $0 |
Written Options(b) | 0 | (851,034) |
Total Equity Risk | 8,452,869 | (851,034) |
Total Value of Derivatives | $8,452,869 | $(851,034) |
(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 net unrealized appreciation (depreciation).
(b) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $180,211,715) — See accompanying schedule: Unaffiliated issuers (cost $15,370,154,309) | $22,354,512,081 | |
Fidelity Central Funds (cost $224,027,766) | 224,028,994 | |
Affiliated issuers (cost $1,644,116,512) | 2,057,130,644 | |
Total Investment in Securities (cost $17,238,298,587) | $24,635,671,719 | |
Foreign currency held at value (cost $2,246,477) | 2,246,477 | |
Receivable for investments sold | 300,737,684 | |
Receivable for fund shares sold | 7,969,276 | |
Dividends receivable | 38,632,979 | |
Interest receivable | 269,358 | |
Distributions receivable from Fidelity Central Funds | 127,768 | |
Receivable for daily variation margin on futures contracts | 1,161,660 | |
Other receivables | 436,769 | |
Total assets | 24,987,253,690 | |
Liabilities | ||
Payable to custodian bank | $35,481 | |
Payable for investments purchased | 273,469,473 | |
Payable for fund shares redeemed | 12,980,190 | |
Accrued management fee | 4,403,079 | |
Written options, at value (premium received $383,887) | 851,034 | |
Other payables and accrued expenses | 483,836 | |
Collateral on securities loaned | 181,278,950 | |
Total liabilities | 473,502,043 | |
Net Assets | $24,513,751,647 | |
Net Assets consist of: | ||
Paid in capital | $16,205,115,979 | |
Undistributed net investment income | 166,769,685 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 736,562,692 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 7,405,303,291 | |
Net Assets, for 1,324,326,518 shares outstanding | $24,513,751,647 | |
Net Asset Value, offering price and redemption price per share ($24,513,751,647 ÷ 1,324,326,518 shares) | $18.51 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $178,973,941 | |
Affiliated issuers | 12,075,436 | |
Interest | 1,519,955 | |
Income from Fidelity Central Funds | 1,016,602 | |
Total income | 193,585,934 | |
Expenses | ||
Management fee | $55,933,132 | |
Independent trustees' fees and expenses | 153,173 | |
Miscellaneous | 32,424 | |
Total expenses before reductions | 56,118,729 | |
Expense reductions | (29,902,341) | 26,216,388 |
Net investment income (loss) | 167,369,546 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers (net of foreign taxes of $10,920) | 784,236,474 | |
Fidelity Central Funds | (14,352) | |
Affiliated issuers | 26,751,395 | |
Foreign currency transactions | 80,127 | |
Futures contracts | 7,463,394 | |
Written options | 1,203,389 | |
Realized gain distributions from underlying funds: | ||
Affiliated issuers | 36,191,943 | |
Total net realized gain (loss) | 855,912,370 | |
Change in net unrealized appreciation (depreciation) on: | ||
Unaffiliated issuers (net of increase in deferred foreign taxes of $29,439) | 1,313,338,499 | |
Affiliated issuers | 130,897,959 | |
Assets and liabilities in foreign currencies | (734) | |
Futures contracts | 5,926,996 | |
Written options | (440,230) | |
Total change in net unrealized appreciation (depreciation) | 1,449,722,490 | |
Net gain (loss) | 2,305,634,860 | |
Net increase (decrease) in net assets resulting from operations | $2,473,004,406 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $167,369,546 | $323,952,777 |
Net realized gain (loss) | 855,912,370 | 1,255,945,445 |
Change in net unrealized appreciation (depreciation) | 1,449,722,490 | 2,309,861,220 |
Net increase (decrease) in net assets resulting from operations | 2,473,004,406 | 3,889,759,442 |
Distributions to shareholders from net investment income | (124,080,846) | (280,132,089) |
Distributions to shareholders from net realized gain | (744,485,080) | (376,121,471) |
Total distributions | (868,565,926) | (656,253,560) |
Share transactions | ||
Proceeds from sales of shares | 1,138,897,607 | 2,346,107,317 |
Reinvestment of distributions | 865,802,484 | 654,632,342 |
Cost of shares redeemed | (2,253,294,591) | (6,713,197,504) |
Net increase (decrease) in net assets resulting from share transactions | (248,594,500) | (3,712,457,845) |
Total increase (decrease) in net assets | 1,355,843,980 | (478,951,963) |
Net Assets | ||
Beginning of period | 23,157,907,667 | 23,636,859,630 |
End of period | $24,513,751,647 | $23,157,907,667 |
Other Information | ||
Undistributed net investment income end of period | $166,769,685 | $123,480,985 |
Shares | ||
Sold | 65,055,888 | 146,302,124 |
Issued in reinvestment of distributions | 51,474,583 | 41,453,021 |
Redeemed | (128,999,446) | (419,083,144) |
Net increase (decrease) | (12,468,975) | (231,327,999) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $17.32 | $15.07 | $16.12 | $15.56 | $14.00 | $11.28 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .12 | .22 | .19 | .19 | .16 | .17 |
Net realized and unrealized gain (loss) | 1.72 | 2.48 | (.37) | 1.51 | 2.52 | 2.89 |
Total from investment operations | 1.84 | 2.70 | (.18) | 1.70 | 2.68 | 3.06 |
Distributions from net investment income | (.09) | (.19) | (.19) | (.16) | (.14) | (.16) |
Distributions from net realized gain | (.56) | (.26) | (.68) | (.98) | (.98) | (.18) |
Total distributions | (.65) | (.45) | (.87) | (1.14) | (1.12) | (.34) |
Net asset value, end of period | $18.51 | $17.32 | $15.07 | $16.12 | $15.56 | $14.00 |
Total ReturnB,C | 11.01% | 18.22% | (1.10)% | 11.37% | 20.15% | 27.75% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .48%F | .46% | .43% | .42% | .46% | .44% |
Expenses net of fee waivers, if any | .22%F | .21% | .18% | .17% | .20% | .19% |
Expenses net of all reductions | .22%F | .21% | .18% | .17% | .20% | .19% |
Net investment income (loss) | 1.42%F | 1.40% | 1.32% | 1.22% | 1.07% | 1.36% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $24,513,752 | $23,157,908 | $23,636,860 | $24,497,753 | $14,197,329 | $10,785,567 |
Portfolio turnover rateG | 102%F | 100% | 85% | 104% | 109% | 73% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Core Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Income and capital gain distributions from Underlying Funds and distributions from ETFs, 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, security level mergers and exchanges and losses deferred due to wash sales.
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 | $ 7,537,853,863 |
Gross unrealized depreciation | (242,805,252) |
Net unrealized appreciation (depreciation) | $7,295,048,611 |
Tax cost | $17,348,608,830 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and options. 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts and exchange-traded options are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $7,463,394 | $5,926,996 |
Written Options | 1,203,389 | (440,230) |
Totals | $8,666,783 | $5,486,766 |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The 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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used exchange-traded and OTC written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $11,900,021,652 and $12,849,539,126, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .47% of the Fund's average net assets. The investment adviser pays all other expenses, except the compensation 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 the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. AllianceBernstein, L.P. (AB), Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, OppenheimerFunds, Inc., FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Aristotle Capital Management, LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS), Boston Partners Global Investors, Inc. and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Subsequent to period end, First Eagle Investment Management, LLC no longer manages a portion of the Fund's assets.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $34,647 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Prior Fiscal Year Exchanges In-Kind. During the prior period, the Fund redeemed shares of the funds noted in the following table in exchange for investments and cash. The Fund had a total net realized loss on the Fund's redemptions of the funds, noted in the following table. The Fund recognized total net losses on the exchanges for federal income tax purposes.
Transaction Date | Fund Name | Value of investments and cash received | Realized gain (loss) | Shares redeemed |
11/4/16 | Fidelity Advisor Materials Fund Class I | $60,325,459 | $(10,544,687) | 845,013 |
11/4/16 | Fidelity Advisor Technology Fund Class I | 442,814,201 | 37,575,050 | 10,768,828 |
11/4/16 | Fidelity Consumer Discretionary Portfolio | 255,946,088 | 22,040,117 | 7,597,094 |
11/4/16 | Fidelity Consumer Staples Portfolio | 205,991,818 | 4,123,854 | 2,230,314 |
11/4/16 | Fidelity Energy Portfolio | 146,061,109 | (23,606,187) | 3,526,343 |
11/4/16 | Fidelity Financial Services Portfolio | 276,003,424 | 7,690,809 | 3,248,246 |
11/4/16 | Fidelity Health Care Portfolio | 284,244,539 | (39,522,736) | 1,587,958 |
11/4/16 | Fidelity Industrials Portfolio | 203,573,978 | (6,379,139) | 6,790,326 |
11/4/16 | Fidelity Telecommunications Portfolio | 53,345,591 | 4,690,715 | 805,095 |
11/4/16 | Fidelity Utilities Portfolio | 68,267,475 | 6,062 | 950,668 |
Total | $1,996,573,682 | $(3,926,142) | 38,349,885 |
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $5,073.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $32,424 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $834,862.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2019. During the period, this waiver reduced the Fund's management fee by $29,496,716.
In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $336,422.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's management fee. During the period, these credits reduced the Fund's management fee by $2,778.
In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $66,425.
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 12% and 26% of the total outstanding shares of Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund, respectively.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Actual | .22% | $1,000.00 | $1,110.10 | $1.16 |
Hypothetical-C | $1,000.00 | $1,023.97 | $1.12 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management LLC, ClariVest Asset Management LLC, FIAM LLC, First Eagle Investment Management, LLC, J.P. Morgan Investment Management Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company, OppenheimerFunds, Inc., T. Rowe Price Associates, Inc., and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Fund
Strategic Advisers Core Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in each of the existing sub-advisory agreements with LSV Asset Management (LSV) and First Eagle Investment Management (First Eagle for the fund (the Amended Sub-Advisory Agreements), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to each of LSV and First Eagle, on behalf of the fund. The terms of each Amended Sub-Advisory Agreement are identical to those of the existing respective sub-advisory agreement with each sub-adviser, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of each respective Amended Sub-Advisory Agreement.In considering whether to approve each Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under each Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV and First Eagle, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that each Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered each sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding each sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve each Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreements would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that each new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to LSV and First Eagle under each respective Amended Sub-Advisory Agreement, on behalf of the fund. The Board also considered that each Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. The Board also considered that each Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. In addition, the Board considered that Strategic Advisers' portion of the management fee will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund's operating expenses, with certain limited exceptions, out of its portion of the management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive under each Amended Sub-Advisory Agreement and the other factors considered.Because each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that each Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV and First Eagle as assets allocated to each sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that each Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that each Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SAI-COR-SANN-0118
1.902942.107
Strategic Advisers® Growth Fund Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Fidelity Growth Company Fund | 16.8 | 15.5 |
Fidelity SAI U.S. Quality Index Fund | 10.0 | 9.0 |
Columbia Select Large Cap Growth Fund Class R5 | 4.9 | 5.2 |
Apple, Inc. | 3.0 | 3.9 |
Fidelity SAI U.S. Momentum Index Fund | 3.0 | 0.0 |
Facebook, Inc. Class A | 2.9 | 2.4 |
Microsoft Corp. | 2.7 | 2.1 |
Amazon.com, Inc. | 2.6 | 2.2 |
Alphabet, Inc. Class C | 1.8 | 2.2 |
Alphabet, Inc. Class A | 1.6 | 2.1 |
49.3 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 25.2 | 26.3 |
Consumer Discretionary | 10.1 | 11.9 |
Health Care | 8.6 | 10.7 |
Industrials | 7.0 | 6.5 |
Consumer Staples | 5.3 | 6.5 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 61.2% | |
Preferred Stocks | 0.1% | |
Large Growth Funds | 34.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.0% |
As of May 31, 2017 | ||
Common Stocks | 68.6% | |
Preferred Stocks | 0.1% | |
Large Growth Funds | 29.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 1.6% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 61.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 10.0% | |||
Auto Components - 0.6% | |||
Lear Corp. | 403,790 | $73,041,573 | |
Automobiles - 0.3% | |||
Thor Industries, Inc. | 253,285 | 38,891,912 | |
Hotels, Restaurants & Leisure - 2.4% | |||
Carnival Corp. | 163,322 | 10,720,456 | |
Domino's Pizza, Inc. | 208,938 | 38,895,898 | |
Marriott International, Inc. Class A | 291,498 | 37,020,246 | |
McDonald's Corp. | 426,756 | 73,389,229 | |
Norwegian Cruise Line Holdings Ltd. (a) | 70,254 | 3,804,957 | |
Royal Caribbean Cruises Ltd. | 208,199 | 25,791,692 | |
Starbucks Corp. | 385,512 | 22,290,304 | |
Wyndham Worldwide Corp. | 306,114 | 34,404,152 | |
Yum China Holdings, Inc. | 364,357 | 14,876,696 | |
Yum! Brands, Inc. | 292,814 | 24,441,185 | |
285,634,815 | |||
Household Durables - 0.7% | |||
D.R. Horton, Inc. | 1,079,684 | 55,063,884 | |
Mohawk Industries, Inc. (a) | 81,143 | 22,931,823 | |
77,995,707 | |||
Internet & Direct Marketing Retail - 3.0% | |||
Amazon.com, Inc. (a) | 262,807 | 309,258,137 | |
Priceline Group, Inc.(a) | 22,897 | 39,834,140 | |
349,092,277 | |||
Media - 0.7% | |||
Comcast Corp. Class A | 2,178,203 | 81,769,741 | |
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. (a) | 182,770 | 18,781,445 | |
Specialty Retail - 1.8% | |||
Best Buy Co., Inc. | 479,945 | 28,609,521 | |
Home Depot, Inc. | 652,697 | 117,367,975 | |
Michaels Companies, Inc. (a) | 818,377 | 17,676,943 | |
Ross Stores, Inc. | 501,009 | 38,091,714 | |
TJX Companies, Inc. | 211,576 | 15,984,567 | |
217,730,720 | |||
Textiles, Apparel & Luxury Goods - 0.3% | |||
PVH Corp. | 297,864 | 40,077,601 | |
TOTAL CONSUMER DISCRETIONARY | 1,183,015,791 | ||
CONSUMER STAPLES - 5.3% | |||
Beverages - 2.1% | |||
Constellation Brands, Inc. Class A (sub. vtg.) | 258,369 | 56,218,511 | |
Monster Beverage Corp. (a) | 757,665 | 47,482,866 | |
PepsiCo, Inc. | 964,205 | 112,349,167 | |
The Coca-Cola Co. | 711,937 | 32,585,356 | |
248,635,900 | |||
Food & Staples Retailing - 0.9% | |||
Costco Wholesale Corp. | 240,083 | 44,278,508 | |
CVS Health Corp. | 210,971 | 16,160,379 | |
Wal-Mart Stores, Inc. | 506,077 | 49,205,867 | |
109,644,754 | |||
Food Products - 1.5% | |||
Archer Daniels Midland Co. | 205,008 | 8,175,719 | |
Danone SA sponsored ADR | 2,239,133 | 37,942,109 | |
Ingredion, Inc. | 173,980 | 24,092,750 | |
Pinnacle Foods, Inc. | 399,665 | 23,272,493 | |
The Hershey Co. | 278,318 | 30,873,816 | |
Tyson Foods, Inc. Class A | 697,332 | 57,355,557 | |
181,712,444 | |||
Household Products - 0.3% | |||
Procter & Gamble Co. | 338,642 | 30,474,394 | |
Tobacco - 0.5% | |||
Altria Group, Inc. | 465,755 | 31,592,162 | |
Philip Morris International, Inc. | 227,690 | 23,395,148 | |
54,987,310 | |||
TOTAL CONSUMER STAPLES | 625,454,802 | ||
ENERGY - 0.5% | |||
Energy Equipment & Services - 0.3% | |||
Schlumberger Ltd. | 518,211 | 32,569,561 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Valero Energy Corp. | 249,800 | 21,387,876 | |
TOTAL ENERGY | 53,957,437 | ||
FINANCIALS - 2.3% | |||
Banks - 0.3% | |||
Bank of America Corp. | 605,090 | 17,045,385 | |
Zions Bancorporation | 323,117 | 16,010,447 | |
33,055,832 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc. | 96,237 | 19,119,405 | |
Bank of New York Mellon Corp. | 636,554 | 34,844,966 | |
FactSet Research Systems, Inc. | 101,252 | 20,238,250 | |
SEI Investments Co. | 527,095 | 37,086,404 | |
State Street Corp. | 233,924 | 22,304,653 | |
133,593,678 | |||
Consumer Finance - 0.4% | |||
American Express Co. | 173,599 | 16,962,358 | |
Discover Financial Services | 401,469 | 28,343,711 | |
45,306,069 | |||
Insurance - 0.5% | |||
MetLife, Inc. | 433,971 | 23,295,563 | |
Progressive Corp. | 334,852 | 17,807,429 | |
Prudential Financial, Inc. | 186,263 | 21,576,706 | |
62,679,698 | |||
TOTAL FINANCIALS | 274,635,277 | ||
HEALTH CARE - 8.6% | |||
Biotechnology - 2.6% | |||
AbbVie, Inc. | 574,842 | 55,713,687 | |
Amgen, Inc. | 592,075 | 104,003,895 | |
Biogen, Inc. (a) | 194,124 | 62,540,929 | |
Celgene Corp. (a) | 561,411 | 56,607,071 | |
Regeneron Pharmaceuticals, Inc. (a) | 71,067 | 25,716,305 | |
304,581,887 | |||
Health Care Equipment & Supplies - 1.5% | |||
Align Technology, Inc. (a) | 51,148 | 13,343,490 | |
Edwards Lifesciences Corp. (a) | 638,941 | 74,883,885 | |
Medtronic PLC | 233,591 | 19,184,829 | |
The Cooper Companies, Inc. | 163,127 | 39,342,970 | |
Varian Medical Systems, Inc. (a) | 230,010 | 25,703,618 | |
172,458,792 | |||
Health Care Providers & Services - 2.5% | |||
Aetna, Inc. | 252,347 | 45,467,882 | |
Express Scripts Holding Co. (a) | 67,327 | 4,388,374 | |
HCA Holdings, Inc. (a) | 264,949 | 22,520,665 | |
Humana, Inc. | 57,079 | 14,889,628 | |
Laboratory Corp. of America Holdings (a) | 246,758 | 39,054,389 | |
McKesson Corp. | 121,092 | 17,890,132 | |
UnitedHealth Group, Inc. | 564,279 | 128,751,539 | |
Wellcare Health Plans, Inc. (a) | 112,080 | 23,871,919 | |
296,834,528 | |||
Health Care Technology - 0.2% | |||
Cerner Corp. (a) | 362,432 | 25,620,318 | |
Life Sciences Tools & Services - 0.6% | |||
Illumina, Inc. (a) | 28,802 | 6,625,324 | |
Thermo Fisher Scientific, Inc. | 321,482 | 61,968,870 | |
68,594,194 | |||
Pharmaceuticals - 1.2% | |||
Bristol-Myers Squibb Co. | 172,650 | 10,909,754 | |
Eli Lilly & Co. | 489,934 | 41,468,014 | |
Johnson & Johnson | 183,614 | 25,582,939 | |
Merck & Co., Inc. | 199,840 | 11,045,157 | |
Novartis AG sponsored ADR | 247,867 | 21,266,989 | |
Novo Nordisk A/S Series B sponsored ADR (b) | 725,476 | 37,557,893 | |
147,830,746 | |||
TOTAL HEALTH CARE | 1,015,920,465 | ||
INDUSTRIALS - 7.0% | |||
Aerospace & Defense - 2.5% | |||
General Dynamics Corp. | 158,782 | 32,893,279 | |
Lockheed Martin Corp. | 87,556 | 27,940,871 | |
Northrop Grumman Corp. | 172,501 | 53,026,807 | |
Textron, Inc. | 460,593 | 25,659,636 | |
The Boeing Co. | 463,190 | 128,210,992 | |
United Technologies Corp. | 217,532 | 26,419,261 | |
294,150,846 | |||
Air Freight & Logistics - 0.5% | |||
Expeditors International of Washington, Inc. | 508,217 | 32,922,297 | |
United Parcel Service, Inc. Class B | 216,941 | 26,347,484 | |
59,269,781 | |||
Airlines - 0.3% | |||
Copa Holdings SA Class A | 109,191 | 14,652,340 | |
Delta Air Lines, Inc. | 378,697 | 20,040,645 | |
34,692,985 | |||
Building Products - 0.7% | |||
Owens Corning | 892,220 | 78,827,637 | |
Electrical Equipment - 0.2% | |||
Eaton Corp. PLC | 254,305 | 19,779,843 | |
Industrial Conglomerates - 0.2% | |||
Roper Technologies, Inc. | 90,601 | 24,209,493 | |
Machinery - 1.6% | |||
Caterpillar, Inc. | 329,603 | 46,523,463 | |
Deere & Co. | 218,450 | 32,736,917 | |
Ingersoll-Rand PLC | 555,189 | 48,645,660 | |
Oshkosh Corp. | 280,151 | 25,224,796 | |
Parker Hannifin Corp. | 109,464 | 20,523,405 | |
Stanley Black & Decker, Inc. | 94,386 | 16,010,697 | |
189,664,938 | |||
Road & Rail - 0.4% | |||
Kansas City Southern | 43,803 | 4,912,068 | |
Union Pacific Corp. | 370,750 | 46,899,875 | |
51,811,943 | |||
Trading Companies & Distributors - 0.6% | |||
United Rentals, Inc. (a) | 376,699 | 60,075,957 | |
Univar, Inc. (a) | 561,000 | 16,527,060 | |
76,603,017 | |||
TOTAL INDUSTRIALS | 829,010,483 | ||
INFORMATION TECHNOLOGY - 25.2% | |||
Communications Equipment - 0.7% | |||
Cisco Systems, Inc. | 2,125,563 | 79,283,500 | |
Internet Software & Services - 7.2% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 422,870 | 74,881,820 | |
Alphabet, Inc.: | |||
Class A (a) | 182,139 | 188,726,968 | |
Class C (a) | 203,171 | 207,520,891 | |
Dropbox, Inc. Class B (a)(c)(d) | 286,254 | 4,067,669 | |
eBay, Inc. (a) | 893,232 | 30,968,353 | |
Facebook, Inc. Class A (a) | 1,933,698 | 342,612,612 | |
SurveyMonkey (a)(c)(d) | 163,411 | 2,090,027 | |
850,868,340 | |||
IT Services - 4.2% | |||
Amdocs Ltd. | 134,626 | 8,789,732 | |
Automatic Data Processing, Inc. | 84,600 | 9,683,316 | |
Cognizant Technology Solutions Corp. Class A | 450,155 | 32,537,203 | |
DXC Technology Co. | 365,124 | 35,103,021 | |
Fidelity National Information Services, Inc. | 185,923 | 17,538,117 | |
First Data Corp. Class A (a) | 1,457,496 | 23,975,809 | |
Fiserv, Inc. (a) | 287,783 | 37,829,075 | |
Global Payments, Inc. | 454,537 | 45,708,241 | |
MasterCard, Inc. Class A | 390,442 | 58,749,808 | |
Total System Services, Inc. | 430,104 | 31,982,533 | |
Vantiv, Inc. (a)(b) | 589,024 | 44,176,800 | |
Visa, Inc. Class A | 1,342,514 | 151,153,651 | |
497,227,306 | |||
Semiconductors & Semiconductor Equipment - 3.3% | |||
Analog Devices, Inc. | 57,099 | 4,916,795 | |
Applied Materials, Inc. | 2,122,127 | 111,984,642 | |
KLA-Tencor Corp. | 156,369 | 15,987,167 | |
Lam Research Corp. | 291,886 | 56,138,434 | |
Microchip Technology, Inc. (b) | 284,017 | 24,706,639 | |
NVIDIA Corp. | 504,777 | 101,313,792 | |
Qualcomm, Inc. | 572,869 | 38,004,129 | |
Texas Instruments, Inc. | 298,130 | 29,005,068 | |
382,056,666 | |||
Software - 6.4% | |||
Activision Blizzard, Inc. | 593,424 | 37,029,658 | |
Adobe Systems, Inc. (a) | 479,525 | 87,019,402 | |
Autodesk, Inc. (a) | 362,423 | 39,757,803 | |
Electronic Arts, Inc. (a) | 703,152 | 74,780,215 | |
Intuit, Inc. | 256,466 | 40,321,585 | |
Microsoft Corp. | 3,826,545 | 322,080,293 | |
Oracle Corp. | 1,632,435 | 80,087,261 | |
Synopsys, Inc. (a) | 492,018 | 44,468,587 | |
Take-Two Interactive Software, Inc. (a) | 304,672 | 33,986,162 | |
759,530,966 | |||
Technology Hardware, Storage & Peripherals - 3.4% | |||
Apple, Inc. | 2,061,086 | 354,197,629 | |
NetApp, Inc. | 847,218 | 47,876,289 | |
402,073,918 | |||
TOTAL INFORMATION TECHNOLOGY | 2,971,040,696 | ||
MATERIALS - 1.5% | |||
Chemicals - 0.7% | |||
FMC Corp. | 297,979 | 28,129,218 | |
LyondellBasell Industries NV Class A | 380,509 | 39,839,292 | |
Monsanto Co. | 163,555 | 19,355,099 | |
87,323,609 | |||
Containers & Packaging - 0.5% | |||
Berry Global Group, Inc. (a) | 337,122 | 20,149,782 | |
Owens-Illinois, Inc. (a) | 803,855 | 19,469,368 | |
Sealed Air Corp. | 332,842 | 15,993,058 | |
55,612,208 | |||
Metals & Mining - 0.3% | |||
Steel Dynamics, Inc. | 936,984 | 36,073,884 | |
TOTAL MATERIALS | 179,009,701 | ||
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
American Tower Corp. | 288,981 | 41,593,035 | |
SBA Communications Corp. Class A (a) | 188,149 | 31,938,293 | |
73,531,328 | |||
Real Estate Management & Development - 0.1% | |||
Realogy Holdings Corp. | 555,213 | 15,495,995 | |
TOTAL REAL ESTATE | 89,027,323 | ||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 1,190,351 | 12,593,914 | |
TOTAL COMMON STOCKS | |||
(Cost $4,258,299,896) | 7,233,665,889 | ||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Diversified Consumer Services - 0.1% | |||
Airbnb, Inc. Series D (a)(c)(d) | 98,859 | 9,204,761 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Internet Software & Services - 0.0% | |||
Dropbox, Inc. Series A (a)(c)(d) | 28,508 | 405,099 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $4,282,822) | 9,609,860 | ||
Equity Funds - 34.7% | |||
Large Growth Funds - 34.7% | |||
Columbia Select Large Cap Growth Fund Class R5 | 32,981,124 | 583,436,091 | |
Fidelity Growth Company Fund (e) | 10,703,837 | 1,982,992,873 | |
Fidelity SAI U.S. Momentum Index Fund (e) | 28,911,041 | 353,003,809 | |
Fidelity SAI U.S. Quality Index Fund (e) | 89,156,669 | 1,175,976,462 | |
TOTAL EQUITY FUNDS | |||
(Cost $2,922,257,477) | 4,095,409,235 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.1% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.27% 12/7/17 to 3/1/18 (f) | |||
(Cost $16,550,965) | 16,584,000 | 16,551,375 | |
Shares | |||
Money Market Funds - 4.1% | |||
Fidelity Securities Lending Cash Central Fund 1.13%(g)(h) | 36,998,880 | 37,002,580 | |
Invesco Government & Agency Portfolio Institutional Class 0.98% (i) | 446,928,875 | 446,928,875 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $483,931,455) | 483,931,455 | ||
TOTAL INVESTMENT IN SECURITIES - 100.2% | |||
(Cost $7,685,322,615) | 11,839,167,814 | ||
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (29,029,832) | ||
NET ASSETS - 100% | $11,810,137,982 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Growth Index Contracts (United States) | 5,894 | Dec. 2017 | $395,782,100 | $13,824,475 | $13,824,475 |
The notional amount of futures purchased as a percentage of Net Assets is 3.4%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $15,767,556 or 0.1% of net assets.
(d) Level 3 security
(e) Affiliated Fund
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $15,897,870.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(h) Investment made with cash collateral received from securities on loan.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Airbnb, Inc. Series D | 4/16/14 | $4,024,850 |
Dropbox, Inc. Class B | 5/1/12 | $2,591,086 |
Dropbox, Inc. Series A | 5/25/12 | $257,972 |
SurveyMonkey | 11/25/14 | $2,688,111 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Securities Lending Cash Central Fund | $17,434 |
Total | $17,434 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Growth Company Fund | $1,701,841,148 | $30,000,000 | $-- | $-- | $-- | $251,151,725 | $1,982,992,873 |
Fidelity SAI U.S. Momentum Index Fund | -- | 345,000,000 | -- | -- | -- | 8,003,809 | 353,003,809 |
Fidelity SAI U.S. Quality Index Fund | 988,570,199 | 102,655,228 | -- | 8,427,157 | -- | 84,751,035 | 1,175,976,462 |
Total | $2,690,411,347 | $477,655,228 | $-- | $8,427,157 | $-- | $343,906,569 | $3,511,973,144 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $1,192,220,552 | $1,183,015,791 | $-- | $9,204,761 |
Consumer Staples | 625,454,802 | 625,454,802 | -- | -- |
Energy | 53,957,437 | 53,957,437 | -- | -- |
Financials | 274,635,277 | 274,635,277 | -- | -- |
Health Care | 1,015,920,465 | 1,015,920,465 | -- | -- |
Industrials | 829,010,483 | 829,010,483 | -- | -- |
Information Technology | 2,971,445,795 | 2,964,883,000 | -- | 6,562,795 |
Materials | 179,009,701 | 179,009,701 | -- | -- |
Real Estate | 89,027,323 | 89,027,323 | -- | -- |
Utilities | 12,593,914 | 12,593,914 | -- | -- |
Equity Funds | 4,095,409,235 | 4,095,409,235 | -- | -- |
Other Short-Term Investments | 16,551,375 | -- | 16,551,375 | -- |
Money Market Funds | 483,931,455 | 483,931,455 | -- | -- |
Total Investments in Securities: | $11,839,167,814 | $11,806,848,883 | $16,551,375 | $15,767,556 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $13,824,475 | $13,824,475 | $-- | $-- |
Total Assets | $13,824,475 | $13,824,475 | $-- | $-- |
Total Derivative Instruments: | $13,824,475 | $13,824,475 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $13,824,475 | $0 |
Total Equity Risk | 13,824,475 | 0 |
Total Value of Derivatives | $13,824,475 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $37,522,632) — See accompanying schedule: Unaffiliated issuers (cost $5,222,206,434) | $8,290,192,090 | |
Fidelity Central Funds (cost $37,002,579) | 37,002,580 | |
Affiliated issuers (cost $2,426,113,602) | 3,511,973,144 | |
Total Investment in Securities (cost $7,685,322,615) | $11,839,167,814 | |
Foreign currency held at value (cost $13,672) | 15,286 | |
Receivable for investments sold | 8,789,893 | |
Receivable for fund shares sold | 3,625,886 | |
Dividends receivable | 10,428,591 | |
Interest receivable | 270,686 | |
Distributions receivable from Fidelity Central Funds | 7,165 | |
Receivable for daily variation margin on futures contracts | 3,917,725 | |
Prepaid expenses | 22,471 | |
Other receivables | 224,073 | |
Total assets | 11,866,469,590 | |
Liabilities | ||
Payable to custodian bank | $3,277,343 | |
Payable for investments purchased | 7,199,451 | |
Payable for fund shares redeemed | 6,336,586 | |
Accrued management fee | 1,117,737 | |
Other affiliated payables | 1,135,967 | |
Other payables and accrued expenses | 259,624 | |
Collateral on securities loaned | 37,004,900 | |
Total liabilities | 56,331,608 | |
Net Assets | $11,810,137,982 | |
Net Assets consist of: | ||
Paid in capital | $6,697,191,915 | |
Undistributed net investment income | 42,612,320 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 902,662,459 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 4,167,671,288 | |
Net Assets, for 615,121,807 shares outstanding | $11,810,137,982 | |
Net Asset Value, offering price and redemption price per share ($11,810,137,982 ÷ 615,121,807 shares) | $19.20 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $48,546,384 | |
Affiliated issuers | 8,427,157 | |
Interest | 919,925 | |
Income from Fidelity Central Funds | 17,434 | |
Total income | 57,910,900 | |
Expenses | ||
Management fee | $21,559,745 | |
Transfer agent fees | 6,182,042 | |
Accounting and security lending fees | 669,210 | |
Custodian fees and expenses | 47,710 | |
Independent trustees' fees and expenses | 72,845 | |
Registration fees | 44,076 | |
Audit | 33,817 | |
Legal | 29,651 | |
Miscellaneous | 49,163 | |
Total expenses before reductions | 28,688,259 | |
Expense reductions | (14,056,094) | 14,632,165 |
Net investment income (loss) | 43,278,735 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 855,067,842 | |
Fidelity Central Funds | (8,209) | |
Foreign currency transactions | (8) | |
Futures contracts | 4,106,753 | |
Realized gain distributions from underlying funds: | ||
Unaffiliated issuers | 36,903,305 | |
Affiliated issuers | 24,228,072 | |
Total net realized gain (loss) | 920,297,755 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,557,240 | |
Fidelity Central Funds | 388 | |
Other affiliated issuers | 343,906,569 | |
Assets and liabilities in foreign currencies | 859 | |
Futures contracts | 9,173,111 | |
Total change in net unrealized appreciation (depreciation) | 354,638,167 | |
Net gain (loss) | 1,274,935,922 | |
Net increase (decrease) in net assets resulting from operations | $1,318,214,657 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $43,278,735 | $95,478,042 |
Net realized gain (loss) | 920,297,755 | 1,205,172,331 |
Change in net unrealized appreciation (depreciation) | 354,638,167 | 681,903,263 |
Net increase (decrease) in net assets resulting from operations | 1,318,214,657 | 1,982,553,636 |
Distributions to shareholders from net investment income | (32,343,012) | (93,952,653) |
Distributions to shareholders from net realized gain | (487,586,164) | (947,878,670) |
Total distributions | (519,929,176) | (1,041,831,323) |
Share transactions | ||
Proceeds from sales of shares | 525,795,401 | 1,262,990,627 |
Reinvestment of distributions | 517,773,792 | 1,038,085,983 |
Cost of shares redeemed | (996,670,572) | (3,239,442,386) |
Net increase (decrease) in net assets resulting from share transactions | 46,898,621 | (938,365,776) |
Total increase (decrease) in net assets | 845,184,102 | 2,356,537 |
Net Assets | ||
Beginning of period | 10,964,953,880 | 10,962,597,343 |
End of period | $11,810,137,982 | $10,964,953,880 |
Other Information | ||
Undistributed net investment income end of period | $42,612,320 | $31,676,597 |
Shares | ||
Sold | 29,058,021 | 76,190,260 |
Issued in reinvestment of distributions | 30,173,298 | 64,942,406 |
Redeemed | (55,627,114) | (193,497,248) |
Net increase (decrease) | 3,604,205 | (52,364,582) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $17.93 | $16.51 | $17.60 | $16.51 | $14.71 | $12.13 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .07 | .15 | .13 | .12 | .12 | .12 |
Net realized and unrealized gain (loss) | 2.05 | 2.89 | (.23) | 2.10 | 3.01 | 2.57 |
Total from investment operations | 2.12 | 3.04 | (.10) | 2.22 | 3.13 | 2.69 |
Distributions from net investment income | (.05) | (.15) | (.12) | (.12) | (.10) | (.10) |
Distributions from net realized gain | (.80) | (1.47) | (.88) | (1.01) | (1.23) | –B |
Total distributions | (.85) | (1.62) | (.99)C | (1.13) | (1.33) | (.11)D |
Net asset value, end of period | $19.20 | $17.93 | $16.51 | $17.60 | $16.51 | $14.71 |
Total ReturnE,F | 12.40% | 19.87% | (.62)% | 13.99% | 22.64% | 22.29% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .51%I | .54% | .57% | .56% | .56% | .62% |
Expenses net of fee waivers, if any | .26%I | .28% | .32% | .31% | .31% | .37% |
Expenses net of all reductions | .26%I | .28% | .32% | .31% | .31% | .37% |
Net investment income (loss) | .77%I | .89% | .79% | .73% | .75% | .89% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $11,810,138 | $10,964,954 | $10,962,597 | $13,134,171 | $12,141,245 | $9,084,200 |
Portfolio turnover rateJ | 45%I | 38% | 30% | 40% | 39% | 73% |
A Calculated based on average shares outstanding during the period.
B Amount represents less than $.005 per share.
C Total distributions of $.99 per share is comprised of distributions from net investment income of $.115 and distributions from net realized gain of $.876 per share.
D Total distributions of $.11 per share is comprised of distributions from net investment income of $.103 and distributions from net realized gain of $.003 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Growth Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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. Income and capital gain distributions from Underlying 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, market discount, deferred trustees compensation, security level mergers and exchanges and losses deferred due to wash sales.
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 | $4,191,871,196 |
Gross unrealized depreciation | (29,660,169) |
Net unrealized appreciation (depreciation) | $4,162,211,027 |
Tax cost | $7,690,781,262 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $2,464,220,478 and $3,110,098,138, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .95% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .38% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS) and FIAM LLC (an affiliate of the investment adviser) (through November 7, 2017) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC and Waddell & Reed have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .11% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $41,558 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $12,470 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $17,434.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2019. During the period, this waiver reduced the Fund's management fee by $14,052,074.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $3,918 for the period.
In addition, 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. During the period, these credits reduced the Fund's expenses by $102.
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 18% and 19% of the total outstanding shares of Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund, respectively.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Actual | .26% | $1,000.00 | $1,124.00 | $1.38 |
Hypothetical-C | $1,000.00 | $1,023.76 | $1.32 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Growth Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC, FIAM LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company, and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Growth Fund
Strategic Advisers Growth Fund
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SGF-SANN-0118
1.907406.107
Strategic Advisers® Core Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 (plan accounts) or 1-800-544-3455 (all other accounts) to request a free copy of the proxy voting guidelines.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Microsoft Corp. | 3.6 | 2.6 |
Apple, Inc. | 3.2 | 3.1 |
Alphabet, Inc. Class C | 2.8 | 3.1 |
Bank of America Corp.(a) | 2.0 | 1.7 |
Citigroup, Inc.(a) | 1.9 | 1.3 |
Northrop Grumman Corp. | 1.7 | 1.5 |
Chevron Corp. | 1.6 | 0.7 |
PepsiCo, Inc. | 1.6 | 2.1 |
Air Products & Chemicals, Inc. | 1.5 | 0.4 |
EOG Resources, Inc. | 1.5 | 0.8 |
21.4 |
(a) Security or a portion of the security is pledged as collateral for call options written.
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 20.4 | 22.5 |
Financials | 12.5 | 11.6 |
Consumer Discretionary | 11.6 | 13.3 |
Industrials | 9.2 | 11.1 |
Health Care | 9.1 | 11.6 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 88.0% | |
Sector Funds | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 11.2% |
As of May 31, 2017 | ||
Common Stocks | 93.5% | |
Sector Funds | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.6% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 88.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 11.6% | |||
Auto Components - 0.2% | |||
Delphi Automotive PLC | 1,123 | $117,544 | |
Automobiles - 0.3% | |||
Ford Motor Co. | 14,240 | 178,285 | |
General Motors Co. | 345 | 14,866 | |
193,151 | |||
Hotels, Restaurants & Leisure - 2.0% | |||
Carnival Corp. | 1,735 | 113,885 | |
Hilton Worldwide Holdings, Inc. | 1,658 | 128,594 | |
McDonald's Corp. | 4,626 | 795,533 | |
MGM Mirage, Inc. | 8,127 | 277,293 | |
Norwegian Cruise Line Holdings Ltd. (a) | 1,713 | 92,776 | |
1,408,081 | |||
Household Durables - 0.4% | |||
Lennar Corp. Class A | 2,874 | 180,430 | |
Toll Brothers, Inc. | 2,002 | 100,761 | |
281,191 | |||
Internet & Direct Marketing Retail - 1.3% | |||
Amazon.com, Inc. (a) | 540 | 635,445 | |
Expedia, Inc. | 839 | 102,778 | |
Priceline Group, Inc. (a) | 105 | 182,670 | |
920,893 | |||
Media - 3.9% | |||
CBS Corp. Class B | 3,029 | 169,806 | |
Charter Communications, Inc. Class A (a) | 622 | 202,903 | |
Comcast Corp. Class A | 19,440 | 729,778 | |
DISH Network Corp. Class A (a) | 2,766 | 140,098 | |
The Walt Disney Co. | 4,328 | 453,661 | |
Time Warner, Inc. | 3,142 | 287,524 | |
Twenty-First Century Fox, Inc. Class A | 21,806 | 696,484 | |
Viacom, Inc. Class B (non-vtg.) | 308 | 8,723 | |
2,688,977 | |||
Multiline Retail - 0.5% | |||
Dollar Tree, Inc. (a) | 1,786 | 183,529 | |
Target Corp. | 2,759 | 165,264 | |
348,793 | |||
Specialty Retail - 2.4% | |||
Home Depot, Inc. | 4,012 | 721,438 | |
Lowe's Companies, Inc. (b) | 5,061 | 421,936 | |
O'Reilly Automotive, Inc. (a) | 1,252 | 295,735 | |
Ross Stores, Inc. | 1,131 | 85,990 | |
TJX Companies, Inc. | 2,230 | 168,477 | |
1,693,576 | |||
Textiles, Apparel & Luxury Goods - 0.6% | |||
lululemon athletica, Inc. (a) | 695 | 46,537 | |
NIKE, Inc. Class B | 5,890 | 355,874 | |
402,411 | |||
TOTAL CONSUMER DISCRETIONARY | 8,054,617 | ||
CONSUMER STAPLES - 6.3% | |||
Beverages - 2.4% | |||
Coca-Cola European Partners PLC | 3,904 | 152,217 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 497 | 108,142 | |
Molson Coors Brewing Co. Class B | 2,289 | 178,771 | |
PepsiCo, Inc. | 9,626 | 1,121,622 | |
The Coca-Cola Co. | 2,781 | 127,286 | |
1,688,038 | |||
Food & Staples Retailing - 0.9% | |||
Costco Wholesale Corp. | 84 | 15,492 | |
CVS Health Corp. | 1,050 | 80,430 | |
Kroger Co. | 2,533 | 65,503 | |
Wal-Mart Stores, Inc. | 2,671 | 259,701 | |
Walgreens Boots Alliance, Inc. | 2,341 | 170,331 | |
591,457 | |||
Food Products - 0.8% | |||
General Mills, Inc. | 1,530 | 86,537 | |
Mondelez International, Inc. | 7,716 | 331,325 | |
The Kraft Heinz Co. | 1,784 | 145,164 | |
563,026 | |||
Household Products - 0.8% | |||
Clorox Co. | 798 | 111,153 | |
Colgate-Palmolive Co. | 3,475 | 251,764 | |
Procter & Gamble Co. | 1,684 | 151,543 | |
Reckitt Benckiser Group PLC | 92 | 8,076 | |
522,536 | |||
Personal Products - 0.4% | |||
Estee Lauder Companies, Inc. Class A | 1,952 | 243,668 | |
Unilever NV (NY Reg.) | 455 | 26,272 | |
269,940 | |||
Tobacco - 1.0% | |||
Altria Group, Inc. | 4,221 | 286,310 | |
British American Tobacco PLC sponsored ADR | 485 | 30,861 | |
Philip Morris International, Inc. | 3,739 | 384,182 | |
701,353 | |||
TOTAL CONSUMER STAPLES | 4,336,350 | ||
ENERGY - 6.6% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes, a GE Co. Class A | 242 | 7,195 | |
Schlumberger Ltd. | 3,137 | 197,160 | |
204,355 | |||
Oil, Gas & Consumable Fuels - 6.3% | |||
Anadarko Petroleum Corp. | 3,414 | 164,179 | |
Apache Corp. | 1,350 | 56,471 | |
Chevron Corp. | 9,581 | 1,140,043 | |
Concho Resources, Inc. (a) | 1,289 | 180,280 | |
ConocoPhillips Co. | 3,658 | 186,119 | |
Diamondback Energy, Inc. (a) | 1,728 | 188,888 | |
EOG Resources, Inc. | 10,289 | 1,052,770 | |
EQT Corp. | 2,069 | 123,312 | |
Exxon Mobil Corp. | 132 | 10,994 | |
Imperial Oil Ltd. | 1,413 | 43,590 | |
Kinder Morgan, Inc. | 3,906 | 67,300 | |
Occidental Petroleum Corp. | 7,485 | 527,693 | |
Phillips 66 Co. | 277 | 27,024 | |
Pioneer Natural Resources Co. | 1,882 | 293,667 | |
Suncor Energy, Inc. | 4,190 | 145,334 | |
The Williams Companies, Inc. | 4,122 | 119,744 | |
Valero Energy Corp. | 322 | 27,570 | |
4,354,978 | |||
TOTAL ENERGY | 4,559,333 | ||
FINANCIALS - 12.5% | |||
Banks - 7.3% | |||
Bank of America Corp. (b) | 49,198 | 1,385,908 | |
Citigroup, Inc. (b) | 17,088 | 1,290,144 | |
JPMorgan Chase & Co. (b) | 8,385 | 876,400 | |
PNC Financial Services Group, Inc. | 707 | 99,376 | |
SVB Financial Group (a) | 770 | 175,283 | |
U.S. Bancorp | 10,498 | 578,965 | |
Wells Fargo & Co. | 11,788 | 665,668 | |
5,071,744 | |||
Capital Markets - 2.4% | |||
Bank of New York Mellon Corp. | 4,450 | 243,593 | |
Charles Schwab Corp. (b) | 7,429 | 362,461 | |
Goldman Sachs Group, Inc. | 140 | 34,670 | |
IntercontinentalExchange, Inc. | 3,408 | 243,502 | |
KKR & Co. LP | 9,888 | 196,969 | |
Morgan Stanley (b) | 7,650 | 394,817 | |
State Street Corp. | 1,588 | 151,416 | |
1,627,428 | |||
Consumer Finance - 0.4% | |||
Capital One Financial Corp. | 2,971 | 273,332 | |
Diversified Financial Services - 1.0% | |||
Berkshire Hathaway, Inc. Class B (a) | 3,140 | 606,051 | |
Voya Financial, Inc. | 2,143 | 94,721 | |
700,772 | |||
Insurance - 1.4% | |||
American International Group, Inc. | 4,142 | 248,354 | |
Arthur J. Gallagher & Co. | 337 | 22,185 | |
Athene Holding Ltd. | 2,252 | 108,254 | |
Chubb Ltd. | 1,245 | 189,377 | |
Marsh & McLennan Companies, Inc. | 385 | 32,313 | |
MetLife, Inc. | 3,447 | 185,035 | |
Progressive Corp. | 3,359 | 178,632 | |
964,150 | |||
TOTAL FINANCIALS | 8,637,426 | ||
HEALTH CARE - 9.1% | |||
Biotechnology - 1.9% | |||
AbbVie, Inc. | 3,407 | 330,206 | |
Alexion Pharmaceuticals, Inc. (a) | 366 | 40,190 | |
Amgen, Inc. | 759 | 133,326 | |
Biogen, Inc. (a) | 637 | 205,222 | |
BioMarin Pharmaceutical, Inc. (a) | 655 | 56,199 | |
Celgene Corp. (a) | 2,058 | 207,508 | |
Gilead Sciences, Inc. | 304 | 22,733 | |
Intercept Pharmaceuticals, Inc. (a) | 200 | 12,282 | |
Regeneron Pharmaceuticals, Inc. (a) | 54 | 19,540 | |
Vertex Pharmaceuticals, Inc. (a) | 1,720 | 248,179 | |
1,275,385 | |||
Health Care Equipment & Supplies - 1.2% | |||
Abbott Laboratories | 3,725 | 209,978 | |
Becton, Dickinson & Co. | 24 | 5,477 | |
Boston Scientific Corp. (a) | 11,570 | 304,060 | |
Danaher Corp. | 216 | 20,382 | |
Medtronic PLC | 2,258 | 185,450 | |
Zimmer Biomet Holdings, Inc. | 890 | 104,219 | |
829,566 | |||
Health Care Providers & Services - 2.2% | |||
Aetna, Inc. | 706 | 127,207 | |
AmerisourceBergen Corp. | 936 | 79,392 | |
Anthem, Inc. | 232 | 54,511 | |
Cardinal Health, Inc. | 352 | 20,835 | |
Cigna Corp. | 1,052 | 222,740 | |
Express Scripts Holding Co. (a) | 198 | 12,906 | |
Humana, Inc. | 822 | 214,427 | |
McKesson Corp. | 411 | 60,721 | |
UnitedHealth Group, Inc. | 3,251 | 741,781 | |
1,534,520 | |||
Life Sciences Tools & Services - 0.2% | |||
Agilent Technologies, Inc. | 2,154 | 149,143 | |
Pharmaceuticals - 3.6% | |||
Allergan PLC | 1,636 | 284,386 | |
AstraZeneca PLC sponsored ADR | 640 | 21,037 | |
Bayer AG | 85 | 10,850 | |
Bristol-Myers Squibb Co. | 3,844 | 242,902 | |
Eli Lilly & Co. | 6,192 | 524,091 | |
GlaxoSmithKline PLC sponsored ADR | 3,083 | 108,090 | |
Johnson & Johnson | 4,159 | 579,473 | |
Merck & Co., Inc. | 948 | 52,396 | |
Novartis AG sponsored ADR | 133 | 11,411 | |
Pfizer, Inc. | 11,629 | 421,668 | |
Sanofi SA | 267 | 24,356 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 1,623 | 24,053 | |
Zoetis, Inc. Class A | 2,368 | 171,183 | |
2,475,896 | |||
TOTAL HEALTH CARE | 6,264,510 | ||
INDUSTRIALS - 9.2% | |||
Aerospace & Defense - 2.3% | |||
General Dynamics Corp. | 1,016 | 210,475 | |
Northrop Grumman Corp. | 3,873 | 1,190,560 | |
The Boeing Co. | 156 | 43,181 | |
United Technologies Corp. | 1,096 | 133,109 | |
1,577,325 | |||
Air Freight & Logistics - 0.2% | |||
FedEx Corp. | 148 | 34,256 | |
United Parcel Service, Inc. Class B | 791 | 96,067 | |
130,323 | |||
Airlines - 0.5% | |||
Delta Air Lines, Inc. | 6,549 | 346,573 | |
Building Products - 0.5% | |||
Allegion PLC | 2,335 | 196,467 | |
Masco Corp. | 3,470 | 148,898 | |
345,365 | |||
Electrical Equipment - 0.3% | |||
Eaton Corp. PLC | 2,310 | 179,672 | |
Industrial Conglomerates - 1.5% | |||
General Electric Co. | 17,535 | 320,715 | |
Honeywell International, Inc. | 4,754 | 741,434 | |
1,062,149 | |||
Machinery - 2.1% | |||
Caterpillar, Inc. | 3,458 | 488,097 | |
Deere & Co. | 2,134 | 319,801 | |
Ingersoll-Rand PLC | 3,634 | 318,411 | |
Stanley Black & Decker, Inc. | 2,006 | 340,278 | |
1,466,587 | |||
Road & Rail - 1.8% | |||
CSX Corp. | 1,362 | 75,932 | |
Norfolk Southern Corp. | 5,384 | 746,384 | |
Union Pacific Corp. | 3,266 | 413,149 | |
1,235,465 | |||
TOTAL INDUSTRIALS | 6,343,459 | ||
INFORMATION TECHNOLOGY - 20.4% | |||
Communications Equipment - 0.8% | |||
Cisco Systems, Inc. | 13,934 | 519,738 | |
Internet Software & Services - 5.4% | |||
Alphabet, Inc.: | |||
Class A (a) | 697 | 722,210 | |
Class C (a) | 1,904 | 1,944,765 | |
eBay, Inc. (a) | 2,910 | 100,890 | |
Facebook, Inc. Class A (a) | 5,591 | 990,613 | |
Velti PLC (a)(c) | 976 | 1 | |
3,758,479 | |||
IT Services - 2.7% | |||
Accenture PLC Class A | 1,849 | 273,670 | |
Cognizant Technology Solutions Corp. Class A | 3,290 | 237,801 | |
IBM Corp. | 1,615 | 248,662 | |
MasterCard, Inc. Class A | 428 | 64,401 | |
PayPal Holdings, Inc. (a) | 1,116 | 84,515 | |
Visa, Inc. Class A | 7,272 | 818,754 | |
WEX, Inc. (a) | 1,136 | 146,226 | |
1,874,029 | |||
Semiconductors & Semiconductor Equipment - 3.6% | |||
Analog Devices, Inc. | 1,394 | 120,037 | |
Broadcom Ltd. | 1,993 | 553,934 | |
Intel Corp. | 4,109 | 184,248 | |
Microchip Technology, Inc. | 1,677 | 145,882 | |
NVIDIA Corp. | 1,066 | 213,957 | |
NXP Semiconductors NV (a) | 2,190 | 248,324 | |
Qualcomm, Inc. | 5,155 | 341,983 | |
Texas Instruments, Inc. | 7,001 | 681,127 | |
2,489,492 | |||
Software - 4.7% | |||
Activision Blizzard, Inc. | 2,319 | 144,706 | |
Adobe Systems, Inc. (a) | 1,741 | 315,939 | |
Microsoft Corp. | 29,787 | 2,507,166 | |
Oracle Corp. | 1,359 | 66,673 | |
Salesforce.com, Inc. (a) | 57 | 5,946 | |
SAP SE sponsored ADR | 158 | 17,909 | |
Take-Two Interactive Software, Inc. (a) | 1,062 | 118,466 | |
Workday, Inc. Class A (a) | 729 | 75,087 | |
3,251,892 | |||
Technology Hardware, Storage & Peripherals - 3.2% | |||
Apple, Inc. | 12,791 | 2,198,133 | |
TOTAL INFORMATION TECHNOLOGY | 14,091,763 | ||
MATERIALS - 5.9% | |||
Chemicals - 5.5% | |||
Air Products & Chemicals, Inc. | 6,536 | 1,065,629 | |
Axalta Coating Systems Ltd. | 933 | 29,539 | |
DowDuPont, Inc. | 13,314 | 958,075 | |
Eastman Chemical Co. | 2,322 | 214,483 | |
LyondellBasell Industries NV Class A | 534 | 55,910 | |
Monsanto Co. | 553 | 65,442 | |
Potash Corp. of Saskatchewan, Inc. | 31,397 | 616,186 | |
PPG Industries, Inc. | 70 | 8,180 | |
Praxair, Inc. | 4,965 | 764,213 | |
3,777,657 | |||
Construction Materials - 0.1% | |||
Vulcan Materials Co. | 628 | 78,908 | |
Containers & Packaging - 0.3% | |||
Berry Global Group, Inc. (a) | 1,912 | 114,280 | |
WestRock Co. | 2,052 | 128,065 | |
242,345 | |||
Metals & Mining - 0.0% | |||
BHP Billiton Ltd. sponsored ADR | 100 | 4,155 | |
TOTAL MATERIALS | 4,103,065 | ||
REAL ESTATE - 1.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
American Tower Corp. | 102 | 14,681 | |
AvalonBay Communities, Inc. | 930 | 168,637 | |
Crown Castle International Corp. | 7,805 | 881,965 | |
Public Storage | 44 | 9,377 | |
Vornado Realty Trust | 1,971 | 152,989 | |
1,227,649 | |||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.7% | |||
Verizon Communications, Inc. | 9,574 | 487,221 | |
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S., Inc. (a) | 4,185 | 255,578 | |
TOTAL TELECOMMUNICATION SERVICES | 742,799 | ||
UTILITIES - 3.5% | |||
Electric Utilities - 3.4% | |||
American Electric Power Co., Inc. | 2,068 | 160,539 | |
Exelon Corp. | 1,617 | 67,445 | |
Fortis, Inc. | 3,890 | 143,152 | |
Fortis, Inc. | 7,481 | 275,431 | |
NextEra Energy, Inc. | 4,750 | 750,690 | |
PG&E Corp. | 4,207 | 228,188 | |
PPL Corp. | 13,002 | 476,783 | |
Xcel Energy, Inc. | 4,596 | 237,200 | |
2,339,428 | |||
Multi-Utilities - 0.1% | |||
CMS Energy Corp. | 2,401 | 119,810 | |
TOTAL UTILITIES | 2,459,238 | ||
TOTAL COMMON STOCKS | |||
(Cost $43,895,085) | 60,820,209 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(c)(d) | 151 | 5,094 | |
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. Series A 6.125% | 156 | 9,438 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $15,040) | 14,532 | ||
Equity Funds - 0.8% | |||
Sector Funds - 0.8% | |||
iShares NASDAQ Biotechnology Index ETF | 1,300 | 410,488 | |
SPDR S&P Biotech ETF | 2,096 | 174,366 | |
TOTAL EQUITY FUNDS | |||
(Cost $540,340) | 584,854 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $199,490) | $200,000 | 199,491 | |
Shares | |||
Money Market Funds - 9.3% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,389,312) | 6,389,312 | 6,389,312 | |
TOTAL INVESTMENT IN SECURITIES - 98.4% | |||
(Cost $51,039,267) | 68,008,398 | ||
NET OTHER ASSETS (LIABILITIES) - 1.6% | 1,081,659 | ||
NET ASSETS - 100% | $69,090,057 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Bank of America Corp. | Chicago Board Options Exchange | 12 | $33,804 | $28.00 | 12/15/17 | $(876) |
Citigroup, Inc. | Chicago Board Options Exchange | 3 | 22,650 | 77.50 | 12/15/17 | (185) |
JPMorgan Chase & Co. | Chicago Board Options Exchange | 1 | 10,452 | 100.00 | 12/15/17 | (490) |
Lowe's Companies, Inc. | Chicago Board Options Exchange | 1 | 8,337 | 85.00 | 1/19/18 | (164) |
Morgan Stanley | Chicago Board Options Exchange | 1 | 5,161 | 50.00 | 12/15/17 | (201) |
The Charles Schwab Corp. | Chicago Board Options Exchange | 1 | 4,879 | 46.00 | 12/15/17 | (307) |
TOTAL WRITTEN OPTIONS | $(2,223) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 47 | Dec. 2017 | $6,222,565 | $168,679 | $168,679 |
The notional amount of futures purchased as a percentage of Net Assets is 9.0%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $85,283.
(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,095 or 0.0% of net assets.
(d) Level 3 security
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $199,491.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 8/12/15 | $6,909 |
Velti PLC | 4/19/13 | $1,464 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $8,059,711 | $8,054,617 | $-- | $5,094 |
Consumer Staples | 4,336,350 | 4,328,274 | 8,076 | -- |
Energy | 4,559,333 | 4,559,333 | -- | -- |
Financials | 8,637,426 | 8,637,426 | -- | -- |
Health Care | 6,273,948 | 6,229,304 | 44,644 | -- |
Industrials | 6,343,459 | 6,343,459 | -- | -- |
Information Technology | 14,091,763 | 14,091,763 | -- | -- |
Materials | 4,103,065 | 4,103,065 | -- | -- |
Real Estate | 1,227,649 | 1,227,649 | -- | -- |
Telecommunication Services | 742,799 | 742,799 | -- | -- |
Utilities | 2,459,238 | 2,459,238 | -- | -- |
Equity Funds | 584,854 | 584,854 | -- | -- |
Other Short-Term Investments | 199,491 | -- | 199,491 | -- |
Money Market Funds | 6,389,312 | 6,389,312 | -- | -- |
Total Investments in Securities: | $68,008,398 | $67,751,093 | $252,211 | $5,094 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $168,679 | $168,679 | $-- | $-- |
Total Assets | $168,679 | $168,679 | $-- | $-- |
Liabilities | ||||
Written Options | $(2,223) | $(2,223) | $-- | $-- |
Total Liabilities | $(2,223) | $(2,223) | $-- | $-- |
Total Derivative Instruments: | $166,456 | $166,456 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $168,679 | $0 |
Written Options(b) | 0 | (2,223) |
Total Equity Risk | 168,679 | (2,223) |
Total Value of Derivatives | $168,679 | $(2,223) |
(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 net unrealized appreciation (depreciation).
(b) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $51,039,267) | $68,008,398 | |
Cash | 2,462 | |
Receivable for investments sold | 1,529,621 | |
Receivable for fund shares sold | 17,119 | |
Dividends receivable | 127,116 | |
Interest receivable | 2,668 | |
Receivable for daily variation margin on futures contracts | 48,095 | |
Prepaid expenses | 121 | |
Receivable from investment adviser for expense reductions | 4,754 | |
Other receivables | 1,202 | |
Total assets | 69,741,556 | |
Liabilities | ||
Payable for investments purchased | $569,312 | |
Payable for fund shares redeemed | 4,579 | |
Accrued management fee | 33,185 | |
Distribution and service plan fees payable | 30 | |
Written options, at value (premium received $975) | 2,223 | |
Other affiliated payables | 6,929 | |
Other payables and accrued expenses | 35,241 | |
Total liabilities | 651,499 | |
Net Assets | $69,090,057 | |
Net Assets consist of: | ||
Paid in capital | $48,630,037 | |
Undistributed net investment income | 284,721 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 3,038,813 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 17,136,486 | |
Net Assets | $69,090,057 | |
Core Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($63,903,960 ÷ 4,702,939 shares) | $13.59 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,890,862 ÷ 357,901 shares) | $13.67 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($148,362 ÷ 10,917 shares) | $13.59 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($146,873 ÷ 10,825 shares) | $13.57 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $561,775 | |
Interest | 15,599 | |
Total income | 577,374 | |
Expenses | ||
Management fee | $193,358 | |
Transfer agent fees | 28,752 | |
Distribution and service plan fees | 173 | |
Accounting fees and expenses | 12,643 | |
Custodian fees and expenses | 36,594 | |
Independent trustees' fees and expenses | 418 | |
Registration fees | 39,056 | |
Audit | 30,871 | |
Legal | 1,524 | |
Miscellaneous | 296 | |
Total expenses before reductions | 343,685 | |
Expense reductions | (52,883) | 290,802 |
Net investment income (loss) | 286,572 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 3,275,272 | |
Foreign currency transactions | 391 | |
Futures contracts | 98,677 | |
Written options | 3,576 | |
Total net realized gain (loss) | 3,377,916 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,501,650 | |
Assets and liabilities in foreign currencies | (57) | |
Futures contracts | 130,094 | |
Written options | (1,337) | |
Total change in net unrealized appreciation (depreciation) | 2,630,350 | |
Net gain (loss) | 6,008,266 | |
Net increase (decrease) in net assets resulting from operations | $6,294,838 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $286,572 | $508,107 |
Net realized gain (loss) | 3,377,916 | 4,700,672 |
Change in net unrealized appreciation (depreciation) | 2,630,350 | 3,907,295 |
Net increase (decrease) in net assets resulting from operations | 6,294,838 | 9,116,074 |
Distributions to shareholders from net investment income | (213,965) | (471,794) |
Distributions to shareholders from net realized gain | (2,408,625) | (4,835,255) |
Total distributions | (2,622,590) | (5,307,049) |
Share transactions - net increase (decrease) | 2,809,845 | 3,335,131 |
Total increase (decrease) in net assets | 6,482,093 | 7,144,156 |
Net Assets | ||
Beginning of period | 62,607,964 | 55,463,808 |
End of period | $69,090,057 | $62,607,964 |
Other Information | ||
Undistributed net investment income end of period | $284,721 | $212,114 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 | $10.61 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .06 | .11 | .10 | .10 | .11 | .13 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.28 | 2.27 | 2.60 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.38 | 2.38 | 2.73 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.12) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.20) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)B | (.32) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.70% | 19.49% | 26.33% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.21% | 1.03% |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97% | .96% |
Net investment income (loss) | .88%F | .87% | .84% | .78% | .80% | 1.12% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $63,904 | $58,221 | $52,330 | $60,606 | $60,938 | $67,623 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% | 95% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 | $11.62 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .06 | .12 | .11 | .11 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.20 | 1.83 | (.04) | 1.28 | 2.28 | 1.46 |
Total from investment operations | 1.26 | 1.95 | .07 | 1.39 | 2.40 | 1.52 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.08) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.04) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)C | (.12) |
Net asset value, end of period | $13.67 | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 |
Total ReturnD,E | 10.12% | 17.14% | .69% | 10.78% | 19.66% | 13.22% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .97%G | 1.00% | 1.10% | 1.05% | 1.11% | .96%G |
Expenses net of fee waivers, if any | .81%G | .81% | .87% | .87% | .87% | .87%G |
Expenses net of all reductions | .81%G | .81% | .87% | .87% | .87% | .86%G |
Net investment income (loss) | .97%G | .96% | .93% | .88% | .90% | 1.02%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,891 | $4,118 | $2,891 | $2,698 | $1,527 | $285 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% | 95% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.29 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .06 | .11 | .10 | .10 | .07 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.27 | 1.19 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.37 | 1.26 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (.47) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.29 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.62% | 9.50% |
Ratios to Average Net AssetsE | |||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.19%F |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97%F |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97%F |
Net investment income (loss) | .88%F | .87% | .83% | .78% | .90%F |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $148 | $135 | $122 | $121 | $109 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.87 | $12.10 | $13.06 | $14.27 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .04 | .08 | .07 | .07 | .05 |
Net realized and unrealized gain (loss) | 1.19 | 1.81 | (.04) | 1.28 | 1.18 |
Total from investment operations | 1.23 | 1.89 | .03 | 1.35 | 1.23 |
Distributions from net investment income | (.03) | (.07) | (.08) | (.09) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.53) | (1.12) | (.99) | (2.56) | (.46)C |
Net asset value, end of period | $13.57 | $12.87 | $12.10 | $13.06 | $14.27 |
Total ReturnD,E | 9.91% | 16.66% | .36% | 10.43% | 9.32% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.32%G | 1.35% | 1.45% | 1.39% | 1.45%G |
Expenses net of fee waivers, if any | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Expenses net of all reductions | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Net investment income (loss) | .63%G | .62% | .58% | .53% | .65%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $147 | $134 | $121 | $121 | $109 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Core Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying Funds and distributions from ETFs, 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures and options contracts, foreign currency transactions, market discount, deferred trustees compensation, partnerships and losses deferred due to wash sales.
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 | $17,404,695 |
Gross unrealized depreciation | (616,077) |
Net unrealized appreciation (depreciation) | $16,788,618 |
Tax cost | $51,387,211 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and options. 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts and exchange-traded options are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $98,677 | $130,094 |
Written Options | 3,576 | (1,337) |
Total | $102,253 | $128,757 |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The 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, and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used exchange-traded and OTC written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $54,513,782 and $57,971,723, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.
Sub-Advisers. AllianceBernstein, L.P. (AB), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc. and FIAM LLC (an affiliate of the investment adviser) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Oppenheimer Funds, Inc., Boston Partners Global Investors, Inc., T. Rowe Price Associates, Inc. and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Subsequent to period end, First Eagle Investment Management, LLC no longer manages a portion of the Fund's assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $173 | $173 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Core Multi-Manager | $28,618 | .09 |
Class L | 67 | .10 |
Class N | 67 | .10 |
$28,752 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $54 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $95 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Core Multi-Manager | .90% | $49,183 |
Class F | .81% | 3,453 |
Class L | .90% | 115 |
Class N | 1.15% | 114 |
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $6 for the period.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $12.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Core Multi-Manager | $199,358 | $443,816 |
Class F | 13,825 | 26,230 |
Class L | 460 | 1,027 |
Class N | 322 | 721 |
Total | $213,965 | $471,794 |
From net realized gain | ||
Core Multi-Manager | $2,242,771 | $4,552,626 |
Class F | 155,534 | 261,588 |
Class L | 5,179 | 10,549 |
Class N | 5,141 | 10,492 |
Total | $2,408,625 | $4,835,255 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Core Multi-Manager | ||||
Shares sold | 41,635 | 141,085 | $534,268 | $1,713,629 |
Reinvestment of distributions | 196,629 | 422,177 | 2,442,129 | 4,996,442 |
Shares redeemed | (53,346) | (366,148) | (691,071) | (4,350,140) |
Net increase (decrease) | 184,918 | 197,114 | $2,285,326 | $2,359,931 |
Class F | ||||
Shares sold | 92,459 | 139,459 | $1,203,921 | $1,705,384 |
Reinvestment of distributions | 13,570 | 24,215 | 169,359 | 287,818 |
Shares redeemed | (66,150) | (83,486) | (859,863) | (1,027,313) |
Net increase (decrease) | 39,879 | 80,188 | $513,417 | $965,889 |
Class L | ||||
Reinvestment of distributions | 454 | 978 | 5,639 | 11,576 |
Shares redeemed | – | (578) | – | (6,762) |
Net increase (decrease) | 454 | 400 | $5,639 | $4,814 |
Class N | ||||
Reinvestment of distributions | 440 | 948 | 5,463 | 11,213 |
Shares redeemed | – | (575) | – | (6,716) |
Net increase (decrease) | 440 | 373 | $5,463 | $4,497 |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Core Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,101.20 | $4.27 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,099.10 | $6.05 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management LLC, ClariVest Asset Management LLC, FIAM LLC, First Eagle Investment Management, LLC, J.P. Morgan Investment Management Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company, OppenheimerFunds, Inc., T. Rowe Price Associates, Inc., and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Multi-Manager Fund
Strategic Advisers Core Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in each of the existing sub-advisory agreements with LSV Asset Management (LSV) and First Eagle Investment Management (First Eagle for the fund (the Amended Sub-Advisory Agreements), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to each of LSV and First Eagle, on behalf of the fund. The terms of each Amended Sub-Advisory Agreement are identical to those of the existing respective sub-advisory agreement with each sub-adviser, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of each respective Amended Sub-Advisory Agreement.In considering whether to approve each Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under each Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV and First Eagle, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that each Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered each sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding each sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve each Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreements would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule with LSV will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to LSV at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to LSV in the future, the new fee schedule under the Amended Sub-Advisory Agreement would result in lower fees to be paid by Strategic Advisers to LSV, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement. The Board also considered that the new fee schedule with First Eagle is expected to lower the amount of fees paid by Strategic Advisers to First Eagle on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement with First Eagle has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that each Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that each Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV and First Eagle as assets allocated to each sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that each Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that each Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
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MMC-SANN-0118
1.931545.106
Strategic Advisers® Core Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
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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. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Microsoft Corp. | 3.6 | 2.6 |
Apple, Inc. | 3.2 | 3.1 |
Alphabet, Inc. Class C | 2.8 | 3.1 |
Bank of America Corp.(a) | 2.0 | 1.7 |
Citigroup, Inc.(a) | 1.9 | 1.3 |
Northrop Grumman Corp. | 1.7 | 1.5 |
Chevron Corp. | 1.6 | 0.7 |
PepsiCo, Inc. | 1.6 | 2.1 |
Air Products & Chemicals, Inc. | 1.5 | 0.4 |
EOG Resources, Inc. | 1.5 | 0.8 |
21.4 |
(a) Security or a portion of the security is pledged as collateral for call options written.
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 20.4 | 22.5 |
Financials | 12.5 | 11.6 |
Consumer Discretionary | 11.6 | 13.3 |
Industrials | 9.2 | 11.1 |
Health Care | 9.1 | 11.6 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 88.0% | |
Sector Funds | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 11.2% |
As of May 31, 2017 | ||
Common Stocks | 93.5% | |
Sector Funds | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.6% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 88.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 11.6% | |||
Auto Components - 0.2% | |||
Delphi Automotive PLC | 1,123 | $117,544 | |
Automobiles - 0.3% | |||
Ford Motor Co. | 14,240 | 178,285 | |
General Motors Co. | 345 | 14,866 | |
193,151 | |||
Hotels, Restaurants & Leisure - 2.0% | |||
Carnival Corp. | 1,735 | 113,885 | |
Hilton Worldwide Holdings, Inc. | 1,658 | 128,594 | |
McDonald's Corp. | 4,626 | 795,533 | |
MGM Mirage, Inc. | 8,127 | 277,293 | |
Norwegian Cruise Line Holdings Ltd. (a) | 1,713 | 92,776 | |
1,408,081 | |||
Household Durables - 0.4% | |||
Lennar Corp. Class A | 2,874 | 180,430 | |
Toll Brothers, Inc. | 2,002 | 100,761 | |
281,191 | |||
Internet & Direct Marketing Retail - 1.3% | |||
Amazon.com, Inc. (a) | 540 | 635,445 | |
Expedia, Inc. | 839 | 102,778 | |
Priceline Group, Inc. (a) | 105 | 182,670 | |
920,893 | |||
Media - 3.9% | |||
CBS Corp. Class B | 3,029 | 169,806 | |
Charter Communications, Inc. Class A (a) | 622 | 202,903 | |
Comcast Corp. Class A | 19,440 | 729,778 | |
DISH Network Corp. Class A (a) | 2,766 | 140,098 | |
The Walt Disney Co. | 4,328 | 453,661 | |
Time Warner, Inc. | 3,142 | 287,524 | |
Twenty-First Century Fox, Inc. Class A | 21,806 | 696,484 | |
Viacom, Inc. Class B (non-vtg.) | 308 | 8,723 | |
2,688,977 | |||
Multiline Retail - 0.5% | |||
Dollar Tree, Inc. (a) | 1,786 | 183,529 | |
Target Corp. | 2,759 | 165,264 | |
348,793 | |||
Specialty Retail - 2.4% | |||
Home Depot, Inc. | 4,012 | 721,438 | |
Lowe's Companies, Inc. (b) | 5,061 | 421,936 | |
O'Reilly Automotive, Inc. (a) | 1,252 | 295,735 | |
Ross Stores, Inc. | 1,131 | 85,990 | |
TJX Companies, Inc. | 2,230 | 168,477 | |
1,693,576 | |||
Textiles, Apparel & Luxury Goods - 0.6% | |||
lululemon athletica, Inc. (a) | 695 | 46,537 | |
NIKE, Inc. Class B | 5,890 | 355,874 | |
402,411 | |||
TOTAL CONSUMER DISCRETIONARY | 8,054,617 | ||
CONSUMER STAPLES - 6.3% | |||
Beverages - 2.4% | |||
Coca-Cola European Partners PLC | 3,904 | 152,217 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 497 | 108,142 | |
Molson Coors Brewing Co. Class B | 2,289 | 178,771 | |
PepsiCo, Inc. | 9,626 | 1,121,622 | |
The Coca-Cola Co. | 2,781 | 127,286 | |
1,688,038 | |||
Food & Staples Retailing - 0.9% | |||
Costco Wholesale Corp. | 84 | 15,492 | |
CVS Health Corp. | 1,050 | 80,430 | |
Kroger Co. | 2,533 | 65,503 | |
Wal-Mart Stores, Inc. | 2,671 | 259,701 | |
Walgreens Boots Alliance, Inc. | 2,341 | 170,331 | |
591,457 | |||
Food Products - 0.8% | |||
General Mills, Inc. | 1,530 | 86,537 | |
Mondelez International, Inc. | 7,716 | 331,325 | |
The Kraft Heinz Co. | 1,784 | 145,164 | |
563,026 | |||
Household Products - 0.8% | |||
Clorox Co. | 798 | 111,153 | |
Colgate-Palmolive Co. | 3,475 | 251,764 | |
Procter & Gamble Co. | 1,684 | 151,543 | |
Reckitt Benckiser Group PLC | 92 | 8,076 | |
522,536 | |||
Personal Products - 0.4% | |||
Estee Lauder Companies, Inc. Class A | 1,952 | 243,668 | |
Unilever NV (NY Reg.) | 455 | 26,272 | |
269,940 | |||
Tobacco - 1.0% | |||
Altria Group, Inc. | 4,221 | 286,310 | |
British American Tobacco PLC sponsored ADR | 485 | 30,861 | |
Philip Morris International, Inc. | 3,739 | 384,182 | |
701,353 | |||
TOTAL CONSUMER STAPLES | 4,336,350 | ||
ENERGY - 6.6% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes, a GE Co. Class A | 242 | 7,195 | |
Schlumberger Ltd. | 3,137 | 197,160 | |
204,355 | |||
Oil, Gas & Consumable Fuels - 6.3% | |||
Anadarko Petroleum Corp. | 3,414 | 164,179 | |
Apache Corp. | 1,350 | 56,471 | |
Chevron Corp. | 9,581 | 1,140,043 | |
Concho Resources, Inc. (a) | 1,289 | 180,280 | |
ConocoPhillips Co. | 3,658 | 186,119 | |
Diamondback Energy, Inc. (a) | 1,728 | 188,888 | |
EOG Resources, Inc. | 10,289 | 1,052,770 | |
EQT Corp. | 2,069 | 123,312 | |
Exxon Mobil Corp. | 132 | 10,994 | |
Imperial Oil Ltd. | 1,413 | 43,590 | |
Kinder Morgan, Inc. | 3,906 | 67,300 | |
Occidental Petroleum Corp. | 7,485 | 527,693 | |
Phillips 66 Co. | 277 | 27,024 | |
Pioneer Natural Resources Co. | 1,882 | 293,667 | |
Suncor Energy, Inc. | 4,190 | 145,334 | |
The Williams Companies, Inc. | 4,122 | 119,744 | |
Valero Energy Corp. | 322 | 27,570 | |
4,354,978 | |||
TOTAL ENERGY | 4,559,333 | ||
FINANCIALS - 12.5% | |||
Banks - 7.3% | |||
Bank of America Corp. (b) | 49,198 | 1,385,908 | |
Citigroup, Inc. (b) | 17,088 | 1,290,144 | |
JPMorgan Chase & Co. (b) | 8,385 | 876,400 | |
PNC Financial Services Group, Inc. | 707 | 99,376 | |
SVB Financial Group (a) | 770 | 175,283 | |
U.S. Bancorp | 10,498 | 578,965 | |
Wells Fargo & Co. | 11,788 | 665,668 | |
5,071,744 | |||
Capital Markets - 2.4% | |||
Bank of New York Mellon Corp. | 4,450 | 243,593 | |
Charles Schwab Corp. (b) | 7,429 | 362,461 | |
Goldman Sachs Group, Inc. | 140 | 34,670 | |
IntercontinentalExchange, Inc. | 3,408 | 243,502 | |
KKR & Co. LP | 9,888 | 196,969 | |
Morgan Stanley (b) | 7,650 | 394,817 | |
State Street Corp. | 1,588 | 151,416 | |
1,627,428 | |||
Consumer Finance - 0.4% | |||
Capital One Financial Corp. | 2,971 | 273,332 | |
Diversified Financial Services - 1.0% | |||
Berkshire Hathaway, Inc. Class B (a) | 3,140 | 606,051 | |
Voya Financial, Inc. | 2,143 | 94,721 | |
700,772 | |||
Insurance - 1.4% | |||
American International Group, Inc. | 4,142 | 248,354 | |
Arthur J. Gallagher & Co. | 337 | 22,185 | |
Athene Holding Ltd. | 2,252 | 108,254 | |
Chubb Ltd. | 1,245 | 189,377 | |
Marsh & McLennan Companies, Inc. | 385 | 32,313 | |
MetLife, Inc. | 3,447 | 185,035 | |
Progressive Corp. | 3,359 | 178,632 | |
964,150 | |||
TOTAL FINANCIALS | 8,637,426 | ||
HEALTH CARE - 9.1% | |||
Biotechnology - 1.9% | |||
AbbVie, Inc. | 3,407 | 330,206 | |
Alexion Pharmaceuticals, Inc. (a) | 366 | 40,190 | |
Amgen, Inc. | 759 | 133,326 | |
Biogen, Inc. (a) | 637 | 205,222 | |
BioMarin Pharmaceutical, Inc. (a) | 655 | 56,199 | |
Celgene Corp. (a) | 2,058 | 207,508 | |
Gilead Sciences, Inc. | 304 | 22,733 | |
Intercept Pharmaceuticals, Inc. (a) | 200 | 12,282 | |
Regeneron Pharmaceuticals, Inc. (a) | 54 | 19,540 | |
Vertex Pharmaceuticals, Inc. (a) | 1,720 | 248,179 | |
1,275,385 | |||
Health Care Equipment & Supplies - 1.2% | |||
Abbott Laboratories | 3,725 | 209,978 | |
Becton, Dickinson & Co. | 24 | 5,477 | |
Boston Scientific Corp. (a) | 11,570 | 304,060 | |
Danaher Corp. | 216 | 20,382 | |
Medtronic PLC | 2,258 | 185,450 | |
Zimmer Biomet Holdings, Inc. | 890 | 104,219 | |
829,566 | |||
Health Care Providers & Services - 2.2% | |||
Aetna, Inc. | 706 | 127,207 | |
AmerisourceBergen Corp. | 936 | 79,392 | |
Anthem, Inc. | 232 | 54,511 | |
Cardinal Health, Inc. | 352 | 20,835 | |
Cigna Corp. | 1,052 | 222,740 | |
Express Scripts Holding Co. (a) | 198 | 12,906 | |
Humana, Inc. | 822 | 214,427 | |
McKesson Corp. | 411 | 60,721 | |
UnitedHealth Group, Inc. | 3,251 | 741,781 | |
1,534,520 | |||
Life Sciences Tools & Services - 0.2% | |||
Agilent Technologies, Inc. | 2,154 | 149,143 | |
Pharmaceuticals - 3.6% | |||
Allergan PLC | 1,636 | 284,386 | |
AstraZeneca PLC sponsored ADR | 640 | 21,037 | |
Bayer AG | 85 | 10,850 | |
Bristol-Myers Squibb Co. | 3,844 | 242,902 | |
Eli Lilly & Co. | 6,192 | 524,091 | |
GlaxoSmithKline PLC sponsored ADR | 3,083 | 108,090 | |
Johnson & Johnson | 4,159 | 579,473 | |
Merck & Co., Inc. | 948 | 52,396 | |
Novartis AG sponsored ADR | 133 | 11,411 | |
Pfizer, Inc. | 11,629 | 421,668 | |
Sanofi SA | 267 | 24,356 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 1,623 | 24,053 | |
Zoetis, Inc. Class A | 2,368 | 171,183 | |
2,475,896 | |||
TOTAL HEALTH CARE | 6,264,510 | ||
INDUSTRIALS - 9.2% | |||
Aerospace & Defense - 2.3% | |||
General Dynamics Corp. | 1,016 | 210,475 | |
Northrop Grumman Corp. | 3,873 | 1,190,560 | |
The Boeing Co. | 156 | 43,181 | |
United Technologies Corp. | 1,096 | 133,109 | |
1,577,325 | |||
Air Freight & Logistics - 0.2% | |||
FedEx Corp. | 148 | 34,256 | |
United Parcel Service, Inc. Class B | 791 | 96,067 | |
130,323 | |||
Airlines - 0.5% | |||
Delta Air Lines, Inc. | 6,549 | 346,573 | |
Building Products - 0.5% | |||
Allegion PLC | 2,335 | 196,467 | |
Masco Corp. | 3,470 | 148,898 | |
345,365 | |||
Electrical Equipment - 0.3% | |||
Eaton Corp. PLC | 2,310 | 179,672 | |
Industrial Conglomerates - 1.5% | |||
General Electric Co. | 17,535 | 320,715 | |
Honeywell International, Inc. | 4,754 | 741,434 | |
1,062,149 | |||
Machinery - 2.1% | |||
Caterpillar, Inc. | 3,458 | 488,097 | |
Deere & Co. | 2,134 | 319,801 | |
Ingersoll-Rand PLC | 3,634 | 318,411 | |
Stanley Black & Decker, Inc. | 2,006 | 340,278 | |
1,466,587 | |||
Road & Rail - 1.8% | |||
CSX Corp. | 1,362 | 75,932 | |
Norfolk Southern Corp. | 5,384 | 746,384 | |
Union Pacific Corp. | 3,266 | 413,149 | |
1,235,465 | |||
TOTAL INDUSTRIALS | 6,343,459 | ||
INFORMATION TECHNOLOGY - 20.4% | |||
Communications Equipment - 0.8% | |||
Cisco Systems, Inc. | 13,934 | 519,738 | |
Internet Software & Services - 5.4% | |||
Alphabet, Inc.: | |||
Class A (a) | 697 | 722,210 | |
Class C (a) | 1,904 | 1,944,765 | |
eBay, Inc. (a) | 2,910 | 100,890 | |
Facebook, Inc. Class A (a) | 5,591 | 990,613 | |
Velti PLC (a)(c) | 976 | 1 | |
3,758,479 | |||
IT Services - 2.7% | |||
Accenture PLC Class A | 1,849 | 273,670 | |
Cognizant Technology Solutions Corp. Class A | 3,290 | 237,801 | |
IBM Corp. | 1,615 | 248,662 | |
MasterCard, Inc. Class A | 428 | 64,401 | |
PayPal Holdings, Inc. (a) | 1,116 | 84,515 | |
Visa, Inc. Class A | 7,272 | 818,754 | |
WEX, Inc. (a) | 1,136 | 146,226 | |
1,874,029 | |||
Semiconductors & Semiconductor Equipment - 3.6% | |||
Analog Devices, Inc. | 1,394 | 120,037 | |
Broadcom Ltd. | 1,993 | 553,934 | |
Intel Corp. | 4,109 | 184,248 | |
Microchip Technology, Inc. | 1,677 | 145,882 | |
NVIDIA Corp. | 1,066 | 213,957 | |
NXP Semiconductors NV (a) | 2,190 | 248,324 | |
Qualcomm, Inc. | 5,155 | 341,983 | |
Texas Instruments, Inc. | 7,001 | 681,127 | |
2,489,492 | |||
Software - 4.7% | |||
Activision Blizzard, Inc. | 2,319 | 144,706 | |
Adobe Systems, Inc. (a) | 1,741 | 315,939 | |
Microsoft Corp. | 29,787 | 2,507,166 | |
Oracle Corp. | 1,359 | 66,673 | |
Salesforce.com, Inc. (a) | 57 | 5,946 | |
SAP SE sponsored ADR | 158 | 17,909 | |
Take-Two Interactive Software, Inc. (a) | 1,062 | 118,466 | |
Workday, Inc. Class A (a) | 729 | 75,087 | |
3,251,892 | |||
Technology Hardware, Storage & Peripherals - 3.2% | |||
Apple, Inc. | 12,791 | 2,198,133 | |
TOTAL INFORMATION TECHNOLOGY | 14,091,763 | ||
MATERIALS - 5.9% | |||
Chemicals - 5.5% | |||
Air Products & Chemicals, Inc. | 6,536 | 1,065,629 | |
Axalta Coating Systems Ltd. | 933 | 29,539 | |
DowDuPont, Inc. | 13,314 | 958,075 | |
Eastman Chemical Co. | 2,322 | 214,483 | |
LyondellBasell Industries NV Class A | 534 | 55,910 | |
Monsanto Co. | 553 | 65,442 | |
Potash Corp. of Saskatchewan, Inc. | 31,397 | 616,186 | |
PPG Industries, Inc. | 70 | 8,180 | |
Praxair, Inc. | 4,965 | 764,213 | |
3,777,657 | |||
Construction Materials - 0.1% | |||
Vulcan Materials Co. | 628 | 78,908 | |
Containers & Packaging - 0.3% | |||
Berry Global Group, Inc. (a) | 1,912 | 114,280 | |
WestRock Co. | 2,052 | 128,065 | |
242,345 | |||
Metals & Mining - 0.0% | |||
BHP Billiton Ltd. sponsored ADR | 100 | 4,155 | |
TOTAL MATERIALS | 4,103,065 | ||
REAL ESTATE - 1.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
American Tower Corp. | 102 | 14,681 | |
AvalonBay Communities, Inc. | 930 | 168,637 | |
Crown Castle International Corp. | 7,805 | 881,965 | |
Public Storage | 44 | 9,377 | |
Vornado Realty Trust | 1,971 | 152,989 | |
1,227,649 | |||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.7% | |||
Verizon Communications, Inc. | 9,574 | 487,221 | |
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S., Inc. (a) | 4,185 | 255,578 | |
TOTAL TELECOMMUNICATION SERVICES | 742,799 | ||
UTILITIES - 3.5% | |||
Electric Utilities - 3.4% | |||
American Electric Power Co., Inc. | 2,068 | 160,539 | |
Exelon Corp. | 1,617 | 67,445 | |
Fortis, Inc. | 3,890 | 143,152 | |
Fortis, Inc. | 7,481 | 275,431 | |
NextEra Energy, Inc. | 4,750 | 750,690 | |
PG&E Corp. | 4,207 | 228,188 | |
PPL Corp. | 13,002 | 476,783 | |
Xcel Energy, Inc. | 4,596 | 237,200 | |
2,339,428 | |||
Multi-Utilities - 0.1% | |||
CMS Energy Corp. | 2,401 | 119,810 | |
TOTAL UTILITIES | 2,459,238 | ||
TOTAL COMMON STOCKS | |||
(Cost $43,895,085) | 60,820,209 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(c)(d) | 151 | 5,094 | |
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. Series A 6.125% | 156 | 9,438 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $15,040) | 14,532 | ||
Equity Funds - 0.8% | |||
Sector Funds - 0.8% | |||
iShares NASDAQ Biotechnology Index ETF | 1,300 | 410,488 | |
SPDR S&P Biotech ETF | 2,096 | 174,366 | |
TOTAL EQUITY FUNDS | |||
(Cost $540,340) | 584,854 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $199,490) | $200,000 | 199,491 | |
Shares | |||
Money Market Funds - 9.3% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,389,312) | 6,389,312 | 6,389,312 | |
TOTAL INVESTMENT IN SECURITIES - 98.4% | |||
(Cost $51,039,267) | 68,008,398 | ||
NET OTHER ASSETS (LIABILITIES) - 1.6% | 1,081,659 | ||
NET ASSETS - 100% | $69,090,057 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Bank of America Corp. | Chicago Board Options Exchange | 12 | $33,804 | $28.00 | 12/15/17 | $(876) |
Citigroup, Inc. | Chicago Board Options Exchange | 3 | 22,650 | 77.50 | 12/15/17 | (185) |
JPMorgan Chase & Co. | Chicago Board Options Exchange | 1 | 10,452 | 100.00 | 12/15/17 | (490) |
Lowe's Companies, Inc. | Chicago Board Options Exchange | 1 | 8,337 | 85.00 | 1/19/18 | (164) |
Morgan Stanley | Chicago Board Options Exchange | 1 | 5,161 | 50.00 | 12/15/17 | (201) |
The Charles Schwab Corp. | Chicago Board Options Exchange | 1 | 4,879 | 46.00 | 12/15/17 | (307) |
TOTAL WRITTEN OPTIONS | $(2,223) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 47 | Dec. 2017 | $6,222,565 | $168,679 | $168,679 |
The notional amount of futures purchased as a percentage of Net Assets is 9.0%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $85,283.
(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,095 or 0.0% of net assets.
(d) Level 3 security
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $199,491.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 8/12/15 | $6,909 |
Velti PLC | 4/19/13 | $1,464 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $8,059,711 | $8,054,617 | $-- | $5,094 |
Consumer Staples | 4,336,350 | 4,328,274 | 8,076 | -- |
Energy | 4,559,333 | 4,559,333 | -- | -- |
Financials | 8,637,426 | 8,637,426 | -- | -- |
Health Care | 6,273,948 | 6,229,304 | 44,644 | -- |
Industrials | 6,343,459 | 6,343,459 | -- | -- |
Information Technology | 14,091,763 | 14,091,763 | -- | -- |
Materials | 4,103,065 | 4,103,065 | -- | -- |
Real Estate | 1,227,649 | 1,227,649 | -- | -- |
Telecommunication Services | 742,799 | 742,799 | -- | -- |
Utilities | 2,459,238 | 2,459,238 | -- | -- |
Equity Funds | 584,854 | 584,854 | -- | -- |
Other Short-Term Investments | 199,491 | -- | 199,491 | -- |
Money Market Funds | 6,389,312 | 6,389,312 | -- | -- |
Total Investments in Securities: | $68,008,398 | $67,751,093 | $252,211 | $5,094 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $168,679 | $168,679 | $-- | $-- |
Total Assets | $168,679 | $168,679 | $-- | $-- |
Liabilities | ||||
Written Options | $(2,223) | $(2,223) | $-- | $-- |
Total Liabilities | $(2,223) | $(2,223) | $-- | $-- |
Total Derivative Instruments: | $166,456 | $166,456 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $168,679 | $0 |
Written Options(b) | 0 | (2,223) |
Total Equity Risk | 168,679 | (2,223) |
Total Value of Derivatives | $168,679 | $(2,223) |
(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 net unrealized appreciation (depreciation).
(b) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $51,039,267) | $68,008,398 | |
Cash | 2,462 | |
Receivable for investments sold | 1,529,621 | |
Receivable for fund shares sold | 17,119 | |
Dividends receivable | 127,116 | |
Interest receivable | 2,668 | |
Receivable for daily variation margin on futures contracts | 48,095 | |
Prepaid expenses | 121 | |
Receivable from investment adviser for expense reductions | 4,754 | |
Other receivables | 1,202 | |
Total assets | 69,741,556 | |
Liabilities | ||
Payable for investments purchased | $569,312 | |
Payable for fund shares redeemed | 4,579 | |
Accrued management fee | 33,185 | |
Distribution and service plan fees payable | 30 | |
Written options, at value (premium received $975) | 2,223 | |
Other affiliated payables | 6,929 | |
Other payables and accrued expenses | 35,241 | |
Total liabilities | 651,499 | |
Net Assets | $69,090,057 | |
Net Assets consist of: | ||
Paid in capital | $48,630,037 | |
Undistributed net investment income | 284,721 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 3,038,813 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 17,136,486 | |
Net Assets | $69,090,057 | |
Core Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($63,903,960 ÷ 4,702,939 shares) | $13.59 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,890,862 ÷ 357,901 shares) | $13.67 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($148,362 ÷ 10,917 shares) | $13.59 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($146,873 ÷ 10,825 shares) | $13.57 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $561,775 | |
Interest | 15,599 | |
Total income | 577,374 | |
Expenses | ||
Management fee | $193,358 | |
Transfer agent fees | 28,752 | |
Distribution and service plan fees | 173 | |
Accounting fees and expenses | 12,643 | |
Custodian fees and expenses | 36,594 | |
Independent trustees' fees and expenses | 418 | |
Registration fees | 39,056 | |
Audit | 30,871 | |
Legal | 1,524 | |
Miscellaneous | 296 | |
Total expenses before reductions | 343,685 | |
Expense reductions | (52,883) | 290,802 |
Net investment income (loss) | 286,572 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 3,275,272 | |
Foreign currency transactions | 391 | |
Futures contracts | 98,677 | |
Written options | 3,576 | |
Total net realized gain (loss) | 3,377,916 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,501,650 | |
Assets and liabilities in foreign currencies | (57) | |
Futures contracts | 130,094 | |
Written options | (1,337) | |
Total change in net unrealized appreciation (depreciation) | 2,630,350 | |
Net gain (loss) | 6,008,266 | |
Net increase (decrease) in net assets resulting from operations | $6,294,838 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $286,572 | $508,107 |
Net realized gain (loss) | 3,377,916 | 4,700,672 |
Change in net unrealized appreciation (depreciation) | 2,630,350 | 3,907,295 |
Net increase (decrease) in net assets resulting from operations | 6,294,838 | 9,116,074 |
Distributions to shareholders from net investment income | (213,965) | (471,794) |
Distributions to shareholders from net realized gain | (2,408,625) | (4,835,255) |
Total distributions | (2,622,590) | (5,307,049) |
Share transactions - net increase (decrease) | 2,809,845 | 3,335,131 |
Total increase (decrease) in net assets | 6,482,093 | 7,144,156 |
Net Assets | ||
Beginning of period | 62,607,964 | 55,463,808 |
End of period | $69,090,057 | $62,607,964 |
Other Information | ||
Undistributed net investment income end of period | $284,721 | $212,114 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 | $10.61 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .06 | .11 | .10 | .10 | .11 | .13 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.28 | 2.27 | 2.60 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.38 | 2.38 | 2.73 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.12) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.20) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)B | (.32) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.70% | 19.49% | 26.33% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.21% | 1.03% |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97% | .96% |
Net investment income (loss) | .88%F | .87% | .84% | .78% | .80% | 1.12% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $63,904 | $58,221 | $52,330 | $60,606 | $60,938 | $67,623 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% | 95% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 | $11.62 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .06 | .12 | .11 | .11 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.20 | 1.83 | (.04) | 1.28 | 2.28 | 1.46 |
Total from investment operations | 1.26 | 1.95 | .07 | 1.39 | 2.40 | 1.52 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.08) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.04) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)C | (.12) |
Net asset value, end of period | $13.67 | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 |
Total ReturnD,E | 10.12% | 17.14% | .69% | 10.78% | 19.66% | 13.22% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .97%G | 1.00% | 1.10% | 1.05% | 1.11% | .96%G |
Expenses net of fee waivers, if any | .81%G | .81% | .87% | .87% | .87% | .87%G |
Expenses net of all reductions | .81%G | .81% | .87% | .87% | .87% | .86%G |
Net investment income (loss) | .97%G | .96% | .93% | .88% | .90% | 1.02%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,891 | $4,118 | $2,891 | $2,698 | $1,527 | $285 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% | 95% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.29 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .06 | .11 | .10 | .10 | .07 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.27 | 1.19 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.37 | 1.26 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (.47) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.29 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.62% | 9.50% |
Ratios to Average Net AssetsE | |||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.19%F |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97%F |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97%F |
Net investment income (loss) | .88%F | .87% | .83% | .78% | .90%F |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $148 | $135 | $122 | $121 | $109 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.87 | $12.10 | $13.06 | $14.27 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .04 | .08 | .07 | .07 | .05 |
Net realized and unrealized gain (loss) | 1.19 | 1.81 | (.04) | 1.28 | 1.18 |
Total from investment operations | 1.23 | 1.89 | .03 | 1.35 | 1.23 |
Distributions from net investment income | (.03) | (.07) | (.08) | (.09) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.53) | (1.12) | (.99) | (2.56) | (.46)C |
Net asset value, end of period | $13.57 | $12.87 | $12.10 | $13.06 | $14.27 |
Total ReturnD,E | 9.91% | 16.66% | .36% | 10.43% | 9.32% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.32%G | 1.35% | 1.45% | 1.39% | 1.45%G |
Expenses net of fee waivers, if any | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Expenses net of all reductions | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Net investment income (loss) | .63%G | .62% | .58% | .53% | .65%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $147 | $134 | $121 | $121 | $109 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Core Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying Funds and distributions from ETFs, 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures and options contracts, foreign currency transactions, market discount, deferred trustees compensation, partnerships and losses deferred due to wash sales.
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 | $17,404,695 |
Gross unrealized depreciation | (616,077) |
Net unrealized appreciation (depreciation) | $16,788,618 |
Tax cost | $51,387,211 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and options. 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts and exchange-traded options are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $98,677 | $130,094 |
Written Options | 3,576 | (1,337) |
Total | $102,253 | $128,757 |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The 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, and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used exchange-traded and OTC written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $54,513,782 and $57,971,723, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.
Sub-Advisers. AllianceBernstein, L.P. (AB), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc. and FIAM LLC (an affiliate of the investment adviser) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Oppenheimer Funds, Inc., Boston Partners Global Investors, Inc., T. Rowe Price Associates, Inc. and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Subsequent to period end, First Eagle Investment Management, LLC no longer manages a portion of the Fund's assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $173 | $173 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Core Multi-Manager | $28,618 | .09 |
Class L | 67 | .10 |
Class N | 67 | .10 |
$28,752 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $54 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $95 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Core Multi-Manager | .90% | $49,183 |
Class F | .81% | 3,453 |
Class L | .90% | 115 |
Class N | 1.15% | 114 |
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $6 for the period.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $12.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Core Multi-Manager | $199,358 | $443,816 |
Class F | 13,825 | 26,230 |
Class L | 460 | 1,027 |
Class N | 322 | 721 |
Total | $213,965 | $471,794 |
From net realized gain | ||
Core Multi-Manager | $2,242,771 | $4,552,626 |
Class F | 155,534 | 261,588 |
Class L | 5,179 | 10,549 |
Class N | 5,141 | 10,492 |
Total | $2,408,625 | $4,835,255 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Core Multi-Manager | ||||
Shares sold | 41,635 | 141,085 | $534,268 | $1,713,629 |
Reinvestment of distributions | 196,629 | 422,177 | 2,442,129 | 4,996,442 |
Shares redeemed | (53,346) | (366,148) | (691,071) | (4,350,140) |
Net increase (decrease) | 184,918 | 197,114 | $2,285,326 | $2,359,931 |
Class F | ||||
Shares sold | 92,459 | 139,459 | $1,203,921 | $1,705,384 |
Reinvestment of distributions | 13,570 | 24,215 | 169,359 | 287,818 |
Shares redeemed | (66,150) | (83,486) | (859,863) | (1,027,313) |
Net increase (decrease) | 39,879 | 80,188 | $513,417 | $965,889 |
Class L | ||||
Reinvestment of distributions | 454 | 978 | 5,639 | 11,576 |
Shares redeemed | – | (578) | – | (6,762) |
Net increase (decrease) | 454 | 400 | $5,639 | $4,814 |
Class N | ||||
Reinvestment of distributions | 440 | 948 | 5,463 | 11,213 |
Shares redeemed | – | (575) | – | (6,716) |
Net increase (decrease) | 440 | 373 | $5,463 | $4,497 |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Core Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,101.20 | $4.27 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,099.10 | $6.05 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management LLC, ClariVest Asset Management LLC, FIAM LLC, First Eagle Investment Management, LLC, J.P. Morgan Investment Management Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company, OppenheimerFunds, Inc., T. Rowe Price Associates, Inc., and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Multi-Manager Fund
Strategic Advisers Core Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in each of the existing sub-advisory agreements with LSV Asset Management (LSV) and First Eagle Investment Management (First Eagle for the fund (the Amended Sub-Advisory Agreements), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to each of LSV and First Eagle, on behalf of the fund. The terms of each Amended Sub-Advisory Agreement are identical to those of the existing respective sub-advisory agreement with each sub-adviser, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of each respective Amended Sub-Advisory Agreement.In considering whether to approve each Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under each Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV and First Eagle, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that each Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered each sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding each sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve each Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreements would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule with LSV will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to LSV at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to LSV in the future, the new fee schedule under the Amended Sub-Advisory Agreement would result in lower fees to be paid by Strategic Advisers to LSV, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement. The Board also considered that the new fee schedule with First Eagle is expected to lower the amount of fees paid by Strategic Advisers to First Eagle on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement with First Eagle has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that each Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that each Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV and First Eagle as assets allocated to each sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that each Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that each Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
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MMC-L-MMC-N-SANN-0118
1.9585622.104
Strategic Advisers® Core Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Microsoft Corp. | 3.6 | 2.6 |
Apple, Inc. | 3.2 | 3.1 |
Alphabet, Inc. Class C | 2.8 | 3.1 |
Bank of America Corp.(a) | 2.0 | 1.7 |
Citigroup, Inc.(a) | 1.9 | 1.3 |
Northrop Grumman Corp. | 1.7 | 1.5 |
Chevron Corp. | 1.6 | 0.7 |
PepsiCo, Inc. | 1.6 | 2.1 |
Air Products & Chemicals, Inc. | 1.5 | 0.4 |
EOG Resources, Inc. | 1.5 | 0.8 |
21.4 |
(a) Security or a portion of the security is pledged as collateral for call options written.
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 20.4 | 22.5 |
Financials | 12.5 | 11.6 |
Consumer Discretionary | 11.6 | 13.3 |
Industrials | 9.2 | 11.1 |
Health Care | 9.1 | 11.6 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 88.0% | |
Sector Funds | 0.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 11.2% |
As of May 31, 2017 | ||
Common Stocks | 93.5% | |
Sector Funds | 0.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.6% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 88.0% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 11.6% | |||
Auto Components - 0.2% | |||
Delphi Automotive PLC | 1,123 | $117,544 | |
Automobiles - 0.3% | |||
Ford Motor Co. | 14,240 | 178,285 | |
General Motors Co. | 345 | 14,866 | |
193,151 | |||
Hotels, Restaurants & Leisure - 2.0% | |||
Carnival Corp. | 1,735 | 113,885 | |
Hilton Worldwide Holdings, Inc. | 1,658 | 128,594 | |
McDonald's Corp. | 4,626 | 795,533 | |
MGM Mirage, Inc. | 8,127 | 277,293 | |
Norwegian Cruise Line Holdings Ltd. (a) | 1,713 | 92,776 | |
1,408,081 | |||
Household Durables - 0.4% | |||
Lennar Corp. Class A | 2,874 | 180,430 | |
Toll Brothers, Inc. | 2,002 | 100,761 | |
281,191 | |||
Internet & Direct Marketing Retail - 1.3% | |||
Amazon.com, Inc. (a) | 540 | 635,445 | |
Expedia, Inc. | 839 | 102,778 | |
Priceline Group, Inc. (a) | 105 | 182,670 | |
920,893 | |||
Media - 3.9% | |||
CBS Corp. Class B | 3,029 | 169,806 | |
Charter Communications, Inc. Class A (a) | 622 | 202,903 | |
Comcast Corp. Class A | 19,440 | 729,778 | |
DISH Network Corp. Class A (a) | 2,766 | 140,098 | |
The Walt Disney Co. | 4,328 | 453,661 | |
Time Warner, Inc. | 3,142 | 287,524 | |
Twenty-First Century Fox, Inc. Class A | 21,806 | 696,484 | |
Viacom, Inc. Class B (non-vtg.) | 308 | 8,723 | |
2,688,977 | |||
Multiline Retail - 0.5% | |||
Dollar Tree, Inc. (a) | 1,786 | 183,529 | |
Target Corp. | 2,759 | 165,264 | |
348,793 | |||
Specialty Retail - 2.4% | |||
Home Depot, Inc. | 4,012 | 721,438 | |
Lowe's Companies, Inc. (b) | 5,061 | 421,936 | |
O'Reilly Automotive, Inc. (a) | 1,252 | 295,735 | |
Ross Stores, Inc. | 1,131 | 85,990 | |
TJX Companies, Inc. | 2,230 | 168,477 | |
1,693,576 | |||
Textiles, Apparel & Luxury Goods - 0.6% | |||
lululemon athletica, Inc. (a) | 695 | 46,537 | |
NIKE, Inc. Class B | 5,890 | 355,874 | |
402,411 | |||
TOTAL CONSUMER DISCRETIONARY | 8,054,617 | ||
CONSUMER STAPLES - 6.3% | |||
Beverages - 2.4% | |||
Coca-Cola European Partners PLC | 3,904 | 152,217 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 497 | 108,142 | |
Molson Coors Brewing Co. Class B | 2,289 | 178,771 | |
PepsiCo, Inc. | 9,626 | 1,121,622 | |
The Coca-Cola Co. | 2,781 | 127,286 | |
1,688,038 | |||
Food & Staples Retailing - 0.9% | |||
Costco Wholesale Corp. | 84 | 15,492 | |
CVS Health Corp. | 1,050 | 80,430 | |
Kroger Co. | 2,533 | 65,503 | |
Wal-Mart Stores, Inc. | 2,671 | 259,701 | |
Walgreens Boots Alliance, Inc. | 2,341 | 170,331 | |
591,457 | |||
Food Products - 0.8% | |||
General Mills, Inc. | 1,530 | 86,537 | |
Mondelez International, Inc. | 7,716 | 331,325 | |
The Kraft Heinz Co. | 1,784 | 145,164 | |
563,026 | |||
Household Products - 0.8% | |||
Clorox Co. | 798 | 111,153 | |
Colgate-Palmolive Co. | 3,475 | 251,764 | |
Procter & Gamble Co. | 1,684 | 151,543 | |
Reckitt Benckiser Group PLC | 92 | 8,076 | |
522,536 | |||
Personal Products - 0.4% | |||
Estee Lauder Companies, Inc. Class A | 1,952 | 243,668 | |
Unilever NV (NY Reg.) | 455 | 26,272 | |
269,940 | |||
Tobacco - 1.0% | |||
Altria Group, Inc. | 4,221 | 286,310 | |
British American Tobacco PLC sponsored ADR | 485 | 30,861 | |
Philip Morris International, Inc. | 3,739 | 384,182 | |
701,353 | |||
TOTAL CONSUMER STAPLES | 4,336,350 | ||
ENERGY - 6.6% | |||
Energy Equipment & Services - 0.3% | |||
Baker Hughes, a GE Co. Class A | 242 | 7,195 | |
Schlumberger Ltd. | 3,137 | 197,160 | |
204,355 | |||
Oil, Gas & Consumable Fuels - 6.3% | |||
Anadarko Petroleum Corp. | 3,414 | 164,179 | |
Apache Corp. | 1,350 | 56,471 | |
Chevron Corp. | 9,581 | 1,140,043 | |
Concho Resources, Inc. (a) | 1,289 | 180,280 | |
ConocoPhillips Co. | 3,658 | 186,119 | |
Diamondback Energy, Inc. (a) | 1,728 | 188,888 | |
EOG Resources, Inc. | 10,289 | 1,052,770 | |
EQT Corp. | 2,069 | 123,312 | |
Exxon Mobil Corp. | 132 | 10,994 | |
Imperial Oil Ltd. | 1,413 | 43,590 | |
Kinder Morgan, Inc. | 3,906 | 67,300 | |
Occidental Petroleum Corp. | 7,485 | 527,693 | |
Phillips 66 Co. | 277 | 27,024 | |
Pioneer Natural Resources Co. | 1,882 | 293,667 | |
Suncor Energy, Inc. | 4,190 | 145,334 | |
The Williams Companies, Inc. | 4,122 | 119,744 | |
Valero Energy Corp. | 322 | 27,570 | |
4,354,978 | |||
TOTAL ENERGY | 4,559,333 | ||
FINANCIALS - 12.5% | |||
Banks - 7.3% | |||
Bank of America Corp. (b) | 49,198 | 1,385,908 | |
Citigroup, Inc. (b) | 17,088 | 1,290,144 | |
JPMorgan Chase & Co. (b) | 8,385 | 876,400 | |
PNC Financial Services Group, Inc. | 707 | 99,376 | |
SVB Financial Group (a) | 770 | 175,283 | |
U.S. Bancorp | 10,498 | 578,965 | |
Wells Fargo & Co. | 11,788 | 665,668 | |
5,071,744 | |||
Capital Markets - 2.4% | |||
Bank of New York Mellon Corp. | 4,450 | 243,593 | |
Charles Schwab Corp. (b) | 7,429 | 362,461 | |
Goldman Sachs Group, Inc. | 140 | 34,670 | |
IntercontinentalExchange, Inc. | 3,408 | 243,502 | |
KKR & Co. LP | 9,888 | 196,969 | |
Morgan Stanley (b) | 7,650 | 394,817 | |
State Street Corp. | 1,588 | 151,416 | |
1,627,428 | |||
Consumer Finance - 0.4% | |||
Capital One Financial Corp. | 2,971 | 273,332 | |
Diversified Financial Services - 1.0% | |||
Berkshire Hathaway, Inc. Class B (a) | 3,140 | 606,051 | |
Voya Financial, Inc. | 2,143 | 94,721 | |
700,772 | |||
Insurance - 1.4% | |||
American International Group, Inc. | 4,142 | 248,354 | |
Arthur J. Gallagher & Co. | 337 | 22,185 | |
Athene Holding Ltd. | 2,252 | 108,254 | |
Chubb Ltd. | 1,245 | 189,377 | |
Marsh & McLennan Companies, Inc. | 385 | 32,313 | |
MetLife, Inc. | 3,447 | 185,035 | |
Progressive Corp. | 3,359 | 178,632 | |
964,150 | |||
TOTAL FINANCIALS | 8,637,426 | ||
HEALTH CARE - 9.1% | |||
Biotechnology - 1.9% | |||
AbbVie, Inc. | 3,407 | 330,206 | |
Alexion Pharmaceuticals, Inc. (a) | 366 | 40,190 | |
Amgen, Inc. | 759 | 133,326 | |
Biogen, Inc. (a) | 637 | 205,222 | |
BioMarin Pharmaceutical, Inc. (a) | 655 | 56,199 | |
Celgene Corp. (a) | 2,058 | 207,508 | |
Gilead Sciences, Inc. | 304 | 22,733 | |
Intercept Pharmaceuticals, Inc. (a) | 200 | 12,282 | |
Regeneron Pharmaceuticals, Inc. (a) | 54 | 19,540 | |
Vertex Pharmaceuticals, Inc. (a) | 1,720 | 248,179 | |
1,275,385 | |||
Health Care Equipment & Supplies - 1.2% | |||
Abbott Laboratories | 3,725 | 209,978 | |
Becton, Dickinson & Co. | 24 | 5,477 | |
Boston Scientific Corp. (a) | 11,570 | 304,060 | |
Danaher Corp. | 216 | 20,382 | |
Medtronic PLC | 2,258 | 185,450 | |
Zimmer Biomet Holdings, Inc. | 890 | 104,219 | |
829,566 | |||
Health Care Providers & Services - 2.2% | |||
Aetna, Inc. | 706 | 127,207 | |
AmerisourceBergen Corp. | 936 | 79,392 | |
Anthem, Inc. | 232 | 54,511 | |
Cardinal Health, Inc. | 352 | 20,835 | |
Cigna Corp. | 1,052 | 222,740 | |
Express Scripts Holding Co. (a) | 198 | 12,906 | |
Humana, Inc. | 822 | 214,427 | |
McKesson Corp. | 411 | 60,721 | |
UnitedHealth Group, Inc. | 3,251 | 741,781 | |
1,534,520 | |||
Life Sciences Tools & Services - 0.2% | |||
Agilent Technologies, Inc. | 2,154 | 149,143 | |
Pharmaceuticals - 3.6% | |||
Allergan PLC | 1,636 | 284,386 | |
AstraZeneca PLC sponsored ADR | 640 | 21,037 | |
Bayer AG | 85 | 10,850 | |
Bristol-Myers Squibb Co. | 3,844 | 242,902 | |
Eli Lilly & Co. | 6,192 | 524,091 | |
GlaxoSmithKline PLC sponsored ADR | 3,083 | 108,090 | |
Johnson & Johnson | 4,159 | 579,473 | |
Merck & Co., Inc. | 948 | 52,396 | |
Novartis AG sponsored ADR | 133 | 11,411 | |
Pfizer, Inc. | 11,629 | 421,668 | |
Sanofi SA | 267 | 24,356 | |
Teva Pharmaceutical Industries Ltd. sponsored ADR | 1,623 | 24,053 | |
Zoetis, Inc. Class A | 2,368 | 171,183 | |
2,475,896 | |||
TOTAL HEALTH CARE | 6,264,510 | ||
INDUSTRIALS - 9.2% | |||
Aerospace & Defense - 2.3% | |||
General Dynamics Corp. | 1,016 | 210,475 | |
Northrop Grumman Corp. | 3,873 | 1,190,560 | |
The Boeing Co. | 156 | 43,181 | |
United Technologies Corp. | 1,096 | 133,109 | |
1,577,325 | |||
Air Freight & Logistics - 0.2% | |||
FedEx Corp. | 148 | 34,256 | |
United Parcel Service, Inc. Class B | 791 | 96,067 | |
130,323 | |||
Airlines - 0.5% | |||
Delta Air Lines, Inc. | 6,549 | 346,573 | |
Building Products - 0.5% | |||
Allegion PLC | 2,335 | 196,467 | |
Masco Corp. | 3,470 | 148,898 | |
345,365 | |||
Electrical Equipment - 0.3% | |||
Eaton Corp. PLC | 2,310 | 179,672 | |
Industrial Conglomerates - 1.5% | |||
General Electric Co. | 17,535 | 320,715 | |
Honeywell International, Inc. | 4,754 | 741,434 | |
1,062,149 | |||
Machinery - 2.1% | |||
Caterpillar, Inc. | 3,458 | 488,097 | |
Deere & Co. | 2,134 | 319,801 | |
Ingersoll-Rand PLC | 3,634 | 318,411 | |
Stanley Black & Decker, Inc. | 2,006 | 340,278 | |
1,466,587 | |||
Road & Rail - 1.8% | |||
CSX Corp. | 1,362 | 75,932 | |
Norfolk Southern Corp. | 5,384 | 746,384 | |
Union Pacific Corp. | 3,266 | 413,149 | |
1,235,465 | |||
TOTAL INDUSTRIALS | 6,343,459 | ||
INFORMATION TECHNOLOGY - 20.4% | |||
Communications Equipment - 0.8% | |||
Cisco Systems, Inc. | 13,934 | 519,738 | |
Internet Software & Services - 5.4% | |||
Alphabet, Inc.: | |||
Class A (a) | 697 | 722,210 | |
Class C (a) | 1,904 | 1,944,765 | |
eBay, Inc. (a) | 2,910 | 100,890 | |
Facebook, Inc. Class A (a) | 5,591 | 990,613 | |
Velti PLC (a)(c) | 976 | 1 | |
3,758,479 | |||
IT Services - 2.7% | |||
Accenture PLC Class A | 1,849 | 273,670 | |
Cognizant Technology Solutions Corp. Class A | 3,290 | 237,801 | |
IBM Corp. | 1,615 | 248,662 | |
MasterCard, Inc. Class A | 428 | 64,401 | |
PayPal Holdings, Inc. (a) | 1,116 | 84,515 | |
Visa, Inc. Class A | 7,272 | 818,754 | |
WEX, Inc. (a) | 1,136 | 146,226 | |
1,874,029 | |||
Semiconductors & Semiconductor Equipment - 3.6% | |||
Analog Devices, Inc. | 1,394 | 120,037 | |
Broadcom Ltd. | 1,993 | 553,934 | |
Intel Corp. | 4,109 | 184,248 | |
Microchip Technology, Inc. | 1,677 | 145,882 | |
NVIDIA Corp. | 1,066 | 213,957 | |
NXP Semiconductors NV (a) | 2,190 | 248,324 | |
Qualcomm, Inc. | 5,155 | 341,983 | |
Texas Instruments, Inc. | 7,001 | 681,127 | |
2,489,492 | |||
Software - 4.7% | |||
Activision Blizzard, Inc. | 2,319 | 144,706 | |
Adobe Systems, Inc. (a) | 1,741 | 315,939 | |
Microsoft Corp. | 29,787 | 2,507,166 | |
Oracle Corp. | 1,359 | 66,673 | |
Salesforce.com, Inc. (a) | 57 | 5,946 | |
SAP SE sponsored ADR | 158 | 17,909 | |
Take-Two Interactive Software, Inc. (a) | 1,062 | 118,466 | |
Workday, Inc. Class A (a) | 729 | 75,087 | |
3,251,892 | |||
Technology Hardware, Storage & Peripherals - 3.2% | |||
Apple, Inc. | 12,791 | 2,198,133 | |
TOTAL INFORMATION TECHNOLOGY | 14,091,763 | ||
MATERIALS - 5.9% | |||
Chemicals - 5.5% | |||
Air Products & Chemicals, Inc. | 6,536 | 1,065,629 | |
Axalta Coating Systems Ltd. | 933 | 29,539 | |
DowDuPont, Inc. | 13,314 | 958,075 | |
Eastman Chemical Co. | 2,322 | 214,483 | |
LyondellBasell Industries NV Class A | 534 | 55,910 | |
Monsanto Co. | 553 | 65,442 | |
Potash Corp. of Saskatchewan, Inc. | 31,397 | 616,186 | |
PPG Industries, Inc. | 70 | 8,180 | |
Praxair, Inc. | 4,965 | 764,213 | |
3,777,657 | |||
Construction Materials - 0.1% | |||
Vulcan Materials Co. | 628 | 78,908 | |
Containers & Packaging - 0.3% | |||
Berry Global Group, Inc. (a) | 1,912 | 114,280 | |
WestRock Co. | 2,052 | 128,065 | |
242,345 | |||
Metals & Mining - 0.0% | |||
BHP Billiton Ltd. sponsored ADR | 100 | 4,155 | |
TOTAL MATERIALS | 4,103,065 | ||
REAL ESTATE - 1.8% | |||
Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
American Tower Corp. | 102 | 14,681 | |
AvalonBay Communities, Inc. | 930 | 168,637 | |
Crown Castle International Corp. | 7,805 | 881,965 | |
Public Storage | 44 | 9,377 | |
Vornado Realty Trust | 1,971 | 152,989 | |
1,227,649 | |||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.7% | |||
Verizon Communications, Inc. | 9,574 | 487,221 | |
Wireless Telecommunication Services - 0.4% | |||
T-Mobile U.S., Inc. (a) | 4,185 | 255,578 | |
TOTAL TELECOMMUNICATION SERVICES | 742,799 | ||
UTILITIES - 3.5% | |||
Electric Utilities - 3.4% | |||
American Electric Power Co., Inc. | 2,068 | 160,539 | |
Exelon Corp. | 1,617 | 67,445 | |
Fortis, Inc. | 3,890 | 143,152 | |
Fortis, Inc. | 7,481 | 275,431 | |
NextEra Energy, Inc. | 4,750 | 750,690 | |
PG&E Corp. | 4,207 | 228,188 | |
PPL Corp. | 13,002 | 476,783 | |
Xcel Energy, Inc. | 4,596 | 237,200 | |
2,339,428 | |||
Multi-Utilities - 0.1% | |||
CMS Energy Corp. | 2,401 | 119,810 | |
TOTAL UTILITIES | 2,459,238 | ||
TOTAL COMMON STOCKS | |||
(Cost $43,895,085) | 60,820,209 | ||
Convertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Internet & Direct Marketing Retail - 0.0% | |||
The Honest Co., Inc. Series D (a)(c)(d) | 151 | 5,094 | |
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. Series A 6.125% | 156 | 9,438 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | |||
(Cost $15,040) | 14,532 | ||
Equity Funds - 0.8% | |||
Sector Funds - 0.8% | |||
iShares NASDAQ Biotechnology Index ETF | 1,300 | 410,488 | |
SPDR S&P Biotech ETF | 2,096 | 174,366 | |
TOTAL EQUITY FUNDS | |||
(Cost $540,340) | 584,854 | ||
Principal Amount | |||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $199,490) | $200,000 | 199,491 | |
Shares | |||
Money Market Funds - 9.3% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,389,312) | 6,389,312 | 6,389,312 | |
TOTAL INVESTMENT IN SECURITIES - 98.4% | |||
(Cost $51,039,267) | 68,008,398 | ||
NET OTHER ASSETS (LIABILITIES) - 1.6% | 1,081,659 | ||
NET ASSETS - 100% | $69,090,057 |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
Call Options | ||||||
Bank of America Corp. | Chicago Board Options Exchange | 12 | $33,804 | $28.00 | 12/15/17 | $(876) |
Citigroup, Inc. | Chicago Board Options Exchange | 3 | 22,650 | 77.50 | 12/15/17 | (185) |
JPMorgan Chase & Co. | Chicago Board Options Exchange | 1 | 10,452 | 100.00 | 12/15/17 | (490) |
Lowe's Companies, Inc. | Chicago Board Options Exchange | 1 | 8,337 | 85.00 | 1/19/18 | (164) |
Morgan Stanley | Chicago Board Options Exchange | 1 | 5,161 | 50.00 | 12/15/17 | (201) |
The Charles Schwab Corp. | Chicago Board Options Exchange | 1 | 4,879 | 46.00 | 12/15/17 | (307) |
TOTAL WRITTEN OPTIONS | $(2,223) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 47 | Dec. 2017 | $6,222,565 | $168,679 | $168,679 |
The notional amount of futures purchased as a percentage of Net Assets is 9.0%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Non-income producing
(b) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $85,283.
(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $5,095 or 0.0% of net assets.
(d) Level 3 security
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $199,491.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
The Honest Co., Inc. Series D | 8/12/15 | $6,909 |
Velti PLC | 4/19/13 | $1,464 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $8,059,711 | $8,054,617 | $-- | $5,094 |
Consumer Staples | 4,336,350 | 4,328,274 | 8,076 | -- |
Energy | 4,559,333 | 4,559,333 | -- | -- |
Financials | 8,637,426 | 8,637,426 | -- | -- |
Health Care | 6,273,948 | 6,229,304 | 44,644 | -- |
Industrials | 6,343,459 | 6,343,459 | -- | -- |
Information Technology | 14,091,763 | 14,091,763 | -- | -- |
Materials | 4,103,065 | 4,103,065 | -- | -- |
Real Estate | 1,227,649 | 1,227,649 | -- | -- |
Telecommunication Services | 742,799 | 742,799 | -- | -- |
Utilities | 2,459,238 | 2,459,238 | -- | -- |
Equity Funds | 584,854 | 584,854 | -- | -- |
Other Short-Term Investments | 199,491 | -- | 199,491 | -- |
Money Market Funds | 6,389,312 | 6,389,312 | -- | -- |
Total Investments in Securities: | $68,008,398 | $67,751,093 | $252,211 | $5,094 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $168,679 | $168,679 | $-- | $-- |
Total Assets | $168,679 | $168,679 | $-- | $-- |
Liabilities | ||||
Written Options | $(2,223) | $(2,223) | $-- | $-- |
Total Liabilities | $(2,223) | $(2,223) | $-- | $-- |
Total Derivative Instruments: | $166,456 | $166,456 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $168,679 | $0 |
Written Options(b) | 0 | (2,223) |
Total Equity Risk | 168,679 | (2,223) |
Total Value of Derivatives | $168,679 | $(2,223) |
(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 net unrealized appreciation (depreciation).
(b) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $51,039,267) | $68,008,398 | |
Cash | 2,462 | |
Receivable for investments sold | 1,529,621 | |
Receivable for fund shares sold | 17,119 | |
Dividends receivable | 127,116 | |
Interest receivable | 2,668 | |
Receivable for daily variation margin on futures contracts | 48,095 | |
Prepaid expenses | 121 | |
Receivable from investment adviser for expense reductions | 4,754 | |
Other receivables | 1,202 | |
Total assets | 69,741,556 | |
Liabilities | ||
Payable for investments purchased | $569,312 | |
Payable for fund shares redeemed | 4,579 | |
Accrued management fee | 33,185 | |
Distribution and service plan fees payable | 30 | |
Written options, at value (premium received $975) | 2,223 | |
Other affiliated payables | 6,929 | |
Other payables and accrued expenses | 35,241 | |
Total liabilities | 651,499 | |
Net Assets | $69,090,057 | |
Net Assets consist of: | ||
Paid in capital | $48,630,037 | |
Undistributed net investment income | 284,721 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 3,038,813 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 17,136,486 | |
Net Assets | $69,090,057 | |
Core Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($63,903,960 ÷ 4,702,939 shares) | $13.59 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,890,862 ÷ 357,901 shares) | $13.67 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($148,362 ÷ 10,917 shares) | $13.59 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($146,873 ÷ 10,825 shares) | $13.57 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $561,775 | |
Interest | 15,599 | |
Total income | 577,374 | |
Expenses | ||
Management fee | $193,358 | |
Transfer agent fees | 28,752 | |
Distribution and service plan fees | 173 | |
Accounting fees and expenses | 12,643 | |
Custodian fees and expenses | 36,594 | |
Independent trustees' fees and expenses | 418 | |
Registration fees | 39,056 | |
Audit | 30,871 | |
Legal | 1,524 | |
Miscellaneous | 296 | |
Total expenses before reductions | 343,685 | |
Expense reductions | (52,883) | 290,802 |
Net investment income (loss) | 286,572 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 3,275,272 | |
Foreign currency transactions | 391 | |
Futures contracts | 98,677 | |
Written options | 3,576 | |
Total net realized gain (loss) | 3,377,916 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,501,650 | |
Assets and liabilities in foreign currencies | (57) | |
Futures contracts | 130,094 | |
Written options | (1,337) | |
Total change in net unrealized appreciation (depreciation) | 2,630,350 | |
Net gain (loss) | 6,008,266 | |
Net increase (decrease) in net assets resulting from operations | $6,294,838 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $286,572 | $508,107 |
Net realized gain (loss) | 3,377,916 | 4,700,672 |
Change in net unrealized appreciation (depreciation) | 2,630,350 | 3,907,295 |
Net increase (decrease) in net assets resulting from operations | 6,294,838 | 9,116,074 |
Distributions to shareholders from net investment income | (213,965) | (471,794) |
Distributions to shareholders from net realized gain | (2,408,625) | (4,835,255) |
Total distributions | (2,622,590) | (5,307,049) |
Share transactions - net increase (decrease) | 2,809,845 | 3,335,131 |
Total increase (decrease) in net assets | 6,482,093 | 7,144,156 |
Net Assets | ||
Beginning of period | 62,607,964 | 55,463,808 |
End of period | $69,090,057 | $62,607,964 |
Other Information | ||
Undistributed net investment income end of period | $284,721 | $212,114 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 | $10.61 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .06 | .11 | .10 | .10 | .11 | .13 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.28 | 2.27 | 2.60 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.38 | 2.38 | 2.73 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.12) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.20) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)B | (.32) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.28 | $13.02 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.70% | 19.49% | 26.33% |
Ratios to Average Net AssetsE | ||||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.21% | 1.03% |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97% | .96% |
Net investment income (loss) | .88%F | .87% | .84% | .78% | .80% | 1.12% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $63,904 | $58,221 | $52,330 | $60,606 | $60,938 | $67,623 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% | 95% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.12 per share is comprised of distributions from net investment income of $.108 and distributions from net realized gain of $1.015 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 | $11.62 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .06 | .12 | .11 | .11 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.20 | 1.83 | (.04) | 1.28 | 2.28 | 1.46 |
Total from investment operations | 1.26 | 1.95 | .07 | 1.39 | 2.40 | 1.52 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.11) | (.08) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (1.02) | (.04) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (1.12)C | (.12) |
Net asset value, end of period | $13.67 | $12.95 | $12.15 | $13.10 | $14.30 | $13.02 |
Total ReturnD,E | 10.12% | 17.14% | .69% | 10.78% | 19.66% | 13.22% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | .97%G | 1.00% | 1.10% | 1.05% | 1.11% | .96%G |
Expenses net of fee waivers, if any | .81%G | .81% | .87% | .87% | .87% | .87%G |
Expenses net of all reductions | .81%G | .81% | .87% | .87% | .87% | .86%G |
Net investment income (loss) | .97%G | .96% | .93% | .88% | .90% | 1.02%G |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,891 | $4,118 | $2,891 | $2,698 | $1,527 | $285 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% | 95% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.12 per share is comprised of distributions from net investment income of $.109 and distributions from net realized gain of $1.015 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.89 | $12.11 | $13.07 | $14.29 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .06 | .11 | .10 | .10 | .07 |
Net realized and unrealized gain (loss) | 1.18 | 1.82 | (.04) | 1.27 | 1.19 |
Total from investment operations | 1.24 | 1.93 | .06 | 1.37 | 1.26 |
Distributions from net investment income | (.04) | (.10) | (.11) | (.12) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.54) | (1.15) | (1.02) | (2.59) | (.47) |
Net asset value, end of period | $13.59 | $12.89 | $12.11 | $13.07 | $14.29 |
Total ReturnC,D | 10.01% | 17.03% | .61% | 10.62% | 9.50% |
Ratios to Average Net AssetsE | |||||
Expenses before reductions | 1.06%F | 1.10% | 1.20% | 1.14% | 1.19%F |
Expenses net of fee waivers, if any | .90%F | .90% | .97% | .97% | .97%F |
Expenses net of all reductions | .90%F | .90% | .97% | .97% | .97%F |
Net investment income (loss) | .88%F | .87% | .83% | .78% | .90%F |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $148 | $135 | $122 | $121 | $109 |
Portfolio turnover rateG | 178%F | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Core Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $12.87 | $12.10 | $13.06 | $14.27 | $13.50 |
Income from Investment Operations | |||||
Net investment income (loss)B | .04 | .08 | .07 | .07 | .05 |
Net realized and unrealized gain (loss) | 1.19 | 1.81 | (.04) | 1.28 | 1.18 |
Total from investment operations | 1.23 | 1.89 | .03 | 1.35 | 1.23 |
Distributions from net investment income | (.03) | (.07) | (.08) | (.09) | (.06) |
Distributions from net realized gain | (.50) | (1.05) | (.91) | (2.47) | (.41) |
Total distributions | (.53) | (1.12) | (.99) | (2.56) | (.46)C |
Net asset value, end of period | $13.57 | $12.87 | $12.10 | $13.06 | $14.27 |
Total ReturnD,E | 9.91% | 16.66% | .36% | 10.43% | 9.32% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.32%G | 1.35% | 1.45% | 1.39% | 1.45%G |
Expenses net of fee waivers, if any | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Expenses net of all reductions | 1.15%G | 1.15% | 1.22% | 1.22% | 1.22%G |
Net investment income (loss) | .63%G | .62% | .58% | .53% | .65%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $147 | $134 | $121 | $121 | $109 |
Portfolio turnover rateH | 178%G | 151% | 143% | 151% | 134% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.46 per share is comprised of distributions from net investment income of $.056 and distributions from net realized gain of $.405 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Core Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Core Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying Funds and distributions from ETFs, 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures and options contracts, foreign currency transactions, market discount, deferred trustees compensation, partnerships and losses deferred due to wash sales.
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 | $17,404,695 |
Gross unrealized depreciation�� | (616,077) |
Net unrealized appreciation (depreciation) | $16,788,618 |
Tax cost | $51,387,211 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and options. 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts and exchange-traded options are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts and exchange-traded options may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Equity Risk | ||
Futures Contracts | $98,677 | $130,094 |
Written Options | 3,576 | (1,337) |
Total | $102,253 | $128,757 |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The 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, and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used exchange-traded and OTC written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $54,513,782 and $57,971,723, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.05% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .59% of the Fund's average net assets.
Sub-Advisers. AllianceBernstein, L.P. (AB), First Eagle Investment Management, LLC, J.P. Morgan Investment Management, Inc. and FIAM LLC (an affiliate of the investment adviser) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company (MFS), Oppenheimer Funds, Inc., Boston Partners Global Investors, Inc., T. Rowe Price Associates, Inc. and Waddell & Reed Investment Management Co. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Subsequent to period end, First Eagle Investment Management, LLC no longer manages a portion of the Fund's assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $173 | $173 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Core Multi-Manager | $28,618 | .09 |
Class L | 67 | .10 |
Class N | 67 | .10 |
$28,752 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $54 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $95 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Core Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Core Multi-Manager | .90% | $49,183 |
Class F | .81% | 3,453 |
Class L | .90% | 115 |
Class N | 1.15% | 114 |
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $6 for the period.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $12.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Core Multi-Manager | $199,358 | $443,816 |
Class F | 13,825 | 26,230 |
Class L | 460 | 1,027 |
Class N | 322 | 721 |
Total | $213,965 | $471,794 |
From net realized gain | ||
Core Multi-Manager | $2,242,771 | $4,552,626 |
Class F | 155,534 | 261,588 |
Class L | 5,179 | 10,549 |
Class N | 5,141 | 10,492 |
Total | $2,408,625 | $4,835,255 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Core Multi-Manager | ||||
Shares sold | 41,635 | 141,085 | $534,268 | $1,713,629 |
Reinvestment of distributions | 196,629 | 422,177 | 2,442,129 | 4,996,442 |
Shares redeemed | (53,346) | (366,148) | (691,071) | (4,350,140) |
Net increase (decrease) | 184,918 | 197,114 | $2,285,326 | $2,359,931 |
Class F | ||||
Shares sold | 92,459 | 139,459 | $1,203,921 | $1,705,384 |
Reinvestment of distributions | 13,570 | 24,215 | 169,359 | 287,818 |
Shares redeemed | (66,150) | (83,486) | (859,863) | (1,027,313) |
Net increase (decrease) | 39,879 | 80,188 | $513,417 | $965,889 |
Class L | ||||
Reinvestment of distributions | 454 | 978 | 5,639 | 11,576 |
Shares redeemed | – | (578) | – | (6,762) |
Net increase (decrease) | 454 | 400 | $5,639 | $4,814 |
Class N | ||||
Reinvestment of distributions | 440 | 948 | 5,463 | 11,213 |
Shares redeemed | – | (575) | – | (6,716) |
Net increase (decrease) | 440 | 373 | $5,463 | $4,497 |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Core Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,101.20 | $4.27 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,100.10 | $4.74 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,099.10 | $6.05 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Alliance Bernstein L.P. (AB), Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management LLC, ClariVest Asset Management LLC, FIAM LLC, First Eagle Investment Management, LLC, J.P. Morgan Investment Management Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Massachusetts Financial Services Company, OppenheimerFunds, Inc., T. Rowe Price Associates, Inc., and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Core Multi-Manager Fund
Strategic Advisers Core Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in each of the existing sub-advisory agreements with LSV Asset Management (LSV) and First Eagle Investment Management (First Eagle for the fund (the Amended Sub-Advisory Agreements), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to each of LSV and First Eagle, on behalf of the fund. The terms of each Amended Sub-Advisory Agreement are identical to those of the existing respective sub-advisory agreement with each sub-adviser, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of each respective Amended Sub-Advisory Agreement.In considering whether to approve each Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under each Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve each Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV and First Eagle, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that each Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered each sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding each sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve each Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreements would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule with LSV will not result in any changes to the fund's total management fee or total fund expenses because Strategic Advisers has not allocated any assets of the fund to LSV at this time. The Board considered that to the extent Strategic Advisers allocates assets of the fund to LSV in the future, the new fee schedule under the Amended Sub-Advisory Agreement would result in lower fees to be paid by Strategic Advisers to LSV, on behalf of the fund, compared to the fees that would be paid under current sub-advisory agreement. The Board also considered that the new fee schedule with First Eagle is expected to lower the amount of fees paid by Strategic Advisers to First Eagle on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement with First Eagle has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that each Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that each Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV and First Eagle as assets allocated to each sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that each Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that each Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of each Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
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MMC-F-SANN-0118
1.951478.104
Strategic Advisers® Growth Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
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A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Fidelity Blue Chip Growth Fund | 5.2 | 5.4 |
Fidelity SAI U.S. Quality Index Fund | 4.9 | 5.2 |
Facebook, Inc. Class A | 4.0 | 4.1 |
Amazon.com, Inc. | 3.8 | 3.9 |
Apple, Inc. | 3.5 | 3.6 |
Microsoft Corp. | 3.4 | 3.3 |
Alphabet, Inc. Class C | 2.3 | 2.4 |
Alphabet, Inc. Class A | 2.1 | 2.2 |
Visa, Inc. Class A | 1.9 | 1.6 |
Alibaba Group Holding Ltd. sponsored ADR | 1.4 | 1.1 |
32.5 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 33.5 | 33.2 |
Consumer Discretionary | 12.7 | 14.7 |
Health Care | 11.3 | 12.8 |
Industrials | 9.0 | 7.8 |
Consumer Staples | 7.4 | 7.8 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 80.9% | |
Large Growth Funds | 10.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 9.0% |
As of May 31, 2017 | ||
Common Stocks | 84.1% | |
Large Growth Funds | 10.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 80.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 0.7% | |||
Lear Corp. | 2,888 | $522,410 | |
Automobiles - 0.3% | |||
Thor Industries, Inc. | 1,690 | 259,500 | |
Hotels, Restaurants & Leisure - 3.1% | |||
Carnival Corp. | 1,428 | 93,734 | |
Domino's Pizza, Inc. | 1,564 | 291,154 | |
Marriott International, Inc. Class A | 2,546 | 323,342 | |
McDonald's Corp. | 2,845 | 489,255 | |
Norwegian Cruise Line Holdings Ltd. (a) | 614 | 33,254 | |
Royal Caribbean Cruises Ltd. | 1,819 | 225,338 | |
Starbucks Corp. | 3,368 | 194,738 | |
Wyndham Worldwide Corp. | 2,041 | 229,388 | |
Yum China Holdings, Inc. | 4,979 | 203,293 | |
Yum! Brands, Inc. | 3,782 | 315,684 | |
2,399,180 | |||
Household Durables - 0.7% | |||
D.R. Horton, Inc. | 7,193 | 366,843 | |
Mohawk Industries, Inc. (a) | 543 | 153,457 | |
520,300 | |||
Internet & Direct Marketing Retail - 4.2% | |||
Amazon.com, Inc. (a) | 2,443 | 2,874,800 | |
Priceline Group, Inc. (a) | 200 | 347,942 | |
3,222,742 | |||
Media - 0.9% | |||
Comcast Corp. Class A | 17,733 | 665,697 | |
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. (a) | 1,596 | 164,005 | |
Specialty Retail - 2.2% | |||
Best Buy Co., Inc. | 4,194 | 250,004 | |
Home Depot, Inc. | 4,724 | 849,470 | |
Michaels Companies, Inc. (a) | 7,149 | 154,418 | |
Ross Stores, Inc. | 3,778 | 287,241 | |
TJX Companies, Inc. | 1,848 | 139,616 | |
1,680,749 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
PVH Corp. | 1,985 | 267,082 | |
TOTAL CONSUMER DISCRETIONARY | 9,701,665 | ||
CONSUMER STAPLES - 7.4% | |||
Beverages - 3.1% | |||
Constellation Brands, Inc. Class A (sub. vtg.) | 1,919 | 417,555 | |
Monster Beverage Corp. (a) | 10,359 | 649,199 | |
PepsiCo, Inc. | 7,403 | 862,598 | |
The Coca-Cola Co. | 9,555 | 437,332 | |
2,366,684 | |||
Food & Staples Retailing - 1.1% | |||
Costco Wholesale Corp. | 2,098 | 386,934 | |
CVS Health Corp. | 1,404 | 107,546 | |
Wal-Mart Stores, Inc. | 3,370 | 327,665 | |
822,145 | |||
Food Products - 2.1% | |||
Archer Daniels Midland Co. | 1,791 | 71,425 | |
Danone SA sponsored ADR | 30,585 | 518,263 | |
Ingredion, Inc. | 1,160 | 160,637 | |
Pinnacle Foods, Inc. | 2,665 | 155,183 | |
The Hershey Co. | 1,855 | 205,775 | |
Tyson Foods, Inc. Class A | 5,501 | 452,457 | |
1,563,740 | |||
Household Products - 0.5% | |||
Procter & Gamble Co. | 4,631 | 416,744 | |
Tobacco - 0.6% | |||
Altria Group, Inc. | 4,070 | 276,068 | |
Philip Morris International, Inc. | 1,989 | 204,370 | |
480,438 | |||
TOTAL CONSUMER STAPLES | 5,649,751 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.6% | |||
Schlumberger Ltd. | 7,083 | 445,167 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Valero Energy Corp. | 1,665 | 142,557 | |
TOTAL ENERGY | 587,724 | ||
FINANCIALS - 3.4% | |||
Banks - 0.3% | |||
Bank of America Corp. | 4,030 | 113,525 | |
Zions Bancorporation | 2,155 | 106,780 | |
220,305 | |||
Capital Markets - 1.8% | |||
Affiliated Managers Group, Inc. | 878 | 174,432 | |
Bank of New York Mellon Corp. | 4,240 | 232,098 | |
FactSet Research Systems, Inc. | 1,393 | 278,433 | |
SEI Investments Co. | 7,207 | 507,085 | |
State Street Corp. | 1,560 | 148,746 | |
1,340,794 | |||
Consumer Finance - 0.6% | |||
American Express Co. | 2,397 | 234,211 | |
Discover Financial Services | 3,508 | 247,665 | |
481,876 | |||
Insurance - 0.7% | |||
MetLife, Inc. | 3,791 | 203,501 | |
Progressive Corp. | 2,230 | 118,591 | |
Prudential Financial, Inc. | 1,614 | 186,966 | |
509,058 | |||
TOTAL FINANCIALS | 2,552,033 | ||
HEALTH CARE - 11.3% | |||
Biotechnology - 3.3% | |||
AbbVie, Inc. | 3,832 | 371,397 | |
Amgen, Inc. | 4,994 | 877,246 | |
Biogen, Inc. (a) | 1,562 | 503,230 | |
Celgene Corp. (a) | 4,458 | 449,500 | |
Regeneron Pharmaceuticals, Inc. (a) | 970 | 351,004 | |
2,552,377 | |||
Health Care Equipment & Supplies - 1.9% | |||
Align Technology, Inc. (a) | 447 | 116,613 | |
Edwards Lifesciences Corp. (a) | 4,852 | 568,654 | |
Medtronic PLC | 2,042 | 167,709 | |
The Cooper Companies, Inc. | 1,085 | 261,680 | |
Varian Medical Systems, Inc. (a) | 3,144 | 351,342 | |
1,465,998 | |||
Health Care Providers & Services - 2.9% | |||
Aetna, Inc. | 1,684 | 303,423 | |
Express Scripts Holding Co. (a) | 588 | 38,326 | |
HCA Holdings, Inc. (a) | 2,315 | 196,775 | |
Humana, Inc. | 499 | 130,169 | |
Laboratory Corp. of America Holdings (a) | 1,646 | 260,512 | |
McKesson Corp. | 1,058 | 156,309 | |
UnitedHealth Group, Inc. | 3,899 | 889,635 | |
Wellcare Health Plans, Inc. (a) | 979 | 208,517 | |
2,183,666 | |||
Health Care Technology - 0.5% | |||
Cerner Corp. (a) | 4,955 | 350,269 | |
Life Sciences Tools & Services - 0.6% | |||
Illumina, Inc. (a) | 252 | 57,968 | |
Thermo Fisher Scientific, Inc. | 2,244 | 432,553 | |
490,521 | |||
Pharmaceuticals - 2.1% | |||
Bristol-Myers Squibb Co. | 1,508 | 95,291 | |
Eli Lilly & Co. | 4,282 | 362,428 | |
Johnson & Johnson | 1,225 | 170,679 | |
Merck & Co., Inc. | 2,732 | 150,998 | |
Novartis AG sponsored ADR | 3,389 | 290,776 | |
Novo Nordisk A/S Series B sponsored ADR | 9,966 | 515,940 | |
1,586,112 | |||
TOTAL HEALTH CARE | 8,628,943 | ||
INDUSTRIALS - 9.0% | |||
Aerospace & Defense - 2.9% | |||
General Dynamics Corp. | 1,057 | 218,968 | |
Lockheed Martin Corp. | 585 | 186,685 | |
Northrop Grumman Corp. | 1,152 | 354,125 | |
Textron, Inc. | 4,023 | 224,121 | |
The Boeing Co. | 3,533 | 977,934 | |
United Technologies Corp. | 1,900 | 230,755 | |
2,192,588 | |||
Air Freight & Logistics - 1.1% | |||
Expeditors International of Washington, Inc. | 6,949 | 450,156 | |
United Parcel Service, Inc. Class B | 2,967 | 360,342 | |
810,498 | |||
Airlines - 0.4% | |||
Copa Holdings SA Class A | 954 | 128,017 | |
Delta Air Lines, Inc. | 2,525 | 133,623 | |
261,640 | |||
Building Products - 0.7% | |||
Owens Corning | 6,354 | 561,376 | |
Electrical Equipment - 0.2% | |||
Eaton Corp. PLC | 2,320 | 180,450 | |
Industrial Conglomerates - 0.3% | |||
Roper Technologies, Inc. | 792 | 211,630 | |
Machinery - 2.0% | |||
Caterpillar, Inc. | 2,195 | 309,824 | |
Deere & Co. | 2,989 | 447,932 | |
Ingersoll-Rand PLC | 4,315 | 378,080 | |
Oshkosh Corp. | 1,865 | 167,925 | |
Parker Hannifin Corp. | 730 | 136,868 | |
Stanley Black & Decker, Inc. | 630 | 106,867 | |
1,547,496 | |||
Road & Rail - 0.6% | |||
Kansas City Southern | 383 | 42,950 | |
Union Pacific Corp. | 3,239 | 409,734 | |
452,684 | |||
Trading Companies & Distributors - 0.8% | |||
United Rentals, Inc. (a) | 2,945 | 469,669 | |
Univar, Inc. (a) | 4,901 | 144,383 | |
614,052 | |||
TOTAL INDUSTRIALS | 6,832,414 | ||
INFORMATION TECHNOLOGY - 33.5% | |||
Communications Equipment - 1.3% | |||
Cisco Systems, Inc. | 25,502 | 951,225 | |
Internet Software & Services - 10.1% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 5,781 | 1,023,699 | |
Alphabet, Inc.: | |||
Class A (a) | 1,557 | 1,613,317 | |
Class C (a) | 1,737 | 1,774,189 | |
Dropbox, Inc. Class B (a)(b)(c) | 1,441 | 20,477 | |
eBay, Inc. (a) | 5,950 | 206,287 | |
Facebook, Inc. Class A (a) | 17,235 | 3,053,697 | |
SurveyMonkey (a)(b)(c) | 1,159 | 14,824 | |
7,706,490 | |||
IT Services - 5.5% | |||
Amdocs Ltd. | 896 | 58,500 | |
Automatic Data Processing, Inc. | 1,166 | 133,460 | |
Cognizant Technology Solutions Corp. Class A | 3,932 | 284,205 | |
DXC Technology Co. | 3,190 | 306,687 | |
Fidelity National Information Services, Inc. | 1,624 | 153,192 | |
First Data Corp. Class A (a) | 12,732 | 209,441 | |
Fiserv, Inc. (a) | 1,919 | 252,253 | |
Global Payments, Inc. | 3,610 | 363,022 | |
MasterCard, Inc. Class A | 2,602 | 391,523 | |
Total System Services, Inc. | 3,758 | 279,445 | |
Vantiv, Inc. (a) | 3,923 | 294,225 | |
Visa, Inc. Class A | 13,309 | 1,498,460 | |
4,224,413 | |||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Analog Devices, Inc. | 794 | 68,371 | |
Applied Materials, Inc. | 15,541 | 820,099 | |
KLA-Tencor Corp. | 1,040 | 106,330 | |
Lam Research Corp. | 1,945 | 374,082 | |
Microchip Technology, Inc. | 1,895 | 164,846 | |
NVIDIA Corp. | 3,929 | 788,590 | |
Qualcomm, Inc. | 7,833 | 519,641 | |
Texas Instruments, Inc. | 2,605 | 253,440 | |
3,095,399 | |||
Software - 8.5% | |||
Activision Blizzard, Inc. | 3,955 | 246,792 | |
Adobe Systems, Inc. (a) | 3,751 | 680,694 | |
Autodesk, Inc. (a) | 4,955 | 543,564 | |
Electronic Arts, Inc. (a) | 5,328 | 566,633 | |
Intuit, Inc. | 2,244 | 352,802 | |
Microsoft Corp. | 30,670 | 2,581,494 | |
Oracle Corp. | 18,402 | 902,802 | |
Synopsys, Inc. (a) | 3,280 | 296,446 | |
Take-Two Interactive Software, Inc. (a) | 2,661 | 296,835 | |
6,468,062 | |||
Technology Hardware, Storage & Peripherals - 4.0% | |||
Apple, Inc. | 15,613 | 2,683,094 | |
NetApp, Inc. | 6,332 | 357,821 | |
3,040,915 | |||
TOTAL INFORMATION TECHNOLOGY | 25,486,504 | ||
MATERIALS - 1.8% | |||
Chemicals - 0.9% | |||
FMC Corp. | 2,603 | 245,723 | |
LyondellBasell Industries NV Class A | 2,534 | 265,310 | |
Monsanto Co. | 1,429 | 169,108 | |
680,141 | |||
Containers & Packaging - 0.6% | |||
Berry Global Group, Inc. (a) | 2,945 | 176,023 | |
Owens-Illinois, Inc. (a) | 5,355 | 129,698 | |
Sealed Air Corp. | 2,908 | 139,729 | |
445,450 | |||
Metals & Mining - 0.3% | |||
Steel Dynamics, Inc. | 6,246 | 240,471 | |
TOTAL MATERIALS | 1,366,062 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
American Tower Corp. | 2,080 | 299,374 | |
SBA Communications Corp. Class A (a) | 1,643 | 278,899 | |
578,273 | |||
Real Estate Management & Development - 0.2% | |||
Realogy Holdings Corp. | 4,850 | 135,364 | |
TOTAL REAL ESTATE | 713,637 | ||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 10,401 | 110,043 | |
TOTAL COMMON STOCKS | |||
(Cost $37,796,732) | 61,628,776 | ||
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Internet Software & Services - 0.0% | |||
Dropbox, Inc. Series A (a)(b)(c) | |||
(Cost $1,303) | 144 | 2,046 | |
Equity Funds - 10.1% | |||
Large Growth Funds - 10.1% | |||
Fidelity Blue Chip Growth Fund (d) | 44,507 | 3,963,356 | |
Fidelity SAI U.S. Quality Index Fund (d) | 282,596 | 3,727,444 | |
TOTAL EQUITY FUNDS | |||
(Cost $5,819,974) | 7,690,800 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $249,620) | 250,000 | 249,628 | |
Shares | |||
Money Market Funds - 8.5% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,492,535) | 6,492,535 | 6,492,535 | |
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $50,360,164) | 76,063,785 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 127,425 | ||
NET ASSETS - 100% | $76,191,210 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Growth Index Contracts (United States) | 92 | Dec. 2017 | $6,177,800 | $260,610 | $260,610 |
The notional amount of futures purchased as a percentage of Net Assets is 8.1%
Legend
(a) Non-income producing
(b) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $37,347 or 0.0% of net assets.
(c) Level 3 security
(d) Affiliated Fund
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $249,628.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Dropbox, Inc. Class B | 5/1/12 | $13,044 |
Dropbox, Inc. Series A | 5/25/12 | $1,303 |
SurveyMonkey | 11/25/14 | $19,066 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Blue Chip Growth Fund | $3,601,515 | $-- | $-- | $2,136 | $-- | $361,841 | $3,963,356 |
Fidelity SAI U.S. Quality Index Fund | 3,447,674 | -- | -- | 29,391 | -- | 279,770 | 3,727,444 |
Total | $7,049,189 | $-- | $-- | $31,527 | $-- | $641,611 | $7,690,800 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $9,701,665 | $9,701,665 | $-- | $-- |
Consumer Staples | 5,649,751 | 5,649,751 | -- | -- |
Energy | 587,724 | 587,724 | -- | -- |
Financials | 2,552,033 | 2,552,033 | -- | -- |
Health Care | 8,628,943 | 8,628,943 | -- | -- |
Industrials | 6,832,414 | 6,832,414 | -- | -- |
Information Technology | 25,488,550 | 25,451,203 | -- | 37,347 |
Materials | 1,366,062 | 1,366,062 | -- | -- |
Real Estate | 713,637 | 713,637 | -- | -- |
Utilities | 110,043 | 110,043 | -- | -- |
Equity Funds | 7,690,800 | 7,690,800 | -- | -- |
Other Short-Term Investments | 249,628 | -- | 249,628 | -- |
Money Market Funds | 6,492,535 | 6,492,535 | -- | -- |
Total Investments in Securities: | $76,063,785 | $75,776,810 | $249,628 | $37,347 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $260,610 | $260,610 | $-- | $-- |
Total Assets | $260,610 | $260,610 | $-- | $-- |
Total Derivative Instruments: | $260,610 | $260,610 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $260,610 | $0 |
Total Equity Risk | 260,610 | 0 |
Total Value of Derivatives | $260,610 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $44,540,190) | $68,372,985 | |
Affiliated issuers (cost $5,819,974) | 7,690,800 | |
Total Investment in Securities (cost $50,360,164) | $76,063,785 | |
Receivable for investments sold | 80,212 | |
Receivable for fund shares sold | 56,397 | |
Dividends receivable | 90,268 | |
Interest receivable | 3,441 | |
Receivable for daily variation margin on futures contracts | 59,998 | |
Prepaid expenses | 125 | |
Other receivables | 1,247 | |
Total assets | 76,355,473 | |
Liabilities | ||
Payable to custodian bank | $40,595 | |
Payable for investments purchased | 65,585 | |
Payable for fund shares redeemed | 1,018 | |
Accrued management fee | 28,571 | |
Distribution and service plan fees payable | 32 | |
Other affiliated payables | 7,160 | |
Other payables and accrued expenses | 21,302 | |
Total liabilities | 164,263 | |
Net Assets | $76,191,210 | |
Net Assets consist of: | ||
Paid in capital | $48,190,765 | |
Undistributed net investment income | 113,153 | |
Accumulated undistributed net realized gain (loss) on investments | 1,923,061 | |
Net unrealized appreciation (depreciation) on investments | 25,964,231 | |
Net Assets | $76,191,210 | |
Growth Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($71,730,924 ÷ 4,733,171 shares) | $15.15 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,148,587 ÷ 273,724 shares) | $15.16 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($156,636 ÷ 10,344 shares) | $15.14 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($155,063 ÷ 10,257 shares) | $15.12 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $351,907 | |
Affiliated issuers | 31,527 | |
Interest | 18,035 | |
Total income | 401,469 | |
Expenses | ||
Management fee | $161,724 | |
Transfer agent fees | 28,476 | |
Distribution and service plan fees | 180 | |
Accounting fees and expenses | 13,611 | |
Custodian fees and expenses | 5,426 | |
Independent trustees' fees and expenses | 446 | |
Registration fees | 39,036 | |
Audit | 30,871 | |
Legal | 1,878 | |
Miscellaneous | 516 | |
Total expenses | 282,164 | |
Net investment income (loss) | 119,305 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,730,646 | |
Futures contracts | 272,597 | |
Realized gain distributions from underlying funds: | ||
Affiliated issuers | 159,624 | |
Total net realized gain (loss) | 2,162,867 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,694,724 | |
Affiliated issuers | 641,611 | |
Futures contracts | 122,529 | |
Total change in net unrealized appreciation (depreciation) | 6,458,864 | |
Net gain (loss) | 8,621,731 | |
Net increase (decrease) in net assets resulting from operations | $8,741,036 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $119,305 | $281,963 |
Net realized gain (loss) | 2,162,867 | 5,959,385 |
Change in net unrealized appreciation (depreciation) | 6,458,864 | 4,559,837 |
Net increase (decrease) in net assets resulting from operations | 8,741,036 | 10,801,185 |
Distributions to shareholders from net investment income | (107,581) | (319,551) |
Distributions to shareholders from net realized gain | (1,514,511) | (7,341,393) |
Total distributions | (1,622,092) | (7,660,944) |
Share transactions - net increase (decrease) | 2,713,981 | 4,574,494 |
Total increase (decrease) in net assets | 9,832,925 | 7,714,735 |
Net Assets | ||
Beginning of period | 66,358,285 | 58,643,550 |
End of period | $76,191,210 | $66,358,285 |
Other Information | ||
Undistributed net investment income end of period | $113,153 | $101,429 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $10.47 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .02 | .06 | .06 | .05 | .08 | .07 |
Net realized and unrealized gain (loss) | 1.74 | 2.21B | (.16) | 1.71 | 2.74 | 2.22 |
Total from investment operations | 1.76 | 2.27 | (.10) | 1.76 | 2.82 | 2.29 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.06) | (.07) | (.06) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34)C | (1.71) | (.77) | (2.45)D | (.79)E | (.06) |
Net asset value, end of period | $15.15 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnF,G | 13.09% | 19.13%B | (.66)% | 13.15% | 22.94% | 21.97% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .83% | .87% |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .80% | .87% |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .80% | .87% |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .55% | .60% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $71,731 | $62,610 | $55,948 | $62,615 | $65,731 | $64,621 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% | 65% |
A Calculated based on average shares outstanding during the period.
B Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.07%.
C Total distributions of $.34 per share is comprised of distributions from net investment income of $.022 and distributions from net realized gain of $.313 per share.
D Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.
E Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $11.31 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .03 | .07 | .07 | .07 | .09 | .03 |
Net realized and unrealized gain (loss) | 1.74 | 2.22C | (.15) | 1.70 | 2.75 | 1.41 |
Total from investment operations | 1.77 | 2.29 | (.08) | 1.77 | 2.84 | 1.44 |
Distributions from net investment income | (.03) | (.08) | (.07) | (.08) | (.08) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34) | (1.73)D | (.79) | (2.46) | (.81) | (.05) |
Net asset value, end of period | $15.16 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnE,F | 13.21% | 19.25%C | (.56)% | 13.27% | 23.05% | 12.82% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | .72%H | .71% | .72% | .74% | .74% | .72%H |
Expenses net of fee waivers, if any | .72%H | .71% | .72% | .74% | .69% | .72%H |
Expenses net of all reductions | .72%H | .71% | .72% | .74% | .69% | .72%H |
Net investment income (loss) | .42%H | .55% | .55% | .48% | .66% | .64%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,149 | $3,473 | $2,451 | $2,269 | $1,286 | $256 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% | 65% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.19%.
D Total distributions of $1.73 per share is comprised of distributions from net investment income of $.084 and distributions from net realized gain of $1.642 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating period. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.72 | $13.16 | $14.03 | $14.72 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .02 | .06 | .06 | .05 | .05 |
Net realized and unrealized gain (loss) | 1.74 | 2.21C | (.15) | 1.71 | 1.22 |
Total from investment operations | 1.76 | 2.27 | (.09) | 1.76 | 1.27 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.07) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.34)D | (1.71) | (.78)E | (2.45) | (.51) |
Net asset value, end of period | $15.14 | $13.72 | $13.16 | $14.03 | $14.72 |
Total ReturnF,G | 13.11% | 19.15%C | (.65)% | 13.18% | 9.28% |
Ratios to Average Net AssetsH | |||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .85%I |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .58%I |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $157 | $139 | $123 | $124 | $109 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.09%.
D Total distributions of $.34 per share is comprised of distributions from net investment income of $.023 and distributions from net realized gain of $.313 per share.
E Total distributions of $.78 per share is comprised of distributions from net investment income of $.053 and distributions from net realized gain of $.722 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.70 | $13.15 | $14.01 | $14.71 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .01 | .03 | .03 | .02 | .03 |
Net realized and unrealized gain (loss) | 1.73 | 2.20C | (.15) | 1.70 | 1.23 |
Total from investment operations | 1.74 | 2.23 | (.12) | 1.72 | 1.26 |
Distributions from net investment income | (.01) | (.04) | (.02) | (.03) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.32) | (1.68) | (.74) | (2.42)D | (.51) |
Net asset value, end of period | $15.12 | $13.70 | $13.15 | $14.01 | $14.71 |
Total ReturnE,F | 13.01% | 18.79%C | (.83)% | 12.83% | 9.17% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of fee waivers, if any | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of all reductions | 1.06%H | 1.05% | 1.06% | 1.09% | 1.10%H |
Net investment income (loss) | .09%H | .21% | .21% | .14% | .32%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $155 | $137 | $122 | $123 | $109 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 18.73%.
D Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, deferred trustees compensation, security level mergers and exchanges and losses deferred due to wash sales.
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 | $26,172,385 |
Gross unrealized depreciation | (275,498) |
Net unrealized appreciation (depreciation) | $25,896,887 |
Tax cost | $50,427,508 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,325,917 and $11,887,870, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .46% of the Fund's average net assets.
Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC and Waddell & Reed have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $180 | $180 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Growth Multi-Manager | $28,353 | .09 |
Class L | 62 | .09 |
Class N | 61 | .08 |
$28,476 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $9 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $90 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Growth Multi-Manager | $100,510 | $301,715 |
Class F | 6,749 | 16,794 |
Class L | 232 | 671 |
Class N | 90 | 371 |
Total | $107,581 | $319,551 |
From net realized gain | ||
Growth Multi-Manager | $1,429,978 | $6,978,535 |
Class F | 78,239 | 332,358 |
Class L | 3,159 | 15,293 |
Class N | 3,135 | 15,207 |
Total | $1,514,511 | $7,341,393 |
8. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Growth Multi-Manager | ||||
Shares sold | 113,137 | 85,500 | $1,627,105 | $1,104,425 |
Reinvestment of distributions | 113,876 | 587,340 | 1,530,488 | 7,280,250 |
Shares redeemed | (52,481) | (361,805) | (748,410) | (4,658,114) |
Net increase (decrease) | 174,532 | 311,035 | $2,409,183 | $3,726,561 |
Class F | ||||
Shares sold | 69,072 | 110,246 | $984,474 | $1,414,746 |
Reinvestment of distributions | 6,324 | 28,217 | 84,988 | 349,152 |
Shares redeemed | (54,555) | (71,636) | (771,280) | (933,819) |
Net increase (decrease) | 20,841 | 66,827 | $298,182 | $830,079 |
Class L | ||||
Reinvestment of distributions | 252 | 1,289 | 3,391 | 15,964 |
Shares redeemed | – | (534) | – | (6,870) |
Net increase (decrease) | 252 | 755 | $3,391 | $9,094 |
Class N | ||||
Reinvestment of distributions | 240 | 1,258 | 3,225 | 15,578 |
Shares redeemed | – | (531) | – | (6,818) |
Net increase (decrease) | 240 | 727 | $3,225 | $8,760 |
9. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Growth Multi-Manager | .81% | |||
Actual | $1,000.00 | $1,130.90 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class F | .72% | |||
Actual | $1,000.00 | $1,132.10 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.46 | $3.65 | |
Class L | .81% | |||
Actual | $1,000.00 | $1,131.10 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class N | 1.06% | |||
Actual | $1,000.00 | $1,130.10 | $5.66 | |
Hypothetical-C | $1,000.00 | $1,019.75 | $5.37 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Growth Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC, FIAM LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company, and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Growth Multi-Manager Fund
Strategic Advisers Growth Multi-Manager Fund
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
MMG-SANN-0118
1.931556.106
Strategic Advisers® Growth Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 (plan participants) or 1-877-208-0098 (Advisors and Investment Professionals) to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Fidelity Blue Chip Growth Fund | 5.2 | 5.4 |
Fidelity SAI U.S. Quality Index Fund | 4.9 | 5.2 |
Facebook, Inc. Class A | 4.0 | 4.1 |
Amazon.com, Inc. | 3.8 | 3.9 |
Apple, Inc. | 3.5 | 3.6 |
Microsoft Corp. | 3.4 | 3.3 |
Alphabet, Inc. Class C | 2.3 | 2.4 |
Alphabet, Inc. Class A | 2.1 | 2.2 |
Visa, Inc. Class A | 1.9 | 1.6 |
Alibaba Group Holding Ltd. sponsored ADR | 1.4 | 1.1 |
32.5 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 33.5 | 33.2 |
Consumer Discretionary | 12.7 | 14.7 |
Health Care | 11.3 | 12.8 |
Industrials | 9.0 | 7.8 |
Consumer Staples | 7.4 | 7.8 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 80.9% | |
Large Growth Funds | 10.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 9.0% |
As of May 31, 2017 | ||
Common Stocks | 84.1% | |
Large Growth Funds | 10.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 80.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 0.7% | |||
Lear Corp. | 2,888 | $522,410 | |
Automobiles - 0.3% | |||
Thor Industries, Inc. | 1,690 | 259,500 | |
Hotels, Restaurants & Leisure - 3.1% | |||
Carnival Corp. | 1,428 | 93,734 | |
Domino's Pizza, Inc. | 1,564 | 291,154 | |
Marriott International, Inc. Class A | 2,546 | 323,342 | |
McDonald's Corp. | 2,845 | 489,255 | |
Norwegian Cruise Line Holdings Ltd. (a) | 614 | 33,254 | |
Royal Caribbean Cruises Ltd. | 1,819 | 225,338 | |
Starbucks Corp. | 3,368 | 194,738 | |
Wyndham Worldwide Corp. | 2,041 | 229,388 | |
Yum China Holdings, Inc. | 4,979 | 203,293 | |
Yum! Brands, Inc. | 3,782 | 315,684 | |
2,399,180 | |||
Household Durables - 0.7% | |||
D.R. Horton, Inc. | 7,193 | 366,843 | |
Mohawk Industries, Inc. (a) | 543 | 153,457 | |
520,300 | |||
Internet & Direct Marketing Retail - 4.2% | |||
Amazon.com, Inc. (a) | 2,443 | 2,874,800 | |
Priceline Group, Inc. (a) | 200 | 347,942 | |
3,222,742 | |||
Media - 0.9% | |||
Comcast Corp. Class A | 17,733 | 665,697 | |
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. (a) | 1,596 | 164,005 | |
Specialty Retail - 2.2% | |||
Best Buy Co., Inc. | 4,194 | 250,004 | |
Home Depot, Inc. | 4,724 | 849,470 | |
Michaels Companies, Inc. (a) | 7,149 | 154,418 | |
Ross Stores, Inc. | 3,778 | 287,241 | |
TJX Companies, Inc. | 1,848 | 139,616 | |
1,680,749 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
PVH Corp. | 1,985 | 267,082 | |
TOTAL CONSUMER DISCRETIONARY | 9,701,665 | ||
CONSUMER STAPLES - 7.4% | |||
Beverages - 3.1% | |||
Constellation Brands, Inc. Class A (sub. vtg.) | 1,919 | 417,555 | |
Monster Beverage Corp. (a) | 10,359 | 649,199 | |
PepsiCo, Inc. | 7,403 | 862,598 | |
The Coca-Cola Co. | 9,555 | 437,332 | |
2,366,684 | |||
Food & Staples Retailing - 1.1% | |||
Costco Wholesale Corp. | 2,098 | 386,934 | |
CVS Health Corp. | 1,404 | 107,546 | |
Wal-Mart Stores, Inc. | 3,370 | 327,665 | |
822,145 | |||
Food Products - 2.1% | |||
Archer Daniels Midland Co. | 1,791 | 71,425 | |
Danone SA sponsored ADR | 30,585 | 518,263 | |
Ingredion, Inc. | 1,160 | 160,637 | |
Pinnacle Foods, Inc. | 2,665 | 155,183 | |
The Hershey Co. | 1,855 | 205,775 | |
Tyson Foods, Inc. Class A | 5,501 | 452,457 | |
1,563,740 | |||
Household Products - 0.5% | |||
Procter & Gamble Co. | 4,631 | 416,744 | |
Tobacco - 0.6% | |||
Altria Group, Inc. | 4,070 | 276,068 | |
Philip Morris International, Inc. | 1,989 | 204,370 | |
480,438 | |||
TOTAL CONSUMER STAPLES | 5,649,751 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.6% | |||
Schlumberger Ltd. | 7,083 | 445,167 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Valero Energy Corp. | 1,665 | 142,557 | |
TOTAL ENERGY | 587,724 | ||
FINANCIALS - 3.4% | |||
Banks - 0.3% | |||
Bank of America Corp. | 4,030 | 113,525 | |
Zions Bancorporation | 2,155 | 106,780 | |
220,305 | |||
Capital Markets - 1.8% | |||
Affiliated Managers Group, Inc. | 878 | 174,432 | |
Bank of New York Mellon Corp. | 4,240 | 232,098 | |
FactSet Research Systems, Inc. | 1,393 | 278,433 | |
SEI Investments Co. | 7,207 | 507,085 | |
State Street Corp. | 1,560 | 148,746 | |
1,340,794 | |||
Consumer Finance - 0.6% | |||
American Express Co. | 2,397 | 234,211 | |
Discover Financial Services | 3,508 | 247,665 | |
481,876 | |||
Insurance - 0.7% | |||
MetLife, Inc. | 3,791 | 203,501 | |
Progressive Corp. | 2,230 | 118,591 | |
Prudential Financial, Inc. | 1,614 | 186,966 | |
509,058 | |||
TOTAL FINANCIALS | 2,552,033 | ||
HEALTH CARE - 11.3% | |||
Biotechnology - 3.3% | |||
AbbVie, Inc. | 3,832 | 371,397 | |
Amgen, Inc. | 4,994 | 877,246 | |
Biogen, Inc. (a) | 1,562 | 503,230 | |
Celgene Corp. (a) | 4,458 | 449,500 | |
Regeneron Pharmaceuticals, Inc. (a) | 970 | 351,004 | |
2,552,377 | |||
Health Care Equipment & Supplies - 1.9% | |||
Align Technology, Inc. (a) | 447 | 116,613 | |
Edwards Lifesciences Corp. (a) | 4,852 | 568,654 | |
Medtronic PLC | 2,042 | 167,709 | |
The Cooper Companies, Inc. | 1,085 | 261,680 | |
Varian Medical Systems, Inc. (a) | 3,144 | 351,342 | |
1,465,998 | |||
Health Care Providers & Services - 2.9% | |||
Aetna, Inc. | 1,684 | 303,423 | |
Express Scripts Holding Co. (a) | 588 | 38,326 | |
HCA Holdings, Inc. (a) | 2,315 | 196,775 | |
Humana, Inc. | 499 | 130,169 | |
Laboratory Corp. of America Holdings (a) | 1,646 | 260,512 | |
McKesson Corp. | 1,058 | 156,309 | |
UnitedHealth Group, Inc. | 3,899 | 889,635 | |
Wellcare Health Plans, Inc. (a) | 979 | 208,517 | |
2,183,666 | |||
Health Care Technology - 0.5% | |||
Cerner Corp. (a) | 4,955 | 350,269 | |
Life Sciences Tools & Services - 0.6% | |||
Illumina, Inc. (a) | 252 | 57,968 | |
Thermo Fisher Scientific, Inc. | 2,244 | 432,553 | |
490,521 | |||
Pharmaceuticals - 2.1% | |||
Bristol-Myers Squibb Co. | 1,508 | 95,291 | |
Eli Lilly & Co. | 4,282 | 362,428 | |
Johnson & Johnson | 1,225 | 170,679 | |
Merck & Co., Inc. | 2,732 | 150,998 | |
Novartis AG sponsored ADR | 3,389 | 290,776 | |
Novo Nordisk A/S Series B sponsored ADR | 9,966 | 515,940 | |
1,586,112 | |||
TOTAL HEALTH CARE | 8,628,943 | ||
INDUSTRIALS - 9.0% | |||
Aerospace & Defense - 2.9% | |||
General Dynamics Corp. | 1,057 | 218,968 | |
Lockheed Martin Corp. | 585 | 186,685 | |
Northrop Grumman Corp. | 1,152 | 354,125 | |
Textron, Inc. | 4,023 | 224,121 | |
The Boeing Co. | 3,533 | 977,934 | |
United Technologies Corp. | 1,900 | 230,755 | |
2,192,588 | |||
Air Freight & Logistics - 1.1% | |||
Expeditors International of Washington, Inc. | 6,949 | 450,156 | |
United Parcel Service, Inc. Class B | 2,967 | 360,342 | |
810,498 | |||
Airlines - 0.4% | |||
Copa Holdings SA Class A | 954 | 128,017 | |
Delta Air Lines, Inc. | 2,525 | 133,623 | |
261,640 | |||
Building Products - 0.7% | |||
Owens Corning | 6,354 | 561,376 | |
Electrical Equipment - 0.2% | |||
Eaton Corp. PLC | 2,320 | 180,450 | |
Industrial Conglomerates - 0.3% | |||
Roper Technologies, Inc. | 792 | 211,630 | |
Machinery - 2.0% | |||
Caterpillar, Inc. | 2,195 | 309,824 | |
Deere & Co. | 2,989 | 447,932 | |
Ingersoll-Rand PLC | 4,315 | 378,080 | |
Oshkosh Corp. | 1,865 | 167,925 | |
Parker Hannifin Corp. | 730 | 136,868 | |
Stanley Black & Decker, Inc. | 630 | 106,867 | |
1,547,496 | |||
Road & Rail - 0.6% | |||
Kansas City Southern | 383 | 42,950 | |
Union Pacific Corp. | 3,239 | 409,734 | |
452,684 | |||
Trading Companies & Distributors - 0.8% | |||
United Rentals, Inc. (a) | 2,945 | 469,669 | |
Univar, Inc. (a) | 4,901 | 144,383 | |
614,052 | |||
TOTAL INDUSTRIALS | 6,832,414 | ||
INFORMATION TECHNOLOGY - 33.5% | |||
Communications Equipment - 1.3% | |||
Cisco Systems, Inc. | 25,502 | 951,225 | |
Internet Software & Services - 10.1% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 5,781 | 1,023,699 | |
Alphabet, Inc.: | |||
Class A (a) | 1,557 | 1,613,317 | |
Class C (a) | 1,737 | 1,774,189 | |
Dropbox, Inc. Class B (a)(b)(c) | 1,441 | 20,477 | |
eBay, Inc. (a) | 5,950 | 206,287 | |
Facebook, Inc. Class A (a) | 17,235 | 3,053,697 | |
SurveyMonkey (a)(b)(c) | 1,159 | 14,824 | |
7,706,490 | |||
IT Services - 5.5% | |||
Amdocs Ltd. | 896 | 58,500 | |
Automatic Data Processing, Inc. | 1,166 | 133,460 | |
Cognizant Technology Solutions Corp. Class A | 3,932 | 284,205 | |
DXC Technology Co. | 3,190 | 306,687 | |
Fidelity National Information Services, Inc. | 1,624 | 153,192 | |
First Data Corp. Class A (a) | 12,732 | 209,441 | |
Fiserv, Inc. (a) | 1,919 | 252,253 | |
Global Payments, Inc. | 3,610 | 363,022 | |
MasterCard, Inc. Class A | 2,602 | 391,523 | |
Total System Services, Inc. | 3,758 | 279,445 | |
Vantiv, Inc. (a) | 3,923 | 294,225 | |
Visa, Inc. Class A | 13,309 | 1,498,460 | |
4,224,413 | |||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Analog Devices, Inc. | 794 | 68,371 | |
Applied Materials, Inc. | 15,541 | 820,099 | |
KLA-Tencor Corp. | 1,040 | 106,330 | |
Lam Research Corp. | 1,945 | 374,082 | |
Microchip Technology, Inc. | 1,895 | 164,846 | |
NVIDIA Corp. | 3,929 | 788,590 | |
Qualcomm, Inc. | 7,833 | 519,641 | |
Texas Instruments, Inc. | 2,605 | 253,440 | |
3,095,399 | |||
Software - 8.5% | |||
Activision Blizzard, Inc. | 3,955 | 246,792 | |
Adobe Systems, Inc. (a) | 3,751 | 680,694 | |
Autodesk, Inc. (a) | 4,955 | 543,564 | |
Electronic Arts, Inc. (a) | 5,328 | 566,633 | |
Intuit, Inc. | 2,244 | 352,802 | |
Microsoft Corp. | 30,670 | 2,581,494 | |
Oracle Corp. | 18,402 | 902,802 | |
Synopsys, Inc. (a) | 3,280 | 296,446 | |
Take-Two Interactive Software, Inc. (a) | 2,661 | 296,835 | |
6,468,062 | |||
Technology Hardware, Storage & Peripherals - 4.0% | |||
Apple, Inc. | 15,613 | 2,683,094 | |
NetApp, Inc. | 6,332 | 357,821 | |
3,040,915 | |||
TOTAL INFORMATION TECHNOLOGY | 25,486,504 | ||
MATERIALS - 1.8% | |||
Chemicals - 0.9% | |||
FMC Corp. | 2,603 | 245,723 | |
LyondellBasell Industries NV Class A | 2,534 | 265,310 | |
Monsanto Co. | 1,429 | 169,108 | |
680,141 | |||
Containers & Packaging - 0.6% | |||
Berry Global Group, Inc. (a) | 2,945 | 176,023 | |
Owens-Illinois, Inc. (a) | 5,355 | 129,698 | |
Sealed Air Corp. | 2,908 | 139,729 | |
445,450 | |||
Metals & Mining - 0.3% | |||
Steel Dynamics, Inc. | 6,246 | 240,471 | |
TOTAL MATERIALS | 1,366,062 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
American Tower Corp. | 2,080 | 299,374 | |
SBA Communications Corp. Class A (a) | 1,643 | 278,899 | |
578,273 | |||
Real Estate Management & Development - 0.2% | |||
Realogy Holdings Corp. | 4,850 | 135,364 | |
TOTAL REAL ESTATE | 713,637 | ||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 10,401 | 110,043 | |
TOTAL COMMON STOCKS | |||
(Cost $37,796,732) | 61,628,776 | ||
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Internet Software & Services - 0.0% | |||
Dropbox, Inc. Series A (a)(b)(c) | |||
(Cost $1,303) | 144 | 2,046 | |
Equity Funds - 10.1% | |||
Large Growth Funds - 10.1% | |||
Fidelity Blue Chip Growth Fund (d) | 44,507 | 3,963,356 | |
Fidelity SAI U.S. Quality Index Fund (d) | 282,596 | 3,727,444 | |
TOTAL EQUITY FUNDS | |||
(Cost $5,819,974) | 7,690,800 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $249,620) | 250,000 | 249,628 | |
Shares | |||
Money Market Funds - 8.5% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,492,535) | 6,492,535 | 6,492,535 | |
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $50,360,164) | 76,063,785 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 127,425 | ||
NET ASSETS - 100% | $76,191,210 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Growth Index Contracts (United States) | 92 | Dec. 2017 | $6,177,800 | $260,610 | $260,610 |
The notional amount of futures purchased as a percentage of Net Assets is 8.1%
Legend
(a) Non-income producing
(b) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $37,347 or 0.0% of net assets.
(c) Level 3 security
(d) Affiliated Fund
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $249,628.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Dropbox, Inc. Class B | 5/1/12 | $13,044 |
Dropbox, Inc. Series A | 5/25/12 | $1,303 |
SurveyMonkey | 11/25/14 | $19,066 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Blue Chip Growth Fund | $3,601,515 | $-- | $-- | $2,136 | $-- | $361,841 | $3,963,356 |
Fidelity SAI U.S. Quality Index Fund | 3,447,674 | -- | -- | 29,391 | -- | 279,770 | 3,727,444 |
Total | $7,049,189 | $-- | $-- | $31,527 | $-- | $641,611 | $7,690,800 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $9,701,665 | $9,701,665 | $-- | $-- |
Consumer Staples | 5,649,751 | 5,649,751 | -- | -- |
Energy | 587,724 | 587,724 | -- | -- |
Financials | 2,552,033 | 2,552,033 | -- | -- |
Health Care | 8,628,943 | 8,628,943 | -- | -- |
Industrials | 6,832,414 | 6,832,414 | -- | -- |
Information Technology | 25,488,550 | 25,451,203 | -- | 37,347 |
Materials | 1,366,062 | 1,366,062 | -- | -- |
Real Estate | 713,637 | 713,637 | -- | -- |
Utilities | 110,043 | 110,043 | -- | -- |
Equity Funds | 7,690,800 | 7,690,800 | -- | -- |
Other Short-Term Investments | 249,628 | -- | 249,628 | -- |
Money Market Funds | 6,492,535 | 6,492,535 | -- | -- |
Total Investments in Securities: | $76,063,785 | $75,776,810 | $249,628 | $37,347 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $260,610 | $260,610 | $-- | $-- |
Total Assets | $260,610 | $260,610 | $-- | $-- |
Total Derivative Instruments: | $260,610 | $260,610 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $260,610 | $0 |
Total Equity Risk | 260,610 | 0 |
Total Value of Derivatives | $260,610 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $44,540,190) | $68,372,985 | |
Affiliated issuers (cost $5,819,974) | 7,690,800 | |
Total Investment in Securities (cost $50,360,164) | $76,063,785 | |
Receivable for investments sold | 80,212 | |
Receivable for fund shares sold | 56,397 | |
Dividends receivable | 90,268 | |
Interest receivable | 3,441 | |
Receivable for daily variation margin on futures contracts | 59,998 | |
Prepaid expenses | 125 | |
Other receivables | 1,247 | |
Total assets | 76,355,473 | |
Liabilities | ||
Payable to custodian bank | $40,595 | |
Payable for investments purchased | 65,585 | |
Payable for fund shares redeemed | 1,018 | |
Accrued management fee | 28,571 | |
Distribution and service plan fees payable | 32 | |
Other affiliated payables | 7,160 | |
Other payables and accrued expenses | 21,302 | |
Total liabilities | 164,263 | |
Net Assets | $76,191,210 | |
Net Assets consist of: | ||
Paid in capital | $48,190,765 | |
Undistributed net investment income | 113,153 | |
Accumulated undistributed net realized gain (loss) on investments | 1,923,061 | |
Net unrealized appreciation (depreciation) on investments | 25,964,231 | |
Net Assets | $76,191,210 | |
Growth Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($71,730,924 ÷ 4,733,171 shares) | $15.15 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,148,587 ÷ 273,724 shares) | $15.16 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($156,636 ÷ 10,344 shares) | $15.14 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($155,063 ÷ 10,257 shares) | $15.12 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $351,907 | |
Affiliated issuers | 31,527 | |
Interest | 18,035 | |
Total income | 401,469 | |
Expenses | ||
Management fee | $161,724 | |
Transfer agent fees | 28,476 | |
Distribution and service plan fees | 180 | |
Accounting fees and expenses | 13,611 | |
Custodian fees and expenses | 5,426 | |
Independent trustees' fees and expenses | 446 | |
Registration fees | 39,036 | |
Audit | 30,871 | |
Legal | 1,878 | |
Miscellaneous | 516 | |
Total expenses | 282,164 | |
Net investment income (loss) | 119,305 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,730,646 | |
Futures contracts | 272,597 | |
Realized gain distributions from underlying funds: | ||
Affiliated issuers | 159,624 | |
Total net realized gain (loss) | 2,162,867 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,694,724 | |
Affiliated issuers | 641,611 | |
Futures contracts | 122,529 | |
Total change in net unrealized appreciation (depreciation) | 6,458,864 | |
Net gain (loss) | 8,621,731 | |
Net increase (decrease) in net assets resulting from operations | $8,741,036 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $119,305 | $281,963 |
Net realized gain (loss) | 2,162,867 | 5,959,385 |
Change in net unrealized appreciation (depreciation) | 6,458,864 | 4,559,837 |
Net increase (decrease) in net assets resulting from operations | 8,741,036 | 10,801,185 |
Distributions to shareholders from net investment income | (107,581) | (319,551) |
Distributions to shareholders from net realized gain | (1,514,511) | (7,341,393) |
Total distributions | (1,622,092) | (7,660,944) |
Share transactions - net increase (decrease) | 2,713,981 | 4,574,494 |
Total increase (decrease) in net assets | 9,832,925 | 7,714,735 |
Net Assets | ||
Beginning of period | 66,358,285 | 58,643,550 |
End of period | $76,191,210 | $66,358,285 |
Other Information | ||
Undistributed net investment income end of period | $113,153 | $101,429 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $10.47 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .02 | .06 | .06 | .05 | .08 | .07 |
Net realized and unrealized gain (loss) | 1.74 | 2.21B | (.16) | 1.71 | 2.74 | 2.22 |
Total from investment operations | 1.76 | 2.27 | (.10) | 1.76 | 2.82 | 2.29 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.06) | (.07) | (.06) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34)C | (1.71) | (.77) | (2.45)D | (.79)E | (.06) |
Net asset value, end of period | $15.15 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnF,G | 13.09% | 19.13%B | (.66)% | 13.15% | 22.94% | 21.97% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .83% | .87% |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .80% | .87% |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .80% | .87% |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .55% | .60% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $71,731 | $62,610 | $55,948 | $62,615 | $65,731 | $64,621 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% | 65% |
A Calculated based on average shares outstanding during the period.
B Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.07%.
C Total distributions of $.34 per share is comprised of distributions from net investment income of $.022 and distributions from net realized gain of $.313 per share.
D Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.
E Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $11.31 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .03 | .07 | .07 | .07 | .09 | .03 |
Net realized and unrealized gain (loss) | 1.74 | 2.22C | (.15) | 1.70 | 2.75 | 1.41 |
Total from investment operations | 1.77 | 2.29 | (.08) | 1.77 | 2.84 | 1.44 |
Distributions from net investment income | (.03) | (.08) | (.07) | (.08) | (.08) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34) | (1.73)D | (.79) | (2.46) | (.81) | (.05) |
Net asset value, end of period | $15.16 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnE,F | 13.21% | 19.25%C | (.56)% | 13.27% | 23.05% | 12.82% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | .72%H | .71% | .72% | .74% | .74% | .72%H |
Expenses net of fee waivers, if any | .72%H | .71% | .72% | .74% | .69% | .72%H |
Expenses net of all reductions | .72%H | .71% | .72% | .74% | .69% | .72%H |
Net investment income (loss) | .42%H | .55% | .55% | .48% | .66% | .64%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,149 | $3,473 | $2,451 | $2,269 | $1,286 | $256 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% | 65% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.19%.
D Total distributions of $1.73 per share is comprised of distributions from net investment income of $.084 and distributions from net realized gain of $1.642 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating period. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.72 | $13.16 | $14.03 | $14.72 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .02 | .06 | .06 | .05 | .05 |
Net realized and unrealized gain (loss) | 1.74 | 2.21C | (.15) | 1.71 | 1.22 |
Total from investment operations | 1.76 | 2.27 | (.09) | 1.76 | 1.27 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.07) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.34)D | (1.71) | (.78)E | (2.45) | (.51) |
Net asset value, end of period | $15.14 | $13.72 | $13.16 | $14.03 | $14.72 |
Total ReturnF,G | 13.11% | 19.15%C | (.65)% | 13.18% | 9.28% |
Ratios to Average Net AssetsH | |||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .85%I |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .58%I |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $157 | $139 | $123 | $124 | $109 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.09%.
D Total distributions of $.34 per share is comprised of distributions from net investment income of $.023 and distributions from net realized gain of $.313 per share.
E Total distributions of $.78 per share is comprised of distributions from net investment income of $.053 and distributions from net realized gain of $.722 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.70 | $13.15 | $14.01 | $14.71 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .01 | .03 | .03 | .02 | .03 |
Net realized and unrealized gain (loss) | 1.73 | 2.20C | (.15) | 1.70 | 1.23 |
Total from investment operations | 1.74 | 2.23 | (.12) | 1.72 | 1.26 |
Distributions from net investment income | (.01) | (.04) | (.02) | (.03) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.32) | (1.68) | (.74) | (2.42)D | (.51) |
Net asset value, end of period | $15.12 | $13.70 | $13.15 | $14.01 | $14.71 |
Total ReturnE,F | 13.01% | 18.79%C | (.83)% | 12.83% | 9.17% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of fee waivers, if any | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of all reductions | 1.06%H | 1.05% | 1.06% | 1.09% | 1.10%H |
Net investment income (loss) | .09%H | .21% | .21% | .14% | .32%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $155 | $137 | $122 | $123 | $109 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 18.73%.
D Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, deferred trustees compensation, security level mergers and exchanges and losses deferred due to wash sales.
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 | $26,172,385 |
Gross unrealized depreciation | (275,498) |
Net unrealized appreciation (depreciation) | $25,896,887 |
Tax cost | $50,427,508 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,325,917 and $11,887,870, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .46% of the Fund's average net assets.
Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC and Waddell & Reed have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $180 | $180 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Growth Multi-Manager | $28,353 | .09 |
Class L | 62 | .09 |
Class N | 61 | .08 |
$28,476 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $9 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $90 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Growth Multi-Manager | $100,510 | $301,715 |
Class F | 6,749 | 16,794 |
Class L | 232 | 671 |
Class N | 90 | 371 |
Total | $107,581 | $319,551 |
From net realized gain | ||
Growth Multi-Manager | $1,429,978 | $6,978,535 |
Class F | 78,239 | 332,358 |
Class L | 3,159 | 15,293 |
Class N | 3,135 | 15,207 |
Total | $1,514,511 | $7,341,393 |
8. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Growth Multi-Manager | ||||
Shares sold | 113,137 | 85,500 | $1,627,105 | $1,104,425 |
Reinvestment of distributions | 113,876 | 587,340 | 1,530,488 | 7,280,250 |
Shares redeemed | (52,481) | (361,805) | (748,410) | (4,658,114) |
Net increase (decrease) | 174,532 | 311,035 | $2,409,183 | $3,726,561 |
Class F | ||||
Shares sold | 69,072 | 110,246 | $984,474 | $1,414,746 |
Reinvestment of distributions | 6,324 | 28,217 | 84,988 | 349,152 |
Shares redeemed | (54,555) | (71,636) | (771,280) | (933,819) |
Net increase (decrease) | 20,841 | 66,827 | $298,182 | $830,079 |
Class L | ||||
Reinvestment of distributions | 252 | 1,289 | 3,391 | 15,964 |
Shares redeemed | – | (534) | – | (6,870) |
Net increase (decrease) | 252 | 755 | $3,391 | $9,094 |
Class N | ||||
Reinvestment of distributions | 240 | 1,258 | 3,225 | 15,578 |
Shares redeemed | – | (531) | – | (6,818) |
Net increase (decrease) | 240 | 727 | $3,225 | $8,760 |
9. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Growth Multi-Manager | .81% | |||
Actual | $1,000.00 | $1,130.90 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class F | .72% | |||
Actual | $1,000.00 | $1,132.10 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.46 | $3.65 | |
Class L | .81% | |||
Actual | $1,000.00 | $1,131.10 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class N | 1.06% | |||
Actual | $1,000.00 | $1,130.10 | $5.66 | |
Hypothetical-C | $1,000.00 | $1,019.75 | $5.37 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Growth Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC, FIAM LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company, and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Growth Multi-Manager Fund
Strategic Advisers Growth Multi-Manager Fund
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
MMG-L-MMG-N-SANN-0118
1.9585627.104
Strategic Advisers® Growth Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
Fidelity Blue Chip Growth Fund | 5.2 | 5.4 |
Fidelity SAI U.S. Quality Index Fund | 4.9 | 5.2 |
Facebook, Inc. Class A | 4.0 | 4.1 |
Amazon.com, Inc. | 3.8 | 3.9 |
Apple, Inc. | 3.5 | 3.6 |
Microsoft Corp. | 3.4 | 3.3 |
Alphabet, Inc. Class C | 2.3 | 2.4 |
Alphabet, Inc. Class A | 2.1 | 2.2 |
Visa, Inc. Class A | 1.9 | 1.6 |
Alibaba Group Holding Ltd. sponsored ADR | 1.4 | 1.1 |
32.5 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Information Technology | 33.5 | 33.2 |
Consumer Discretionary | 12.7 | 14.7 |
Health Care | 11.3 | 12.8 |
Industrials | 9.0 | 7.8 |
Consumer Staples | 7.4 | 7.8 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 80.9% | |
Large Growth Funds | 10.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 9.0% |
As of May 31, 2017 | ||
Common Stocks | 84.1% | |
Large Growth Funds | 10.6% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 80.9% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 12.7% | |||
Auto Components - 0.7% | |||
Lear Corp. | 2,888 | $522,410 | |
Automobiles - 0.3% | |||
Thor Industries, Inc. | 1,690 | 259,500 | |
Hotels, Restaurants & Leisure - 3.1% | |||
Carnival Corp. | 1,428 | 93,734 | |
Domino's Pizza, Inc. | 1,564 | 291,154 | |
Marriott International, Inc. Class A | 2,546 | 323,342 | |
McDonald's Corp. | 2,845 | 489,255 | |
Norwegian Cruise Line Holdings Ltd. (a) | 614 | 33,254 | |
Royal Caribbean Cruises Ltd. | 1,819 | 225,338 | |
Starbucks Corp. | 3,368 | 194,738 | |
Wyndham Worldwide Corp. | 2,041 | 229,388 | |
Yum China Holdings, Inc. | 4,979 | 203,293 | |
Yum! Brands, Inc. | 3,782 | 315,684 | |
2,399,180 | |||
Household Durables - 0.7% | |||
D.R. Horton, Inc. | 7,193 | 366,843 | |
Mohawk Industries, Inc. (a) | 543 | 153,457 | |
520,300 | |||
Internet & Direct Marketing Retail - 4.2% | |||
Amazon.com, Inc. (a) | 2,443 | 2,874,800 | |
Priceline Group, Inc. (a) | 200 | 347,942 | |
3,222,742 | |||
Media - 0.9% | |||
Comcast Corp. Class A | 17,733 | 665,697 | |
Multiline Retail - 0.2% | |||
Dollar Tree, Inc. (a) | 1,596 | 164,005 | |
Specialty Retail - 2.2% | |||
Best Buy Co., Inc. | 4,194 | 250,004 | |
Home Depot, Inc. | 4,724 | 849,470 | |
Michaels Companies, Inc. (a) | 7,149 | 154,418 | |
Ross Stores, Inc. | 3,778 | 287,241 | |
TJX Companies, Inc. | 1,848 | 139,616 | |
1,680,749 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
PVH Corp. | 1,985 | 267,082 | |
TOTAL CONSUMER DISCRETIONARY | 9,701,665 | ||
CONSUMER STAPLES - 7.4% | |||
Beverages - 3.1% | |||
Constellation Brands, Inc. Class A (sub. vtg.) | 1,919 | 417,555 | |
Monster Beverage Corp. (a) | 10,359 | 649,199 | |
PepsiCo, Inc. | 7,403 | 862,598 | |
The Coca-Cola Co. | 9,555 | 437,332 | |
2,366,684 | |||
Food & Staples Retailing - 1.1% | |||
Costco Wholesale Corp. | 2,098 | 386,934 | |
CVS Health Corp. | 1,404 | 107,546 | |
Wal-Mart Stores, Inc. | 3,370 | 327,665 | |
822,145 | |||
Food Products - 2.1% | |||
Archer Daniels Midland Co. | 1,791 | 71,425 | |
Danone SA sponsored ADR | 30,585 | 518,263 | |
Ingredion, Inc. | 1,160 | 160,637 | |
Pinnacle Foods, Inc. | 2,665 | 155,183 | |
The Hershey Co. | 1,855 | 205,775 | |
Tyson Foods, Inc. Class A | 5,501 | 452,457 | |
1,563,740 | |||
Household Products - 0.5% | |||
Procter & Gamble Co. | 4,631 | 416,744 | |
Tobacco - 0.6% | |||
Altria Group, Inc. | 4,070 | 276,068 | |
Philip Morris International, Inc. | 1,989 | 204,370 | |
480,438 | |||
TOTAL CONSUMER STAPLES | 5,649,751 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.6% | |||
Schlumberger Ltd. | 7,083 | 445,167 | |
Oil, Gas & Consumable Fuels - 0.2% | |||
Valero Energy Corp. | 1,665 | 142,557 | |
TOTAL ENERGY | 587,724 | ||
FINANCIALS - 3.4% | |||
Banks - 0.3% | |||
Bank of America Corp. | 4,030 | 113,525 | |
Zions Bancorporation | 2,155 | 106,780 | |
220,305 | |||
Capital Markets - 1.8% | |||
Affiliated Managers Group, Inc. | 878 | 174,432 | |
Bank of New York Mellon Corp. | 4,240 | 232,098 | |
FactSet Research Systems, Inc. | 1,393 | 278,433 | |
SEI Investments Co. | 7,207 | 507,085 | |
State Street Corp. | 1,560 | 148,746 | |
1,340,794 | |||
Consumer Finance - 0.6% | |||
American Express Co. | 2,397 | 234,211 | |
Discover Financial Services | 3,508 | 247,665 | |
481,876 | |||
Insurance - 0.7% | |||
MetLife, Inc. | 3,791 | 203,501 | |
Progressive Corp. | 2,230 | 118,591 | |
Prudential Financial, Inc. | 1,614 | 186,966 | |
509,058 | |||
TOTAL FINANCIALS | 2,552,033 | ||
HEALTH CARE - 11.3% | |||
Biotechnology - 3.3% | |||
AbbVie, Inc. | 3,832 | 371,397 | |
Amgen, Inc. | 4,994 | 877,246 | |
Biogen, Inc. (a) | 1,562 | 503,230 | |
Celgene Corp. (a) | 4,458 | 449,500 | |
Regeneron Pharmaceuticals, Inc. (a) | 970 | 351,004 | |
2,552,377 | |||
Health Care Equipment & Supplies - 1.9% | |||
Align Technology, Inc. (a) | 447 | 116,613 | |
Edwards Lifesciences Corp. (a) | 4,852 | 568,654 | |
Medtronic PLC | 2,042 | 167,709 | |
The Cooper Companies, Inc. | 1,085 | 261,680 | |
Varian Medical Systems, Inc. (a) | 3,144 | 351,342 | |
1,465,998 | |||
Health Care Providers & Services - 2.9% | |||
Aetna, Inc. | 1,684 | 303,423 | |
Express Scripts Holding Co. (a) | 588 | 38,326 | |
HCA Holdings, Inc. (a) | 2,315 | 196,775 | |
Humana, Inc. | 499 | 130,169 | |
Laboratory Corp. of America Holdings (a) | 1,646 | 260,512 | |
McKesson Corp. | 1,058 | 156,309 | |
UnitedHealth Group, Inc. | 3,899 | 889,635 | |
Wellcare Health Plans, Inc. (a) | 979 | 208,517 | |
2,183,666 | |||
Health Care Technology - 0.5% | |||
Cerner Corp. (a) | 4,955 | 350,269 | |
Life Sciences Tools & Services - 0.6% | |||
Illumina, Inc. (a) | 252 | 57,968 | |
Thermo Fisher Scientific, Inc. | 2,244 | 432,553 | |
490,521 | |||
Pharmaceuticals - 2.1% | |||
Bristol-Myers Squibb Co. | 1,508 | 95,291 | |
Eli Lilly & Co. | 4,282 | 362,428 | |
Johnson & Johnson | 1,225 | 170,679 | |
Merck & Co., Inc. | 2,732 | 150,998 | |
Novartis AG sponsored ADR | 3,389 | 290,776 | |
Novo Nordisk A/S Series B sponsored ADR | 9,966 | 515,940 | |
1,586,112 | |||
TOTAL HEALTH CARE | 8,628,943 | ||
INDUSTRIALS - 9.0% | |||
Aerospace & Defense - 2.9% | |||
General Dynamics Corp. | 1,057 | 218,968 | |
Lockheed Martin Corp. | 585 | 186,685 | |
Northrop Grumman Corp. | 1,152 | 354,125 | |
Textron, Inc. | 4,023 | 224,121 | |
The Boeing Co. | 3,533 | 977,934 | |
United Technologies Corp. | 1,900 | 230,755 | |
2,192,588 | |||
Air Freight & Logistics - 1.1% | |||
Expeditors International of Washington, Inc. | 6,949 | 450,156 | |
United Parcel Service, Inc. Class B | 2,967 | 360,342 | |
810,498 | |||
Airlines - 0.4% | |||
Copa Holdings SA Class A | 954 | 128,017 | |
Delta Air Lines, Inc. | 2,525 | 133,623 | |
261,640 | |||
Building Products - 0.7% | |||
Owens Corning | 6,354 | 561,376 | |
Electrical Equipment - 0.2% | |||
Eaton Corp. PLC | 2,320 | 180,450 | |
Industrial Conglomerates - 0.3% | |||
Roper Technologies, Inc. | 792 | 211,630 | |
Machinery - 2.0% | |||
Caterpillar, Inc. | 2,195 | 309,824 | |
Deere & Co. | 2,989 | 447,932 | |
Ingersoll-Rand PLC | 4,315 | 378,080 | |
Oshkosh Corp. | 1,865 | 167,925 | |
Parker Hannifin Corp. | 730 | 136,868 | |
Stanley Black & Decker, Inc. | 630 | 106,867 | |
1,547,496 | |||
Road & Rail - 0.6% | |||
Kansas City Southern | 383 | 42,950 | |
Union Pacific Corp. | 3,239 | 409,734 | |
452,684 | |||
Trading Companies & Distributors - 0.8% | |||
United Rentals, Inc. (a) | 2,945 | 469,669 | |
Univar, Inc. (a) | 4,901 | 144,383 | |
614,052 | |||
TOTAL INDUSTRIALS | 6,832,414 | ||
INFORMATION TECHNOLOGY - 33.5% | |||
Communications Equipment - 1.3% | |||
Cisco Systems, Inc. | 25,502 | 951,225 | |
Internet Software & Services - 10.1% | |||
Alibaba Group Holding Ltd. sponsored ADR (a) | 5,781 | 1,023,699 | |
Alphabet, Inc.: | |||
Class A (a) | 1,557 | 1,613,317 | |
Class C (a) | 1,737 | 1,774,189 | |
Dropbox, Inc. Class B (a)(b)(c) | 1,441 | 20,477 | |
eBay, Inc. (a) | 5,950 | 206,287 | |
Facebook, Inc. Class A (a) | 17,235 | 3,053,697 | |
SurveyMonkey (a)(b)(c) | 1,159 | 14,824 | |
7,706,490 | |||
IT Services - 5.5% | |||
Amdocs Ltd. | 896 | 58,500 | |
Automatic Data Processing, Inc. | 1,166 | 133,460 | |
Cognizant Technology Solutions Corp. Class A | 3,932 | 284,205 | |
DXC Technology Co. | 3,190 | 306,687 | |
Fidelity National Information Services, Inc. | 1,624 | 153,192 | |
First Data Corp. Class A (a) | 12,732 | 209,441 | |
Fiserv, Inc. (a) | 1,919 | 252,253 | |
Global Payments, Inc. | 3,610 | 363,022 | |
MasterCard, Inc. Class A | 2,602 | 391,523 | |
Total System Services, Inc. | 3,758 | 279,445 | |
Vantiv, Inc. (a) | 3,923 | 294,225 | |
Visa, Inc. Class A | 13,309 | 1,498,460 | |
4,224,413 | |||
Semiconductors & Semiconductor Equipment - 4.1% | |||
Analog Devices, Inc. | 794 | 68,371 | |
Applied Materials, Inc. | 15,541 | 820,099 | |
KLA-Tencor Corp. | 1,040 | 106,330 | |
Lam Research Corp. | 1,945 | 374,082 | |
Microchip Technology, Inc. | 1,895 | 164,846 | |
NVIDIA Corp. | 3,929 | 788,590 | |
Qualcomm, Inc. | 7,833 | 519,641 | |
Texas Instruments, Inc. | 2,605 | 253,440 | |
3,095,399 | |||
Software - 8.5% | |||
Activision Blizzard, Inc. | 3,955 | 246,792 | |
Adobe Systems, Inc. (a) | 3,751 | 680,694 | |
Autodesk, Inc. (a) | 4,955 | 543,564 | |
Electronic Arts, Inc. (a) | 5,328 | 566,633 | |
Intuit, Inc. | 2,244 | 352,802 | |
Microsoft Corp. | 30,670 | 2,581,494 | |
Oracle Corp. | 18,402 | 902,802 | |
Synopsys, Inc. (a) | 3,280 | 296,446 | |
Take-Two Interactive Software, Inc. (a) | 2,661 | 296,835 | |
6,468,062 | |||
Technology Hardware, Storage & Peripherals - 4.0% | |||
Apple, Inc. | 15,613 | 2,683,094 | |
NetApp, Inc. | 6,332 | 357,821 | |
3,040,915 | |||
TOTAL INFORMATION TECHNOLOGY | 25,486,504 | ||
MATERIALS - 1.8% | |||
Chemicals - 0.9% | |||
FMC Corp. | 2,603 | 245,723 | |
LyondellBasell Industries NV Class A | 2,534 | 265,310 | |
Monsanto Co. | 1,429 | 169,108 | |
680,141 | |||
Containers & Packaging - 0.6% | |||
Berry Global Group, Inc. (a) | 2,945 | 176,023 | |
Owens-Illinois, Inc. (a) | 5,355 | 129,698 | |
Sealed Air Corp. | 2,908 | 139,729 | |
445,450 | |||
Metals & Mining - 0.3% | |||
Steel Dynamics, Inc. | 6,246 | 240,471 | |
TOTAL MATERIALS | 1,366,062 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
American Tower Corp. | 2,080 | 299,374 | |
SBA Communications Corp. Class A (a) | 1,643 | 278,899 | |
578,273 | |||
Real Estate Management & Development - 0.2% | |||
Realogy Holdings Corp. | 4,850 | 135,364 | |
TOTAL REAL ESTATE | 713,637 | ||
UTILITIES - 0.1% | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
The AES Corp. | 10,401 | 110,043 | |
TOTAL COMMON STOCKS | |||
(Cost $37,796,732) | 61,628,776 | ||
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Internet Software & Services - 0.0% | |||
Dropbox, Inc. Series A (a)(b)(c) | |||
(Cost $1,303) | 144 | 2,046 | |
Equity Funds - 10.1% | |||
Large Growth Funds - 10.1% | |||
Fidelity Blue Chip Growth Fund (d) | 44,507 | 3,963,356 | |
Fidelity SAI U.S. Quality Index Fund (d) | 282,596 | 3,727,444 | |
TOTAL EQUITY FUNDS | |||
(Cost $5,819,974) | 7,690,800 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.3% | |||
U.S. Treasury Bills, yield at date of purchase 1.01% to 1.26% 12/14/17 to 3/1/18 (e) | |||
(Cost $249,620) | 250,000 | 249,628 | |
Shares | |||
Money Market Funds - 8.5% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (f) | |||
(Cost $6,492,535) | 6,492,535 | 6,492,535 | |
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $50,360,164) | 76,063,785 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 127,425 | ||
NET ASSETS - 100% | $76,191,210 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Growth Index Contracts (United States) | 92 | Dec. 2017 | $6,177,800 | $260,610 | $260,610 |
The notional amount of futures purchased as a percentage of Net Assets is 8.1%
Legend
(a) Non-income producing
(b) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $37,347 or 0.0% of net assets.
(c) Level 3 security
(d) Affiliated Fund
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $249,628.
(f) The rate quoted is the annualized seven-day yield of the fund at period end.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Dropbox, Inc. Class B | 5/1/12 | $13,044 |
Dropbox, Inc. Series A | 5/25/12 | $1,303 |
SurveyMonkey | 11/25/14 | $19,066 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Blue Chip Growth Fund | $3,601,515 | $-- | $-- | $2,136 | $-- | $361,841 | $3,963,356 |
Fidelity SAI U.S. Quality Index Fund | 3,447,674 | -- | -- | 29,391 | -- | 279,770 | 3,727,444 |
Total | $7,049,189 | $-- | $-- | $31,527 | $-- | $641,611 | $7,690,800 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $9,701,665 | $9,701,665 | $-- | $-- |
Consumer Staples | 5,649,751 | 5,649,751 | -- | -- |
Energy | 587,724 | 587,724 | -- | -- |
Financials | 2,552,033 | 2,552,033 | -- | -- |
Health Care | 8,628,943 | 8,628,943 | -- | -- |
Industrials | 6,832,414 | 6,832,414 | -- | -- |
Information Technology | 25,488,550 | 25,451,203 | -- | 37,347 |
Materials | 1,366,062 | 1,366,062 | -- | -- |
Real Estate | 713,637 | 713,637 | -- | -- |
Utilities | 110,043 | 110,043 | -- | -- |
Equity Funds | 7,690,800 | 7,690,800 | -- | -- |
Other Short-Term Investments | 249,628 | -- | 249,628 | -- |
Money Market Funds | 6,492,535 | 6,492,535 | -- | -- |
Total Investments in Securities: | $76,063,785 | $75,776,810 | $249,628 | $37,347 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $260,610 | $260,610 | $-- | $-- |
Total Assets | $260,610 | $260,610 | $-- | $-- |
Total Derivative Instruments: | $260,610 | $260,610 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $260,610 | $0 |
Total Equity Risk | 260,610 | 0 |
Total Value of Derivatives | $260,610 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $44,540,190) | $68,372,985 | |
Affiliated issuers (cost $5,819,974) | 7,690,800 | |
Total Investment in Securities (cost $50,360,164) | $76,063,785 | |
Receivable for investments sold | 80,212 | |
Receivable for fund shares sold | 56,397 | |
Dividends receivable | 90,268 | |
Interest receivable | 3,441 | |
Receivable for daily variation margin on futures contracts | 59,998 | |
Prepaid expenses | 125 | |
Other receivables | 1,247 | |
Total assets | 76,355,473 | |
Liabilities | ||
Payable to custodian bank | $40,595 | |
Payable for investments purchased | 65,585 | |
Payable for fund shares redeemed | 1,018 | |
Accrued management fee | 28,571 | |
Distribution and service plan fees payable | 32 | |
Other affiliated payables | 7,160 | |
Other payables and accrued expenses | 21,302 | |
Total liabilities | 164,263 | |
Net Assets | $76,191,210 | |
Net Assets consist of: | ||
Paid in capital | $48,190,765 | |
Undistributed net investment income | 113,153 | |
Accumulated undistributed net realized gain (loss) on investments | 1,923,061 | |
Net unrealized appreciation (depreciation) on investments | 25,964,231 | |
Net Assets | $76,191,210 | |
Growth Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($71,730,924 ÷ 4,733,171 shares) | $15.15 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,148,587 ÷ 273,724 shares) | $15.16 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($156,636 ÷ 10,344 shares) | $15.14 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($155,063 ÷ 10,257 shares) | $15.12 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $351,907 | |
Affiliated issuers | 31,527 | |
Interest | 18,035 | |
Total income | 401,469 | |
Expenses | ||
Management fee | $161,724 | |
Transfer agent fees | 28,476 | |
Distribution and service plan fees | 180 | |
Accounting fees and expenses | 13,611 | |
Custodian fees and expenses | 5,426 | |
Independent trustees' fees and expenses | 446 | |
Registration fees | 39,036 | |
Audit | 30,871 | |
Legal | 1,878 | |
Miscellaneous | 516 | |
Total expenses | 282,164 | |
Net investment income (loss) | 119,305 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,730,646 | |
Futures contracts | 272,597 | |
Realized gain distributions from underlying funds: | ||
Affiliated issuers | 159,624 | |
Total net realized gain (loss) | 2,162,867 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 5,694,724 | |
Affiliated issuers | 641,611 | |
Futures contracts | 122,529 | |
Total change in net unrealized appreciation (depreciation) | 6,458,864 | |
Net gain (loss) | 8,621,731 | |
Net increase (decrease) in net assets resulting from operations | $8,741,036 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $119,305 | $281,963 |
Net realized gain (loss) | 2,162,867 | 5,959,385 |
Change in net unrealized appreciation (depreciation) | 6,458,864 | 4,559,837 |
Net increase (decrease) in net assets resulting from operations | 8,741,036 | 10,801,185 |
Distributions to shareholders from net investment income | (107,581) | (319,551) |
Distributions to shareholders from net realized gain | (1,514,511) | (7,341,393) |
Total distributions | (1,622,092) | (7,660,944) |
Share transactions - net increase (decrease) | 2,713,981 | 4,574,494 |
Total increase (decrease) in net assets | 9,832,925 | 7,714,735 |
Net Assets | ||
Beginning of period | 66,358,285 | 58,643,550 |
End of period | $76,191,210 | $66,358,285 |
Other Information | ||
Undistributed net investment income end of period | $113,153 | $101,429 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $10.47 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .02 | .06 | .06 | .05 | .08 | .07 |
Net realized and unrealized gain (loss) | 1.74 | 2.21B | (.16) | 1.71 | 2.74 | 2.22 |
Total from investment operations | 1.76 | 2.27 | (.10) | 1.76 | 2.82 | 2.29 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.06) | (.07) | (.06) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34)C | (1.71) | (.77) | (2.45)D | (.79)E | (.06) |
Net asset value, end of period | $15.15 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnF,G | 13.09% | 19.13%B | (.66)% | 13.15% | 22.94% | 21.97% |
Ratios to Average Net AssetsH | ||||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .83% | .87% |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .80% | .87% |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .80% | .87% |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .55% | .60% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $71,731 | $62,610 | $55,948 | $62,615 | $65,731 | $64,621 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% | 65% |
A Calculated based on average shares outstanding during the period.
B Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.07%.
C Total distributions of $.34 per share is comprised of distributions from net investment income of $.022 and distributions from net realized gain of $.313 per share.
D Total distributions of $2.45 per share is comprised of distributions from net investment income of $.062 and distributions from net realized gain of $2.384 per share.
E Total distributions of $.79 per share is comprised of distributions from net investment income of $.065 and distributions from net realized gain of $.729 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 | $11.31 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .03 | .07 | .07 | .07 | .09 | .03 |
Net realized and unrealized gain (loss) | 1.74 | 2.22C | (.15) | 1.70 | 2.75 | 1.41 |
Total from investment operations | 1.77 | 2.29 | (.08) | 1.77 | 2.84 | 1.44 |
Distributions from net investment income | (.03) | (.08) | (.07) | (.08) | (.08) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.73) | – |
Total distributions | (.34) | (1.73)D | (.79) | (2.46) | (.81) | (.05) |
Net asset value, end of period | $15.16 | $13.73 | $13.17 | $14.04 | $14.73 | $12.70 |
Total ReturnE,F | 13.21% | 19.25%C | (.56)% | 13.27% | 23.05% | 12.82% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | .72%H | .71% | .72% | .74% | .74% | .72%H |
Expenses net of fee waivers, if any | .72%H | .71% | .72% | .74% | .69% | .72%H |
Expenses net of all reductions | .72%H | .71% | .72% | .74% | .69% | .72%H |
Net investment income (loss) | .42%H | .55% | .55% | .48% | .66% | .64%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,149 | $3,473 | $2,451 | $2,269 | $1,286 | $256 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% | 65% |
A For the period December 18, 2012 (commencement of sale of shares) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.19%.
D Total distributions of $1.73 per share is comprised of distributions from net investment income of $.084 and distributions from net realized gain of $1.642 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating period. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.72 | $13.16 | $14.03 | $14.72 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .02 | .06 | .06 | .05 | .05 |
Net realized and unrealized gain (loss) | 1.74 | 2.21C | (.15) | 1.71 | 1.22 |
Total from investment operations | 1.76 | 2.27 | (.09) | 1.76 | 1.27 |
Distributions from net investment income | (.02) | (.07) | (.05) | (.07) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.34)D | (1.71) | (.78)E | (2.45) | (.51) |
Net asset value, end of period | $15.14 | $13.72 | $13.16 | $14.03 | $14.72 |
Total ReturnF,G | 13.11% | 19.15%C | (.65)% | 13.18% | 9.28% |
Ratios to Average Net AssetsH | |||||
Expenses before reductions | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of fee waivers, if any | .81%I | .80% | .82% | .84% | .85%I |
Expenses net of all reductions | .81%I | .80% | .82% | .84% | .85%I |
Net investment income (loss) | .34%I | .46% | .46% | .39% | .58%I |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $157 | $139 | $123 | $124 | $109 |
Portfolio turnover rateJ | 31%I | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 19.09%.
D Total distributions of $.34 per share is comprised of distributions from net investment income of $.023 and distributions from net realized gain of $.313 per share.
E Total distributions of $.78 per share is comprised of distributions from net investment income of $.053 and distributions from net realized gain of $.722 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
I Annualized
J Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Growth Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $13.70 | $13.15 | $14.01 | $14.71 | $13.96 |
Income from Investment Operations | |||||
Net investment income (loss)B | .01 | .03 | .03 | .02 | .03 |
Net realized and unrealized gain (loss) | 1.73 | 2.20C | (.15) | 1.70 | 1.23 |
Total from investment operations | 1.74 | 2.23 | (.12) | 1.72 | 1.26 |
Distributions from net investment income | (.01) | (.04) | (.02) | (.03) | (.05) |
Distributions from net realized gain | (.31) | (1.64) | (.72) | (2.38) | (.46) |
Total distributions | (.32) | (1.68) | (.74) | (2.42)D | (.51) |
Net asset value, end of period | $15.12 | $13.70 | $13.15 | $14.01 | $14.71 |
Total ReturnE,F | 13.01% | 18.79%C | (.83)% | 12.83% | 9.17% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of fee waivers, if any | 1.06%H | 1.05% | 1.07% | 1.09% | 1.10%H |
Expenses net of all reductions | 1.06%H | 1.05% | 1.06% | 1.09% | 1.10%H |
Net investment income (loss) | .09%H | .21% | .21% | .14% | .32%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $155 | $137 | $122 | $123 | $109 |
Portfolio turnover rateI | 31%H | 52% | 46% | 46% | 51% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 18.73%.
D Total distributions of $2.42 per share is comprised of distributions from net investment income of $.031 and distributions from net realized gain of $2.384 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Growth Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Growth Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, market discount, deferred trustees compensation, security level mergers and exchanges and losses deferred due to wash sales.
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 | $26,172,385 |
Gross unrealized depreciation | (275,498) |
Net unrealized appreciation (depreciation) | $25,896,887 |
Tax cost | $50,427,508 |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $10,325,917 and $11,887,870, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .46% of the Fund's average net assets.
Sub-Advisers. ClariVest Asset Management LLC, Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC and Waddell & Reed have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $180 | $180 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Growth Multi-Manager | $28,353 | .09 |
Class L | 62 | .09 |
Class N | 61 | .08 |
$28,476 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $9 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $90 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Growth Multi-Manager | $100,510 | $301,715 |
Class F | 6,749 | 16,794 |
Class L | 232 | 671 |
Class N | 90 | 371 |
Total | $107,581 | $319,551 |
From net realized gain | ||
Growth Multi-Manager | $1,429,978 | $6,978,535 |
Class F | 78,239 | 332,358 |
Class L | 3,159 | 15,293 |
Class N | 3,135 | 15,207 |
Total | $1,514,511 | $7,341,393 |
8. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Growth Multi-Manager | ||||
Shares sold | 113,137 | 85,500 | $1,627,105 | $1,104,425 |
Reinvestment of distributions | 113,876 | 587,340 | 1,530,488 | 7,280,250 |
Shares redeemed | (52,481) | (361,805) | (748,410) | (4,658,114) |
Net increase (decrease) | 174,532 | 311,035 | $2,409,183 | $3,726,561 |
Class F | ||||
Shares sold | 69,072 | 110,246 | $984,474 | $1,414,746 |
Reinvestment of distributions | 6,324 | 28,217 | 84,988 | 349,152 |
Shares redeemed | (54,555) | (71,636) | (771,280) | (933,819) |
Net increase (decrease) | 20,841 | 66,827 | $298,182 | $830,079 |
Class L | ||||
Reinvestment of distributions | 252 | 1,289 | 3,391 | 15,964 |
Shares redeemed | – | (534) | – | (6,870) |
Net increase (decrease) | 252 | 755 | $3,391 | $9,094 |
Class N | ||||
Reinvestment of distributions | 240 | 1,258 | 3,225 | 15,578 |
Shares redeemed | – | (531) | – | (6,818) |
Net increase (decrease) | 240 | 727 | $3,225 | $8,760 |
9. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 88% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Growth Multi-Manager | .81% | |||
Actual | $1,000.00 | $1,130.90 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class F | .72% | |||
Actual | $1,000.00 | $1,132.10 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.46 | $3.65 | |
Class L | .81% | |||
Actual | $1,000.00 | $1,131.10 | $4.33 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class N | 1.06% | |||
Actual | $1,000.00 | $1,130.10 | $5.66 | |
Hypothetical-C | $1,000.00 | $1,019.75 | $5.37 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in each Class' annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Growth Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with ClariVest Asset Management LLC, FIAM LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company, and Waddell & Reed Investment Management Company (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Growth Multi-Manager Fund
Strategic Advisers Growth Multi-Manager Fund
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
MMG-F-SANN-0118
1.951498.104
Strategic Advisers® Value Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 (plan accounts) or 1-800-544-3455 (all other accounts) to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
JPMorgan Chase & Co. | 2.5 | 2.9 |
Johnson & Johnson | 1.7 | 2.7 |
Citigroup, Inc. | 1.7 | 1.8 |
Intel Corp. | 1.6 | 1.6 |
Apple, Inc. | 1.5 | 2.1 |
Pfizer, Inc. | 1.5 | 2.0 |
Wal-Mart Stores, Inc. | 1.4 | 1.5 |
AbbVie, Inc. | 1.3 | 1.3 |
Amgen, Inc. | 1.3 | 1.4 |
Cisco Systems, Inc. | 1.3 | 1.5 |
15.8 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Financials | 21.5 | 26.6 |
Information Technology | 12.0 | 15.5 |
Health Care | 11.7 | 14.9 |
Consumer Discretionary | 8.1 | 8.7 |
Industrials | 6.1 | 7.9 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 77.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 22.8% |
As of May 31, 2017 | ||
Common Stocks | 94.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 77.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 8.1% | |||
Auto Components - 1.0% | |||
BorgWarner, Inc. | 1,590 | $88,531 | |
Delphi Automotive PLC | 240 | 25,121 | |
Gentex Corp. | 260 | 5,325 | |
Lear Corp. | 460 | 83,209 | |
The Goodyear Tire & Rubber Co. | 1,920 | 62,150 | |
264,336 | |||
Automobiles - 1.1% | |||
Ford Motor Co. | 7,450 | 93,274 | |
General Motors Co. | 3,540 | 152,539 | |
Harley-Davidson, Inc. | 900 | 45,180 | |
Thor Industries, Inc. | 50 | 7,678 | |
298,671 | |||
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 180 | 4,712 | |
Hotels, Restaurants & Leisure - 0.6% | |||
Brinker International, Inc. | 400 | 14,692 | |
Carnival Corp. | 480 | 31,507 | |
Hyatt Hotels Corp. Class A (a) | 30 | 2,171 | |
Norwegian Cruise Line Holdings Ltd. (a) | 200 | 10,832 | |
Royal Caribbean Cruises Ltd. | 190 | 23,537 | |
Wyndham Worldwide Corp. | 590 | 66,310 | |
149,049 | |||
Household Durables - 1.1% | |||
Garmin Ltd. | 170 | 10,554 | |
Leggett & Platt, Inc. | 110 | 5,306 | |
Lennar Corp.: | |||
Class A | 1,945 | 122,107 | |
Class B | 38 | 1,950 | |
Mohawk Industries, Inc. (a) | 70 | 19,783 | |
NVR, Inc. (a) | 4 | 13,900 | |
PulteGroup, Inc. | 280 | 9,556 | |
Toll Brothers, Inc. | 150 | 7,550 | |
Whirlpool Corp. | 560 | 94,399 | |
285,105 | |||
Leisure Products - 0.1% | |||
Brunswick Corp. | 80 | 4,428 | |
Hasbro, Inc. | 110 | 10,232 | |
14,660 | |||
Media - 1.9% | |||
Comcast Corp. Class A | 4,000 | 150,160 | |
Gannett Co., Inc. | 600 | 6,876 | |
News Corp. Class A | 340 | 5,494 | |
Tegna, Inc. | 1,200 | 15,936 | |
The Madison Square Garden Co. (a) | 20 | 4,333 | |
The Walt Disney Co. | 1,390 | 145,700 | |
Time Warner, Inc. | 1,060 | 97,001 | |
Twenty-First Century Fox, Inc. Class A | 940 | 30,024 | |
Viacom, Inc. Class B (non-vtg.) | 900 | 25,488 | |
481,012 | |||
Multiline Retail - 0.8% | |||
Dillard's, Inc. Class A | 300 | 18,030 | |
Dollar General Corp. | 240 | 21,139 | |
Kohl's Corp. | 1,640 | 78,671 | |
Macy's, Inc. | 500 | 11,900 | |
Target Corp. | 1,500 | 89,850 | |
219,590 | |||
Specialty Retail - 1.4% | |||
AutoNation, Inc. (a) | 60 | 3,322 | |
Best Buy Co., Inc. | 1,260 | 75,109 | |
CarMax, Inc. (a) | 160 | 11,026 | |
Gap, Inc. | 250 | 8,078 | |
Home Depot, Inc. | 870 | 156,443 | |
L Brands, Inc. | 60 | 3,364 | |
Lowe's Companies, Inc. | 710 | 59,193 | |
Penske Automotive Group, Inc. | 800 | 38,688 | |
Williams-Sonoma, Inc. | 80 | 4,093 | |
359,316 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Carter's, Inc. | 40 | 4,333 | |
Hanesbrands, Inc. | 310 | 6,476 | |
Michael Kors Holdings Ltd. (a) | 100 | 5,844 | |
PVH Corp. | 70 | 9,419 | |
Ralph Lauren Corp. | 50 | 4,758 | |
30,830 | |||
TOTAL CONSUMER DISCRETIONARY | 2,107,281 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. | 110 | 9,921 | |
The Coca-Cola Co. | 1,640 | 75,063 | |
84,984 | |||
Food & Staples Retailing - 2.8% | |||
CVS Health Corp. | 1,100 | 84,260 | |
Kroger Co. | 5,120 | 132,403 | |
Wal-Mart Stores, Inc. | 3,600 | 350,028 | |
Walgreens Boots Alliance, Inc. | 2,305 | 167,712 | |
734,403 | |||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 2,445 | 97,507 | |
Campbell Soup Co. | 900 | 44,370 | |
Ingredion, Inc. | 360 | 49,853 | |
Mondelez International, Inc. | 1,815 | 77,936 | |
Pilgrim's Pride Corp. (a) | 1,920 | 70,406 | |
The J.M. Smucker Co. | 400 | 46,668 | |
Tyson Foods, Inc. Class A | 890 | 73,203 | |
459,943 | |||
Household Products - 0.1% | |||
Kimberly-Clark Corp. | 210 | 25,150 | |
Personal Products - 0.4% | |||
Herbalife Ltd. (a) | 80 | 5,611 | |
Unilever NV (NY Reg.) | 1,790 | 103,355 | |
108,966 | |||
TOTAL CONSUMER STAPLES | 1,413,446 | ||
ENERGY - 4.4% | |||
Energy Equipment & Services - 0.2% | |||
Halliburton Co. | 1,495 | 62,461 | |
Parker Drilling Co. (a) | 2,100 | 2,058 | |
64,519 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Chevron Corp. | 2,390 | 284,386 | |
ConocoPhillips Co. | 1,100 | 55,968 | |
Energen Corp. (a) | 80 | 4,517 | |
EQT Corp. | 1,065 | 63,474 | |
Exxon Mobil Corp. | 1,300 | 108,277 | |
HollyFrontier Corp. | 150 | 6,672 | |
Marathon Petroleum Corp. | 1,270 | 79,540 | |
Murphy Oil Corp. | 1,200 | 33,540 | |
PBF Energy, Inc. Class A | 1,300 | 42,081 | |
Phillips 66 Co. | 1,850 | 180,486 | |
Pioneer Natural Resources Co. | 395 | 61,636 | |
Valero Energy Corp. | 1,900 | 162,678 | |
1,083,255 | |||
TOTAL ENERGY | 1,147,774 | ||
FINANCIALS - 21.5% | |||
Banks - 10.9% | |||
Banco Bilbao Vizcaya Argentaria SA sponsored ADR | 12,528 | 107,240 | |
Bank of America Corp. | 10,300 | 290,151 | |
BB&T Corp. | 1,580 | 78,084 | |
BOK Financial Corp. | 685 | 60,965 | |
CIT Group, Inc. | 110 | 5,482 | |
Citigroup, Inc. | 5,750 | 434,125 | |
Citizens Financial Group, Inc. | 1,850 | 75,295 | |
Comerica, Inc. | 140 | 11,663 | |
Commerce Bancshares, Inc. | 85 | 4,813 | |
Cullen/Frost Bankers, Inc. | 650 | 63,967 | |
East West Bancorp, Inc. | 1,056 | 64,986 | |
Fifth Third Bancorp | 2,270 | 69,258 | |
First Republic Bank | 202 | 19,299 | |
Investors Bancorp, Inc. | 270 | 3,853 | |
JPMorgan Chase & Co. | 6,140 | 641,746 | |
KeyCorp | 2,820 | 53,524 | |
M&T Bank Corp. | 140 | 23,653 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 9,640 | 68,733 | |
PNC Financial Services Group, Inc. | 930 | 130,721 | |
Prosperity Bancshares, Inc. | 60 | 4,202 | |
Regions Financial Corp. | 7,770 | 128,904 | |
SunTrust Banks, Inc. | 1,830 | 112,783 | |
Synovus Financial Corp. | 110 | 5,459 | |
U.S. Bancorp | 1,500 | 82,725 | |
Wells Fargo & Co. | 5,050 | 285,174 | |
Western Alliance Bancorp. (a) | 70 | 4,073 | |
Zions Bancorporation | 180 | 8,919 | |
2,839,797 | |||
Capital Markets - 3.3% | |||
Ameriprise Financial, Inc. | 1,665 | 271,778 | |
Bank of New York Mellon Corp. | 930 | 50,908 | |
Brighthouse Financial, Inc. | 118 | 6,937 | |
E*TRADE Financial Corp. (a) | 240 | 11,554 | |
Franklin Resources, Inc. | 500 | 21,675 | |
Goldman Sachs Group, Inc. | 550 | 136,202 | |
Invesco Ltd. | 360 | 13,021 | |
Lazard Ltd. Class A | 110 | 5,418 | |
Legg Mason, Inc. | 1,300 | 51,948 | |
Morgan Stanley | 2,950 | 152,250 | |
Northern Trust Corp. | 180 | 17,600 | |
Raymond James Financial, Inc. | 110 | 9,713 | |
State Street Corp. | 740 | 70,559 | |
T. Rowe Price Group, Inc. | 210 | 21,613 | |
The NASDAQ OMX Group, Inc. | 120 | 9,499 | |
850,675 | |||
Consumer Finance - 1.8% | |||
Ally Financial, Inc. | 410 | 11,013 | |
American Express Co. | 800 | 78,168 | |
Capital One Financial Corp. | 2,285 | 210,220 | |
Credit Acceptance Corp. (a) | 10 | 3,029 | |
Discover Financial Services | 1,560 | 110,136 | |
Navient Corp. | 1,100 | 13,871 | |
Santander Consumer U.S.A. Holdings, Inc. | 310 | 5,344 | |
Synchrony Financial | 723 | 25,948 | |
457,729 | |||
Diversified Financial Services - 0.1% | |||
Donnelley Financial Solutions, Inc. (a) | 187 | 3,815 | |
Leucadia National Corp. | 320 | 8,419 | |
Voya Financial, Inc. | 170 | 7,514 | |
19,748 | |||
Insurance - 5.0% | |||
AFLAC, Inc. | 860 | 75,370 | |
Alleghany Corp. (a) | 20 | 11,696 | |
Allstate Corp. | 840 | 86,234 | |
American Financial Group, Inc. | 560 | 58,834 | |
American International Group, Inc. | 1,100 | 65,956 | |
Assurant, Inc. | 460 | 46,400 | |
Assured Guaranty Ltd. | 110 | 3,994 | |
Axis Capital Holdings Ltd. | 600 | 31,434 | |
Chubb Ltd. | 1,045 | 158,955 | |
Cincinnati Financial Corp. | 140 | 10,462 | |
Everest Re Group Ltd. | 240 | 52,704 | |
FNF Group | 220 | 8,901 | |
Hartford Financial Services Group, Inc. | 1,230 | 70,651 | |
Lincoln National Corp. | 1,290 | 98,750 | |
Loews Corp. | 300 | 15,084 | |
Markel Corp. (a) | 10 | 11,069 | |
MetLife, Inc. | 1,760 | 94,477 | |
Old Republic International Corp. | 230 | 4,823 | |
Principal Financial Group, Inc. | 260 | 18,405 | |
Prudential Financial, Inc. | 1,080 | 125,107 | |
Reinsurance Group of America, Inc. | 60 | 9,723 | |
RenaissanceRe Holdings Ltd. | 40 | 5,306 | |
The Travelers Companies, Inc. | 870 | 117,946 | |
Torchmark Corp. | 270 | 23,990 | |
Unum Group | 1,000 | 56,620 | |
W.R. Berkley Corp. | 110 | 7,603 | |
Willis Group Holdings PLC | 110 | 17,688 | |
XL Group Ltd. | 230 | 8,929 | |
1,297,111 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
Annaly Capital Management, Inc. | 5,300 | 61,851 | |
Thrifts & Mortgage Finance - 0.2% | |||
Radian Group, Inc. | 2,100 | 43,029 | |
TOTAL FINANCIALS | 5,569,940 | ||
HEALTH CARE - 11.7% | |||
Biotechnology - 3.4% | |||
AbbVie, Inc. | 3,525 | 341,643 | |
Amgen, Inc. | 1,895 | 332,876 | |
Biogen, Inc. (a) | 190 | 61,212 | |
Gilead Sciences, Inc. | 1,770 | 132,361 | |
868,092 | |||
Health Care Equipment & Supplies - 1.2% | |||
Baxter International, Inc. | 1,404 | 92,004 | |
Danaher Corp. | 1,289 | 121,630 | |
Medtronic PLC | 1,280 | 105,126 | |
318,760 | |||
Health Care Providers & Services - 3.0% | |||
Acadia Healthcare Co., Inc. (a) | 1,883 | 59,936 | |
Aetna, Inc. | 800 | 144,144 | |
Anthem, Inc. | 620 | 145,675 | |
Cardinal Health, Inc. | 400 | 23,676 | |
Cigna Corp. | 430 | 91,044 | |
DaVita HealthCare Partners, Inc. (a) | 170 | 10,380 | |
Express Scripts Holding Co. (a) | 800 | 52,144 | |
HCA Holdings, Inc. (a) | 1,130 | 96,050 | |
Laboratory Corp. of America Holdings (a) | 90 | 14,244 | |
LifePoint Hospitals, Inc. (a) | 800 | 38,240 | |
McKesson Corp. | 480 | 70,915 | |
Quest Diagnostics, Inc. | 320 | 31,507 | |
777,955 | |||
Pharmaceuticals - 4.1% | |||
Bristol-Myers Squibb Co. | 230 | 14,534 | |
Johnson & Johnson | 3,200 | 445,856 | |
Mallinckrodt PLC (a) | 1,200 | 26,184 | |
Merck & Co., Inc. | 1,650 | 91,196 | |
Novartis AG sponsored ADR | 1,040 | 89,232 | |
Perrigo Co. PLC | 120 | 10,465 | |
Pfizer, Inc. | 10,710 | 388,345 | |
1,065,812 | |||
TOTAL HEALTH CARE | 3,030,619 | ||
INDUSTRIALS - 6.1% | |||
Aerospace & Defense - 1.7% | |||
General Dynamics Corp. | 835 | 172,979 | |
Huntington Ingalls Industries, Inc. | 40 | 9,667 | |
L3 Technologies, Inc. | 70 | 13,901 | |
Spirit AeroSystems Holdings, Inc. Class A | 810 | 68,243 | |
Textron, Inc. | 240 | 13,370 | |
The Boeing Co. | 160 | 44,288 | |
Triumph Group, Inc. | 700 | 21,630 | |
United Technologies Corp. | 710 | 86,230 | |
430,308 | |||
Air Freight & Logistics - 0.5% | |||
FedEx Corp. | 240 | 55,550 | |
United Parcel Service, Inc. Class B | 590 | 71,656 | |
127,206 | |||
Airlines - 0.9% | |||
American Airlines Group, Inc. | 440 | 22,216 | |
Delta Air Lines, Inc. | 2,260 | 119,599 | |
JetBlue Airways Corp. (a) | 270 | 5,797 | |
Southwest Airlines Co. | 540 | 32,762 | |
United Continental Holdings, Inc. (a) | 700 | 44,324 | |
224,698 | |||
Building Products - 0.2% | |||
Johnson Controls International PLC | 1,099 | 41,366 | |
Owens Corning | 100 | 8,835 | |
USG Corp. (a) | 130 | 4,941 | |
55,142 | |||
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 600 | 42,660 | |
LSC Communications, Inc. | 187 | 3,059 | |
R.R. Donnelley & Sons Co. | 500 | 4,695 | |
50,414 | |||
Construction & Engineering - 0.1% | |||
Fluor Corp. | 400 | 19,364 | |
Jacobs Engineering Group, Inc. | 110 | 7,219 | |
26,583 | |||
Electrical Equipment - 0.1% | |||
Eaton Corp. PLC | 400 | 31,112 | |
Hubbell, Inc. Class B | 40 | 5,032 | |
36,144 | |||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 50 | 5,749 | |
Honeywell International, Inc. | 680 | 106,053 | |
111,802 | |||
Machinery - 1.2% | |||
AGCO Corp. | 570 | 40,345 | |
Allison Transmission Holdings, Inc. | 120 | 4,925 | |
Cummins, Inc. | 150 | 25,110 | |
Ingersoll-Rand PLC | 210 | 18,400 | |
Oshkosh Corp. | 1,400 | 126,056 | |
PACCAR, Inc. | 310 | 21,802 | |
Pentair PLC | 140 | 9,962 | |
Snap-On, Inc. | 50 | 8,472 | |
Timken Co. | 200 | 9,980 | |
Trinity Industries, Inc. | 1,260 | 44,919 | |
309,971 | |||
Professional Services - 0.0% | |||
Manpower, Inc. | 60 | 7,734 | |
Robert Half International, Inc. | 110 | 6,274 | |
14,008 | |||
Road & Rail - 0.6% | |||
AMERCO | 20 | 7,413 | |
Norfolk Southern Corp. | 170 | 23,567 | |
Ryder System, Inc. | 400 | 32,992 | |
Union Pacific Corp. | 680 | 86,020 | |
149,992 | |||
Trading Companies & Distributors - 0.2% | |||
Aircastle Ltd. | 1,400 | 34,300 | |
United Rentals, Inc. (a) | 80 | 12,758 | |
47,058 | |||
TOTAL INDUSTRIALS | 1,583,326 | ||
INFORMATION TECHNOLOGY - 12.0% | |||
Communications Equipment - 1.4% | |||
Arris International PLC (a) | 90 | 2,697 | |
Cisco Systems, Inc. | 8,750 | 326,375 | |
Juniper Networks, Inc. | 340 | 9,438 | |
Motorola Solutions, Inc. | 150 | 14,117 | |
352,627 | |||
Electronic Equipment & Components - 1.3% | |||
Arrow Electronics, Inc. (a) | 580 | 46,823 | |
CDW Corp. | 140 | 9,801 | |
Corning, Inc. | 2,980 | 96,522 | |
Dell Technologies, Inc. (a) | 278 | 21,751 | |
Flextronics International Ltd. (a) | 2,300 | 41,561 | |
Jabil, Inc. | 150 | 4,328 | |
SYNNEX Corp. | 20 | 2,724 | |
TE Connectivity Ltd. | 400 | 37,776 | |
Tech Data Corp. (a) | 400 | 38,680 | |
Vishay Intertechnology, Inc. | 1,300 | 28,470 | |
328,436 | |||
IT Services - 1.3% | |||
Alliance Data Systems Corp. | 40 | 9,571 | |
Booz Allen Hamilton Holding Corp. Class A | 90 | 3,482 | |
CSRA, Inc. | 100 | 2,893 | |
DXC Technology Co. | 163 | 15,671 | |
IBM Corp. | 1,230 | 189,383 | |
PayPal Holdings, Inc. (a) | 1,470 | 111,323 | |
The Western Union Co. | 420 | 8,270 | |
340,593 | |||
Semiconductors & Semiconductor Equipment - 3.1% | |||
Applied Materials, Inc. | 1,590 | 83,904 | |
Cirrus Logic, Inc. (a) | 600 | 33,144 | |
Intel Corp. | 9,290 | 416,564 | |
KLA-Tencor Corp. | 130 | 13,291 | |
Lam Research Corp. | 400 | 76,932 | |
Marvell Technology Group Ltd. | 450 | 10,053 | |
Microchip Technology, Inc. | 1,505 | 130,920 | |
Qorvo, Inc. (a) | 110 | 8,424 | |
Skyworks Solutions, Inc. | 160 | 16,758 | |
Teradyne, Inc. | 130 | 5,261 | |
795,251 | |||
Software - 2.4% | |||
Adobe Systems, Inc. (a) | 1,030 | 186,914 | |
ANSYS, Inc. (a) | 750 | 111,143 | |
CA Technologies, Inc. | 360 | 11,905 | |
Microsoft Corp. | 1,710 | 143,931 | |
Oracle Corp. | 3,670 | 180,050 | |
633,943 | |||
Technology Hardware, Storage & Peripherals - 2.5% | |||
Apple, Inc. | 2,280 | 391,818 | |
Hewlett Packard Enterprise Co. | 1,900 | 26,505 | |
HP, Inc. | 3,810 | 81,725 | |
NCR Corp. (a) | 1,400 | 43,806 | |
NetApp, Inc. | 170 | 9,607 | |
Seagate Technology LLC | 900 | 34,704 | |
Western Digital Corp. | 500 | 39,430 | |
Xerox Corp. | 1,177 | 34,910 | |
662,505 | |||
TOTAL INFORMATION TECHNOLOGY | 3,113,355 | ||
MATERIALS - 3.4% | |||
Chemicals - 2.2% | |||
Ashland Global Holdings, Inc. | 50 | 3,699 | |
Celanese Corp. Class A | 420 | 45,041 | |
CF Industries Holdings, Inc. | 210 | 7,869 | |
DowDuPont, Inc. | 1,475 | 106,141 | |
Eastman Chemical Co. | 730 | 67,430 | |
Huntsman Corp. | 1,710 | 54,652 | |
LyondellBasell Industries NV Class A | 1,120 | 117,264 | |
PPG Industries, Inc. | 1,214 | 141,856 | |
RPM International, Inc. | 110 | 5,827 | |
Westlake Chemical Corp. | 110 | 10,772 | |
560,551 | |||
Construction Materials - 0.4% | |||
Martin Marietta Materials, Inc. | 520 | 108,363 | |
Containers & Packaging - 0.5% | |||
Crown Holdings, Inc. (a) | 120 | 7,168 | |
International Paper Co. | 1,170 | 66,234 | |
Packaging Corp. of America | 480 | 56,928 | |
Sonoco Products Co. | 90 | 4,816 | |
WestRock Co. | 111 | 6,928 | |
142,074 | |||
Metals & Mining - 0.2% | |||
Newmont Mining Corp. | 320 | 11,837 | |
Nucor Corp. | 280 | 16,100 | |
Reliance Steel & Aluminum Co. | 60 | 4,717 | |
Steel Dynamics, Inc. | 220 | 8,470 | |
41,124 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 500 | 24,110 | |
TOTAL MATERIALS | 876,222 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Hospitality Properties Trust (SBI) | 1,100 | 32,989 | |
Mack-Cali Realty Corp. | 1,000 | 22,130 | |
Medical Properties Trust, Inc. | 1,100 | 15,059 | |
VEREIT, Inc. | 5,100 | 39,780 | |
109,958 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. | 40 | 6,100 | |
TOTAL REAL ESTATE | 116,058 | ||
TELECOMMUNICATION SERVICES - 1.5% | |||
Diversified Telecommunication Services - 1.5% | |||
AT&T, Inc. | 3,300 | 120,054 | |
Verizon Communications, Inc. | 5,400 | 274,806 | |
394,860 | |||
UTILITIES - 2.7% | |||
Electric Utilities - 1.6% | |||
American Electric Power Co., Inc. | 440 | 34,157 | |
Duke Energy Corp. | 520 | 46,374 | |
Edison International | 290 | 23,568 | |
Entergy Corp. | 1,060 | 91,669 | |
Eversource Energy | 280 | 18,158 | |
Exelon Corp. | 1,900 | 79,249 | |
FirstEnergy Corp. | 2,000 | 68,280 | |
OGE Energy Corp. | 180 | 6,437 | |
Pinnacle West Capital Corp. | 100 | 9,181 | |
Westar Energy, Inc. | 120 | 6,865 | |
Xcel Energy, Inc. | 420 | 21,676 | |
405,614 | |||
Gas Utilities - 0.4% | |||
National Fuel Gas Co. | 1,542 | 90,670 | |
UGI Corp. | 20 | 980 | |
91,650 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp. | 5,040 | 53,323 | |
Multi-Utilities - 0.5% | |||
Ameren Corp. | 220 | 14,071 | |
DTE Energy Co. | 160 | 18,491 | |
Public Service Enterprise Group, Inc. | 2,050 | 108,773 | |
141,335 | |||
TOTAL UTILITIES | 691,922 | ||
TOTAL COMMON STOCKS | |||
(Cost $13,369,578) | 20,044,803 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.7% | |||
U.S. Treasury Bills, yield at date of purchase 1.07% to 1.26% 1/18/18 to 3/1/18 (b) | |||
(Cost $179,540) | $180,000 | 179,537 | |
Shares | Value | ||
Money Market Funds - 21.9% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (c) | 10 | 10 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.72% (c) | 5,681,321 | 5,681,321 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $5,681,331) | 5,681,331 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $19,230,449) | 25,905,671 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 52,015 | ||
NET ASSETS - 100% | $25,957,686 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Value Index Contracts (United States) | 90 | Dec. 2017 | $5,435,100 | $136,081 | $136,081 |
The notional amount of futures purchased as a percentage of Net Assets is 20.9%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $2,501,842
Legend
(a) Non-income producing
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $179,537.
(c) The rate quoted is the annualized seven-day yield of the fund at period end.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $2,107,281 | $2,107,281 | $-- | $-- |
Consumer Staples | 1,413,446 | 1,413,446 | -- | -- |
Energy | 1,147,774 | 1,147,774 | -- | -- |
Financials | 5,569,940 | 5,569,940 | -- | -- |
Health Care | 3,030,619 | 3,030,619 | -- | -- |
Industrials | 1,583,326 | 1,583,326 | -- | -- |
Information Technology | 3,113,355 | 3,113,355 | -- | -- |
Materials | 876,222 | 876,222 | -- | -- |
Real Estate | 116,058 | 116,058 | -- | -- |
Telecommunication Services | 394,860 | 394,860 | -- | -- |
Utilities | 691,922 | 691,922 | -- | -- |
Other Short-Term Investments | 179,537 | -- | 179,537 | -- |
Money Market Funds | 5,681,331 | 5,681,331 | -- | -- |
Total Investments in Securities: | $25,905,671 | $25,726,134 | $179,537 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $136,081 | $136,081 | $-- | $-- |
Total Assets | $136,081 | $136,081 | $-- | $-- |
Total Derivative Instruments: | $136,081 | $136,081 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $136,081 | $0 |
Total Equity Risk | 136,081 | 0 |
Total Value of Derivatives | $136,081 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $19,230,449) | $25,905,671 | |
Cash | 12 | |
Receivable for investments sold | 290,327 | |
Receivable for fund shares sold | 20,099 | |
Dividends receivable | 59,530 | |
Interest receivable | 1,429 | |
Receivable for daily variation margin on futures contracts | 34,650 | |
Prepaid expenses | 38 | |
Receivable from investment adviser for expense reductions | 2,723 | |
Other receivables | 359 | |
Total assets | 26,314,838 | |
Liabilities | ||
Payable for investments purchased | $319,354 | |
Payable for fund shares redeemed | 3,071 | |
Accrued management fee | 10,282 | |
Audit fee payable | 18,396 | |
Distribution and service plan fees payable | 28 | |
Other affiliated payables | 3,064 | |
Other payables and accrued expenses | 2,957 | |
Total liabilities | 357,152 | |
Net Assets | $25,957,686 | |
Net Assets consist of: | ||
Paid in capital | $18,186,539 | |
Undistributed net investment income | 142,123 | |
Accumulated undistributed net realized gain (loss) on investments | 817,721 | |
Net unrealized appreciation (depreciation) on investments | 6,811,303 | |
Net Assets | $25,957,686 | |
Value Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($20,776,000 ÷ 1,255,729 shares) | $16.54 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,901,219 ÷ 294,465 shares) | $16.64 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($140,938 ÷ 8,519 shares) | $16.54 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($139,529 ÷ 8,446 shares) | $16.52 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $232,908 | |
Interest | 10,698 | |
Total income | 243,606 | |
Expenses | ||
Management fee | $57,253 | |
Transfer agent fees | 12,576 | |
Distribution and service plan fees | 163 | |
Accounting fees and expenses | 4,450 | |
Custodian fees and expenses | 6,792 | |
Independent trustees' fees and expenses | 143 | |
Registration fees | 43,944 | |
Audit | 30,871 | |
Legal | 796 | |
Miscellaneous | 263 | |
Total expenses before reductions | 157,251 | |
Expense reductions | (56,036) | 101,215 |
Net investment income (loss) | 142,391 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 865,108 | |
Futures contracts | (730) | |
Total net realized gain (loss) | 864,378 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,657,897 | |
Futures contracts | 138,179 | |
Total change in net unrealized appreciation (depreciation) | 1,796,076 | |
Net gain (loss) | 2,660,454 | |
Net increase (decrease) in net assets resulting from operations | $2,802,845 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $142,391 | $253,827 |
Net realized gain (loss) | 864,378 | 500,094 |
Change in net unrealized appreciation (depreciation) | 1,796,076 | 1,781,179 |
Net increase (decrease) in net assets resulting from operations | 2,802,845 | 2,535,100 |
Distributions to shareholders from net investment income | (117,245) | (244,137) |
Distributions to shareholders from net realized gain | (228,220) | (752,307) |
Total distributions | (345,465) | (996,444) |
Share transactions - net increase (decrease) | 4,142,409 | 2,308,537 |
Total increase (decrease) in net assets | 6,599,789 | 3,847,193 |
Net Assets | ||
Beginning of period | 19,357,897 | 15,510,704 |
End of period | $25,957,686 | $19,357,897 |
Other Information | ||
Undistributed net investment income end of period | $142,123 | $116,977 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 | $10.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .10 | .21 | .18 | .16 | .14 | .17 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 2.37 | 2.92 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 2.51 | 3.09 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.16) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.26) |
Total distributions | (.27) | (.87) | (.73) | (1.49)B | (.90)C | (.42) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 19.66% | 29.71% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.40%G | 1.43% | 1.32% | 1.25% | 1.32% | 1.30% |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97% | .97% |
Net investment income (loss) | 1.23%G | 1.45% | 1.30% | 1.08% | .97% | 1.43% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $20,776 | $15,006 | $12,405 | $17,235 | $17,565 | $15,774 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% | 30% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
C Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 | $11.91 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .10 | .22 | .19 | .17 | .15 | .08 |
Net realized and unrealized gain (loss) | 1.81 | 1.96 | (.64) | 1.23 | 2.38 | 1.62 |
Total from investment operations | 1.91 | 2.18 | (.45) | 1.40 | 2.53 | 1.70 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.10) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.18) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.90)D | (.28) |
Net asset value, end of period | $16.64 | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 |
Total ReturnE,F | 12.87% | 16.54% | (2.97)% | 9.83% | 19.81% | 14.61% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 1.26%H | 1.29% | 1.19% | 1.11% | 1.26% | .98%H |
Expenses net of fee waivers, if any | .81%H | .80% | .87% | .87% | .87% | .87%H |
Expenses net of all reductions | .81%H | .80% | .87% | .87% | .87% | .87%H |
Net investment income (loss) | 1.32%H | 1.55% | 1.40% | 1.18% | 1.07% | 1.40%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,901 | $4,103 | $2,871 | $2,717 | $1,535 | $287 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% | 30% |
A For the period December 18, 2012 (commencement of operations) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .09 | .20 | .17 | .16 | .08 |
Net realized and unrealized gain (loss) | 1.80 | 1.96 | (.64) | 1.23 | 1.38 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 1.46 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.08) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.56) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 10.65% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.36%G | 1.40% | 1.28% | 1.22% | 1.37%G |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97%G |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97%G |
Net investment income (loss) | 1.22%G | 1.45% | 1.29% | 1.08% | .97%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $141 | $125 | $118 | $121 | $111 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.90 | $13.61 | $14.81 | $14.92 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .08 | .17 | .14 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 1.38 |
Total from investment operations | 1.87 | 2.12 | (.51) | 1.35 | 1.44 |
Distributions from net investment income | (.08) | (.18) | (.12) | (.11) | (.07) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.25)C | (.83)D | (.69) | (1.46) | (.55) |
Net asset value, end of period | $16.52 | $14.90 | $13.61 | $14.81 | $14.92 |
Total ReturnE,F | 12.71% | 16.20% | (3.37)% | 9.44% | 10.54% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.60%H | 1.65% | 1.53% | 1.47% | 1.63%H |
Expenses net of fee waivers, if any | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Expenses net of all reductions | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Net investment income (loss) | .98%H | 1.20% | 1.05% | .83% | .72%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $140 | $124 | $117 | $121 | $111 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.25 per share is comprised of distributions from net investment income of $.075 and distributions from net realized gain of $.175 per share.
D Total distributions of $.83 per share is comprised of distributions from net investment income of $.177 and distributions from net realized gain of $.656 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies (PFIC), market discount, deferred trustees compensation and losses deferred due to wash sales.
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 | $7,027,660 |
Gross unrealized depreciation | (255,437) |
Net unrealized appreciation (depreciation) | $6,772,223 |
Tax cost | $19,269,529 |
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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $4,629,876 and $5,416,056, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.
Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC and LSV Asset Management each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc. and Boston Partners Global Investors, Inc. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $163 | $163 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Value Multi-Manager | $12,455 | .14 |
Class L | 61 | .09 |
Class N | 60 | .09 |
$12,576 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $31 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Value Multi-Manager | .90% | $45,720 |
Class F | .81% | 9,724 |
Class L | .90% | 297 |
Class N | 1.15% | 295 |
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Value Multi-Manager | $91,851 | $194,063 |
Class F | 24,018 | 46,819 |
Class L | 753 | 1,778 |
Class N | 623 | 1,477 |
Total | $117,245 | $244,137 |
From net realized gain | ||
Value Multi-Manager | $178,599 | $598,867 |
Class F | 46,702 | 142,347 |
Class L | 1,465 | 5,562 |
Class N | 1,454 | 5,531 |
Total | $228,220 | $752,307 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Value Multi-Manager | ||||
Shares sold | 344,164 | 265,404 | $5,295,199 | $3,823,547 |
Reinvestment of distributions | 17,946 | 57,522 | 270,450 | 792,930 |
Shares redeemed | (112,100) | (227,430) | (1,757,338) | (3,210,201) |
Net increase (decrease) | 250,010 | 95,496 | $3,808,311 | $1,406,276 |
Class F | ||||
Shares sold | 74,753 | 124,570 | $1,174,755 | $1,790,750 |
Reinvestment of distributions | 4,665 | 13,639 | 70,720 | 189,166 |
Shares redeemed | (58,444) | (74,488) | (915,672) | (1,070,861) |
Net increase (decrease) | 20,974 | 63,721 | $329,803 | $909,055 |
Class L | ||||
Reinvestment of distributions | 147 | 533 | 2,218 | 7,340 |
Shares redeemed | – | (795) | – | (10,607) |
Net increase (decrease) | 147 | (262) | $2,218 | $(3,267) |
Class N | ||||
Reinvestment of distributions | 138 | 510 | 2,077 | 7,008 |
Shares redeemed | – | (790) | – | (10,535) |
Net increase (decrease) | 138 | (280) | $2,077 | $(3,527) |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 40% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Value Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,128.70 | $4.32 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,127.10 | $6.13 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Value Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management, LLC, FIAM LLC, and LSV Asset Management (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Value Multi-Manager Fund
Strategic Advisers Value Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement with LSV Asset Management (LSV) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to LSV, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the existing sub-advisory agreement, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered the sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding the sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to LSV on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV as assets allocated to the sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. 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 Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
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Boston, MA 02210
www.fidelity.com
MMV-SANN-0118
1.931578.106
Strategic Advisers® Value Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 (plan participants) or 1-877-208-0098 (Advisors and Investment Professionals) to request a free copy of the proxy voting guidelines.
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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. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
JPMorgan Chase & Co. | 2.5 | 2.9 |
Johnson & Johnson | 1.7 | 2.7 |
Citigroup, Inc. | 1.7 | 1.8 |
Intel Corp. | 1.6 | 1.6 |
Apple, Inc. | 1.5 | 2.1 |
Pfizer, Inc. | 1.5 | 2.0 |
Wal-Mart Stores, Inc. | 1.4 | 1.5 |
AbbVie, Inc. | 1.3 | 1.3 |
Amgen, Inc. | 1.3 | 1.4 |
Cisco Systems, Inc. | 1.3 | 1.5 |
15.8 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Financials | 21.5 | 26.6 |
Information Technology | 12.0 | 15.5 |
Health Care | 11.7 | 14.9 |
Consumer Discretionary | 8.1 | 8.7 |
Industrials | 6.1 | 7.9 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 77.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 22.8% |
As of May 31, 2017 | ||
Common Stocks | 94.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 77.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 8.1% | |||
Auto Components - 1.0% | |||
BorgWarner, Inc. | 1,590 | $88,531 | |
Delphi Automotive PLC | 240 | 25,121 | |
Gentex Corp. | 260 | 5,325 | |
Lear Corp. | 460 | 83,209 | |
The Goodyear Tire & Rubber Co. | 1,920 | 62,150 | |
264,336 | |||
Automobiles - 1.1% | |||
Ford Motor Co. | 7,450 | 93,274 | |
General Motors Co. | 3,540 | 152,539 | |
Harley-Davidson, Inc. | 900 | 45,180 | |
Thor Industries, Inc. | 50 | 7,678 | |
298,671 | |||
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 180 | 4,712 | |
Hotels, Restaurants & Leisure - 0.6% | |||
Brinker International, Inc. | 400 | 14,692 | |
Carnival Corp. | 480 | 31,507 | |
Hyatt Hotels Corp. Class A (a) | 30 | 2,171 | |
Norwegian Cruise Line Holdings Ltd. (a)�� | 200 | 10,832 | |
Royal Caribbean Cruises Ltd. | 190 | 23,537 | |
Wyndham Worldwide Corp. | 590 | 66,310 | |
149,049 | |||
Household Durables - 1.1% | |||
Garmin Ltd. | 170 | 10,554 | |
Leggett & Platt, Inc. | 110 | 5,306 | |
Lennar Corp.: | |||
Class A | 1,945 | 122,107 | |
Class B | 38 | 1,950 | |
Mohawk Industries, Inc. (a) | 70 | 19,783 | |
NVR, Inc. (a) | 4 | 13,900 | |
PulteGroup, Inc. | 280 | 9,556 | |
Toll Brothers, Inc. | 150 | 7,550 | |
Whirlpool Corp. | 560 | 94,399 | |
285,105 | |||
Leisure Products - 0.1% | |||
Brunswick Corp. | 80 | 4,428 | |
Hasbro, Inc. | 110 | 10,232 | |
14,660 | |||
Media - 1.9% | |||
Comcast Corp. Class A | 4,000 | 150,160 | |
Gannett Co., Inc. | 600 | 6,876 | |
News Corp. Class A | 340 | 5,494 | |
Tegna, Inc. | 1,200 | 15,936 | |
The Madison Square Garden Co. (a) | 20 | 4,333 | |
The Walt Disney Co. | 1,390 | 145,700 | |
Time Warner, Inc. | 1,060 | 97,001 | |
Twenty-First Century Fox, Inc. Class A | 940 | 30,024 | |
Viacom, Inc. Class B (non-vtg.) | 900 | 25,488 | |
481,012 | |||
Multiline Retail - 0.8% | |||
Dillard's, Inc. Class A | 300 | 18,030 | |
Dollar General Corp. | 240 | 21,139 | |
Kohl's Corp. | 1,640 | 78,671 | |
Macy's, Inc. | 500 | 11,900 | |
Target Corp. | 1,500 | 89,850 | |
219,590 | |||
Specialty Retail - 1.4% | |||
AutoNation, Inc. (a) | 60 | 3,322 | |
Best Buy Co., Inc. | 1,260 | 75,109 | |
CarMax, Inc. (a) | 160 | 11,026 | |
Gap, Inc. | 250 | 8,078 | |
Home Depot, Inc. | 870 | 156,443 | |
L Brands, Inc. | 60 | 3,364 | |
Lowe's Companies, Inc. | 710 | 59,193 | |
Penske Automotive Group, Inc. | 800 | 38,688 | |
Williams-Sonoma, Inc. | 80 | 4,093 | |
359,316 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Carter's, Inc. | 40 | 4,333 | |
Hanesbrands, Inc. | 310 | 6,476 | |
Michael Kors Holdings Ltd. (a) | 100 | 5,844 | |
PVH Corp. | 70 | 9,419 | |
Ralph Lauren Corp. | 50 | 4,758 | |
30,830 | |||
TOTAL CONSUMER DISCRETIONARY | 2,107,281 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. | 110 | 9,921 | |
The Coca-Cola Co. | 1,640 | 75,063 | |
84,984 | |||
Food & Staples Retailing - 2.8% | |||
CVS Health Corp. | 1,100 | 84,260 | |
Kroger Co. | 5,120 | 132,403 | |
Wal-Mart Stores, Inc. | 3,600 | 350,028 | |
Walgreens Boots Alliance, Inc. | 2,305 | 167,712 | |
734,403 | |||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 2,445 | 97,507 | |
Campbell Soup Co. | 900 | 44,370 | |
Ingredion, Inc. | 360 | 49,853 | |
Mondelez International, Inc. | 1,815 | 77,936 | |
Pilgrim's Pride Corp. (a) | 1,920 | 70,406 | |
The J.M. Smucker Co. | 400 | 46,668 | |
Tyson Foods, Inc. Class A | 890 | 73,203 | |
459,943 | |||
Household Products - 0.1% | |||
Kimberly-Clark Corp. | 210 | 25,150 | |
Personal Products - 0.4% | |||
Herbalife Ltd. (a) | 80 | 5,611 | |
Unilever NV (NY Reg.) | 1,790 | 103,355 | |
108,966 | |||
TOTAL CONSUMER STAPLES | 1,413,446 | ||
ENERGY - 4.4% | |||
Energy Equipment & Services - 0.2% | |||
Halliburton Co. | 1,495 | 62,461 | |
Parker Drilling Co. (a) | 2,100 | 2,058 | |
64,519 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Chevron Corp. | 2,390 | 284,386 | |
ConocoPhillips Co. | 1,100 | 55,968 | |
Energen Corp. (a) | 80 | 4,517 | |
EQT Corp. | 1,065 | 63,474 | |
Exxon Mobil Corp. | 1,300 | 108,277 | |
HollyFrontier Corp. | 150 | 6,672 | |
Marathon Petroleum Corp. | 1,270 | 79,540 | |
Murphy Oil Corp. | 1,200 | 33,540 | |
PBF Energy, Inc. Class A | 1,300 | 42,081 | |
Phillips 66 Co. | 1,850 | 180,486 | |
Pioneer Natural Resources Co. | 395 | 61,636 | |
Valero Energy Corp. | 1,900 | 162,678 | |
1,083,255 | |||
TOTAL ENERGY | 1,147,774 | ||
FINANCIALS - 21.5% | |||
Banks - 10.9% | |||
Banco Bilbao Vizcaya Argentaria SA sponsored ADR | 12,528 | 107,240 | |
Bank of America Corp. | 10,300 | 290,151 | |
BB&T Corp. | 1,580 | 78,084 | |
BOK Financial Corp. | 685 | 60,965 | |
CIT Group, Inc. | 110 | 5,482 | |
Citigroup, Inc. | 5,750 | 434,125 | |
Citizens Financial Group, Inc. | 1,850 | 75,295 | |
Comerica, Inc. | 140 | 11,663 | |
Commerce Bancshares, Inc. | 85 | 4,813 | |
Cullen/Frost Bankers, Inc. | 650 | 63,967 | |
East West Bancorp, Inc. | 1,056 | 64,986 | |
Fifth Third Bancorp | 2,270 | 69,258 | |
First Republic Bank | 202 | 19,299 | |
Investors Bancorp, Inc. | 270 | 3,853 | |
JPMorgan Chase & Co. | 6,140 | 641,746 | |
KeyCorp | 2,820 | 53,524 | |
M&T Bank Corp. | 140 | 23,653 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 9,640 | 68,733 | |
PNC Financial Services Group, Inc. | 930 | 130,721 | |
Prosperity Bancshares, Inc. | 60 | 4,202 | |
Regions Financial Corp. | 7,770 | 128,904 | |
SunTrust Banks, Inc. | 1,830 | 112,783 | |
Synovus Financial Corp. | 110 | 5,459 | |
U.S. Bancorp | 1,500 | 82,725 | |
Wells Fargo & Co. | 5,050 | 285,174 | |
Western Alliance Bancorp. (a) | 70 | 4,073 | |
Zions Bancorporation | 180 | 8,919 | |
2,839,797 | |||
Capital Markets - 3.3% | |||
Ameriprise Financial, Inc. | 1,665 | 271,778 | |
Bank of New York Mellon Corp. | 930 | 50,908 | |
Brighthouse Financial, Inc. | 118 | 6,937 | |
E*TRADE Financial Corp. (a) | 240 | 11,554 | |
Franklin Resources, Inc. | 500 | 21,675 | |
Goldman Sachs Group, Inc. | 550 | 136,202 | |
Invesco Ltd. | 360 | 13,021 | |
Lazard Ltd. Class A | 110 | 5,418 | |
Legg Mason, Inc. | 1,300 | 51,948 | |
Morgan Stanley | 2,950 | 152,250 | |
Northern Trust Corp. | 180 | 17,600 | |
Raymond James Financial, Inc. | 110 | 9,713 | |
State Street Corp. | 740 | 70,559 | |
T. Rowe Price Group, Inc. | 210 | 21,613 | |
The NASDAQ OMX Group, Inc. | 120 | 9,499 | |
850,675 | |||
Consumer Finance - 1.8% | |||
Ally Financial, Inc. | 410 | 11,013 | |
American Express Co. | 800 | 78,168 | |
Capital One Financial Corp. | 2,285 | 210,220 | |
Credit Acceptance Corp. (a) | 10 | 3,029 | |
Discover Financial Services | 1,560 | 110,136 | |
Navient Corp. | 1,100 | 13,871 | |
Santander Consumer U.S.A. Holdings, Inc. | 310 | 5,344 | |
Synchrony Financial | 723 | 25,948 | |
457,729 | |||
Diversified Financial Services - 0.1% | |||
Donnelley Financial Solutions, Inc. (a) | 187 | 3,815 | |
Leucadia National Corp. | 320 | 8,419 | |
Voya Financial, Inc. | 170 | 7,514 | |
19,748 | |||
Insurance - 5.0% | |||
AFLAC, Inc. | 860 | 75,370 | |
Alleghany Corp. (a) | 20 | 11,696 | |
Allstate Corp. | 840 | 86,234 | |
American Financial Group, Inc. | 560 | 58,834 | |
American International Group, Inc. | 1,100 | 65,956 | |
Assurant, Inc. | 460 | 46,400 | |
Assured Guaranty Ltd. | 110 | 3,994 | |
Axis Capital Holdings Ltd. | 600 | 31,434 | |
Chubb Ltd. | 1,045 | 158,955 | |
Cincinnati Financial Corp. | 140 | 10,462 | |
Everest Re Group Ltd. | 240 | 52,704 | |
FNF Group | 220 | 8,901 | |
Hartford Financial Services Group, Inc. | 1,230 | 70,651 | |
Lincoln National Corp. | 1,290 | 98,750 | |
Loews Corp. | 300 | 15,084 | |
Markel Corp. (a) | 10 | 11,069 | |
MetLife, Inc. | 1,760 | 94,477 | |
Old Republic International Corp. | 230 | 4,823 | |
Principal Financial Group, Inc. | 260 | 18,405 | |
Prudential Financial, Inc. | 1,080 | 125,107 | |
Reinsurance Group of America, Inc. | 60 | 9,723 | |
RenaissanceRe Holdings Ltd. | 40 | 5,306 | |
The Travelers Companies, Inc. | 870 | 117,946 | |
Torchmark Corp. | 270 | 23,990 | |
Unum Group | 1,000 | 56,620 | |
W.R. Berkley Corp. | 110 | 7,603 | |
Willis Group Holdings PLC | 110 | 17,688 | |
XL Group Ltd. | 230 | 8,929 | |
1,297,111 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
Annaly Capital Management, Inc. | 5,300 | 61,851 | |
Thrifts & Mortgage Finance - 0.2% | |||
Radian Group, Inc. | 2,100 | 43,029 | |
TOTAL FINANCIALS | 5,569,940 | ||
HEALTH CARE - 11.7% | |||
Biotechnology - 3.4% | |||
AbbVie, Inc. | 3,525 | 341,643 | |
Amgen, Inc. | 1,895 | 332,876 | |
Biogen, Inc. (a) | 190 | 61,212 | |
Gilead Sciences, Inc. | 1,770 | 132,361 | |
868,092 | |||
Health Care Equipment & Supplies - 1.2% | |||
Baxter International, Inc. | 1,404 | 92,004 | |
Danaher Corp. | 1,289 | 121,630 | |
Medtronic PLC | 1,280 | 105,126 | |
318,760 | |||
Health Care Providers & Services - 3.0% | |||
Acadia Healthcare Co., Inc. (a) | 1,883 | 59,936 | |
Aetna, Inc. | 800 | 144,144 | |
Anthem, Inc. | 620 | 145,675 | |
Cardinal Health, Inc. | 400 | 23,676 | |
Cigna Corp. | 430 | 91,044 | |
DaVita HealthCare Partners, Inc. (a) | 170 | 10,380 | |
Express Scripts Holding Co. (a) | 800 | 52,144 | |
HCA Holdings, Inc. (a) | 1,130 | 96,050 | |
Laboratory Corp. of America Holdings (a) | 90 | 14,244 | |
LifePoint Hospitals, Inc. (a) | 800 | 38,240 | |
McKesson Corp. | 480 | 70,915 | |
Quest Diagnostics, Inc. | 320 | 31,507 | |
777,955 | |||
Pharmaceuticals - 4.1% | |||
Bristol-Myers Squibb Co. | 230 | 14,534 | |
Johnson & Johnson | 3,200 | 445,856 | |
Mallinckrodt PLC (a) | 1,200 | 26,184 | |
Merck & Co., Inc. | 1,650 | 91,196 | |
Novartis AG sponsored ADR | 1,040 | 89,232 | |
Perrigo Co. PLC | 120 | 10,465 | |
Pfizer, Inc. | 10,710 | 388,345 | |
1,065,812 | |||
TOTAL HEALTH CARE | 3,030,619 | ||
INDUSTRIALS - 6.1% | |||
Aerospace & Defense - 1.7% | |||
General Dynamics Corp. | 835 | 172,979 | |
Huntington Ingalls Industries, Inc. | 40 | 9,667 | |
L3 Technologies, Inc. | 70 | 13,901 | |
Spirit AeroSystems Holdings, Inc. Class A | 810 | 68,243 | |
Textron, Inc. | 240 | 13,370 | |
The Boeing Co. | 160 | 44,288 | |
Triumph Group, Inc. | 700 | 21,630 | |
United Technologies Corp. | 710 | 86,230 | |
430,308 | |||
Air Freight & Logistics - 0.5% | |||
FedEx Corp. | 240 | 55,550 | |
United Parcel Service, Inc. Class B | 590 | 71,656 | |
127,206 | |||
Airlines - 0.9% | |||
American Airlines Group, Inc. | 440 | 22,216 | |
Delta Air Lines, Inc. | 2,260 | 119,599 | |
JetBlue Airways Corp. (a) | 270 | 5,797 | |
Southwest Airlines Co. | 540 | 32,762 | |
United Continental Holdings, Inc. (a) | 700 | 44,324 | |
224,698 | |||
Building Products - 0.2% | |||
Johnson Controls International PLC | 1,099 | 41,366 | |
Owens Corning | 100 | 8,835 | |
USG Corp. (a) | 130 | 4,941 | |
55,142 | |||
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 600 | 42,660 | |
LSC Communications, Inc. | 187 | 3,059 | |
R.R. Donnelley & Sons Co. | 500 | 4,695 | |
50,414 | |||
Construction & Engineering - 0.1% | |||
Fluor Corp. | 400 | 19,364 | |
Jacobs Engineering Group, Inc. | 110 | 7,219 | |
26,583 | |||
Electrical Equipment - 0.1% | |||
Eaton Corp. PLC | 400 | 31,112 | |
Hubbell, Inc. Class B | 40 | 5,032 | |
36,144 | |||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 50 | 5,749 | |
Honeywell International, Inc. | 680 | 106,053 | |
111,802 | |||
Machinery - 1.2% | |||
AGCO Corp. | 570 | 40,345 | |
Allison Transmission Holdings, Inc. | 120 | 4,925 | |
Cummins, Inc. | 150 | 25,110 | |
Ingersoll-Rand PLC | 210 | 18,400 | |
Oshkosh Corp. | 1,400 | 126,056 | |
PACCAR, Inc. | 310 | 21,802 | |
Pentair PLC | 140 | 9,962 | |
Snap-On, Inc. | 50 | 8,472 | |
Timken Co. | 200 | 9,980 | |
Trinity Industries, Inc. | 1,260 | 44,919 | |
309,971 | |||
Professional Services - 0.0% | |||
Manpower, Inc. | 60 | 7,734 | |
Robert Half International, Inc. | 110 | 6,274 | |
14,008 | |||
Road & Rail - 0.6% | |||
AMERCO | 20 | 7,413 | |
Norfolk Southern Corp. | 170 | 23,567 | |
Ryder System, Inc. | 400 | 32,992 | |
Union Pacific Corp. | 680 | 86,020 | |
149,992 | |||
Trading Companies & Distributors - 0.2% | |||
Aircastle Ltd. | 1,400 | 34,300 | |
United Rentals, Inc. (a) | 80 | 12,758 | |
47,058 | |||
TOTAL INDUSTRIALS | 1,583,326 | ||
INFORMATION TECHNOLOGY - 12.0% | |||
Communications Equipment - 1.4% | |||
Arris International PLC (a) | 90 | 2,697 | |
Cisco Systems, Inc. | 8,750 | 326,375 | |
Juniper Networks, Inc. | 340 | 9,438 | |
Motorola Solutions, Inc. | 150 | 14,117 | |
352,627 | |||
Electronic Equipment & Components - 1.3% | |||
Arrow Electronics, Inc. (a) | 580 | 46,823 | |
CDW Corp. | 140 | 9,801 | |
Corning, Inc. | 2,980 | 96,522 | |
Dell Technologies, Inc. (a) | 278 | 21,751 | |
Flextronics International Ltd. (a) | 2,300 | 41,561 | |
Jabil, Inc. | 150 | 4,328 | |
SYNNEX Corp. | 20 | 2,724 | |
TE Connectivity Ltd. | 400 | 37,776 | |
Tech Data Corp. (a) | 400 | 38,680 | |
Vishay Intertechnology, Inc. | 1,300 | 28,470 | |
328,436 | |||
IT Services - 1.3% | |||
Alliance Data Systems Corp. | 40 | 9,571 | |
Booz Allen Hamilton Holding Corp. Class A | 90 | 3,482 | |
CSRA, Inc. | 100 | 2,893 | |
DXC Technology Co. | 163 | 15,671 | |
IBM Corp. | 1,230 | 189,383 | |
PayPal Holdings, Inc. (a) | 1,470 | 111,323 | |
The Western Union Co. | 420 | 8,270 | |
340,593 | |||
Semiconductors & Semiconductor Equipment - 3.1% | |||
Applied Materials, Inc. | 1,590 | 83,904 | |
Cirrus Logic, Inc. (a) | 600 | 33,144 | |
Intel Corp. | 9,290 | 416,564 | |
KLA-Tencor Corp. | 130 | 13,291 | |
Lam Research Corp. | 400 | 76,932 | |
Marvell Technology Group Ltd. | 450 | 10,053 | |
Microchip Technology, Inc. | 1,505 | 130,920 | |
Qorvo, Inc. (a) | 110 | 8,424 | |
Skyworks Solutions, Inc. | 160 | 16,758 | |
Teradyne, Inc. | 130 | 5,261 | |
795,251 | |||
Software - 2.4% | |||
Adobe Systems, Inc. (a) | 1,030 | 186,914 | |
ANSYS, Inc. (a) | 750 | 111,143 | |
CA Technologies, Inc. | 360 | 11,905 | |
Microsoft Corp. | 1,710 | 143,931 | |
Oracle Corp. | 3,670 | 180,050 | |
633,943 | |||
Technology Hardware, Storage & Peripherals - 2.5% | |||
Apple, Inc. | 2,280 | 391,818 | |
Hewlett Packard Enterprise Co. | 1,900 | 26,505 | |
HP, Inc. | 3,810 | 81,725 | |
NCR Corp. (a) | 1,400 | 43,806 | |
NetApp, Inc. | 170 | 9,607 | |
Seagate Technology LLC | 900 | 34,704 | |
Western Digital Corp. | 500 | 39,430 | |
Xerox Corp. | 1,177 | 34,910 | |
662,505 | |||
TOTAL INFORMATION TECHNOLOGY | 3,113,355 | ||
MATERIALS - 3.4% | |||
Chemicals - 2.2% | |||
Ashland Global Holdings, Inc. | 50 | 3,699 | |
Celanese Corp. Class A | 420 | 45,041 | |
CF Industries Holdings, Inc. | 210 | 7,869 | |
DowDuPont, Inc. | 1,475 | 106,141 | |
Eastman Chemical Co. | 730 | 67,430 | |
Huntsman Corp. | 1,710 | 54,652 | |
LyondellBasell Industries NV Class A | 1,120 | 117,264 | |
PPG Industries, Inc. | 1,214 | 141,856 | |
RPM International, Inc. | 110 | 5,827 | |
Westlake Chemical Corp. | 110 | 10,772 | |
560,551 | |||
Construction Materials - 0.4% | |||
Martin Marietta Materials, Inc. | 520 | 108,363 | |
Containers & Packaging - 0.5% | |||
Crown Holdings, Inc. (a) | 120 | 7,168 | |
International Paper Co. | 1,170 | 66,234 | |
Packaging Corp. of America | 480 | 56,928 | |
Sonoco Products Co. | 90 | 4,816 | |
WestRock Co. | 111 | 6,928 | |
142,074 | |||
Metals & Mining - 0.2% | |||
Newmont Mining Corp. | 320 | 11,837 | |
Nucor Corp. | 280 | 16,100 | |
Reliance Steel & Aluminum Co. | 60 | 4,717 | |
Steel Dynamics, Inc. | 220 | 8,470 | |
41,124 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 500 | 24,110 | |
TOTAL MATERIALS | 876,222 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Hospitality Properties Trust (SBI) | 1,100 | 32,989 | |
Mack-Cali Realty Corp. | 1,000 | 22,130 | |
Medical Properties Trust, Inc. | 1,100 | 15,059 | |
VEREIT, Inc. | 5,100 | 39,780 | |
109,958 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. | 40 | 6,100 | |
TOTAL REAL ESTATE | 116,058 | ||
TELECOMMUNICATION SERVICES - 1.5% | |||
Diversified Telecommunication Services - 1.5% | |||
AT&T, Inc. | 3,300 | 120,054 | |
Verizon Communications, Inc. | 5,400 | 274,806 | |
394,860 | |||
UTILITIES - 2.7% | |||
Electric Utilities - 1.6% | |||
American Electric Power Co., Inc. | 440 | 34,157 | |
Duke Energy Corp. | 520 | 46,374 | |
Edison International | 290 | 23,568 | |
Entergy Corp. | 1,060 | 91,669 | |
Eversource Energy | 280 | 18,158 | |
Exelon Corp. | 1,900 | 79,249 | |
FirstEnergy Corp. | 2,000 | 68,280 | |
OGE Energy Corp. | 180 | 6,437 | |
Pinnacle West Capital Corp. | 100 | 9,181 | |
Westar Energy, Inc. | 120 | 6,865 | |
Xcel Energy, Inc. | 420 | 21,676 | |
405,614 | |||
Gas Utilities - 0.4% | |||
National Fuel Gas Co. | 1,542 | 90,670 | |
UGI Corp. | 20 | 980 | |
91,650 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp. | 5,040 | 53,323 | |
Multi-Utilities - 0.5% | |||
Ameren Corp. | 220 | 14,071 | |
DTE Energy Co. | 160 | 18,491 | |
Public Service Enterprise Group, Inc. | 2,050 | 108,773 | |
141,335 | |||
TOTAL UTILITIES | 691,922 | ||
TOTAL COMMON STOCKS | |||
(Cost $13,369,578) | 20,044,803 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.7% | |||
U.S. Treasury Bills, yield at date of purchase 1.07% to 1.26% 1/18/18 to 3/1/18 (b) | |||
(Cost $179,540) | $180,000 | 179,537 | |
Shares | Value | ||
Money Market Funds - 21.9% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (c) | 10 | 10 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.72% (c) | 5,681,321 | 5,681,321 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $5,681,331) | 5,681,331 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $19,230,449) | 25,905,671 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 52,015 | ||
NET ASSETS - 100% | $25,957,686 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Value Index Contracts (United States) | 90 | Dec. 2017 | $5,435,100 | $136,081 | $136,081 |
The notional amount of futures purchased as a percentage of Net Assets is 20.9%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $2,501,842
Legend
(a) Non-income producing
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $179,537.
(c) The rate quoted is the annualized seven-day yield of the fund at period end.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $2,107,281 | $2,107,281 | $-- | $-- |
Consumer Staples | 1,413,446 | 1,413,446 | -- | -- |
Energy | 1,147,774 | 1,147,774 | -- | -- |
Financials | 5,569,940 | 5,569,940 | -- | -- |
Health Care | 3,030,619 | 3,030,619 | -- | -- |
Industrials | 1,583,326 | 1,583,326 | -- | -- |
Information Technology | 3,113,355 | 3,113,355 | -- | -- |
Materials | 876,222 | 876,222 | -- | -- |
Real Estate | 116,058 | 116,058 | -- | -- |
Telecommunication Services | 394,860 | 394,860 | -- | -- |
Utilities | 691,922 | 691,922 | -- | -- |
Other Short-Term Investments | 179,537 | -- | 179,537 | -- |
Money Market Funds | 5,681,331 | 5,681,331 | -- | -- |
Total Investments in Securities: | $25,905,671 | $25,726,134 | $179,537 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $136,081 | $136,081 | $-- | $-- |
Total Assets | $136,081 | $136,081 | $-- | $-- |
Total Derivative Instruments: | $136,081 | $136,081 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $136,081 | $0 |
Total Equity Risk | 136,081 | 0 |
Total Value of Derivatives | $136,081 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $19,230,449) | $25,905,671 | |
Cash | 12 | |
Receivable for investments sold | 290,327 | |
Receivable for fund shares sold | 20,099 | |
Dividends receivable | 59,530 | |
Interest receivable | 1,429 | |
Receivable for daily variation margin on futures contracts | 34,650 | |
Prepaid expenses | 38 | |
Receivable from investment adviser for expense reductions | 2,723 | |
Other receivables | 359 | |
Total assets | 26,314,838 | |
Liabilities | ||
Payable for investments purchased | $319,354 | |
Payable for fund shares redeemed | 3,071 | |
Accrued management fee | 10,282 | |
Audit fee payable | 18,396 | |
Distribution and service plan fees payable | 28 | |
Other affiliated payables | 3,064 | |
Other payables and accrued expenses | 2,957 | |
Total liabilities | 357,152 | |
Net Assets | $25,957,686 | |
Net Assets consist of: | ||
Paid in capital | $18,186,539 | |
Undistributed net investment income | 142,123 | |
Accumulated undistributed net realized gain (loss) on investments | 817,721 | |
Net unrealized appreciation (depreciation) on investments | 6,811,303 | |
Net Assets | $25,957,686 | |
Value Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($20,776,000 ÷ 1,255,729 shares) | $16.54 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,901,219 ÷ 294,465 shares) | $16.64 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($140,938 ÷ 8,519 shares) | $16.54 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($139,529 ÷ 8,446 shares) | $16.52 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $232,908 | |
Interest | 10,698 | |
Total income | 243,606 | |
Expenses | ||
Management fee | $57,253 | |
Transfer agent fees | 12,576 | |
Distribution and service plan fees | 163 | |
Accounting fees and expenses | 4,450 | |
Custodian fees and expenses | 6,792 | |
Independent trustees' fees and expenses | 143 | |
Registration fees | 43,944 | |
Audit | 30,871 | |
Legal | 796 | |
Miscellaneous | 263 | |
Total expenses before reductions | 157,251 | |
Expense reductions | (56,036) | 101,215 |
Net investment income (loss) | 142,391 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 865,108 | |
Futures contracts | (730) | |
Total net realized gain (loss) | 864,378 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,657,897 | |
Futures contracts | 138,179 | |
Total change in net unrealized appreciation (depreciation) | 1,796,076 | |
Net gain (loss) | 2,660,454 | |
Net increase (decrease) in net assets resulting from operations | $2,802,845 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $142,391 | $253,827 |
Net realized gain (loss) | 864,378 | 500,094 |
Change in net unrealized appreciation (depreciation) | 1,796,076 | 1,781,179 |
Net increase (decrease) in net assets resulting from operations | 2,802,845 | 2,535,100 |
Distributions to shareholders from net investment income | (117,245) | (244,137) |
Distributions to shareholders from net realized gain | (228,220) | (752,307) |
Total distributions | (345,465) | (996,444) |
Share transactions - net increase (decrease) | 4,142,409 | 2,308,537 |
Total increase (decrease) in net assets | 6,599,789 | 3,847,193 |
Net Assets | ||
Beginning of period | 19,357,897 | 15,510,704 |
End of period | $25,957,686 | $19,357,897 |
Other Information | ||
Undistributed net investment income end of period | $142,123 | $116,977 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 | $10.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .10 | .21 | .18 | .16 | .14 | .17 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 2.37 | 2.92 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 2.51 | 3.09 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.16) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.26) |
Total distributions | (.27) | (.87) | (.73) | (1.49)B | (.90)C | (.42) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 19.66% | 29.71% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.40%G | 1.43% | 1.32% | 1.25% | 1.32% | 1.30% |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97% | .97% |
Net investment income (loss) | 1.23%G | 1.45% | 1.30% | 1.08% | .97% | 1.43% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $20,776 | $15,006 | $12,405 | $17,235 | $17,565 | $15,774 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% | 30% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
C Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 | $11.91 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .10 | .22 | .19 | .17 | .15 | .08 |
Net realized and unrealized gain (loss) | 1.81 | 1.96 | (.64) | 1.23 | 2.38 | 1.62 |
Total from investment operations | 1.91 | 2.18 | (.45) | 1.40 | 2.53 | 1.70 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.10) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.18) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.90)D | (.28) |
Net asset value, end of period | $16.64 | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 |
Total ReturnE,F | 12.87% | 16.54% | (2.97)% | 9.83% | 19.81% | 14.61% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 1.26%H | 1.29% | 1.19% | 1.11% | 1.26% | .98%H |
Expenses net of fee waivers, if any | .81%H | .80% | .87% | .87% | .87% | .87%H |
Expenses net of all reductions | .81%H | .80% | .87% | .87% | .87% | .87%H |
Net investment income (loss) | 1.32%H | 1.55% | 1.40% | 1.18% | 1.07% | 1.40%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,901 | $4,103 | $2,871 | $2,717 | $1,535 | $287 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% | 30% |
A For the period December 18, 2012 (commencement of operations) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .09 | .20 | .17 | .16 | .08 |
Net realized and unrealized gain (loss) | 1.80 | 1.96 | (.64) | 1.23 | 1.38 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 1.46 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.08) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.56) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 10.65% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.36%G | 1.40% | 1.28% | 1.22% | 1.37%G |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97%G |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97%G |
Net investment income (loss) | 1.22%G | 1.45% | 1.29% | 1.08% | .97%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $141 | $125 | $118 | $121 | $111 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.90 | $13.61 | $14.81 | $14.92 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .08 | .17 | .14 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 1.38 |
Total from investment operations | 1.87 | 2.12 | (.51) | 1.35 | 1.44 |
Distributions from net investment income | (.08) | (.18) | (.12) | (.11) | (.07) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.25)C | (.83)D | (.69) | (1.46) | (.55) |
Net asset value, end of period | $16.52 | $14.90 | $13.61 | $14.81 | $14.92 |
Total ReturnE,F | 12.71% | 16.20% | (3.37)% | 9.44% | 10.54% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.60%H | 1.65% | 1.53% | 1.47% | 1.63%H |
Expenses net of fee waivers, if any | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Expenses net of all reductions | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Net investment income (loss) | .98%H | 1.20% | 1.05% | .83% | .72%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $140 | $124 | $117 | $121 | $111 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.25 per share is comprised of distributions from net investment income of $.075 and distributions from net realized gain of $.175 per share.
D Total distributions of $.83 per share is comprised of distributions from net investment income of $.177 and distributions from net realized gain of $.656 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies (PFIC), market discount, deferred trustees compensation and losses deferred due to wash sales.
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 | $7,027,660 |
Gross unrealized depreciation | (255,437) |
Net unrealized appreciation (depreciation) | $6,772,223 |
Tax cost | $19,269,529 |
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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $4,629,876 and $5,416,056, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.
Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC and LSV Asset Management each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc. and Boston Partners Global Investors, Inc. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $163 | $163 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Value Multi-Manager | $12,455 | .14 |
Class L | 61 | .09 |
Class N | 60 | .09 |
$12,576 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $31 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Value Multi-Manager | .90% | $45,720 |
Class F | .81% | 9,724 |
Class L | .90% | 297 |
Class N | 1.15% | 295 |
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Value Multi-Manager | $91,851 | $194,063 |
Class F | 24,018 | 46,819 |
Class L | 753 | 1,778 |
Class N | 623 | 1,477 |
Total | $117,245 | $244,137 |
From net realized gain | ||
Value Multi-Manager | $178,599 | $598,867 |
Class F | 46,702 | 142,347 |
Class L | 1,465 | 5,562 |
Class N | 1,454 | 5,531 |
Total | $228,220 | $752,307 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Value Multi-Manager | ||||
Shares sold | 344,164 | 265,404 | $5,295,199 | $3,823,547 |
Reinvestment of distributions | 17,946 | 57,522 | 270,450 | 792,930 |
Shares redeemed | (112,100) | (227,430) | (1,757,338) | (3,210,201) |
Net increase (decrease) | 250,010 | 95,496 | $3,808,311 | $1,406,276 |
Class F | ||||
Shares sold | 74,753 | 124,570 | $1,174,755 | $1,790,750 |
Reinvestment of distributions | 4,665 | 13,639 | 70,720 | 189,166 |
Shares redeemed | (58,444) | (74,488) | (915,672) | (1,070,861) |
Net increase (decrease) | 20,974 | 63,721 | $329,803 | $909,055 |
Class L | ||||
Reinvestment of distributions | 147 | 533�� | 2,218 | 7,340 |
Shares redeemed | – | (795) | – | (10,607) |
Net increase (decrease) | 147 | (262) | $2,218 | $(3,267) |
Class N | ||||
Reinvestment of distributions | 138 | 510 | 2,077 | 7,008 |
Shares redeemed | – | (790) | – | (10,535) |
Net increase (decrease) | 138 | (280) | $2,077 | $(3,527) |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 40% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Value Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,128.70 | $4.32 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,127.10 | $6.13 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Value Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management, LLC, FIAM LLC, and LSV Asset Management (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Value Multi-Manager Fund
Strategic Advisers Value Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement with LSV Asset Management (LSV) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to LSV, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the existing sub-advisory agreement, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered the sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding the sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to LSV on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV as assets allocated to the sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. 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 Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
245 Summer St.
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www.fidelity.com
MMV-L-MMV-N-SANN-0118
1.9585617.104
Strategic Advisers® Value Multi-Manager Fund Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
JPMorgan Chase & Co. | 2.5 | 2.9 |
Johnson & Johnson | 1.7 | 2.7 |
Citigroup, Inc. | 1.7 | 1.8 |
Intel Corp. | 1.6 | 1.6 |
Apple, Inc. | 1.5 | 2.1 |
Pfizer, Inc. | 1.5 | 2.0 |
Wal-Mart Stores, Inc. | 1.4 | 1.5 |
AbbVie, Inc. | 1.3 | 1.3 |
Amgen, Inc. | 1.3 | 1.4 |
Cisco Systems, Inc. | 1.3 | 1.5 |
15.8 |
Top Five Market Sectors as of November 30, 2017
(stocks only) | % of fund's net assets | % of fund's net assets 6 months ago |
Financials | 21.5 | 26.6 |
Information Technology | 12.0 | 15.5 |
Health Care | 11.7 | 14.9 |
Consumer Discretionary | 8.1 | 8.7 |
Industrials | 6.1 | 7.9 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Common Stocks | 77.2% | |
Short-Term Investments and Net Other Assets (Liabilities) | 22.8% |
As of May 31, 2017 | ||
Common Stocks | 94.7% | |
Short-Term Investments and Net Other Assets (Liabilities) | 5.3% |
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 77.2% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 8.1% | |||
Auto Components - 1.0% | |||
BorgWarner, Inc. | 1,590 | $88,531 | |
Delphi Automotive PLC | 240 | 25,121 | |
Gentex Corp. | 260 | 5,325 | |
Lear Corp. | 460 | 83,209 | |
The Goodyear Tire & Rubber Co. | 1,920 | 62,150 | |
264,336 | |||
Automobiles - 1.1% | |||
Ford Motor Co. | 7,450 | 93,274 | |
General Motors Co. | 3,540 | 152,539 | |
Harley-Davidson, Inc. | 900 | 45,180 | |
Thor Industries, Inc. | 50 | 7,678 | |
298,671 | |||
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 180 | 4,712 | |
Hotels, Restaurants & Leisure - 0.6% | |||
Brinker International, Inc. | 400 | 14,692 | |
Carnival Corp. | 480 | 31,507 | |
Hyatt Hotels Corp. Class A (a) | 30 | 2,171 | |
Norwegian Cruise Line Holdings Ltd. (a) | 200 | 10,832 | |
Royal Caribbean Cruises Ltd. | 190 | 23,537 | |
Wyndham Worldwide Corp. | 590 | 66,310 | |
149,049 | |||
Household Durables - 1.1% | |||
Garmin Ltd. | 170 | 10,554 | |
Leggett & Platt, Inc. | 110 | 5,306 | |
Lennar Corp.: | |||
Class A | 1,945 | 122,107 | |
Class B | 38 | 1,950 | |
Mohawk Industries, Inc. (a) | 70 | 19,783 | |
NVR, Inc. (a) | 4 | 13,900 | |
PulteGroup, Inc. | 280 | 9,556 | |
Toll Brothers, Inc. | 150 | 7,550 | |
Whirlpool Corp. | 560 | 94,399 | |
285,105 | |||
Leisure Products - 0.1% | |||
Brunswick Corp. | 80 | 4,428 | |
Hasbro, Inc. | 110 | 10,232 | |
14,660 | |||
Media - 1.9% | |||
Comcast Corp. Class A | 4,000 | 150,160 | |
Gannett Co., Inc. | 600 | 6,876 | |
News Corp. Class A | 340 | 5,494 | |
Tegna, Inc. | 1,200 | 15,936 | |
The Madison Square Garden Co. (a) | 20 | 4,333 | |
The Walt Disney Co. | 1,390 | 145,700 | |
Time Warner, Inc. | 1,060 | 97,001 | |
Twenty-First Century Fox, Inc. Class A | 940 | 30,024 | |
Viacom, Inc. Class B (non-vtg.) | 900 | 25,488 | |
481,012 | |||
Multiline Retail - 0.8% | |||
Dillard's, Inc. Class A | 300 | 18,030 | |
Dollar General Corp. | 240 | 21,139 | |
Kohl's Corp. | 1,640 | 78,671 | |
Macy's, Inc. | 500 | 11,900 | |
Target Corp. | 1,500 | 89,850 | |
219,590 | |||
Specialty Retail - 1.4% | |||
AutoNation, Inc. (a) | 60 | 3,322 | |
Best Buy Co., Inc. | 1,260 | 75,109 | |
CarMax, Inc. (a) | 160 | 11,026 | |
Gap, Inc. | 250 | 8,078 | |
Home Depot, Inc. | 870 | 156,443 | |
L Brands, Inc. | 60 | 3,364 | |
Lowe's Companies, Inc. | 710 | 59,193 | |
Penske Automotive Group, Inc. | 800 | 38,688 | |
Williams-Sonoma, Inc. | 80 | 4,093 | |
359,316 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Carter's, Inc. | 40 | 4,333 | |
Hanesbrands, Inc. | 310 | 6,476 | |
Michael Kors Holdings Ltd. (a) | 100 | 5,844 | |
PVH Corp. | 70 | 9,419 | |
Ralph Lauren Corp. | 50 | 4,758 | |
30,830 | |||
TOTAL CONSUMER DISCRETIONARY | 2,107,281 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 0.3% | |||
Dr. Pepper Snapple Group, Inc. | 110 | 9,921 | |
The Coca-Cola Co. | 1,640 | 75,063 | |
84,984 | |||
Food & Staples Retailing - 2.8% | |||
CVS Health Corp. | 1,100 | 84,260 | |
Kroger Co. | 5,120 | 132,403 | |
Wal-Mart Stores, Inc. | 3,600 | 350,028 | |
Walgreens Boots Alliance, Inc. | 2,305 | 167,712 | |
734,403 | |||
Food Products - 1.8% | |||
Archer Daniels Midland Co. | 2,445 | 97,507 | |
Campbell Soup Co. | 900 | 44,370 | |
Ingredion, Inc. | 360 | 49,853 | |
Mondelez International, Inc. | 1,815 | 77,936 | |
Pilgrim's Pride Corp. (a) | 1,920 | 70,406 | |
The J.M. Smucker Co. | 400 | 46,668 | |
Tyson Foods, Inc. Class A | 890 | 73,203 | |
459,943 | |||
Household Products - 0.1% | |||
Kimberly-Clark Corp. | 210 | 25,150 | |
Personal Products - 0.4% | |||
Herbalife Ltd. (a) | 80 | 5,611 | |
Unilever NV (NY Reg.) | 1,790 | 103,355 | |
108,966 | |||
TOTAL CONSUMER STAPLES | 1,413,446 | ||
ENERGY - 4.4% | |||
Energy Equipment & Services - 0.2% | |||
Halliburton Co. | 1,495 | 62,461 | |
Parker Drilling Co. (a) | 2,100 | 2,058 | |
64,519 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Chevron Corp. | 2,390 | 284,386 | |
ConocoPhillips Co. | 1,100 | 55,968 | |
Energen Corp. (a) | 80 | 4,517 | |
EQT Corp. | 1,065 | 63,474 | |
Exxon Mobil Corp. | 1,300 | 108,277 | |
HollyFrontier Corp. | 150 | 6,672 | |
Marathon Petroleum Corp. | 1,270 | 79,540 | |
Murphy Oil Corp. | 1,200 | 33,540 | |
PBF Energy, Inc. Class A | 1,300 | 42,081 | |
Phillips 66 Co. | 1,850 | 180,486 | |
Pioneer Natural Resources Co. | 395 | 61,636 | |
Valero Energy Corp. | 1,900 | 162,678 | |
1,083,255 | |||
TOTAL ENERGY | 1,147,774 | ||
FINANCIALS - 21.5% | |||
Banks - 10.9% | |||
Banco Bilbao Vizcaya Argentaria SA sponsored ADR | 12,528 | 107,240 | |
Bank of America Corp. | 10,300 | 290,151 | |
BB&T Corp. | 1,580 | 78,084 | |
BOK Financial Corp. | 685 | 60,965 | |
CIT Group, Inc. | 110 | 5,482 | |
Citigroup, Inc. | 5,750 | 434,125 | |
Citizens Financial Group, Inc. | 1,850 | 75,295 | |
Comerica, Inc. | 140 | 11,663 | |
Commerce Bancshares, Inc. | 85 | 4,813 | |
Cullen/Frost Bankers, Inc. | 650 | 63,967 | |
East West Bancorp, Inc. | 1,056 | 64,986 | |
Fifth Third Bancorp | 2,270 | 69,258 | |
First Republic Bank | 202 | 19,299 | |
Investors Bancorp, Inc. | 270 | 3,853 | |
JPMorgan Chase & Co. | 6,140 | 641,746 | |
KeyCorp | 2,820 | 53,524 | |
M&T Bank Corp. | 140 | 23,653 | |
Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 9,640 | 68,733 | |
PNC Financial Services Group, Inc. | 930 | 130,721 | |
Prosperity Bancshares, Inc. | 60 | 4,202 | |
Regions Financial Corp. | 7,770 | 128,904 | |
SunTrust Banks, Inc. | 1,830 | 112,783 | |
Synovus Financial Corp. | 110 | 5,459 | |
U.S. Bancorp | 1,500 | 82,725 | |
Wells Fargo & Co. | 5,050 | 285,174 | |
Western Alliance Bancorp. (a) | 70 | 4,073 | |
Zions Bancorporation | 180 | 8,919 | |
2,839,797 | |||
Capital Markets - 3.3% | |||
Ameriprise Financial, Inc. | 1,665 | 271,778 | |
Bank of New York Mellon Corp. | 930 | 50,908 | |
Brighthouse Financial, Inc. | 118 | 6,937 | |
E*TRADE Financial Corp. (a) | 240 | 11,554 | |
Franklin Resources, Inc. | 500 | 21,675 | |
Goldman Sachs Group, Inc. | 550 | 136,202 | |
Invesco Ltd. | 360 | 13,021 | |
Lazard Ltd. Class A | 110 | 5,418 | |
Legg Mason, Inc. | 1,300 | 51,948 | |
Morgan Stanley | 2,950 | 152,250 | |
Northern Trust Corp. | 180 | 17,600 | |
Raymond James Financial, Inc. | 110 | 9,713 | |
State Street Corp. | 740 | 70,559 | |
T. Rowe Price Group, Inc. | 210 | 21,613 | |
The NASDAQ OMX Group, Inc. | 120 | 9,499 | |
850,675 | |||
Consumer Finance - 1.8% | |||
Ally Financial, Inc. | 410 | 11,013 | |
American Express Co. | 800 | 78,168 | |
Capital One Financial Corp. | 2,285 | 210,220 | |
Credit Acceptance Corp. (a) | 10 | 3,029 | |
Discover Financial Services | 1,560 | 110,136 | |
Navient Corp. | 1,100 | 13,871 | |
Santander Consumer U.S.A. Holdings, Inc. | 310 | 5,344 | |
Synchrony Financial | 723 | 25,948 | |
457,729 | |||
Diversified Financial Services - 0.1% | |||
Donnelley Financial Solutions, Inc. (a) | 187 | 3,815 | |
Leucadia National Corp. | 320 | 8,419 | |
Voya Financial, Inc. | 170 | 7,514 | |
19,748 | |||
Insurance - 5.0% | |||
AFLAC, Inc. | 860 | 75,370 | |
Alleghany Corp. (a) | 20 | 11,696 | |
Allstate Corp. | 840 | 86,234 | |
American Financial Group, Inc. | 560 | 58,834 | |
American International Group, Inc. | 1,100 | 65,956 | |
Assurant, Inc. | 460 | 46,400 | |
Assured Guaranty Ltd. | 110 | 3,994 | |
Axis Capital Holdings Ltd. | 600 | 31,434 | |
Chubb Ltd. | 1,045 | 158,955 | |
Cincinnati Financial Corp. | 140 | 10,462 | |
Everest Re Group Ltd. | 240 | 52,704 | |
FNF Group | 220 | 8,901 | |
Hartford Financial Services Group, Inc. | 1,230 | 70,651 | |
Lincoln National Corp. | 1,290 | 98,750 | |
Loews Corp. | 300 | 15,084 | |
Markel Corp. (a) | 10 | 11,069 | |
MetLife, Inc. | 1,760 | 94,477 | |
Old Republic International Corp. | 230 | 4,823 | |
Principal Financial Group, Inc. | 260 | 18,405 | |
Prudential Financial, Inc. | 1,080 | 125,107 | |
Reinsurance Group of America, Inc. | 60 | 9,723 | |
RenaissanceRe Holdings Ltd. | 40 | 5,306 | |
The Travelers Companies, Inc. | 870 | 117,946 | |
Torchmark Corp. | 270 | 23,990 | |
Unum Group | 1,000 | 56,620 | |
W.R. Berkley Corp. | 110 | 7,603 | |
Willis Group Holdings PLC | 110 | 17,688 | |
XL Group Ltd. | 230 | 8,929 | |
1,297,111 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
Annaly Capital Management, Inc. | 5,300 | 61,851 | |
Thrifts & Mortgage Finance - 0.2% | |||
Radian Group, Inc. | 2,100 | 43,029 | |
TOTAL FINANCIALS | 5,569,940 | ||
HEALTH CARE - 11.7% | |||
Biotechnology - 3.4% | |||
AbbVie, Inc. | 3,525 | 341,643 | |
Amgen, Inc. | 1,895 | 332,876 | |
Biogen, Inc. (a) | 190 | 61,212 | |
Gilead Sciences, Inc. | 1,770 | 132,361 | |
868,092 | |||
Health Care Equipment & Supplies - 1.2% | |||
Baxter International, Inc. | 1,404 | 92,004 | |
Danaher Corp. | 1,289 | 121,630 | |
Medtronic PLC | 1,280 | 105,126 | |
318,760 | |||
Health Care Providers & Services - 3.0% | |||
Acadia Healthcare Co., Inc. (a) | 1,883 | 59,936 | |
Aetna, Inc. | 800 | 144,144 | |
Anthem, Inc. | 620 | 145,675 | |
Cardinal Health, Inc. | 400 | 23,676 | |
Cigna Corp. | 430 | 91,044 | |
DaVita HealthCare Partners, Inc. (a) | 170 | 10,380 | |
Express Scripts Holding Co. (a) | 800 | 52,144 | |
HCA Holdings, Inc. (a) | 1,130 | 96,050 | |
Laboratory Corp. of America Holdings (a) | 90 | 14,244 | |
LifePoint Hospitals, Inc. (a) | 800 | 38,240 | |
McKesson Corp. | 480 | 70,915 | |
Quest Diagnostics, Inc. | 320 | 31,507 | |
777,955 | |||
Pharmaceuticals - 4.1% | |||
Bristol-Myers Squibb Co. | 230 | 14,534 | |
Johnson & Johnson | 3,200 | 445,856 | |
Mallinckrodt PLC (a) | 1,200 | 26,184 | |
Merck & Co., Inc. | 1,650 | 91,196 | |
Novartis AG sponsored ADR | 1,040 | 89,232 | |
Perrigo Co. PLC | 120 | 10,465 | |
Pfizer, Inc. | 10,710 | 388,345 | |
1,065,812 | |||
TOTAL HEALTH CARE | 3,030,619 | ||
INDUSTRIALS - 6.1% | |||
Aerospace & Defense - 1.7% | |||
General Dynamics Corp. | 835 | 172,979 | |
Huntington Ingalls Industries, Inc. | 40 | 9,667 | |
L3 Technologies, Inc. | 70 | 13,901 | |
Spirit AeroSystems Holdings, Inc. Class A | 810 | 68,243 | |
Textron, Inc. | 240 | 13,370 | |
The Boeing Co. | 160 | 44,288 | |
Triumph Group, Inc. | 700 | 21,630 | |
United Technologies Corp. | 710 | 86,230 | |
430,308 | |||
Air Freight & Logistics - 0.5% | |||
FedEx Corp. | 240 | 55,550 | |
United Parcel Service, Inc. Class B | 590 | 71,656 | |
127,206 | |||
Airlines - 0.9% | |||
American Airlines Group, Inc. | 440 | 22,216 | |
Delta Air Lines, Inc. | 2,260 | 119,599 | |
JetBlue Airways Corp. (a) | 270 | 5,797 | |
Southwest Airlines Co. | 540 | 32,762 | |
United Continental Holdings, Inc. (a) | 700 | 44,324 | |
224,698 | |||
Building Products - 0.2% | |||
Johnson Controls International PLC | 1,099 | 41,366 | |
Owens Corning | 100 | 8,835 | |
USG Corp. (a) | 130 | 4,941 | |
55,142 | |||
Commercial Services & Supplies - 0.2% | |||
Deluxe Corp. | 600 | 42,660 | |
LSC Communications, Inc. | 187 | 3,059 | |
R.R. Donnelley & Sons Co. | 500 | 4,695 | |
50,414 | |||
Construction & Engineering - 0.1% | |||
Fluor Corp. | 400 | 19,364 | |
Jacobs Engineering Group, Inc. | 110 | 7,219 | |
26,583 | |||
Electrical Equipment - 0.1% | |||
Eaton Corp. PLC | 400 | 31,112 | |
Hubbell, Inc. Class B | 40 | 5,032 | |
36,144 | |||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 50 | 5,749 | |
Honeywell International, Inc. | 680 | 106,053 | |
111,802 | |||
Machinery - 1.2% | |||
AGCO Corp. | 570 | 40,345 | |
Allison Transmission Holdings, Inc. | 120 | 4,925 | |
Cummins, Inc. | 150 | 25,110 | |
Ingersoll-Rand PLC | 210 | 18,400 | |
Oshkosh Corp. | 1,400 | 126,056 | |
PACCAR, Inc. | 310 | 21,802 | |
Pentair PLC | 140 | 9,962 | |
Snap-On, Inc. | 50 | 8,472 | |
Timken Co. | 200 | 9,980 | |
Trinity Industries, Inc. | 1,260 | 44,919 | |
309,971 | |||
Professional Services - 0.0% | |||
Manpower, Inc. | 60 | 7,734 | |
Robert Half International, Inc. | 110 | 6,274 | |
14,008 | |||
Road & Rail - 0.6% | |||
AMERCO | 20 | 7,413 | |
Norfolk Southern Corp. | 170 | 23,567 | |
Ryder System, Inc. | 400 | 32,992 | |
Union Pacific Corp. | 680 | 86,020 | |
149,992 | |||
Trading Companies & Distributors - 0.2% | |||
Aircastle Ltd. | 1,400 | 34,300 | |
United Rentals, Inc. (a) | 80 | 12,758 | |
47,058 | |||
TOTAL INDUSTRIALS | 1,583,326 | ||
INFORMATION TECHNOLOGY - 12.0% | |||
Communications Equipment - 1.4% | |||
Arris International PLC (a) | 90 | 2,697 | |
Cisco Systems, Inc. | 8,750 | 326,375 | |
Juniper Networks, Inc. | 340 | 9,438 | |
Motorola Solutions, Inc. | 150 | 14,117 | |
352,627 | |||
Electronic Equipment & Components - 1.3% | |||
Arrow Electronics, Inc. (a) | 580 | 46,823 | |
CDW Corp. | 140 | 9,801 | |
Corning, Inc. | 2,980 | 96,522 | |
Dell Technologies, Inc. (a) | 278 | 21,751 | |
Flextronics International Ltd. (a) | 2,300 | 41,561 | |
Jabil, Inc. | 150 | 4,328 | |
SYNNEX Corp. | 20 | 2,724 | |
TE Connectivity Ltd. | 400 | 37,776 | |
Tech Data Corp. (a) | 400 | 38,680 | |
Vishay Intertechnology, Inc. | 1,300 | 28,470 | |
328,436 | |||
IT Services - 1.3% | |||
Alliance Data Systems Corp. | 40 | 9,571 | |
Booz Allen Hamilton Holding Corp. Class A | 90 | 3,482 | |
CSRA, Inc. | 100 | 2,893 | |
DXC Technology Co. | 163 | 15,671 | |
IBM Corp. | 1,230 | 189,383 | |
PayPal Holdings, Inc. (a) | 1,470 | 111,323 | |
The Western Union Co. | 420 | 8,270 | |
340,593 | |||
Semiconductors & Semiconductor Equipment - 3.1% | |||
Applied Materials, Inc. | 1,590 | 83,904 | |
Cirrus Logic, Inc. (a) | 600 | 33,144 | |
Intel Corp. | 9,290 | 416,564 | |
KLA-Tencor Corp. | 130 | 13,291 | |
Lam Research Corp. | 400 | 76,932 | |
Marvell Technology Group Ltd. | 450 | 10,053 | |
Microchip Technology, Inc. | 1,505 | 130,920 | |
Qorvo, Inc. (a) | 110 | 8,424 | |
Skyworks Solutions, Inc. | 160 | 16,758 | |
Teradyne, Inc. | 130 | 5,261 | |
795,251 | |||
Software - 2.4% | |||
Adobe Systems, Inc. (a) | 1,030 | 186,914 | |
ANSYS, Inc. (a) | 750 | 111,143 | |
CA Technologies, Inc. | 360 | 11,905 | |
Microsoft Corp. | 1,710 | 143,931 | |
Oracle Corp. | 3,670 | 180,050 | |
633,943 | |||
Technology Hardware, Storage & Peripherals - 2.5% | |||
Apple, Inc. | 2,280 | 391,818 | |
Hewlett Packard Enterprise Co. | 1,900 | 26,505 | |
HP, Inc. | 3,810 | 81,725 | |
NCR Corp. (a) | 1,400 | 43,806 | |
NetApp, Inc. | 170 | 9,607 | |
Seagate Technology LLC | 900 | 34,704 | |
Western Digital Corp. | 500 | 39,430 | |
Xerox Corp. | 1,177 | 34,910 | |
662,505 | |||
TOTAL INFORMATION TECHNOLOGY | 3,113,355 | ||
MATERIALS - 3.4% | |||
Chemicals - 2.2% | |||
Ashland Global Holdings, Inc. | 50 | 3,699 | |
Celanese Corp. Class A | 420 | 45,041 | |
CF Industries Holdings, Inc. | 210 | 7,869 | |
DowDuPont, Inc. | 1,475 | 106,141 | |
Eastman Chemical Co. | 730 | 67,430 | |
Huntsman Corp. | 1,710 | 54,652 | |
LyondellBasell Industries NV Class A | 1,120 | 117,264 | |
PPG Industries, Inc. | 1,214 | 141,856 | |
RPM International, Inc. | 110 | 5,827 | |
Westlake Chemical Corp. | 110 | 10,772 | |
560,551 | |||
Construction Materials - 0.4% | |||
Martin Marietta Materials, Inc. | 520 | 108,363 | |
Containers & Packaging - 0.5% | |||
Crown Holdings, Inc. (a) | 120 | 7,168 | |
International Paper Co. | 1,170 | 66,234 | |
Packaging Corp. of America | 480 | 56,928 | |
Sonoco Products Co. | 90 | 4,816 | |
WestRock Co. | 111 | 6,928 | |
142,074 | |||
Metals & Mining - 0.2% | |||
Newmont Mining Corp. | 320 | 11,837 | |
Nucor Corp. | 280 | 16,100 | |
Reliance Steel & Aluminum Co. | 60 | 4,717 | |
Steel Dynamics, Inc. | 220 | 8,470 | |
41,124 | |||
Paper & Forest Products - 0.1% | |||
Domtar Corp. | 500 | 24,110 | |
TOTAL MATERIALS | 876,222 | ||
REAL ESTATE - 0.4% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Hospitality Properties Trust (SBI) | 1,100 | 32,989 | |
Mack-Cali Realty Corp. | 1,000 | 22,130 | |
Medical Properties Trust, Inc. | 1,100 | 15,059 | |
VEREIT, Inc. | 5,100 | 39,780 | |
109,958 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. | 40 | 6,100 | |
TOTAL REAL ESTATE | 116,058 | ||
TELECOMMUNICATION SERVICES - 1.5% | |||
Diversified Telecommunication Services - 1.5% | |||
AT&T, Inc. | 3,300 | 120,054 | |
Verizon Communications, Inc. | 5,400 | 274,806 | |
394,860 | |||
UTILITIES - 2.7% | |||
Electric Utilities - 1.6% | |||
American Electric Power Co., Inc. | 440 | 34,157 | |
Duke Energy Corp. | 520 | 46,374 | |
Edison International | 290 | 23,568 | |
Entergy Corp. | 1,060 | 91,669 | |
Eversource Energy | 280 | 18,158 | |
Exelon Corp. | 1,900 | 79,249 | |
FirstEnergy Corp. | 2,000 | 68,280 | |
OGE Energy Corp. | 180 | 6,437 | |
Pinnacle West Capital Corp. | 100 | 9,181 | |
Westar Energy, Inc. | 120 | 6,865 | |
Xcel Energy, Inc. | 420 | 21,676 | |
405,614 | |||
Gas Utilities - 0.4% | |||
National Fuel Gas Co. | 1,542 | 90,670 | |
UGI Corp. | 20 | 980 | |
91,650 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
The AES Corp. | 5,040 | 53,323 | |
Multi-Utilities - 0.5% | |||
Ameren Corp. | 220 | 14,071 | |
DTE Energy Co. | 160 | 18,491 | |
Public Service Enterprise Group, Inc. | 2,050 | 108,773 | |
141,335 | |||
TOTAL UTILITIES | 691,922 | ||
TOTAL COMMON STOCKS | |||
(Cost $13,369,578) | 20,044,803 | ||
Principal Amount | Value | ||
U.S. Treasury Obligations - 0.7% | |||
U.S. Treasury Bills, yield at date of purchase 1.07% to 1.26% 1/18/18 to 3/1/18 (b) | |||
(Cost $179,540) | $180,000 | 179,537 | |
Shares | Value | ||
Money Market Funds - 21.9% | |||
Invesco Government & Agency Portfolio Institutional Class 0.98% (c) | 10 | 10 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.72% (c) | 5,681,321 | 5,681,321 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $5,681,331) | 5,681,331 | ||
TOTAL INVESTMENT IN SECURITIES - 99.8% | |||
(Cost $19,230,449) | 25,905,671 | ||
NET OTHER ASSETS (LIABILITIES) - 0.2% | 52,015 | ||
NET ASSETS - 100% | $25,957,686 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini Russell 1000 Value Index Contracts (United States) | 90 | Dec. 2017 | $5,435,100 | $136,081 | $136,081 |
The notional amount of futures purchased as a percentage of Net Assets is 20.9%
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $2,501,842
Legend
(a) Non-income producing
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $179,537.
(c) The rate quoted is the annualized seven-day yield of the fund at period end.
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $2,107,281 | $2,107,281 | $-- | $-- |
Consumer Staples | 1,413,446 | 1,413,446 | -- | -- |
Energy | 1,147,774 | 1,147,774 | -- | -- |
Financials | 5,569,940 | 5,569,940 | -- | -- |
Health Care | 3,030,619 | 3,030,619 | -- | -- |
Industrials | 1,583,326 | 1,583,326 | -- | -- |
Information Technology | 3,113,355 | 3,113,355 | -- | -- |
Materials | 876,222 | 876,222 | -- | -- |
Real Estate | 116,058 | 116,058 | -- | -- |
Telecommunication Services | 394,860 | 394,860 | -- | -- |
Utilities | 691,922 | 691,922 | -- | -- |
Other Short-Term Investments | 179,537 | -- | 179,537 | -- |
Money Market Funds | 5,681,331 | 5,681,331 | -- | -- |
Total Investments in Securities: | $25,905,671 | $25,726,134 | $179,537 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $136,081 | $136,081 | $-- | $-- |
Total Assets | $136,081 | $136,081 | $-- | $-- |
Total Derivative Instruments: | $136,081 | $136,081 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Equity Risk | ||
Futures Contracts(a) | $136,081 | $0 |
Total Equity Risk | 136,081 | 0 |
Total Value of Derivatives | $136,081 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $19,230,449) | $25,905,671 | |
Cash | 12 | |
Receivable for investments sold | 290,327 | |
Receivable for fund shares sold | 20,099 | |
Dividends receivable | 59,530 | |
Interest receivable | 1,429 | |
Receivable for daily variation margin on futures contracts | 34,650 | |
Prepaid expenses | 38 | |
Receivable from investment adviser for expense reductions | 2,723 | |
Other receivables | 359 | |
Total assets | 26,314,838 | |
Liabilities | ||
Payable for investments purchased | $319,354 | |
Payable for fund shares redeemed | 3,071 | |
Accrued management fee | 10,282 | |
Audit fee payable | 18,396 | |
Distribution and service plan fees payable | 28 | |
Other affiliated payables | 3,064 | |
Other payables and accrued expenses | 2,957 | |
Total liabilities | 357,152 | |
Net Assets | $25,957,686 | |
Net Assets consist of: | ||
Paid in capital | $18,186,539 | |
Undistributed net investment income | 142,123 | |
Accumulated undistributed net realized gain (loss) on investments | 817,721 | |
Net unrealized appreciation (depreciation) on investments | 6,811,303 | |
Net Assets | $25,957,686 | |
Value Multi-Manager: | ||
Net Asset Value, offering price and redemption price per share ($20,776,000 ÷ 1,255,729 shares) | $16.54 | |
Class F: | ||
Net Asset Value, offering price and redemption price per share ($4,901,219 ÷ 294,465 shares) | $16.64 | |
Class L: | ||
Net Asset Value, offering price and redemption price per share ($140,938 ÷ 8,519 shares) | $16.54 | |
Class N: | ||
Net Asset Value, offering price and redemption price per share ($139,529 ÷ 8,446 shares) | $16.52 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $232,908 | |
Interest | 10,698 | |
Total income | 243,606 | |
Expenses | ||
Management fee | $57,253 | |
Transfer agent fees | 12,576 | |
Distribution and service plan fees | 163 | |
Accounting fees and expenses | 4,450 | |
Custodian fees and expenses | 6,792 | |
Independent trustees' fees and expenses | 143 | |
Registration fees | 43,944 | |
Audit | 30,871 | |
Legal | 796 | |
Miscellaneous | 263 | |
Total expenses before reductions | 157,251 | |
Expense reductions | (56,036) | 101,215 |
Net investment income (loss) | 142,391 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 865,108 | |
Futures contracts | (730) | |
Total net realized gain (loss) | 864,378 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 1,657,897 | |
Futures contracts | 138,179 | |
Total change in net unrealized appreciation (depreciation) | 1,796,076 | |
Net gain (loss) | 2,660,454 | |
Net increase (decrease) in net assets resulting from operations | $2,802,845 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $142,391 | $253,827 |
Net realized gain (loss) | 864,378 | 500,094 |
Change in net unrealized appreciation (depreciation) | 1,796,076 | 1,781,179 |
Net increase (decrease) in net assets resulting from operations | 2,802,845 | 2,535,100 |
Distributions to shareholders from net investment income | (117,245) | (244,137) |
Distributions to shareholders from net realized gain | (228,220) | (752,307) |
Total distributions | (345,465) | (996,444) |
Share transactions - net increase (decrease) | 4,142,409 | 2,308,537 |
Total increase (decrease) in net assets | 6,599,789 | 3,847,193 |
Net Assets | ||
Beginning of period | 19,357,897 | 15,510,704 |
End of period | $25,957,686 | $19,357,897 |
Other Information | ||
Undistributed net investment income end of period | $142,123 | $116,977 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Multi-Manager Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 | $10.65 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .10 | .21 | .18 | .16 | .14 | .17 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 2.37 | 2.92 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 2.51 | 3.09 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.16) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.26) |
Total distributions | (.27) | (.87) | (.73) | (1.49)B | (.90)C | (.42) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 | $13.32 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 19.66% | 29.71% |
Ratios to Average Net AssetsF | ||||||
Expenses before reductions | 1.40%G | 1.43% | 1.32% | 1.25% | 1.32% | 1.30% |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97% | .97% |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97% | .97% |
Net investment income (loss) | 1.23%G | 1.45% | 1.30% | 1.08% | .97% | 1.43% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $20,776 | $15,006 | $12,405 | $17,235 | $17,565 | $15,774 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% | 30% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
C Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class F
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 | $11.91 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .10 | .22 | .19 | .17 | .15 | .08 |
Net realized and unrealized gain (loss) | 1.81 | 1.96 | (.64) | 1.23 | 2.38 | 1.62 |
Total from investment operations | 1.91 | 2.18 | (.45) | 1.40 | 2.53 | 1.70 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.14) | (.10) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.77) | (.18) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.90)D | (.28) |
Net asset value, end of period | $16.64 | $15.00 | $13.69 | $14.87 | $14.96 | $13.33 |
Total ReturnE,F | 12.87% | 16.54% | (2.97)% | 9.83% | 19.81% | 14.61% |
Ratios to Average Net AssetsG | ||||||
Expenses before reductions | 1.26%H | 1.29% | 1.19% | 1.11% | 1.26% | .98%H |
Expenses net of fee waivers, if any | .81%H | .80% | .87% | .87% | .87% | .87%H |
Expenses net of all reductions | .81%H | .80% | .87% | .87% | .87% | .87%H |
Net investment income (loss) | 1.32%H | 1.55% | 1.40% | 1.18% | 1.07% | 1.40%H |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $4,901 | $4,103 | $2,871 | $2,717 | $1,535 | $287 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% | 30% |
A For the period December 18, 2012 (commencement of operations) to May 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total distributions of $.90 per share is comprised of distributions from net investment income of $.137 and distributions from net realized gain of $.766 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class L
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.92 | $13.63 | $14.83 | $14.93 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .09 | .20 | .17 | .16 | .08 |
Net realized and unrealized gain (loss) | 1.80 | 1.96 | (.64) | 1.23 | 1.38 |
Total from investment operations | 1.89 | 2.16 | (.47) | 1.39 | 1.46 |
Distributions from net investment income | (.09) | (.21) | (.16) | (.15) | (.08) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.27) | (.87) | (.73) | (1.49)C | (.56) |
Net asset value, end of period | $16.54 | $14.92 | $13.63 | $14.83 | $14.93 |
Total ReturnD,E | 12.81% | 16.46% | (3.12)% | 9.78% | 10.65% |
Ratios to Average Net AssetsF | |||||
Expenses before reductions | 1.36%G | 1.40% | 1.28% | 1.22% | 1.37%G |
Expenses net of fee waivers, if any | .90%G | .90% | .97% | .97% | .97%G |
Expenses net of all reductions | .90%G | .90% | .97% | .97% | .97%G |
Net investment income (loss) | 1.22%G | 1.45% | 1.29% | 1.08% | .97%G |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $141 | $125 | $118 | $121 | $111 |
Portfolio turnover rateH | 46%G | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $1.49 per share is comprised of distributions from net investment income of $.147 and distributions from net realized gain of $1.346 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
G Annualized
H Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Strategic Advisers Value Multi-Manager Fund Class N
Six months ended (Unaudited) November 30, | Years ended May 31, | ||||
2017 | 2017 | 2016 | 2015 | 2014 A | |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $14.90 | $13.61 | $14.81 | $14.92 | $14.03 |
Income from Investment Operations | |||||
Net investment income (loss)B | .08 | .17 | .14 | .12 | .06 |
Net realized and unrealized gain (loss) | 1.79 | 1.95 | (.65) | 1.23 | 1.38 |
Total from investment operations | 1.87 | 2.12 | (.51) | 1.35 | 1.44 |
Distributions from net investment income | (.08) | (.18) | (.12) | (.11) | (.07) |
Distributions from net realized gain | (.18) | (.66) | (.57) | (1.35) | (.48) |
Total distributions | (.25)C | (.83)D | (.69) | (1.46) | (.55) |
Net asset value, end of period | $16.52 | $14.90 | $13.61 | $14.81 | $14.92 |
Total ReturnE,F | 12.71% | 16.20% | (3.37)% | 9.44% | 10.54% |
Ratios to Average Net AssetsG | |||||
Expenses before reductions | 1.60%H | 1.65% | 1.53% | 1.47% | 1.63%H |
Expenses net of fee waivers, if any | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Expenses net of all reductions | 1.15%H | 1.15% | 1.22% | 1.22% | 1.22%H |
Net investment income (loss) | .98%H | 1.20% | 1.05% | .83% | .72%H |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $140 | $124 | $117 | $121 | $111 |
Portfolio turnover rateI | 46%H | 27% | 41% | 36% | 59% |
A For the period November 12, 2013 (commencement of sale of shares) to May 31, 2014.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.25 per share is comprised of distributions from net investment income of $.075 and distributions from net realized gain of $.175 per share.
D Total distributions of $.83 per share is comprised of distributions from net investment income of $.177 and distributions from net realized gain of $.656 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
H Annualized
I Amount does not include the portfolio activity of any Underlying Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Value Multi-Manager Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is available only to certain employer-sponsored retirement plans and certain Fidelity brokerage or mutual fund accounts. The Fund offers Value Multi-Manager, Class F, Class L and Class N shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
Effective December 5, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were redeemed.
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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 includes proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 Underlying 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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 dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies (PFIC), market discount, deferred trustees compensation and losses deferred due to wash sales.
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 | $7,027,660 |
Gross unrealized depreciation | (255,437) |
Net unrealized appreciation (depreciation) | $6,772,223 |
Tax cost | $19,269,529 |
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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $4,629,876 and $5,416,056, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .30% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .50% of the Fund's average net assets.
Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC and LSV Asset Management each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
FIAM LLC (an affiliate of the investment adviser), Geode Capital Management, LLC, J.P. Morgan Investment Management, Inc. and Boston Partners Global Investors, Inc. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Class N pays Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, a Service Fee based on an annual percentage of Class N's average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Service Fee rate, total service fees and amounts retained by FDC were as follows:
Service Fee | Total Fees | Retained by FDC | |
Class N | .25% | $163 | $163 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class F. Each class, except for Class F, does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Value Multi-Manager | $12,455 | .14 |
Class L | 61 | .09 |
Class N | 60 | .09 |
$12,576 |
(a) Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $31 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser has contractually agreed to reimburse Value Multi-Manager, Class L and Class N to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. This reimbursement will remain in place through July 31, 2018. In addition, the investment adviser has voluntarily agreed to reimburse Class F to the extent that annual operating expenses exceed certain levels of average net assets as noted in the table below. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from these reimbursements. The following classes of the Fund were in reimbursement during the period:
Expense Limitations | Reimbursement | |
Value Multi-Manager | .90% | $45,720 |
Class F | .81% | 9,724 |
Class L | .90% | 297 |
Class N | 1.15% | 295 |
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended November 30, 2017 | Year ended May 31, 2017 | |
From net investment income | ||
Value Multi-Manager | $91,851 | $194,063 |
Class F | 24,018 | 46,819 |
Class L | 753 | 1,778 |
Class N | 623 | 1,477 |
Total | $117,245 | $244,137 |
From net realized gain | ||
Value Multi-Manager | $178,599 | $598,867 |
Class F | 46,702 | 142,347 |
Class L | 1,465 | 5,562 |
Class N | 1,454 | 5,531 |
Total | $228,220 | $752,307 |
9. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended November 30, 2017 | Year ended May 31, 2017 | Six months ended November 30, 2017 | Year ended May 31, 2017 | |
Value Multi-Manager | ||||
Shares sold | 344,164 | 265,404 | $5,295,199 | $3,823,547 |
Reinvestment of distributions | 17,946 | 57,522 | 270,450 | 792,930 |
Shares redeemed | (112,100) | (227,430) | (1,757,338) | (3,210,201) |
Net increase (decrease) | 250,010 | 95,496 | $3,808,311 | $1,406,276 |
Class F | ||||
Shares sold | 74,753 | 124,570 | $1,174,755 | $1,790,750 |
Reinvestment of distributions | 4,665 | 13,639 | 70,720 | 189,166 |
Shares redeemed | (58,444) | (74,488) | (915,672) | (1,070,861) |
Net increase (decrease) | 20,974 | 63,721 | $329,803 | $909,055 |
Class L | ||||
Reinvestment of distributions | 147 | 533 | 2,218 | 7,340 |
Shares redeemed | – | (795) | – | (10,607) |
Net increase (decrease) | 147 | (262) | $2,218 | $(3,267) |
Class N | ||||
Reinvestment of distributions | 138 | 510 | 2,077 | 7,008 |
Shares redeemed | – | (790) | – | (10,535) |
Net increase (decrease) | 138 | (280) | $2,077 | $(3,527) |
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were the owners of record of 40% of the total outstanding shares of the Fund.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Value Multi-Manager | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class F | .81% | |||
Actual | $1,000.00 | $1,128.70 | $4.32 | |
Hypothetical-C | $1,000.00 | $1,021.01 | $4.10 | |
Class L | .90% | |||
Actual | $1,000.00 | $1,128.10 | $4.80 | |
Hypothetical-C | $1,000.00 | $1,020.56 | $4.56 | |
Class N | 1.15% | |||
Actual | $1,000.00 | $1,127.10 | $6.13 | |
Hypothetical-C | $1,000.00 | $1,019.30 | $5.82 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Value Multi-Manager Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with Aristotle Capital Management LLC, Boston Partners Global Investors, Inc. (formerly Robeco Investment Management, Inc.), Brandywine Global Investment Management, LLC, FIAM LLC, and LSV Asset Management (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Value Multi-Manager Fund
Strategic Advisers Value Multi-Manager Fund
Board Approval of Investment Advisory Contract
On September 6, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in the existing sub-advisory agreement with LSV Asset Management (LSV) for the fund (the Amended Sub-Advisory Agreement), which has the potential to lower the amount of fees paid by Strategic Advisers, Inc. (Strategic Advisers) to LSV, on behalf of the fund. The terms of the Amended Sub-Advisory Agreement are identical to those of the existing sub-advisory agreement, except with respect to the date of execution and the fee schedule.The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Amended Sub-Advisory Agreement.In considering whether to approve the Amended Sub-Advisory Agreement, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the approval of the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Amended Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Amended Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.Nature, Extent, and Quality of Services Provided. The Board considered that it reviewed information regarding LSV, including the backgrounds of its investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the annual renewal of the current sub-advisory agreement at its September 2017 Board meeting.The Board considered that the Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered the sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management.Investment Performance. The Board considered that it received information regarding the sub-adviser's historical investment performance in managing fund assets at its June 2017 Board meeting and throughout the year. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders.Competitiveness of Management Fee and Total Fund Expenses. The Board considered that the new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to LSV on behalf of the fund. The Board also considered that if total fund expenses are below the limits of the expense reimbursement arrangements in place for each class of the fund, the Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. The Board also considered that the Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' expense reimbursement arrangements for each class of the fund. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.Because the Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve the Amended Sub-Advisory Agreement.Potential Fall-Out Benefits. The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting.Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement, like the current sub-advisory agreement, provides for breakpoints that have the potential to further reduce sub-advisory fees paid to LSV as assets allocated to the sub-adviser grow. The Board also considered that it reviewed whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers at its September 2017 Board meeting.Conclusion. 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 Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that the Amended Sub-Advisory Agreement should be approved because the agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
MMV-F-SANN-0118
1.951457.104
Strategic Advisers® Short Duration Fund Offered exclusively to certain clients of Strategic Advisers, Inc. - not available for sale to the general public Semi-Annual Report November 30, 2017 |
Contents
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2018 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2017
(excluding cash equivalents) | % of fund's net assets | % of fund's net assets 6 months ago |
PIMCO Short-Term Fund - Administrator Class | 18.1 | 17.1 |
Fidelity Conservative Income Bond Fund Institutional Class | 12.7 | 9.7 |
Fidelity Short-Term Bond Fund | 7.6 | 8.2 |
Metropolitan West Low Duration Bond Fund - Class M | 5.5 | 5.9 |
BlackRock Low Duration Bond Portfolio Investor A Shares | 4.7 | 4.3 |
PIMCO Enhanced Short Maturity Active ETF | 4.2 | 4.1 |
Fidelity Floating Rate High Income Fund | 3.4 | 3.2 |
JPMorgan Short Duration Bond Fund Class A | 2.6 | 3.2 |
Delaware Limited-Term Diversified Income Fund - Class A | 2.2 | 2.2 |
Prudential Short-Term Corporate Bond Fund, Inc. Class A | 2.1 | 2.0 |
63.1 |
Asset Allocation (% of fund's net assets)
As of November 30, 2017 | ||
Corporate Bonds | 16.5% | |
U.S. Government and U.S. Government Agency Obligations | 2.3% | |
Asset-Backed Securities | 6.3% | |
CMOs and Other Mortgage Related Securities | 0.7% | |
Bank Loan Funds | 3.4% | |
Other Investments | 0.2% | |
Short-Term Funds | 61.8% | |
Short-Term Investments and Net Other Assets (Liabilities) | 8.8% |
As of May 31, 2017 | ||
Corporate Bonds | 16.3% | |
U.S. Government and U.S. Government Agency Obligations | 1.7% | |
Asset-Backed Securities | 6.7% | |
CMOs and Other Mortgage Related Securities | 0.7% | |
Municipal Securities | 0.4% | |
Bank Loan Funds | 3.2% | |
Other Investments | 0.2% | |
Short-Term Funds | 59.1% | |
Short-Term Investments and Net Other Assets (Liabilities) | 11.7% |
Asset allocations of funds in the pie charts reflect the categorizations of assets as defined by Morningstar as of the reporting dates indicated above.
Investments November 30, 2017 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 16.5% | |||
Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.0% | |||
Delphi Automotive PLC 3.15% 11/19/20 | $1,130,000 | $1,151,202 | |
Automobiles - 0.8% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 1.5125% 1/22/19 (a)(b) | 5,000,000 | 5,002,845 | |
3 month U.S. LIBOR + 0.280% 1.7157% 11/19/18 (a)(b) | 5,000,000 | 5,009,639 | |
3 month U.S. LIBOR + 0.825% 2.2709% 2/22/19 (a)(b) | 8,351,000 | 8,422,763 | |
BMW U.S. Capital LLC 3 month U.S. LIBOR + 0.380% 1.7267% 4/6/20 (a)(b)(c) | 7,796,000 | 7,831,511 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.450% 1.8857% 5/18/18 (a)(b)(c) | 5,000,000 | 5,006,615 | |
3 month U.S. LIBOR + 0.530% 1.9214% 5/5/20 (a)(b)(c) | 5,000,000 | 5,016,456 | |
3 month U.S. LIBOR + 0.620% 1.998% 10/30/19 (a)(b)(c) | 5,000,000 | 5,028,119 | |
3 month U.S. LIBOR + 0.630% 1.9767% 1/6/20 (a)(b)(c) | 10,000,000 | 10,055,615 | |
3 month U.S. LIBOR + 0.860% 2.2368% 8/1/18 (a)(b)(c) | 1,060,000 | 1,064,777 | |
2.2% 5/5/20 (c) | 1,420,000 | 1,412,992 | |
2.3% 2/12/21 (c) | 995,000 | 987,990 | |
General Motors Financial Co., Inc.: | |||
3 month U.S. LIBOR + 0.930% 2.2886% 4/13/20 (a)(b) | 11,000,000 | 11,109,780 | |
3 month U.S. LIBOR + 1.270% 2.6056% 10/4/19 (a)(b) | 5,000,000 | 5,071,860 | |
3.1% 1/15/19 | 805,000 | 812,347 | |
Nissan Motor Acceptance Corp. 2.15% 9/28/20 (c) | 450,000 | 446,801 | |
72,280,110 | |||
Diversified Consumer Services - 0.0% | |||
ERAC U.S.A. Finance LLC: | |||
2.35% 10/15/19 (c) | 100,000 | 99,735 | |
2.8% 11/1/18 (c) | 1,140,000 | 1,148,207 | |
1,247,942 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Brinker International, Inc. 2.6% 5/15/18 | 1,110,000 | 1,107,225 | |
GLP Capital LP/GLP Financing II, Inc. 4.375% 11/1/18 | 1,225,000 | 1,237,250 | |
Royal Caribbean Cruises Ltd. 2.65% 11/28/20 | 250,000 | 250,435 | |
2,594,910 | |||
Household Durables - 0.1% | |||
D.R. Horton, Inc.: | |||
2.55% 12/1/20 | 495,000 | 494,337 | |
3.625% 2/15/18 | 1,500,000 | 1,502,053 | |
Newell Brands, Inc.: | |||
2.05% 12/1/17 | 1,580,000 | 1,580,000 | |
2.15% 10/15/18 | 1,030,000 | 1,031,421 | |
2.6% 3/29/19 | 307,000 | 308,143 | |
4,915,954 | |||
Internet & Direct Marketing Retail - 0.0% | |||
JD.com, Inc. 3.125% 4/29/21 | 1,575,000 | 1,574,035 | |
QVC, Inc. 3.125% 4/1/19 | 1,920,000 | 1,931,928 | |
3,505,963 | |||
Media - 0.5% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.579% 7/23/20 | 1,395,000 | 1,417,739 | |
4.464% 7/23/22 | 630,000 | 656,677 | |
Discovery Communications LLC: | |||
3 month U.S. LIBOR + 0.710% 2.0361% 9/20/19 (a)(b) | 3,399,000 | 3,413,810 | |
2.2% 9/20/19 | 565,000 | 562,845 | |
Interpublic Group of Companies, Inc. 4% 3/15/22 | 315,000 | 327,632 | |
NBCUniversal Enterprise, Inc.: | |||
3 month U.S. LIBOR + 0.400% 1.735% 4/1/21 (a)(b)(c) | 20,000,000 | 20,076,080 | |
3 month U.S. LIBOR + 0.685% 2.0442% 4/15/18 (a)(b)(c) | 15,315,000 | 15,351,300 | |
Omnicom Group, Inc. 6.25% 7/15/19 | 1,350,000 | 1,431,790 | |
Time Warner Cable, Inc.: | |||
6.75% 7/1/18 | 539,000 | 553,065 | |
8.25% 4/1/19 | 1,685,000 | 1,811,962 | |
8.75% 2/14/19 | 755,000 | 811,592 | |
Viacom, Inc.: | |||
2.75% 12/15/19 | 1,149,000 | 1,150,501 | |
5.625% 9/15/19 | 380,000 | 398,369 | |
47,963,362 | |||
Specialty Retail - 0.0% | |||
AutoZone, Inc. 1.625% 4/21/19 | 145,000 | 143,847 | |
Nissan Motor Acceptance Corp. 1.55% 9/13/19 (c) | 725,000 | 716,691 | |
860,538 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Invista Finance LLC 4.25% 10/15/19 (c) | 2,005,000 | 2,047,606 | |
TOTAL CONSUMER DISCRETIONARY | 136,567,587 | ||
CONSUMER STAPLES - 0.9% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Finance, Inc. 1.9% 2/1/19 | 2,170,000 | 2,165,794 | |
Anheuser-Busch InBev Worldwide, Inc. 3 month U.S. LIBOR + 0.690% 2.0668% 8/1/18 (a)(b) | 6,000,000 | 6,024,558 | |
PepsiCo, Inc. 3 month U.S. LIBOR + 0.590% 2.0359% 2/22/19 (a)(b) | 20,000,000 | 20,135,874 | |
28,326,226 | |||
Food & Staples Retailing - 0.1% | |||
CVS Health Corp. 1.9% 7/20/18 | 11,033,000 | 11,024,004 | |
Kroger Co.: | |||
1.5% 9/30/19 | 280,000 | 276,326 | |
2.3% 1/15/19 | 350,000 | 350,602 | |
11,650,932 | |||
Food Products - 0.1% | |||
Bunge Ltd. Finance Corp.: | |||
3.5% 11/24/20 | 520,000 | 529,799 | |
8.5% 6/15/19 | 395,000 | 430,441 | |
Danone SA 1.691% 10/30/19 (c) | 2,430,000 | 2,402,872 | |
Tyson Foods, Inc.: | |||
3 month U.S. LIBOR + 0.450% 1.9288% 5/30/19 (a)(b) | 3,826,000 | 3,831,877 | |
2.25% 8/23/21 | 600,000 | 590,555 | |
7,785,544 | |||
Tobacco - 0.4% | |||
Bat Capital Corp.: | |||
3 month U.S. LIBOR + 0.590% 2.0029% 8/14/20 (a)(b)(c) | 5,000,000 | 5,025,158 | |
2.297% 8/14/20 (c) | 1,610,000 | 1,601,542 | |
BAT International Finance PLC 3 month U.S. LIBOR + 0.510% 1.83% 6/15/18 (a)(b)(c) | 15,000,000 | 15,023,508 | |
Imperial Tobacco Finance PLC 2.05% 2/11/18 (c) | 2,950,000 | 2,950,561 | |
Philip Morris International, Inc. 1.875% 11/1/19 | 10,000,000 | 9,953,666 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 780,000 | 781,571 | |
8.125% 6/23/19 | 360,000 | 391,284 | |
35,727,290 | |||
TOTAL CONSUMER STAPLES | 83,489,992 | ||
ENERGY - 0.7% | |||
Oil, Gas & Consumable Fuels - 0.7% | |||
BP Capital Markets PLC 3 month U.S. LIBOR + 0.350% 1.7629% 8/14/18 (a)(b) | 20,000,000 | 20,035,824 | |
Canadian Natural Resources Ltd. 1.75% 1/15/18 | 580,000 | 579,752 | |
Cenovus Energy, Inc. 5.7% 10/15/19 | 630,000 | 664,121 | |
Chevron Corp. 3 month U.S. LIBOR + 0.480% 1.7961% 3/3/22 (a)(b) | 4,700,000 | 4,748,977 | |
China Shenhua Overseas Capital Co. Ltd.: | |||
2.5% 1/20/18 (Reg. S) | 2,235,000 | 2,235,054 | |
3.125% 1/20/20 (Reg. S) | 1,740,000 | 1,748,871 | |
Columbia Pipeline Group, Inc. 2.45% 6/1/18 | 460,000 | 460,772 | |
ConocoPhillips Co. 1.05% 12/15/17 | 750,000 | 749,823 | |
DCP Midstream Operating LP 2.5% 12/1/17 | 1,410,000 | 1,410,000 | |
Encana Corp. 6.5% 5/15/19 | 605,000 | 637,883 | |
Energy Transfer Partners LP 6.7% 7/1/18 | 275,000 | 282,194 | |
Enterprise Products Operating LP 2.55% 10/15/19 | 385,000 | 386,360 | |
Exxon Mobil Corp. 1.305% 3/6/18 | 1,740,000 | 1,739,104 | |
Hess Corp. 8.125% 2/15/19 | 600,000 | 638,393 | |
Kinder Morgan Energy Partners LP 5.95% 2/15/18 | 655,000 | 660,251 | |
ONEOK Partners LP 3.2% 9/15/18 | 2,075,000 | 2,091,848 | |
Origin Energy Finance Ltd. 3.5% 10/9/18 (c) | 1,505,000 | 1,517,341 | |
Panhandle Eastern Pipe Line Co. LP 7% 6/15/18 | 725,000 | 744,480 | |
Petroleos Mexicanos 3.5% 7/23/20 | 985,000 | 1,000,819 | |
Phillips 66 Co. 3 month U.S. LIBOR + 0.650% 2.0092% 4/15/19 (a)(b)(c) | 530,000 | 530,564 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
5.75% 1/15/20 | 440,000 | 464,983 | |
6.5% 5/1/18 | 2,375,000 | 2,413,710 | |
Sabine Pass Liquefaction LLC 5.625% 2/1/21 (a) | 1,020,000 | 1,095,911 | |
Shell International Finance BV 3 month U.S. LIBOR + 0.350% 1.6603% 9/12/19 (a)(b) | 10,000,000 | 10,054,208 | |
TransCanada PipeLines Ltd.: | |||
3 month U.S. LIBOR + 0.275% 1.6969% 11/15/19 (a)(b) | 12,000,000 | 12,002,820 | |
3 month U.S. LIBOR + 0.790% 2.1467% 1/12/18 (a)(b) | 3,000,000 | 3,001,997 | |
Valero Energy Corp. 9.375% 3/15/19 | 735,000 | 800,734 | |
72,696,794 | |||
FINANCIALS - 10.2% | |||
Banks - 6.2% | |||
Abbey National PLC 2.125% 11/3/20 | 570,000 | 565,422 | |
ABN AMRO Bank NV: | |||
3 month U.S. LIBOR + 0.640% 1.9939% 1/18/19 (a)(b)(c) | 10,000,000 | 10,048,970 | |
2.1% 1/18/19 (c) | 1,780,000 | 1,779,681 | |
2.5% 10/30/18 (c) | 11,550,000 | 11,602,056 | |
ANZ Banking Group Ltd. 3 month U.S. LIBOR + 0.500% 1.9357% 8/19/20 (a)(b)(c) | 7,000,000 | 7,033,461 | |
ANZ National International Ltd. 2.2% 7/17/20 (c) | 825,000 | 821,094 | |
Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.560% 1.9759% 5/15/18 (a)(b) | 7,330,000 | 7,345,261 | |
Banco de Credito del Peru 2.25% 10/25/19 (c) | 280,000 | 280,000 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.650% 1.9711% 10/1/21 (a)(b) | 10,880,000 | 10,923,493 | |
3 month U.S. LIBOR + 0.870% 2.205% 4/1/19 (a)(b) | 22,130,000 | 22,311,687 | |
3 month U.S. LIBOR + 1.070% 2.3931% 3/22/18 (a)(b) | 7,466,000 | 7,486,951 | |
3 month U.S. LIBOR + 1.160% 2.5226% 1/20/23 (a)(b) | 1,480,000 | 1,509,228 | |
2% 1/11/18 | 715,000 | 715,193 | |
2.503% 10/21/22 | 635,000 | 626,319 | |
2.625% 4/19/21 | 715,000 | 716,822 | |
5.625% 7/1/20 | 370,000 | 399,176 | |
5.65% 5/1/18 | 425,000 | 431,567 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.440% 1.76% 6/15/20 (a)(b) | 10,000,000 | 10,033,387 | |
3 month U.S. LIBOR + 0.600% 1.9103% 12/12/19 (a)(b) | 5,000,000 | 5,039,345 | |
1.75% 9/11/19 | 2,340,000 | 2,323,435 | |
Bank of Nova Scotia 3 month U.S. LIBOR + 0.830% 2.1892% 1/15/19 (a)(b) | 5,000,000 | 5,036,300 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. 3 month U.S. LIBOR + 1.020% 2.3392% 9/14/18 (a)(b)(c) | 5,000,000 | 5,034,285 | |
Banque Federative du Credit Mutuel SA: | |||
3 month U.S. LIBOR + 0.490% 1.8526% 7/20/20 (a)(b)(c) | 15,000,000 | 15,049,888 | |
2.2% 7/20/20 (c) | 940,000 | 934,911 | |
2.5% 10/29/18 (c) | 1,405,000 | 1,411,241 | |
Barclays Bank PLC: | |||
3 month U.S. LIBOR + 0.650% 2.0419% 8/7/20 (a)(b) | 15,000,000 | 15,070,823 | |
6.05% 12/4/17 (c) | 1,440,000 | 1,440,000 | |
Barclays PLC 3 month U.S. LIBOR + 1.625% 2.9753% 1/10/23 (a)(b) | 1,525,000 | 1,564,972 | |
BB&T Corp.: | |||
3 month U.S. LIBOR + 0.660% 2.0368% 2/1/19 (a)(b) | 2,301,000 | 2,313,977 | |
3 month U.S. LIBOR + 0.860% 2.18% 6/15/18 (a)(b) | 6,575,000 | 6,598,833 | |
2.15% 2/1/21 | 1,160,000 | 1,150,295 | |
BPCE SA: | |||
3 month U.S. LIBOR + 1.220% 2.6659% 5/22/22 (a)(b)(c) | 605,000 | 613,894 | |
2.5% 12/10/18 | 2,130,000 | 2,139,316 | |
Branch Banking & Trust Co. 3 month U.S. LIBOR + 0.450% 1.8092% 1/15/20 (a)(b) | 5,000,000 | 5,021,744 | |
Canadian Imperial Bank of Commerce 3 month U.S. LIBOR + 0.520% 1.8361% 9/6/19 (a)(b) | 15,000,000 | 15,075,337 | |
Capital One NA: | |||
3 month U.S. LIBOR + 0.765% 2.0817% 9/13/19 (a)(b) | 10,000,000 | 10,069,821 | |
2.35% 8/17/18 | 915,000 | 916,981 | |
2.35% 1/31/20 | 915,000 | 911,943 | |
Citibank NA: | |||
3 month U.S. LIBOR + 0.300% 1.6539% 10/20/20 (a)(b) | 4,500,000 | 4,493,968 | |
1.85% 9/18/19 | 7,000,000 | 6,963,735 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 0.790% 2.1403% 1/10/20 (a)(b) | 5,905,000 | 5,953,273 | |
3 month U.S. LIBOR + 0.860% 2.1772% 12/7/18 (a)(b) | 10,000,000 | 10,056,908 | |
3 month U.S. LIBOR + 0.930% 2.2472% 6/7/19 (a)(b) | 25,000,000 | 25,224,396 | |
1.7% 4/27/18 | 1,065,000 | 1,064,368 | |
1.8% 2/5/18 | 1,205,000 | 1,205,139 | |
2.05% 6/7/19 | 510,000 | 508,216 | |
2.9% 12/8/21 | 1,495,000 | 1,503,506 | |
Citizens Bank NA: | |||
3 month U.S. LIBOR + 0.540% 1.8561% 3/2/20 (a)(b) | 15,000,000 | 15,041,454 | |
3 month U.S. LIBOR + 0.570% 2.0321% 5/26/20 (a)(b) | 10,000,000 | 10,024,848 | |
2.25% 3/2/20 | 685,000 | 682,432 | |
2.45% 12/4/19 | 260,000 | 260,221 | |
2.55% 5/13/21 | 520,000 | 518,348 | |
Commonwealth Bank of Australia: | |||
3 month U.S. LIBOR + 0.640% 2.0319% 11/7/19 (a)(b)(c) | 10,000,000 | 10,073,713 | |
3 month U.S. LIBOR + 0.790% 2.1712% 11/2/18 (a)(b)(c) | 12,578,000 | 12,648,519 | |
1.75% 11/2/18 | 2,126,000 | 2,122,869 | |
Danske Bank A/S 2.2% 3/2/20 (c) | 1,345,000 | 1,340,731 | |
Discover Bank: | |||
2% 2/21/18 | 340,000 | 340,085 | |
2.6% 11/13/18 | 590,000 | 592,703 | |
7% 4/15/20 | 1,610,000 | 1,763,500 | |
Fifth Third Bank: | |||
3 month U.S. LIBOR + 0.590% 1.9197% 9/27/19 (a)(b) | 5,000,000 | 5,029,900 | |
3 month U.S. LIBOR + 0.910% 2.3457% 8/20/18 (a)(b) | 5,000,000 | 5,024,525 | |
First Niagara Financial Group, Inc. 7.25% 12/15/21 | 325,000 | 375,655 | |
HBOS PLC 6.75% 5/21/18 (c) | 415,000 | 423,897 | |
HSBC Bank PLC 3 month U.S. LIBOR + 0.640% 2.0559% 5/15/18 (a)(b)(c) | 1,365,000 | 1,368,037 | |
HSBC U.S.A., Inc.: | |||
3 month U.S. LIBOR + 0.610% 2.0229% 11/13/19 (a)(b) | 15,000,000 | 15,089,301 | |
1.625% 1/16/18 | 1,260,000 | 1,260,011 | |
Huntington National Bank: | |||
3 month U.S. LIBOR + 0.510% 1.8272% 3/10/20 (a)(b) | 9,027,000 | 9,072,408 | |
2.2% 11/6/18 | 770,000 | 771,117 | |
2.375% 3/10/20 | 1,465,000 | 1,465,575 | |
ING Bank NV 3 month U.S. LIBOR + 0.690% 2.025% 10/1/19 (a)(b)(c) | 5,000,000 | 5,032,822 | |
ING Groep NV 3 month U.S. LIBOR + 1.150% 2.4828% 3/29/22 (a)(b) | 735,000 | 749,162 | |
Intesa Sanpaolo SpA 3.875% 1/15/19 | 875,000 | 888,983 | |
JP Morgan Chase Bank NA: | |||
3 month U.S. LIBOR + 0.400% 1.7761% 9/21/18 (a)(b) | 10,000,000 | 10,022,761 | |
3 month U.S. LIBOR + 0.590% 1.9183% 9/23/19 (a)(b) | 10,000,000 | 10,075,099 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 0.550% 1.8672% 3/9/21 (a)(b) | 1,485,000 | 1,488,666 | |
3 month U.S. LIBOR + 0.900% 2.2674% 1/25/18 (a)(b) | 19,350,000 | 19,371,401 | |
3 month U.S. LIBOR + 0.955% 2.3175% 1/23/20 (a)(b) | 5,000,000 | 5,065,599 | |
Mitsubishi UFJ Financial Group, Inc. 3 month U.S. LIBOR + 0.920% 2.3659% 2/22/22 (a)(b) | 840,000 | 848,232 | |
Mizuho Bank Ltd.: | |||
3 month U.S. LIBOR + 0.640% 1.9694% 3/26/18 (a)(b)(c) | 10,800,000 | 10,818,218 | |
3 month U.S. LIBOR + 1.190% 2.5526% 10/20/18 (a)(b)(c) | 10,000,000 | 10,089,830 | |
2.15% 10/20/18 (c) | 690,000 | 690,392 | |
MUFG Americas Holdings Corp. 3 month U.S. LIBOR + 0.570% 1.9726% 2/9/18 (a)(b) | 9,000,000 | 9,003,615 | |
Nordea Bank AB: | |||
3 month U.S. LIBOR + 0.470% 1.9473% 5/29/20 (a)(b)(c) | 10,000,000 | 10,051,900 | |
3 month U.S. LIBOR + 0.840% 2.1611% 9/17/18 (a)(b)(c) | 14,000,000 | 14,084,747 | |
PNC Bank NA: | |||
3 month U.S. LIBOR + 0.360% 1.7957% 5/19/20 (a)(b) | 10,000,000 | 10,023,600 | |
1.8% 11/5/18 | 1,300,000 | 1,298,872 | |
PNC Financial Services Group, Inc. 3 month U.S. LIBOR + 0.250% 1.6419% 8/7/18 (a)(b) | 10,000,000 | 10,009,622 | |
Royal Bank of Canada: | |||
3 month U.S. LIBOR + 0.350% 1.6961% 3/2/20 (a)(b) | 10,000,000 | 10,033,544 | |
1.5% 6/7/18 | 5,000,000 | 4,993,443 | |
Santander UK Group Holdings PLC 2.875% 10/16/20 | 820,000 | 824,768 | |
Skandinaviska Enskilda Banken AB 1.5% 9/13/19 | 1,480,000 | 1,462,640 | |
Standard Chartered PLC 2.1% 8/19/19 (c) | 390,000 | 387,751 | |
Sumitomo Mitsui Banking Corp.: | |||
3 month U.S. LIBOR + 0.540% 1.8964% 1/11/19 (a)(b) | 17,900,000 | 17,961,022 | |
3 month U.S. LIBOR + 0.580% 1.9392% 1/16/18 (a)(b) | 5,000,000 | 5,002,500 | |
1.762% 10/19/18 | 435,000 | 434,260 | |
Sumitomo Mitsui Trust Bank Ltd.: | |||
1.8% 3/28/18 (c) | 1,815,000 | 1,814,940 | |
1.95% 9/19/19 (c) | 605,000 | 601,408 | |
SunTrust Bank 3 month U.S. LIBOR + 0.530% 1.9101% 1/31/20 (a)(b) | 10,000,000 | 10,056,403 | |
SunTrust Banks, Inc. 2.35% 11/1/18 | 645,000 | 647,009 | |
Swedbank AB 1.75% 3/12/18 (c) | 2,835,000 | 2,833,441 | |
The Toronto-Dominion Bank 3 month U.S. LIBOR + 0.650% 2.0629% 8/13/19 (a)(b) | 10,000,000 | 10,082,004 | |
U.S. Bancorp 3 month U.S. LIBOR + 0.490% 1.9059% 11/15/18 (a)(b) | 6,505,000 | 6,526,193 | |
U.S. Bank NA: | |||
3 month U.S. LIBOR + 0.150% 1.6123% 5/24/19 (a)(b) | 10,000,000 | 10,002,362 | |
3 month U.S. LIBOR + 0.300% 1.6706% 1/26/18 (a)(b) | 10,000,000 | 10,001,264 | |
Wells Fargo & Co. 3 month U.S. LIBOR + 0.400% 1.7192% 9/14/18 (a)(b) | 5,000,000 | 5,010,900 | |
Wells Fargo Bank NA 3 month U.S. LIBOR + 0.500% 1.9676% 11/28/18 (a)(b) | 10,000,000 | 10,040,104 | |
Westpac Banking Corp.: | |||
3 month U.S. LIBOR + 0.560% 1.9957% 8/19/19 (a)(b) | 9,250,000 | 9,298,378 | |
3 month U.S. LIBOR + 0.740% 2.2023% 11/23/18 (a)(b) | 5,000,000 | 5,029,701 | |
597,268,023 | |||
Capital Markets - 1.7% | |||
CBOE Holdings, Inc. 1.95% 6/28/19 | 620,000 | 616,715 | |
Deutsche Bank AG London Branch: | |||
3 month U.S. LIBOR + 1.450% 2.8039% 1/18/19 (a)(b) | 19,490,000 | 19,703,788 | |
3 month U.S. LIBOR + 1.910% 3.3198% 5/10/19 (a)(b) | 10,000,000 | 10,211,990 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.780% 2.1601% 10/31/22 (a)(b) | 510,000 | 509,007 | |
3 month U.S. LIBOR + 0.800% 2.1167% 12/13/19 (a)(b) | 10,000,000 | 10,081,712 | |
3 month U.S. LIBOR + 0.800% 2.12% 12/15/17 (a)(b) | 10,000,000 | 10,002,760 | |
3 month U.S. LIBOR + 1.040% 2.4074% 4/25/19 (a)(b) | 3,866,000 | 3,903,984 | |
3 month U.S. LIBOR + 1.100% 2.5159% 11/15/18 (a)(b) | 10,000,000 | 10,076,300 | |
3 month U.S. LIBOR + 1.110% 2.4806% 4/26/22 (a)(b) | 1,140,000 | 1,155,574 | |
1.95% 7/23/19 | 525,000 | 522,237 | |
2.3% 12/13/19 | 810,000 | 808,820 | |
2.375% 1/22/18 | 5,000,000 | 5,003,950 | |
2.75% 9/15/20 | 220,000 | 221,175 | |
6.15% 4/1/18 | 3,580,000 | 3,629,726 | |
Legg Mason, Inc. 2.7% 7/15/19 | 185,000 | 186,203 | |
Merrill Lynch & Co., Inc. 6.875% 4/25/18 | 1,465,000 | 1,493,552 | |
Moody's Corp. 3 month U.S. LIBOR + 0.350% 1.6661% 9/4/18 (a)(b) | 15,000,000 | 15,017,519 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.740% 2.1025% 7/23/19 (a)(b) | 5,000,000 | 5,030,540 | |
3 month U.S. LIBOR + 0.800% 2.2129% 2/14/20 (a)(b) | 10,000,000 | 10,046,119 | |
3 month U.S. LIBOR + 0.850% 2.2148% 1/24/19 (a)(b) | 3,265,000 | 3,285,048 | |
3 month U.S. LIBOR + 1.375% 2.7518% 2/1/19 (a)(b) | 20,000,000 | 20,251,699 | |
2.125% 4/25/18 | 500,000 | 500,464 | |
2.45% 2/1/19 | 880,000 | 882,819 | |
6.625% 4/1/18 | 490,000 | 497,417 | |
S&P Global, Inc. 2.5% 8/15/18 | 230,000 | 230,767 | |
UBS AG London Branch 3 month U.S. LIBOR + 0.580% 1.8972% 6/8/20 (a)(b)(c) | 18,790,000 | 18,889,512 | |
UBS AG Stamford Branch 3 month U.S. LIBOR + 0.640% 2.0529% 8/14/19 (a)(b) | 4,329,000 | 4,359,398 | |
UBS Group Funding AG 3 month U.S. LIBOR + 1.220% 2.5344% 5/23/23 (a)(b)(c) | 880,000 | 893,937 | |
UBS Group Funding Ltd. 3% 4/15/21 (c) | 1,495,000 | 1,507,456 | |
159,520,188 | |||
Consumer Finance - 1.0% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.95% 2/1/22 | 1,070,000 | 1,106,310 | |
American Express Co. 3 month U.S. LIBOR + 0.590% 2.0359% 5/22/18 (a)(b) | 1,975,000 | 1,979,337 | |
American Express Credit Corp.: | |||
3 month U.S. LIBOR + 0.330% 1.7148% 5/3/19 (a)(b) | 5,000,000 | 5,012,672 | |
3 month U.S. LIBOR + 0.430% 1.7461% 3/3/20 (a)(b) | 15,000,000 | 15,046,978 | |
Capital One Financial Corp.: | |||
3 month U.S. LIBOR + 0.760% 2.1729% 5/12/20 (a)(b) | 10,000,000 | 10,065,896 | |
2.4% 10/30/20 | 350,000 | 348,293 | |
Caterpillar Financial Services Corp.: | |||
3 month U.S. LIBOR + 0.510% 1.8603% 1/10/20 (a)(b) | 5,000,000 | 5,036,562 | |
1.5% 2/23/18 | 5,000,000 | 4,998,800 | |
Ford Motor Credit Co. LLC: | |||
3 month U.S. LIBOR + 0.900% 2.22% 6/15/18 (a)(b) | 22,000,000 | 22,063,996 | |
3 month U.S. LIBOR + 1.000% 2.3503% 1/9/20 (a)(b) | 7,000,000 | 7,079,940 | |
2.021% 5/3/19 | 570,000 | 567,124 | |
2.375% 1/16/18 | 445,000 | 445,240 | |
2.551% 10/5/18 | 1,385,000 | 1,391,358 | |
Hyundai Capital America: | |||
1.75% 9/27/19 (c) | 545,000 | 534,889 | |
2% 7/1/19 (c) | 480,000 | 473,977 | |
2.4% 10/30/18 (c) | 850,000 | 848,911 | |
2.5% 3/18/19 (c) | 1,455,000 | 1,451,385 | |
Toyota Motor Credit Corp.: | |||
3 month U.S. LIBOR + 0.380% 1.7267% 4/6/18 (a)(b) | 5,000,000 | 5,006,188 | |
3 month U.S. LIBOR + 0.820% 2.2557% 2/19/19 (a)(b) | 15,000,000 | 15,138,661 | |
98,596,517 | |||
Diversified Financial Services - 0.3% | |||
Berkshire Hathaway Finance Corp.: | |||
3 month U.S. LIBOR + 0.250% 1.6064% 1/11/19 (a)(b) | 10,000,000 | 10,025,750 | |
3 month U.S. LIBOR + 0.690% 2.01% 3/15/19 (a)(b) | 10,000,000 | 10,081,151 | |
Boral Finance Pty Ltd. 3% 11/1/22 (c) | 135,000 | 134,200 | |
Brixmor Operating Partnership LP 3.875% 8/15/22 | 170,000 | 174,554 | |
Broadcom Corp./Broadcom Cayman LP: | |||
2.375% 1/15/20 (c) | 1,640,000 | 1,626,138 | |
3% 1/15/22 (c) | 1,540,000 | 1,522,141 | |
ENEL Finance International NV 2.875% 5/25/22 (c) | 1,175,000 | 1,172,664 | |
Nationwide Building Society 2.35% 1/21/20 (c) | 755,000 | 754,335 | |
USAA Capital Corp. 3 month U.S. LIBOR + 0.230% 1.6068% 2/1/19 (a)(b)(c) | 7,140,000 | 7,144,575 | |
32,635,508 | |||
Insurance - 1.0% | |||
ACE INA Holdings, Inc.: | |||
2.3% 11/3/20 | 970,000 | 971,229 | |
5.8% 3/15/18 | 1,000,000 | 1,011,065 | |
AIA Group Ltd. 2.25% 3/11/19 (c) | 336,000 | 334,288 | |
Aon PLC 2.8% 3/15/21 | 1,320,000 | 1,327,827 | |
CNA Financial Corp. 6.95% 1/15/18 | 290,000 | 291,570 | |
Marsh & McLennan Companies, Inc. 2.55% 10/15/18 | 575,000 | 577,171 | |
MassMutual Global Funding II 1.55% 10/11/19 (c) | 1,476,000 | 1,458,934 | |
Metropolitan Life Global Funding I: | |||
3 month U.S. LIBOR + 0.340% 1.6592% 9/14/18 (a)(b)(c) | 15,000,000 | 15,035,400 | |
3 month U.S. LIBOR + 0.400% 1.7103% 6/12/20 (a)(b)(c) | 10,000,000 | 10,037,961 | |
1.75% 9/19/19 (c) | 1,545,000 | 1,530,759 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.180% 1.5267% 7/6/18 (a)(b)(c) | 5,000,000 | 5,003,973 | |
3 month U.S. LIBOR + 0.390% 1.7548% 10/24/19 (a)(b)(c) | 10,000,000 | 10,052,047 | |
3 month U.S. LIBOR + 0.400% 1.7467% 4/6/18 (a)(b)(c) | 5,000,000 | 5,006,010 | |
1.55% 11/2/18 (c) | 2,430,000 | 2,423,883 | |
Principal Financial Group, Inc. 1.5% 4/18/19 (c) | 550,000 | 545,711 | |
Principal Life Global Funding II: | |||
3 month U.S. LIBOR + 0.300% 1.7407% 5/21/18 (a)(b)(c) | 5,000,000 | 5,004,587 | |
3 month U.S. LIBOR + 0.500% 1.8161% 12/1/17 (a)(b)(c) | 10,000,000 | 10,000,000 | |
2.2% 4/8/20 (c) | 1,000,000 | 996,992 | |
Provident Companies, Inc. 7% 7/15/18 | 265,000 | 272,547 | |
Prudential Financial, Inc. 3 month U.S. LIBOR + 0.780% 2.1959% 8/15/18 (a)(b) | 19,374,000 | 19,463,942 | |
Reinsurance Group of America, Inc. 6.45% 11/15/19 | 420,000 | 451,649 | |
Trinity Acquisition PLC 3.5% 9/15/21 | 335,000 | 340,018 | |
Xlit Ltd. 2.3% 12/15/18 | 925,000 | 925,953 | |
93,063,516 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 6.113% 1/15/20 (c) | 505,000 | 534,713 | |
TOTAL FINANCIALS | 981,618,465 | ||
HEALTH CARE - 0.7% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
1.8% 5/14/18 | 3,100,000 | 3,099,718 | |
2.3% 5/14/21 | 850,000 | 841,651 | |
Baxalta, Inc.: | |||
3 month U.S. LIBOR + 0.780% 2.1031% 6/22/18 (a)(b) | 515,000 | 516,250 | |
2% 6/22/18 | 175,000 | 175,109 | |
Biogen, Inc. 2.9% 9/15/20 | 510,000 | 517,207 | |
Celgene Corp.: | |||
2.125% 8/15/18 | 640,000 | 641,605 | |
2.3% 8/15/18 | 1,310,000 | 1,315,319 | |
7,106,859 | |||
Health Care Equipment & Supplies - 0.1% | |||
Abbott Laboratories: | |||
2.35% 11/22/19 | 2,480,000 | 2,482,926 | |
2.9% 11/30/21 | 1,075,000 | 1,081,126 | |
Becton, Dickinson & Co.: | |||
2.404% 6/5/20 | 1,195,000 | 1,187,353 | |
2.675% 12/15/19 | 1,160,000 | 1,165,255 | |
5,916,660 | |||
Health Care Providers & Services - 0.3% | |||
Aetna, Inc. 3 month U.S. LIBOR + 0.650% 1.9672% 12/8/17 (a)(b) | 10,000,000 | 10,000,513 | |
Anthem, Inc. 2.5% 11/21/20 | 665,000 | 665,325 | |
Catholic Health Initiatives 2.6% 8/1/18 | 745,000 | 748,288 | |
Express Scripts Holding Co.: | |||
3 month U.S. LIBOR + 0.750% 2.198% 11/30/20 (a)(b) | 11,480,000 | 11,482,507 | |
2.25% 6/15/19 | 160,000 | 159,847 | |
HCA Holdings, Inc. 3.75% 3/15/19 | 1,960,000 | 1,984,500 | |
Humana, Inc. 2.625% 10/1/19 | 890,000 | 893,190 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 710,000 | 738,429 | |
WellPoint, Inc. 2.3% 7/15/18 | 995,000 | 996,741 | |
27,669,340 | |||
Pharmaceuticals - 0.2% | |||
Actavis Funding SCS: | |||
3 month U.S. LIBOR + 1.080% 2.3903% 3/12/18 (a)(b) | 5,356,000 | 5,368,262 | |
2.35% 3/12/18 | 1,410,000 | 1,411,898 | |
Johnson & Johnson 1.95% 11/10/20 | 460,000 | 458,583 | |
Shire Acquisitions Investments Ireland DAC 1.9% 9/23/19 | 2,905,000 | 2,877,054 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
1.4% 7/20/18 | 11,805,000 | 11,697,721 | |
1.7% 7/19/19 | 1,930,000 | 1,868,719 | |
23,682,237 | |||
TOTAL HEALTH CARE | 64,375,096 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.0% | |||
Arconic, Inc. 5.72% 2/23/19 | 125,000 | 129,575 | |
Rockwell Collins, Inc. 1.95% 7/15/19 | 455,000 | 453,317 | |
582,892 | |||
Air Freight & Logistics - 0.0% | |||
United Parcel Service, Inc. 2.5% 4/1/23 | 995,000 | 988,123 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc.: | |||
2.6% 12/4/20 | 290,000 | 289,531 | |
2.875% 3/13/20 | 1,880,000 | 1,892,809 | |
Southwest Airlines Co. 2.75% 11/6/19 | 640,000 | 646,285 | |
2,828,625 | |||
Electrical Equipment - 0.0% | |||
Fortive Corp. 1.8% 6/15/19 | 145,000 | 144,032 | |
Industrial Conglomerates - 0.2% | |||
Honeywell International, Inc.: | |||
3 month U.S. LIBOR + 0.350% 1.658% 10/30/19 (a)(b) | 15,000,000 | 15,050,030 | |
1.8% 10/30/19 | 1,065,000 | 1,060,796 | |
Roper Technologies, Inc.: | |||
2.05% 10/1/18 | 1,775,000 | 1,775,050 | |
3% 12/15/20 | 195,000 | 198,017 | |
18,083,893 | |||
Machinery - 0.2% | |||
Caterpillar Financial Services Corp. 3 month U.S. LIBOR + 0.180% 1.4961% 12/6/18 (a)(b) | 10,000,000 | 10,007,831 | |
John Deere Capital Corp. 3 month U.S. LIBOR + 0.570% 1.9186% 1/8/19 (a)(b) | 5,000,000 | 5,026,318 | |
Stanley Black & Decker, Inc.: | |||
1.622% 11/17/18 | 80,000 | 79,701 | |
2.451% 11/17/18 | 2,660,000 | 2,672,147 | |
17,785,997 | |||
Professional Services - 0.0% | |||
Equifax, Inc. 2.3% 6/1/21 | 305,000 | 295,944 | |
Road & Rail - 0.1% | |||
Eastern Creation II Investment Holdings Ltd. 2.75% 9/26/20 | 205,000 | 204,250 | |
J.B. Hunt Transport Services, Inc. 2.4% 3/15/19 | 235,000 | 235,478 | |
Kansas City Southern 2.35% 5/15/20 | 1,515,000 | 1,514,831 | |
Penske Truck Leasing Co. LP: | |||
2.5% 6/15/19 (c) | 830,000 | 832,965 | |
2.875% 7/17/18 (c) | 1,675,000 | 1,684,509 | |
3.375% 3/15/18 (c) | 1,840,000 | 1,848,306 | |
6,320,339 | |||
Trading Companies & Distributors - 0.0% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 290,000 | 290,111 | |
2.125% 1/15/20 | 1,285,000 | 1,277,586 | |
GATX Corp.: | |||
2.375% 7/30/18 | 1,005,000 | 1,006,821 | |
2.5% 7/30/19 | 235,000 | 235,028 | |
2.6% 3/30/20 | 765,000 | 766,769 | |
3,576,315 | |||
Transportation Infrastructure - 0.0% | |||
HPHT Finance 15 Ltd. 2.25% 3/17/18 (c) | 1,281,000 | 1,280,097 | |
TOTAL INDUSTRIALS | 51,886,257 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Communications Equipment - 0.2% | |||
Cisco Systems, Inc. 3 month U.S. LIBOR + 0.310% 1.63% 6/15/18 (a)(b) | 15,000,000 | 15,022,049 | |
Harris Corp. 1.999% 4/27/18 | 1,665,000 | 1,665,829 | |
16,687,878 | |||
Electronic Equipment & Components - 0.0% | |||
Jabil, Inc. 8.25% 3/15/18 | 1,110,000 | 1,125,596 | |
Keysight Technologies, Inc. 3.3% 10/30/19 | 2,665,000 | 2,688,704 | |
3,814,300 | |||
Internet Software & Services - 0.1% | |||
Alibaba Group Holding Ltd. 2.5% 11/28/19 | 1,965,000 | 1,970,858 | |
Baidu.com, Inc. 2.75% 6/9/19 | 1,330,000 | 1,334,111 | |
eBay, Inc. 2.15% 6/5/20 | 805,000 | 799,833 | |
Tencent Holdings Ltd.: | |||
2.875% 2/11/20 (c) | 390,000 | 393,216 | |
3.375% 5/2/19 (c) | 720,000 | 730,158 | |
5,228,176 | |||
IT Services - 0.0% | |||
DXC Technology Co.: | |||
3 month U.S. LIBOR + 0.950% 2.2661% 3/1/21 (a)(b) | 1,860,000 | 1,866,786 | |
2.875% 3/27/20 | 975,000 | 981,942 | |
Fidelity National Information Services, Inc. 2.25% 8/15/21 | 1,080,000 | 1,062,357 | |
3,911,085 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Qualcomm, Inc. 2.1% 5/20/20 | 615,000 | 610,202 | |
Technology Hardware, Storage & Peripherals - 0.2% | |||
Apple, Inc.: | |||
3 month U.S. LIBOR + 0.140% 1.5314% 8/2/19 (a)(b) | 10,000,000 | 10,015,447 | |
1.8% 11/13/19 | 1,425,000 | 1,421,284 | |
Hewlett Packard Enterprise Co.: | |||
2.1% 10/4/19 (c) | 595,000 | 590,870 | |
2.85% 10/5/18 | 915,000 | 920,565 | |
Seagate HDD Cayman 3.75% 11/15/18 | 865,000 | 877,759 | |
Xerox Corp.: | |||
2.75% 3/15/19 | 605,000 | 604,791 | |
5.625% 12/15/19 | 1,125,000 | 1,182,539 | |
15,613,255 | |||
TOTAL INFORMATION TECHNOLOGY | 45,864,896 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Air Liquide Finance 1.375% 9/27/19 (c) | 1,470,000 | 1,447,963 | |
LyondellBasell Industries NV: | |||
5% 4/15/19 | 200,000 | 205,777 | |
6% 11/15/21 | 615,000 | 683,034 | |
Sherwin-Williams Co. 2.25% 5/15/20 | 3,065,000 | 3,051,316 | |
Solvay Finance America LLC 3.4% 12/3/20 (c) | 950,000 | 971,079 | |
Westlake Chemical Corp. 4.625% 2/15/21 | 1,235,000 | 1,272,050 | |
7,631,219 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 3 month U.S. LIBOR + 0.650% 2.0959% 5/22/20 (a)(b) | 330,000 | 331,393 | |
Vulcan Materials Co. 3 month U.S. LIBOR + 0.600% 1.92% 6/15/20 (a)(b) | 790,000 | 792,034 | |
1,123,427 | |||
Metals & Mining - 0.0% | |||
Anglo American Capital PLC: | |||
3.625% 5/14/20 (c) | 590,000 | 602,386 | |
9.375% 4/8/19 (c) | 1,290,000 | 1,406,423 | |
Goldcorp, Inc. 2.125% 3/15/18 | 2,477,000 | 2,479,088 | |
4,487,897 | |||
TOTAL MATERIALS | 13,242,543 | ||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
American Campus Communities Operating Partnership LP 3.35% 10/1/20 | 865,000 | 883,087 | |
ARC Properties Operating Partnership LP 3% 2/6/19 | 2,630,000 | 2,646,384 | |
Crown Castle International Corp.: | |||
2.25% 9/1/21 | 1,195,000 | 1,175,351 | |
3.4% 2/15/21 | 860,000 | 879,193 | |
Kilroy Realty LP 4.8% 7/15/18 | 690,000 | 699,127 | |
Kimco Realty Corp. 6.875% 10/1/19 | 455,000 | 491,311 | |
Simon Property Group LP 1.5% 2/1/18 (c) | 4,239,000 | 4,238,374 | |
11,012,827 | |||
Real Estate Management & Development - 0.1% | |||
Bestgain Real Estate Ltd. 2.625% 3/13/18 (Reg. S) | 2,805,000 | 2,804,125 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 410,000 | 410,205 | |
4% 4/30/19 | 1,230,000 | 1,255,387 | |
WEA Finance LLC/Westfield UK & Europe Finance PLC: | |||
2.7% 9/17/19 (c) | 1,500,000 | 1,506,637 | |
3.25% 10/5/20 (c) | 235,000 | 238,058 | |
6,214,412 | |||
TOTAL REAL ESTATE | 17,227,239 | ||
TELECOMMUNICATION SERVICES - 0.6% | |||
Diversified Telecommunication Services - 0.6% | |||
AT&T, Inc.: | |||
3 month U.S. LIBOR + 0.910% 2.3721% 11/27/18 (a)(b) | 9,254,000 | 9,319,823 | |
2.3% 3/11/19 | 690,000 | 690,858 | |
BellSouth Corp. 4.285% 4/26/18 (a)(c) | 4,420,000 | 4,461,277 | |
British Telecommunications PLC: | |||
2.35% 2/14/19 | 5,000,000 | 5,012,743 | |
5.95% 1/15/18 | 4,251,000 | 4,272,127 | |
Deutsche Telekom International Financial BV 3 month U.S. LIBOR + 0.580% 1.9333% 1/17/20 (a)(b)(c) | 10,000,000 | 10,027,636 | |
SBA Tower Trust: | |||
2.24% 4/16/18 (c) | 820,000 | 820,130 | |
2.877% 7/10/46 (c) | 370,000 | 367,225 | |
3.156% 10/15/20 (c) | 265,000 | 264,010 | |
3.168% 4/9/47 (c) | 915,000 | 914,225 | |
Telecom Italia Capital SA 6.999% 6/4/18 | 1,622,000 | 1,658,495 | |
Telefonica Emisiones S.A.U. 3.192% 4/27/18 | 735,000 | 738,608 | |
Verizon Communications, Inc. 3 month U.S. LIBOR + 0.550% 1.9959% 5/22/20 (a)(b) | 25,000,000 | 25,114,862 | |
63,662,019 | |||
UTILITIES - 0.7% | |||
Electric Utilities - 0.5% | |||
EDP Finance BV 6% 2/2/18 (c) | 431,000 | 433,620 | |
FirstEnergy Corp. 2.85% 7/15/22 | 885,000 | 879,007 | |
Florida Power & Light Co. 3 month U.S. LIBOR + 0.280% 1.6714% 11/6/20 (a)(b) | 10,000,000 | 9,999,998 | |
Georgia Power Co. 1.95% 12/1/18 | 460,000 | 459,761 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.649% 9/1/18 | 1,025,000 | 1,022,968 | |
2.3% 4/1/19 | 375,000 | 375,179 | |
PPL Capital Funding, Inc. 1.9% 6/1/18 | 865,000 | 864,509 | |
Southern Co.: | |||
1.55% 7/1/18 | 10,365,000 | 10,343,805 | |
1.85% 7/1/19 | 11,295,000 | 11,237,033 | |
2.35% 7/1/21 | 280,000 | 277,324 | |
State Grid Overseas Investment Ltd. 2.25% 5/4/20 (c) | 2,235,000 | 2,215,010 | |
TECO Finance, Inc. 3 month U.S. LIBOR + 0.600% 1.9503% 4/10/18 (a)(b) | 7,805,000 | 7,812,545 | |
Virginia Electric & Power Co. 1.2% 1/15/18 | 4,075,000 | 4,072,963 | |
49,993,722 | |||
Gas Utilities - 0.1% | |||
WGL Holdings, Inc. 3 month U.S. LIBOR + 0.400% 1.8773% 11/29/19 (a)(b) | 7,042,000 | 7,039,244 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Exelon Generation Co. LLC: | |||
2.95% 1/15/20 | 810,000 | 818,766 | |
5.2% 10/1/19 | 150,000 | 157,422 | |
Kinder Morgan Finance Co. LLC 6% 1/15/18 (c) | 700,000 | 703,209 | |
Southern Power Co. 1.85% 12/1/17 | 285,000 | 285,000 | |
1,964,397 | |||
Multi-Utilities - 0.1% | |||
CMS Energy Corp. 8.75% 6/15/19 | 715,000 | 782,304 | |
Dominion Resources, Inc.: | |||
1.5% 9/30/18 (c) | 700,000 | 697,736 | |
1.875% 1/15/19 | 415,000 | 413,222 | |
2.125% 2/15/18 (c) | 1,450,000 | 1,450,631 | |
2.579% 7/1/20 (a) | 410,000 | 410,256 | |
2.962% 7/1/19 | 330,000 | 332,784 | |
NiSource Finance Corp. 6.8% 1/15/19 | 171,000 | 179,531 | |
San Diego Gas & Electric Co. 1.914% 2/1/22 | 308,573 | 303,643 | |
Sempra Energy 1.625% 10/7/19 | 1,755,000 | 1,733,755 | |
6,303,862 | |||
TOTAL UTILITIES | 65,301,225 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,590,320,430) | 1,595,932,113 | ||
U.S. Government and Government Agency Obligations - 1.3% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae: | |||
1.25% 8/17/21 | $3,000,000 | $2,916,834 | |
1.5% 7/30/20 | 4,255,000 | 4,205,587 | |
Federal Home Loan Bank 0.875% 6/29/18 | 4,545,000 | 4,528,956 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 11,651,377 | ||
U.S. Treasury Obligations - 1.2% | |||
U.S. Treasury Notes: | |||
0.75% 7/15/19 | 40,000,000 | 39,350,000 | |
1% 11/15/19 | 920,000 | 906,128 | |
1.375% 9/15/20 | 6,090,000 | 6,007,690 | |
1.5% 6/15/20 | 4,500,000 | 4,459,570 | |
1.625% 11/30/20 (d) | 59,560,000 | 59,048,156 | |
TOTAL U.S. TREASURY OBLIGATIONS | 109,771,544 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $122,071,015) | 121,422,921 | ||
U.S. Government Agency - Mortgage Securities - 0.3% | |||
Fannie Mae - 0.2% | |||
12 month U.S. LIBOR + 1.528% 3.301% 7/1/35 (a)(b) | 14,107 | 14,733 | |
12 month U.S. LIBOR + 1.557% 3.182% 12/1/35 (a)(b) | 9,007 | 9,443 | |
12 month U.S. LIBOR + 1.655% 3.409% 8/1/37 (a)(b) | 13,353 | 14,021 | |
12 month U.S. LIBOR + 1.690% 3.52% 5/1/38 (a)(b) | 166,022 | 173,277 | |
12 month U.S. LIBOR + 1.788% 3.538% 5/1/38 (a)(b) | 41,203 | 43,289 | |
12 month U.S. LIBOR + 1.829% 3.597% 5/1/38 (a)(b) | 62,703 | 65,961 | |
12 month U.S. LIBOR + 1.830% 3.58% 4/1/38 (a)(b) | 24,187 | 25,345 | |
12 month U.S. LIBOR + 1.853% 3.603% 8/1/38 (a)(b) | 13,905 | 14,581 | |
12 month U.S. LIBOR + 2.040% 3.54% 12/1/36 (a)(b) | 17,056 | 18,018 | |
6 month U.S. LIBOR + 1.363% 2.825% 10/1/33 (a)(b) | 54,916 | 56,635 | |
3% 2/1/30 | 43,011 | 43,879 | |
3.5% 11/1/26 | 491,041 | 507,594 | |
4% 2/1/25 to 3/1/47 | 4,879,147 | 5,095,664 | |
4.5% 5/1/19 to 3/1/46 | 5,529,035 | 5,846,683 | |
5% 11/1/18 to 6/1/39 | 2,426,441 | 2,622,303 | |
5.5% 4/1/18 to 5/1/40 | 3,815,544 | 4,199,990 | |
6% 1/1/22 to 1/1/41 | 1,150,484 | 1,277,860 | |
6.5% 7/1/32 to 12/1/32 | 157,685 | 179,439 | |
TOTAL FANNIE MAE | 20,208,715 | ||
Fannie Mae Connecticut Avenue Securities - 0.0% | |||
1 month U.S. LIBOR + 0.750% 2.0786% 2/25/30 (a)(b) | 498,570 | 499,792 | |
Freddie Mac - 0.0% | |||
12 month U.S. LIBOR + 1.591% 3.341% 9/1/35 (a)(b) | 13,257 | 13,850 | |
12 month U.S. LIBOR + 1.625% 3.375% 7/1/38 (a)(b) | 25,645 | 26,768 | |
12 month U.S. LIBOR + 1.625% 3.416% 6/1/38 (a)(b) | 43,664 | 45,666 | |
12 month U.S. LIBOR + 1.726% 3.483% 7/1/35 (a)(b) | 21,057 | 22,082 | |
12 month U.S. LIBOR + 1.733% 3.358% 2/1/37 (a)(b) | 11,729 | 12,337 | |
12 month U.S. LIBOR + 1.733% 3.528% 10/1/36 (a)(b) | 86,367 | 90,534 | |
12 month U.S. LIBOR + 1.766% 3.541% 5/1/38 (a)(b) | 26,587 | 27,881 | |
12 month U.S. LIBOR + 1.775% 3.538% 5/1/37 (a)(b) | 16,768 | 17,585 | |
12 month U.S. LIBOR + 1.800% 3.394% 2/1/37 (a)(b) | 16,891 | 17,790 | |
12 month U.S. LIBOR + 1.965% 3.487% 11/1/36 (a)(b) | 5,034 | 5,313 | |
12 month U.S. LIBOR + 1.983% 3.566% 12/1/36 (a)(b) | 7,678 | 8,135 | |
12 month U.S. LIBOR + 2.076% 3.806% 2/1/38 (a)(b) | 63,907 | 67,163 | |
12 month U.S. LIBOR + 2.149% 3.784% 2/1/37 (a)(b) | 31,100 | 33,029 | |
U.S. TREASURY 1 YEAR INDEX + 2.347% 2.95% 11/1/34 (a)(b) | 19,203 | 20,374 | |
4.5% 10/1/19 | 21,012 | 21,354 | |
5% 10/1/18 to 12/1/23 | 369,318 | 387,597 | |
5.5% 11/1/21 to 10/1/38 | 77,916 | 82,188 | |
6% 7/1/21 to 1/1/38 | 250,839 | 280,657 | |
TOTAL FREDDIE MAC | 1,180,303 | ||
Ginnie Mae - 0.1% | |||
3.5% 7/20/32 to 9/20/32 | 3,293,732 | 3,415,318 | |
6% 7/15/36 | 350,442 | 406,119 | |
4.5% 9/20/40 | 202,115 | 215,993 | |
5% 12/20/34 to 3/20/41 | 760,678 | 832,486 | |
TOTAL GINNIE MAE | 4,869,916 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $26,798,006) | 26,758,726 | ||
Asset-Backed Securities - 6.3% | |||
Ally Auto Receivables Trust: | |||
Series 2014-1: | |||
Class C, 2.04% 12/15/19 | $160,000 | $160,009 | |
Class D, 2.48% 2/15/21 | 155,000 | 155,039 | |
Series 2015-1 Class A4, 1.75% 5/15/20 | 340,000 | 339,819 | |
Series 2015-2 Class C, 2.41% 1/15/21 (c) | 1,110,000 | 1,110,600 | |
Series 2016-1 Class D, 2.84% 9/15/22 | 390,000 | 391,186 | |
Series 2017-1 Class A2, 1.45% 10/15/19 | 3,666,392 | 3,663,132 | |
Series 2017-2: | |||
Class A2, 1.49% 11/15/19 | 4,582,205 | 4,579,731 | |
Class C, 2.46% 9/15/22 | 745,000 | 741,344 | |
Class D, 2.93% 11/15/23 | 200,000 | 198,640 | |
Ally Master Owner Trust: | |||
Series 2015-2 Class A1, 1 month U.S. LIBOR + 0.570% 1.8089% 1/15/21 (a)(b) | 7,152,000 | 7,181,799 | |
Series 2015-3 Class A, 1.63% 5/15/20 | 2,645,000 | 2,644,507 | |
Series 2017-1 Class A, 1 month U.S. LIBOR + 0.400% 1.6389% 2/15/21 (a)(b) | 10,000,000 | 10,015,988 | |
Series 2017-2 Class A, 1 month U.S. LIBOR + 0.340% 1.5903% 6/15/21 (a)(b) | 410,000 | 410,488 | |
Series 2017-3 Class A1, 1 month U.S. LIBOR + 0.500% 1.6689% 6/15/22 (a)(b) | 310,000 | 310,636 | |
ALM Loan Funding Series 2014-14A: | |||
Class A1R, 3 month U.S. LIBOR + 1.150% 2.4639% 7/28/26 (a)(b)(c) | 420,000 | 421,649 | |
Class A2R, 3 month U.S. LIBOR + 1.550% 2.8639% 7/28/26 (a)(b)(c) | 485,000 | 487,518 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2014-1 Class E, 3.58% 8/9/21 (c) | 385,000 | 388,964 | |
Series 2014-2: | |||
Class B, 1.6% 7/8/19 | 53,463 | 53,463 | |
Class E, 3.37% 11/8/21 (c) | 815,000 | 823,740 | |
Series 2014-3: | |||
Class C, 2.58% 9/8/20 | 1,190,000 | 1,195,900 | |
Class D, 3.13% 10/8/20 | 955,000 | 965,090 | |
Class E, 3.72% 3/8/22 (c) | 340,000 | 343,943 | |
Series 2014-4: | |||
Class C, 2.47% 11/9/20 | 505,000 | 507,131 | |
Class E, 3.66% 3/8/22 | 325,000 | 328,670 | |
Series 2015, Class D, 3% 6/8/21 | 540,000 | 545,240 | |
Series 2015-1 Class A3, 1.26% 11/8/19 | 99,464 | 99,454 | |
Series 2015-2 Class A3, 1.27% 1/8/20 | 161,377 | 161,329 | |
Series 2015-3 Class D, 3.34% 8/8/21 | 680,000 | 686,500 | |
Americredit Automobile Receivables Trust Series 2015-4 Class A3, 1.7% 7/8/20 | 375,316 | 375,353 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2016-1: | |||
Class A3, 1.81% 10/8/20 | 155,776 | 155,763 | |
Class C, 2.89% 1/10/22 | 1,855,000 | 1,871,202 | |
Series 2016-2 Class A2A, 1.42% 10/8/19 | 293,256 | 293,202 | |
Series 2016-3 Class D, 2.71% 9/8/22 | 810,000 | 806,661 | |
Series 2016-4 Class A3, 1.53% 7/8/21 | 1,095,000 | 1,089,585 | |
Series 2017-1 Class C, 2.71% 8/18/22 | 240,000 | 240,251 | |
Series 2017-3: | |||
Class B, 2.24% 6/19/23 | 395,000 | 391,704 | |
Class C, 2.69% 6/19/23 | 420,000 | 420,527 | |
Ari Fleet Lease Trust Series 2015-A: | |||
Class A2, 1.11% 11/15/18 (c) | 56,841 | 56,817 | |
Class A3, 1.67% 9/15/23 (c) | 1,150,000 | 1,147,121 | |
ARI Fleet Lease Trust: | |||
Series 2016-A Class A2, 1.82% 7/15/24 (c) | 584,550 | 584,493 | |
Series 2017-A Class A2, 1.91% 4/15/26 (c) | 290,000 | 289,571 | |
Ascentium Equipment Receivables LLC: | |||
Series 2015-2A Class A3, 1.93% 3/11/19 (c) | 498,902 | 499,043 | |
Series 2016-1A Class A2, 1.75% 11/13/18 (c) | 58,291 | 58,296 | |
Series 2016-2A Class A2, 1.77% 4/10/19 (c) | 193,325 | 193,107 | |
Series 2017-1A: | |||
Class A2, 1.87% 7/10/19 (c) | 340,000 | 339,877 | |
Class A3, 2.29% 6/10/21 (c) | 340,000 | 339,554 | |
Series 2017-2 Class A3, 2.31% 12/10/21 (c) | 880,000 | 876,447 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2013-2A: | |||
Class A, 2.97% 2/20/20 (c) | 295,000 | 296,811 | |
Class B, 3.66% 2/20/20 (c) | 595,000 | 600,292 | |
Series 2014-1A Class A, 2.46% 7/20/20 (c) | 330,000 | 331,279 | |
Series 2014-2A Class A, 2.5% 2/20/21 (c) | 2,230,000 | 2,233,773 | |
Bank of America Credit Card Master Trust: | |||
Series 2015-A1 Class A, 1 month U.S. LIBOR + 0.330% 1.5803% 6/15/20 (a)(b) | 5,000,000 | 5,001,996 | |
Series 2016-A1 Class A, 1 month U.S. LIBOR + 0.390% 1.6403% 10/15/21 (a)(b) | 4,970,000 | 4,991,823 | |
Bank of The West Auto Trust Series 2017-1 Class A2, 1.94% 2/15/21 (c) | 6,510,000 | 6,496,748 | |
BankBoston Home Equity Loan Trust Series 1998-2 Class A6, 6.64% 12/25/28 (MBIA Insured) | 28,840 | 28,792 | |
Bayview Opportunity Master Fund Series 2017-SPL4 Class A, 3.5% 1/28/55 (c) | 572,606 | 582,378 | |
Bayview Opportunity Master Fund Trust 3.5% 1/28/58 (a)(c) | 1,910,114 | 1,954,428 | |
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (c) | 1,622,369 | 1,648,736 | |
BMW Vehicle Lease Trust: | |||
Series 2016-2: | |||
Class A2, 1.25% 1/22/19 | 1,566,916 | 1,565,415 | |
Class A3, 1.43% 9/20/19 | 495,000 | 492,971 | |
Series 2017-2: | |||
Class A2A, 1.8% 2/20/20 | 5,000,000 | 4,992,967 | |
Class A3, 2.07% 10/20/20 | 435,000 | 434,508 | |
BMW Vehicles Lease Trust Series 2017-1 Class A3, 2.04% 5/20/20 | 570,000 | 569,763 | |
California Republic Auto Receivables Trust Series 2015-1 Class B, 2.51% 2/16/21 | 295,000 | 295,058 | |
Canadian Pacer Auto Receivables Trust Series 2017-A1 Class A2A, 1.772% 12/19/19 (c) | 7,468,000 | 7,457,366 | |
Capital Auto Receivables Asset Trust: | |||
Series 2013-4 Class D, 3.22% 5/20/19 | 310,210 | 310,760 | |
Series 2015-2 Class A3, 1.73% 9/20/19 | 278,129 | 278,267 | |
Series 2015-4 Class A2, 1.62% 3/20/19 | 177,162 | 177,177 | |
Series 2016-1 Class A3, 1.73% 4/20/20 | 470,046 | 469,974 | |
Series 2016-2 Class A4, 1.63% 1/20/21 | 385,000 | 382,823 | |
Series 2016-3 Class A3, 1.54% 8/20/20 | 470,000 | 468,969 | |
Series 2017-1: | |||
Class B, 2.61% 5/20/22 (c) | 145,000 | 144,452 | |
Class C, 3.03% 9/20/22 (c) | 235,000 | 234,605 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2014-A3 Class A3, 1 month U.S. LIBOR + 0.380% 1.6303% 1/18/22 (a)(b) | 4,000,000 | 4,012,402 | |
Series 2016-16 Class A2, 1 month U.S. LIBOR + 0.630% 1.8803% 2/15/24 (a)(b) | 13,275,000 | 13,460,660 | |
Series 2016-A1 Class A1, 1 month U.S. LIBOR + 0.450% 1.7003% 2/15/22 (a)(b) | 10,000,000 | 10,044,994 | |
Carlyle Global Market Strategies Series 2014-2A Class AR, 3 month U.S. LIBOR + 1.250% 2.565% 5/15/25 (a)(b)(c) | 1,225,000 | 1,233,669 | |
Carlyle Global Market Strategies Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.000% 2.3069% 4/20/27 (a)(b)(c) | 915,000 | 919,925 | |
Carmax Auto Owner Trust Series 2014-1: | |||
Class B, 1.69% 8/15/19 | 100,000 | 99,998 | |
Class C, 1.93% 11/15/19 | 145,000 | 145,043 | |
CarMax Auto Owner Trust: | |||
Series 2016-4: | |||
Class A2, 1.21% 11/15/19 | 4,591,520 | 4,583,687 | |
Class A3, 1.4% 8/15/21 | 1,145,000 | 1,133,661 | |
Series 2017-1 Class A2, 1.6% 2/18/20 | 3,717,459 | 3,715,123 | |
Series 2017-3 Class A2A, 1.64% 9/15/20 | 7,150,000 | 7,139,622 | |
Series 2017-4: | |||
Class A2A, 1.79% 4/15/21 | 5,000,000 | 4,993,789 | |
Class C, 2.7% 10/16/23 | 205,000 | 203,734 | |
CCG Receivables Trust: | |||
Series 2015-1: | |||
Class A2, 1.46% 11/14/18 (c) | 49,697 | 49,690 | |
Class B, 2.6% 1/17/23 (c) | 300,000 | 300,763 | |
Series 2016-1 Class A2, 1.69% 9/14/22 (c) | 269,042 | 268,642 | |
Chase Issuance Trust: | |||
Series 2013-A3 Class A3, 1 month U.S. LIBOR + 0.280% 1.5189% 4/15/20 (a)(b) | 3,153,000 | 3,155,730 | |
Series 2014-A5 Class A5, 1 month U.S. LIBOR + 0.370% 1.6089% 4/15/21 (a)(b) | 10,000,000 | 10,040,839 | |
Series 2016-A1 Class A, 1 month U.S. LIBOR + 0.940% 1.6489% 5/17/21 (a)(b) | 10,000,000 | 10,037,985 | |
Series 2016-A6 Class A6, 1.09% 1/15/20 | 5,000,000 | 4,998,093 | |
Chesapeake Funding II LLC Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.800% 1.7003% 5/15/29 (a)(b)(c) | 10,000,000 | 10,022,387 | |
Chrysler Capital Auto Receivables Trust: | |||
Series 2014-B Class D, 3.44% 8/16/21 (c) | 605,000 | 609,910 | |
Series 2016-BA: | |||
Class A2, 1.36% 1/15/20 (c) | 1,536,974 | 1,535,599 | |
Class A3, 1.64% 7/15/21 (c) | 280,000 | 278,781 | |
Citibank Credit Card Issuance Trust: | |||
Series 2014-A6 Class A6, 2.15% 7/15/21 | 2,105,000 | 2,110,216 | |
Series 2017-A1 Class A1, 1 month U.S. LIBOR + 0.250% 1.516% 1/19/21 (a)(b) | 10,000,000 | 10,022,082 | |
Series 2017-A4 Class A4, 1 month U.S. LIBOR + 0.220% 1.455% 4/7/22 (a)(b) | 10,000,000 | 10,018,805 | |
Series 2017-A9 Class A9, 1.8% 9/20/21 | 4,284,000 | 4,265,930 | |
CNH Equipment Trust: | |||
Series 2014-C Class A3, 1.05% 11/15/19 | 109,479 | 109,338 | |
Series 2015-C: | |||
Class A3, 1.66% 11/16/20 | 764,986 | 764,373 | |
Class B, 2.4% 2/15/23 | 1,265,000 | 1,264,577 | |
Series 2016-C Class A3, 1.44% 12/15/21 | 670,000 | 664,169 | |
Dell Equipment Finance Trust Series 2017-2 Class A2A, 1.97% 2/24/20 (c) | 7,000,000 | 6,991,976 | |
Diamond Resorts Owner Trust: | |||
Series 2013-2 Class A, 2.27% 5/20/26 (c) | 83,124 | 82,971 | |
Series 2014-1 Class A, 2.54% 5/20/27 (c) | 226,472 | 225,220 | |
Series 2015-1 Class A, 2.73% 7/20/27 (c) | 170,246 | 169,719 | |
Series 2015-2 Class A, 2.99% 5/22/28 (c) | 188,718 | 187,956 | |
Discover Card Master Trust: | |||
Series 2012-A6 Class A6, 1.67% 1/18/22 | 2,805,000 | 2,789,977 | |
Series 2014-A1 Class A1, 1 month U.S. LIBOR + 0.430% 1.6803% 7/15/21 (a)(b) | 3,905,000 | 3,918,862 | |
Series 2015-A1 Class A1, 1 month U.S. LIBOR + 0.350% 1.6003% 8/17/20 (a)(b) | 7,500,000 | 7,505,054 | |
Series 2016-A2 Class A2, 1 month U.S. LIBOR + 0.540% 1.7903% 9/15/21 (a)(b) | 10,000,000 | 10,057,392 | |
DLL Securitization Trust Series 2017-A Class A2, 0% 7/15/20 (c) | 10,000,000 | 9,997,918 | |
Elara HGV Timeshare Issuer Series 2017-A Class A, 2.69% 3/25/30 (c) | 412,059 | 409,976 | |
Elara HGV Timeshare Issuer Trust Series 2014-A Class A, 2.53% 2/25/27 (c) | 154,043 | 152,401 | |
Enterprise Fleet Financing LLC: | |||
Series 2015-1 Class A2, 1.3% 9/20/20 (c) | 65,991 | 65,966 | |
Series 2015-2 Class A2, 1.59% 2/22/21 (c) | 358,624 | 358,404 | |
Series 2016-1 Class A2, 1.83% 9/20/21 (c) | 1,337,032 | 1,336,653 | |
Series 2016-2 Class A2, 1.74% 2/22/22 (c) | 3,942,202 | 3,936,686 | |
Series 2017-1: | |||
Class A1, 1.05% 2/20/18 (c) | 225,685 | 225,652 | |
Class A2, 2.13% 7/20/22 (c) | 395,000 | 395,532 | |
Series 2017-2 Class A2, 0% 1/20/23 (c) | 420,000 | 419,402 | |
Series 2017-3 Class A2, 2.13% 5/22/23 (c) | 1,415,000 | 1,411,341 | |
Fifth Third Auto Trust Series 2017-1 Class A2A, 1.82% 4/15/20 | 7,933,000 | 7,918,662 | |
Ford Credit Auto Lease Trust Series 2017-A Class A4, 2.02% 6/15/20 | 1,200,000 | 1,198,199 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2013-2 Class A, 2.09% 3/15/22 (c) | 570,000 | 568,519 | |
Series 2014-2 Class A, 1 month U.S. LIBOR + 0.500% 1.7389% 2/15/21 (a)(b) | 6,200,000 | 6,219,793 | |
Series 2015-1 Class A1, 1.42% 1/15/20 | 920,000 | 919,823 | |
Series 2016-3: | |||
Class A1, 1.55% 7/15/21 | 1,360,000 | 1,348,608 | |
Class B, 1.75% 7/15/21 | 425,000 | 421,336 | |
Series 2016-4 Class A, 1 month U.S. LIBOR + 0.530% 1.7689% 7/15/20 (a)(b) | 10,000,000 | 10,022,028 | |
Series 2017-1: | |||
Class A2, 1 month U.S. LIBOR + 0.680% 1.6589% 5/15/22 (a)(b) | 10,000,000 | 10,047,674 | |
Class B, 2.55% 5/15/22 | 830,000 | 824,875 | |
Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.620% 1.5872% 9/15/22 (a)(b) | 10,000,000 | 10,035,853 | |
GM Financial Automobile Leasing Trust: | |||
Series 2015-1 Class D, 3.01% 3/20/20 | 305,000 | 305,524 | |
Series 2015-3 Class A3, 1.69% 3/20/19 | 1,297,114 | 1,296,835 | |
Series 2016-1 Class A3, 1.64% 7/20/19 | 1,303,620 | 1,303,431 | |
Series 2016-2 Class A3, 1.62% 9/20/19 | 1,335,000 | 1,333,537 | |
Series 2017-1: | |||
Class A2B, 1 month U.S. LIBOR + 0.370% 1.4589% 9/20/19 (a)(b) | 6,117,567 | 6,120,926 | |
Class A4, 2.26% 8/20/20 | 165,000 | 165,404 | |
Series 2017-3: | |||
Class A4, 2.12% 9/20/21 | 245,000 | 244,275 | |
Class C, 2.73% 9/20/21 | 300,000 | 297,441 | |
GM Financial Securitized Auto Receivables Trust Series 2017-3A: | |||
Class B, 2.33% 3/16/23 (c) | 140,000 | 139,010 | |
Class C, 2.52% 3/16/23 (c) | 245,000 | 243,211 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2015-1: | |||
Class A1, 1.65% 5/15/20 (c) | 855,000 | 854,841 | |
Class C, 2.22% 5/15/20 (c) | 615,000 | 614,899 | |
Series 2016-1: | |||
Class A2, 1 month U.S. LIBOR + 0.850% 2.0889% 5/17/21 (a)(b)(c) | 5,000,000 | 5,043,527 | |
Class B, 2.26% 5/17/21 (c) | 275,000 | 275,363 | |
Class C, 2.76% 5/17/21 (c) | 105,000 | 104,776 | |
Series 2017-1: | |||
Class A2, 1 month U.S. LIBOR + 1.200% 1.8089% 1/18/22 (a)(b)(c) | 10,000,000 | 10,061,623 | |
Class C, 2.97% 1/18/22 (c) | 575,000 | 574,574 | |
Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.450% 1.6803% 7/15/22 (a)(b)(c) | 10,000,000 | 10,038,867 | |
Series 2017-3: | |||
Class B, 2.26% 8/16/21 (c) | 1,220,000 | 1,212,753 | |
Class C, 2.46% 8/16/21 (c) | 1,530,000 | 1,520,989 | |
GreatAmerica Leasing Receivables Funding LLC: | |||
Series 2016-1 Class A3, 1.73% 6/20/19 (c) | 741,368 | 740,941 | |
Series 2017-1: | |||
Class A2, 1.72% 4/22/19 (c) | 99,999 | 99,977 | |
Class A3, 2.06% 6/22/20 (c) | 100,000 | 99,822 | |
Hilton Grand Vacations Trust: | |||
Series 2014-AA Class A, 1.77% 11/25/26 (c) | 236,788 | 233,086 | |
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (c) | 216,507 | 215,461 | |
Class B, 2.96% 12/26/28 (a)(c) | 148,583 | 147,940 | |
Honda Auto Receivables Owner Trust Series 2016-4 Class A4, 1.36% 1/18/23 | 805,000 | 793,158 | |
Huntington Auto Trust Series 2016-1 Class A2, 1.29% 5/15/19 | 4,331,952 | 4,330,165 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2015-A Class A4, 1.65% 8/15/19 (c) | 542,148 | 542,160 | |
Series 2015-B Class A3, 1.4% 11/15/18 (c) | 95,740 | 95,740 | |
Series 2016-A: | |||
Class A2A, 1.21% 6/17/19 | 1,165,752 | 1,165,028 | |
Class A3, 2.01% 7/15/19 (c) | 342,786 | 342,786 | |
Series 2016-B Class A4, 1.68% 4/15/20 (c) | 235,000 | 234,470 | |
Series 2016-C Class A4, 1.65% 7/15/20 (c) | 645,000 | 642,209 | |
Series 2017-A Class A2A, 1.56% 7/15/19 (c) | 4,294,133 | 4,288,632 | |
Hyundai Auto Receivables Trust: | |||
Series 2015-A Class A3, 1.05% 4/15/19 | 75,829 | 75,788 | |
Series 2016-B Class A2, 1.12% 10/15/19 | 4,065,516 | 4,057,458 | |
Series 2017-A: | |||
Class A2A, 1.48% 2/18/20 | 4,737,763 | 4,733,113 | |
Class B, 2.38% 4/17/23 | 340,000 | 338,487 | |
Series 2017-B Class A2A, 1.76% 8/17/20 | 5,000,000 | 4,987,454 | |
Hyundai Floorplan Master Owner Trust Series 2016-1A Class A1, 1 month U.S. LIBOR + 0.900% 2.1389% 3/15/21 (a)(b)(c) | 3,000,000 | 3,023,335 | |
John Deere Owner Trust: | |||
Series 2015-A Class A3, 1.32% 6/17/19 | 126,928 | 126,852 | |
Series 2016-A Class A3, 1.36% 4/15/20 | 778,326 | 776,616 | |
Series 2017-A Class A2, 1.5% 10/15/19 | 9,303,000 | 9,295,318 | |
KKR CLO 12 Ltd. Series 2012 Class A1R, 3 month U.S. LIBOR + 1.050% 2.4092% 7/15/27 (a)(b)(c) | 1,525,000 | 1,533,691 | |
Kubota Credit Owner Trust Series 2015-1A Class A3, 1.54% 3/15/19 (c) | 445,411 | 445,278 | |
Madison Park Funding Ltd. Series 2014-14A Class A2R, 3 month U.S. LIBOR + 1.120% 2.4826% 7/20/26 (a)(b)(c) | 1,055,000 | 1,058,948 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2016-A Class A3, 1.52% 3/15/19 | 854,834 | 854,627 | |
Series 2016-B Class A2, 1.25% 1/15/19 | 3,384,328 | 3,382,024 | |
Series 2017-A Class A2B, 1 month U.S. LIBOR + 0.200% 1.4503% 8/15/19 (a)(b) | 10,000,000 | 10,005,091 | |
Mercedes-Benz Auto Receivables Trust Series 2016-1 Class A2A, 1.11% 3/15/19 | 5,284,642 | 5,281,950 | |
Mercedes-Benz Master Owner Trust: | |||
Series 2015-BA Class A, 1 month U.S. LIBOR + 0.380% 1.6189% 4/15/20 (a)(b)(c) | 4,315,000 | 4,319,712 | |
Series 2016-BA Class A, 1 month U.S. LIBOR + 0.700% 1.9389% 5/17/21 (a)(b)(c) | 10,000,000 | 10,070,162 | |
Series 2017-BA Class A, 1 month U.S. LIBOR + 0.420% 1.6589% 5/16/22 (a)(b)(c) | 10,000,000 | 10,039,430 | |
MMAF Equipment Finance LLC: | |||
Series 2014-AA Class A3, 0.87% 1/8/19 (c) | 260,962 | 260,847 | |
Series 2015-AA Class A3, 1.39% 10/16/19 (c) | 118,553 | 118,465 | |
Series 2017-AA: | |||
Class A2, 1.73% 5/18/20 (c) | 511,992 | 511,661 | |
Class A3, 2.04% 2/16/22 (c) | 345,000 | 343,669 | |
MVW Owner Trust: | |||
Series 2013-1A Class A, 2.15% 4/22/30 (c) | 71,844 | 70,993 | |
Series 2014-1A Class A, 2.25% 9/22/31 (c) | 231,547 | 228,725 | |
Series 2015-1A Class A, 2.52% 12/20/32 (c) | 594,283 | 592,536 | |
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (c) | 252,669 | 249,959 | |
Class B, 2.75% 12/20/34 (c) | 97,181 | 96,314 | |
Class C, 2.99% 12/20/34 (c) | 233,233 | 230,748 | |
Nationstar HECM Loan Trust: | |||
Series 2016-2A Class A, 2.2394% 6/25/26 (c) | 128,122 | 128,229 | |
Series 2016-3A Class A, 2.0125% 8/25/26 (c) | 80,425 | 80,448 | |
Navient Student Loan Trust: | |||
Series 2016-6A Class A1, 1 month U.S. LIBOR + 0.480% 1.8075% 3/25/66 (a)(b)(c) | 2,447,923 | 2,452,113 | |
Series 2017-1A Class A1, 1 month U.S. LIBOR + 0.400% 1.7275% 7/26/66 (a)(b)(c) | 7,702,404 | 7,711,030 | |
Series 2017-3A: | |||
Class A1, 1 month U.S. LIBOR + 0.300% 1.6275% 7/26/66 (a)(b)(c) | 5,268,425 | 5,274,833 | |
Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (a)(b)(c) | 6,820,000 | 6,873,152 | |
Series 2017-4A Class A1, 1 month U.S. LIBOR + 0.300% 1.5675% 9/27/66 (a)(b)(c) | 5,172,797 | 5,172,845 | |
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R, 3 month U.S. LIBOR + 1.050% 2.4092% 7/15/27 (a)(b)(c) | 250,000 | 251,458 | |
Nissan Auto Lease Trust: | |||
Series 2016-B Class A4, 1.82% 1/18/22 | 1,105,000 | 1,100,889 | |
Series 2017-B Class A4, 2.17% 12/15/21 | 250,000 | 248,891 | |
Nissan Auto Receivables Owner Trust: | |||
Series 2016-A: | |||
Class A2A, 1.06% 2/15/19 | 515,411 | 515,216 | |
Class A3, 1.34% 10/15/20 | 325,000 | 323,599 | |
Series 2016-B Class A2A, 1.14% 4/15/19 | 1,301,533 | 1,300,944 | |
Series 2017-B Class A2A, 1.74% 5/15/20 | 7,000,000 | 6,983,592 | |
Nissan Auto Receivables Trust Series 2016-C Class A2A, 1.07% 5/15/19 | 2,815,453 | 2,813,062 | |
Nissan Master Owner Trust Receivables: | |||
Series 2015-A: | |||
Class A1, 1 month U.S. LIBOR + 0.400% 1.6389% 1/15/20 (a)(b) | 5,000,000 | 5,002,165 | |
Class A2, 1.44% 1/15/20 | 890,000 | 889,756 | |
Series 2016-A: | |||
Class A1, 1 month U.S. LIBOR + 0.640% 1.8789% 6/15/21 (a)(b) | 5,000,000 | 5,032,805 | |
Class A2, 1.54% 6/15/21 | 750,000 | 744,342 | |
Series 2017-B Class A, 1 month U.S. LIBOR + 0.430% 1.6689% 4/18/22 (a)(b) | 10,700,000 | 10,755,867 | |
Series 2017-C Class A, 1 month U.S. LIBOR + 0.320% 1.5008% 10/17/22 (a)(b) | 5,000,000 | 5,004,266 | |
OCP CLO Ltd. Series 2015-10A Class A1R, 3 month U.S. LIBOR + 0.820% 0% 10/26/27 (a)(b)(c) | 1,385,000 | 1,385,000 | |
OZLM Ltd. Series 2014-8A Class A1AR, 3 month U.S. LIBOR + 1.130% 2.4833% 10/17/26 (a)(b)(c) | 1,195,000 | 1,202,089 | |
Santander Drive Auto Receivables Trust: | |||
Series 2014-3 Class D, 2.65% 8/17/20 | 210,000 | 210,882 | |
Series 2015-3 Class D, 3.49% 5/17/21 | 1,045,000 | 1,055,932 | |
Series 2015-4 Class D, 3.53% 8/16/21 | 530,000 | 540,253 | |
Series 2015-5: | |||
Class C, 2.74% 12/15/21 | 1,565,000 | 1,572,761 | |
Class D, 3.84% 12/15/21 | 745,000 | 757,778 | |
Series 2016-1 Class B, 2.47% 12/15/20 | 375,000 | 376,021 | |
Series 2017-1: | |||
Class B, 2.1% 6/15/21 | 115,000 | 114,746 | |
Class C, 2.58% 5/16/22 | 140,000 | 139,783 | |
Santander Retail Auto Lease Trust Series 2017-A: | |||
Class A2A, 2.25% 3/20/20 (c) | 5,298,000 | 5,294,348 | |
Class A3, 2.58% 1/20/21 (c) | 390,000 | 389,571 | |
Class C, 2.96% 11/21/22 (c) | 325,000 | 325,457 | |
Securitized Term Auto Receivables Trust: | |||
Series 2016-1A Class A2A, 1.284% 11/26/18 (c) | 2,122,379 | 2,121,110 | |
Series 2017-1A Class A2A, 1.46% 4/25/19 (c) | 3,834,432 | 3,831,005 | |
Series 2017-2A Class A2A, 1.82% 1/27/20 (c) | 10,000,000 | 10,000,000 | |
Sierra Receivables Funding Co., LLC Series 2016-2A Class A, 2.33% 7/20/33 (c) | 230,038 | 229,022 | |
Sierra Timeshare Receivables Funding Co. LLC: | |||
Series 2014-2A Class A, 2.05% 6/20/31 (c) | 105,918 | 105,690 | |
Series 2014-3A Class A, 2.3% 10/20/31 (c) | 149,086 | 148,691 | |
Series 2015-1A Class A, 2.4% 3/22/32 (c) | 1,229,818 | 1,226,615 | |
Series 2015-2A Class 2, 2.43% 6/20/32 (c) | 282,628 | 281,544 | |
Series 2015-3A Class A, 2.58% 9/20/32 (c) | 291,448 | 291,309 | |
Series 2017-1A Class A, 2.91% 3/20/34 (c) | 226,891 | 226,599 | |
SLM Student Loan Trust: | |||
Series 2007-5 Class A5, 3 month U.S. LIBOR + 0.080% 1.4474% 1/25/24 (a)(b) | 3,545,290 | 3,545,072 | |
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 1.6974% 1/25/22 (a)(b) | 876,378 | 864,971 | |
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 2.0174% 1/25/22 (a)(b) | 1,973,383 | 1,963,631 | |
Series 2008-4 Class A4, 3 month U.S. LIBOR + 1.650% 3.0174% 7/25/22 (a)(b) | 583,625 | 598,785 | |
Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 3.0674% 7/25/23 (a)(b) | 473,391 | 486,561 | |
Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 2.8674% 4/25/23 (a)(b) | 336,614 | 344,619 | |
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 1.7275% 3/25/25 (a)(b) | 1,240,795 | 1,227,185 | |
Smart ABS Trust Series 2016-2U.S. Class A2A, 1.46% 8/14/19 | 969,527 | 966,908 | |
SMART Trust Series 2015-3U.S. Class A3A, 1.66% 8/14/19 | 758,554 | 757,264 | |
SMB Private Education Loan Trust Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 2.2503% 6/15/27 (a)(b)(c) | 585,000 | 593,605 | |
Springleaf Funding Trust Series 2016-AA Class A, 2.9% 11/15/29 (c) | 405,000 | 406,809 | |
Suntrust Auto Receivables Trust Series 2015-1A Class A3, 1.42% 9/16/19 (c) | 261,619 | 261,545 | |
Synchrony Credit Card Master Note Trust: | |||
Series 2013-1 Class B, 1.69% 3/15/21 | 1,035,000 | 1,033,904 | |
Series 2015-1 Class B, 2.64% 3/15/23 | 550,000 | 550,161 | |
Series 2015-4 Class B, 2.62% 9/15/23 | 435,000 | 433,899 | |
Series 2016-1 Class A, 2.04% 3/15/22 | 1,785,000 | 1,787,099 | |
TCF Auto Receivables Owner Trust Series 2016-1A Class A2, 1.39% 11/15/19 (c) | 670,085 | 669,706 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(c) | 1,039,590 | 1,041,699 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (c) | 459,763 | 460,420 | |
Series 2017-6 Class A1, 2.75% 10/25/57 (c) | 2,410,000 | 2,416,910 | |
Toyota Auto Receivables Owner Trust Series 2016-B Class A2A, 1.26% 10/15/18 | 236,681 | 236,618 | |
Toyota Auto Receivables Trust Series 2016-C Class A2A, 1% 1/15/19 | 1,336,701 | 1,335,808 | |
USAA Auto Owner Trust Series 2017-1 Class A2, 1.66% 2/18/20 | 5,000,000 | 4,992,014 | |
Verizon Owner Trust: | |||
Series 2016-1A Class A, 1.42% 1/20/21 (c) | 7,812,000 | 7,763,454 | |
Series 2016-2A: | |||
Class A, 1.68% 5/20/21 (c) | 1,115,000 | 1,108,761 | |
Class B, 2.15% 5/20/21 (c) | 755,000 | 751,666 | |
Class C, 2.36% 5/20/21 (c) | 600,000 | 597,182 | |
Series 2017-1A: | |||
Class B, 2.45% 9/20/21 (c) | 235,000 | 235,543 | |
Class C, 2.65% 9/20/21 (c) | 315,000 | 314,951 | |
Series 2017-3A: | |||
Class A1A, 2.06% 4/20/22 (c) | 4,320,000 | 4,307,622 | |
Class C, 2.53% 4/20/22 (c) | 700,000 | 697,076 | |
Volkswagen Auto Loan Enhanced Trust Series 2014-2 Class A4, 1.39% 5/20/21 | 1,380,000 | 1,378,693 | |
Volvo Financial Equipment LLC: | |||
Series 2014-1A Series C, 1.94% 11/15/21 (c) | 605,000 | 605,017 | |
Series 2016-1A: | |||
Class A2, 1.44% 10/15/18 (c) | 398,938 | 398,915 | |
Class A3, 1.67% 2/18/20 (c) | 400,000 | 399,693 | |
Series 2017-1A Class A2, 1.55% 10/15/19 (c) | 10,000,000 | 9,987,455 | |
Volvo Financial Equipment Master Owner Trust Series 2017-A Class A, 1 month U.S. LIBOR + 0.500% 1.7442% 11/15/22 (a)(b)(c) | 7,047,000 | 7,046,382 | |
Wendys Funding LLC Series 2015-1A Class A2I, 3.371% 6/15/45 (c) | 1,308,300 | 1,314,567 | |
Wheels SPV LLC Series 2015-1A Class A2, 1.27% 4/22/24 (c) | 46,359 | 46,326 | |
World Omni Auto Receivables Trust Series 2015-B Class A3, 1.49% 12/15/20 | 677,673 | 676,386 | |
World Omni Automobile Lease Securitization Trust Series 2016-A Class A3, 1.45% 8/15/19 | 1,070,000 | 1,064,868 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $612,202,316) | 612,738,948 | ||
Collateralized Mortgage Obligations - 0.8% | |||
Private Sponsor - 0.1% | |||
Banc of America Mortgage Securities, Inc.: | |||
Series 2004-A Class 2A2, 3.5844% 2/25/34 (a) | 11,987 | 12,175 | |
Series 2004-H Class 2A2, 3.5946% 9/25/34 (a) | 44,835 | 44,306 | |
COLT Mortgage Loan Trust: | |||
sequential payer Series 2017-2: | |||
Class A1A, 2.415% 10/25/47 (c) | 1,418,383 | 1,419,897 | |
Class A2A, 2.568% 10/25/47 (c) | 600,271 | 600,912 | |
Class A3A, 2.773% 10/25/47 (c) | 261,408 | 261,687 | |
Series 2017-1: | |||
Class A1, 2.614% 5/27/47 (c) | 883,034 | 868,303 | |
Class A3, 3.074% 5/27/47 (c) | 81,894 | 81,258 | |
COMM Mortgage Trust Series 2016-CR28 Class A1, 1.77% 2/10/49 | 171,955 | 171,103 | |
Deephaven Residential Mortgage Trust Series 2017-3A: | |||
Class A1, 2.577% 10/25/47 (a)(c) | 1,210,350 | 1,210,286 | |
Class A2, 2.711% 10/25/47 (a)(c) | 100,863 | 100,862 | |
Class A3, 2.813% 10/25/47 (a)(c) | 96,060 | 96,058 | |
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4706% 7/25/44 (a)(c) | 135,973 | 134,855 | |
Kubota Credit Owner Trust sequential payer Series 2016-1A Class A3, 1.67% 7/15/20 (c) | 340,000 | 337,838 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (c) | 633,090 | 639,446 | |
Mill City Mortgage Loan Trust: | |||
Series 2016-1 Class A1, 2.5% 4/25/57 (c) | 220,043 | 219,308 | |
Series 2017-2 Class A1, 2.75% 7/25/59 (c) | 954,465 | 956,556 | |
Towd Point Mortgage Trust: | |||
Series 2015-4 Class A1B, 2.75% 4/25/55 (c) | 619,760 | 621,292 | |
Series 2015-5 Class A1B, 2.75% 5/25/55 (c) | 576,804 | 578,183 | |
Series 2016-1: | |||
Class A1B, 2.75% 2/25/55 (c) | 329,764 | 330,562 | |
Class A3B, 3% 2/25/55 (c) | 415,879 | 416,095 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (c) | 367,093 | 366,881 | |
Series 2016-3 Class A1, 2.25% 4/25/56 (c) | 97,199 | 96,440 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(c) | 683,411 | 685,015 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(c) | 1,421,542 | 1,424,526 | |
WaMu Mortgage pass-thru certificates Series 2005-AR12 Class 2A1, NULL 3.3001% 9/25/35 (a) | 19,438 | 19,519 | |
Wells Fargo Mortgage Backed Securities Trust Series 2004-G Class A3, 3.3551% 6/25/34 (a) | 24,173 | 24,360 | |
TOTAL PRIVATE SPONSOR | 11,717,723 | ||
U.S. Government Agency - 0.7% | |||
Fannie Mae: | |||
floater: | |||
Series 2003-31 Class FM, 1 month U.S. LIBOR + 0.500% 1.8275% 4/25/33 (a)(b) | 1,411,563 | 1,422,041 | |
Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 1.6275% 5/25/45 (a)(b) | 3,741,945 | 3,737,402 | |
Series 2016-85: | |||
Class FG, 1 month U.S. LIBOR + 0.500% 1.8275% 11/25/46 (a)(b) | 1,148,572 | 1,161,379 | |
Class FA, 1 month U.S. LIBOR + 0.500% 1.8275% 11/25/46 (a)(b) | 1,130,911 | 1,143,493 | |
floater planned amortization class Series 2004-52 Class PF 1 month U.S. LIBOR + 0.450% 1.7775% 12/25/33 (a)(b) | 710,189 | 710,866 | |
sequential payer Series 2012-114 Class DF, 1 month U.S. LIBOR + 0.400% 1.7275% 8/25/39 (a)(b) | 20,951 | 21,006 | |
sequential payer floater: | |||
Series 2005-74 Class DF, 1 month U.S. LIBOR + 0.350% 1.6775% 7/25/35 (a)(b) | 3,715,574 | 3,726,725 | |
Series 2005-83 Class FP, 1 month U.S. LIBOR + 0.330% 1.6575% 10/25/35 (a)(b) | 3,432,506 | 3,432,582 | |
Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 1.6775% 7/25/46 (a)(b) | 11,849,584 | 11,884,145 | |
Series 2016-83 Class FA, 1 month U.S. LIBOR + 0.500% 1.8275% 11/25/46 (a)(b) | 629,018 | 635,836 | |
Series 2017-90 Class KA, 3% 11/25/47 | 1,441,627 | 1,457,140 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 2016-C01 Class 2M1, 1 month U.S. LIBOR + 2.100% 3.3379% 8/25/28 (a)(b) | 504,322 | 507,571 | |
Series 2016-C02 Class 1M1, 1 month U.S. LIBOR + 2.150% 3.3879% 9/25/28 (a)(b) | 185,013 | 186,748 | |
Series 2016-C07 Class 2M1, 1 month U.S. LIBOR + 1.300% 2.6286% 5/25/29 (a)(b) | 203,132 | 204,196 | |
Series 2017-C01 Class 1M1, 1 month U.S. LIBOR + 1.300% 2.6286% 7/25/29 (a)(b) | 889,008 | 896,854 | |
Series 2017-C02, Class 2M1, 1 month U.S. LIBOR + 1.150% 2.3879% 9/25/29 (a)(b) | 1,168,904 | 1,177,771 | |
Series 2017-C03 Class 1M1, 1 month U.S. LIBOR + 0.950% 2.1879% 10/25/29 (a)(b) | 1,311,025 | 1,317,769 | |
Series 2017-C04 Class 2M1, 1 month U.S. LIBOR + 0.850% 2.0879% 11/25/29 (a)(b) | 948,870 | 952,296 | |
Series 2017-C05 Class 1M1, 1 month U.S. LIBOR + 0.550% 1.7879% 1/25/30 (a)(b) | 1,660,658 | 1,660,344 | |
Series 2017-C06 Class 1M1, 1 month U.S. LIBOR + 0.750% 2.0786% 2/25/30 (a)(b) | 1,253,300 | 1,255,304 | |
FHLMC Structured Agency Credit Risk Debt Notes: | |||
floater: | |||
Series 2015-DNA1 Class M1, 1 month U.S. LIBOR + 0.900% 2.1379% 10/25/27 (a)(b) | 115,985 | 116,091 | |
Series 2016-DNA1 Class M1, 1 month U.S. LIBOR + 1.450% 2.7775% 7/25/28 (a)(b) | 221,029 | 221,383 | |
Series 2016-HQA1 Class M1, 1.750% - 1 month U.S. LIBOR 2.9879% 9/25/28 (a)(e) | 49,344 | 49,458 | |
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 2.5275% 10/25/29 (a)(b) | 1,458,459 | 1,477,515 | |
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 2.0775% 3/25/30 (a)(b) | 881,015 | 883,917 | |
Series 2017-HQA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.4379% 8/25/29 (a)(b) | 1,046,875 | 1,056,816 | |
Series 2017-DNA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.4379% 7/25/29 (a)(b) | 657,943 | 665,022 | |
Series 2017-HQA2 Class M1, 1 month U.S. LIBOR + 0.800% 2.1275% 12/25/29 (a)(b) | 358,779 | 359,798 | |
Series 2017-HQA3 Class M1, 1 month U.S. LIBOR + 0.550% 1.8786% 4/25/30 (a)(b) | 247,904 | 247,904 | |
Freddie Mac: | |||
floater Series 4604 Class FB, 1 month U.S. LIBOR + 0.400% 1.6503% 8/15/46 (a)(b) | 10,441,241 | 10,480,826 | |
floater planned amortization class: | |||
Series 2953 Class LF, 1 month U.S. LIBOR + 0.300% 1.5503% 12/15/34 (a)(b) | 1,133,706 | 1,134,557 | |
Series 4057 Class EF, 1 month U.S. LIBOR + 0.350% 1.6003% 12/15/41 (a)(b) | 9,077,847 | 9,072,918 | |
floater sequential payer Series 3046 Class F, 1 month U.S. LIBOR + 0.370% 1.6203% 3/15/33 (a)(b) | 1,555,125 | 1,555,250 | |
planned amortization class Series 3713 Class PA, 2% 2/15/40 | 1,075,470 | 1,065,425 | |
sequential payer Series 4226 Class EF, 1 month U.S. LIBOR + 0.350% 1.6003% 12/15/35 (a)(b) | 3,485,638 | 3,492,452 | |
Series 4448 Class JA, 4% 11/15/36 | 190,000 | 196,627 | |
Freddie Mac Whole Loan Securities Trust: | |||
Series 2017-SC02 Class M1, 3.9016% 5/25/47 (a)(c) | 294,349 | 293,526 | |
Series 2017-SPI1 Class M1, 3.9926% 9/25/47 (a)(c) | 127,171 | 129,488 | |
TOTAL U.S. GOVERNMENT AGENCY | 69,990,441 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $81,608,616) | 81,708,164 | ||
Commercial Mortgage Securities - 0.6% | |||
BAMLL Commercial Mortgage Securities Trust Series 2014-IP Class A, 2.717% 6/15/28 (a)(c) | 1,070,000 | 1,070,460 | |
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1 month U.S. LIBOR + 1.250% 2.4889% 5/15/32 (a)(b)(c) | 2,455,181 | 2,455,178 | |
BX Trust Series 2017-IMC: | |||
Class A, 1 month U.S. LIBOR + 1.050% 2.3003% 10/15/32 (a)(b)(c) | 3,054,000 | 3,058,728 | |
Class B, 1 month U.S. LIBOR + 1.400% 2.65% 10/15/32 (a)(b)(c) | 1,475,000 | 1,475,472 | |
CGDB Commercial Mortgage Trust Series 2017-BIO Class A, 1 month U.S. LIBOR + 0.750% 1.9889% 5/15/30 (a)(b)(c) | 3,410,000 | 3,412,150 | |
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 2.0403% 7/15/28 (a)(b)(c) | 3,084,000 | 3,087,858 | |
Citigroup Commercial Mortgage Trust: | |||
floater Series 2017-1500 Class A, 1 month U.S. LIBOR + 0.850% 2.1003% 7/15/32 (a)(b)(c) | 2,938,000 | 2,938,744 | |
Series 2014-GC19 Class A1, 1.199% 3/10/47 | 16,294 | 16,285 | |
Series 2014-GC21 Class A1, 1.242% 5/10/47 | 235,960 | 234,969 | |
Series 2014-GC25 Class A1, 1.485% 10/10/47 | 58,426 | 58,296 | |
Series 2015-GC27 Class A1, 1.353% 2/10/48 | 385,880 | 383,338 | |
Series 2015-GC31 Class A1, 1.637% 6/10/48 | 719,369 | 715,445 | |
Series 2015-GC33 Class A1, 1.643% 9/10/58 | 258,820 | 256,792 | |
Series 2015-P1 Class A1, 1.648% 9/15/48 | 252,618 | 251,270 | |
CLNS Trust floater Series 2017-IKPR: | |||
Class A, 1 month U.S. LIBOR + 0.800% 2.0372% 6/11/32 (a)(b)(c) | 515,000 | 515,482 | |
Class B, 1 month U.S. LIBOR + 1.000% 2.2449% 6/11/32 (a)(b)(c) | 760,000 | 759,763 | |
COMM Mortgage Trust: | |||
Series 2014-CR17 Class A1, 1.275% 5/10/47 | 140,051 | 139,614 | |
Series 2014-CR18 Class A1, 1.442% 7/15/47 | 225,839 | 225,110 | |
Series 2014-CR19 Class A1, 1.415% 8/10/47 | 227,893 | 226,988 | |
Series 2014-CR20 Class A1, 1.324% 11/10/47 | 171,871 | 170,910 | |
Series 2014-CR21 Class A1, 1.494% 12/10/47 | 99,330 | 98,911 | |
Series 2014-LC15 Class A1, 1.259% 4/10/47 | 273,101 | 272,157 | |
Series 2014-LC17 Class A1, 1.381% 10/10/47 | 160,583 | 160,002 | |
Series 2014-UBS2 Class A1, 1.298% 3/10/47 | 189,996 | 189,477 | |
Series 2014-UBS4 Class A1, 1.309% 8/10/47 | 84,696 | 84,432 | |
Series 2014-UBS5 Class A1, 1.373% 9/10/47 | 86,003 | 85,939 | |
Series 2014-UBS6 Class A1, 1.445% 12/10/47 | 272,184 | 271,213 | |
Series 2015-CCRE26 Class A1, 1.604% 10/10/48 | 357,498 | 355,188 | |
Series 2015-CR22 Class A1, 1.569% 3/10/48 | 125,430 | 125,050 | |
Series 2015-LC23 Class A2, 3.221% 10/10/48 | 1,400,000 | 1,432,307 | |
Series 2015-PC1 Class A1, 1.667% 7/10/50 | 842,489 | 840,961 | |
COMM Mortgage Trust pass-thru certificates Series 2014-TWC Class A, 1 month U.S. LIBOR + 0.850% 2.0889% 2/13/32 (a)(b)(c) | 400,000 | 400,377 | |
CSAIL Commercial Mortgage Trust: | |||
Series 2015-C1 Class A1, 1.684% 4/15/50 | 163,012 | 162,484 | |
Series 2015-C2 Class A1, 1.4544% 6/15/57 | 1,055,539 | 1,048,380 | |
Series 2015-C3 Class A1, 1.7167% 8/15/48 | 493,516 | 490,331 | |
Series 2015-C4 Class A1, 2.0102% 11/15/48 | 575,354 | 573,150 | |
Series 2016-C5 Class A1, 1.7466% 11/15/48 (a) | 142,602 | 141,642 | |
CSMC Series 2015-TOWN Class A, 1 month U.S. LIBOR + 1.250% 2.4889% 3/15/28 (a)(b)(c) | 3,644,000 | 3,643,996 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 1.9889% 7/15/32 (a)(b)(c) | 4,189,000 | 4,199,562 | |
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1 month U.S. LIBOR + 1.300% 2.535% 12/15/34 (a)(b)(c) | 806,372 | 806,851 | |
Great Wolf Trust floater Series 2017-WOLF: | |||
Class A, 1 month U.S. LIBOR + 0.850% 2.0889% 9/15/34 (a)(b)(c) | 670,000 | 670,421 | |
Class C, 1 month U.S. LIBOR + 1.320% 2.5589% 9/15/34 (a)(b)(c) | 965,000 | 965,310 | |
GS Mortgage Securities Trust: | |||
Series 2014-GC22 Class A1, 1.29% 6/10/47 | 177,368 | 176,617 | |
Series 2014-GC24 Class A1, 1.509% 9/10/47 | 339,029 | 337,610 | |
Series 2015-GC28 Class A1, 1.528% 2/10/48 | 620,488 | 616,969 | |
Series 2015-GC32 Class A1, 1.593% 7/10/48 | 256,915 | 255,644 | |
Series 2016-GS3 Class A1, 1.429% 10/10/49 | 169,180 | 166,617 | |
Halcyon Loan Advisors Funding LLC Series 2017-3A Class B1R, 3 month U.S. LIBOR + 1.700% 3.0625% 10/22/25 (a)(b)(c) | 745,000 | 748,770 | |
Hospitality Mortgage Trust floater Series 2017-HIT Class A, 1 month U.S. LIBOR + 0.850% 2.0878% 5/8/30 (a)(b)(c) | 510,000 | 511,312 | |
JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A1, 1.949% 1/15/49 | 479,040 | 477,637 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2014-C21 Class A1, 1.322% 8/15/47 | 109,321 | 109,037 | |
Series 2014-C22 Class A1, 1.451% 9/15/47 | 90,460 | 90,146 | |
Series 2014-C23 Class A1, 1.6502% 9/15/47 | 122,265 | 121,989 | |
Series 2014-C24 Class A1, 1.5386% 11/15/47 | 61,484 | 61,273 | |
Series 2014-C26 Class A1, 1.5962% 1/15/48 | 636,358 | 634,788 | |
Series 2015-C27 Class A1, 1.4137% 2/15/48 | 542,819 | 539,052 | |
Series 2015-C28 Class A1, 1.4451% 10/15/48 | 889,070 | 883,174 | |
JPMBB Commercial Mortgage Secutities Trust Series 2015-C29 Class A1, 1.6255% 5/15/48 | 282,979 | 281,713 | |
JPMCC Commercial Mortgage Securities Trust Series 2016-JP3 Class A1, 1.4615% 8/15/49 | 519,214 | 510,955 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-C20 Class A1, 1.2682% 7/15/47 | 132,167 | 131,750 | |
Series 2016-WP Class TA, 1 month U.S. LIBOR + 1.450% 2.677% 10/15/33 (a)(b)(c) | 1,293,000 | 1,296,631 | |
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 1 month U.S. LIBOR + 1.800% 3.0389% 9/15/28 (a)(b)(c) | 1,448,723 | 1,452,798 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class A1, 1.686% 10/15/47 | 108,356 | 108,281 | |
Series 2014-C16 Class A1, 1.294% 6/15/47 | 86,097 | 85,854 | |
Series 2014-C17 Class A1, 1.551% 8/15/47 | 268,617 | 267,666 | |
Series 2014-C19 Class A1, 1.573% 12/15/47 | 512,679 | 510,692 | |
Series 2015-C24 Class A1, 1.706% 5/15/48 | 439,904 | 436,891 | |
Series 2016-C30 Class A1, 1.389% 9/15/49 | 277,228 | 272,463 | |
Morgan Stanley Capital I Trust: | |||
Series 2015-MS1 Class A1, 1.638% 5/15/48 | 480,253 | 477,468 | |
Series 2017-CLS: | |||
Class B, 1 month U.S. LIBOR + 0.850% 2.1% 11/15/34 (a)(b)(c)(f) | 755,000 | 755,005 | |
Class C, 1 month U.S. LIBOR + 1.000% 2.25% 11/15/34 (a)(b)(c)(f) | 605,000 | 605,004 | |
SBA Tower Trust 3.598% 4/9/43 (c) | 725,000 | 725,153 | |
SCG Trust Series 2013-SRP1 Class A, 1 month U.S. LIBOR + 1.400% 2.8889% 11/15/26 (a)(b)(c) | 1,494,000 | 1,490,212 | |
Waldorf Astoria Boca Raton Trust floater Series 2016-BOCA Class A, 1 month U.S. LIBOR + 1.500% 2.5889% 6/15/29 (a)(b)(c) | 1,833,000 | 1,835,291 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2014-LC18 Class A1, 1.437% 12/15/47 | 665,861 | 662,089 | |
Series 2015-C26 Class A1, 1.454% 2/15/48 | 335,731 | 333,616 | |
Series 2015-C27 Class A1, 1.73% 2/15/48 | 162,950 | 162,852 | |
Series 2015-C28 Class A1, 1.531% 5/15/48 | 249,614 | 248,569 | |
Series 2015-C31 Class A1, 1.679% 11/15/48 | 642,874 | 638,909 | |
Series 2015-LC20 Class A1, 1.471% 4/15/50 | 606,083 | 602,472 | |
Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 1,180,000 | 1,195,191 | |
Series 2015-SG1 Class A1, 1.568% 9/15/48 | 319,561 | 318,189 | |
Series 2016-C32 Class A1, 1.577% 1/15/59 | 392,877 | 389,648 | |
Series 2016-LC24 Class A1, 1.441% 10/15/49 | 273,825 | 271,104 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2013-C17 Class A1, 1.154% 12/15/46 | 78,953 | 78,777 | |
Series 2013-UBS1 Class A1, 1.122% 3/15/46 | 82,154 | 81,880 | |
Series 2014-C20 Class A1, 1.283% 5/15/47 | 275,579 | 274,514 | |
Series 2014-C21 Class A1, 1.413% 8/15/47 | 390,485 | 388,736 | |
Series 2014-C22 Class A1, 1.479% 9/15/57 | 263,138 | 261,990 | |
Series 2014-C23 Class A1, 1.663% 10/15/57 | 131,900 | 131,527 | |
Series 2014-C24 Class A1, 1.39% 11/15/47 | 62,040 | 61,684 | |
Series 2014-LC14 Class A1, 1.193% 3/15/47 | 5,350 | 5,346 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $61,655,957) | 61,552,548 | ||
Municipal Securities - 0.0% | |||
Florida State Board Administration Fin. Corp. Series 2016 A, 2.163% 7/1/19 | |||
(Cost $1,085,000) | 1,085,000 | 1,085,260 | |
Foreign Government and Government Agency Obligations - 0.0% | |||
State of Qatar 2.099% 1/18/18 (Cost $769,611) | $770,000 | $769,406 | |
Bank Notes - 0.2% | |||
Capital One NA 1.85% 9/13/19 | 1,525,000 | 1,511,193 | |
Citibank NA 2.125% 10/20/20 | 1,255,000 | 1,246,287 | |
Citizens Bank NA 2.3% 12/3/18 | 335,000 | 335,699 | |
PNC Bank NA 2.45% 11/5/20 | 870,000 | 872,588 | |
RBS Citizens NA 2.5% 3/14/19 | 1,200,000 | 1,203,908 | |
Regions Bank 7.5% 5/15/18 | 289,000 | 295,976 | |
Regions Financial Corp. 2.25% 9/14/18 | 785,000 | 786,051 | |
Wells Fargo Bank NA 1.65% 1/22/18 | 10,000,000 | 9,999,355 | |
TOTAL BANK NOTES | |||
(Cost $16,275,482) | 16,251,057 | ||
Certificates of Deposit - 0.3% | |||
BNP Paribas New York Branch yankee 1 month U.S. LIBOR + 0.190% 1.5186% 3/26/18 (a)(b) | 10,000,000 | 10,004,860 | |
Credit Agricole CIB yankee 1 month U.S. LIBOR + 0.200% 1.5286% 3/26/18 (a)(b) | 10,000,000 | 10,004,900 | |
Credit Suisse AG yankee 1 month U.S. LIBOR + 0.260% 1.5021% 5/1/18 (a)(b) | 10,000,000 | 10,005,290 | |
Intesa Sanpaolo SpA yankee 2.1% 9/27/18 | 1,550,000 | 1,548,317 | |
TOTAL CERTIFICATES OF DEPOSIT | |||
(Cost $31,550,000) | 31,563,367 | ||
Commercial Paper - 0.6% | |||
Bell Canada yankee 1.5% 12/18/17 | 11,000,000 | 10,991,948 | |
Catholic Health Initiatives: | |||
0% 12/11/17 | $3,860,000 | $3,858,591 | |
0% 12/19/17 | 690,000 | 689,556 | |
1.9% 12/12/17 | 20,000,000 | 19,992,026 | |
Enbridge Energy Partners LP 0% 12/19/17 | 3,265,000 | 3,262,124 | |
Energy Transfer Partners LP 0% 12/15/17 | 5,075,000 | 5,071,299 | |
Plains Midstream Canada ULC yankee 0% 12/1/17 | 1,370,000 | 1,369,938 | |
UBS AG London Branch 1 month U.S. LIBOR + 0.150% 1.4327% 12/22/17 (a)(b) | 10,000,000 | 10,001,530 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $55,230,063) | 55,237,012 | ||
Shares | Value | ||
Fixed-Income Funds - 3.4% | |||
Bank Loan Funds - 3.4% | |||
Fidelity Floating Rate High Income Fund (g) | |||
(Cost $329,142,085) | 33,716,470 | 324,689,604 | |
Short-Term Funds - 61.8% | |||
Short-Term Funds - 61.8% | |||
BlackRock Low Duration Bond Portfolio Investor A Shares | 46,873,057 | 449,512,621 | |
Delaware Limited-Term Diversified Income Fund - Class A | 24,946,715 | 211,298,678 | |
Fidelity Conservative Income Bond Fund Institutional Class (g) | 122,031,187 | 1,225,193,122 | |
Fidelity Short-Term Bond Fund (g) | 85,921,451 | 738,065,261 | |
Janus Henderson Short-Term Bond Fund T Shares | 65,492,681 | 197,132,970 | |
JPMorgan Short Duration Bond Fund Class A | 23,431,122 | 252,118,868 | |
Metropolitan West Low Duration Bond Fund - Class M | 61,049,963 | 531,134,675 | |
PIMCO Enhanced Low Duration Active ETF | 149,760 | 15,113,030 | |
PIMCO Enhanced Short Maturity Active ETF (h) | 3,958,945 | 402,981,012 | |
PIMCO Short-Term Fund - Administrator Class | 176,982,417 | 1,750,356,104 | |
Prudential Short-Term Corporate Bond Fund, Inc. Class A | 18,076,811 | 198,302,617 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $5,970,536,361) | 5,971,208,958 | ||
Money Market Funds - 7.9% | |||
Fidelity Cash Central Fund, 1.13% (i) | 34,445,323 | 34,452,212 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 1.01% (g)(j) | 488,397,926 | 488,397,926 | |
Fidelity Investments Money Market Prime Reserves Portfolio - Institutional Class 1.22% (g)(j) | 226,869,344 | 226,914,718 | |
Fidelity Securities Lending Cash Central Fund 1.13% (i)(k) | 7,799,220 | 7,800,000 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.72% (j) | 6,530,985 | 6,530,985 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $764,095,820) | 764,095,841 | ||
TOTAL INVESTMENT IN SECURITIES - 100.0% | |||
(Cost $9,663,340,762) | 9,665,013,925 | ||
NET OTHER ASSETS (LIABILITIES) - 0.0% | (4,252,809) | ||
NET ASSETS - 100% | $9,660,761,116 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 461 | March 2018 | $98,841,281 | $(58,367) | $(58,367) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 81 | March 2018 | 10,047,797 | 53,659 | 53,659 |
TOTAL FUTURES CONTRACTS | $(4,708) |
The notional amount of futures purchased as a percentage of Net Assets is 1.0%
The notional amount of futures sold as a percentage of Net Assets is 0.1%
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $679,533,656 or 7.0% of net assets.
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $223,066.
(e) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) Affiliated Fund
(h) Security or a portion of the security is on loan at period end.
(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(j) The rate quoted is the annualized seven-day yield of the fund at period end.
(k) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $275,343 |
Fidelity Securities Lending Cash Central Fund | 2,701 |
Total | $278,044 |
Affiliated Underlying Funds
Information regarding the Fund's fiscal year to date purchases and sales of the affiliated Underlying Funds and income earned by the Fund from investments in affiliated Underlying Funds is as follows:
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Conservative Income Bond Fund Institutional Class | $961,137,099 | $304,451,127 | $40,395,104 | $7,274,989 | $-- | $-- | $1,225,193,122 |
Fidelity Floating Rate High Income Fund | 319,752,512 | 6,269,561 | -- | 6,269,762 | -- | (1,332,469) | 324,689,604 |
Fidelity Investments Money Market Government Portfolio Institutional Class 1.01% | 760,371,043 | 61,572,144 | 333,545,261 | 2,792,165 | -- | -- | 488,397,926 |
Fidelity Investments Money Market Prime Reserves Portfolio - Institutional Class 1.22% | 225,552,835 | 1,361,862 | -- | 1,361,862 | -- | 21 | 226,914,718 |
Fidelity Short-Term Bond Fund | 817,739,827 | 4,741,912 | 80,986,550 | 4,741,912 | (185,965) | (3,243,963) | 738,065,261 |
Total | $3,084,553,316 | $378,396,606 | $454,926,915 | $22,440,690 | $(185,965) | $(4,576,411) | $3,003,260,631 |
Investment Valuation
The following is a summary of the inputs used, as of November 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $1,595,932,113 | $-- | $1,595,932,113 | $-- |
U.S. Government and Government Agency Obligations | 121,422,921 | -- | 121,422,921 | -- |
U.S. Government Agency - Mortgage Securities | 26,758,726 | -- | 26,758,726 | -- |
Asset-Backed Securities | 612,738,948 | -- | 612,738,948 | -- |
Collateralized Mortgage Obligations | 81,708,164 | -- | 81,708,164 | -- |
Commercial Mortgage Securities | 61,552,548 | -- | 61,552,548 | -- |
Municipal Securities | 1,085,260 | -- | 1,085,260 | -- |
Foreign Government and Government Agency Obligations | 769,406 | -- | 769,406 | -- |
Bank Notes | 16,251,057 | -- | 16,251,057 | -- |
Certificates of Deposit | 31,563,367 | -- | 31,563,367 | -- |
Commercial Paper | 55,237,012 | -- | 55,237,012 | -- |
Fixed-Income Funds | 324,689,604 | 324,689,604 | -- | -- |
Short-Term Funds | 5,971,208,958 | 5,971,208,958 | -- | -- |
Money Market Funds | 764,095,841 | 764,095,841 | -- | -- |
Total Investments in Securities: | $9,665,013,925 | $7,059,994,403 | $2,605,019,522 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $53,659 | $53,659 | $-- | $-- |
Total Assets | $53,659 | $53,659 | $-- | $-- |
Liabilities | ||||
Futures Contracts | $(58,367) | $(58,367) | $-- | $-- |
Total Liabilities | $(58,367) | $(58,367) | $-- | $-- |
Total Derivative Instruments: | $(4,708) | $(4,708) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $53,659 | $(58,367) |
Total Interest Rate Risk | 53,659 | (58,367) |
Total Value of Derivatives | $53,659 | $(58,367) |
(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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
November 30, 2017 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $7,634,250) — See accompanying schedule: Unaffiliated issuers (cost $6,617,479,125) | $6,619,501,082 | |
Fidelity Central Funds (cost $42,252,212) | 42,252,212 | |
Affiliated issuers (cost $3,003,609,425) | 3,003,260,631 | |
Total Investment in Securities (cost $9,663,340,762) | $9,665,013,925 | |
Cash | 66,851 | |
Receivable for investments sold | 3,228,316 | |
Receivable for fund shares sold | 6,395,496 | |
Dividends receivable | 116,747 | |
Interest receivable | 7,209,850 | |
Distributions receivable from Fidelity Central Funds | 37,913 | |
Prepaid expenses | 17,794 | |
Other receivables | 143,239 | |
Total assets | 9,682,230,131 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $2,169,649 | |
Delayed delivery | 1,360,000 | |
Payable for fund shares redeemed | 7,475,602 | |
Distributions payable | 1,736,923 | |
Accrued management fee | 239,507 | |
Payable for daily variation margin on futures contracts | 23,453 | |
Other affiliated payables | 490,564 | |
Other payables and accrued expenses | 173,317 | |
Collateral on securities loaned | 7,800,000 | |
Total liabilities | 21,469,015 | |
Net Assets | $9,660,761,116 | |
Net Assets consist of: | ||
Paid in capital | $9,665,747,256 | |
Undistributed net investment income | 13,487,298 | |
Accumulated undistributed net realized gain (loss) on investments | (20,141,893) | |
Net unrealized appreciation (depreciation) on investments | 1,668,455 | |
Net Assets, for 960,365,801 shares outstanding | $9,660,761,116 | |
Net Asset Value, offering price and redemption price per share ($9,660,761,116 ÷ 960,365,801 shares) | $10.06 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Six months ended November 30, 2017 (Unaudited) | ||
Investment Income | ||
Dividends: | ||
Unaffiliated issuers | $29,658,392 | |
Affiliated issuers | 22,440,690 | |
Interest | 23,944,547 | |
Income from Fidelity Central Funds | 278,044 | |
Total income | 76,321,673 | |
Expenses | ||
Management fee | $13,744,094 | |
Transfer agent fees | 2,234,292 | |
Accounting and security lending fees | 684,444 | |
Custodian fees and expenses | 33,854 | |
Independent trustees' fees and expenses | 63,802 | |
Registration fees | 130,027 | |
Audit | 31,633 | |
Legal | 23,573 | |
Miscellaneous | 39,766 | |
Total expenses before reductions | 16,985,485 | |
Expense reductions | (12,270,557) | 4,714,928 |
Net investment income (loss) | 71,606,745 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,927,850) | |
Fidelity Central Funds | (664) | |
Affiliated issuers | (185,965) | |
Futures contracts | (544,704) | |
Total net realized gain (loss) | (2,659,183) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 2,145,203 | |
Affiliated issuers | (4,576,411) | |
Futures contracts | (18,811) | |
Total change in net unrealized appreciation (depreciation) | (2,450,019) | |
Net gain (loss) | (5,109,202) | |
Net increase (decrease) in net assets resulting from operations | $66,497,543 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended November 30, 2017 (Unaudited) | Year ended May 31, 2017 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $71,606,745 | $113,105,099 |
Net realized gain (loss) | (2,659,183) | (1,566,770) |
Change in net unrealized appreciation (depreciation) | (2,450,019) | 28,529,025 |
Net increase (decrease) in net assets resulting from operations | 66,497,543 | 140,067,354 |
Distributions to shareholders from net investment income | (61,194,586) | (106,812,751) |
Share transactions | ||
Proceeds from sales of shares | 1,285,719,451 | 5,170,553,145 |
Reinvestment of distributions | 53,277,983 | 100,841,024 |
Cost of shares redeemed | (1,604,476,396) | (1,977,465,881) |
Net increase (decrease) in net assets resulting from share transactions | (265,478,962) | 3,293,928,288 |
Total increase (decrease) in net assets | (260,176,005) | 3,327,182,891 |
Net Assets | ||
Beginning of period | 9,920,937,121 | 6,593,754,230 |
End of period | $9,660,761,116 | $9,920,937,121 |
Other Information | ||
Undistributed net investment income end of period | $13,487,298 | $3,075,139 |
Shares | ||
Sold | 127,807,128 | 515,147,452 |
Issued in reinvestment of distributions | 5,296,157 | 10,048,630 |
Redeemed | (159,460,382) | (197,070,314) |
Net increase (decrease) | (26,357,097) | 328,125,768 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Short Duration Fund
Six months ended (Unaudited) November 30, | Years ended May 31, | |||||
2017 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $10.05 | $10.01 | $10.07 | $10.10 | $10.09 | $10.06 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .074 | .136 | .115 | .095 | .077 | .087 |
Net realized and unrealized gain (loss) | (.001) | .033 | (.051) | (.028) | .020 | .040 |
Total from investment operations | .073 | .169 | .064 | .067 | .097 | .127 |
Distributions from net investment income | (.063) | (.129) | (.118) | (.093) | (.079) | (.089) |
Distributions from net realized gain | – | – | (.006) | (.004) | (.008) | (.008) |
Total distributions | (.063) | (.129) | (.124) | (.097) | (.087) | (.097) |
Net asset value, end of period | $10.06 | $10.05 | $10.01 | $10.07 | $10.10 | $10.09 |
Total ReturnB,C | .73% | 1.69% | .64% | .66% | .96% | 1.27% |
Ratios to Average Net AssetsD,E | ||||||
Expenses before reductions | .35%F | .36% | .36% | .35% | .36% | .38% |
Expenses net of fee waivers, if any | .10%F | .10% | .11% | .10% | .11% | .13% |
Expenses net of all reductions | .10%F | .10% | .11% | .10% | .11% | .13% |
Net investment income (loss) | 1.46%F | 1.36% | 1.15% | .94% | .76% | .87% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $9,660,761 | $9,920,937 | $6,593,754 | $7,262,264 | $5,869,152 | $6,225,396 |
Portfolio turnover rateG | 24%F | 26% | 33% | 16% | 31% | 17%H |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.
F Annualized
G Amount does not include the portfolio activity of any Underlying Funds.
H Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended November 30, 2017
1. Organization.
Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund is offered exclusively to clients of Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR).
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 – Investments 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 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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees 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 – 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, U.S. government and government agency obligations, commercial paper, and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of November 30, 2017 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. 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. Income and capital gain distributions from Underlying Funds and distributions from ETFs, 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. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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. 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.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, market discount, amortization of premium, deferred trustees compensation, capital loss carryforwards, and losses deferred due to wash sales.
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 | $34,032,838 |
Gross unrealized depreciation | (34,328,119) |
Net unrealized appreciation (depreciation) | $(295,281) |
Tax cost | $9,665,304,498 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $(2,590,072) |
Long-term | (12,540,123) |
Total capital loss carryforward | $(15,130,195) |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.
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:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
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 and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities and U.S. government securities, aggregated $1,074,253,489 and $1,255,723,160, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .28% of the Fund's average net assets.
During the period, the investment adviser waived its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. The Fund does not directly pay transfer agent fees with respect to the portion of its assets invested in Underlying Funds, excluding exchange-traded funds. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .05% of average net assets.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Interfund Trades. The Fund may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Fidelity Money Market Central Funds are managed by FIMM, an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $11,279 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $2,701.
9. Expense Reductions.
The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2019. During the period, this waiver reduced the Fund's management fee by $12,244,280.
In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $23,204.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $235 for the period.
In addition, 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. During the period, these credits reduced the Fund's expenses by $2,838.
10. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 16% and 12% of the total outstanding shares of Fidelity Conservative Income Bond Fund and Fidelity Short-Term Bond Fund, respectively.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2017 to November 30, 2017).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.
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.
Annualized Expense Ratio-A | Beginning Account Value June 1, 2017 | Ending Account Value November 30, 2017 | Expenses Paid During Period-B June 1, 2017 to November 30, 2017 | |
Actual | .10% | $1,000.00 | $1,007.30 | $.50 |
Hypothetical-C | $1,000.00 | $1,024.57 | $.51 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Short Duration Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers, Inc. (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2017 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services to be provided by and the profits, if any, to be realized by Strategic Advisers from its relationships with the fund; (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees to be charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategy for the fund; (ii) identifying and recommending to the Trustees one or more sub-advisers for the fund; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to fund assets; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.The Board also considered the nature, extent and quality of services provided by each sub-adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each sub-adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the sub-adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each sub-adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including the sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").The Board considered discussions with Strategic Advisers about fund investment performance and the performance of each sub-adviser that occur at Board meetings throughout the year as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2016, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.Strategic Advisers Short Duration Fund
Strategic Advisers Short Duration Fund
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
ASD-SANN-0118
1.934461.105
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Rutland Square Trust II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Adrien E. Deberghes |
Adrien E. Deberghes | |
President and Treasurer | |
Date: | January 23, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Adrien E. Deberghes |
Adrien E. Deberghes | |
President and Treasurer | |
Date: | January 23, 2018 |
By: | /s/Howard J. Galligan III |
Howard J. Galligan III | |
Chief Financial Officer | |
Date: | January 23, 2018 |